0001752724-20-072762.txt : 20200420
0001752724-20-072762.hdr.sgml : 20200420
20200420085129
ACCESSION NUMBER: 0001752724-20-072762
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200229
FILED AS OF DATE: 20200420
PERIOD START: 20210228
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Fidelity Rutland Square Trust II
CENTRAL INDEX KEY: 0001364924
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0228
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21991
FILM NUMBER: 20801474
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
0001364924
S000029150
Strategic Advisers Core Income Fund
C000089632
Strategic Advisers Core Income Fund
FPCIX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001364924
XXXXXXXX
S000029150
C000089632
FIDELITY RUTLAND SQUARE TRUST II
811-21991
0001364924
1KZ3JN58GDRI3EZKKG06
245 Summer Street
Boston
02210
1-800-FIDELITY
STRATEGIC ADVISERS CORE INCOME FUND
S000029150
JIULD0UMK13CI0PIUL16
2021-02-28
2020-02-29
N
49039281375.14
2770962946.79
46268318428.35
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1466987995.47000000
0.00000000
0.00000000
56155894.91000000
USD
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/40 #733919
3620AMK84
53635.09520000
PA
USD
59744.22000000
0.000129125548
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 03/01/2033#G18680
3128MMXJ7
1753200.30400000
PA
USD
1804833.81000000
0.003900798367
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2047#ZM2868
3131XWFH1
1375307.45090000
PA
USD
1452489.57000000
0.003139274603
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.03500000
N
N
N
N
N
N
SS and C TECHNOLOGIES INC
549300KY09TR3J12JU49
SS and C TECHNOLOGIES INC 5.5% 09/30/2027 144A
78466CAC0
775000.00000000
PA
USD
815687.50000000
0.001762950389
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/01/2044#G08587
3128MJUM0
254146.90990000
PA
USD
277955.75000000
0.000600747464
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.04500000
N
N
N
N
N
N
JBS USA LLC / JBS USA FIN INC
N/A
JBS USA LLC / JBS USA FIN INC 5.75% 06/15/2025 144A
466112AR0
1300000.00000000
PA
USD
1330875.00000000
0.002876428288
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.05750000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 12/01/2036#BM3680
3140J8CS0
299468.54600000
PA
USD
321281.45000000
0.000694387565
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.03500000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
GILEAD SCIENCES INC 3.65% 03/01/2026
375558BF9
685000.00000000
PA
USD
753992.58000000
0.001629608781
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
0.03650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/40 #AE7533
31419JLP1
23736.78070000
PA
USD
25808.19000000
0.000055779399
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
NIAGARA PARK CLO LLC
N/A
NIAGARA PARK CLO LLC 3ML+130 07/17/2032 144A
65357LAA3
8530000.00000000
PA
USD
8531706.00000000
0.018439628432
Long
ABS-CBDO
CORP
KY
N
2
2032-07-17
Variable
0.03136130
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/01/2049#SD8011
3132DV3U7
4355126.63200000
PA
USD
4522640.92000000
0.009774811520
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03500000
N
N
N
N
N
N
ISRAEL, STATE OF
213800T8ZHTFZIBYPE21
ISRAEL ST 4% 6/30/22
46513AGA2
1700000.00000000
PA
USD
1784694.00000000
0.003857270072
Long
DBT
NUSS
IL
N
2
2022-06-30
Fixed
0.04000000
N
N
N
N
N
N
MOUNT SINAI HOSP NEW YORK
549300IJEDK5LH7YPT15
MOUNT SINAI HOSP NEW YORK 3.737% 07/01/2049
623115AE2
460000.00000000
PA
USD
516906.50000000
0.001117193184
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
0.03737000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21255
3132JNMC8
271468.00620000
PA
USD
294174.27000000
0.000635800651
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 04/01/2030#AS4752
3138WEH69
1153228.30320000
PA
USD
1196447.38000000
0.002585889050
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
0.02500000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 5% 7/15/35
50077LAL0
190000.00000000
PA
USD
201406.30000000
0.000435300669
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
0.05000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.7% 08/15/2022
674599CP8
1810000.00000000
PA
USD
1844411.07000000
0.003986336942
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2040#AE9547
31419LTD5
154902.94090000
PA
USD
171370.41000000
0.000370383916
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2048#BM3855
3140J8H97
1251407.21920000
PA
USD
1336356.25000000
0.002888274947
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS4758
36193PJB2
92257.32590000
PA
USD
98792.39000000
0.000213520597
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #489861
36210EFA2
35947.81940000
PA
USD
38979.04000000
0.000084245637
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019 1ML+145 10/15/2036 144A
056054AG4
6823470.66000000
PA
USD
6849504.93000000
0.014803876956
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.03108500
N
N
N
N
N
N
OHIO ST UNIV GEN RCPTS
N/A
OHIO ST UNIV GEN RCPTS BUILD AMERICA BONDS
677632MV0
365000.00000000
PA
USD
513138.90000000
0.001109050247
Long
DBT
MUN
US
N
2
2040-06-01
Fixed
0.04910000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2042#AB7798
36178UUX9
199128.59000000
PA
USD
209313.56000000
0.000452390679
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03500000
N
N
N
N
N
N
CNA FINANCIAL CORP
549300YX2GSZD7YG1R84
CNA FINANCIAL CORP 3.95% 05/15/2024
126117AS9
1400000.00000000
PA
USD
1518799.63000000
0.003282590942
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2048#BK0920
3140HEAW2
1332071.09300000
PA
USD
1407843.03000000
0.003042779763
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2049#ZN4746
3131YBHX9
47878.77400000
PA
USD
49720.37000000
0.000107460940
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AB2079
31416XJZ4
2126910.85090000
PA
USD
2312184.99000000
0.004997339580
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2047#MA3182
31418CRC0
3748635.47200000
PA
USD
3940851.25000000
0.008517385943
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479607
36209RYC1
261627.24220000
PA
USD
283688.41000000
0.000613137498
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 3.95% 01/31/2060
29379VBZ5
50000.00000000
PA
USD
48950.55000000
0.000105797123
Long
DBT
CORP
US
N
2
2060-01-31
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 9/37 #942981
31413ECS2
5870.99940000
PA
USD
6972.83000000
0.000015070420
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2046#BC5795
3140F1NM0
491016.35760000
PA
USD
532321.05000000
0.001150508745
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04500000
N
N
N
N
N
N
LANARK MASTER ISSUER PLC
213800KIOPB5OYXIVY33
LANARK MASTER ISSUER PLC STEP 12/22/2069 144A
513770BD8
5800000.00000000
PA
USD
5897538.60000000
0.012746386296
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.02710000
N
N
N
N
N
N
WFRBS COML MTG TR 2013-C14
549300GADFYEKC4OLM57
WFRBS COML MTG TR 2013-C14 A3FL 1ML+72 06/15/2046 144A
92890PBS2
5434294.71000000
PA
USD
5438262.29000000
0.011753749595
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
0.02378250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2041#AJ1616
3138ASYN6
1207069.50560000
PA
USD
1289709.95000000
0.002787458014
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.03500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.75% 02/01/2022
00912XAQ7
4752000.00000000
PA
USD
4891921.21000000
0.010572939272
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 08/01/2032#G18654
3128MMWQ2
249096.57400000
PA
USD
256666.25000000
0.000554734338
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.02500000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 4.875% 11/15/2044
718546AL8
305000.00000000
PA
USD
367056.07000000
0.000793320532
Long
DBT
CORP
US
N
2
2044-11-15
Fixed
0.04875000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2046#MA3937
36179SLS4
21261369.95810000
PA
USD
22468435.34000000
0.048561166913
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2045#AZ9666
3140E2W49
132556.98400000
PA
USD
142872.61000000
0.000308791447
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
JOHNSON and JOHNSON
549300G0CFPGEF6X2043
JOHNSON and JOHNSON 3.625% 03/03/2037
478160CF9
1585000.00000000
PA
USD
1826307.28000000
0.003947209109
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 02/01/2043#Q15789
3132J62X1
202416.20490000
PA
USD
214538.61000000
0.000463683611
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 03/01/2041#A97686
312946RF5
103127.46290000
PA
USD
114918.87000000
0.000248374857
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.05000000
N
N
N
N
N
N
ALABAMA POWER and LIGHT
0RL818ELFOHP5JHOFU19
ALABAMA POWER 3.85% 12/01/42
010392FJ2
250000.00000000
PA
USD
287702.28000000
0.000621812699
Long
DBT
CORP
US
N
2
2042-12-01
Fixed
0.03850000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A
46645WAU7
2700000.00000000
PA
USD
2925669.78000000
0.006323268014
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04247500
N
N
N
N
N
N
MASSACHUSETTS ST TRANSN FD REV
N/A
MASSACHUSETTS ST TRANSN FD REVBUILD AMERICA BONDS-RECOVERY ZONE ECON DEV BONDS
57604TAD8
150000.00000000
PA
USD
213148.50000000
0.000460679158
Long
DBT
MUN
US
N
2
2040-06-01
Fixed
0.05731000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3.25% 04/15/2025 144A
125523AU4
1080000.00000000
PA
USD
1145511.45000000
0.002475800912
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.03250000
N
N
N
N
N
N
MIDAMERICAN ENERGY CO
NINLOILYRTLIMK26MZ18
MIDAMERICAN ENERGY CO 3.95% 08/01/2047
595620AR6
1675000.00000000
PA
USD
2046014.63000000
0.004422063951
Long
DBT
CORP
US
N
2
2047-08-01
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/42#AP8469
3138MCMT8
1604777.72560000
PA
USD
1687068.80000000
0.003646272130
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2045#G61419
31335BSG2
2424766.85300000
PA
USD
2601847.33000000
0.005623388569
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.03500000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.5% 02/25/2026 144A
125523BY5
4925000.00000000
PA
USD
5566090.75000000
0.012030026028
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/01/2050 #TBA
21H040632
17100000.00000000
PA
USD
17803203.30000000
0.038478172332
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GSINC 6.75% 10/01/37
38141GFD1
50999000.00000000
PA
USD
73075732.20000000
0.157939027572
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
0.06750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/41 #AJ8098
3138E07L7
105878.77360000
PA
USD
115342.51000000
0.000249290473
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/47#V84700
3132LAGH9
363022.10600000
PA
USD
387831.91000000
0.000838223482
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
JPMCC COML MTG SECS TR 2019-COR4
N/A
JPMCC COML MTG SECS TR 2019-COR4 A3 3.7629% 03/10/2052
48128YAU5
5400000.00000000
PA
USD
6041619.90000000
0.013057790093
Long
ABS-MBS
CORP
US
N
2
2052-03-10
Fixed
0.03762900
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2045#Q31980
3132QNFW4
325640.45500000
PA
USD
343921.42000000
0.000743319471
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2028#MA1358
31418AQL5
391548.33830000
PA
USD
407040.61000000
0.000879739363
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 8/37 #888817
31410GPA5
208817.80500000
PA
USD
240041.48000000
0.000518803120
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 05/01/2037#969230
31414LHF8
168111.95100000
PA
USD
193475.34000000
0.000418159437
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2050#BK0534
3140HDSY1
24805001.48900000
PA
USD
25666139.36000000
0.055472384196
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 1/42 #778793
36176W7E5
904555.29100000
PA
USD
961786.14000000
0.002078714275
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18136
3132J9PW2
41057.17450000
PA
USD
44529.79000000
0.000096242507
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 3% 11/19/2024
418056AX5
5655000.00000000
PA
USD
5931300.92000000
0.012819357005
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
0.03000000
N
N
N
N
N
N
BAYVIEW COML ASSET TR
N/A
BAYC 2005-3A A2 1ML+40 11/35
07324SCC4
24477.91960000
PA
USD
23635.83000000
0.000051084264
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
0.02026750
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 3.6% 03/01/2024
713448CM8
1952000.00000000
PA
USD
2115815.51000000
0.004572925020
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
0.03600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 08/01/2042#AL2693
3138EJ7F9
16588343.39940000
PA
USD
18010017.51000000
0.038925161150
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/45#Q36614
3132QTK47
26094.90590000
PA
USD
27641.81000000
0.000059742413
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.03500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.875% 04/01/2021
00912XAM6
2900000.00000000
PA
USD
2970416.90000000
0.006419980238
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 09/01/2033#AL7521
3138EQLB6
20091259.44980000
PA
USD
22422162.99000000
0.048461158199
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4% 03/01/2050#TBA
01F040636
10000000.00000000
PA
USD
10533144.00000000
0.022765348639
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNMA 2017-H06 FA 12ML+35 08/66
38376RV60
3499855.67620000
PA
USD
3501204.87000000
0.007567175529
Long
ABS-CBDO
USGA
US
N
2
2066-08-20
Variable
0.01880000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 11/20/2047#MA4838
36179TLT0
537896.41550000
PA
USD
569094.46000000
0.001229987341
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
0.04000000
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 3.8% 06/09/2023
225433AT8
9457000.00000000
PA
USD
10048704.44000000
0.021718326451
Long
DBT
CORP
GG
N
2
2023-06-09
Fixed
0.03800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 6/38 #889705
31410KNW0
117969.06550000
PA
USD
135771.78000000
0.000293444379
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/47#MA4719
36179TG41
3666096.57290000
PA
USD
3857045.95000000
0.008336257035
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #778862
36176XB73
161612.57480000
PA
USD
172090.26000000
0.000371939732
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2048#G08801
3128MJ3K4
442391.79500000
PA
USD
470131.97000000
0.001016099106
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2045#BA6373
3140EBCK5
916218.65480000
PA
USD
980664.28000000
0.002119515714
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.03500000
N
N
N
N
N
N
HESS MIDSTREAM PARTNERS LP
N/A
HESS MIDSTREAM PARTNERS LP 5.125% 06/15/2028 144A
428104AA1
115000.00000000
PA
USD
112125.00000000
0.000242336449
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.05125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 8/42 #Q10323
3132HLLC5
58419.93560000
PA
USD
62686.34000000
0.000135484370
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.375% 02/01/2025
404119BR9
500000.00000000
PA
USD
552750.00000000
0.001194661960
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2039#AA9716
31416TYN3
31345.82740000
PA
USD
35333.95000000
0.000076367482
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
0.05000000
N
N
N
N
N
N
DEVON ENERGY CORP NEW
54930042348RKR3ZPN35
DEVON ENERGY CORP NEW 5.0% 06/15/2045
25179MAU7
915000.00000000
PA
USD
984240.28000000
0.002127244545
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 8/31#AS7693
3138WHRP9
1293755.54820000
PA
USD
1316441.03000000
0.002845232060
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 01/47#MA4197
36179SUW5
583935.58010000
PA
USD
618716.30000000
0.001337235328
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
0.04000000
N
N
N
N
N
N
MID AMERICA APTS LP
549300FXWGE3QSYCUJ38
MID AMERICA APTS LP 4% 11/15/2025
59523UAM9
1296000.00000000
PA
USD
1451880.39000000
0.003137957979
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 01/33#J38270
31307VFK7
53161.96200000
PA
USD
54760.86000000
0.000118354982
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.02500000
N
N
N
N
N
N
POST APT HOMES LP
5493005D04NMMCMCB212
POST APT HOMES LP 3.375% 12/01/2022
737415AL3
1800000.00000000
PA
USD
1879770.56000000
0.004062759624
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
0.03375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AT1323
36193YPG5
224571.78650000
PA
USD
240479.37000000
0.000519749535
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 4.375% 03/22/2028
539439AR0
1365000.00000000
PA
USD
1528497.17000000
0.003303550295
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2029#AS3743
3138WDER8
1406531.23750000
PA
USD
1456606.00000000
0.003148171469
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.02500000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 5.55% 01/23/2049
03523TBV9
14627000.00000000
PA
USD
19814300.41000000
0.042824768833
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
0.05550000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-IMC C 1ML+160 04/15/34 144A
05608BAJ9
2952000.00000000
PA
USD
2951994.98000000
0.006380164830
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.03258500
N
N
N
N
N
N
MADISON PK FDG XXXVII LLC
N/A
MADISON PK FDG XXXVII LLC 2019-37A A1 3ML+130 07/15/2032 144A
55817EAA4
8529000.00000000
PA
USD
8530705.80000000
0.018437466693
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Variable
0.03131250
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.125% 11/15/2025
125523AG5
4646000.00000000
PA
USD
5169011.60000000
0.011171816429
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2% 01/01/2032#G16177
3128MFCN6
2121578.70700000
PA
USD
2159653.62000000
0.004667672596
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.02000000
N
N
N
N
N
N
CONSOLIDATED ENERGY FINANCE SA
549300PUNIS0USNSL750
CONSOLIDATED ENERGY FINANCE SA FRN 3ML+375 06/15/2022 144A
20914UAC0
500000.00000000
PA
USD
495015.76000000
0.001069880593
Long
DBT
CORP
LU
N
2
2022-06-15
Variable
0.05643630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/42#890427
31410LHC9
8573.32530000
PA
USD
9195.12000000
0.000019873469
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 4.125% 02/13/2022
02005NAY6
1700000.00000000
PA
USD
1765467.00000000
0.003815714640
Long
DBT
CORP
US
N
2
2022-02-13
Fixed
0.04125000
N
N
N
N
N
N
HILCORP ENERGY I LP/FIN CO
N/A
HILCORP ENERGY I LP/FIN CO 5.0% 12/01/2024 144A
431318AN4
225000.00000000
PA
USD
177750.00000000
0.000384172163
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2048#G67708
3132XCR56
4358735.41600000
PA
USD
4649811.33000000
0.010049665706
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/01/2046#Q45023
3132WJSM4
562506.92300000
PA
USD
599016.38000000
0.001294657770
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2048#MA3333
31418CV35
5090924.35920000
PA
USD
5405965.01000000
0.011683945286
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2045#AZ9524
3140E2SN2
113436.52300000
PA
USD
120103.89000000
0.000259581273
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 2/42 #Q06088
3132GRCZ2
83967.99660000
PA
USD
91516.09000000
0.000197794285
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP 1ML+105.15 12/15/2029 144A
05607QAK4
4451000.00000000
PA
USD
4449662.03000000
0.009617081798
Long
ABS-MBS
CORP
US
N
2
2029-12-15
Variable
0.02658500
N
N
N
N
N
N
VIRGINIA ELECTRIC AND POWER CO
CQKUMNNZVDJLRYV2PT43
VIRGINIA ELECTRIC AND POWER CO 6% 05/15/2037
927804FB5
1375000.00000000
PA
USD
1985863.92000000
0.004292059853
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2045#AY5622
3138YKG80
3804180.86670000
PA
USD
4074139.62000000
0.008805462913
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 1/1/43 #Q14696
3132HRGD6
199338.18980000
PA
USD
211338.55000000
0.000456767302
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2043#AL7855
3138EQWR9
1057834.48500000
PA
USD
1112740.11000000
0.002404972014
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 08/01/2032#J37406
31307UGP7
169880.05280000
PA
USD
179065.33000000
0.000387014994
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2042#AQ9061
3138MRB75
610222.48250000
PA
USD
660422.86000000
0.001427375972
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
AIMCO 2019
N/A
AIMCO CLO 2019-10A A 3ML+132 07/22/2032 144A
00901AAA5
8486000.00000000
PA
USD
8491091.60000000
0.018351848280
Long
ABS-CBDO
CORP
US
N
2
2032-07-22
Variable
0.03122130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#BK2485
3140HFXP9
118822.37600000
PA
USD
127957.77000000
0.000276555912
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q32328
3132QNSS9
424401.23050000
PA
USD
454732.08000000
0.000982815229
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745138
3620C0ZB7
200584.00390000
PA
USD
221131.31000000
0.000477932454
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 2/40 #AE0061
31419AB71
434502.53280000
PA
USD
517333.18000000
0.001118115370
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
0.06000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 8/
N/A
4700000.00000000
NC
USD
38033.81000000
0.000082202706
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
858.93000000
USD
0.00000000
USD
4700000.00000000
USD
37174.88000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7755
31417ETM3
349360.10750000
PA
USD
370331.78000000
0.000800400344
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 12/20/2042#AA5872
36178DQZ7
877245.06290000
PA
USD
915048.18000000
0.001977699235
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.395 02/24/25
N/A
-9100000.00000000
NC
USD
-225939.26000000
-0.00048832390
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 02/26/30 3MLV1.395%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-26
0.00000000
USD
0.00000000
USD
-9100000.00000000
USD
1.00000000
1.39500000
USD
2025-02-24
XXXX
41600.74000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2.5% 1/1/43 #Q14326
3132HQYX4
238170.16750000
PA
USD
246615.61000000
0.000533011828
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.02500000
N
N
N
N
N
N
WESTERN ASSET FDS INC
549300Q2LEO7M5HGWP70
Western Asset Core Bond I
957663305
164682509.50000000
NS
USD
2185336901.07000000
4.723182028873
Long
EC
RF
US
N
1
N
N
N
STORE CAP CORP
5493004EA6C9IHDZ7N66
STORE CAP CORP 4.625% 03/15/2029
862121AB6
2475000.00000000
PA
USD
2863655.93000000
0.006189237100
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.04625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.5% 02/43 #Q15871
3132J66H2
170768.84400000
PA
USD
182439.60000000
0.000394307824
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 1/40 #A90893
3129387E7
40740.50680000
PA
USD
45818.84000000
0.000099028539
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 07/01/2031#V61246
3132KFL34
999903.35500000
PA
USD
1036538.31000000
0.002240276597
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
0.02500000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP 4.3 6/15/42
907818DL9
325000.00000000
PA
USD
385529.21000000
0.000833246642
Long
DBT
CORP
US
N
2
2042-06-15
Fixed
0.04300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2032#BJ1634
3140H2Y85
234338.60820000
PA
USD
245807.54000000
0.000531265341
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 11
N/A
900000.00000000
NC
USD
1657.17000000
0.000003581651
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S11 PRC INDX
CMBX0AAA
Y
2054-11-18
0.00000000
USD
1838.24000000
USD
900000.00000000
USD
3495.41000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q20358
3132JMMF3
91506.22580000
PA
USD
99160.04000000
0.000214315201
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 06/01/2043#Q18883
3132JAJ55
202397.88470000
PA
USD
213001.21000000
0.000460360819
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2047#BE5696
3140FRKJ3
226877.79210000
PA
USD
241488.99000000
0.000521931633
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.03500000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL A 1ML+85 10/15/2036 144A
056054AA7
18439230.43000000
PA
USD
18521716.48000000
0.040031099268
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.02578500
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 2.25% 01/15/2023
00914AAD4
1711000.00000000
PA
USD
1723809.42000000
0.003725679857
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.02250000
N
N
N
N
N
N
RABOBANK NEDERLAND GLOBAL MEDIUM TERM NTS BOOK ENTRY REGS
N/A
RABOBANK NEDERLAND 4.375% 08/04/2025
21684AAC0
7713000.00000000
PA
USD
8564270.00000000
0.018510009204
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 10/01/2034#MA3816
31418DG22
6020993.16320000
PA
USD
6111516.39000000
0.013208857805
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2045#AY4526
3138YJA48
164248.13790000
PA
USD
177337.94000000
0.000383281575
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04000000
N
N
N
N
N
N
1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC
N/A
1011778 BC ULC/NEW RED FIN INC 4.25% 05/15/2024 144A
68245XAC3
300000.00000000
PA
USD
300285.00000000
0.000649007809
Long
DBT
CORP
CA
N
2
2024-05-15
Fixed
0.04250000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC 3.691/VAR 06/05/2028
38141GWL4
5415000.00000000
PA
USD
5919879.00000000
0.012794670740
Long
DBT
CORP
US
N
2
2028-06-05
Variable
0.03691000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2043#AU8060
3138X75W9
289642.19090000
PA
USD
317899.19000000
0.000687077466
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04500000
N
N
N
N
N
N
MERCK and CO INC NEW
4YV9Y5M8S0BRK1RP0397
MERCK and CO INC NEW 3.4% 03/07/2029
58933YAX3
1525000.00000000
PA
USD
1708196.60000000
0.003691935773
Long
DBT
CORP
US
N
2
2029-03-07
Fixed
0.03400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 06/01/2028#AT7761
3138WVTT8
373184.89810000
PA
USD
383671.99000000
0.000829232621
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 02/20/2049#MA5763
36179UML3
634018.89000000
PA
USD
664749.09000000
0.001436726279
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 09/01/2044#AS3293
3138WCUT8
337449.40880000
PA
USD
364869.81000000
0.000788595355
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2045#BA3565
3140E76B1
532158.49000000
PA
USD
573571.22000000
0.001239662990
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2047#MA4322
36179SYT8
4544745.00500000
PA
USD
4815441.83000000
0.010407643920
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/41 #AI1116
3138AEG23
101346.43230000
PA
USD
112088.73000000
0.000242258058
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
MERCK and CO INC
MZK1AT00SJV4XB7WNL71
MERCK and CO INC 2.4% 9/15/22
589331AT4
2875000.00000000
PA
USD
2940159.58000000
0.006354584907
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
0.02400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 05/01/2045#AX9659
3138YBWV1
161245.20590000
PA
USD
174095.69000000
0.000376274081
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
AGL CAP CORP
N/A
AGL CAP CORP 4.4% 06/01/2043
001192AK9
440000.00000000
PA
USD
516017.59000000
0.001115271977
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
0.04400000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 11/41 #005233
36202FY67
429007.36500000
PA
USD
461799.66000000
0.000998090433
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
0.04000000
N
N
N
N
N
N
US BANK NA CINCINNATI OHIO
6BYL5QZYBDK8S7L73M02
US BANK NA CINCI OH MED TRM BE 2.65% 05/23/2022
90331HPC1
1500000.00000000
PA
USD
1541436.62000000
0.003331516407
Long
DBT
CORP
US
N
2
2022-05-23
Fixed
0.02650000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2040#004799
36202FKL9
644154.95100000
PA
USD
686965.62000000
0.001484743001
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2049#
31418DJQ6
10371751.12830000
PA
USD
10582168.03000000
0.022871304576
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2043#AB9757
31417GZX7
2176062.78560000
PA
USD
2318243.90000000
0.005010434739
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03500000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
GILEAD SCIENCES INC 3.25% 09/01/2022
375558BC6
195000.00000000
PA
USD
203833.59000000
0.000440546786
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/41#G06620
3128M8VM3
247168.71210000
PA
USD
273490.67000000
0.000591097060
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2032#BE3032
3140FNLN2
3234907.74300000
PA
USD
3332890.19000000
0.007203395980
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.02500000
N
N
N
N
N
N
DUKE ENERGY IND INC
6URPHM2EAWGJ2C6ISB97
DUKE ENERGY IND INC 3.25% 10/01/2049
26443TAB2
1665000.00000000
PA
USD
1780690.98000000
0.003848618321
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/45#G08659
3128MJWV8
741471.43060000
PA
USD
785425.78000000
0.001697545548
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2043#AB9432
31417GPS9
574157.97250000
PA
USD
594059.72000000
0.001283944911
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AR3062
36192XMK2
127622.00250000
PA
USD
136662.13000000
0.000295368698
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
MAGELLAN MIDSTREAM PARTNRS MLP
MZF5TI8NFVZZNUSKDL39
MAGELLAN MIDSTREAM PARTNRS MLP 4.2% 10/03/2047
559080AM8
695000.00000000
PA
USD
782248.79000000
0.001690679100
Long
DBT
CORP
US
N
2
2047-10-03
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#FM2286
3140X5RG0
9254178.36800000
PA
USD
9718661.31000000
0.021005002213
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AH1563
3138A2WZ8
1870029.85390000
PA
USD
2032342.84000000
0.004392515027
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 1/1/43 #AB7568
31417EMS7
122861.47000000
PA
USD
129852.75000000
0.000280651543
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6.25% 04/15/2049
29279FAA7
2605000.00000000
PA
USD
3002394.44000000
0.006489093492
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
0.06250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 12/41 #005259
36202FZY5
1319288.10780000
PA
USD
1420131.32000000
0.003069338519
Long
ABS-MBS
USGA
US
N
2
2041-12-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2045#AY5352
3138YJ5N2
128268.69040000
PA
USD
137371.11000000
0.000296901021
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PAR 5.375% 6/1/21
958254AA2
4846000.00000000
PA
USD
4993579.21000000
0.010792653330
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/42#AB5501
31417CDF9
26010.58840000
PA
USD
27897.04000000
0.000060294043
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03500000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.95% 04/01/24
681936BB5
1152000.00000000
PA
USD
1279487.87000000
0.002765364969
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04950000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 11/20/2046#MA4069
36179SQW0
397959.94550000
PA
USD
419558.31000000
0.000906793945
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 4/41 #A97942
312946ZF6
731342.67100000
PA
USD
809226.20000000
0.001748985542
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9701
3138EEX79
104320.42950000
PA
USD
113449.28000000
0.000245198623
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2046#BM3107
3140J7NZ4
2987889.86630000
PA
USD
3186849.57000000
0.006887757494
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV1.75 MAC 03/18/25
N/A
15250000.00000000
NC
USD
415007.14000000
0.000896957473
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2025-03-18
0.00000000
USD
0.00000000
USD
15432944.29000000
USD
415007.14000000
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 0% 02/15/2037
9128337F1
3725000.00000000
PA
USD
2860481.51000000
0.006182376207
Long
DBT
UST
US
N
2
2037-02-15
Fixed
0.00000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/40 #741372
3620AVT51
170258.95440000
PA
USD
187699.84000000
0.000405676813
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
DOMINION ENERGY SOUTH CAROLINA INC
3QRVFYR22IUIEOORTK28
SOUTH CAROL E and G 5.45 2/1/41
837004CE8
35000.00000000
PA
USD
48056.42000000
0.000103864634
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
0.05450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 0741#AL8558
3138ETQL3
1893060.28270000
PA
USD
2241361.42000000
0.004844268164
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34584
31307RCV5
60728.35760000
PA
USD
63898.03000000
0.000138103203
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2041#AH0064
3138A1CA7
46518.37020000
PA
USD
51449.12000000
0.000111197298
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2019-AGLN
N/A
MORGAN STANLEY CAPITAL I TRUST 2019-AGLN 1ML+95 03/15/2034 144A
61691TAA0
3470000.00000000
PA
USD
3461288.91000000
0.007480904920
Long
ABS-MBS
CORP
US
N
2
2034-03-15
Variable
0.02608500
N
N
N
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
NAVIENT CORP 7.25% 01/25/2022
78442FEL8
1300000.00000000
PA
USD
1368250.00000000
0.002957207105
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
0.07250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.625% 02/15/2029
9128286B1
276154000.00000000
PA
USD
311611742.80000000
0.673488368250
Long
DBT
UST
US
N
2
2029-02-15
Fixed
0.02625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2044#AS1792
3138WA7E1
55290.76990000
PA
USD
60633.01000000
0.000131046495
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04500000
N
N
N
N
N
N
AVOLON HLDGS FDG LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 5.25% 05/15/2024 144A
05401AAD3
4140000.00000000
PA
USD
4520223.98000000
0.009769587773
Long
DBT
CORP
KY
N
2
2024-05-15
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 04/01/2041#AI1360
3138AEQN6
117934.93850000
PA
USD
132386.96000000
0.000286128747
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2043#BM1167
3140J5JM2
296110.51900000
PA
USD
323965.72000000
0.000700189094
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2043#AB7586
31417ENC1
2200991.79480000
PA
USD
2313856.01000000
0.005000951166
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 07/20/2046#MA3802
36179SGK7
2967995.49100000
PA
USD
3105170.31000000
0.006711223609
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/44#G60153
31335AE20
748128.81400000
PA
USD
821487.63000000
0.001775486246
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04500000
N
N
N
N
N
N
SOFI CONSUMER LN PROGRAM 2019-4 TR
N/A
SOFI CONSUMER LN PROGRAM 2019-4 TR 2.45% 08/25/2028 144A
83405BAA0
8115234.25000000
PA
USD
8191665.15000000
0.017704696060
Long
ABS-CBDO
CORP
US
N
2
2028-08-25
Fixed
0.02450000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/20/2044#MA2304
36179QRZ6
5879677.66830000
PA
USD
6310732.13000000
0.013639424004
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
0.04000000
N
N
N
N
N
N
CAESARS RESORT COLLECTION LLC / CRC FINCO INC
N/A
CAESARS RESORT COLLECTION LLC / CRC FINCO INC 5.25% 10/15/2025 144A
12652AAA1
300000.00000000
PA
USD
294606.00000000
0.000636733752
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
0.05250000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP 7% 10/01/2024
165167DA2
165000.00000000
PA
USD
57750.00000000
0.000124815428
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2041#770540
36176MZD8
10310.74270000
PA
USD
11202.73000000
0.000024212528
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
NOBLE ENERGY INC 5.25% 11/15/2043
655044AG0
295000.00000000
PA
USD
312143.37000000
0.000674637377
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
0.05250000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL PARIS
VBHFXSYT7OG62HNT8T76
BANQUE FED DU CR MUT MTN SR BE 144A FRN 3ML+ 07/20/2022 144A
06675FAN7
8041000.00000000
PA
USD
8128386.61000000
0.017567931764
Long
DBT
CORP
FR
N
2
2022-07-20
Variable
0.02549130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2027#MA1219
31418AK98
875541.45360000
PA
USD
909636.53000000
0.001966003003
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/49#BN6683
3140JPM93
9590572.86500000
PA
USD
9974447.05000000
0.021557833499
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2046#BC0289
3140EUKB4
80013.68690000
PA
USD
86744.50000000
0.000187481419
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.625% 12/15/2029 144A
15135BAS0
7750000.00000000
PA
USD
8292500.00000000
0.017922631039
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.04625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 06/01/2043#AT5890
3138WTRL2
25231.16550000
PA
USD
26105.74000000
0.000056422495
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.02500000
N
N
N
N
N
N
CALIFORNIA ST
N/A
CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA
13063A5E0
630000.00000000
PA
USD
1044281.70000000
0.002257012434
Long
DBT
MUN
US
N
2
2034-04-01
Fixed
0.07500000
N
N
N
N
N
N
LBC Tank Terminals Holding Netherlands BV
213800O43KFINF83HN59
LBC TANK TERMINALS HOLDING NETHERLANDS BV 6.875% 05/15/2023 144A
50177WAA9
300000.00000000
PA
USD
303006.00000000
0.000654888723
Long
DBT
CORP
NL
N
2
2023-05-15
Fixed
0.06875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15992
3132J7C67
310902.92850000
PA
USD
337199.10000000
0.000728790480
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 07/31/2024
9128282N9
46305000.00000000
PA
USD
48714307.03000000
0.105286530145
Long
DBT
UST
US
N
2
2024-07-31
Fixed
0.02125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3% 09/42 #AP8070
3138MB6G6
458501.42000000
PA
USD
484591.89000000
0.001047351419
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33578
3132QP6Q2
89061.54080000
PA
USD
95426.54000000
0.000206245965
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21605
3132JNYA9
188951.05360000
PA
USD
204755.39000000
0.000442539078
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.5% 04/01/2027
681936BF6
1500000.00000000
PA
USD
1670619.83000000
0.003610720870
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/40 #AA4757
31416NJB9
130054.21500000
PA
USD
141403.49000000
0.000305616228
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.92 01/08/25
N/A
-18000000.00000000
NC
USD
-847504.80000000
-0.00183171731
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 01/10/30 1.92V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-10
0.00000000
USD
0.00000000
USD
-18000000.00000000
USD
1.00000000
1.92000000
USD
2025-01-08
XXXX
-345304.80000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 12/40 #A95831
312944PQ8
1414575.92750000
PA
USD
1565661.69000000
0.003383874199
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE6540
31419HHS4
25392.64430000
PA
USD
28092.09000000
0.000060715606
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2042#AB8144
36178VBM2
35894.44640000
PA
USD
38876.30000000
0.000084023585
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2014-C16
N/A
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2014-C16 3.592% 06/15/2047
61763MAD2
1637170.37000000
PA
USD
1660593.69000000
0.003589051312
Long
ABS-MBS
CORP
US
N
2
2047-06-15
Fixed
0.03592000
N
N
N
N
N
N
UNITED PARCEL SERVICE INC
D01LMJZU09ULLNCY6Z23
UNITED PARCEL SERVICE INC 2.05% 04/01/2021
911312BP0
150000.00000000
PA
USD
150980.42000000
0.000326314906
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
0.02050000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/32#MA3125
31418CPK4
841441.61400000
PA
USD
873945.83000000
0.001888864475
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2049#ZT1863
3132AEB88
1015728.14700000
PA
USD
1054796.81000000
0.002279738805
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 04/01/2041#Q00334
3132GDLP5
33757.22810000
PA
USD
37616.97000000
0.000081301787
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
FEDERAL HOME LOAN BANKS 2.625% 10/01/2020
3130AEWA4
165000.00000000
PA
USD
166390.82000000
0.000359621498
Long
DBT
USGSE
US
N
2
2020-10-01
Fixed
0.02625000
N
N
N
N
N
N
PHILLIPS 66 PARTNERS LP
549300TL5L4IG0H4FX64
PHILLIPS 66 PARTNERS LP 3.75% 03/01/2028
718549AF5
295000.00000000
PA
USD
316289.70000000
0.000683598865
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21835
3132JPBC5
306486.05440000
PA
USD
332121.31000000
0.000717815821
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/46#BC7809
3140F3VB1
195478.42000000
PA
USD
209957.57000000
0.000453782581
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2042#AO3740
3138LUEN1
29201.17280000
PA
USD
32214.25000000
0.000069624855
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04500000
N
N
N
N
N
N
FIDELITY SALEM STREET TRUST
S4W85DGKOEJ24DPRB829
Fidelity Sustainability Bond Index Fund
31635T401
2352250.99530000
NS
USD
25568968.32000000
0.055262367832
Long
EC
RF
US
N
1
N
N
N
BAYVIEW COML ASSET TR 2007 1
N/A
BAYC 2007-1 A2 1ML+27 3/37
07325MAB0
37332.82980000
PA
USD
35238.46000000
0.000076161099
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
0.01896750
N
N
N
N
N
N
FIDELITY SALEM STREET TRUST
S4W85DGKOEJ24DPRB829
Fidelity Sai Total Bond Fund
31635T849
624676930.23200000
NS
USD
6721523769.30000000
14.52727049008
Long
EC
RF
US
N
1
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2047#MA4900
36179TNR2
1859362.46750000
PA
USD
1956207.73000000
0.004227963748
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.3% 1/11/23
06051GEU9
3572000.00000000
PA
USD
3734533.54000000
0.008071470212
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
0.03300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2046#BE4488
3140FP7A1
268008.00320000
PA
USD
291474.33000000
0.000629965254
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.04500000
N
N
N
N
N
N
SUMITOMO MITSUI BKG CORP
5U0XI89JRFVHWIBS4F54
SUMITOMO MITSUI BKG CORP 3.95% 07/19/2023
865622BE3
250000.00000000
PA
USD
269418.69000000
0.000582296264
Long
DBT
CORP
JP
N
2
2023-07-19
Fixed
0.03950000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #743665
3620AYFE1
75537.91370000
PA
USD
84283.44000000
0.000182162315
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 6.375% 05/15/2029
64110LAX4
55000.00000000
PA
USD
62980.50000000
0.000136120140
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
0.06375000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 5.35% 9/01/40
04650NAB0
59000.00000000
PA
USD
74116.98000000
0.000160189482
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
0.05350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 03/01/2043#AR9126
3138W7D84
123025.58240000
PA
USD
127289.96000000
0.000275112570
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.02500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 5.125% 07/20/45
126650CN8
125000.00000000
PA
USD
152318.80000000
0.000329207555
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
0.05125000
N
N
N
N
N
N
TELECOM ITALIA SPA NEW
549300W384M3RI3VXU42
TELECOM ITALIA SPA NEW 5.303% 05/30/2024 144A
87927YAA0
1100000.00000000
PA
USD
1174250.00000000
0.002537913716
Long
DBT
CORP
IT
N
2
2024-05-30
Fixed
0.05303000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#BC0532
3140EUSW0
125147.68200000
PA
USD
134534.73000000
0.000290770735
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2043#AV2959
3138XEJD1
16123.07130000
PA
USD
17837.09000000
0.000038551411
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2031#AS8388
3138WJKA5
1088588.39000000
PA
USD
1128364.43000000
0.002438740953
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C32
N/A
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C32 A3 3.459% 12/15/2049
61691GAR1
5100000.00000000
PA
USD
5612712.18000000
0.012130789210
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
0.03459000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.00% 2/27 #AB4420
31417A4E6
774513.07890000
PA
USD
804673.93000000
0.001739146693
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
0.03000000
N
N
N
N
N
N
AMERADA HESS CORP
N/A
AMERADA HESS CO 7.125% 3/15/33
023551AM6
1335000.00000000
PA
USD
1692396.31000000
0.003657786510
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
0.07125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 06/01/2039#AL6611
3138EPKZ6
676721.09040000
PA
USD
757371.49000000
0.001636911640
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
AVOLON HLDGS FDG LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 3.625% 05/01/2022 144A
05401AAE1
2155000.00000000
PA
USD
2205988.59000000
0.004767816650
Long
DBT
CORP
KY
N
2
2022-05-01
Fixed
0.03625000
N
N
N
N
N
N
MORGAN STANLEY CAP CITIGROUP TR 2016-SNR
N/A
MORGAN STANLEY CAP CITIGROUP TR 2016-SNR A CSTR 11/15/2034 144A
61691CAA7
511908.53000000
PA
USD
517475.02000000
0.001118421930
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Variable
0.03348000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 09/15/2043#711804
36297GX96
935476.77940000
PA
USD
992617.67000000
0.002145350649
Long
ABS-MBS
USGA
US
N
2
2043-09-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2042#AJ2623
3138AT4H0
31449.99950000
PA
USD
34101.14000000
0.000073703002
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 10/01/2042#Q12090
3132HNKB4
360765.08280000
PA
USD
379439.55000000
0.000820085023
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2048#Q54192
3132XWUS8
82093.76500000
PA
USD
88472.86000000
0.000191216934
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/41 #783501
36241L3J3
86411.40150000
PA
USD
96496.83000000
0.000208559189
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.05000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 5.71% 01/15/2026 144A
46115HAW7
7646000.00000000
PA
USD
8316591.28000000
0.017974699670
Long
DBT
CORP
IT
N
2
2026-01-15
Fixed
0.05710000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV1.75 MAC 03/18/2022
N/A
116599000.00000000
NC
USD
1634232.79000000
0.003532077338
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2022-03-18
0.00000000
USD
0.00000000
USD
116910068.78000000
USD
1634232.79000000
N
N
N
CORPORACION NACIONAL DEL COBRE DE CHILE
549300UVMBCBCIPSUI70
CORPORACION NACIONAL DEL COBRE DE CHILE 4.5% 08/01/2047 144A
21987BAX6
1715000.00000000
PA
USD
1965818.75000000
0.004248736104
Long
DBT
CORP
CL
N
2
2047-08-01
Fixed
0.04500000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 3.45% 07/27/2026
25466AAJ0
435000.00000000
PA
USD
463394.54000000
0.001001537457
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
0.03450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 11/01/2032#G18665
3128MMW33
344665.64800000
PA
USD
355031.81000000
0.000767332425
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 0% 06/01/2048#MA5266
36179TZ73
12740199.46400000
PA
USD
13713786.40000000
0.029639690539
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/01/2050 #TBA
21H022630
84600000.00000000
PA
USD
86840681.76000000
0.187689297363
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BC4754
3140F0H80
3778123.87700000
PA
USD
4125268.48000000
0.008915968031
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2042#AK6743
3138EBP58
216278.94230000
PA
USD
234814.74000000
0.000507506535
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/45#AZ3341
3138YUWB3
226617.52580000
PA
USD
244677.88000000
0.000528823800
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2044#G07922
3128MAD30
3356944.53200000
PA
USD
3629377.03000000
0.007844194803
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 06/01/2043#Q19747
3132JBHZ9
72435.79320000
PA
USD
78494.50000000
0.000169650643
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.04000000
N
N
N
N
N
N
PUBLIC SERVICE ELEC and GAS CO
549300RUHPVD434XUK18
PUBLIC SVC ELEC GAS CO SCD MTN 3.6% 12/01/2047
74456QBT2
260000.00000000
PA
USD
306378.25000000
0.000662177188
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
0.03600000
N
N
N
N
N
N
BX TR 2018-IND
N/A
BX COML MTG TR 2018-IND F 1ML+188.9 11/15/2035 144A
056059AQ1
2713900.00000000
PA
USD
2718256.90000000
0.005874985286
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Variable
0.03458500
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 2.5675 04/04/2022
N/A
3000000.00000000
NC
USD
7845.99000000
0.000016957586
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 4/29 2.5675V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-06
0.00000000
USD
0.00000000
USD
3000000.00000000
USD
1.00000000
2.56750000
USD
2022-04-04
XXXX
-75666.51000000
N
N
N
THUNDERBOLT III AIRCRAFT LEASE LTD
N/A
THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A
88607AAA7
10047321.87000000
PA
USD
10159530.36000000
0.021957855191
Long
ABS-CBDO
CORP
US
N
2
2039-11-15
Fixed
0.03671000
N
N
N
N
N
N
DELL EQUIP FIN TR 2019-2
N/A
DELL EQUIP FIN TR 2019-2 1.91% 10/22/2024 144A
24703KAC9
6242000.00000000
PA
USD
6321994.35000000
0.013663765109
Long
ABS-CBDO
CORP
US
N
2
2024-10-22
Fixed
0.01910000
N
N
N
N
N
N
PUBLIC SERVICE ELEC and GAS CO
549300RUHPVD434XUK18
PUBLIC SVC ELEC 3.95% 5/01/42
74456QAZ9
405000.00000000
PA
USD
488404.77000000
0.001055592220
Long
DBT
CORP
US
N
2
2042-05-01
Fixed
0.03950000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
GENERAL MOTORS CO 6.25% 10/02/2043
37045VAF7
465000.00000000
PA
USD
528362.88000000
0.001141953928
Long
DBT
CORP
US
N
2
2043-10-02
Fixed
0.06250000
N
N
N
N
N
N
SILVERSTONE MASTER ISSUER PLC
549300P6OXWKM20QS303
SILVERSTONE MASTER ISSUER PLC 01/21/2070 144A
82846GAP5
1485000.00000000
PA
USD
1485322.25000000
0.003210236076
Long
ABS-CBDO
CORP
GB
N
2
2070-01-21
Variable
0.02369130
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027
105340AQ6
5608000.00000000
PA
USD
6158733.25000000
0.013310907893
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
0.03950000
N
N
N
N
N
N
SAPPHIRE AVIATION FINANCE
N/A
SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A
80307AAA7
7806000.00000000
PA
USD
7805880.57000000
0.016870897484
Long
ABS-CBDO
CORP
US
N
2
2040-03-15
Fixed
0.03228000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2042#Q11138
3132HMHP9
232694.88400000
PA
USD
252594.37000000
0.000545933758
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
N
N
N
N
N
N
UBS COML MTG TR 2018-C13
N/A
UBS COML MTG TR 2018-C13 A3 4.0694% 10/15/2051
90353KAX7
6000000.00000000
PA
USD
6903847.80000000
0.014921328534
Long
ABS-MBS
CORP
US
N
2
2051-10-15
Fixed
0.04069400
N
N
N
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
DDR CORP 3.625% 02/01/2025
23317HAD4
2396000.00000000
PA
USD
2543959.90000000
0.005498276112
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.03625000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 4.75% 08/15/2028
958254AK0
1465000.00000000
PA
USD
1500665.32000000
0.003243397147
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
0.04750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 06/20/2046#MA3736
36179SEH6
3556818.13720000
PA
USD
3758748.31000000
0.008123805743
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AT5989
3138WTUP9
584651.19000000
PA
USD
614996.81000000
0.001329196372
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
SAN DIEGO GAS and ELECTRIC CO
KNIRVXKVNJJ4P8OTMS63
SAN DIEGO GAS and ELECTRIC CO
797440BR4
1025000.00000000
PA
USD
1087316.12000000
0.002350022989
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
0.03600000
N
N
N
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON and CO 3.734% 12/15/2024
075887BF5
855000.00000000
PA
USD
926132.92000000
0.002001656752
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
0.03734000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 02/01/2033#ZS8686
3132A9UK1
408110.88300000
PA
USD
423238.21000000
0.000914747335
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
PROLOGIS LP
GL16H1DHB0QSHP25F723
PROLOGIS LP 3.25% 10/01/2026
74340XBK6
2158000.00000000
PA
USD
2347095.25000000
0.005072791339
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
0.03250000
N
N
N
N
N
N
ROCK-TENN COMPANY
PQQ60KVT5SJX0ETQT497
ROCK TENN COMP 4.9% 3/22 WI
772739AL2
185000.00000000
PA
USD
196836.12000000
0.000425423111
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
0.04900000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 05/46#MA3662
36179SB71
2303906.68280000
PA
USD
2410388.64000000
0.005209587730
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.375% 02/15/2023
912828Z86
5770000.00000000
PA
USD
5854070.69000000
0.012652438836
Long
DBT
UST
US
N
2
2023-02-15
Fixed
0.01375000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/48#MA4962
36179TQP3
1932049.89130000
PA
USD
2032681.10000000
0.004393246111
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
0.03500000
N
N
N
N
N
N
IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
IPALCO ENTERPRISES INC 3.45% 07/15/2020
462613AK6
8163000.00000000
PA
USD
8200835.10000000
0.017724515129
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
0.03450000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042
3137AWAE5
1004213.97160000
PA
USD
1011655.60000000
0.002186497444
Long
ABS-CBDO
USGSE
US
N
2
2042-06-15
Fixed
0.01750000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2016-UBS12
N/A
MORGAN STANLEY TR 2016-UBS12 A3 3.337% 12/15/2049
61691EAZ8
2000000.00000000
PA
USD
2183562.80000000
0.004719347653
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
0.03337000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 06/20/2046#MA3737
36179SEJ2
791343.37830000
PA
USD
842681.86000000
0.001821293465
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.04000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.8% 08/15/2038
125523AJ9
4840000.00000000
PA
USD
5820190.12000000
0.012579212553
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
0.04800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2043#AB9376
31417GM29
2038772.60010000
PA
USD
2186637.03000000
0.004725992005
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 03/01/2033#AB0066
31416VCC6
610270.50950000
PA
USD
677707.41000000
0.001464733176
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.05000000
N
N
N
N
N
N
CONSUMER LENDING RECEIVABLES TRUST 2019-A CLRT 2019-A
N/A
CONSUMER LENDING RECEIVABLES TRUST 2019-A CLRT 2019-A A 3.52% 04/15/2026 144A
21053QAA2
958422.99300000
PA
USD
967916.36000000
0.002091963557
Long
ABS-CBDO
CORP
US
N
2
2026-04-15
Fixed
0.03520000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 5.375% 11/15/2029 144A
64110LAU0
120000.00000000
PA
USD
130464.00000000
0.000281972642
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.05375000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042
3136AA2T1
1334373.19860000
PA
USD
1343290.55000000
0.002903262093
Long
ABS-CBDO
USGSE
US
N
2
2042-06-25
Fixed
0.01750000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.4 02/26/2025
N/A
11700000.00000000
NC
USD
288982.28000000
0.000624579171
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/28/30 1.4%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-28
0.00000000
USD
0.00000000
USD
11700000.00000000
USD
1.00000000
1.40000000
USD
2025-02-26
XXXX
-40665.22000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 12/01/2032#G18669
3128MMW74
6311650.73400000
PA
USD
6501479.94000000
0.014051688414
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 6.2% 03/15/2040
00206RJD5
2433000.00000000
PA
USD
3284096.61000000
0.007097938117
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
0.06200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22486
3132JPXP2
20998.01380000
PA
USD
22754.34000000
0.000049179094
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.0% 01/01/2037#932030
31412QPP8
403995.53730000
PA
USD
477381.81000000
0.001031768229
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.06000000
N
N
N
N
N
N
JP MORGAN RESECURITIZATION TR SER 2012-2
N/A
JPMRR 2012-2 6A1 1ML+21 06/36
46637JCC4
198406.63470000
PA
USD
197790.40000000
0.000427485602
Long
ABS-CBDO
CORP
US
N
2
2036-06-21
Variable
0.01863758
N
N
N
N
N
N
GENERAL ELECTRIC CAPITAL CORP
P0H32NFVTA51I1N8SJ31
GENERAL ELEC CAP CORP MTN BE 3.45% 05/15/2024
36962G7K4
920000.00000000
PA
USD
971756.51000000
0.002100263296
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 12/20/2043#AG8740
36182DV93
685988.99100000
PA
USD
729635.11000000
0.001576964832
Long
ABS-MBS
USGA
US
N
2
2043-12-20
Fixed
0.04000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.6% 05/14/2025
00287YAQ2
2980000.00000000
PA
USD
3214603.84000000
0.006947742967
Long
DBT
CORP
US
N
2
2025-05-14
Fixed
0.03600000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 11/46#MA4071
36179SQY6
1211612.41450000
PA
USD
1307717.39000000
0.002826377604
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 2/41 #AH0067
3138A1CD1
1394245.37750000
PA
USD
1545079.44000000
0.003339389656
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.75% 05/15/2046
00206RCQ3
41715000.00000000
PA
USD
49183920.58000000
0.106301508787
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2039#
312936EZ6
485979.19870000
PA
USD
532030.98000000
0.001149881815
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 5% 08/15/2026 144A
737446AK0
35000.00000000
PA
USD
35700.00000000
0.000077158628
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/41 #762904
36176DKR3
112596.78200000
PA
USD
123990.16000000
0.000267980692
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 10/01/2046#G08732
3128MJY61
2929309.79230000
PA
USD
3050732.61000000
0.006593567074
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03000000
N
N
N
N
N
N
TOWD PT MTG TR 2018-6
N/A
TOWD PT MTG TR 2018-6 3.75% 03/25/2058 144A
89176LAA2
5637551.92630000
PA
USD
5906823.96000000
0.012766454802
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Fixed
0.03750000
N
N
N
N
N
N
HCP INC
PZ9HF5U52KPF0MH0QN75
HCP INC 3.25% 07/15/2026
40414LAQ2
776000.00000000
PA
USD
837166.60000000
0.001809373299
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.03250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 10/20/2047#MA4779
36179TJY2
317806.08860000
PA
USD
336238.87000000
0.000726715129
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2042#C04038
31292LPX7
825132.21120000
PA
USD
881265.87000000
0.001904685322
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/48#CA1199
3140Q8KM6
19705.40600000
PA
USD
21226.57000000
0.000045877115
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #783143
36241LP42
279547.14310000
PA
USD
303381.44000000
0.000655700164
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
NEW YORK and PRESBYTERIAN HOSP
19EOSPKL8HML7MY3UE63
NY and PRESBYTERIAN HOSP 4.024% 08/01/45
649322AA2
550000.00000000
PA
USD
688603.69000000
0.001488283372
Long
DBT
CORP
US
N
2
2045-08-01
Fixed
0.04024000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-IMC D 1ML+185 04/15/2034 144A
05608BAL4
3099000.00000000
PA
USD
3100949.89000000
0.006702101989
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.03558500
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 8/15/39
912834EP9
14380000.00000000
PA
USD
10477618.30000000
0.022645340604
Long
DBT
UST
US
N
2
2039-08-15
Fixed
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2048#BK2527
3140HFYZ6
64027.18000000
PA
USD
68949.77000000
0.000149021560
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GRP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 0 PERP
780099CJ4
200000.00000000
PA
USD
201876.00000000
0.000436315835
Long
EP
CORP
GB
N
2
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 06/47#MA4511
36179TAL9
2895707.25000000
PA
USD
3067278.19000000
0.006629327138
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
0.04000000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS INC 3.15% 03/15/2025
00440EAS6
1615000.00000000
PA
USD
1744439.75000000
0.003770268315
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.03150000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2046#Q41359
3132WEQM7
17359.81300000
PA
USD
18562.50000000
0.000040119244
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3.25% 08/15/2029
126650DG2
1903000.00000000
PA
USD
1996116.70000000
0.004314219249
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2036#889583
31410KJ47
159786.05770000
PA
USD
178515.48000000
0.000385826600
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.05000000
N
N
N
N
N
N
PEMEX PROJ FDG MASTER TR
N/A
PEMEX PROJ FDG MASTER TR 6.625% 06/15/2035
706451BG5
800000.00000000
PA
USD
800400.00000000
0.001729909422
Long
DBT
CORP
MX
N
2
2035-06-15
Fixed
0.06625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 06/01/2044#Q26541
3132M65A4
56507.52650000
PA
USD
61128.01000000
0.000132116342
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04000000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 4.875% 02/15/2024
615369AC9
2720000.00000000
PA
USD
3027395.66000000
0.006543128781
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 09/01/2042#AP6425
3138MAD70
161329.07540000
PA
USD
170509.31000000
0.000368522816
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25146
3132M5L34
178678.96760000
PA
USD
195864.56000000
0.000423323273
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
DRYDEN 72 CLO LTD
N/A
DRYDEN 72 CLO LTD 2019-72A A 3ML+133 05/15/2032 144A
26252NAC3
7149000.00000000
PA
USD
7146140.40000000
0.015444997014
Long
ABS-CBDO
CORP
KY
N
2
2032-05-15
Variable
0.03021750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2049#CA4628
3140QCEA0
13504638.12600000
PA
USD
14580894.31000000
0.031513776176
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.04000000
N
N
N
N
N
N
BNSF FDG TR I
N/A
BNSF FDG TR 6.613/VR 12/15/55
05567SAA0
755000.00000000
PA
USD
834275.00000000
0.001803123667
Long
DBT
CORP
US
N
2
2055-12-15
Variable
0.06613000
N
N
N
N
N
N
PERRIGO FINANCE PLC
549300E86RB6YCTMRM83
PERRIGO FINANCE PLC 3.5% 12/15/2021
714295AB8
400000.00000000
PA
USD
409625.60000000
0.000885326318
Long
DBT
CORP
IE
N
2
2021-12-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2041#AJ2399
3138ATUZ1
81550.80270000
PA
USD
90092.91000000
0.000194718358
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT JUN20 FVM0
N/A
-149.00000000
NC
USD
-203730.25000000
-0.00044032343
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UNDERLYING TREAS 5 YEAR NOTE GENERIC IV FOR FUTURES TRADING
2020-06-30
-18086019.75000000
USD
-203730.25000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/01/2039#A86705
312933NW0
376845.59100000
PA
USD
417801.70000000
0.000902997373
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 03/01/2031#BC4411
3140EY3V1
2080930.60160000
PA
USD
2203218.57000000
0.004761829789
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
0.03500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3% 09/15/23
00912XAT1
800000.00000000
PA
USD
824142.38000000
0.001781223973
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 6/41 #G06596
3128M8UV4
740722.47470000
PA
USD
833285.53000000
0.001800985119
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/01/2045#G61807
31335CAG9
507748.61500000
PA
USD
553708.75000000
0.001196734112
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
WALGREENS BOOTS ALLIANCE INC
549300RPTUOIXG4LIH86
WALGREENS BOOTS ALLIANCE INC 3.3% 11/18/2021
931427AF5
2632000.00000000
PA
USD
2700163.30000000
0.005835879478
Long
DBT
CORP
US
N
2
2021-11-18
Fixed
0.03300000
N
N
N
N
N
N
ISRAEL, STATE OF
213800T8ZHTFZIBYPE21
ISRAEL GLBL 5.5% 12/4/23
46513EGV8
180000.00000000
PA
USD
209588.72000000
0.000452985384
Long
DBT
NUSS
IL
N
2
2023-12-04
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2045#BA4471
3140E86H6
16924.13430000
PA
USD
18318.72000000
0.000039592361
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2042#C03901
31292LKN4
709249.86000000
PA
USD
765479.12000000
0.001654434710
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
PUBLIC SERVICE ELEC and GAS CO
549300RUHPVD434XUK18
PUBLIC SVC ELEC MTN 3.65% 9/42
74456QBA3
125000.00000000
PA
USD
145569.54000000
0.000314620338
Long
DBT
CORP
US
N
2
2042-09-01
Fixed
0.03650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2044#G08597
3128MJUX6
187374.50000000
PA
USD
198833.37000000
0.000429739780
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 05/01/2042#AL5788
3138ENNE5
1015682.27240000
PA
USD
1138559.31000000
0.002460775210
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/41 #AB3867
31417AJM2
9315.98470000
PA
USD
9988.73000000
0.000021588703
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2034#G16829
3128MFY28
2753273.60700000
PA
USD
2884932.95000000
0.006235223254
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.431/VAR 01/23/2030
6174468G7
6039000.00000000
PA
USD
7013356.54000000
0.015158010444
Long
DBT
CORP
US
N
2
2030-01-23
Variable
0.04431000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 05/01/2029#AS2369
3138WBT39
492135.51930000
PA
USD
518995.54000000
0.001121708239
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.03500000
N
N
N
N
N
N
MYLAN NV
549300A0CD4KNFGIIS89
MYLAN NV 3.15% 06/15/2021
62854AAM6
5494000.00000000
PA
USD
5581503.60000000
0.012063337915
Long
DBT
CORP
NL
N
2
2021-06-15
Fixed
0.03150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE8956
31419K5S0
24762.92670000
PA
USD
27395.43000000
0.000059209910
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 4.1% 02/09/2027
254709AM0
645000.00000000
PA
USD
704472.94000000
0.001522581679
Long
DBT
CORP
US
N
2
2027-02-09
Fixed
0.04100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AB7936
31417EZA2
2249881.62110000
PA
USD
2366659.03000000
0.005115074656
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/01/2046#G61420
31335BSH0
5994919.59600000
PA
USD
6419614.09000000
0.013874751251
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.7% 10/27/2022
172967LQ2
50590000.00000000
PA
USD
52069009.27000000
0.112537068643
Long
DBT
CORP
US
N
2
2022-10-27
Fixed
0.02700000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/47#784304
3622A2X98
4181413.20650000
PA
USD
4473589.87000000
0.009668797185
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 2007 3
N/A
BAYVIEW COML ASSET TR 2007 3 1ML+50 07/25/2037 144A
07325YAF5
54933.14650000
PA
USD
51467.93000000
0.000111237952
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.02126750
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
ABBOTT LABORATORIES 3.75% 11/30/2026
002824BF6
937000.00000000
PA
USD
1056865.11000000
0.002284209035
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
0.03750000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 3.0% 11/15/2021
3137AJAX2
68474.65500000
PA
USD
1216.16000000
0.000002628494
Long
ABS-CBDO
USGSE
US
N
2
2021-11-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 12/15/2042#AA8612
36178GR97
128446.77250000
PA
USD
134188.19000000
0.000290021756
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY CAP CITIGROUP TR 2016-SNR
N/A
MSCCG 2016-SNR B 4.181% 11/34
61691CAG4
1796900.00000000
PA
USD
1830496.82000000
0.003956263988
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Fixed
0.04181000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.97 08/01/2024
N/A
-17000000.00000000
NC
USD
-827132.62000000
-0.00178768679
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 8/05/29 1.97V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-08-05
0.00000000
USD
0.00000000
USD
-17000000.00000000
USD
1.00000000
1.97000000
USD
2024-08-01
XXXX
-354532.62000000
N
N
N
FIRSTKEY MTG TR 2015-1
N/A
FIRSTKEY MORTGAGE TRUST 2015-1 A9 VAR 03/25/2045 144A
33767CAP2
1097056.09120000
PA
USD
1109274.55000000
0.002397481878
Long
ABS-CBDO
CORP
US
N
2
2045-03-25
Variable
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2046#Q43328
3132WGVW4
212755.15470000
PA
USD
226696.98000000
0.000489961571
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
SALT RIVER PROJ AZ AGRIC and PWR
N/A
SALT RIVER PROJ ARIZ AGRIC IMPT and PWR DIST ELEC SYS REV BUILD AMERICA BONDS
79575DE63
750000.00000000
PA
USD
1054800.00000000
0.002279745700
Long
DBT
MUN
US
N
2
2041-01-01
Fixed
0.04839000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.8% 01/31/2028
14040HBW4
7795000.00000000
PA
USD
8505994.81000000
0.018384058679
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
0.03800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 2/43 #AB8500
31417FNS3
704818.11160000
PA
USD
746686.99000000
0.001613819164
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 06/01/2031#J34501
31307RAA3
1809393.54800000
PA
USD
1875687.01000000
0.004053933822
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2045#AY2848
3138YGEW8
688281.82150000
PA
USD
719489.41000000
0.001555036868
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.03000000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
ARAMARK SERVICES INC 5% 04/01/2025 144A
038522AP3
300000.00000000
PA
USD
309750.00000000
0.000669464572
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 10/40 #004835
36202FLQ7
528209.79560000
PA
USD
587474.78000000
0.001269712840
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.05000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2019-BROOK
N/A
J P MORGAN CHASE COML MTG SECS TR 2019-BROOK 1ML+90 09/15/2029 144A
46591JAA4
6300000.00000000
PA
USD
6301950.48000000
0.013620444170
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Variable
0.02658500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 09/01/2040#AE3951
31419EL98
42033.61730000
PA
USD
45701.71000000
0.000098775385
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.04000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV1.75 MAC 03/18/25
N/A
-1580000.00000000
NC
USD
-34680.89000000
-0.00007495601
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2025-03-18
0.00000000
USD
0.00000000
USD
-1607270.80000000
USD
-34680.89000000
N
N
N
SOUTHWEST AIRLINES CO
UDTZ87G0STFETI6HGH41
SOUTHWEST AIRLINES CO 2.625% 02/10/2030
844741BF4
735000.00000000
PA
USD
738357.84000000
0.001595817321
Long
DBT
CORP
US
N
2
2030-02-10
Fixed
0.02625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2043#AB7964
31417EZ61
4244085.47040000
PA
USD
4614227.87000000
0.009972758956
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.69% 01/23/2050 144A
71654QCW0
80620000.00000000
PA
USD
84167280.00000000
0.181911257765
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
0.07690000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 04/01/2041#Q00409
3132GDN24
116241.64730000
PA
USD
129532.51000000
0.000279959407
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2045#AS6328
3138WGA61
580352.60550000
PA
USD
614463.53000000
0.001328043790
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.03500000
N
N
N
N
N
N
BBCMS MTG TR 2019-C4
N/A
BBCMS MTG TR 2019-C4 2.661% 08/15/2052
07335CAE4
4000000.00000000
PA
USD
4211544.80000000
0.009102437570
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
0.02661000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-94 SA 1ML+610 07/41
38377WN83
183022.34800000
PA
USD
33349.31000000
0.000072078067
Long
ABS-CBDO
USGA
US
N
2
2041-07-20
Variable
0.04453000
N
N
N
N
N
N
PRESIDENT and FELLOWS HARVARD CO LLEGE
6S3X7J22E861RNTJSA74
PRESIDENT and FELLOWS HARVARD CO 3.3% 07/15/2056
740816AN3
190000.00000000
PA
USD
228404.11000000
0.000493651201
Long
DBT
CORP
US
N
2
2056-07-15
Fixed
0.03300000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.875% 01/16/2024
00774MAK1
6861000.00000000
PA
USD
7465959.96000000
0.016136224988
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
0.04875000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 2.876%/VAR 10/31/2022
38148YAC2
12744000.00000000
PA
USD
12996323.04000000
0.028089032585
Long
DBT
CORP
US
N
2
2022-10-31
Variable
0.02876000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE3886
31419EJ83
49206.79780000
PA
USD
54437.89000000
0.000117656945
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
TIME WARNER CABLE INC
B1WXCWLJVJXMWJX6O298
TIME WARNER CABLE INC 6.55% 05/01/2037
88732JAJ7
8522000.00000000
PA
USD
11101835.91000000
0.023994465947
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
0.06550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 2/41 #A97040
312945ZD3
1224908.22640000
PA
USD
1336166.64000000
0.002887865142
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1612
3138WAYJ0
485399.92420000
PA
USD
512716.39000000
0.001108137073
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
ARAMARK SERVICES INC 4.75% 06/01/2026
038522AN8
100000.00000000
PA
USD
103500.00000000
0.000223695183
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 02/01/2049#ZN3231
3131Y9SU8
632329.68600000
PA
USD
656651.43000000
0.001419224757
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.03500000
N
N
N
N
N
N
NATIONSTAR HECM LOAN TRUST
N/A
NATIONSTAR HECM LOAN TRUST 3.5545% 11/25/2028 144A
63863BAA7
3392625.43200000
PA
USD
3387980.93000000
0.007322463934
Long
ABS-CBDO
CORP
US
N
2
2028-11-25
Fixed
0.03554500
N
N
N
N
N
N
EMERA US FINANCE LP
N/A
EMERA US FINANCE LP 3.55% 06/15/2026
29103DAJ5
2020000.00000000
PA
USD
2193308.22000000
0.004740410489
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.03550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/01/2046#Q40165
3132WDFF6
41064.10560000
PA
USD
43343.72000000
0.000093679047
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/45#MA3173
36179RQ28
330317.94480000
PA
USD
350516.13000000
0.000757572658
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
0.03500000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
LEVEL 3 FINANCING INC 5.125% 05/01/2023
527298BF9
900000.00000000
PA
USD
902250.00000000
0.001950038451
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.05125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2043#Q15174
3132J6FQ2
33014.94130000
PA
USD
35838.30000000
0.000077457537
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.04000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 4.3% 03/25/2028
126650CX6
20029000.00000000
PA
USD
22413515.54000000
0.048442468413
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
0.04300000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.8% 02/15/2029
55336VAS9
2855000.00000000
PA
USD
3198886.03000000
0.006913771968
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.04800000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 4.682%/VAR 08/09/2028
25466AAN1
3503000.00000000
PA
USD
3722638.10000000
0.008045760525
Long
DBT
CORP
US
N
2
2028-08-09
Variable
0.04682000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2044#AL5426
3138ENA41
1516009.36790000
PA
USD
1594696.01000000
0.003446626253
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.03000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS 4.25% 03/14/24
404280AP4
1872000.00000000
PA
USD
2012403.73000000
0.004349420507
Long
DBT
CORP
GB
N
2
2024-03-14
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/46#BC2843
3140EXER0
4267033.96100000
PA
USD
4659100.99000000
0.010069743505
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 4.5% 08/15/2030 144A
1248EPCE1
180000.00000000
PA
USD
182025.00000000
0.000393411747
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2047#MA4586
36179TCX1
14888636.33310000
PA
USD
15673419.33000000
0.033875057193
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 10/01/2049#QA3257
31339STN5
5881075.50300000
PA
USD
6145893.28000000
0.013283156787
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34677
31307RFS9
42259.62400000
PA
USD
44465.33000000
0.000096103190
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 11/30/2025
9128285N6
476344000.00000000
PA
USD
526602012.25000000
1.138148154369
Long
DBT
UST
US
N
2
2025-11-30
Fixed
0.02875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7567
31417EMR9
492082.44780000
PA
USD
521160.24000000
0.001126386818
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 8/40 #G08417
3128MJPB0
379643.07600000
PA
USD
424237.17000000
0.000916906393
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.05000000
N
N
N
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
NUTRIEN LTD 5.25% 01/15/2045
67077MAS7
180000.00000000
PA
USD
225900.48000000
0.000488240091
Long
DBT
CORP
CA
N
2
2045-01-15
Fixed
0.05250000
N
N
N
N
N
N
BANK 2019-BN24
N/A
BANK 2019-BN24 2.96% 11/15/2062
06540VBB0
2500000.00000000
PA
USD
2719428.50000000
0.005877517472
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Fixed
0.02960000
N
N
N
N
N
N
SUNTRUST BANK
IYDOJBGJWY9T8XKCSX06
SUNTRUST BANKS INC 2.75% 5/1/23
86787EAN7
645000.00000000
PA
USD
669893.52000000
0.001447844967
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.02750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/41 #005203
36202FX84
4277770.48020000
PA
USD
4604752.99000000
0.009952280840
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 11/42 #MA0534
36179MSX9
709386.88250000
PA
USD
754316.04000000
0.001630307877
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.03500000
N
N
N
N
N
N
WILLIAMS PARTNERS L P NEW
WUURD1P1N0874ONXXO03
WILLIAMS PARTNERS L P NEW 3.75% 06/15/2027
96949LAD7
1635000.00000000
PA
USD
1714963.17000000
0.003706560403
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.03750000
N
N
N
N
N
N
CHEVRON CORP NEW
N/A
CHEVRON CORP NEW 2.355% 12/05/2022
166764AB6
840000.00000000
PA
USD
860828.25000000
0.001860513369
Long
DBT
CORP
US
N
2
2022-12-05
Fixed
0.02355000
N
N
N
N
N
N
QUICKEN LOANS INC
549300FGXN1K3HLB1R50
QUICKEN LOANS INC 5.25% 01/15/2028 144A
74840LAB8
600000.00000000
PA
USD
620820.00000000
0.001341782068
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.05250000
N
N
N
N
N
N
CSX CORP
549300JVQR4N1MMP3Q88
CSX CORP 3.4% 08/01/2024
126408HB2
1700000.00000000
PA
USD
1818797.82000000
0.003930978868
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
0.03400000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 3% 06/15/2022
87166FAA1
5477000.00000000
PA
USD
5631792.01000000
0.012172026564
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.03000000
N
N
N
N
N
N
NEW YORK and PRESBYTERIAN HOSP
19EOSPKL8HML7MY3UE63
NEW YORK and PRESBYTERIAN HOSP 4.063% 8/1/56
649322AD6
540000.00000000
PA
USD
674479.33000000
0.001457756306
Long
DBT
CORP
US
N
2
2056-08-01
Fixed
0.04063000
N
N
N
N
N
N
HEWLETT PACKARD ENTERPRISE CO
549300BX44RGX6ANDV88
HEWLETT PACKARD ENTERPRISE CO VAR 10/15/2022
42824CAN9
5700000.00000000
PA
USD
6075656.90000000
0.013131354469
Long
DBT
CORP
US
N
2
2022-10-15
Variable
0.04400000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.785 10/24/24
N/A
28800000.00000000
NC
USD
472236.77000000
0.001020648223
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 10/29 1.785V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-10-28
0.00000000
USD
0.00000000
USD
28800000.00000000
USD
1.00000000
1.78500000
USD
2024-10-24
XXXX
-327683.23000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AT4139
36194CS46
6283570.66700000
PA
USD
6701178.03000000
0.014483297119
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/41 #AH8029
3138A94P6
308861.06100000
PA
USD
341599.04000000
0.000738300097
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2.5% 02/05/2024
3135G0V34
665000.00000000
PA
USD
703796.06000000
0.001521118735
Long
DBT
USGSE
US
N
2
2024-02-05
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #782989
36241LKA3
146549.23950000
PA
USD
161561.36000000
0.000349183556
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2046#BD2680
3140F96S9
551596.58480000
PA
USD
596273.59000000
0.001288729762
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2044#G60271
31335AJQ2
1668411.12700000
PA
USD
1801203.97000000
0.003892953172
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.03500000
N
N
N
N
N
N
JOHNSON and JOHNSON
549300G0CFPGEF6X2043
JOHNSON and JOHNSON 2.45% 03/01/26
478160BY9
45000.00000000
PA
USD
47329.35000000
0.000102293214
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
0.02450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90806
3132J23P6
1349819.24400000
PA
USD
1411236.56000000
0.003050114220
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/36 #888342
31410F5B7
260438.60620000
PA
USD
302608.77000000
0.000654030187
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.06000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMC CO 4.625% 5/10/21
46625HHZ6
1718000.00000000
PA
USD
1781341.37000000
0.003850024013
Long
DBT
CORP
US
N
2
2021-05-10
Fixed
0.04625000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.9% 12/15/2048
125523AK6
4836000.00000000
PA
USD
6000061.71000000
0.012967970122
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
0.04900000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2044#MA2074
36179QJT9
1217862.84030000
PA
USD
1307908.70000000
0.002826791083
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
0.04000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT CORP 6.125% 02/01/2025
26884LAH2
277000.00000000
PA
USD
210630.80000000
0.000455237638
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.06125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2049#MA3802
31418DGL0
1019572.88500000
PA
USD
1050826.67000000
0.002271158117
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 6/35 #735580
31402RFV6
118345.78260000
PA
USD
132491.31000000
0.000286354279
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2044#Q30880
3132QL6S7
321881.71720000
PA
USD
351030.17000000
0.000758683656
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 12/40 #004882
36202FM78
35857.15970000
PA
USD
38665.23000000
0.000083567398
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 08/15/2040#721759
3620A7ZY4
226319.64740000
PA
USD
245615.75000000
0.000530850824
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #430354
36207FBX8
645887.23640000
PA
USD
700350.32000000
0.001513671436
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
CONOCO INC
N/A
CONOCO INC 6.95% 04/15/2029
208251AE8
425000.00000000
PA
USD
579584.98000000
0.001252660567
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.06950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 01/01/2041#A96537
312945HN1
71147.20120000
PA
USD
79282.04000000
0.000171352758
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/40 #737311
3620ARDQ1
114834.08920000
PA
USD
127913.88000000
0.000276461052
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.05000000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.25% 12/15/2027 144A
15135BAQ4
5580000.00000000
PA
USD
5740704.00000000
0.012407418715
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 05/01/2046#AS7155
3138WG5R1
2070192.39940000
PA
USD
2159529.07000000
0.004667403405
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2046#BE2386
3140FMUL8
137597.98580000
PA
USD
149731.83000000
0.000323616321
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 12/01/2047#G61305
31335BNW2
7189542.41000000
PA
USD
7676310.38000000
0.016590856639
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
NAKILAT INC
2549006RMTDJWLLWF072
NAKILAT INC 6.067% 12/33 144A
62983PAA3
666000.00000000
PA
USD
808149.38000000
0.001746658204
Long
DBT
CORP
MH
N
2
2033-12-31
Fixed
0.06067000
N
N
N
N
N
N
ALTICE FING SA
549300DIYGW8HVDF7Q17
ALTICE FING SA 5% 01/15/2028 144A
02154CAF0
200000.00000000
PA
USD
193980.00000000
0.000419250162
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 4/40 #A91937
312940EJ4
40052.11980000
PA
USD
44919.48000000
0.000097084747
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.05000000
N
N
N
N
N
N
CAPITAL ONE NATL ASSN MCLEAN VA
207ALC1P1YM0OVDV0K75
CAPITAL ONE NATL ASN MCLEAN VA 2.95% 07/23/2021
14042E3Y4
5551000.00000000
PA
USD
5654422.85000000
0.012220938737
Long
DBT
CORP
US
N
2
2021-07-23
Fixed
0.02950000
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP 1ML+215 03/15/2036 144A
74952PAJ6
8731000.00000000
PA
USD
8750241.38000000
0.018911950287
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.03758500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2046#MA4004
36179SNV5
347697.37460000
PA
USD
367437.09000000
0.000794144033
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783276
36241LT97
26370.06690000
PA
USD
29071.35000000
0.000062832086
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.0% 10/01/2027#AP6647
3138MAL55
1137441.15070000
PA
USD
1183867.74000000
0.002558700597
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/34#FM0045
3140X3BP2
2003979.15500000
PA
USD
2110824.71000000
0.004562138373
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM 5.125% 03/15/2027
00774CAB3
600000.00000000
PA
USD
619962.00000000
0.001339927667
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AP7882
3138MBXL5
95699.20090000
PA
USD
102639.90000000
0.000221836244
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046
38379WN73
818997.49100000
PA
USD
856017.24000000
0.001850115303
Long
ABS-CBDO
USGA
US
N
2
2046-02-20
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25
N/A
MSBAM 2015-C25 XA CSTR 10/48
61765TAG8
10889144.32770000
PA
USD
504503.86000000
0.001090387282
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
0.01092459
N
N
N
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
NOBLE ENERGY INC 6% 3/01/41
655044AE5
360000.00000000
PA
USD
411057.87000000
0.000888421892
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 10/01/2042#AB6390
31417DC43
258846.82000000
PA
USD
272120.17000000
0.000588134990
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.3% 08/15/2039
674599CX1
369000.00000000
PA
USD
354291.35000000
0.000765732064
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
0.04300000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
NORTHROP GRUMMAN 4.75% 6/1/43
666807BH4
820000.00000000
PA
USD
1064432.16000000
0.002300563746
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
0.04750000
N
N
N
N
N
N
CHARLES RIVER LABS INTL INC
549300BSQ0R4UZ5KX287
CHARLES RIVER LABS INTL INC 5.5% 04/01/2026 144A
159864AC1
100000.00000000
PA
USD
105142.50000000
0.000227245129
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2043#G07388
3128M9RH7
390639.44910000
PA
USD
416360.09000000
0.000899881612
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE D CSTR 04/15/2036 144A
12690CAJ2
2066000.00000000
PA
USD
2182178.41000000
0.004716355562
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04782040
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
MARATHON PETROL 5.125% 3/01/21
56585AAD4
2870000.00000000
PA
USD
2951592.44000000
0.006379294818
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.05125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2049#MA5875
36179UQ47
1647199.85000000
PA
USD
1708801.34000000
0.003693242802
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
0.03500000
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GRP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 5.125% 05/28/2024
780099CH8
25198000.00000000
PA
USD
27585319.75000000
0.059620320528
Long
DBT
CORP
GB
N
2
2024-05-28
Fixed
0.05125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2042#Q10164
3132HLFD0
921195.91500000
PA
USD
983864.78000000
0.002126432974
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTY LTD 3.85% 2/01/23
10112RAU8
1175000.00000000
PA
USD
1248343.70000000
0.002698052884
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
0.03850000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 05/01/2036#BM3697
3140J8DB6
261046.93200000
PA
USD
277777.09000000
0.000600361325
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.03500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 4.25% 10/26/2049 144A
110122CD8
1770000.00000000
PA
USD
2276870.46000000
0.004921014070
Long
DBT
CORP
US
N
2
2049-10-26
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 10/34 #AL2130
3138EJLL0
31607.82210000
PA
USD
36797.04000000
0.000079529667
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.06000000
N
N
N
N
N
N
BBCMS TR 2015-STP
N/A
BBCMS 2015-STP A 3.3228% 09/28 144A
05547GAA1
3445144.65370000
PA
USD
3461155.62000000
0.007480616840
Long
ABS-MBS
CORP
US
N
2
2028-09-10
Fixed
0.03322800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2042#AP9743
3138MDZH8
305369.61030000
PA
USD
336306.09000000
0.000726860412
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04500000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 5.15% 03/19/2029
87165BAP8
11000000.00000000
PA
USD
12825679.46000000
0.027720219570
Long
DBT
CORP
US
N
2
2029-03-19
Fixed
0.05150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AS0038
3138W9BG4
853178.32350000
PA
USD
897461.52000000
0.001939689079
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK3455
3138E7ZV9
181634.31550000
PA
USD
197200.96000000
0.000426211642
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/46#BC3920
3140EYLA7
257199.56540000
PA
USD
276411.16000000
0.000597409133
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #737111
3620AQ3U5
59593.30420000
PA
USD
65697.89000000
0.000141993252
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 3.95% 06/01/25
958254AE4
1126000.00000000
PA
USD
1142701.78000000
0.002469728355
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.03950000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 3/20/41 #004984
36202FRD0
122867.68000000
PA
USD
139706.77000000
0.000301949097
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.05500000
N
N
N
N
N
N
MADISON PK FDG X LTD/LLC
N/A
MADISON PK FDG X LTD/LLC 2012-10A AR2 3ML+122 01/20/2029 144A
55818HBE7
3469000.00000000
PA
USD
3467265.50000000
0.007493822161
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Variable
0.03039130
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A
61771LAG7
1495000.00000000
PA
USD
1532127.58000000
0.003311396722
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03177090
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 8/37 #G06089
3128M8C28
60130.69070000
PA
USD
71066.60000000
0.000153596677
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #733607
3620AMAG7
11750.29690000
PA
USD
12953.97000000
0.000027997494
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.125% 07/27/2026
61761J3R8
37616000.00000000
PA
USD
40088890.89000000
0.086644365414
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
0.03125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 2/41 #AE6394
31419HC83
806817.15300000
PA
USD
892336.38000000
0.001928612083
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN
N/A
TARGA RES LP/RES FIN 4.25% 11/15/2023
87612BAP7
600000.00000000
PA
USD
594300.00000000
0.001284464229
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2047#MA2863
31418CFD1
6963029.95120000
PA
USD
7248279.53000000
0.015665750941
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03000000
N
N
N
N
N
N
WASTE MANAGEMENT INC
N/A
WASTE MGMENT MTN 4.6% 3/1/21
941063AQ2
345000.00000000
PA
USD
352226.36000000
0.000761268989
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.04600000
N
N
N
N
N
N
MOOG INC
549300WM2I4U7OBAHG07
MOOG INC 4.25% 12/15/2027 144A
615394AM5
30000.00000000
PA
USD
30525.00000000
0.000065973869
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.04250000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034
3137B9ED3
137294.86200000
PA
USD
10659.86000000
0.000023039220
Long
ABS-CBDO
USGSE
US
N
2
2034-03-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/42 #AL2128
3138EJLJ5
8750.64600000
PA
USD
10407.92000000
0.000022494701
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/41 #AB4115
31417ASD2
10152.09060000
PA
USD
11022.16000000
0.000023822261
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/46#BC1354
3140EVQG5
360603.71850000
PA
USD
385630.05000000
0.000833464588
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.03500000
N
N
N
N
N
N
BANK NOVA SCOTIA BC
N/A
BANK NOVA SCOTIA BC 4.65%/VAR PERP
064159KJ4
12927000.00000000
PA
USD
12716936.25000000
0.027485192204
Long
EP
CORP
CA
N
2
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 05/20/2042#779270
36176XQX0
412648.96650000
PA
USD
440967.04000000
0.000953064764
Long
ABS-MBS
USGA
US
N
2
2042-05-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 12/20/2042#MA0624
36179MVR8
3057960.30310000
PA
USD
3212671.69000000
0.006943567000
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2049#QA0808
31334W3R0
262041.71700000
PA
USD
272694.03000000
0.000589375277
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2% 11/15/26
912828U24
192301000.00000000
PA
USD
204252207.16000000
0.441451546323
Long
DBT
UST
US
N
2
2026-11-15
Fixed
0.02000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.6%/VAR PERP
48128BAG6
490000.00000000
PA
USD
492450.00000000
0.001064335201
Long
EP
CORP
US
N
2
N
N
N
NEXTERA ENERGY OPERATING PARTNERS LP
549300KJEC5IUVJWR786
NEXTERA ENERGY OPERATING PARTNERS LP 4.25% 09/15/2024 144A
65342QAC6
300000.00000000
PA
USD
302010.00000000
0.000652736062
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.04250000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
54930070360RBP384M53
GS MORTGAGE SECURITIES TRUST 2015-GC34 XA CSTR 10/10/2048
36250VAF9
5885017.31820000
PA
USD
336293.43000000
0.000726833049
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
0.01268206
N
N
N
N
N
N
REGENCY ENERGY PARTNERS LP / REGENCY ENERGY FIN CORP
N/A
REGENCY ENGY P LP/ REG EN F CP 5.875% 03/01/2022
75886AAL2
2310000.00000000
PA
USD
2466223.66000000
0.005330264301
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
0.05875000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.3% 02/15/2030
00206RGQ9
3709000.00000000
PA
USD
4248846.40000000
0.009183057747
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2048#Q54499
3132XW7M7
23799.20600000
PA
USD
25648.52000000
0.000055434303
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7458
31417EJC6
616175.66100000
PA
USD
652586.28000000
0.001410438723
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AE8265
31419KFF7
26800.66330000
PA
USD
29139.44000000
0.000062979250
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 08/01/2034#CA4087
3140QBRH3
4499586.43100000
PA
USD
4797193.58000000
0.010368203865
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.8% 06/15/2044
00206RCG5
515000.00000000
PA
USD
604517.96000000
0.001306548369
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
0.04800000
N
N
N
N
N
N
GEMS MENASA KY LTD/GEMS
N/A
GEMS MENASA KY LTD/GEMS 7.125% 07/31/2026 144A
36166LAA5
320000.00000000
PA
USD
329000.00000000
0.000711069715
Long
DBT
CORP
KY
N
2
2026-07-31
Fixed
0.07125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2048#BM5106
3140J9U82
7895088.45300000
PA
USD
8589329.63000000
0.018564170736
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2043#AS0255
3138W9H94
547442.83280000
PA
USD
600850.42000000
0.001298621692
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-150 ZC 4.75% 01/41
31397QAV0
992644.84600000
PA
USD
1128282.52000000
0.002438563920
Long
ABS-CBDO
USGSE
US
N
2
2041-01-25
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 08/01/41#890603
31410LNU2
44597.70630000
PA
USD
50533.23000000
0.000109217779
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.05000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 1.684 01/27/2025
N/A
-8000000.00000000
NC
USD
-318282.72000000
-0.00068790639
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 01/29/30 1.684V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-29
0.00000000
USD
0.00000000
USD
-8000000.00000000
USD
1.00000000
1.68400000
USD
2025-01-27
XXXX
-89162.72000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 04/01/2043#Q16915
3132J8DV9
70541.66570000
PA
USD
74766.30000000
0.000161592862
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA COMMUNICATIONS CORP 4.875% 09/01/2024
78388JAV8
200000.00000000
PA
USD
205376.00000000
0.000443880406
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.04875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/01/2045#Q38812
3132QVYJ4
200114.15480000
PA
USD
215789.10000000
0.000466386303
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 06/01/2045#Q34156
3132QQTN2
1518256.48200000
PA
USD
1603489.12000000
0.003465630855
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2046#Q39936
3132QXBE6
78891.71070000
PA
USD
84775.45000000
0.000183225699
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 3.9% 03/01/2038
20030NCJ8
1317000.00000000
PA
USD
1536649.01000000
0.003321168916
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
0.03900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 1/35 #G06928
3128M9A51
16538.06650000
PA
USD
18466.32000000
0.000039911370
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.05000000
N
N
N
N
N
N
HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP
N/A
HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP 4.625% 04/01/2025
432891AH2
400000.00000000
PA
USD
401500.00000000
0.000867764409
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.04625000
N
N
N
N
N
N
CITIZENS FINANCIAL GRP INC
2138004JDDA4ZQUPFW65
CITIZENS FINANCIAL GRP INC 4.3% 12/03/2025
174610AK1
9918000.00000000
PA
USD
11071043.77000000
0.023927914707
Long
DBT
CORP
US
N
2
2025-12-03
Fixed
0.04300000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 3.85% 04/01/2027
92277GAL1
1050000.00000000
PA
USD
1154845.36000000
0.002495974349
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.03850000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q32124
3132QNLE7
102319.24130000
PA
USD
109631.73000000
0.000236947729
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY CAP CITIGROUP TR 2016-SNR
N/A
MSCCG 2016-SNR C 5.205% 11/34
61691CAJ8
1260550.00000000
PA
USD
1293915.62000000
0.002796547754
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Fixed
0.05205000
N
N
N
N
N
N
CGDB COML MTG TR 2017-BIO
N/A
CGDBB COML MTG TR 2019-MOB B 1ML+125 11/15/36 144A
125284AC3
1400000.00000000
PA
USD
1397363.66000000
0.003020130636
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.02908500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 12/01/2049#
3132DV4P7
27494999.18620000
PA
USD
28337825.39000000
0.061246715576
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
JPMCC 2018-WPT XAFX CSTR 07/23 144A
46645WAW3
10000000.00000000
PA
USD
358383.00000000
0.000774575372
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Variable
0.01116000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 05/01/2031#BC0919
3140EVAV9
2452983.68100000
PA
USD
2537247.60000000
0.005483768777
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/46#AS7319
36193TDY0
105879.75190000
PA
USD
113710.64000000
0.000245763502
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035
31394FGT6
294005.04320000
PA
USD
339841.96000000
0.000734502509
Long
ABS-CBDO
USGSE
US
N
2
2035-09-25
Fixed
0.05900000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 02/20/2043#AD1755
36180C5Q8
2300578.09220000
PA
USD
2450599.25000000
0.005296495168
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2046#BE1671
3140FL2D9
125005.70950000
PA
USD
135716.61000000
0.000293325140
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2007-75 JI 1ML+654.5 08/37
31396W3J3
1100706.62000000
PA
USD
241249.02000000
0.000521412984
Long
ABS-CBDO
USGSE
US
N
2
2037-08-25
Variable
0.04918250
N
N
N
N
N
N
AASET 2018-1 TR
N/A
AASET 2018-1A A 3.844% 1/38 144A
000367AA0
4382223.42350000
PA
USD
4435651.49000000
0.009586800732
Long
ABS-CBDO
CORP
US
N
2
2038-01-16
Fixed
0.03844000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 5.15% 11/15/2046
00206RHA3
10160000.00000000
PA
USD
12604985.20000000
0.027243231714
Long
DBT
CORP
US
N
2
2046-11-15
Fixed
0.05150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2043#AU2854
3138X2E42
375878.78390000
PA
USD
407126.64000000
0.000879925300
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 6/37 #939637
31413ALS0
3756.63640000
PA
USD
4470.98000000
0.000009663156
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
0.06000000
N
N
N
N
N
N
TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12
N/A
WELLS FARGO TR 2013-LC12 2.474% 02/15/2053
95002EBA4
5800000.00000000
PA
USD
6043098.30000000
0.013060985368
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
0.02474000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/44#AW7446
3138XXHY5
657813.16330000
PA
USD
711265.61000000
0.001537262719
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04000000
N
N
N
N
N
N
SUNTRUST BANK
IYDOJBGJWY9T8XKCSX06
SUNTRUST BANK 3.3% 05/15/2026
86787GAJ1
965000.00000000
PA
USD
1042817.13000000
0.002253847050
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.03300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q32008
3132QNGS2
1560528.14360000
PA
USD
1672055.03000000
0.003613822777
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
WELLTOWER INC
T6IZ0MBEG5ACZDTR7D06
WELLTOWER INC 2.7% 02/15/2027
95040QAK0
340000.00000000
PA
USD
353103.48000000
0.000763164713
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AH4404
3138A53N0
1137455.33550000
PA
USD
1236183.05000000
0.002671769997
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2502
3140X5X81
3795918.00000000
PA
USD
3921568.96000000
0.008475711011
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AB2096
31416XKJ8
16050.54420000
PA
USD
17443.68000000
0.000037701132
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/41 #AH6219
3138A74D7
676877.74730000
PA
USD
735628.71000000
0.001589918836
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2041#AJ0998
3138ASDC3
117589.33330000
PA
USD
129906.32000000
0.000280767325
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.2% 08/15/2026
674599CR4
805000.00000000
PA
USD
819604.41000000
0.001771416031
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.03200000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC VAR 08/27/2021
28414HAF0
1274000.00000000
PA
USD
1335769.56000000
0.002887006931
Long
DBT
CORP
US
N
2
2021-08-27
Variable
0.04662000
N
N
N
N
N
N
MCDONALDS CORP
UE2136O97NLB5BYP9H04
MCDONALDS CORP 4.7% 12/09/2035
58013MEZ3
1535000.00000000
PA
USD
1930958.42000000
0.004173392259
Long
DBT
CORP
US
N
2
2035-12-09
Fixed
0.04700000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
EQUIFAX INC 2.6% 12/01/2024
294429AQ8
1245000.00000000
PA
USD
1288526.28000000
0.002784899740
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.02600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2041#Q04127
3132GKHC3
305791.37700000
PA
USD
333470.85000000
0.000720732590
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
CENTURYLINK INC
8M3THTGWLTYZVE6BBY25
CENTURYLINK INC 5.125% 12/15/2026 144A
156700BB1
495000.00000000
PA
USD
498712.50000000
0.001077870380
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.05125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 08/47#MA4653
36179TE27
92080.48900000
PA
USD
97536.27000000
0.000210805737
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
0.04000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 4.78% 03/25/2038
126650CY4
7778000.00000000
PA
USD
9173043.18000000
0.019825754407
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
0.04780000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17612
3132J83W8
9073.46530000
PA
USD
9795.64000000
0.000021171376
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2042#AJ9317
3138E2K79
1201349.44110000
PA
USD
1304308.93000000
0.002819010878
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/20/2046#MA3520
36179R4D8
1563886.65000000
PA
USD
1638609.94000000
0.003541537699
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q12164
3132HNMM8
83761.18480000
PA
USD
90924.23000000
0.000196515095
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2047#BE6506
3140FSGQ0
170661.91410000
PA
USD
185604.78000000
0.000401148747
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 3/41 #A97661
312946QN9
317048.12700000
PA
USD
350811.82000000
0.000758211735
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NISOURCE INC 2.95% 09/01/2029
65473PAH8
11346000.00000000
PA
USD
11892372.19000000
0.025703056851
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
0.02950000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2011-4 PZ 5% 2/41
31397QKY3
451841.77680000
PA
USD
520448.48000000
0.001124848487
Long
ABS-CBDO
USGSE
US
N
2
2041-02-25
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033
3137AXRF2
420120.79430000
PA
USD
44509.99000000
0.000096199713
Long
ABS-CBDO
USGSE
US
N
2
2033-01-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 09/01/2043#Q22102
3132JPKP6
156314.18780000
PA
USD
164503.25000000
0.000355541881
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 8/
N/A
2600000.00000000
NC
USD
21039.98000000
0.000045473837
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
0.00000000
USD
534.40000000
USD
2600000.00000000
USD
21574.38000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 01/31#BA4750
3140E9H41
1392412.47540000
PA
USD
1471193.08000000
0.003179698614
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2034#FM0046
3140X3BQ0
7011073.68600000
PA
USD
7362971.39000000
0.015913635161
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
WASTE MANAGEMENT INC DEL
549300YX8JIID70NFS41
WASTE MGMT INC 2.9% 9/15/22
94106LAY5
375000.00000000
PA
USD
387955.91000000
0.000838491484
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
0.02900000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORPORATION 5.476% 01/25/2039
35137LAD7
2474000.00000000
PA
USD
3172487.09000000
0.006856715778
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
0.05476000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2045#Q37070
3132QT2C9
88012.73980000
PA
USD
94247.77000000
0.000203698282
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.03500000
N
N
N
N
N
N
CITIBANK CR CARD ISSUANCE TR
R8AG6FXVDQAMDKCSJJ64
CITIBANK CR CARD ISSUANCE TR 18-A7 A7 3.96% 10/15/2030
17305EGS8
2100000.00000000
PA
USD
2453691.03000000
0.005303177451
Long
ABS-CBDO
CORP
US
N
2
2030-10-13
Fixed
0.03960000
N
N
N
N
N
N
SHIRE ACQ INV IRELAND DA
549300XK5HGW68R8K327
SHIRE ACQ INV IRELAND DA 3.2% 09/23/2026
82481LAD1
2490000.00000000
PA
USD
2670754.70000000
0.005772318490
Long
DBT
CORP
IE
N
2
2026-09-23
Fixed
0.03200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 10/1/41 #AL1697
3138EH3F7
70863.88600000
PA
USD
77014.66000000
0.000166452256
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2043#AS9172
3138WKFN0
196648.35730000
PA
USD
213180.64000000
0.000460748622
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
HOLOGIC INC
549300DYP6F5ZJL0LB74
HOLOGIC INC 4.375% 10/15/2025 144A
436440AK7
200000.00000000
PA
USD
203690.00000000
0.000440236444
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2039#AV6581
3138XJJ32
567333.22370000
PA
USD
613788.06000000
0.001326583893
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.7% 01/12/2026
172967KG5
4465000.00000000
PA
USD
4884864.71000000
0.010557688016
Long
DBT
CORP
US
N
2
2026-01-12
Fixed
0.03700000
N
N
N
N
N
N
CITIZENS FINANCIAL GRP INC
2138004JDDA4ZQUPFW65
CITIZENS FINANCIAL GRP INC 4.15% 09/28/2022 144A
75524RAA7
3115000.00000000
PA
USD
3302158.26000000
0.007136974872
Long
DBT
CORP
US
N
2
2022-09-28
Fixed
0.04150000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/01/2048#G67713
3132XCSA4
8409174.18900000
PA
USD
9099399.21000000
0.019666587243
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.04000000
N
N
N
N
N
N
FORD MOTOR CO
20S05OYHG0MQM4VUIC57
FORD MOTOR GLBL 6.375 2/01/29
345370BZ2
1255000.00000000
PA
USD
1312216.28000000
0.002836101082
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.06375000
N
N
N
N
N
N
ENABLE MIDSTREAM PARTNERS LP
549300TLGDBYE711G509
ENABLE MIDSTREAM PARTNERS LP VAR 05/15/2024
292480AH3
1210000.00000000
PA
USD
1238216.16000000
0.002676164170
Long
DBT
CORP
US
N
2
2024-05-15
Variable
0.03900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 8/40 #G05969
3128M76E1
189364.37470000
PA
USD
212377.01000000
0.000459011732
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2047#
3128MJ3C2
433207.01000000
PA
USD
467021.59000000
0.001009376622
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 9/42 #Q11420
3132HMSH5
65894.02550000
PA
USD
70706.26000000
0.000152817872
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2049#FM1277
3140X4M37
1672498.04700000
PA
USD
1785927.37000000
0.003859935763
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/39 #698329
36296QY29
26836.69520000
PA
USD
29652.87000000
0.000064088929
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2933 ZM 5.75% 02/15/2035
31395MT74
565335.13900000
PA
USD
671866.78000000
0.001452109786
Long
ABS-CBDO
USGSE
US
N
2
2035-02-15
Fixed
0.05750000
N
N
N
N
N
N
VIACOM INC NEW
X0ST5BPF0CZG9FE5OV61
VIACOM INC 3.875% 4/01/2024
92553PAX0
1380000.00000000
PA
USD
1483972.04000000
0.003207317858
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2042#Q10392
3132HLNH2
5018968.08960000
PA
USD
5360407.99000000
0.011585482619
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/43#MA0935
36179NBC1
303811.38970000
PA
USD
327034.00000000
0.000706820587
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.04000000
N
N
N
N
N
N
JP MORGAN MTG ACQUISITION CORP
N/A
JPMAC 2005-FRE1 A2V3 1ML+33 10/35
46626LCB4
2549593.62920000
PA
USD
2529724.90000000
0.005467509920
Long
ABS-CBDO
CORP
US
N
2
2035-10-25
Variable
0.01956750
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS AA PIPELINE 3.65% 6/22
72650RAZ5
10550000.00000000
PA
USD
10845626.93000000
0.023440719910
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.03650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 12/01/2042#Q13420
3132HPYR9
185048.14700000
PA
USD
200873.00000000
0.000434148045
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF 1ML+65 05/20/2061
38375BWC2
22794.84950000
PA
USD
22860.34000000
0.000049408192
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.02384380
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2042 #MA0625
36179MVS6
6508990.99400000
PA
USD
6921239.24000000
0.014958916760
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2028#AS0290
3138W9KC3
256745.89250000
PA
USD
263960.86000000
0.000570500223
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34571
31307RCG8
139380.74900000
PA
USD
146655.62000000
0.000316967689
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2041#004944
36202FP59
87440.20600000
PA
USD
93169.52000000
0.000201367854
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/01/2048#Q58491
3132Y2NH5
416866.51600000
PA
USD
434543.70000000
0.000939181960
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8237
3138EDEK3
311356.46300000
PA
USD
338602.58000000
0.000731823830
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 10/21 #889896
31410KUV4
1208.89960000
PA
USD
1213.37000000
0.000002622464
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
0.05000000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 3.25% 01/15/2028
615369AM7
2897000.00000000
PA
USD
3154413.11000000
0.006817652374
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.03250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 8/41 #005140
36202FV94
222994.58510000
PA
USD
243678.98000000
0.000526664871
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
0.04500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.45 09/04/24
N/A
-10500000.00000000
NC
USD
-229533.99000000
-0.00049609321
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 9/06/29 3MLV1.45
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-06
0.00000000
USD
0.00000000
USD
-10500000.00000000
USD
1.00000000
1.45000000
USD
2024-09-04
XXXX
78116.01000000
N
N
N
CASTLELAKE AIRCRAFT SECURITIZATION
N/A
CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A
14856CAA7
7545789.72000000
PA
USD
7760837.18000000
0.016773544930
Long
ABS-CBDO
CORP
US
N
2
2043-06-15
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2041#AJ7688
3138E0RJ0
393216.18150000
PA
USD
426916.07000000
0.000922696316
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AT2724
3138WQA28
354276.66250000
PA
USD
372664.97000000
0.000805443082
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 5.05% 03/25/2048
126650CZ1
12863000.00000000
PA
USD
15830848.35000000
0.034215309498
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
0.05050000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2048#MA5650
36179UH39
5946116.68820000
PA
USD
6205651.01000000
0.013412311535
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
0.03500000
N
N
N
N
N
N
NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV
N/A
NEW YORK NY CTY TRANSITIONAL FIN ATH RV BUILD AMERICA BONDSTAXABLE-FTR TAX SECD-SUBSR C-2
64971MZG0
900000.00000000
PA
USD
1192959.00000000
0.002578349593
Long
DBT
MUN
US
N
2
2036-08-01
Fixed
0.05767000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
EXELON CORP 5.625% 6/15/35
30161NAC5
150000.00000000
PA
USD
197173.30000000
0.000426151860
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
0.05625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2048#G67710
3132XCR72
7242252.55400000
PA
USD
7703257.42000000
0.016649097442
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2041#AI8607
3138ANR54
3649.15750000
PA
USD
4104.37000000
0.000008870800
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04500000
N
N
N
N
N
N
CIT MTG LN TR 2007-1
N/A
CIT MORTGAGE LOAN TRUST 2007-1 1A 1ML+135 10/25/2037 144A
12559QAA0
2608670.95040000
PA
USD
2630995.43000000
0.005686386536
Long
ABS-CBDO
CORP
US
N
2
2037-10-25
Variable
0.02976750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/01/2046#G08738
3128MJZC7
3225286.66600000
PA
USD
3404386.51000000
0.007357921415
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2042#AO2993
3138LTKF4
2310015.32400000
PA
USD
2466001.88000000
0.005329784966
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
METLIFE SECURITIZATION TRUST 2019-1
N/A
METLIFE SECURITIZATION TRUST 2019-1A A1A 3.75% 04/25/2058 144A
59166EAB1
3681193.21000000
PA
USD
3881146.79000000
0.008388346328
Long
ABS-CBDO
CORP
US
N
2
2058-04-25
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.54% 02/01/2039#
3138ETWB8
354578.42000000
PA
USD
387081.21000000
0.000836600989
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Variable
0.06542000
N
N
N
N
N
N
IHS MARKIT LTD
549300HLPTRASHS0E726
IHS MARKIT LTD 4.125% 08/01/2023
44962LAG2
365000.00000000
PA
USD
390812.80000000
0.000844666098
Long
DBT
CORP
BM
N
2
2023-08-01
Fixed
0.04125000
N
N
N
N
N
N
ASCENSION HEALTH ALLIANCE
549300IMOY6ECI21DH68
ASCENSION HEALTH 4.847% 11/15/2053
04351LAA8
250000.00000000
PA
USD
358178.47000000
0.000774133320
Long
DBT
CORP
US
N
2
2053-11-15
Fixed
0.04847000
N
N
N
N
N
N
EXXON MOBIL CORP
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 2.397% 03/06/2022
30231GAJ1
1575000.00000000
PA
USD
1607680.04000000
0.003474688717
Long
DBT
CORP
US
N
2
2022-03-06
Fixed
0.02397000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 3.5% 05/01/2049#Q63646
3132VQBQ8
6691183.31000000
PA
USD
7106654.94000000
0.015359656848
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2046#MA3597
36179R7J2
2086518.62850000
PA
USD
2209540.18000000
0.004775492723
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2039#AW1156
3138XQJA0
322337.51690000
PA
USD
349738.72000000
0.000755892437
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 10/20/2046#MA4003
36179SNU7
3051584.95880000
PA
USD
3184994.15000000
0.006883747363
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
0.03000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP FRN 3ML+110 09/09/2022
55336VBH2
3115000.00000000
PA
USD
3126416.19000000
0.006757142459
Long
DBT
CORP
US
N
2
2022-09-09
Variable
0.02985000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 5.375% 08/15/2026 144A
15135BAM3
200000.00000000
PA
USD
210000.00000000
0.000453874286
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.05375000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.875% 12/01/2024
55336VAG5
2489000.00000000
PA
USD
2760818.54000000
0.005966974019
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.04875000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE 8.125% 4/22
88033GCE8
900000.00000000
PA
USD
975105.00000000
0.002107500408
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
0.08125000
N
N
N
N
N
N
VULCAN MATERIALS CO
549300Q8LSNHAVWBNI21
VULCAN MATERIALS CO 4.5% 06/15/2047
929160AV1
795000.00000000
PA
USD
937208.38000000
0.002025594211
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
0.04500000
N
N
N
N
N
N
HEINZ HJ FIN CO
YPR5DFZK6G2LSSY0V351
HEINZ HJ FIN 7.125 8/1/39 144A
42307TAH1
9093000.00000000
PA
USD
11038407.16000000
0.023857377002
Long
DBT
CORP
US
N
2
2039-08-01
Fixed
0.07125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2035#
31418DKJ0
2529867.28010000
PA
USD
2597007.68000000
0.005612928604
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.02500000
N
N
N
N
N
N
MYLAN INC
30ZMPDNA1RHIBH89C294
MYLAN INC 5.2% 04/15/2048
628530BJ5
1680000.00000000
PA
USD
1990188.26000000
0.004301406075
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
0.05200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 06/01/2043#G08534
3128MJSY7
290395.73490000
PA
USD
305609.13000000
0.000660514884
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03000000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 4.6% 08/15/2045
20030NBQ3
5366000.00000000
PA
USD
6836093.67000000
0.014774891118
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
0.04600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2049#
31418DHL9
1472713.53330000
PA
USD
1517857.80000000
0.003280555359
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2045#G07949
3128MAEW5
3146621.92600000
PA
USD
3413746.53000000
0.007378151283
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 12/01/2045#G08682
3128MJXL9
973305.71000000
PA
USD
1045894.85000000
0.002260498945
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
EMERA US FINANCE LP
N/A
EMERA US FINANCE LP 4.75% 06/15/2046
29103DAM8
760000.00000000
PA
USD
892712.14000000
0.001929424215
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 11/32#ZA3931
31329MLL2
2989178.53300000
PA
USD
3112412.20000000
0.006726875550
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 06/20/2045#MA2893
36179RGA1
12866328.76500000
PA
USD
13777426.96000000
0.029777237271
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
0.04000000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 2.1% 07/26/2021
949746SA0
1530000.00000000
PA
USD
1543944.83000000
0.003336937417
Long
DBT
CORP
US
N
2
2021-07-26
Fixed
0.02100000
N
N
N
N
N
N
SUNOCO LOGISTICS PRTNR OPER LP
5493006LL0CKP8WQW329
SUNOCO LOGISTICS PRTNR OPER LP 5.4% 10/01/2047
86765BAV1
1861000.00000000
PA
USD
1972893.67000000
0.004264027172
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
0.05400000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.45% 04/01/2024
00206RDC3
1147000.00000000
PA
USD
1261782.50000000
0.002727098245
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2043#G07276
3128M9MZ2
134453.06080000
PA
USD
143473.84000000
0.000310090889
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2049#CA4157
3140QBTP3
22025651.22300000
PA
USD
23285820.22000000
0.050327785860
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q31974
3132QNFQ7
239843.59680000
PA
USD
256984.60000000
0.000555422389
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2044#AV2400
3138XDU24
14125.71760000
PA
USD
15477.31000000
0.000033451204
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 03/20/2043#AA6141
36178DZE4
1130994.68940000
PA
USD
1204747.08000000
0.002603827242
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 01/20/2047#MA4198
36179SUX3
443743.13810000
PA
USD
475335.39000000
0.001027345289
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
0.04500000
N
N
N
N
N
N
BBA US HOLDINGS INC
213800CSNQ87U1MC8N11
BBA US HOLDINGS INC 5.375% 05/01/2026 144A
05545MAA0
700000.00000000
PA
USD
714248.50000000
0.001543709657
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 10/01/2034#FM1579
3140X4XH4
7704142.95600000
PA
USD
8141476.34000000
0.017596222677
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.522% 09/15/2048
92343VCX0
2361000.00000000
PA
USD
3043461.05000000
0.006577851007
Long
DBT
CORP
US
N
2
2048-09-15
Fixed
0.04522000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 10/01/2046#MA2781
31418CCT9
783588.06000000
PA
USD
809769.70000000
0.001750160212
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.02500000
N
N
N
N
N
N
AMEREN ILL CO
RC71E2BZ6UOMFPDJSE79
AMEREN ILL CO 3.25% 03/15/2050
02361DAU4
710000.00000000
PA
USD
792484.90000000
0.001712802468
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
0.03250000
N
N
N
N
N
N
NRG YIELD OPERATING LLC
549300Z3NFMM54NWBB87
NRG YIELD OPER LLC 5% 09/15/2026
62943WAE9
410000.00000000
PA
USD
419965.05000000
0.000907673034
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 10/40 #A94605
312943DJ9
601634.14410000
PA
USD
656468.58000000
0.001418829562
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
BCAP LLC 2012-RR5 TR
N/A
BCAP 2012-RR5 8A5 CSTR 07/36 144A
05539DBX7
112528.95270000
PA
USD
111563.49000000
0.000241122854
Long
ABS-CBDO
CORP
US
N
2
2036-07-26
Variable
0.01857750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2045#AS5133
3138WEV30
4096431.60660000
PA
USD
4339764.56000000
0.009379559723
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.0% 10/01/2028#V60298
3132KEKK0
530000.06850000
PA
USD
552528.62000000
0.001194183490
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2031#MA2803
31418CDH4
286694.68200000
PA
USD
295378.41000000
0.000638403166
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2032#J36710
31307TN31
69948.33900000
PA
USD
73730.39000000
0.000159353943
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS INC 2.7% 03/13/2023
00440EAP2
1105000.00000000
PA
USD
1148389.85000000
0.002482022016
Long
DBT
CORP
US
N
2
2023-03-13
Fixed
0.02700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2043#Q16749
3132J75K4
64211.34040000
PA
USD
69642.34000000
0.000150518415
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 01/01/2033#ZS8682
3132A9UF2
645953.80300000
PA
USD
670906.48000000
0.001450034284
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.795 11/25/24
N/A
-10600000.00000000
NC
USD
-456179.80000000
-0.00098594419
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 11/29 1.795V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-11-27
0.00000000
USD
0.00000000
USD
-10600000.00000000
USD
1.00000000
1.79500000
USD
2024-11-25
XXXX
-154079.80000000
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FIN II LLC 4.25% 12/15/2025 144A
07274NAJ2
51454000.00000000
PA
USD
57275593.03000000
0.123790090013
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/46#AS7125
3138WG4K7
357632.99200000
PA
USD
369694.16000000
0.000799022252
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.02500000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY CORP 4.85% 07/15/2047
337932AJ6
335000.00000000
PA
USD
420378.39000000
0.000908566389
Long
DBT
CORP
US
N
2
2047-07-15
Fixed
0.04850000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.5% 03/09/2048
00206RDJ8
22490000.00000000
PA
USD
25640294.62000000
0.055416525802
Long
DBT
CORP
US
N
2
2048-03-09
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 07/20/2048#MA5330
36179T4P7
9332274.11400000
PA
USD
9843654.74000000
0.021275151279
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/01/2047#G08768
3128MJ2A7
933941.56910000
PA
USD
1008592.83000000
0.002179877860
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CMBX AAACDSIGEN 8/61
N/A
710000.00000000
NC
USD
5745.53000000
0.000012417849
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
0.00000000
USD
347.56000000
USD
710000.00000000
USD
6093.09000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 1/41 #004922
36202FPF7
7115961.65900000
PA
USD
7668783.64000000
0.016574589050
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
0.04000000
N
N
N
N
N
N
QUEST DIAGNOSTICS INC
8MCWUBXQ0WE04KMXBX50
QUEST DIAGNOSTICS INC 4.7% 03/30/2045
74834LAY6
100000.00000000
PA
USD
121549.80000000
0.000262706327
Long
DBT
CORP
US
N
2
2045-03-30
Fixed
0.04700000
N
N
N
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
VALVOLINE INC 4.375% 08/15/2025
92047WAB7
400000.00000000
PA
USD
412000.00000000
0.000890458123
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.04375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/40 #737454
3620ARH79
93193.87470000
PA
USD
103808.81000000
0.000224362616
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2048#BM3700
3140J8DE0
1681574.47800000
PA
USD
1813486.09000000
0.003919498593
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2048#BK8718
3140HNVL3
3275383.89000000
PA
USD
3458626.22000000
0.007475150032
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
0.04000000
N
N
N
N
N
N
PIMCO FDS PAC INVT MGMT SER
549300F3V4IM7FBY9U59
PIMCO Total Return Instl
693390700
672519656.75200000
NS
USD
7195960327.25000000
15.55267312857
Long
EC
RF
US
N
1
N
N
N
CANADIAN NATL RESOURCES LTD
549300T15RIMIKZC5Q38
CAN NATURAL YANK 5.85 2/1/35
136385AG6
2743000.00000000
PA
USD
3531855.04000000
0.007633419929
Long
DBT
CORP
CA
N
2
2035-02-01
Fixed
0.05850000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/39 #710776
36297FT93
67733.48260000
PA
USD
75702.44000000
0.000163616147
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2048#BM3877
3140J8JX2
951512.67000000
PA
USD
1019910.06000000
0.002204337859
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 4% 01/15/2025
37045XAS5
2175000.00000000
PA
USD
2301324.00000000
0.004973865656
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2041#AI3724
3138AHD60
117953.23780000
PA
USD
130358.06000000
0.000281743673
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 5% 02/14/2022
251526CA5
14609000.00000000
PA
USD
15374096.85000000
0.033228129684
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
0.05000000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2015-C31
N/A
WFCM 2015-C31 XA CSTR 11/48
94989WAV9
7250724.83440000
PA
USD
349814.12000000
0.000756055400
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Variable
0.01014187
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 3.75% 04/18/2029
053332AW2
1200000.00000000
PA
USD
1357773.66000000
0.002934564527
Long
DBT
CORP
US
N
2
2029-04-18
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2047#AS8699
3138WJUZ9
1627748.54600000
PA
USD
1739668.95000000
0.003759957156
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 03/01/45#AX9566
3138YBTY9
3478448.16650000
PA
USD
3755664.14000000
0.008117139908
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 12/15/2040#734089
3620AMRJ3
4450356.42200000
PA
USD
4829795.59000000
0.010438666789
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TVA 5.25% 9/15/39
880591EH1
150000.00000000
PA
USD
226080.39000000
0.000488628931
Long
DBT
USGSE
US
N
2
2039-09-15
Fixed
0.05250000
N
N
N
N
N
N
OPEN TEXT HOLDINGS INC
N/A
OPEN TEXT HOLDINGS INC 4.125% 02/15/2030 144A
683720AA4
270000.00000000
PA
USD
268650.00000000
0.000580634890
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04125000
N
N
N
N
N
N
COMM 2014-LC17 MTG TR
N/A
COMM 2014-LC17 XA CSTR 10/47
12592MBL3
42222919.96630000
PA
USD
1192324.59000000
0.002576978439
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Variable
0.00768071
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 06/01/2041#Q01604
3132GEX96
74333.47710000
PA
USD
82623.57000000
0.000178574827
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 06 4
N/A
BAYVIEW COML ASSET TR 06 4 1ML+27 12/25/2036 144A
07325BAC2
152627.22100000
PA
USD
146620.15000000
0.000316891028
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
0.01896750
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 05/20/2045#MA2828
36179RD97
403602.53970000
PA
USD
434481.12000000
0.000939046705
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
0.04500000
N
N
N
N
N
N
C and W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY
5493009O8OIWZPZRY516
C and W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY 6.875% 09/15/2027 144A
12674TAA4
425000.00000000
PA
USD
448375.00000000
0.000969075633
Long
DBT
CORP
IE
N
2
2027-09-15
Fixed
0.06875000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.5% 04/15/38
55336VAM2
900000.00000000
PA
USD
909580.90000000
0.001965882770
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
0.04500000
N
N
N
N
N
N
DOLLAR TREE INC
549300PMSTQITB1WHR43
DOLLAR TREE INC 4.2% 05/15/2028
256746AH1
1395000.00000000
PA
USD
1560304.42000000
0.003372295499
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2043#AT0223
3138WMG96
10408617.24800000
PA
USD
10948864.04000000
0.023663846908
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2038#AV1874
3138XDCL2
745510.63460000
PA
USD
806555.13000000
0.001743212542
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.50% 9/39 #G06670
3128M8W75
549714.89880000
PA
USD
658001.09000000
0.001422141785
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2042#AO0784
3138LQ2S2
441415.39040000
PA
USD
478625.38000000
0.001034455965
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
DENBURY RESOURCES INC
549300KCWA5W52MS5559
DENBURY RESOURCES INC 7.75% 02/15/2024 144A
247916AM1
320000.00000000
PA
USD
179360.00000000
0.000387651866
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.07750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2047#BH4576
3140GTCN8
305925.83300000
PA
USD
330417.74000000
0.000714133885
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
MASTERCARD INC 3.375% 04/01/2024
57636QAB0
870000.00000000
PA
USD
942424.63000000
0.002036868124
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.03375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2042#Q09886
3132GVJ78
469928.04000000
PA
USD
501897.20000000
0.001084753492
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BJ5987
3140H7UM7
263455.83600000
PA
USD
273632.92000000
0.000591404505
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2043#AB9361
31417GMK9
252987.85600000
PA
USD
273391.63000000
0.000590883004
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 2/38 #G03854
3128M5TK6
341632.74330000
PA
USD
387405.72000000
0.000837302355
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
0.05000000
N
N
N
N
N
N
MGM GROWTH PPTYS OPER PARTNERSHIP LP / MGP FIN CO-ISSUER INC
N/A
MGM GROWTH PPTYS OPER PARTNERSHIP LP / MGP FIN CO-ISSUER INC 5.625% 05/01/2024
55303XAC9
2300000.00000000
PA
USD
2489750.00000000
0.005381111924
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
0.05625000
N
N
N
N
N
N
MEMORIAL SLOAN KETTERING CANCER CTR
549300IZ71UAMEHWL382
MEMORIAL SLOAN KTTRNG CNCR CTR 4.2% 07/01/2055
586054AC2
140000.00000000
PA
USD
181001.48000000
0.000391199607
Long
DBT
CORP
US
N
2
2055-07-01
Fixed
0.04200000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 3.215% 09/06/2026
05526DBJ3
1530000.00000000
PA
USD
1595835.17000000
0.003449088326
Long
DBT
CORP
US
N
2
2026-09-06
Fixed
0.03215000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAR 6.1% 6/1/37
26442CAA2
775000.00000000
PA
USD
1128234.17000000
0.002438459421
Long
DBT
CORP
US
N
2
2037-06-01
Fixed
0.06100000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 2996 ZD 5.5% 06/35
31395UZR5
386156.75540000
PA
USD
456157.28000000
0.000985895523
Long
ABS-CBDO
USGSE
US
N
2
2035-06-15
Fixed
0.05500000
N
N
N
N
N
N
TANGER PPTYS LTD PARTNERSHIP
PQPGJDNFN35EXH363L31
TANGER PPTYS LTD PARTNERSHIP 3.875% 12/01/2023
875484AG2
1492000.00000000
PA
USD
1574363.10000000
0.003402680610
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.03875000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 12
N/A
17500000.00000000
NC
USD
141615.25000000
0.000306073907
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
243.75000000
USD
0.00000000
USD
17500000.00000000
USD
141371.50000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2045#AZ4775
3138YWJV0
4795130.60620000
PA
USD
5076970.16000000
0.010972886701
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 11/35 #A80290
312926KB3
1804100.82740000
PA
USD
2024843.03000000
0.004376305642
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 3.9% 04/25/2028
3137FEZV5
2125000.00000000
PA
USD
2460431.25000000
0.005317745130
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Fixed
0.03900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/34#C91760
3128P75V1
771379.64970000
PA
USD
814917.71000000
0.001761286637
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 09/45#MA3106
36179RNX3
24331.09900000
PA
USD
25993.22000000
0.000056179305
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
0.04000000
N
N
N
N
N
N
CEDAR FDG XI CLO LTD
N/A
CEDAR FDG XI CLO LTD 2019-11A A1A 3ML+135 05/29/2032 144A
15033LAA0
4370000.00000000
PA
USD
4370437.00000000
0.009445852255
Long
ABS-CBDO
CORP
KY
N
2
2032-05-29
Variable
0.03263750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2041#AB3738
31417AEL9
1327632.73070000
PA
USD
1419357.15000000
0.003067665301
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.03500000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 4.7% 10/15/2048
20030NCM1
1230000.00000000
PA
USD
1613963.37000000
0.003488268916
Long
DBT
CORP
US
N
2
2048-10-15
Fixed
0.04700000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2043#AA6294
36178D7F2
383518.43770000
PA
USD
400661.25000000
0.000865951613
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.03000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 3.848% 04/12/2023
05964HAG0
800000.00000000
PA
USD
847440.69000000
0.001831578753
Long
DBT
CORP
ES
N
2
2023-04-12
Fixed
0.03848000
N
N
N
N
N
N
JPMORGAN CHASE COML MTG SECS TR 2007 CIBC19
N/A
JPMCC 2007-CB19 B CSTR 2/49
46630VAN2
15599.04000000
PA
USD
779.95000000
0.000001685710
Long
ABS-MBS
CORP
US
N
3
2049-02-12
Variable
0.05940662
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 01/01/2037#C91908
3128P8DM0
3662503.43120000
PA
USD
3823426.14000000
0.008263594333
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.03000000
N
N
N
N
N
N
GS MTG SECS CORP TR 2019
5493005BBCF84ICNQ550
GS MTG SECS CORP TR 2019-GC40 A3 2.904% 07/10/2052
36257HBN5
2000000.00000000
PA
USD
2152239.20000000
0.004651647764
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Fixed
0.02904000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 05/20/2044#MA1921
36179QD24
576824.81140000
PA
USD
622578.50000000
0.001345582725
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2047#CA0854
3140Q75Q6
5277085.89110000
PA
USD
5626831.09000000
0.012161304497
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2043#Q20534
3132JMSX8
211809.51770000
PA
USD
225490.80000000
0.000487354647
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03500000
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
ZOETIS INC 3.25% 2/1/23
98978VAB9
5975000.00000000
PA
USD
6270895.15000000
0.013553324095
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
0.03250000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FINANCE PLC
213800X3RLP4NOTPY579
VIRGIN MEDIA SECD FIN PLC 5.5% 08/15/2026 144A
92769XAM7
300000.00000000
PA
USD
308720.25000000
0.000667238967
Long
DBT
CORP
GB
N
2
2026-08-15
Fixed
0.05500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.67 02/07/2025
N/A
20100000.00000000
NC
USD
388478.73000000
0.000839621458
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 02/11/30 1.67V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-11
0.00000000
USD
0.00000000
USD
20100000.00000000
USD
1.00000000
1.67000000
USD
2025-02-07
XXXX
-176331.27000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19764
3132JBJJ3
86053.23060000
PA
USD
93250.94000000
0.000201543827
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #711188
36297GCZ1
4950.05200000
PA
USD
5457.12000000
0.000011794506
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2042#AB5049
31417BTF4
104052.83910000
PA
USD
112824.18000000
0.000243847591
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.5% 01/15/2025
681936BD1
2793000.00000000
PA
USD
3044498.70000000
0.006580093687
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/01/2047#Q51268
3132XTMS4
6675404.98610000
PA
USD
7021056.79000000
0.015174653042
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/46#BM3928
3140J8LJ0
2369733.41500000
PA
USD
2626099.00000000
0.005675803852
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM OPER LP 5.6% 04/01/2044
23311VAF4
3773000.00000000
PA
USD
3508890.00000000
0.007583785447
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
0.05600000
N
N
N
N
N
N
NISOURCE FIN CORP
ZHUWIE4VK4MIYES0UG62
NISOURCE FIN 4.8% 2/15/44
65473QBC6
305000.00000000
PA
USD
370478.54000000
0.000800717537
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
0.04800000
N
N
N
N
N
N
TOWD PT MTG TR 2018-3
N/A
TOWD PT MTG TR 2018-3 3.75% 05/25/2058 144A
89175MAA1
6476876.15560000
PA
USD
6841868.21000000
0.014787371666
Long
ABS-CBDO
CORP
US
N
2
2058-05-25
Fixed
0.03750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2047#MA4652
36179TEZ4
6211984.96830000
PA
USD
6539419.94000000
0.014133688368
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/34#FM0047
3140X3BR8
15512165.53800000
PA
USD
16261662.19000000
0.035146430089
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
AMERADA HESS CORP
N/A
AMERADA HESS CORP 7.3% 08/15/2031
023551AJ3
1849000.00000000
PA
USD
2365591.81000000
0.005112768067
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
0.07300000
N
N
N
N
N
N
AERCAP HOLDINGS NV
549300SZYINBBLJQU475
AERCAP HOLDINGS NV 5.875/VAR 10/10/2079
00774YAA7
710000.00000000
PA
USD
720650.00000000
0.001557545258
Long
EP
CORP
NL
N
2
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.5% 08/10/2033
92343VEA8
1310000.00000000
PA
USD
1605645.46000000
0.003470291366
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/38 #889371
31410KCG7
81048.98770000
PA
USD
96000.70000000
0.000207486900
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.06000000
N
N
N
N
N
N
PENTAIR FINANCE SA
549300H2U8U8TZPV3T89
PENTAIR FINANCE SA 4.5% 07/01/2029
709629AR0
670000.00000000
PA
USD
752975.43000000
0.001627410408
Long
DBT
CORP
LU
N
2
2029-07-01
Fixed
0.04500000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 5.2% 07/15/2045
50077LAM8
4912000.00000000
PA
USD
4969739.38000000
0.010741128160
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
0.05200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2048#MA3521
31418C4F8
2934752.81840000
PA
USD
3092518.67000000
0.006683879542
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 1ML+60 08/20/2063
38375B5N8
3130991.62100000
PA
USD
3138184.45000000
0.006782577272
Long
ABS-CBDO
USGA
US
N
2
2063-08-20
Variable
0.02334380
N
N
N
N
N
N
TOLL BROS FIN CORP
N/A
TOLL BROS FIN CORP 4.875% 03/15/2027
88947EAS9
7917000.00000000
PA
USD
8636971.98000000
0.018667140439
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA GTD MTG 2013-51 GI 3% 10/25/2032
3136AECM7
872691.04570000
PA
USD
69795.82000000
0.000150850133
Long
ABS-CBDO
USGSE
US
N
2
2032-10-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 05/01/2041#Q00557
3132GDTN2
60351.53330000
PA
USD
67082.28000000
0.000144985342
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/42#AB7319
31417EDZ1
319518.67500000
PA
USD
345804.10000000
0.000747388519
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
METROPOLITAN WEST FDS
549300APUP7QV16M4J34
Metropolitan West Total Return Bd M
592905103
206912288.61300000
NS
USD
2338108861.33000000
5.053369002270
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 7/35 #995203
31416BRY6
109873.69560000
PA
USD
122796.57000000
0.000265400978
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2045#AS5393
3138WE7F0
318797.35640000
PA
USD
346611.09000000
0.000749132671
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/01/2047#Q49137
3132WPEK9
559177.03740000
PA
USD
596861.38000000
0.001290000156
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 07/20/2045#MA2960
36179RJD2
304016.72220000
PA
USD
318922.81000000
0.000689289822
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 01/47#MA4263
36179SWY9
1087014.15530000
PA
USD
1151759.54000000
0.002489304948
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG 2012-14 CLASS JS 1ML+665 12/25/2030
3136A4WY1
243538.59760000
PA
USD
20401.47000000
0.000044093822
Long
ABS-CBDO
USGSE
US
N
2
2030-12-25
Variable
0.05023250
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040
38377LAL2
3947281.03300000
PA
USD
4193352.56000000
0.009063118571
Long
ABS-CBDO
USGA
US
N
2
2040-09-16
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 05/01/2040#AD4085
31418RRF0
116963.23220000
PA
USD
131113.42000000
0.000283376237
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.05000000
N
N
N
N
N
N
CGDB COML MTG TR 2017-BIO
N/A
CGDB COML MTG TR 2019-MOB A 1ML+100 11/15/2036 144A
125284AA7
3687000.00000000
PA
USD
3684687.51000000
0.007963737683
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.02608500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q12215
3132HNN88
82910.52940000
PA
USD
90000.83000000
0.000194519345
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 09/01/2031#BD8051
3140FF5M9
1687075.37300000
PA
USD
1739229.79000000
0.003759007997
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
0.02500000
N
N
N
N
N
N
TACONIC PARK CLO LTD 2016-1A
N/A
TACONIC PARK CLO LTD 2016-1A A1R 3ML+100 01/20/2029 144A
873549AJ8
5538000.00000000
PA
USD
5538000.00000000
0.011969313318
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Variable
0.01000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2044#AS3651
3138WDBV2
4986144.84450000
PA
USD
5462924.00000000
0.011807051100
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 12/01/2031#SB0093
3132CWC69
8812409.16000000
PA
USD
9079329.10000000
0.019623209592
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 09/01/2043#AU7317
3138X7DX8
77969.64780000
PA
USD
82016.57000000
0.000177262915
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 08/01/2043#Q20559
3132JMTQ2
1197788.47850000
PA
USD
1260538.82000000
0.002724410272
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4% 02/15/2022 144A
125523AN0
1910000.00000000
PA
USD
1981377.10000000
0.004282362461
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 5.8% 06/15/2038
29278NAD5
2762000.00000000
PA
USD
3084922.02000000
0.006667460856
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
0.05800000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 2.2 07/18/2024
N/A
79000000.00000000
NC
USD
800036.95000000
0.001729124760
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 7/22/29 2.2V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-07-22
0.00000000
USD
0.00000000
USD
79000000.00000000
USD
1.00000000
2.20000000
USD
2024-07-18
XXXX
-1321113.05000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2043#Q16616
3132J7YN6
617684.05330000
PA
USD
653325.04000000
0.001412035410
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 4683 LM 3% 05/15/2047
3137BYKR0
1252741.19380000
PA
USD
1303642.32000000
0.002817570130
Long
ABS-CBDO
USGSE
US
N
2
2047-05-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21900
3132JPDD1
75956.40890000
PA
USD
82309.59000000
0.000177896220
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2045#AZ3743
3138YVER6
2710263.28250000
PA
USD
2869562.26000000
0.006202002487
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 02/01/2043#Q15786
3132J62U7
95344.43610000
PA
USD
101203.45000000
0.000218731636
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
WYETH
549300Q9GR3WRH4N4836
WYETH 6.45% 02/01/2024
983024AF7
3255000.00000000
PA
USD
3864804.52000000
0.008353025679
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.06450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2048#ZT1546
3132ADWF1
3693473.87100000
PA
USD
3944152.90000000
0.008524521819
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
AMERICAN AIRLINES INC 2014-1 CL A PASS THROUGH TRUSTS
N/A
AMERICAN 14-1 CLASS A 3.7% 04/01/28
02377AAA6
239754.73370000
PA
USD
260109.67000000
0.000562176622
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 3/41 #A97528
312946LH7
139493.89590000
PA
USD
154349.14000000
0.000333595741
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2041#AK4260
3138E8WW8
35163.10950000
PA
USD
39461.65000000
0.000085288705
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 3.248% 09/25/2027
3137FBU87
1750000.00000000
PA
USD
1924159.65000000
0.004158698036
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
0.03248000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/40 #004696
36202FGD2
61483.23320000
PA
USD
67378.39000000
0.000145625326
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 7/37 #G03508
3128M5GR5
3011.70770000
PA
USD
3571.93000000
0.000007720034
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2049#QA0449
31334WQA2
321212.49000000
PA
USD
334270.16000000
0.000722460144
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 06/20/2047#MA4510
36179TAK1
1885783.80440000
PA
USD
1985183.85000000
0.004290590013
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
0.03500000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP A 1ML+82.15 12/15/2029 144A
05607QAA6
8812000.00000000
PA
USD
8816072.91000000
0.019054232376
Long
ABS-MBS
CORP
US
N
2
2029-12-15
Variable
0.02458500
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 3.4% 09/18/2029
455780CK0
1170000.00000000
PA
USD
1233618.75000000
0.002666227759
Long
DBT
NUSS
ID
N
2
2029-09-18
Fixed
0.03400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 06/01/2045#AZ3115
3138YUN98
64026.04800000
PA
USD
69148.63000000
0.000149451357
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.75% 11/15/2043
912810RD2
9925000.00000000
PA
USD
14065585.94000000
0.030400037039
Long
DBT
UST
US
N
2
2043-11-15
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2041#792596
36177L3E2
26971.22180000
PA
USD
29228.66000000
0.000063172081
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
AASET 2019-2 TR
N/A
AASET 2019-2 TR 3.376% 10/16/2039 144A
00038RAA4
8353668.95000000
PA
USD
8425642.49000000
0.018210392718
Long
ABS-CBDO
CORP
US
N
2
2039-10-16
Fixed
0.03376000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 3.625% 05/15/2024 144A
110122BM9
910000.00000000
PA
USD
981841.47000000
0.002122059982
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03625000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS 2.25 11/15/22
369550AU2
1000000.00000000
PA
USD
1022906.40000000
0.002210813867
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
0.02250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/01/2050 #TBA
21H032639
-254075000.00000000
PA
USD
-263222157.34000000
-0.56890366082
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/01/2047#Q48754
3132WNWQ1
8079657.74400000
PA
USD
8717587.12000000
0.018841374435
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 5.875% 11/15/2028
64110LAT3
190000.00000000
PA
USD
213617.00000000
0.000461691730
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.05875000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A
05492PAE8
1113000.00000000
PA
USD
1179799.70000000
0.002549908317
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03465000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.95% 05/15/2025
68389XBC8
2085000.00000000
PA
USD
2213029.53000000
0.004783034277
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.02950000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.4025 02/26/2025
N/A
14200000.00000000
NC
USD
349997.20000000
0.000756451091
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/28/30 1.40250003%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-28
0.00000000
USD
0.00000000
USD
14200000.00000000
USD
1.00000000
1.40250000
USD
2025-02-26
XXXX
-50442.80000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/48#BK1867
3140HFCD9
52299.19500000
PA
USD
56303.76000000
0.000121689661
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2043#AU1335
3138X0PV4
53573.62570000
PA
USD
57442.38000000
0.000124150567
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03500000
N
N
N
N
N
N
ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP
N/A
ICAHN ENTERPRISES LP/FIN CORP 6.25% 05/15/2026
451102BT3
1100000.00000000
PA
USD
1127621.00000000
0.002437134173
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.06250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/46#Q38783
3132QVXM8
408252.24550000
PA
USD
438954.86000000
0.000948715827
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 03/20/2043#AD8884
36180M2R7
1338451.01660000
PA
USD
1405654.91000000
0.003038050566
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 07/01/2043#Q19909
3132JBN33
38795.85840000
PA
USD
40828.32000000
0.000088242498
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.5% 01/15/2030 144A
46590XAB2
470000.00000000
PA
USD
495995.70000000
0.001071998544
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2046#Q40046
3132WDBQ6
5770734.60600000
PA
USD
6150693.62000000
0.013293531792
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AA6146
36178DZK0
572545.58070000
PA
USD
597218.29000000
0.001290771547
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 01/20/2048#MA4961
36179TQN8
2951464.27920000
PA
USD
3071273.07000000
0.006637961296
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
0.03000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.862% 08/21/2046
92343VCK8
4163000.00000000
PA
USD
5539540.37000000
0.011972642529
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
0.04862000
N
N
N
N
N
N
PRUDENTIAL FINL INC
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FINL INC 4.5% 11/16/2021
74432QBT1
1118000.00000000
PA
USD
1173544.91000000
0.002536389801
Long
DBT
CORP
US
N
2
2021-11-16
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2048#G08809
3128MJ3T5
745452.52060000
PA
USD
791963.17000000
0.001711674849
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2042 #AB5652
31417CH65
797838.03540000
PA
USD
842240.75000000
0.001820340091
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/44#G08596
3128MJUW8
76364.17550000
PA
USD
83518.08000000
0.000180508137
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ8684
3138MQUJ0
719981.51520000
PA
USD
756901.30000000
0.001635895415
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 12/01/2045#G60397
31335ANN4
60316.73920000
PA
USD
65041.35000000
0.000140574268
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2043#AT7899
3138WVX55
9647807.40210000
PA
USD
10266122.84000000
0.022188234171
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03500000
N
N
N
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY GOVT 7.625% 3/29/41
445545AF3
600000.00000000
PA
USD
1026000.00000000
0.002217500083
Long
DBT
NUSS
HU
N
2
2041-03-29
Fixed
0.07625000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAYER 2.215 07/10/2024
N/A
5000000.00000000
NC
USD
49424.20000000
0.000106820826
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 7/29 2.215V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-07-12
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
1.00000000
2.21500000
USD
2024-07-10
XXXX
-82575.80000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2046#BC2276
3140EWQ65
127734.53290000
PA
USD
137195.87000000
0.000296522274
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
HERTZ FLEET LEASE FDG LP
549300FESQ105M6ZTE59
HERTZ FLEET LEASE FDG LP 2017-1 A1 1ML+65 04/10/2031 144A
428041AW7
1096824.50400000
PA
USD
1096911.04000000
0.002370760549
Long
ABS-CBDO
CORP
US
N
2
2031-04-10
Variable
0.02320880
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE C CSTR 04/15/2036 144A
12690CAG8
1033000.00000000
PA
USD
1107419.90000000
0.002393473412
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04782040
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP 1ML+110 03/15/2036 144A
74952PAA5
3686672.88000000
PA
USD
3687813.91000000
0.007970494790
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.02808500
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 5.5% 09/01/2026 144A
92840VAA0
1700000.00000000
PA
USD
1719728.50000000
0.003716859739
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 7/29 #MA0130
31417YEC7
146932.78450000
PA
USD
161035.36000000
0.000348046709
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2.5% 03/01/2035#TBA
01F022436
-9500000.00000000
PA
USD
-9750933.95000000
-0.02107475326
Short
ABS-MBS
USGA
US
N
2
2035-03-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG7744
3617GSS91
1564407.50500000
PA
USD
1666387.48000000
0.003601573466
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #738240
3620ASEM7
32786.31030000
PA
USD
36459.25000000
0.000078799600
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
BURLINGTON NORTHN SANTA FE LLC
N/A
BURLINGTON NORTHN SANTA FE LLC 4.1% 06/01/2021
12189LAD3
950000.00000000
PA
USD
976088.60000000
0.002109626269
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.04100000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO 6.7% 9/15/38
406216AW1
170000.00000000
PA
USD
225238.14000000
0.000486808571
Long
DBT
CORP
US
N
2
2038-09-15
Fixed
0.06700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 06/01/2045#AZ4601
3138YWDF1
98631.43760000
PA
USD
106522.72000000
0.000230228207
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 10/20/2046#MA4068
36179SQV2
537020.72320000
PA
USD
560498.20000000
0.001211408192
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.0% 07/37#AD0688
31418MXS6
170168.92640000
PA
USD
196720.15000000
0.000425172465
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 03/01/2043#AT0162
3138WMFC0
1250178.64970000
PA
USD
1293512.97000000
0.002795677504
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/49#MA3833
31418DHK1
8335756.17040000
PA
USD
8504867.82000000
0.018381622909
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 06/30/2022
912828XG0
25130000.00000000
PA
USD
25841689.39000000
0.055851801551
Long
DBT
UST
US
N
2
2022-06-30
Fixed
0.02125000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
FEDERAL HOME LOAN BANKS 3.25% 11/16/2028
3130AFFX0
1815000.00000000
PA
USD
2094362.10000000
0.004526557634
Long
DBT
USGSE
US
N
2
2028-11-16
Fixed
0.03250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNMA II 4.5% 6/45#MA2894
36179RGB9
180867.79190000
PA
USD
195214.21000000
0.000421917667
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
0.04500000
N
N
N
N
N
N
ISHARES TRUST
549300G3FWQPUM47D181
iShares 20+ Year Treasury Bond ETF
464287432
4433020.00000000
NS
USD
688492336.20000000
1.488042703056
Long
EC
RF
US
N
1
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC VAR 08/28/2028
28414HAG8
1693000.00000000
PA
USD
1939260.56000000
0.004191335725
Long
DBT
CORP
US
N
2
2028-08-28
Variable
0.05650000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 2.438%/VAR 02/05/2026
539439AV1
1010000.00000000
PA
USD
1028662.78000000
0.002223255166
Long
DBT
CORP
GB
N
2
2026-02-05
Variable
0.02438000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 3.75% 02/01/2024
828807CR6
275000.00000000
PA
USD
295840.49000000
0.000639401862
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/40 #AE3832
31419EHJ1
37183.94630000
PA
USD
41136.91000000
0.000088909455
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 6/38 #004168
36202ETZ2
152972.61430000
PA
USD
170997.13000000
0.000369577144
Long
ABS-MBS
USGA
US
N
2
2038-06-20
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 9/41 #Q03295
3132GJKG3
309102.32000000
PA
USD
337081.49000000
0.000728536288
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 05/01/2030#AS4956
3138WEQJ1
1004837.42160000
PA
USD
1046165.58000000
0.002261084075
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
0.03000000
N
N
N
N
N
N
PEOPLES UNITED BANK
N4662XQCE3KKIZ6EZS08
PEOPLE'S UNITED BANK 4.0% 07/15/2024
71270QEB8
40000.00000000
PA
USD
42569.24000000
0.000092005159
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q34311
3132QQYH9
5045571.23290000
PA
USD
5406165.09000000
0.011684377720
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 2007 3
N/A
BAYC 2007-3 A2 1ML+29 7/37
07325YAB4
38329.56510000
PA
USD
36227.96000000
0.000078299711
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.01916750
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINANCE CORP 5.45% 06/15/2023 144A
25272KAG8
6100000.00000000
PA
USD
6713871.06000000
0.014510730642
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.05450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13425
3132HPYW8
335141.71260000
PA
USD
363802.19000000
0.000786287901
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
CONCHO RES INC
SYHS7HRDXLL4I0IQ8776
CONCHO RES INC 3.75% 10/01/2027
20605PAH4
1890000.00000000
PA
USD
1963648.42000000
0.004244045356
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
0.03750000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.9% 08/15/2024
674599CW3
5981000.00000000
PA
USD
6061843.38000000
0.013101499224
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.02900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2049#MA3593
31418C7F5
2947354.25760000
PA
USD
3146472.50000000
0.006800490285
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/41 #AJ1224
3138ASLE0
177606.65310000
PA
USD
196321.21000000
0.000424310233
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2046#MA2833
31418CEF7
368910.49000000
PA
USD
384023.39000000
0.000829992104
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2039#AC4562
31417QB86
4202.12230000
PA
USD
4675.11000000
0.000010104343
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
0.04500000
N
N
N
N
N
N
Stone Harbor Strategic Income
N/A
Stone Harbor Emerging Mkts Debt Instl
861647105
16123396.32800000
NS
USD
159944091.57000000
0.345688144724
Long
EC
RF
US
N
1
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LDP MTN 4% 3/01/28
92277GAM9
2712000.00000000
PA
USD
3020315.10000000
0.006527825524
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04000000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 5/15/39
912834DV7
6850000.00000000
PA
USD
4989238.60000000
0.010783271943
Long
DBT
UST
US
N
2
2039-05-15
Fixed
0.00000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#778869
36176XCE7
78431.71200000
PA
USD
84996.28000000
0.000183702980
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.1% 05/22/2023
61747YDU6
4350000.00000000
PA
USD
4650367.63000000
0.010050868040
Long
DBT
CORP
US
N
2
2023-05-22
Fixed
0.04100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BD2436
3140F9V69
1211109.82770000
PA
USD
1277752.60000000
0.002761614520
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1614
3138WAYL5
93892.01560000
PA
USD
99175.90000000
0.000214349480
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/01/2046#G08742
3128MJZG8
381027.31680000
PA
USD
402185.73000000
0.000869246481
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 3.8% 02/15/2027
00206RHW5
3375000.00000000
PA
USD
3693650.63000000
0.007983109729
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.03800000
N
N
N
N
N
N
SHERWIN WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
SHERWIN WILLIAMS CO 4.5% 06/01/2047
824348AX4
210000.00000000
PA
USD
252064.62000000
0.000544788807
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORPORATION 4.03% 01/25/2024 144A
35137LAB1
1733000.00000000
PA
USD
1874149.83000000
0.004050611506
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
0.04030000
N
N
N
N
N
N
SOUTHERN COPPER CORP DEL
2549007U6NAP46Q9TU15
SOUTHERN COPPER CORP 5.875% 04/45
84265VAJ4
455000.00000000
PA
USD
579414.06000000
0.001252291156
Long
DBT
CORP
US
N
2
2045-04-23
Fixed
0.05875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 8/42 #Q10333
3132HLLN1
40266.35900000
PA
USD
43207.01000000
0.000093383575
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 9/25 #AE0552
31419ATJ6
107044.88490000
PA
USD
111897.88000000
0.000241845573
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 1/41 #AB2068
31416XJN1
52439.06940000
PA
USD
56127.57000000
0.000121308860
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.03500000
N
N
N
N
N
N
THORNBURG MTG SECS TR
N/A
TMST 2003-4 A1 1ML+64 9/43
885220DW0
2397415.38950000
PA
USD
2400990.18000000
0.005189274781
Long
ABS-CBDO
CORP
US
N
2
2043-09-25
Variable
0.02266750
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.75% 09/21/2047
71654QCC4
26150000.00000000
PA
USD
25040913.13000000
0.054121078916
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
0.06750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2031#BC2778
3140EXCQ4
3290932.03900000
PA
USD
3403980.82000000
0.007357044594
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2044#AW6505
3138XWGP7
857830.90410000
PA
USD
937766.42000000
0.002026800307
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.375% 05/31/2021
912828R77
60865000.00000000
PA
USD
61136039.15000000
0.132133695856
Long
DBT
UST
US
N
2
2021-05-31
Fixed
0.01375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 2/41 #A96807
312945R42
1524976.17990000
PA
USD
1663489.77000000
0.003595310628
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24546
3132M4WF8
104140.83510000
PA
USD
112721.26000000
0.000243625149
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 11/20/2047#784391
3622A22Y7
14051331.17630000
PA
USD
15090570.44000000
0.032615342317
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03500000
N
N
N
N
N
N
ISHARES TRUST
549300G3FWQPUM47D181
iShares Core US Aggregate Bond ETF
464287226
4531.00000000
NS
USD
526592.82000000
0.001138128287
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/45#AZ7723
3140E0SM8
20617.70070000
PA
USD
22397.18000000
0.000048407162
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2042#AO7372
3138LYFN2
209233.52700000
PA
USD
224408.44000000
0.000485015335
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 04/01/2035#G30917
3132J4G37
741685.23800000
PA
USD
775200.44000000
0.001675445458
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.03000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 3.9% 03/12/2024
53944YAH6
300000.00000000
PA
USD
322385.34000000
0.000696773409
Long
DBT
CORP
GB
N
2
2024-03-12
Fixed
0.03900000
N
N
N
N
N
N
NYU HOSPS CTR
N/A
NYU HOSPS CTR 4.368% 07/01/2047
62952EAE7
810000.00000000
PA
USD
1003987.95000000
0.002169925305
Long
DBT
CORP
US
N
2
2047-07-01
Fixed
0.04368000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/01/2047#G08767
3128MJZ94
1745346.61150000
PA
USD
1862969.88000000
0.004026448211
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 09/01/2043#G08544
3128MJTA8
176723.33740000
PA
USD
185981.61000000
0.000401963192
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.03000000
N
N
N
N
N
N
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-3 M55D 4% 08/25/2057
35563PGL7
3211315.52600000
PA
USD
3468159.11000000
0.007495753525
Long
ABS-CBDO
CORP
US
N
2
2057-08-25
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 08/33#731291
31402KNG5
496220.71000000
PA
USD
552888.87000000
0.001194962101
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.05000000
N
N
N
N
N
N
SEQUOIA MTG TR
N/A
SEMT 2004-6 A3B 6ML+44 7/34
81744FCU9
1466.26490000
PA
USD
1437.80000000
0.000003107525
Long
ABS-CBDO
CORP
US
N
2
2034-07-20
Variable
0.02784880
N
N
N
N
N
N
JAPAN BANK INTL COOPERATION
549300TJ3QFYVCTSCJ29
JAPAN BANK INTL COOPERATION 3.25% 07/20/2023
471048BS6
400000.00000000
PA
USD
427011.14000000
0.000922901792
Long
DBT
CORP
JP
N
2
2023-07-20
Fixed
0.03250000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE 4.284% 04/15/2036 144A
12690CAA1
5008000.00000000
PA
USD
5383233.41000000
0.011634815339
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
0.04284000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2018-3PCK
N/A
GS MORTGAGE SECURITIES TRUST 2018-3PCK A 1ML+145 09/15/2021 144A
36255YAA9
17574999.99800000
PA
USD
17530698.70000000
0.037889206471
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
0.03108500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2043#Q17518
3132J8YQ7
131227.58250000
PA
USD
142326.81000000
0.000307611806
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 10/37 #995073
31416BMW5
82078.97140000
PA
USD
97160.76000000
0.000209994145
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.06000000
N
N
N
N
N
N
HEALTHCARE TRUST OF AMERICA HOLDINGS LP
549300IYGAS4GE6VDL07
HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.5% 08/01/2026
42225UAD6
1786000.00000000
PA
USD
1935282.04000000
0.004182736926
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 10/01/2042#C04268
31292LW50
141673.75700000
PA
USD
149140.11000000
0.000322337433
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 03/01/2033#G18683
3128MMXM0
467006.78500000
PA
USD
480760.60000000
0.001039070829
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.02500000
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN TR
N/A
FFML 2004-FF2 M3 1ML+55 3/34
32027NHK0
100.44160000
PA
USD
99.23000000
0.000000214466
Long
ABS-CBDO
CORP
US
N
2
2034-03-25
Variable
0.02451750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 07/01/2032#G16459
3128MFMG0
579959.63520000
PA
USD
613135.70000000
0.001325173943
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
DUKE REALTY LP NEW
2549009GZDBNY1KE9O81
DUKE REALTY LP 4.375% 6/15/22
26441YAV9
1237000.00000000
PA
USD
1308462.48000000
0.002827987971
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.04375000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.375% 10/15/2028
125523AH3
7774000.00000000
PA
USD
8842098.08000000
0.019110480735
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
0.04375000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC 4.4% 11/15/2025
21036PBB3
480000.00000000
PA
USD
542834.76000000
0.001173232091
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.04400000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 08/20/2046#MA3936
36179SLR6
3597493.06880000
PA
USD
3763762.00000000
0.008134641862
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
0.03000000
N
N
N
N
N
N
ENTERPRISE FLEET FING LLC 2019-3
N/A
ENTERPRISE FLEET FING LLC 2019-3 2.06% 05/20/2025 144A
29374WAB2
9335000.00000000
PA
USD
9437215.45000000
0.020396711552
Long
ABS-CBDO
CORP
US
N
2
2025-05-20
Fixed
0.02060000
N
N
N
N
N
N
CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP
N/A
CRESTWOOD MIDSTRM PTN/FIN CORP 5.75% 04/01/2025
226373AP3
1500000.00000000
PA
USD
1466250.00000000
0.003169015105
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.05750000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.97/VAR 03/05/29
06051GHG7
7295000.00000000
PA
USD
8207870.55000000
0.017739720890
Long
DBT
CORP
US
N
2
2029-03-05
Variable
0.03970000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2041#AL0762
3138EGZ49
186743.02200000
PA
USD
206420.28000000
0.000446137415
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
MILLICOM INTL CELLULAR SA
549300CTHC1CP86P2G96
MILLICOM INTL CELLULAR SA 5.125% 01/15/2028 144A
600814AN7
995000.00000000
PA
USD
1024850.00000000
0.002215014581
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
0.05125000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 2007 3
N/A
BAYC 2007-3 M2 1ML+34 7/37
07325YAD0
21725.97950000
PA
USD
20486.77000000
0.000044278181
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.01966750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2033#BH9242
3140GYHU6
117804.75600000
PA
USD
121299.33000000
0.000262164984
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 06/01/2045#AY8494
3138YNNL7
308625.03160000
PA
USD
333221.00000000
0.000720192588
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
CIT GROUP INC NEW
N8O96ZZJQRFYQUJY7K79
CIT GROUP INC NEW 6.125% 03/09/2028
125581GX0
4840000.00000000
PA
USD
5808000.00000000
0.012552865972
Long
DBT
CORP
US
N
2
2028-03-09
Fixed
0.06125000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TR 2019-4
N/A
EXETER AUTOMOBILE RECEIVABLES TR 2019-4 2.18% 01/17/2023 144A
30167GAA8
4816961.58000000
PA
USD
4830418.24000000
0.010440012527
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Fixed
0.02180000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 01/31/2022
912828H86
1450000.00000000
PA
USD
1465802.74000000
0.003168048439
Long
DBT
UST
US
N
2
2022-01-31
Fixed
0.01500000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 5.8% 01/23/2059
03523TBW7
15062000.00000000
PA
USD
21278626.47000000
0.045989625715
Long
DBT
CORP
US
N
2
2059-01-23
Fixed
0.05800000
N
N
N
N
N
N
XYLEM INC
549300DF5MV96DRYLQ48
XYLEM INC 3.25% 11/01/2026
98419MAJ9
225000.00000000
PA
USD
244618.52000000
0.000528695505
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
0.03250000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CMBX AAACDSIGEN 8/61
N/A
8700000.00000000
NC
USD
70403.01000000
0.000152162456
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
0.00000000
USD
4187.97000000
USD
8700000.00000000
USD
74590.98000000
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON and CO 2.404% 06/05/2020
075887BR9
4246000.00000000
PA
USD
4254270.87000000
0.009194781687
Long
DBT
CORP
US
N
2
2020-06-05
Fixed
0.02404000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2045#AZ0814
3138YR3Y2
2034087.83360000
PA
USD
2168899.45000000
0.004687655665
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2048#MA3277
31418CUB8
2974797.63000000
PA
USD
3159816.06000000
0.006829329803
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2041#AH6648
3138A8L61
21892.50710000
PA
USD
24343.01000000
0.000052612696
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
BP CAP MARKETS AMERICA INC
5493009NTB34VXE1T760
BP CAP MARKETS AMERICA INC 3.245% 05/06/2022
10373QAJ9
2610000.00000000
PA
USD
2709541.67000000
0.005856149006
Long
DBT
CORP
US
N
2
2022-05-06
Fixed
0.03245000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2046#G60393
31335ANJ3
97228.56400000
PA
USD
104116.47000000
0.000225027564
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.7% 04/15/2048
55336VAN0
1945000.00000000
PA
USD
2027359.18000000
0.004381743812
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
0.04700000
N
N
N
N
N
N
PROVIDENCE HEALTH and SVCS
N/A
PROVIDENCE HEALTH and SVCS 2.746% 10/01/2026
743756AB4
780000.00000000
PA
USD
837202.41000000
0.001809450696
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
0.02746000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.0% 8/29#J29007
31307JAG8
442006.19000000
PA
USD
462590.06000000
0.000999798729
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.03000000
N
N
N
N
N
N
MAGELLAN MIDSTREAM PARTNRS MLP
MZF5TI8NFVZZNUSKDL39
MAGELLAN MIDSTREAM PARTNRS MLP 4.25% 09/15/2046
559080AL0
65000.00000000
PA
USD
70651.23000000
0.000152698936
Long
DBT
CORP
US
N
2
2046-09-15
Fixed
0.04250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 10/20/44#MA2305
36179QR29
1764040.57850000
PA
USD
1899002.74000000
0.004104326252
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2042#AB7124
31417D4J9
1475820.13500000
PA
USD
1594385.61000000
0.003445955384
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.0% 02/01/2038#A73397
3128L6X20
26276.44530000
PA
USD
31118.08000000
0.000067255696
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
0.06000000
N
N
N
N
N
N
COVIDIEN INTERNATIONAL FIN SA
549300938QUWMPITJ642
COVIDIEN INT FIN 3.2% 6/15/22
22303QAN0
865000.00000000
PA
USD
895055.77000000
0.001934489517
Long
DBT
CORP
LU
N
2
2022-06-15
Fixed
0.03200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2046#Q44628
3132WJEA5
3295110.56200000
PA
USD
3478087.72000000
0.007517212291
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03500000
N
N
N
N
N
N
LAMB WESTON HOLDINGS INC
5493005SMYID1D2OY946
LAMB WESTON HOLDINGS INC 4.625% 11/01/2024 144A
513272AA2
400000.00000000
PA
USD
416332.00000000
0.000899820901
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.04625000
N
N
N
N
N
N
ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC
N/A
ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.7% 02/01/2036
03522AAH3
2765000.00000000
PA
USD
3293483.96000000
0.007118227054
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
0.04700000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 5/42 #766750
36176HTF1
176484.95180000
PA
USD
188092.30000000
0.000406525040
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03500000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 5.25% 01/15/2026
681936BH2
5841000.00000000
PA
USD
6703880.71000000
0.014489138437
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.05250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2.5% 02/01/2043#C09031
31292SA83
319800.36850000
PA
USD
331040.46000000
0.000715479773
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2027#MA1257
31418AMF2
304252.37210000
PA
USD
316100.48000000
0.000683189903
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/42#AO9948
3138M2BS4
95990.91290000
PA
USD
104082.66000000
0.000224954490
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 4.375% 11/15/2026
64110LAN6
165000.00000000
PA
USD
172788.00000000
0.000373447762
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
0.04375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 07/15/2043#AE6719
36181APC0
423195.21170000
PA
USD
448648.12000000
0.000969665929
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25069
3132M5JN3
135011.69550000
PA
USD
147997.31000000
0.000319867492
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #773113
36176QVE1
10747.11660000
PA
USD
11713.80000000
0.000025317107
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 3.95% 06/15/2025
25470DBE8
710000.00000000
PA
USD
773102.94000000
0.001670912119
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.03950000
N
N
N
N
N
N
LYONDELLBASELL INDS NV
BN6WCCZ8OVP3ITUUVN49
LYONDELLBAS IND 6% 11/15/21 WI
552081AD3
1919000.00000000
PA
USD
2040641.00000000
0.004410449891
Long
DBT
CORP
NL
N
2
2021-11-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #737532
3620ARLM1
24830.70320000
PA
USD
26947.78000000
0.000058242401
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
IQVIA INC
549300PLWY28YB00C717
IMS HEALTH INC 5% 10/15/2026 144A
449934AD0
900000.00000000
PA
USD
928444.50000000
0.002006652784
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 10/42 #Q11886
3132HNCX5
349041.12710000
PA
USD
374531.57000000
0.000809477376
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
CAPITAL ONE BK USA NATL ASSN GLEN ALLEN VA
LKE37K2B8CFZUR7F9816
CAPITAL ONE BK 3.375% 2/15/23
140420NB2
1035000.00000000
PA
USD
1082848.88000000
0.002340367916
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.03375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2038#G31067
3132J4MR7
2154194.20000000
PA
USD
2274434.43000000
0.004915749063
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 05/01/2039#AL0524
3138EGSN5
173274.93920000
PA
USD
194346.06000000
0.000420041329
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.05000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK AMER FDG CORP 3.95% 04/21/2025
06051GFP9
14568000.00000000
PA
USD
15900465.32000000
0.034365773082
Long
DBT
CORP
US
N
2
2025-04-21
Fixed
0.03950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 08/01/2034#C91778
3128P76P3
627626.95770000
PA
USD
663051.35000000
0.001433056943
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13653
3132HQBW1
127760.74030000
PA
USD
138686.52000000
0.000299744025
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
HORIZON AIRCRAFT FINANCE LTD
N/A
HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A
44040HAA0
3764160.24000000
PA
USD
3853927.56000000
0.008329517239
Long
ABS-CBDO
CORP
US
N
2
2039-07-15
Fixed
0.03721000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 04/01/2043#Q17959
3132J9JD1
381684.65860000
PA
USD
401680.55000000
0.000868154632
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049
25470DBG3
925000.00000000
PA
USD
1120685.79000000
0.002422145061
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
0.05300000
N
N
N
N
N
N
PUGET ENERGY INC NEW
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC 6% 9/01/21
745310AD4
4353000.00000000
PA
USD
4646345.27000000
0.010042174489
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AU4585
3138X4CX6
168365.90380000
PA
USD
177104.73000000
0.000382777537
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8985
3617M76W3
370690.46900000
PA
USD
396253.36000000
0.000856424813
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AE4585
31419FCX2
294966.12690000
PA
USD
320568.30000000
0.000692846230
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
NUMERICABLE SFR 7.375% 05/01/2026 144A
67054KAA7
510000.00000000
PA
USD
534837.00000000
0.001155946483
Long
DBT
CORP
FR
N
2
2026-05-01
Fixed
0.07375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2043#AL3409
3138EKYF6
991784.46060000
PA
USD
1057826.10000000
0.002286286028
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03500000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 4.25% 11/21/2049 144A
00287YBS7
3195000.00000000
PA
USD
3601904.21000000
0.007784817629
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
0.04250000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERSHIP LP 4.1% 10/01/2024
105340AN3
4892000.00000000
PA
USD
5339945.96000000
0.011541257909
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.04100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2044#AS2319
3138WBSH9
7488.38710000
PA
USD
8186.18000000
0.000017692840
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.04500000
N
N
N
N
N
N
GLAXOSMITHKLINE CAPITAL INC
5493007Q8VD7Q3ZYZS59
GLAXOSMITHKLINE CAPITAL INC 2.8% 03/18/2023
377372AH0
1425000.00000000
PA
USD
1480899.50000000
0.003200677159
Long
DBT
CORP
US
N
2
2023-03-18
Fixed
0.02800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 09/01/2046#G08729
3128MJY38
722452.16000000
PA
USD
782004.90000000
0.001690151979
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2044 #AL5713
3138ENK32
3015511.40300000
PA
USD
3335142.95000000
0.007208264884
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.75% 02/25/2023
61746BDJ2
3725000.00000000
PA
USD
3964468.55000000
0.008568430158
Long
DBT
CORP
US
N
2
2023-02-25
Fixed
0.03750000
N
N
N
N
N
N
ARGENT SECS INC
N/A
ARGENT SECS INC 1ML+36 10/25/2035
040104NC1
1791176.27600000
PA
USD
1787113.17000000
0.003862498639
Long
ABS-CBDO
CORP
US
N
2
2035-10-25
Variable
0.01986750
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 5/42 #766751
36176HTG9
311204.79410000
PA
USD
331186.35000000
0.000715795086
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS 7.625% 11/21/22
06740L8C2
27412000.00000000
PA
USD
30547384.56000000
0.066022249343
Long
EP
CORP
GB
N
2
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 04/01/2043#AR6071
3138W3W90
12620.11050000
PA
USD
13405.29000000
0.000028972935
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
PPL CAP FDG INC
549300MROK5WY0D2NU17
PPL CAP FDG INC 4.7% 06/01/2043
69352PAH6
1315000.00000000
PA
USD
1584360.04000000
0.003424287058
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
0.04700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2042#G07231
3128M9LL4
1325615.33620000
PA
USD
1414554.05000000
0.003057284332
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
MATTEL INC 6.75% 12/31/2025 144A
577081BB7
145000.00000000
PA
USD
152387.75000000
0.000329356577
Long
DBT
CORP
US
N
2
2025-12-31
Fixed
0.06750000
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2020
N/A
MARLETTE FUNDING TRUST 2020 2.24% 03/15/2030 144A
57109JAA6
3000000.00000000
PA
USD
3013550.40000000
0.006513204936
Long
ABS-CBDO
CORP
US
N
2
2030-03-15
Fixed
0.02240000
N
N
N
N
N
N
WILLIAMS PARTNERS LP
N/A
WILLIAMS PARTNERS LP 4.9% 01/15/2045
96950FAP9
470000.00000000
PA
USD
503453.95000000
0.001088118105
Long
DBT
CORP
US
N
2
2045-01-15
Fixed
0.04900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21524
3132JNVR5
40781.36350000
PA
USD
44192.42000000
0.000095513348
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/47#Q48876
3132WN2J0
481955.45800000
PA
USD
528310.61000000
0.001141840957
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 10/01/2045#AL7413
3138EQGX4
4065986.39460000
PA
USD
4405273.85000000
0.009521145353
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
TTM TECHNOLOGIES INC
549300SC4BDOIS008048
TTM TECHNOLOGIES INC 5.625% 10/01/2025 144A
87305RAH2
700000.00000000
PA
USD
714000.00000000
0.001543172573
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
0.05625000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORPORATION 5.576% 01/25/2049 144A
35137LAE5
1641000.00000000
PA
USD
2205798.71000000
0.004767406261
Long
DBT
CORP
US
N
2
2049-01-25
Fixed
0.05576000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 5/37 #190379
31368HM42
254555.20880000
PA
USD
292804.60000000
0.000632840375
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 04/01/2037#BM1257
3140J5MF3
20006855.80300000
PA
USD
20694091.30000000
0.044726266272
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2043#MA0852
36179M5M8
470999.81780000
PA
USD
500683.50000000
0.001082130315
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2032#MA3217
31418CSF2
438397.73700000
PA
USD
451402.41000000
0.000975618793
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33347
3132QPWH3
106290.52490000
PA
USD
113886.83000000
0.000246144303
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG2012-9 SH 1ML+655 06/25/2041
3136A3M81
304992.82200000
PA
USD
32778.98000000
0.000070845410
Long
ABS-CBDO
USGSE
US
N
2
2041-06-25
Variable
0.04923250
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2047#784303
3622A2X80
3906855.11860000
PA
USD
4195718.61000000
0.009068232329
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/01/2046#Q39717
3132QWYP8
35565.52220000
PA
USD
37539.89000000
0.000081135194
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 3.222% 08/15/2024
05526DAZ8
1095000.00000000
PA
USD
1149821.60000000
0.002485116466
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.03222000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3% 02/15/2049
912810SF6
28300000.00000000
PA
USD
37024359.38000000
0.080020974692
Long
DBT
UST
US
N
2
2049-02-15
Fixed
0.03000000
N
N
N
N
N
N
CDK GLOBAL INC
5493000L10CYRTHIJ385
CDK GLOBAL INC 4.875% 06/01/2027
12508EAF8
500000.00000000
PA
USD
515000.00000000
0.001113072654
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
0.04875000
N
N
N
N
N
N
TOLL BROS FIN CORP
N/A
TOLL BROS FIN CORP 5.625% 01/15/2024
88947EAQ3
885000.00000000
PA
USD
971287.50000000
0.002099249622
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.05625000
N
N
N
N
N
N
PINE STR TR I
N/A
PINE STR TR I 4.572% 02/15/2029 144A
722844AA5
7798000.00000000
PA
USD
8834893.59000000
0.019094909627
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.04572000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.775 12/03/2024
N/A
-8200000.00000000
NC
USD
-347891.56000000
-0.00075190015
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 12/29 1.775V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-05
0.00000000
USD
0.00000000
USD
-8200000.00000000
USD
1.00000000
1.77500000
USD
2024-12-03
XXXX
-112961.56000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 9/1/26 #AI8382
3138ANJ46
164847.54910000
PA
USD
172659.84000000
0.000373170769
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.03500000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL INC NEW
225YDZ14ZO8E1TXUSU86
MARRIOTT INTERNATIONAL INC 3.125% 06/15/26
571903AS2
1090000.00000000
PA
USD
1143810.36000000
0.002472124336
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.03125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR3125
36192XPJ2
130980.30020000
PA
USD
140258.32000000
0.000303141166
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
BENCHMARK 2019-B12 MTG TR
N/A
BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A
08162FAK9
40145393.35000000
PA
USD
3028154.98000000
0.006544769904
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
0.01068290
N
N
N
N
N
N
DISNEY (WALT) CO
549300GZKULIZ0WOW665
DISNEY (WALT) CO 4.75% 09/15/2044
254687EV4
2230000.00000000
PA
USD
2953581.66000000
0.006383594131
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
0.04750000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP 2.875% 02/06/2024
594918BX1
1700000.00000000
PA
USD
1795824.95000000
0.003881327463
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
0.02875000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY GL 7.375 11/15/31C
337932AC1
9948000.00000000
PA
USD
14524374.46000000
0.031391619478
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
0.07375000
N
N
N
N
N
N
ALLEGANY PK CLO LTD / ALLEGANY PK CLO LLC
N/A
ALLEGANY PK CLO LTD / ALLEGANY PK CLO LLC 3ML+133 01/20/2033 144A
017154AA3
3880000.00000000
PA
USD
3873404.00000000
0.008371611788
Long
ABS-CBDO
CORP
XX
N
2
2033-01-20
Variable
0.03149130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/48#FM1001
3140X4DF0
1375118.19400000
PA
USD
1445629.03000000
0.003124446876
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.03500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP PAY 2.54 04/05/2022
N/A
4500000.00000000
NC
USD
12328.11000000
0.000026644819
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 4/07/29 2.54V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-07
0.00000000
USD
0.00000000
USD
4500000.00000000
USD
1.00000000
2.54000000
USD
2022-04-05
XXXX
-110971.89000000
N
N
N
BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA
N/A
BBIRD 2016-1A AA 2.487% 12/16/2041 144A
09228YAA0
1698093.79200000
PA
USD
1690364.24000000
0.003653394584
Long
ABS-CBDO
CORP
KY
N
2
2041-12-16
Variable
0.02487000
N
N
N
N
N
N
OPTEUM MTG ACCEP CORP
N/A
OPMAC 2005-3 A1PT 1ML+29 7/35
68383NBZ5
1575.39760000
PA
USD
1575.53000000
0.000003405202
Long
ABS-CBDO
CORP
US
N
2
2035-07-25
Variable
0.01916750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0214
3138MFGY7
156352.88120000
PA
USD
168718.63000000
0.000364652608
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 2.836% 01/15/2050 144A
78403DAN0
8004000.00000000
PA
USD
8391151.08000000
0.018135846222
Long
ABS-CBDO
CORP
US
N
2
2050-01-15
Fixed
0.02836000
N
N
N
N
N
N
ESSEX PORTFOLIO LP
5493003GN3O58H286O74
ESSEX PORTFOLIO LP 3.875% 05/01/24
29717PAN7
2685000.00000000
PA
USD
2923604.43000000
0.006318804160
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2045#AZ2145
3138YTL36
374414.92230000
PA
USD
400984.79000000
0.000866650882
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03500000
N
N
N
N
N
N
FMC CORP
CKDHZ2X64EEBQCSP7013
FMC CORP 4.5% 10/01/2049
302491AV7
800000.00000000
PA
USD
972879.58000000
0.002102690594
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2040#AE0675
31419AXD4
882079.23600000
PA
USD
975851.58000000
0.002109113996
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #793122
36177MPG1
82519.85750000
PA
USD
87869.79000000
0.000189913515
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
PPL ELEC UTILS CORP
N/A
PPL ELEC UTILS 6.25% 5/15/39
69351UAM5
250000.00000000
PA
USD
369828.32000000
0.000799312213
Long
DBT
CORP
US
N
2
2039-05-15
Fixed
0.06250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/40#004832
36202FLM6
346921.88500000
PA
USD
369978.38000000
0.000799636538
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2048#CA1567
3140Q8W50
770774.91700000
PA
USD
830314.04000000
0.001794562820
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2045#AZ1805
3138YTAF1
302106.25100000
PA
USD
328180.53000000
0.000709298589
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/49#BR8986
3617M76X1
183574.48900000
PA
USD
197036.96000000
0.000425857188
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 11/41 #489787
36210ECY3
177003.87760000
PA
USD
188479.41000000
0.000407361703
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.03500000
N
N
N
N
N
N
WISCONSIN PWR and LT CO
JWBYHVQVMY66CVCOSO49
WISCONSIN PWR and LT CO 4.1% 10/15/2044
976826BK2
240000.00000000
PA
USD
276635.12000000
0.000597893179
Long
DBT
CORP
US
N
2
2044-10-15
Fixed
0.04100000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.65% 07/15/2026
68389XBM6
2795000.00000000
PA
USD
2950853.73000000
0.006377698239
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.02650000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 11/15/36
912833Y38
1975000.00000000
PA
USD
1521125.37000000
0.003287617578
Long
DBT
UST
US
N
2
2036-11-15
Fixed
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4% 05/29#BM5499
3140JADD7
4513954.20000000
PA
USD
4748995.34000000
0.010264032714
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 02/01/2041#AE0972
31419BCJ2
147316.77180000
PA
USD
164540.65000000
0.000355622714
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2041#AH4123
3138A5SM5
35053.71540000
PA
USD
38780.22000000
0.000083815927
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029
105340AP8
1707000.00000000
PA
USD
1978666.22000000
0.004276503420
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.04550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2044#AX8524
3138YAPJ8
502755.99590000
PA
USD
543765.95000000
0.001175244678
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04000000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 6.3% 1/15/38
00206RAG7
2523000.00000000
PA
USD
3483556.84000000
0.007529032734
Long
DBT
CORP
US
N
2
2038-01-15
Fixed
0.06300000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 06/20/2045#MA2891
36179RF87
299059.80140000
PA
USD
313722.85000000
0.000678051117
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
0.03000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 3.75% 05/15/2030
29278NAQ6
2964000.00000000
PA
USD
3003851.72000000
0.006492243120
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 02/01/2041#A96961
312945WW4
56358.97140000
PA
USD
62802.95000000
0.000135736400
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.05000000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
COMMONWEALTH EDISON CO 3.75% 08/15/2047
202795JL5
250000.00000000
PA
USD
289691.13000000
0.000626111213
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
0.03750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 2/20/43 #MA0782
36179M2P4
1095085.62470000
PA
USD
1150489.29000000
0.002486559548
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #738218
3620ASDX4
63556.53430000
PA
USD
70676.56000000
0.000152753682
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
UBS COML MTG TR 2018-C9
N/A
UBS COMMERCIAL MORTGAGE TRUST 2018-C9 ASB 4.09% 03/15/2051
90291JAU1
3300000.00000000
PA
USD
3694800.78000000
0.007985595555
Long
ABS-MBS
CORP
US
N
2
2051-03-15
Fixed
0.04090000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI PROPERTIES / NOTE 4.25% 12/01/2026 144A
92564RAA3
670000.00000000
PA
USD
676767.00000000
0.001462700662
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/01/2047#Q50433
3132XSPT1
67623.09600000
PA
USD
72920.01000000
0.000157602464
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BD2440
3140F9WA9
477599.62280000
PA
USD
503880.12000000
0.001089039189
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2049#MA3871
31418DJR4
2496788.83180000
PA
USD
2573324.90000000
0.005561742867
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
CAMDEN PROPERTY 2.95% 12/15/22
133131AT9
954000.00000000
PA
USD
982544.43000000
0.002123579294
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
0.02950000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2015-70 JC 3% 10/45
3136AQCV0
904529.94500000
PA
USD
954846.23000000
0.002063715005
Long
ABS-CBDO
USGSE
US
N
2
2045-10-25
Fixed
0.03000000
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
KROGER CO 2.65% 10/15/2026
501044DE8
530000.00000000
PA
USD
548591.68000000
0.001185674557
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
0.02650000
N
N
N
N
N
N
HEALTHCARE TRUST OF AMERICA HOLDINGS LP
549300IYGAS4GE6VDL07
HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.1% 02/15/2030
42225UAG9
1715000.00000000
PA
USD
1793011.01000000
0.003875245677
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.03100000
N
N
N
N
N
N
NATIONSTAR HECM LOAN TRUST
N/A
NATIONSTAR HECM LOAN TRUST 2018-2A 2 3.188% 07/25/2028 144A
63862TAA9
960453.89000000
PA
USD
960802.34000000
0.002076587982
Long
ABS-CBDO
CORP
US
N
2
2028-07-25
Fixed
0.03187700
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4% 01/01/2036#G30933
3132J4HK8
3264816.90610000
PA
USD
3497976.74000000
0.007560198552
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.04000000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
CAMDEN PROP TRST 4.25% 1/15/24
133131AU6
2838000.00000000
PA
USD
3090581.21000000
0.006679692098
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AL2266
3138EJQU5
461262.42640000
PA
USD
494716.04000000
0.001069232807
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 03/33#BJ0669
3140H1W71
774481.89940000
PA
USD
819172.22000000
0.001770481936
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03500000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST BUILD AMERICA BONDS-TAXABLE-SE
452152FA4
2510000.00000000
PA
USD
3146109.30000000
0.006799705299
Long
DBT
MUN
US
N
2
2035-04-01
Fixed
0.06725000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5345
3140J95F4
4288061.14800000
PA
USD
4487206.00000000
0.009698225810
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
NOVARTIS CAP CORP
5493002KF87V5RSRQS84
NOVARTIS CAP CORP 4% 11/20/2045
66989HAK4
1340000.00000000
PA
USD
1684152.33000000
0.003639968745
Long
DBT
CORP
US
N
2
2045-11-20
Fixed
0.04000000
N
N
N
N
N
N
DENBURY RESOURCES INC
549300KCWA5W52MS5559
DENBURY RESOURCES INC 9.25% 03/31/2022 144A
247916AH2
30000.00000000
PA
USD
24000.00000000
0.000051871346
Long
DBT
CORP
US
N
2
2022-03-31
Fixed
0.09250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#AL9515
3138ERSD3
1217623.30960000
PA
USD
1296800.73000000
0.002802783360
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 11/42#AB9233
36178WHJ1
557920.03250000
PA
USD
596207.35000000
0.001288586597
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.04000000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC STEP 06/15/2042
00206RJH6
7000000.00000000
PA
USD
8255653.14000000
0.017842993695
Long
DBT
CORP
US
N
2
2042-06-15
Variable
0.04900000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
STRYKER CORP 3.375% 11/01/2025
863667AH4
305000.00000000
PA
USD
331263.45000000
0.000715961723
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
0.03375000
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GRP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SC 6% 12/19/23
780097AZ4
40605000.00000000
PA
USD
45526169.67000000
0.098395989343
Long
DBT
CORP
GB
N
2
2023-12-19
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 3/36 #003829
36202EHE2
47129.83460000
PA
USD
52397.41000000
0.000113246843
Long
ABS-MBS
USGA
US
N
2
2036-03-20
Fixed
0.05000000
N
N
N
N
N
N
WFRBS COML MTG TR 2014-LC14
N/A
WFRBS COML MTG TR 2014-LC14 VAR 03/15/2047
96221TAH0
10032944.74300000
PA
USD
379264.37000000
0.000819706405
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
0.01207548
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 11/01/2046#G08737
3128MJZB9
1231273.79400000
PA
USD
1282311.32000000
0.002771467309
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03000000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FEDEX CORP 3.3% 03/15/2027
31428XBM7
280000.00000000
PA
USD
296852.72000000
0.000641589601
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.03300000
N
N
N
N
N
N
GS MTG SECS TR 2013-GCJ12
549300SSCQUZ3RRV2T53
GSMS 2013-GC12 XA CSTR 6/46
36197XAM6
5403704.73550000
PA
USD
204678.29000000
0.000442372441
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Variable
0.01417633
N
N
N
N
N
N
DOLPHIN SUBSIDIARY II INC
N/A
DOLPHIN SUBSIDIARY II INC 7.25% 10/15/2021
256882AD3
11495000.00000000
PA
USD
11897325.00000000
0.025713761390
Long
DBT
CORP
US
N
2
2021-10-15
Fixed
0.07250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FGLMC 30YR 3.5% 09/46#Q43176
3132WGQ67
5668477.93170000
PA
USD
6039932.72000000
0.013054143580
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2046#AS6515
3138WGGZ1
1708672.29780000
PA
USD
1835234.17000000
0.003966502851
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9863
3138YP5Z1
75625.68480000
PA
USD
80992.36000000
0.000175049283
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2028#MA1481
31418AUF3
436665.92910000
PA
USD
453943.36000000
0.000981110564
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
0.03000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT JUN20 FVM0
N/A
120.00000000
NC
USD
297884.40000000
0.000643819378
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UNDERLYING TREAS 5 YEAR NOTE GENERIC IV FOR FUTURES TRADING
2020-06-30
14432115.60000000
USD
297884.40000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 02/01/2029#J27464
31307GJH3
538531.75520000
PA
USD
567486.78000000
0.001226512653
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/01/2047#G08784
3128MJ2S8
3414631.90000000
PA
USD
3591441.20000000
0.007762203862
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #757631
36230SPQ1
29629.77190000
PA
USD
32128.24000000
0.000069438961
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AS0044
3138W9BN9
650259.17750000
PA
USD
684010.10000000
0.001478355218
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
CHEVRON CORP NEW
N/A
CHEVRON CORP NEW 2.566% 05/16/2023
166764BK5
4322000.00000000
PA
USD
4473908.27000000
0.009669485345
Long
DBT
CORP
US
N
2
2023-05-16
Fixed
0.02566000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 4.0% 09/01/2040#A93824
312942G90
1204865.17610000
PA
USD
1314679.60000000
0.002841425071
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.04000000
N
N
N
N
N
N
PUBLIC SERVICE ELEC and GAS CO
549300RUHPVD434XUK18
PUBLIC SVC ELEC GAS CO SCD MTN 3.65% 09/01/2028
74456QBX3
860000.00000000
PA
USD
977798.58000000
0.002113322059
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
0.03650000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 06/20/2047#MA4512
36179TAM7
5532369.80500000
PA
USD
5902042.20000000
0.012756119955
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 11/01/2033#G30872
3132J4FN4
8517013.79300000
PA
USD
8933818.56000000
0.019308716770
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2048#BK0915
3140HEAR3
1087762.14900000
PA
USD
1149637.11000000
0.002484717727
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2047#Q51803
3132XUAD7
869932.04700000
PA
USD
935637.93000000
0.002022199988
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 3.1% 05/01/2026
097023CH6
360000.00000000
PA
USD
381441.64000000
0.000824412152
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.03100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AK9784
3138EE2S7
1190494.88450000
PA
USD
1276836.95000000
0.002759635520
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2045#MA3035
36179RLQ0
4701492.15300000
PA
USD
5022663.31000000
0.010855512974
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.04000000
N
N
N
N
N
N
BENCHMARK 2018-B3 COML MTG TR
N/A
BENCHMARK 2018-B3 COML MTG TR 3.746% 04/10/2051
08161BAW3
1700000.00000000
PA
USD
1847516.14000000
0.003993047948
Long
ABS-MBS
CORP
US
N
2
2051-04-10
Fixed
0.03746000
N
N
N
N
N
N
TOLL BROS FIN CORP
N/A
TOLL BROS FIN CORP 4.375% 4/15/23
88947EAN0
5000000.00000000
PA
USD
5200000.00000000
0.011238791848
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.04375000
N
N
N
N
N
N
MICHIGAN FIN AUTH RE
N/A
MICHIGAN FIN AU 3.384% 12/1/2040
59447TXX6
545000.00000000
PA
USD
614024.25000000
0.001327094372
Long
DBT
MUN
US
N
2
2040-12-01
Fixed
0.03384000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.0% 09/45#AZ8147
3140E1BR3
372844.88470000
PA
USD
401859.79000000
0.000868542025
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5.75% 1/25/21
61747WAF6
4996000.00000000
PA
USD
5174299.30000000
0.011183244768
Long
DBT
CORP
US
N
2
2021-01-25
Fixed
0.05750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 01/01/2046#Q38296
3132QVGE5
1060731.93770000
PA
USD
1139841.33000000
0.002463546047
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2044#AW5713
3138XVK33
4037.98250000
PA
USD
4414.26000000
0.000009540567
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2041#768109
36176KDN4
35052.19530000
PA
USD
38007.90000000
0.000082146707
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPE 3.95% 2/15/23
105340AM5
4006000.00000000
PA
USD
4253574.69000000
0.009193277029
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.03950000
N
N
N
N
N
N
ARES XLI CLO LTD / ARES XLI CLO LLC
549300X38KZ67Q2FQG11
ARES XLI CLO LTD / ARES XLI CLO LLC 3ML+120 01/15/2029 144A
04016DAJ4
9133000.00000000
PA
USD
9125693.60000000
0.019723417470
Long
ABS-CBDO
CORP
KY
N
2
2029-01-15
Variable
0.03031250
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 12/39 #004598
36202FDB9
304408.91730000
PA
USD
333976.89000000
0.000721826297
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.5% 07/32#BM3929
3140J8LK7
6050390.41000000
PA
USD
6385211.15000000
0.013800395966
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 03/01/2043#Q16049
3132J7EX6
128516.59530000
PA
USD
139386.53000000
0.000301256960
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 07/01/2028#AU1659
3138X0ZZ4
348768.67000000
PA
USD
358569.63000000
0.000774978737
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9077
3138YPCP5
45063.00930000
PA
USD
48260.85000000
0.000104306470
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 03/01/2045#AZ3300
3138YUU25
114652.17100000
PA
USD
123789.41000000
0.000267546810
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE 4.35% 8/15/21
46625HJC5
4947000.00000000
PA
USD
5140725.36000000
0.011110681206
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
0.04350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2039#AA8725
31416SVT5
190945.75520000
PA
USD
215239.75000000
0.000465198989
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2040#AH0944
3138A2BN8
307938.98030000
PA
USD
334811.49000000
0.000723630123
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
CABLEVISION SYSTEMS CORP
N/A
CABLEVISION 5.875% 9/15/22
12686CBB4
1600000.00000000
PA
USD
1680240.00000000
0.003631513003
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
0.05875000
N
N
N
N
N
N
CPS AUTO RECEIVABLES TR 2019-D
N/A
CPS AUTO RECEIVABLES TR 2019-D 2.17% 12/15/2022 144A
12655KAA6
1529728.18000000
PA
USD
1533919.48000000
0.003315269566
Long
ABS-CBDO
CORP
US
N
2
2022-12-15
Fixed
0.02170000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT EFX 5.5422% 07/05/2033 144A
46645WBG7
1934000.00000000
PA
USD
2085994.80000000
0.004508473337
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.05542200
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q33724
3132QQD66
286462.12030000
PA
USD
308814.73000000
0.000667443167
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/40 #782918
36241LG34
686791.60430000
PA
USD
766949.87000000
0.001657613451
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.05000000
N
N
N
N
N
N
KFC HOLDING CO/PIZZA HUT HOLDINGS LLC/TACO BELL OF AMERICA LLC
N/A
KFC HOLDING CO/PIZZA HUT HOLDINGS LLC/TACO BELL OF AMERICA LLC 5% 06/01/2024 144A
48250NAA3
300000.00000000
PA
USD
302364.00000000
0.000653501165
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/32#BJ6650
3140H8L86
490001.29600000
PA
USD
508929.65000000
0.001099952769
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
ALBERTA ENERGY CO LTD(OLD)
N/A
ALBERTA 8.125% 9/15/30
012873AH8
6179000.00000000
PA
USD
7781632.77000000
0.016818490566
Long
DBT
CORP
CA
N
2
2030-09-15
Fixed
0.08125000
N
N
N
N
N
N
APOLLO AVIATION SECURITIZATION EQUITY TRUST
N/A
APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A
00255UAA3
3903000.00000000
PA
USD
3902921.94000000
0.008435409093
Long
ABS-CBDO
CORP
US
N
2
2040-01-16
Fixed
0.03351000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2033#MA3246
31418CTC8
1447825.88400000
PA
USD
1490774.34000000
0.003222019711
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 7/42 #Q09199
3132GURU0
232388.71770000
PA
USD
249360.04000000
0.000538943381
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 01/01/2040#AC9526
31417WSQ5
546546.02530000
PA
USD
626246.10000000
0.001353509531
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2048#Q59935
3132Y4BD3
3851579.07100000
PA
USD
4172531.15000000
0.009018117130
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
ZIGGO BV
213800TQASLF9JXH5J59
ZIGGO BV 5.5% 01/15/2027 144A
98954NAA7
1529000.00000000
PA
USD
1574931.16000000
0.003403908362
Long
DBT
CORP
NL
N
2
2027-01-15
Fixed
0.05500000
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A
202712BK0
3419000.00000000
PA
USD
3634903.90000000
0.007856140061
Long
DBT
CORP
AU
N
2
2034-09-12
Variable
0.03610000
N
N
N
N
N
N
CHC COML MTG TR 2019-CHC
N/A
CHC COML MTG TR 2019-CHC B 1ML+140 06/15/2034 144A
162665AG8
2119000.00000000
PA
USD
2115677.62000000
0.004572626998
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.03158500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2048#BK4764
3140HJJJ1
2815853.26500000
PA
USD
2973387.02000000
0.006426399577
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
0.04000000
N
N
N
N
N
N
QUEST DIAGNOSTICS INC
8MCWUBXQ0WE04KMXBX50
QUEST DIAGNOSTIC 5.75 1/30/40
74834LAQ3
68000.00000000
PA
USD
82620.97000000
0.000178569208
Long
DBT
CORP
US
N
2
2040-01-30
Fixed
0.05750000
N
N
N
N
N
N
COMM 2015-CCRE24 MTG TR
N/A
COMM 2015-CCRE24 A4 3.432% 08/10/2055
12593JBE5
1500000.00000000
PA
USD
1622073.15000000
0.003505796633
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Fixed
0.03432000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/45#G08672
3128MJXA3
238555.44350000
PA
USD
257166.94000000
0.000555816482
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
TYSON FOODS INC 4% 03/01/2026
902494BJ1
2520000.00000000
PA
USD
2813307.71000000
0.006080419184
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
0.04000000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
ATMOS ENERGY CORP 3.375% 09/15/2049
049560AS4
1595000.00000000
PA
USD
1747407.80000000
0.003776683180
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
0.03375000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.4% 06/10/2025
172967JT9
17376000.00000000
PA
USD
19336358.58000000
0.041791790228
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
0.04400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 6/40 #AD7859
31418VWV0
337846.54490000
PA
USD
378719.15000000
0.000818528018
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 04/20/2043#AD9075
36180NCL7
1446125.29400000
PA
USD
1518735.53000000
0.003282452402
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03500000
N
N
N
N
N
N
MEMORIAL SLOAN KETTERING CANCER CTR
549300IZ71UAMEHWL382
MEMORIAL SLOAN 5% 7/01/42
586054AA6
225000.00000000
PA
USD
311647.47000000
0.000673565585
Long
DBT
CORP
US
N
2
2042-07-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 1/37 #661586
36294V6X3
6325.58920000
PA
USD
7184.19000000
0.000015527233
Long
ABS-MBS
USGA
US
N
2
2037-01-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 08/20/2042#MA0317
36179MK66
350503.47320000
PA
USD
368236.50000000
0.000795871802
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17613
3132J83X6
31055.59780000
PA
USD
33100.37000000
0.000071540032
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINANCE BV
724500PBR8LR26XBSP67
EMBRAER NETHERLANDS BV 5.4% 02/01/2027
29082HAB8
75000.00000000
PA
USD
85031.25000000
0.000183778561
Long
DBT
CORP
NL
N
2
2027-02-01
Fixed
0.05400000
N
N
N
N
N
N
MAGELLAN MIDSTREAM PARTNRS MLP
MZF5TI8NFVZZNUSKDL39
MAGELLAN MIDSTREAM PARTNRS MLP 3.95% 03/01/2050
559080AP1
1035000.00000000
PA
USD
1085174.76000000
0.002345394855
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
0.03950000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 3.85% 07/15/2029
92936UAF6
1725000.00000000
PA
USD
1927647.00000000
0.004166235267
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
0.03850000
N
N
N
N
N
N
PROSPER MARKETPLACE ISSUANCE TRUST SERIES 2019
N/A
PROSPER MARKETPLACE ISSUANCE TRUST SERIES 2019 2.48% 02/17/2026 144A
74362GAA9
2019846.62000000
PA
USD
2029827.49000000
0.004387078586
Long
ABS-CBDO
CORP
US
N
2
2026-02-17
Fixed
0.02480000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 02/01/2034#G16752
3128MFWM6
8555787.20300000
PA
USD
9082644.88000000
0.019630376007
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
VALEANT PHARMACEUTICALS INTL INC CDA 7% 03/15/2024 144A
91911KAK8
1300000.00000000
PA
USD
1338454.00000000
0.002892808827
Long
DBT
CORP
CA
N
2
2024-03-15
Fixed
0.07000000
N
N
N
N
N
N
MASCO CORP
5GCSNMQXHEYA1JO8QN11
MASCO CORP 4.45% 04/01/2025
574599BJ4
1610000.00000000
PA
USD
1793607.12000000
0.003876534053
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.04450000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT CORP 3.9% 10/01/2027
26884LAF6
89000.00000000
PA
USD
58072.50000000
0.000125512449
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
0.03900000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 12/15/2040#737704
3620ARRZ6
177773.27820000
PA
USD
192930.30000000
0.000416981439
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.4% 08/15/2049
674599CY9
1569000.00000000
PA
USD
1492759.21000000
0.003226309623
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
0.04400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 12/01/2032#J38057
31307U5S3
870830.07600000
PA
USD
904852.71000000
0.001955663704
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 11/20/2048#MA5595
36179UGC0
67009995.51300000
PA
USD
70383540.03000000
0.152120376146
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 04/01/2041#AH9677
3138ABXF1
39926.18220000
PA
USD
44469.47000000
0.000096112137
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.05000000
N
N
N
N
N
N
BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA
N/A
BLACKBIRD AIRCRAF 2016-1A A STEP 12/16/2041 144A
09228YAB8
8846301.91640000
PA
USD
9058622.89000000
0.019578457133
Long
ABS-CBDO
CORP
KY
N
2
2041-12-16
Variable
0.04213000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM1884
3140J6CW5
923759.82600000
PA
USD
959443.93000000
0.002073652042
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2049#MA5817
36179UPA4
17244008.25300000
PA
USD
18055556.12000000
0.039023584027
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/46#BC9077
3140F5CP6
6154533.97010000
PA
USD
6550893.34000000
0.014158485898
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA 6.572% 01/14/2022 144A
904678AJ8
7600000.00000000
PA
USD
8162674.89000000
0.017642039233
Long
DBT
CORP
IT
N
2
2022-01-14
Fixed
0.06572000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 08/20/2045#MA3104
36179RNV7
931879.50360000
PA
USD
977570.02000000
0.002112828071
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2049#FM1534
3140X4V45
4615074.13500000
PA
USD
5016277.76000000
0.010841711846
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/42#AB6934
31417DV42
330342.17200000
PA
USD
354300.63000000
0.000765752121
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.085% 01/07/2021
345397ZK2
4004000.00000000
PA
USD
4108045.30000000
0.008878743467
Long
DBT
CORP
US
N
2
2021-01-07
Fixed
0.05085000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2.875% 10/30/2020
3135G0U84
765000.00000000
PA
USD
773915.55000000
0.001672668418
Long
DBT
USGSE
US
N
2
2020-10-30
Fixed
0.02875000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/41 #005202
36202FX76
1006276.40300000
PA
USD
1071266.97000000
0.002315335863
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.03500000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
ANTHEM INC 3.65% 12/01/2027
036752AB9
3535000.00000000
PA
USD
3865359.04000000
0.008354224167
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.03650000
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 6.484% 10/23/2045
161175BA1
1295000.00000000
PA
USD
1665473.81000000
0.003599598746
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
0.06484000
N
N
N
N
N
N
CHUBB CORP
N/A
CHUBB CORP 6.0% 05/11/2037
171232AQ4
300000.00000000
PA
USD
453810.95000000
0.000980824385
Long
DBT
CORP
US
N
2
2037-05-11
Fixed
0.06000000
N
N
N
N
N
N
TOLL BROS FIN CORP
N/A
TOLL BROS FIN C 5.875% 2/15/22
88947EAK6
12000000.00000000
PA
USD
12570000.00000000
0.027167617987
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
0.05875000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 5.2% 05/12/2026
06738EAP0
1701000.00000000
PA
USD
1897074.27000000
0.004100158238
Long
DBT
CORP
GB
N
2
2026-05-12
Fixed
0.05200000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045
3136ANY68
1131681.73850000
PA
USD
234009.60000000
0.000505766381
Long
ABS-CBDO
USGSE
US
N
2
2045-06-25
Fixed
0.06000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BK NEW CASTLE DEL 3.2% 08/09/2021
25466AAF8
6369000.00000000
PA
USD
6504919.43000000
0.014059122204
Long
DBT
CORP
US
N
2
2021-08-09
Fixed
0.03200000
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTYS LTD PARTNERSHIP 4.5% 12/01/2028
10112RBA1
5210000.00000000
PA
USD
6151228.75000000
0.013294688371
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2044#AW7233
3138XXBB1
421093.67560000
PA
USD
459227.20000000
0.000992530560
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR6381
3138W4CT6
33606.26160000
PA
USD
35529.09000000
0.000076789239
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 05/15/2042#AA1859
36177YB47
41237.27720000
PA
USD
44688.75000000
0.000096586069
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.04000000
N
N
N
N
N
N
SOFTBANK GROUP CORP
5493003BZYYYCDIO0R13
SOFTBANK GROUP CORP 5.375% 07/30/2022 REGS
N/A
200000.00000000
PA
USD
208700.00000000
0.000451064588
Long
DBT
CORP
JP
N
2
2022-07-30
Fixed
0.05375000
N
N
N
N
N
N
HACKENSACK MERIDIAN HEALTH
N/A
HACKENSACK MERIDIAN HEALTH 4.5% 07/01/2057
404530AA5
385000.00000000
PA
USD
521258.34000000
0.001126598842
Long
DBT
MUN
US
N
2
2057-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/42#AK5132
3138E9V23
87579.25610000
PA
USD
93575.26000000
0.000202244782
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/41#AL1431
3138EHSV5
920063.05500000
PA
USD
1017010.84000000
0.002198071757
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04500000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 4.375% 03/19/2024
87165BAN3
3130000.00000000
PA
USD
3373100.12000000
0.007290301948
Long
DBT
CORP
US
N
2
2024-03-19
Fixed
0.04375000
N
N
N
N
N
N
CENTERPOINT ENER HOUS ELEC LLC
549300S8SEQBOJLKHW63
CENTERPOINT ENRG 2.25% 8/01/22
15189XAL2
530000.00000000
PA
USD
541260.77000000
0.001169830217
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
0.02250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/46#Q43257
3132WGTP2
3085044.65530000
PA
USD
3298776.24000000
0.007129665291
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/42 #AQ5136
3138MLV68
688061.03480000
PA
USD
733878.12000000
0.001586135275
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
CHC COML MTG TR 2019-CHC
N/A
CHC COML MTG TR 2019-CHC 1ML+175 06/15/2034 144A
162665AJ2
2394000.00000000
PA
USD
2390246.69000000
0.005166054810
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.03408500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 04/01/2028#MA1419
31418ASH2
385370.77080000
PA
USD
400618.62000000
0.000865859477
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0198
3138MFGG6
760100.90980000
PA
USD
820216.30000000
0.001772738512
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TENNESSEE VALLEY AUTHORITY 2.875% 02/01/2027
880591EU2
1320000.00000000
PA
USD
1464659.90000000
0.003165578412
Long
DBT
USGSE
US
N
2
2027-02-01
Fixed
0.02875000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN 4.8% 7/15/21
571748AR3
1026000.00000000
PA
USD
1065096.30000000
0.002301999156
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
0.04800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2044#AV6341
3138XJBK2
140351.77090000
PA
USD
152809.59000000
0.000330268302
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04500000
N
N
N
N
N
N
CIT GROUP INC NEW
N8O96ZZJQRFYQUJY7K79
CIT GROUP INC NEW 4.75% 02/16/2024
125581GY8
2480000.00000000
PA
USD
2635000.00000000
0.005695041638
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 12/37 #967254
31414JBX0
78874.32000000
PA
USD
91042.20000000
0.000196770064
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4% 05/01/2037#C91938
3128P8EK3
8565023.02460000
PA
USD
9157965.86000000
0.019793167703
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
0.04000000
N
N
N
N
N
N
ENCANA CORP
CZ72ZHBVKZXQRV3XFE26
ENCANA CORP 5.15% 11/15/41
292505AK0
3000000.00000000
PA
USD
2920857.99000000
0.006312868263
Long
DBT
CORP
CA
N
2
2041-11-15
Fixed
0.05150000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AU2287
36194PRG1
69187.59250000
PA
USD
74088.51000000
0.000160127950
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
CHASE ISSUANCE TR
5493008SHVCX2Y068L12
CHAIT 2012-A7 A7 2.16% 09/16/24
161571FQ2
800000.00000000
PA
USD
819464.00000000
0.001771112562
Long
ABS-CBDO
CORP
US
N
2
2024-09-15
Fixed
0.02160000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 2/34 #725162
31402CTT9
115472.66180000
PA
USD
133932.57000000
0.000289469283
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.06000000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.75% 04/15/2058
035240AP5
6987000.00000000
PA
USD
8446171.86000000
0.018254762971
Long
DBT
CORP
US
N
2
2058-04-15
Fixed
0.04750000
N
N
N
N
N
N
ENCANA CORP
CZ72ZHBVKZXQRV3XFE26
ENCANA CORP 6.5% 8/15/34
292505AD6
1165000.00000000
PA
USD
1249215.37000000
0.002699936830
Long
DBT
CORP
CA
N
2
2034-08-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.0% 06/01/2029#J28440
31307HLV7
313224.56860000
PA
USD
326930.24000000
0.000706596330
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2042#C03792
31292LF91
793526.75360000
PA
USD
848254.23000000
0.001833337062
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9337
36184HLS1
665485.89650000
PA
USD
691280.99000000
0.001494069837
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 10/41 #Q04113
3132GKGW0
1030450.13330000
PA
USD
1123079.87000000
0.002427319401
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BC2269
3140EWQX6
306054.39210000
PA
USD
328723.93000000
0.000710473043
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2046#AX5803
36196HNU0
20455.80030000
PA
USD
21918.60000000
0.000047372804
Long
ABS-MBS
USGA
US
N
2
2046-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#CA1545
3140Q8WF8
477021.09100000
PA
USD
513695.81000000
0.001110253900
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
CISCO SYSTEMS INC
8E6NF1YAL0WT6CWXXV93
CISCO SYSTEMS INC 2.9% 03/04/2021
17275RAP7
150000.00000000
PA
USD
152020.25000000
0.000328562297
Long
DBT
CORP
US
N
2
2021-03-04
Fixed
0.02900000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.419%/VAR 12/20/2028
06051GHD4
14538000.00000000
PA
USD
15708665.04000000
0.033951233962
Long
DBT
CORP
US
N
2
2028-12-20
Variable
0.03419000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AL1521
3138EHVP4
328010.35430000
PA
USD
357328.84000000
0.000772297010
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/47#MA4720
36179TG58
12423655.72260000
PA
USD
13144229.00000000
0.028408702642
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/43#AS0080
3138W9CS7
61702.44290000
PA
USD
66158.20000000
0.000142988122
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
TOLEDO HOSP
5493009DCR7NWV6K4T34
TOLEDO HOSP 6.015% 11/15/2048
889184AE7
5710000.00000000
PA
USD
7396573.55000000
0.015986259715
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
0.06015000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.0% 11/01/2031#MA0908
31418AAJ7
1313827.85880000
PA
USD
1407448.34000000
0.003041926717
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.04000000
N
N
N
N
N
N
FORD CR FLOORPLAN MAST OWN TR
N/A
FORD CR FLOORPLAN MAST OWN TR 4.06% 11/15/2030
34528PAK2
5435000.00000000
PA
USD
6239512.61000000
0.013485496819
Long
ABS-CBDO
CORP
US
N
2
2030-11-15
Fixed
0.04060000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+595 02/16/2040
38376WKH7
584606.80000000
PA
USD
101867.03000000
0.000220165835
Long
ABS-CBDO
USGA
US
N
2
2040-02-16
Variable
0.04291500
N
N
N
N
N
N
KINDER MORGAN INC DEL
549300WR7IX8XE0TBO16
KINDER MORGAN INC DEL 5.55% 06/01/2045
49456BAH4
3329000.00000000
PA
USD
3961061.15000000
0.008561065723
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
0.05550000
N
N
N
N
N
N
VOYA FINANCIAL INC
549300T065Z4KJ686G75
VOYA FINANCIAL INC 3.125% 07/15/2024
929089AD2
3436000.00000000
PA
USD
3634461.44000000
0.007855183770
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.03125000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 3.422% 02/25/2029
3137FLMV3
7200000.00000000
PA
USD
8194623.12000000
0.017711089139
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Fixed
0.03422000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.0% 08/01/2032#AL6039
3138ENV97
1426854.77220000
PA
USD
1530312.87000000
0.003307474578
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33623
3132QQAZ5
108379.40980000
PA
USD
116125.00000000
0.000250981673
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2042#Q09230
3132GUST2
874226.86820000
PA
USD
951174.13000000
0.002055778472
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04000000
N
N
N
N
N
N
HANCOCK JOHN SOVEREIGN BD FD
WKGWVLWSOXTPDPZACG18
JHancock Bond A
410223101
14979415.11700000
NS
USD
247759526.04000000
0.535484181089
Long
EC
RF
US
N
1
N
N
N
FLATIRON CLO LTD
N/A
FLATIRON CLO LTD 3ML+132 11/16/2032 144A
33883JAB7
7901000.00000000
PA
USD
7903370.30000000
0.017081602635
Long
ABS-CBDO
CORP
KY
N
2
2032-11-16
Variable
0.03214910
N
N
N
N
N
N
AGL CAP CORP
N/A
AGL CAP CORP 3.5% 9/15/21
001192AJ2
1030000.00000000
PA
USD
1054283.80000000
0.002278630034
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
0.03500000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 3.65% 05/24/2021
87166FAC7
5843000.00000000
PA
USD
5986917.18000000
0.012939560769
Long
DBT
CORP
US
N
2
2021-05-24
Fixed
0.03650000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 3.45% 02/01/2050
20030NCZ2
755000.00000000
PA
USD
833237.09000000
0.001800880425
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
0.03450000
N
N
N
N
N
N
TANGER PPTYS LTD PARTNERSHIP
PQPGJDNFN35EXH363L31
TANGER PPTYS LTD PARTNERSHIP 3.75% 12/01/2024
875484AH0
3352000.00000000
PA
USD
3538789.23000000
0.007648406836
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.03750000
N
N
N
N
N
N
HYDRO-QUEBEC
6THEVG93PYJH84S4D167
HYDRO-Q 8.05% 7/07/24P06
448814EJ8
1455000.00000000
PA
USD
1872148.50000000
0.004046286019
Long
DBT
CORP
CA
N
2
2024-07-07
Fixed
0.08050000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.5% 04/15/2024
29278NAH6
1723000.00000000
PA
USD
1866662.41000000
0.004034428899
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
0.04500000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS INC 3.125% 06/15/2023
92277GAH0
1414000.00000000
PA
USD
1480866.18000000
0.003200605144
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.03125000
N
N
N
N
N
N
PANAMA REPUBLIC OF
549300SHS4T08CL0LP14
PANAMA REPUBLIC OF 3.16% 01/23/2030
698299BK9
1725000.00000000
PA
USD
1827421.88000000
0.003949618101
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
0.03160000
N
N
N
N
N
N
DCP MIDSTREAM LLC
VQOHU6HCVU6YY1KUKU03
DCP MIDSTREAM LLC 5.85%/VAR 05/21/2043 144A
23311RAH9
7892000.00000000
PA
USD
7102800.00000000
0.015351325142
Long
DBT
CORP
US
N
2
2043-05-21
Variable
0.05850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2045#AZ4750
3138YWH42
582540.09100000
PA
USD
620784.55000000
0.001341705450
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5% 04/48#784805
3622AAGN8
10786767.85000000
PA
USD
11727370.77000000
0.025346438272
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.05000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.5% 04/19/2026
06051GFX2
5358000.00000000
PA
USD
5852671.03000000
0.012649413743
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
0.03500000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026
11120VAC7
5706000.00000000
PA
USD
6326434.61000000
0.013673361870
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2043#Q16673
3132J72F8
1068687.40540000
PA
USD
1124674.34000000
0.002430765539
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 3.85% 05/25/2028
3137FG6Y6
660000.00000000
PA
USD
763621.12000000
0.001650419003
Long
ABS-MBS
USGSE
US
N
2
2028-05-25
Fixed
0.03850000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 04/01/2044#Q25598
3132M53F7
5014358.36800000
PA
USD
5496646.38000000
0.011879935486
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR3124
36192XPH6
129520.51370000
PA
USD
138695.13000000
0.000299762633
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A
46645WBE2
1414000.00000000
PA
USD
1537439.23000000
0.003322876824
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.05350300
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 6.384% 10/23/2035
161175AZ7
2985000.00000000
PA
USD
3933197.16000000
0.008500843111
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
0.06384000
N
N
N
N
N
N
LINCOLN NATIONAL CORP IND
EFQMQROEDSNBRIP7LE47
LINCOLN NATIONAL CORP IND 4.35% 03/01/2048
534187BG3
165000.00000000
PA
USD
188484.69000000
0.000407373114
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
0.04350000
N
N
N
N
N
N
NOVARTIS CAP CORP
5493002KF87V5RSRQS84
NOVARTIS CAP CRP 2.4% 9/21/22
66989HAE8
4195000.00000000
PA
USD
4317233.83000000
0.009330863918
Long
DBT
CORP
US
N
2
2022-09-21
Fixed
0.02400000
N
N
N
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP 4.11%/VAR 07/24/2034
961214EF6
4937000.00000000
PA
USD
5404005.59000000
0.011679710379
Long
DBT
CORP
AU
N
2
2034-07-24
Variable
0.04110000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAROLINAS LLC 2.95% 12/01/2026
26442CAS3
1270000.00000000
PA
USD
1360895.12000000
0.002941310957
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
0.02950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 11/1/42 #Q13634
3132HQBB7
172931.68210000
PA
USD
183727.39000000
0.000397091133
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
SUTTER HEALTH
549300MJCC12LU768G81
SUTTER HEALTH 4.091% 08/15/48
86944BAE3
2640000.00000000
PA
USD
3329228.73000000
0.007195482444
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
0.04091000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 1/1/43 #AB7570
31417EMU2
355192.09750000
PA
USD
375403.88000000
0.000811362705
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.45 09/04/2024
N/A
-10500000.00000000
NC
USD
-343853.79000000
-0.00074317330
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 9/06/29 1.45V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-09-06
0.00000000
USD
0.00000000
USD
-10500000.00000000
USD
1.00000000
1.45000000
USD
2024-09-04
XXXX
-36203.79000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 8/31#J35097
31307RUW3
321166.60000000
PA
USD
332933.66000000
0.000719571558
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
LIBERTY MUTUAL GROUP INC 4.569% 02/01/2029 144A
53079EBG8
1847000.00000000
PA
USD
2173535.51000000
0.004697675610
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.04569000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 11/01/2044#AL7307
3138EQDM1
1116396.25950000
PA
USD
1246341.55000000
0.002693725625
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.05000000
N
N
N
N
N
N
BAYVIEW COML ASST TR 2007 2
N/A
BAYC 2007-2 A1 1ML+27 7/37
07325XAA8
110607.55910000
PA
USD
105147.36000000
0.000227255633
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.01896750
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 4.836% 05/09/2028
06738EAW5
6667000.00000000
PA
USD
7375788.24000000
0.015941336297
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
0.04836000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 11/36 #904131
31411CPQ8
10164.94280000
PA
USD
11676.43000000
0.000025236339
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5109
3140J9VB4
6122474.90100000
PA
USD
6364721.03000000
0.013756110544
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783295
36241LUU8
1062095.38830000
PA
USD
1170893.68000000
0.002530659681
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2047#AS8821
3138WJYT9
6245564.79590000
PA
USD
6674996.09000000
0.014426709931
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04000000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 3.664% 09/08/2024
345397WW9
1275000.00000000
PA
USD
1271197.47000000
0.002747446877
Long
DBT
CORP
US
N
2
2024-09-08
Fixed
0.03664000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 01/42#G60517
31335ASE9
1646289.72890000
PA
USD
1821609.54000000
0.003937055855
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04500000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST 2019-4
N/A
FLAGSHIP CREDIT AUTO TRUST 2019-4 2.17% 06/17/2024 144A
33845FAA4
2174736.63000000
PA
USD
2190255.55000000
0.004733812734
Long
ABS-CBDO
CORP
US
N
2
2024-06-17
Fixed
0.02170000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2045#G08677
3128MJXF2
966187.47940000
PA
USD
1041567.01000000
0.002251145158
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 1/40 #723623
3620A94G3
48329.03670000
PA
USD
53340.15000000
0.000115284392
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2045#Q35722
3132QSLC0
1010401.56290000
PA
USD
1089546.32000000
0.002354843134
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 4.25% 04/15/2047
91324PCZ3
645000.00000000
PA
USD
780569.35000000
0.001687049316
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
0.04250000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3% 11/01/2036#AS8249
3138WJEX2
2341206.30000000
PA
USD
2442969.88000000
0.005280005764
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 12/01/2030#BM4716
3140J9G21
1458921.67510000
PA
USD
1536267.87000000
0.003320345156
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
0.03500000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST 4.95% 06/01/23
452151LE1
6685090.91000000
PA
USD
7072491.93000000
0.015285820125
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
0.04950000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 4.1% 03/25/2025
126650CW8
30084000.00000000
PA
USD
32970880.19000000
0.071260165292
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
0.04100000
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GRP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 6.125% 12/15/2022
780099CE5
5889000.00000000
PA
USD
6424432.77000000
0.013885165893
Long
DBT
CORP
GB
N
2
2022-12-15
Fixed
0.06125000
N
N
N
N
N
N
PROVIDENCE HEALTH and SVCS
N/A
PROVIDENCE HEALTH and SVCS 2.532% 10/01/2029
743820AA0
790000.00000000
PA
USD
817084.49000000
0.001765969712
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.02532000
N
N
N
N
N
N
LG and E and KU ENERGY LLC
N/A
LG and E and KU ENERG 3.75% 11/20
50188FAD7
211000.00000000
PA
USD
213027.60000000
0.000460417856
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
0.03750000
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 4.908% 07/23/2025
161175AY0
7565000.00000000
PA
USD
8476249.41000000
0.018319769764
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
0.04908000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 09/39#G05624
3128M7SM9
128741.65400000
PA
USD
142733.48000000
0.000308490744
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 09/01/2043#Q21596
3132JNXZ5
46659.87780000
PA
USD
49104.32000000
0.000106129467
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/45#AZ9583
3140E2UH2
300620.36570000
PA
USD
324014.73000000
0.000700295020
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 12/39 #890385
31410LF23
327942.37600000
PA
USD
389736.82000000
0.000842340576
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.06000000
N
N
N
N
N
N
CISCO SYSTEMS INC
8E6NF1YAL0WT6CWXXV93
CISCO SYSTEMS INC 1.85% 09/20/21
17275RBJ0
725000.00000000
PA
USD
730065.13000000
0.001577894236
Long
DBT
CORP
US
N
2
2021-09-20
Fixed
0.01850000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FIN SV 5.2% 4/22
254709AG3
1093000.00000000
PA
USD
1177176.97000000
0.002544239795
Long
DBT
CORP
US
N
2
2022-04-27
Fixed
0.05200000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 5.8% 04/01/2047
42809HAH0
4517000.00000000
PA
USD
5002632.92000000
0.010812221169
Long
DBT
CORP
US
N
2
2047-04-01
Fixed
0.05800000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 6.25% 02/01/2027 144A
88033GCX6
120000.00000000
PA
USD
125700.00000000
0.000271676179
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
0.06250000
N
N
N
N
N
N
HOLLY EN PART LP/ HOL FIN CORP
N/A
HOLLY EN PART LP/ HOL FIN CORP 5% 02/01/2028 144A
435765AH5
285000.00000000
PA
USD
286781.25000000
0.000619822072
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 09/01/2027#AB6136
31417CZA6
923986.56080000
PA
USD
949952.06000000
0.002053137205
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
0.02500000
N
N
N
N
N
N
NORTONLIFELOCK INC
YF6ZV0M6AU4FY94MK914
SYMANTEC CORP 5% 04/15/2025 144A
871503AU2
1100000.00000000
PA
USD
1116678.23000000
0.002413483497
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.05000000
N
N
N
N
N
N
TELEFLEX INC
UUL85LWXB4NGSWWXIQ25
TELEFLEX INC 4.875% 06/01/2026
879369AE6
1000000.00000000
PA
USD
1042500.00000000
0.002253161635
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.04875000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2046#MA3803
36179SGL5
10090843.52570000
PA
USD
10663727.96000000
0.023047580552
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 07/01/2045#AZ0833
3138YR4T2
2002427.25910000
PA
USD
2162011.30000000
0.004672768264
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2043#G07345
3128M9P63
4472079.46460000
PA
USD
4893651.22000000
0.010576678354
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2048#BK7608
3140HMN26
2724045.58000000
PA
USD
2873038.07000000
0.006209514777
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/41 #489862
36210EFB0
566602.89160000
PA
USD
614380.49000000
0.001327864315
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783262
36241LTT3
67275.55770000
PA
USD
74167.09000000
0.000160297785
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
LYB INTERNATIONAL FINANCE II BV
549300ZSNDBYN4Z4VZ93
LYB INTERNATIONAL FINANCE II BV 3.5% 03/02/2027
50247WAB3
1170000.00000000
PA
USD
1269505.13000000
0.002743789212
Long
DBT
CORP
NL
N
2
2027-03-02
Fixed
0.03500000
N
N
N
N
N
N
BERKSHIRE HATHAWAY INC DEL
5493000C01ZX7D35SD85
BERKSHIRE HATHAWAY INC DEL 2.75% 03/15/2023
084670BR8
2695000.00000000
PA
USD
2799358.57000000
0.006050270822
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2032#MA3154
31418CQG2
142506.55200000
PA
USD
146733.88000000
0.000317136833
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 06/01/2043#AT5225
3138WSYX0
624820.40120000
PA
USD
646282.98000000
0.001396815362
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.02500000
N
N
N
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
DOWDUPONT INC 4.493% 11/15/2025
26078JAC4
2875000.00000000
PA
USD
3240944.61000000
0.007004673435
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.04493000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2048#MA5397
36179T7J8
14652113.88120000
PA
USD
15356892.28000000
0.033190945341
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.5% 8/44#AS3037
3138WCLT8
113809.46290000
PA
USD
121992.50000000
0.000263663137
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AU1628
3138X0Y28
612793.78350000
PA
USD
644600.11000000
0.001393178165
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE1526
3140FLVU9
426973.55710000
PA
USD
454471.17000000
0.000982251323
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21526
3132JNVT1
130076.14890000
PA
USD
140956.04000000
0.000304649152
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
SHELL INTL FIN B V
213800ITMMKU4Z7I4F78
SHELL INTL FIN B V 3.25% 05/11/2025
822582BD3
1465000.00000000
PA
USD
1578712.07000000
0.003412080066
Long
DBT
CORP
NL
N
2
2025-05-11
Fixed
0.03250000
N
N
N
N
N
N
BENCHMARK 2019-B MORTGAGE TRUST
N/A
BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061
08162YAK8
22980081.17000000
PA
USD
1307479.29000000
0.002825862997
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
0.00791233
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.875% 09/10/2024
46625HJY7
10030000.00000000
PA
USD
10863017.58000000
0.023478306428
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
0.03875000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 4.875% 04/15/2028
64110LAS5
145000.00000000
PA
USD
152642.95000000
0.000329908142
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2028#MA1387
31418ARH3
408341.20360000
PA
USD
424497.92000000
0.000917469954
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/46#AS7009
36193SYE3
113126.33600000
PA
USD
121139.66000000
0.000261819889
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34623
31307RD44
42260.72470000
PA
USD
44466.49000000
0.000096105697
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP 3.6% 09/15/2037
907818EQ7
640000.00000000
PA
USD
709926.00000000
0.001534367411
Long
DBT
CORP
US
N
2
2037-09-15
Fixed
0.03600000
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 5.375% 05/01/2047
161175BL7
31249000.00000000
PA
USD
35956401.55000000
0.077712790893
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2048#BM5261
3140J9Z38
4774334.55900000
PA
USD
5081719.59000000
0.010983151674
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04000000
N
N
N
N
N
N
TIME WARNER CABLE INC
B1WXCWLJVJXMWJX6O298
TIME WARNER CABLE INC 4% 09/01/2021
88732JBA5
16424000.00000000
PA
USD
16879404.84000000
0.036481561062
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.0% 08/45#AZ9030
3140E2A84
196948.54140000
PA
USD
212213.59000000
0.000458658531
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
UPGRADE RECEIVABLES TRUST 2019-1
549300W601N3GF6G0630
UPGRADE RECEIVABLES TRUST 2019-1 3.48% 03/15/2025 144A
91532HAA6
1046566.11000000
PA
USD
1050169.23000000
0.002269737188
Long
ABS-CBDO
CORP
US
N
2
2025-03-15
Fixed
0.03480000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 04/01/2033#K90336
3132J2LR2
664272.71400000
PA
USD
694289.80000000
0.001500572797
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 5/35 #003710
36202EDP1
100541.44420000
PA
USD
111385.24000000
0.000240737601
Long
ABS-MBS
USGA
US
N
2
2035-05-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS6968
36193SW54
125225.30740000
PA
USD
134095.67000000
0.000289821792
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FLY LEASING LTD
549300LI58A0MHGHTZ98
FLY LEASING LTD 5.25% 10/15/2024
34407DAC3
160000.00000000
PA
USD
164000.00000000
0.000354454204
Long
DBT
CORP
BM
N
2
2024-10-15
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2047#MA3149
31418CQB3
7143129.96160000
PA
USD
7603024.67000000
0.016432463785
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 3.375% 02/15/2030 144A
15135BAU5
4420000.00000000
PA
USD
4420000.00000000
0.009552973071
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.03375000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034
3137BGB32
788902.45100000
PA
USD
59011.01000000
0.000127540857
Long
ABS-CBDO
USGSE
US
N
2
2034-02-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719232
3620A5A90
84272.41640000
PA
USD
92905.06000000
0.000200796275
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2041#AI8715
3138ANVH3
289177.29060000
PA
USD
319648.13000000
0.000690857461
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2044#MA2303
36179QRY9
3530499.12950000
PA
USD
3750794.16000000
0.008106614390
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
0.03500000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO MTN 4.3% 07/22/2027
94974BGL8
21880000.00000000
PA
USD
24620802.36000000
0.053213090936
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
0.04300000
N
N
N
N
N
N
DEERE JOHN CAPITAL CORP
E0KSF7PFQ210NWI8Z391
DEERE JOHN CAPITAL CORP MTN 2.8% 01/27/2023
24422ERT8
990000.00000000
PA
USD
1033287.65000000
0.002233250926
Long
DBT
CORP
US
N
2
2023-01-27
Fixed
0.02800000
N
N
N
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GRP AG 2.593%/VAR 09/11/2025 144A
225401AM0
13060000.00000000
PA
USD
13333382.50000000
0.028817521260
Long
DBT
CORP
CH
N
2
2025-09-11
Variable
0.02593000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 10/35 #1N0063
3128QGB84
4417.07070000
PA
USD
4633.36000000
0.000010014109
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.04873000
N
N
N
N
N
N
CD 2017-CD6 MTG TR
N/A
CD MTG TR 2017-CD6 A3 3.104% 11/13/2050
125039AC1
2500000.00000000
PA
USD
2656714.50000000
0.005741973320
Long
ABS-MBS
CORP
US
N
2
2050-11-13
Fixed
0.03104000
N
N
N
N
N
N
COMM 2014-CCRE17 MTG TR
N/A
COMM 2014-CCRE17 XA CSTR 05/10/2047
12631DBC6
18926885.83120000
PA
USD
660926.85000000
0.001428465248
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
0.00973487
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 10/01/2042#AB6694
31417DNL3
525865.34650000
PA
USD
552831.09000000
0.001194837220
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
N
N
N
N
N
N
REPUBLICA ORIENTAL DEL URUGUAY
549300RDR012H2V82H43
URUGUAY REPUBLICA ORIENTAL DL 4.975% 04/20/2055
760942BD3
740000.00000000
PA
USD
920837.50000000
0.001990211728
Long
DBT
NUSS
UY
N
2
2055-04-20
Fixed
0.04975000
N
N
N
N
N
N
MYLAN NV
549300A0CD4KNFGIIS89
MYLAN NV 3.95% 06/15/2026
62854AAN4
2804000.00000000
PA
USD
3048624.94000000
0.006589011754
Long
DBT
CORP
NL
N
2
2026-06-15
Fixed
0.03950000
N
N
N
N
N
N
CLEARWAY ENERGY OPERATING LLC
549300Z3NFMM54NWBB87
CLEARWAY ENERGY OPER LLC 4.75% 03/15/2028 144A
18539UAC9
60000.00000000
PA
USD
61050.00000000
0.000131947738
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 05/01/2049#BN6649
3140JPL78
4021663.32420000
PA
USD
4142429.05000000
0.008953057277
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 3/1/28 #J22814
31307BDT4
533126.51500000
PA
USD
550160.44000000
0.001189065128
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.02500000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 04/03/2026
00774MAL9
4282000.00000000
PA
USD
4679924.50000000
0.010114749485
Long
DBT
CORP
IE
N
2
2026-04-03
Fixed
0.04450000
N
N
N
N
N
N
CDK GLOBAL INC
5493000L10CYRTHIJ385
CDK GLOBAL INC 5.875% 06/15/2026
12508EAG6
200000.00000000
PA
USD
209260.00000000
0.000452274919
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.05875000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTL GRP 4.125% 2/24
026874CY1
360000.00000000
PA
USD
393103.90000000
0.000849617866
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.04125000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 1ML+ 08/20/2062
38375BUL4
968424.92430000
PA
USD
969216.90000000
0.002094774422
Long
ABS-CBDO
USGA
US
N
2
2062-08-20
Variable
0.02254380
N
N
N
N
N
N
PUGET SOUND ENERGY INC
8MNFJR7KOMBQ7X62LK44
PUGET SOUND MTN 5.764% 7/15/40
745332CC8
285000.00000000
PA
USD
394823.10000000
0.000853333584
Long
DBT
CORP
US
N
2
2040-07-15
Fixed
0.05764000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2042#Q13237
3132HPS21
1292877.19860000
PA
USD
1379619.43000000
0.002981779923
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2049#SD8001
3132DV3J2
32158335.76200000
PA
USD
33395264.34000000
0.072177389354
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2048#V83994
3132L9NK7
1553404.20600000
PA
USD
1655179.37000000
0.003577349309
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
INTERNATIONAL PAPER CO
824LMFJDH41EY779Q875
INTERNATIONAL PAPER CO 5.15% 05/15/2046
460146CN1
116000.00000000
PA
USD
143745.65000000
0.000310678353
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
0.05150000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 11
N/A
1000000.00000000
NC
USD
1841.30000000
0.000003979612
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S11 PRC INDX
CMBX0AAA
Y
2054-11-18
0.00000000
USD
1951.24000000
USD
1000000.00000000
USD
3792.54000000
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028
681936BK5
7569000.00000000
PA
USD
8506572.48000000
0.018385307201
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2047#BM4754
3140J9H87
8943616.57500000
PA
USD
9449724.21000000
0.020423746812
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLMC 6.25% 7/15/32
3134A4KX1
40000.00000000
PA
USD
61398.36000000
0.000132700651
Long
DBT
USGSE
US
N
2
2032-07-15
Fixed
0.06250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 07/01/2043#Q20557
3132JMTN9
598237.93050000
PA
USD
629578.72000000
0.001360712343
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.45% 09/29/27
172967KA8
6075000.00000000
PA
USD
6865834.39000000
0.014839169918
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
0.04450000
N
N
N
N
N
N
ALABAMA POWER and LIGHT
0RL818ELFOHP5JHOFU19
ALABAMA POWER CO 4.1% 1/15/42
010392FG8
225000.00000000
PA
USD
259017.16000000
0.000559815374
Long
DBT
CORP
US
N
2
2042-01-15
Fixed
0.04100000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 5.017% 06/26/2024 144A
46115HAT4
31005000.00000000
PA
USD
32644743.76000000
0.070555284628
Long
DBT
CORP
IT
N
2
2024-06-26
Fixed
0.05017000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/46#AS8572
3138WJQ27
4427645.75500000
PA
USD
4671282.28000000
0.010096071002
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 07/45#Q34946
3132QRP87
1772431.66000000
PA
USD
1871933.31000000
0.004045820927
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES GRP INC
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GRP INC 3.9% 04/29/2024
693475AP0
375000.00000000
PA
USD
405295.35000000
0.000875967322
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
0.03900000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 01/20/2044#MA1599
36179NX45
2193335.21330000
PA
USD
2302931.79000000
0.004977340582
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 06/20/2042#MA0154
36179ME30
371411.40500000
PA
USD
395166.95000000
0.000854076749
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2042#AO7760
3138LYTS6
135891.91950000
PA
USD
149913.70000000
0.000324009397
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04500000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 2007 3
N/A
BAYC 2007-3 M1 1ML+31 7/37
07325YAC2
20312.89890000
PA
USD
19311.16000000
0.000041737328
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.01936750
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 1.625% 01/07/2025
3135G0X24
2480000.00000000
PA
USD
2550260.21000000
0.005511893011
Long
DBT
USGSE
US
N
2
2025-01-07
Fixed
0.01625000
N
N
N
N
N
N
TOWD PT MTG TR 2019-1
N/A
TOWD PT MTG TR 2019-1 3.75% 03/25/2058 144A
89177BAA3
2725328.10200000
PA
USD
2908397.93000000
0.006285938259
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/42#AP5393
3138M87F4
220617.81530000
PA
USD
236618.39000000
0.000511404775
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 2.572/VAR 02/11/2031
95000U2J1
1965000.00000000
PA
USD
2002743.66000000
0.004328542138
Long
DBT
CORP
US
N
2
2031-02-11
Variable
0.02572000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2046#G60824
31335A4H8
2303460.39220000
PA
USD
2490368.93000000
0.005382449621
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AK6572
3138EBJS5
1266030.38510000
PA
USD
1357850.76000000
0.002934731164
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
REGIONS BANK OF ALABAMA
EQTWLK1G7ODGC2MGLV11
REGIONS BANK OF ALABAMA 6.45% 06/26/2037
75913MAA7
2533000.00000000
PA
USD
3574977.44000000
0.007726620636
Long
DBT
CORP
US
N
2
2037-06-26
Fixed
0.06450000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK AMER FDG CORP 4.0% 01/22/2025
06051GFM6
45375000.00000000
PA
USD
49435241.21000000
0.106844689604
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
0.04000000
N
N
N
N
N
N
LINCOLN NATIONAL CORP IND
EFQMQROEDSNBRIP7LE47
LINCOLN NATIONAL CORP IND 3.05% 01/15/2030
534187BJ7
130000.00000000
PA
USD
137035.53000000
0.000296175730
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.03050000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 5.088%/VAR 06/20/2030
06738EBK0
13438000.00000000
PA
USD
15257951.48000000
0.032977103984
Long
DBT
CORP
GB
N
2
2030-06-20
Variable
0.05088000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 07/01/2032#C91467
3128P7TY9
9478523.57560000
PA
USD
10007584.43000000
0.021629453522
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
GILEAD SCIENCES INC 4.5% 02/01/2045
375558BA0
665000.00000000
PA
USD
814087.98000000
0.001759493337
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
0.04500000
N
N
N
N
N
N
FORTIVE CORP
549300MU9YQJYHDQEF63
FORTIVE CORP 3.15% 06/15/2026
34959JAG3
275000.00000000
PA
USD
290469.10000000
0.000627792644
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.03150000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
EG GLOBAL FINANCE PLC 8.5% 10/30/2025 144A
28228PAB7
380000.00000000
PA
USD
391286.00000000
0.000845688828
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
0.08500000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 3.95% 11/06/2024
254709AK4
2567000.00000000
PA
USD
2781570.04000000
0.006011824363
Long
DBT
CORP
US
N
2
2024-11-06
Fixed
0.03950000
N
N
N
N
N
N
CB RICHARD ELLIS SERVICES INC
549300CTE3HOMEUMM603
CBRE SERVICES INC 4.875% 03/01/26
12505BAD2
12670000.00000000
PA
USD
14533109.44000000
0.031410498443
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
0.04875000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC 6.625% 01/15/2027
629377CC4
400000.00000000
PA
USD
417048.00000000
0.000901368396
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.06625000
N
N
N
N
N
N
BAKER HUGHES A GE CO LLC / BAKER HUGHES CO-OBLIGOR INC
N/A
BAKER HUGHES A GE CO LLC / CO-OBLIGOR INC 4.08% 12/15/2047
05723KAF7
145000.00000000
PA
USD
153510.43000000
0.000331783032
Long
DBT
CORP
US
N
2
2047-12-15
Fixed
0.04080000
N
N
N
N
N
N
DCP MIDSTREAM LLC
VQOHU6HCVU6YY1KUKU03
DCP MIDSTREAM LLC 4.75% 09/30/2021 144A
23311RAE6
2017000.00000000
PA
USD
2005301.40000000
0.004334070197
Long
DBT
CORP
US
N
2
2021-09-30
Fixed
0.04750000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.5% 03/13/2027
71654QCG5
30470000.00000000
PA
USD
31879237.50000000
0.068900791260
Long
DBT
CORP
MX
N
2
2027-03-13
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 3/37 #256636
31371NBD6
265304.16450000
PA
USD
305474.64000000
0.000660224210
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#AS8461
3138WJMK1
1167896.07790000
PA
USD
1236905.54000000
0.002673331519
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
HCP INC
PZ9HF5U52KPF0MH0QN75
HCP INC 3% 01/15/2030
42250PAA1
925000.00000000
PA
USD
972408.01000000
0.002101671387
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.03000000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO 4.125% 8/15/23
94974BFN5
280000.00000000
PA
USD
301870.54000000
0.000652434646
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 6/40 #A92350
312940TF6
20443.65830000
PA
USD
22928.09000000
0.000049554621
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.05000000
N
N
N
N
N
N
OHIO ST UNIV GEN RCPTS
N/A
OHIO ST UNIV TXBL-SER A
677632PA3
1678000.00000000
PA
USD
2588163.98000000
0.005593814661
Long
DBT
MUN
US
N
2
2111-06-01
Fixed
0.04800000
N
N
N
N
N
N
SERVICE CORP INTERNATIONAL INC
549300RKVM2ME20JHZ15
SERVICE CORP INTERNATIONAL INC 5.125% 06/01/2029
817565CE2
270000.00000000
PA
USD
291937.50000000
0.000630966306
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
0.05125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AS4285
36193NXN5
1874513.56500000
PA
USD
1999094.11000000
0.004320654343
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 5/39 #AA7165
31416Q6B6
25344.02200000
PA
USD
28085.82000000
0.000060702054
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
PNC FINANCIAL SERVICES GRP INC
CFGNEKW0P8842LEUIA51
PNC FINCL SRVC 8.729 STEP11/22
693475AL9
275000.00000000
PA
USD
283440.32000000
0.000612601299
Long
DBT
CORP
US
N
2
2022-11-09
Variable
0.02854000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 5.75% 8/15/42
91529YAJ5
2238000.00000000
PA
USD
2723637.85000000
0.005886615166
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
0.05750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 4/45#Q32729
3132QPA79
1308623.80340000
PA
USD
1382087.98000000
0.002987115216
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2048#Q58998
3132Y27L4
393957.60000000
PA
USD
421630.72000000
0.000911273057
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
CORPORACION NACIONAL DEL COBRE DE CHILE
549300UVMBCBCIPSUI70
CORPORACION NACIONAL DEL COBRE DE CHILE 3.625% 08/01/2027 144A
21987BAW8
2033000.00000000
PA
USD
2174039.38000000
0.004698764627
Long
DBT
CORP
CL
N
2
2027-08-01
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 10/33 #254903
31371LDG1
190849.81860000
PA
USD
212895.28000000
0.000460131872
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.05000000
N
N
N
N
N
N
ENTEGRIS INC
IYX6OWO7BT5DKO3BYG52
ENTEGRIS INC 4.625% 02/10/2026 144A
29362UAB0
400000.00000000
PA
USD
412500.00000000
0.000891538776
Long
DBT
CORP
US
N
2
2026-02-10
Fixed
0.04625000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO 4.75% 08/01/2043
406216BE0
445000.00000000
PA
USD
480225.33000000
0.001037913946
Long
DBT
CORP
US
N
2
2043-08-01
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2032#MA3060
31418CMJ0
2812548.79200000
PA
USD
2922074.22000000
0.006315496908
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2029#MA1837
31418BBF2
429561.93810000
PA
USD
446558.29000000
0.000965149167
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
0.03000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2.375% 01/19/2023
3135G0T94
455000.00000000
PA
USD
473649.17000000
0.001023700852
Long
DBT
USGSE
US
N
2
2023-01-19
Fixed
0.02375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2045#AS5263
3138WEZ51
2970372.06320000
PA
USD
3146815.73000000
0.006801232110
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
BERKSHIRE HATHAWAY INC DEL
5493000C01ZX7D35SD85
BERKSHIRE HATHAWAY INC DEL 3.125% 03/15/2026
084670BS6
1615000.00000000
PA
USD
1750546.95000000
0.003783467844
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.03125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.0% 12/01/2029#MA2149
31418BL79
2147395.70910000
PA
USD
2231690.01000000
0.004823365287
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 9/39 #AD0242
31418MHU9
551914.85440000
PA
USD
636879.55000000
0.001376491672
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4% 05/01/2038#C91994
3128P8GB1
6786229.14000000
PA
USD
7241184.05000000
0.015650415437
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.04000000
N
N
N
N
N
N
CENTURY TELEPHONE ENTERPR(OLD)
N/A
CENTURY TEL ENTP 6.875 1/15/28
156686AM9
15000.00000000
PA
USD
16650.00000000
0.000035985746
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.06875000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.395 02/24/2025
N/A
-9100000.00000000
NC
USD
-289336.23000000
-0.00062534416
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 02/26/30 1.395%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-26
0.00000000
USD
0.00000000
USD
-9100000.00000000
USD
1.00000000
1.39500000
USD
2025-02-24
XXXX
-21796.23000000
N
N
N
PETRO-CANADA INC
N/A
PETRO-CANADA 6.8% 5/15/38
71644EAJ1
350000.00000000
PA
USD
510918.99000000
0.001104252342
Long
DBT
CORP
CA
N
2
2038-05-15
Fixed
0.06800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BM4980
3140J9RA1
7374411.22800000
PA
USD
7996051.97000000
0.017281916096
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 4.1% 07/24/2023
06053FAA7
13989000.00000000
PA
USD
15148796.37000000
0.032741186376
Long
DBT
CORP
US
N
2
2023-07-24
Fixed
0.04100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2041#AB4058
31417AQL6
700764.39690000
PA
USD
760822.15000000
0.001644369572
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
IBM CORPORATION
VGRQXHF3J8VDLUA7XE92
IBM CORPORATION 3.625% 02/12/2024
459200HU8
3865000.00000000
PA
USD
4170236.40000000
0.009013157472
Long
DBT
CORP
US
N
2
2024-02-12
Fixed
0.03625000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
LOCKHEED MARTIN CORP 2.9% 03/01/2025
539830BE8
3640000.00000000
PA
USD
3871592.56000000
0.008367696712
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
0.02900000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2043#AD5682
36180HJ33
46552.64960000
PA
USD
50565.39000000
0.000109287287
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.5% 05/20/2065
38376REN2
590376.13840000
PA
USD
591138.49000000
0.001277631238
Long
ABS-CBDO
USGA
US
N
2
2065-05-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 05/01/43#AB9339
31417GLV6
83083.10690000
PA
USD
88070.49000000
0.000190347289
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
AERCAP GLOBAL AVIATION TR
635400FBSV8LXXNRV758
AERCAP GLOBAL AVIATION TR 6.5%/VAR 06/15/2045 144A
00773HAA5
180000.00000000
PA
USD
193500.00000000
0.000418212735
Long
DBT
CORP
US
N
2
2045-06-15
Variable
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2044#MA2149
36179QL66
4893571.63140000
PA
USD
5255390.57000000
0.011358507826
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
0.04000000
N
N
N
N
N
N
VERDE CDO LTD
N/A
VERDE CDO LTD 2019-1A 3ML+135 04/15/2032 144A
92338BAC9
8662000.00000000
PA
USD
8662000.00000000
0.018721233652
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Variable
0.03181250
N
N
N
N
N
N
EATON VANCE MUT FDS TR
549300FGUNKHMTW51F25
Eaton Vance Floating Rate Adv
277911533
22545645.49800000
NS
USD
196598028.74000000
0.424908523624
Long
EC
RF
US
N
1
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 10/01/2043#G07527
3128M9VU3
192420.25100000
PA
USD
202500.86000000
0.000437666348
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.03000000
N
N
N
N
N
N
ZIGGO BOND CO
213800JYI4P7V5QDOG59
ZIGGO BOND CO 5.125% 02/28/2030 144A
98953GAD7
215000.00000000
PA
USD
217644.50000000
0.000470396390
Long
DBT
CORP
NL
N
2
2030-02-28
Fixed
0.05125000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 3.375% 10/01/2024
828807CS4
2620000.00000000
PA
USD
2791901.24000000
0.006034153249
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.03375000
N
N
N
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
DDR CORP 4.25% 02/01/26
23317HAE2
5582000.00000000
PA
USD
6119092.73000000
0.013225232595
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
0.04250000
N
N
N
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSO 3.125% 11/21
075887BA6
1050000.00000000
PA
USD
1077025.78000000
0.002327782414
Long
DBT
CORP
US
N
2
2021-11-08
Fixed
0.03125000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
APPLE INC 3.25% 02/23/2026
037833BY5
9525000.00000000
PA
USD
10392156.00000000
0.022460630411
Long
DBT
CORP
US
N
2
2026-02-23
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2041#AI5034
3138AJSY9
21664.50450000
PA
USD
24102.68000000
0.000052093269
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2041#AI5633
3138AKHK8
53678.73620000
PA
USD
59719.86000000
0.000129072899
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNMA 6.625% 11/15/30
31359MGK3
670000.00000000
PA
USD
1011651.98000000
0.002186489620
Long
DBT
USGSE
US
N
2
2030-11-15
Fixed
0.06625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2030#AS5103
3138WEU56
495376.35420000
PA
USD
514821.96000000
0.001112687855
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #778863
36176XB81
117017.43540000
PA
USD
124603.92000000
0.000269307215
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 10/40 #A94662
312943FB4
29134.56540000
PA
USD
32246.32000000
0.000069694168
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2042#AK2717
3138E7AT1
47215.96990000
PA
USD
51262.53000000
0.000110794020
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
SOUTHERN NAT GAS CO / SOUTHN NAT ISSUING CORP
N/A
SOUTHERN NAT GAS MTN 4.4% 6/21
84345PAB8
527000.00000000
PA
USD
542016.22000000
0.001171462975
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
0.04400000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 2.651% 11/25/2029
3137FQKN2
13700000.00000000
PA
USD
14889660.05000000
0.032181113461
Long
ABS-MBS
USGSE
US
N
2
2029-11-25
Fixed
0.02651000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 05/01/2033#G18687
3128MMXR9
143368.44500000
PA
USD
147590.79000000
0.000318988878
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2047#BJ2421
3140H3VP8
127690.18900000
PA
USD
134237.66000000
0.000290128676
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.03500000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY INC 5.25% 06/15/2037
15135UAP4
605000.00000000
PA
USD
640422.81000000
0.001384149741
Long
DBT
CORP
CA
N
2
2037-06-15
Fixed
0.05250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#796180
36177Q2N2
52458.43760000
PA
USD
56931.06000000
0.000123045448
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
METROPOLITAN LIFE GLBL FDG I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLBL FDG I FRN SOFR+50 05/28/2021 144A
59217GCY3
31400000.00000000
PA
USD
31462132.75000000
0.067999300209
Long
DBT
CORP
US
N
2
2021-05-28
Variable
0.02080000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 5.5% 02/15/2049
55336VAT7
4516000.00000000
PA
USD
5072514.94000000
0.010963257607
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
0.05500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK AMER FDG CORP 4.2% 08/26/2024
06051GFH7
2028000.00000000
PA
USD
2226266.63000000
0.004811643702
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
0.04200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/46#Q38879
3132QV2M2
70154.54050000
PA
USD
75759.36000000
0.000163739168
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
Voya Funds/USA
N/A
Voya Intermediate Bond I
92913L684
112470101.25500000
NS
USD
1198931279.38000000
2.591257517250
Long
EC
RF
US
N
1
N
N
N
SABLE INTL FINANCE LTD
2138009IE9A35LO5JS73
SABLE INTL FIN LTD 5.75% 09/07/2027 144A
785712AG5
585000.00000000
PA
USD
609862.50000000
0.001318099556
Long
DBT
CORP
KY
N
2
2027-09-07
Fixed
0.05750000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3.75% 02/25/26
38143U8H7
1650000.00000000
PA
USD
1803547.05000000
0.003898017285
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
0.03750000
N
N
N
N
N
N
SUNOCO LP / SUNOCO FIN CORP
N/A
SUNOCO LP / SUNOCO FIN CORP 5.5% 02/15/2026
86765LAL1
500000.00000000
PA
USD
507550.00000000
0.001096970923
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2048#BK1653
3140HEZT2
1369615.64400000
PA
USD
1480120.75000000
0.003198994042
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1406
3138WAR41
238477.50660000
PA
USD
251898.11000000
0.000544428927
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS4272
36193NW97
1606792.88050000
PA
USD
1713580.66000000
0.003703572375
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/41#AH7932
3138A9Y65
291228.74970000
PA
USD
321915.76000000
0.000695758503
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2046#MA3874
36179SJT5
636462.20470000
PA
USD
672595.88000000
0.001453685594
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
0.03500000
N
N
N
N
N
N
NEW YORK NY CTY MUN WTR FIN AU
N/A
NEW YORK NY CITY MUN WTR FIN AUTH WTR and SWR REV BUILD AMERICA BONDS
64972FK88
25000.00000000
PA
USD
40722.25000000
0.000088013248
Long
DBT
MUN
US
N
2
2042-06-15
Fixed
0.05952000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2042#Q06998
3132GSDB2
1052917.14500000
PA
USD
1124546.99000000
0.002430490297
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 12/40 #AE9423
31419LPH0
24454.82000000
PA
USD
26999.17000000
0.000058353471
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 04/01/2027#AB4924
31417BPJ0
1859786.61830000
PA
USD
1934534.60000000
0.004181121479
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
0.03000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC 3.9% 04/01/2035
26875PAN1
205000.00000000
PA
USD
240261.62000000
0.000519278910
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
0.03900000
N
N
N
N
N
N
CITIGROUP MTG LN TR 2009-5
N/A
CMLTI 2009-5 5A1 CSTR 01/37 144A
17315GAJ7
113373.19740000
PA
USD
114620.98000000
0.000247731026
Long
ABS-CBDO
CORP
US
N
2
2037-01-25
Variable
0.04354090
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
ABBOTT LABORATORIES 2.55% 03/15/2022
002824BA7
500000.00000000
PA
USD
512703.41000000
0.001108109020
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.02550000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479596
36209RXZ1
91016.40780000
PA
USD
98691.18000000
0.000213301851
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2041#AJ1874
3138ATCL2
491215.01750000
PA
USD
524845.42000000
0.001134351620
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 6/25 #MA0442
31417YP43
32940.37420000
PA
USD
34649.11000000
0.000074887333
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 12/01/2033#C91737
3128P74W0
222272.83950000
PA
USD
234887.78000000
0.000507664397
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
0.03500000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
HOME DEPOT INC 3.75% 2/15/24
437076BC5
4226000.00000000
PA
USD
4609332.98000000
0.009962179600
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.03750000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 2.85% 07/25/2022
87165BAQ6
2029000.00000000
PA
USD
2074881.59000000
0.004484454288
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
0.02850000
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 3.75% 03/26/2025
225433AC5
16672000.00000000
PA
USD
18023852.62000000
0.038955063058
Long
DBT
CORP
GG
N
2
2025-03-26
Fixed
0.03750000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 2.25% 06/15/2026
097023BR5
1335000.00000000
PA
USD
1340009.64000000
0.002896171042
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.02250000
N
N
N
N
N
N
CNH EQUIP TR 2019-C
N/A
CNH EQUIPMENT TRUST 2019-C 1.99% 03/15/2023
12597CAB3
4300000.00000000
PA
USD
4321162.88000000
0.009339355798
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
0.01990000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.905 10/28/2024
N/A
15700000.00000000
NC
USD
730211.08000000
0.001578209679
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 10/29 3MLV1.905
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-10-30
0.00000000
USD
0.00000000
USD
15700000.00000000
USD
1.00000000
1.90500000
USD
2024-10-28
XXXX
300816.08000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2042#AL2782
3138EKCU7
240041.98680000
PA
USD
265185.38000000
0.000573146785
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04500000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 1.684 01/27/2025
N/A
-8000000.00000000
NC
USD
-151923.76000000
-0.00032835375
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Written
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 01/29/30 3MLV1.684%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-29
0.00000000
USD
0.00000000
USD
-8000000.00000000
USD
1.00000000
1.68400000
USD
2025-01-27
XXXX
77196.24000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2042#AJ1884
3138ATCW8
492084.65000000
PA
USD
525774.59000000
0.001136359841
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #738229
3620ASEA3
46073.90010000
PA
USD
51235.40000000
0.000110735383
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
NEW JERSEY ECO DEV AUTH ST PEN
N/A
NEW JERSEY ECO DEV AUTH ST PENSER A MBIA
645913AA2
9315000.00000000
PA
USD
12162781.80000000
0.026287494798
Long
DBT
MUN
US
N
2
2029-02-15
Fixed
0.07425000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2046#BM4621
3140J9D32
13256131.08800000
PA
USD
14138839.62000000
0.030558360667
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV2.0 MAC 03/18/30
N/A
-32510000.00000000
NC
USD
-1727905.82000000
-0.00373453343
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2030-03-18
0.00000000
USD
0.00000000
USD
-33418655.18000000
USD
-1727905.82000000
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL C 1ML+130 10/15/2036 144A
056054AF6
4818084.93000000
PA
USD
4830173.99000000
0.010439484628
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.02908500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 11/01/2037#C91960
3128P8E98
1205771.73370000
PA
USD
1268929.21000000
0.002742544473
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2044#AS1626
3138WAYY7
2208517.43800000
PA
USD
2419835.67000000
0.005230005654
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2047#BE9261
3140FVJF4
403030.64250000
PA
USD
436556.06000000
0.000943531286
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 11/20/2042#AB9917
36178XAS6
107107.62400000
PA
USD
114324.01000000
0.000247089183
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.04000000
N
N
N
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
GEORGIA POWER CO 2.65% 09/15/2029
373334KL4
150000.00000000
PA
USD
155002.73000000
0.000335008349
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.02650000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.591/VAR 07/22/2028
61744YAK4
2610000.00000000
PA
USD
2856750.42000000
0.006174312179
Long
DBT
CORP
US
N
2
2028-07-22
Variable
0.03591000
N
N
N
N
N
N
PIMCO FUNDS
Y52315K7L96R2YWLTM72
PIMCO Income Instl
72201F490
103550190.06500000
NS
USD
1239495775.08000000
2.678929810253
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/27#AP4736
3138M8HN6
256042.36770000
PA
USD
266013.09000000
0.000574935720
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 02/01/2042#AK2415
3138E6VH6
929983.07570000
PA
USD
1009685.60000000
0.002182239671
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/39 #782727
36241LA48
62488.88740000
PA
USD
69840.80000000
0.000150947348
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/41 #AL1193
3138EHKF8
428774.12910000
PA
USD
466191.40000000
0.001007582328
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 08/01/2045#AZ2035
3138YTHM9
430460.78670000
PA
USD
463959.37000000
0.001002758228
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC VAR 08/28/2023
28414HAE3
4020000.00000000
PA
USD
4305769.10000000
0.009306085127
Long
DBT
CORP
US
N
2
2023-08-28
Variable
0.05022000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2034#C91764
3128P75Z2
298373.97380000
PA
USD
315214.74000000
0.000681275548
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.03500000
N
N
N
N
N
N
CROWN AMERICAS LLC / CROWN AMERICAS CAPITAL CORP V
N/A
CROWN AMERICAS LLC / CROWN AMERICAS CAPITAL CORP V 4.25% 09/30/2026
22819KAB6
600000.00000000
PA
USD
617583.00000000
0.001334785920
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2044#AW5423
3138XVAZ3
89335.39700000
PA
USD
97659.96000000
0.000211073069
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
0.04500000
N
N
N
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
WESTAR ENERGY INC 4.125% 3/42
95709TAH3
655000.00000000
PA
USD
808645.17000000
0.001747729758
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
0.04125000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST TAXM 7.35% 7/01/35
452152GS4
4655000.00000000
PA
USD
6015842.70000000
0.013002077672
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
0.07350000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.004%/VAR 12/20/2023
06051GHC6
10921000.00000000
PA
USD
11317015.55000000
0.024459535021
Long
DBT
CORP
US
N
2
2023-12-20
Variable
0.03004000
N
N
N
N
N
N
PRUDENTIAL TOTAL RETURN BD FD INC
TMK5EH3X0S88LKHCV210
PGIM Total Return Bond A
74440B108
141549617.47000000
NS
USD
2114751285.00000000
4.570624904544
Long
EC
RF
US
N
1
N
N
N
FEDERAL NATL MTG AS GTD RE PTT
N/A
FNA 2017-M1 A2 VAR 10/26
3136AUG21
2300000.00000000
PA
USD
2435087.51000000
0.005262969549
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Variable
0.02416709
N
N
N
N
N
N
GS MTG SECS CORP TR 2018-HART
N/A
GS MTG SECS CORP TR 2018-HART 1ML+100 10/15/2031 144A
36259DAA1
4013000.00000000
PA
USD
4016077.57000000
0.008679973049
Long
ABS-MBS
CORP
US
N
2
2031-10-15
Variable
0.02748500
N
N
N
N
N
N
CTR PARTNERSHIP LP / CARETRUST CAP CORP
N/A
CTR PARTNERSHIP LP / CARETRUST CAP CORP 5.25% 06/01/2025
126458AD0
300000.00000000
PA
USD
312000.00000000
0.000674327510
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.05250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 8/42 #MA0318
36179MK74
7711693.15520000
PA
USD
8204934.59000000
0.017733375382
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03500000
N
N
N
N
N
N
GEO GROUP INC NEW
5493003VOR6NTY465495
GEO GROUP INC 6% 04/15/2026
36162JAB2
265000.00000000
PA
USD
239825.00000000
0.000518335241
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2045#G61796
31335B7H3
501814.69000000
PA
USD
556352.61000000
0.001202448303
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04500000
N
N
N
N
N
N
DUKE REALTY LP NEW
2549009GZDBNY1KE9O81
DUKE REALTY LP 3.625 4/15/23
26441YAX5
1382000.00000000
PA
USD
1464355.22000000
0.003164919905
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.03625000
N
N
N
N
N
N
TOTAL CAPITAL INTL SA
549300U37G2I8G4RUG09
TOTAL CAP INTL 2.829% 01/10/2030
89153VAT6
800000.00000000
PA
USD
845192.27000000
0.001826719229
Long
DBT
CORP
FR
N
2
2030-01-10
Fixed
0.02829000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2.875% 09/12/2023
3135G0U43
670000.00000000
PA
USD
714858.62000000
0.001545028313
Long
DBT
USGSE
US
N
2
2023-09-12
Fixed
0.02875000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/20/2048#MA5135
36179TV44
506284.82870000
PA
USD
526520.02000000
0.001137970944
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.03000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV FIN INC
5493000EYEKDT0FBSQ91
ANHUESER-BUSCH INBEV FIN INC 4.7% 02/01/2036
035242AM8
9871000.00000000
PA
USD
11597316.39000000
0.025065350944
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
0.04700000
N
N
N
N
N
N
BAXALTA INC
5493000JW8DCO3T45R55
BAXALTA INC 4% 06/23/2025
07177MAB9
579000.00000000
PA
USD
638875.43000000
0.001380805379
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C2
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C2 2.575% 09/10/2049
17291CBQ7
2800000.00000000
PA
USD
2934248.24000000
0.006341808692
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
0.02575000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2049#ZN6499
3131YDGG3
996110.62600000
PA
USD
1034424.73000000
0.002235708504
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2041#G06800
3128M83H5
123828.44190000
PA
USD
135037.08000000
0.000291856468
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2040#AE7856
31419JWS3
62492.62910000
PA
USD
67946.09000000
0.000146852300
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19597
3132JBDB6
243132.73610000
PA
USD
263468.97000000
0.000569437098
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 12/01/2040#A95561
312944FA4
544906.55700000
PA
USD
594570.70000000
0.001285049295
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2041#AI6622
3138ALLC9
22227.02270000
PA
USD
24950.77000000
0.000053926252
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 02/20/2048#MA5021
36179TSJ5
2290451.10880000
PA
USD
2438488.46000000
0.005270320043
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
0.04500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.509%/VAR 01/23/2029
46647PAM8
7005000.00000000
PA
USD
7646028.60000000
0.016525408443
Long
DBT
CORP
US
N
2
2029-01-23
Variable
0.03509000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q01871
3132GFCG0
65013.32340000
PA
USD
72365.56000000
0.000156404128
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/20/2048#MA5466
36179UCB6
7001697.12000000
PA
USD
7365676.84000000
0.015919482467
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4% 05/01/2038#MA3361
31418CWX8
10940622.68500000
PA
USD
11668943.22000000
0.025220158450
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.04000000
N
N
N
N
N
N
NEW CENTURY HOME EQUITY LN TR
N/A
NCHET 2005-4 M2 1ML+51 9/35
64352VMV0
76950.84100000
PA
USD
76957.38000000
0.000166328456
Long
ABS-CBDO
CORP
US
N
2
2035-09-25
Variable
0.02136750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 1/41 #AH1274
3138A2MY2
239951.74570000
PA
USD
265385.62000000
0.000573579565
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2044#Q28059
3132M8TQ9
46550.21700000
PA
USD
50356.51000000
0.000108835833
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 2.215 07/10/2024
N/A
5000000.00000000
NC
USD
286703.95000000
0.000619655003
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 7/29 3MLV2.215
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-07-12
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
1.00000000
2.21500000
USD
2024-07-10
XXXX
154703.95000000
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV 6.625% 04/15/2023 144A
67091GAA1
400000.00000000
PA
USD
414400.00000000
0.000895645258
Long
DBT
CORP
NL
N
2
2023-04-15
Fixed
0.06625000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029
681936BL3
7647000.00000000
PA
USD
8041838.32000000
0.017380874415
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 5/40 #AL2129
3138EJLK2
110916.48520000
PA
USD
131715.58000000
0.000284677689
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.06000000
N
N
N
N
N
N
BOSTON UNIVERSITY
549300M1CR2B2GU2ZU17
BOSTON UNIVERSITY 4.061% 10/01/2048
89838QAA1
450000.00000000
PA
USD
589433.25000000
0.001273945693
Long
DBT
CORP
US
N
2
2048-10-01
Fixed
0.04061000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
HDEPOT 5.875% 12/16/36
437076AS1
300000.00000000
PA
USD
433516.89000000
0.000936962709
Long
DBT
CORP
US
N
2
2036-12-16
Fixed
0.05875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6% 09/01/2038#
3128M6MZ8
89994.91390000
PA
USD
107194.69000000
0.000231680540
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
0.06000000
N
N
N
N
N
N
CITIZENS BANK NA
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA 2.55% 05/13/2021
17401QAE1
1705000.00000000
PA
USD
1727725.84000000
0.003734144439
Long
DBT
CORP
US
N
2
2021-05-13
Fixed
0.02550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/40 #AE5066
31419FTY2
27991.26050000
PA
USD
30433.94000000
0.000065777060
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.125% 11/15/2028
9128285M8
94900000.00000000
PA
USD
110792043.21000000
0.239455521560
Long
DBT
UST
US
N
2
2028-11-15
Fixed
0.03125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2042#AJ5571
3138AXFM8
153892.86650000
PA
USD
167648.24000000
0.000362339167
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 1/41 #004946
36202FP75
1347727.02700000
PA
USD
1475265.67000000
0.003188500728
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04500000
N
N
N
N
N
N
DOW CHEMICAL CO
ZQUIP1CSZO8LXRBSOU78
DOW CHEMICAL CO 3.625% 05/15/2026
260543CX9
3370000.00000000
PA
USD
3668631.07000000
0.007929034800
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q02130
3132GFLK1
149235.01810000
PA
USD
165878.56000000
0.000358514347
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2041#AJ8343
3138E1HV2
7480.30910000
PA
USD
8121.40000000
0.000017552831
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
COMMONWEALTH EDISON CO 3.7% 03/01/2045
202795JF8
315000.00000000
PA
USD
359263.87000000
0.000776479202
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
0.03700000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 1ML+55 09/20/2061
38375BNA6
4733196.27720000
PA
USD
4743236.33000000
0.010251585731
Long
ABS-CBDO
USGA
US
N
2
2061-09-20
Variable
0.02284380
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2045#MA2754
36179RBX6
4476867.40850000
PA
USD
4752016.57000000
0.010270562517
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 7/42 #AO9368
3138M1MS4
95989.49680000
PA
USD
102951.25000000
0.000222509167
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22677
3132JP6N7
81397.74080000
PA
USD
88206.05000000
0.000190640276
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
DRYDEN 36 SENIOR LOAN FUND
549300XLLT7H0EYXK263
DRYDEN 36 SENIOR LOAN FUND 3ML+128 04/15/2029 144A
26249KAR2
10300000.00000000
PA
USD
10296910.00000000
0.022254774648
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Variable
0.03111250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AT9528
3138WXSS7
1265175.70270000
PA
USD
1330843.13000000
0.002876359407
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
WYNN LAS VEGAS LLC/ WYNN LAS V
N/A
WYNN LAS VEGAS LLC/ WYNN LAS V 5.5% 03/01/2025 144A
983130AV7
300000.00000000
PA
USD
294375.00000000
0.000636234490
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479494
36209RUT8
911674.59420000
PA
USD
988549.64000000
0.002136558391
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2041#AH1582
3138A2XL8
21526.73820000
PA
USD
23395.19000000
0.000050564167
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 5.6% 2/15/41
42809HAD9
1896000.00000000
PA
USD
2049428.49000000
0.004429442347
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
0.05600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/42#AP9654
3138MDWQ1
229858.88030000
PA
USD
246529.67000000
0.000532826085
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9287
3138YPJ94
140699.16700000
PA
USD
150683.70000000
0.000325673603
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 5.00% 2/30 #MA0320
31417YLA3
420065.47350000
PA
USD
460383.27000000
0.000995029181
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
0.05000000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AIG INTL GRP 4.875% 6/01/22
026874CU9
3898000.00000000
PA
USD
4153625.62000000
0.008977256492
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.04875000
N
N
N
N
N
N
JOBSOHIO BEVERAGE SYS OHIO STATEWIDE LIQUOR PROFITS REV
N/A
JOBSOHIO BEVERA 2.833% 1/1/2038
47770VBQ2
325000.00000000
PA
USD
350125.75000000
0.000756728927
Long
DBT
MUN
US
N
2
2038-01-01
Fixed
0.02833000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 9/33 #739821
31402V4E7
128109.65350000
PA
USD
142748.12000000
0.000308522386
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 07/01/2030#V60869
3132KE6E0
736749.06760000
PA
USD
763281.98000000
0.001649686018
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 12/39 #AC8512
31417VN66
735326.10250000
PA
USD
814876.11000000
0.001761196727
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 09/40#AE4589
31419FC38
505825.82670000
PA
USD
549967.07000000
0.001188647196
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 02/43#MA0784
36179M2R0
278556.63090000
PA
USD
299587.68000000
0.000647500687
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 10/01/2043#G08553
3128MJTK6
82005.93870000
PA
USD
86302.11000000
0.000186525278
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.03000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 5.625% 02/15/2027 144A
92840VAB8
225000.00000000
PA
USD
230625.00000000
0.000498451225
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.05625000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5.0% 11/24/2025
6174467X1
40891000.00000000
PA
USD
47185086.66000000
0.101981416794
Long
DBT
CORP
US
N
2
2025-11-24
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 07/15/2046#AT7623
36194GPG3
39591.87420000
PA
USD
42262.26000000
0.000091341681
Long
ABS-MBS
USGA
US
N
2
2046-07-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2044#AX6510
3138Y8GU8
899366.37940000
PA
USD
980361.79000000
0.002118861941
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/01/2039#
312933G73
461767.76400000
PA
USD
511953.33000000
0.001106487867
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 09/01/2031#AS8011
3138WH3V2
1475952.45000000
PA
USD
1526653.78000000
0.003299566165
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/39 #710924
36297FYV8
79843.24680000
PA
USD
89162.08000000
0.000192706549
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.05000000
N
N
N
N
N
N
GEO GROUP INC NEW
5493003VOR6NTY465495
GEO GROUP INC 5.875% 10/15/2024
36162JAA4
65000.00000000
PA
USD
60775.00000000
0.000131353379
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
0.05875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2046#784232
3622A2VZ2
6430445.45390000
PA
USD
6856127.44000000
0.014818190227
Long
ABS-MBS
USGA
US
N
2
2046-04-15
Fixed
0.04000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 4.0% 10/01/2023
29250NAF2
3799000.00000000
PA
USD
4063317.40000000
0.008782072783
Long
DBT
CORP
CA
N
2
2023-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2047#MA3184
31418CRE6
1381714.75570000
PA
USD
1488446.42000000
0.003216988363
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.04500000
N
N
N
N
N
N
ENTERGY LA LLC
0V5453U14HDZO63CGH17
ENTERGY LA LLC 2.4% 10/01/2026
29364WAY4
1070000.00000000
PA
USD
1118668.69000000
0.002417785491
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
0.02400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 02/01/2031#J33761
31307QFA0
1135686.92470000
PA
USD
1176941.89000000
0.002543731715
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 05/15/2028
9128284N7
34740000.00000000
PA
USD
39614456.25000000
0.085618966920
Long
DBT
UST
US
N
2
2028-05-15
Fixed
0.02875000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
ECOPETROL SA 5.875% 09/18/2023
279158AC3
460000.00000000
PA
USD
508645.00000000
0.001099337553
Long
DBT
CORP
CO
N
2
2023-09-18
Fixed
0.05875000
N
N
N
N
N
N
DB MASTER FIN LLC
549300F17UZJL70BPB08
DNKN 2017-1A A2II 4.03% 11/20/2047 144A
233046AF8
7147480.00000000
PA
USD
7595055.20000000
0.016415239321
Long
ABS-CBDO
CORP
US
N
2
2047-11-20
Fixed
0.04030000
N
N
N
N
N
N
DIGITAL REALTY TRUST LP
CD4SPTZ3YBTHY0C1AH38
DIGITAL REALTY TRUST LP 3.95% 07/01/2022
25389JAL0
3488000.00000000
PA
USD
3658909.00000000
0.007908022431
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
0.03950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24971
3132M5FL1
39198.68930000
PA
USD
42428.37000000
0.000091700695
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029
11120VAH6
6724000.00000000
PA
USD
7507961.11000000
0.016227002331
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
0.04125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/01/2050 #TBA
21H030641
138750000.00000000
PA
USD
143214794.63000000
0.309531012785
Long
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 07/01/2046#AS7530
3138WHLL4
746300.46000000
PA
USD
771236.22000000
0.001666877565
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 4/42 #G06993
3128M9C67
122347.98310000
PA
USD
131283.04000000
0.000283742838
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 3/41#AH8925
3138AA4K4
2641737.69940000
PA
USD
2921750.80000000
0.006314797898
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 09/01/2042#AP4786
3138M8J87
495108.15760000
PA
USD
520496.71000000
0.001124952727
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.795 11/25/24
N/A
-10600000.00000000
NC
USD
-175552.11000000
-0.00037942185
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 11/29 3MLV1.795
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-11-27
0.00000000
USD
0.00000000
USD
-10600000.00000000
USD
1.00000000
1.79500000
USD
2024-11-25
XXXX
126547.89000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q02345
3132GFTA5
119509.90300000
PA
USD
132838.33000000
0.000287104296
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12
N/A
WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052
95001RAX7
3181000.00000000
PA
USD
3740153.00000000
0.008083615586
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Fixed
0.04302000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#Q24349
3132M4QA6
62827.27840000
PA
USD
68003.77000000
0.000146976964
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 4.65% 07/01/2026
958254AF1
1931000.00000000
PA
USD
2026878.09000000
0.004380704029
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
0.04650000
N
N
N
N
N
N
TEXAS PRIVATE ACTIVITY BD SURFACE TRANSN CORP REV
N/A
TX PABSTC 3.922% 12/31/2049
882667AZ1
555000.00000000
PA
USD
641369.10000000
0.001386194964
Long
DBT
MUN
US
N
2
2049-12-31
Fixed
0.03922000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
AXA EQUITABLE HLDGS INC 3.9% 04/20/2023
054561AC9
1273000.00000000
PA
USD
1353623.57000000
0.002925594912
Long
DBT
CORP
US
N
2
2023-04-20
Fixed
0.03900000
N
N
N
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
METLIFE SER D VAR 9/15/23
59156RBB3
910000.00000000
PA
USD
1005835.41000000
0.002173918232
Long
DBT
CORP
US
N
2
2023-09-15
Variable
0.04368000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 12/01/2029#AL8077
3138EQ6P2
400530.81700000
PA
USD
421264.70000000
0.000910481976
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/46#MA3663
36179SB89
16063584.16400000
PA
USD
17010696.30000000
0.036765322099
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM 5.875% 10/15/24
00766TAD2
1100000.00000000
PA
USD
1207250.00000000
0.002609236819
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
0.05875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5% 12/01/2047#G61657
31335BZW9
621089.97670000
PA
USD
676552.81000000
0.001462237731
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.05000000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
ARAMARK SERVICES INC 5% 02/01/2028 144A
038522AQ1
960000.00000000
PA
USD
1002000.00000000
0.002165628736
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.05000000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 5.125% 09/30/2024
02005NAV2
1700000.00000000
PA
USD
1883294.00000000
0.004070374856
Long
DBT
CORP
US
N
2
2024-09-30
Fixed
0.05125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745068
3620C0W53
194726.63970000
PA
USD
214673.93000000
0.000463976079
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
MACK-CALI REALTY LP
549300MJC9VNA6VSEE11
MACK-CALI REALTY LP 4.5% 04/18/2022
55448QAQ9
644000.00000000
PA
USD
663660.91000000
0.001434374389
Long
DBT
CORP
US
N
2
2022-04-18
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2048#CA2182
3140Q9M83
1752007.09940000
PA
USD
1829250.81000000
0.003953570979
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2047#ZM2486
3131XVXP5
6018169.60000000
PA
USD
6357789.35000000
0.013741129061
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#MA3283
31418CUH5
7820681.61200000
PA
USD
8110568.47000000
0.017529421309
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
NEXTERA ENERGY CAP HLDGS INC
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAP HLDGS INC 3.15% 04/01/2024
65339KBG4
2655000.00000000
PA
USD
2813560.64000000
0.006080965843
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.03150000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479430
36209RST1
244282.26800000
PA
USD
266254.95000000
0.000575458454
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/44#G60201
31335AGJ1
259362.76750000
PA
USD
283660.23000000
0.000613076592
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.0% 08/01/2028#AS0294
3138W9KG4
386216.11640000
PA
USD
400652.57000000
0.000865932853
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.03000000
N
N
N
N
N
N
MAGNETITE XXI LTD 2019-21A A
N/A
MAGNETITE XXI LTD 19-21A A 3ML+128 04/20/2030 144A
55954PAC8
7784000.00000000
PA
USD
7794119.20000000
0.016845477563
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Variable
0.03099130
N
N
N
N
N
N
CLECO CORPORATE HLDGS LLC
5493002H80P81B3HXL31
CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029 144A
18551QAA5
4448000.00000000
PA
USD
4570755.64000000
0.009878802159
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.03375000
N
N
N
N
N
N
WESTINGHOUSE AIR BR CO
N/A
WESTINGHOUSE AIR BR CO STEP 09/15/2028
960386AM2
430000.00000000
PA
USD
488996.64000000
0.001056871433
Long
DBT
CORP
US
N
2
2028-09-15
Variable
0.04950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2049#BN8264
3140JRFE6
1548994.22210000
PA
USD
1608574.27000000
0.003476621421
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
0.03500000
N
N
N
N
N
N
DUKE REALTY LP NEW
2549009GZDBNY1KE9O81
DUKE REALTY LP 3.25% 06/30/2026
26441YAZ0
805000.00000000
PA
USD
869675.39000000
0.001879634746
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2046#Q43088
3132WGNE3
999941.76770000
PA
USD
1065467.85000000
0.002302802189
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2049#MA3765
31418DFF4
3996162.52740000
PA
USD
4077234.67000000
0.008812152264
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 07/01/2032#J37270
31307UCF3
129583.46240000
PA
USD
136589.94000000
0.000295212673
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03000000
N
N
N
N
N
N
OPEN TEXT CORPORATION
549300UQROQS42RKHM85
OPEN TEXT CORPORATION 5.875% 06/01/2026 144A
683715AB2
500000.00000000
PA
USD
529400.00000000
0.001144195462
Long
DBT
CORP
CA
N
2
2026-06-01
Fixed
0.05875000
N
N
N
N
N
N
NEW RESIDENTIAL MTG LN TR 2019-NQM4
N/A
NEW RESIDENTIAL MTG LN TR 2019-NQM4 3.5% 08/25/2059 144A
64830MAG8
2616798.40000000
PA
USD
2720731.88000000
0.005880334475
Long
ABS-CBDO
CORP
US
N
2
2059-08-25
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 05/01/2046#V82275
3132L7Q44
556907.28610000
PA
USD
587823.16000000
0.001270465795
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP 3.75% 02/05/2070
907818FL7
315000.00000000
PA
USD
329314.40000000
0.000711749229
Long
DBT
CORP
US
N
2
2070-02-05
Fixed
0.03750000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 2.95% 10/01/2026
46625HRV4
4205000.00000000
PA
USD
4457849.47000000
0.009634777362
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
0.02950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2041#AB2091
31416XKD1
630548.56880000
PA
USD
685278.29000000
0.001481096165
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2045#MA2490
31418BXU5
276025.67670000
PA
USD
299503.95000000
0.000647319721
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 08/01/2045#Q35845
3132QSP77
368119.16030000
PA
USD
396838.90000000
0.000857690345
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 11/15/2043#711823
36297GYU8
664918.29120000
PA
USD
704286.17000000
0.001522178012
Long
ABS-MBS
USGA
US
N
2
2043-11-15
Fixed
0.03500000
N
N
N
N
N
N
STATE STR INVT TR
549300CCOK7OZZUAS108
State Street Instl US Govt MMkt Premier
857492706
43141875.30000000
NS
USD
43141875.30000000
0.093242799318
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/40 #AE8869
31419K2B0
20682.55940000
PA
USD
22487.44000000
0.000048602241
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-NUGS
N/A
MORGAN STANLEY CAP I TR 2019-NUGS A 1ML+88.4 12/15/2021 144A
61692AAA0
5200000.00000000
PA
USD
5194282.08000000
0.011226433673
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.02608500
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 05/20/2049#BN2615
3617K53Y8
1972700.69300000
PA
USD
2090816.34000000
0.004518894161
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
0.04000000
N
N
N
N
N
N
LEXINGTON CORP PPTYS TR REIT
549300S4MH2ICXDBFV43
LEXINGTON CORP PPTYS TR REIT 4.4% 06/15/2024
529043AD3
1319000.00000000
PA
USD
1395288.69000000
0.003015645991
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
0.04400000
N
N
N
N
N
N
NORTHWESTERN CORP
3BPWMBHR1R9SHUN7J795
NORTHWESTERN CORP 4.176% 11/15/2044
668074AU1
260000.00000000
PA
USD
304455.90000000
0.000658022401
Long
DBT
CORP
US
N
2
2044-11-15
Fixed
0.04176000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 07/01/2028#AU1660
3138X0Z27
369273.39900000
PA
USD
379650.57000000
0.000820541102
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.875% 01/27/2026
61746BDZ6
1125000.00000000
PA
USD
1244135.52000000
0.002688957719
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 03/01/30#V60745
3132KEZJ7
484064.21000000
PA
USD
501497.06000000
0.001083888667
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 11/01/2042#Q13743
3132HQEQ1
671588.15790000
PA
USD
706351.91000000
0.001526642709
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MOTORS FIN 4.375% 09/25/21
37045XAQ9
7321000.00000000
PA
USD
7567238.98000000
0.016355119954
Long
DBT
CORP
US
N
2
2021-09-25
Fixed
0.04375000
N
N
N
N
N
N
SAN DIEGO GAS and ELECTRIC CO
KNIRVXKVNJJ4P8OTMS63
SAN DIEGO GAS and ELECTRIC CO 3.75% 06/01/2047
797440BV5
585000.00000000
PA
USD
679791.38000000
0.001469237273
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2049#BN7702
3140JQRY1
10131480.47040000
PA
USD
10521174.70000000
0.022739479318
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AP0495
3138M3RR7
3731022.02760000
PA
USD
4001618.88000000
0.008648723394
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 04/20/2047#MA4384
36179S2R7
37080399.65900000
PA
USD
39604458.76000000
0.085597359284
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2034#CA3585
3140QA6X3
906849.67000000
PA
USD
950098.87000000
0.002053454506
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/45#Q32820
3132QPD27
14880.59100000
PA
USD
15715.97000000
0.000033967022
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2041#A97673
312946Q25
439492.20640000
PA
USD
486295.45000000
0.001051033334
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 09/01/2042#AB6181
31417C2P9
216418.17570000
PA
USD
229341.87000000
0.000495677988
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/20/2050#MA6541
36179VHS2
3300000.00000000
PA
USD
3417456.90000000
0.007386170528
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
0.03000000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC 3.7% 12/06/2026
21036PAQ1
925000.00000000
PA
USD
1014387.87000000
0.002192402716
Long
DBT
CORP
US
N
2
2026-12-06
Fixed
0.03700000
N
N
N
N
N
N
JM SMUCKER CO/THE
5493000WDH6A0LHDJD55
SMUCKER (J.M.) CO 3.5% 03/15/2025
832696AK4
310000.00000000
PA
USD
336475.38000000
0.000727226299
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 5/1/43 #AT0347
3138WML58
433805.46310000
PA
USD
468114.57000000
0.001011738887
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 12
N/A
7200000.00000000
NC
USD
58264.56000000
0.000125927550
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
0.00000000
USD
2806.79000000
USD
7200000.00000000
USD
61071.35000000
N
N
N
DB MASTER FIN LLC
549300F17UZJL70BPB08
DB MASTER FIN LLC 1A A2I 3.629% 11/20/2047 144A
233046AE1
4228665.00000000
PA
USD
4342669.81000000
0.009385838858
Long
ABS-CBDO
CORP
US
N
2
2047-11-20
Fixed
0.03629000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 03/01/2043#AR6931
3138W4VZ1
321909.03100000
PA
USD
333067.20000000
0.000719860179
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.02500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 5.3% 12/05/2043
126650CD0
305000.00000000
PA
USD
377443.87000000
0.000815771747
Long
DBT
CORP
US
N
2
2043-12-05
Fixed
0.05300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2042#AP3667
3138M7CD5
1231241.12980000
PA
USD
1320538.37000000
0.002854087667
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/40 #AL0145
3138EGET7
554774.57050000
PA
USD
614791.91000000
0.001328753520
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.04500000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC 4.15% 02/01/2024
883556BF8
570000.00000000
PA
USD
621621.93000000
0.001343515284
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.04150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR1458
3138NXTQ0
253707.30540000
PA
USD
268699.20000000
0.000580741226
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8987
3617M76Y9
232717.25200000
PA
USD
250510.86000000
0.000541430656
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.6% 3/01/24
20030NBJ9
1495000.00000000
PA
USD
1615437.68000000
0.003491455351
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
0.03600000
N
N
N
N
N
N
TOLL BROS FIN CORP
N/A
TOLL BROS FIN CORP 4.875% 11/15/2025
88947EAR1
35000.00000000
PA
USD
38237.50000000
0.000082642942
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.04875000
N
N
N
N
N
N
SUNTRUST BANKS INC
7E1PDLW1JL6TS0BS1G03
SUNTRUST BANKS INC 2.7% 01/27/2022
867914BM4
540000.00000000
PA
USD
551856.72000000
0.001192731308
Long
DBT
CORP
US
N
2
2022-01-27
Fixed
0.02700000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 6/46#AT4134
36194CSX2
1493411.78730000
PA
USD
1592664.23000000
0.003442234954
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY CORP 4.25% 3/15/23
337932AF4
12580000.00000000
PA
USD
13463835.45000000
0.029099470020
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #779846
36176YET0
19500.56410000
PA
USD
21254.60000000
0.000045937697
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 6/42 #AB5423
31417CAZ8
1816830.76620000
PA
USD
1948598.60000000
0.004211518088
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING CO
549300G6UZOB126GBY72
GE CAP INTL FDG CO 144A 4.418% 11/15/2035
36164QNA2
1370000.00000000
PA
USD
1564400.79000000
0.003381149008
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
0.04418000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 1/45#Q30720
3132QLYS6
855631.28840000
PA
USD
925059.35000000
0.001999336438
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 07/01/2043#G08537
3128MJS35
589992.49100000
PA
USD
620901.31000000
0.001341957804
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 2/01/43 #Q15926
3132J7A44
568635.89830000
PA
USD
602690.65000000
0.001302598993
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 3/41 #004977
36202FQ66
1206930.08000000
PA
USD
1300693.58000000
0.002811197000
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 4/1/43 #Q17641
3132J85B2
64605.36300000
PA
USD
68333.16000000
0.000147688877
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2042#AK9692
3138EEXW4
135767.30100000
PA
USD
147212.08000000
0.000318170370
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 10/37#004037
36202EPW3
14246.46000000
PA
USD
15914.83000000
0.000034396819
Long
ABS-MBS
USGA
US
N
2
2037-10-20
Fixed
0.05000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
ABBOTT LABORATORIES 4.9% 11/30/2046
002824BH2
1460000.00000000
PA
USD
2026304.45000000
0.004379464218
Long
DBT
CORP
US
N
2
2046-11-30
Fixed
0.04900000
N
N
N
N
N
N
INDIANA MICHIGAN POWER CO
JHR9V15J0ZRG02MIRD06
INDIANA MICHIGAN POWER CO 4.55% 03/15/2046
454889AQ9
620000.00000000
PA
USD
795027.32000000
0.001718297416
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
0.04550000
N
N
N
N
N
N
BCAP LLC 2010-RR2 TR
N/A
BCAP 2010-RR2 5A2 5% 12/36
05532VBE6
517868.72990000
PA
USD
522862.75000000
0.001130066463
Long
ABS-CBDO
CORP
US
N
2
2036-12-26
Fixed
0.05000000
N
N
N
N
N
N
NATIONSTAR HECM LN TR 2019-1
N/A
NATIONSTAR HECM LN TR 2019-1 2.6513% 06/25/2029 144A
63862VAA4
2982109.23100000
PA
USD
2992909.24000000
0.006468593071
Long
ABS-CBDO
CORP
US
N
2
2029-06-25
Fixed
0.02651300
N
N
N
N
N
N
CONSUMER LN UNDERLYING BD CLUB CR TR 18-P3
N/A
CONSUMER LN UNDERLYING BD CLUB CR TR 18-P3 3.82% 01/15/2026 144A
21053NAA9
6174899.78000000
PA
USD
6240600.71000000
0.013487848536
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
0.03820000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 10YR 3% 05/01/2027#MA3010
31418CKY9
27551.31250000
PA
USD
28572.55000000
0.000061754027
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2047#AX5857
36196HQJ2
115084.70250000
PA
USD
122595.18000000
0.000264965713
Long
ABS-MBS
USGA
US
N
2
2047-01-15
Fixed
0.04000000
N
N
N
N
N
N
ENBRIDGE ENERGY PARTNERS LP
CZ6VG2MNE1J6YDI02G48
ENBRIDGE ENRGY PRTNRS 4.2 9/21
29250RAU0
2044000.00000000
PA
USD
2104150.85000000
0.004547714119
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
0.04200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/01/2040#G06023
3128M8AY0
67997.01770000
PA
USD
74194.44000000
0.000160356897
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.04000000
N
N
N
N
N
N
VIACOM INC NEW
X0ST5BPF0CZG9FE5OV61
VIACOM INC 5.85% 9/01/43
92553PAU6
220000.00000000
PA
USD
277336.08000000
0.000599408168
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
0.05850000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 01/20/2043#AC0284
36178YJ55
968663.86800000
PA
USD
1017300.67000000
0.002198698168
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
0.03500000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
COMMONWEALTH EDISON CO 4.6% 08/15/2043
202795JB7
1045000.00000000
PA
USD
1318370.20000000
0.002849401587
Long
DBT
CORP
US
N
2
2043-08-15
Fixed
0.04600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2034#FM1578
3140X4XG6
10697868.87100000
PA
USD
11328545.68000000
0.024484455162
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2043#MA0783
36179M2Q2
1358828.73450000
PA
USD
1444465.79000000
0.003121932758
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 10/01/2033#BM5832
3140JAPS1
598009.50100000
PA
USD
620175.74000000
0.001340389625
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.03000000
N
N
N
N
N
N
CONTINENTAL AIR LINES INC
K1OQBWM7XEOO08LDNP29
CONTL AIR 12-1 ETC 4.15 4/24
210795PZ7
748086.15100000
PA
USD
806337.45000000
0.001742742069
Long
DBT
CORP
US
N
2
2025-10-11
Fixed
0.04150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 05/01/2044#AS9099
3138WKDD4
149124.79060000
PA
USD
167218.91000000
0.000361411254
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2043#784314
3622A2YK2
47298.31000000
PA
USD
49717.51000000
0.000107454758
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 01/01/2040#AC8577
31417VQ71
349980.83090000
PA
USD
401016.79000000
0.000866720044
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.05500000
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 5.375% 04/01/2038
161175BM5
450000.00000000
PA
USD
516949.88000000
0.001117286941
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
0.05375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 03/01/2032#G18636
3128MMV67
1229905.86000000
PA
USD
1279494.68000000
0.002765379688
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.03000000
N
N
N
N
N
N
AVOLON HLDGS FDG LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 4.375% 05/01/2026 144A
05401AAG6
3477000.00000000
PA
USD
3702116.77000000
0.008001407649
Long
DBT
CORP
KY
N
2
2026-05-01
Fixed
0.04375000
N
N
N
N
N
N
BAY AREA TOLL AU CA BRIDGE REV
N/A
BAY AREA TA CA 6.263% 4/1/49
072024ND0
3470000.00000000
PA
USD
5968504.10000000
0.012899764466
Long
DBT
MUN
US
N
2
2049-04-01
Fixed
0.06263000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 10/01/2042#C04272
31292LW92
710738.43350000
PA
USD
747528.74000000
0.001615638444
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 03/01/2041#A97520
312946K96
129456.52070000
PA
USD
144258.35000000
0.000311786455
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.05000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.2% 09/15/2023
29278NAC7
1452000.00000000
PA
USD
1555313.95000000
0.003361509566
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2032#BJ0036
3140H1BE9
106607.23200000
PA
USD
109769.64000000
0.000237245795
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2041#A96822
312945SK5
738795.23070000
PA
USD
805900.00000000
0.001741796605
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 6/24 #995957
31416CME3
45351.37450000
PA
USD
47230.95000000
0.000102080541
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2036#310015
31374CK47
16846.00030000
PA
USD
18825.55000000
0.000040687776
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3 4/43 #AB9025
31417GA30
1014108.10210000
PA
USD
1066744.17000000
0.002305560708
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
YPSO FINANCE BIS SA
529900FLJD3NC14A8I62
YPSO FINANCE BIS 6% 02/15/2028 144A
98424XAA7
105000.00000000
PA
USD
100831.50000000
0.000217927738
Long
DBT
CORP
LU
N
2
2028-02-15
Fixed
0.06000000
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TVA 7.125% 5/01/30
880591DM1
460000.00000000
PA
USD
700204.37000000
0.001513355993
Long
DBT
USGSE
US
N
2
2030-05-01
Fixed
0.07125000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.125% 02/15/2043
912810QZ4
28000000.00000000
PA
USD
36062031.32000000
0.077941089162
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.03125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/35#BO9279
3140K5JZ1
991363.00000000
PA
USD
1026657.11000000
0.002218920299
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
COMM 2015-PC1 MTG TR
N/A
COMM 2015-PC1 MTG TR 3.62% 07/10/2050
12593GAE2
1900000.00000000
PA
USD
2073799.27000000
0.004482115063
Long
ABS-MBS
CORP
US
N
2
2050-07-10
Fixed
0.03620000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34598
31307RDB8
112675.19820000
PA
USD
118556.19000000
0.000256236219
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2047#BH9317
3140GYK73
3265157.00650000
PA
USD
3447376.93000000
0.007450836873
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 10/01/2037#BM1951
3140J6EZ6
1047837.88000000
PA
USD
1083831.11000000
0.002342490816
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17605
3132J83P3
82540.84860000
PA
USD
88233.48000000
0.000190699560
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.5% 07/15/2023
55336VAE0
1235000.00000000
PA
USD
1333570.85000000
0.002882254845
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.04500000
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP B 1ML+165 03/15/2036 144A
74952PAG2
3800000.00000000
PA
USD
3803552.62000000
0.008220641573
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.03208500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2041#005258
36202FZX7
13581447.55170000
PA
USD
14458608.06000000
0.031249478155
Long
ABS-MBS
USGA
US
N
2
2041-12-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AK4826
3138E9LG3
466445.22880000
PA
USD
500274.73000000
0.001081246837
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
PRESIDENT and FELLOWS HARVARD CO LLEGE
6S3X7J22E861RNTJSA74
PRESIDENT and FELLOWS HARVARD CO 3.15% 07/15/2046
740816AM5
190000.00000000
PA
USD
218890.30000000
0.000473088946
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
0.03150000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2032#C91403
3128P7RY1
7450438.30280000
PA
USD
7866297.93000000
0.017001477895
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.03500000
N
N
N
N
N
N
EXPORT IMPORT BANK KOREA
549300APVP4R32PI3Y06
EXPORT IMPORT BANK KOREA 5.125% 06/29/2020
302154AW9
800000.00000000
PA
USD
809016.00000000
0.001748531235
Long
DBT
CORP
KR
N
2
2020-06-29
Fixed
0.05125000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2% 10/05/2022
3135G0T78
635000.00000000
PA
USD
651527.75000000
0.001408150916
Long
DBT
USGSE
US
N
2
2022-10-05
Fixed
0.02000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 4.583%/VAR 06/19/2029
404280BT5
1300000.00000000
PA
USD
1479072.53000000
0.003196728518
Long
DBT
CORP
GB
N
2
2029-06-19
Variable
0.04583000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#AS6304
3138WGAE4
1881063.21550000
PA
USD
2026860.29000000
0.004380665558
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#Q24255
3132M4MC6
37155.15290000
PA
USD
40216.46000000
0.000086920081
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 11/15/2021
9128285L0
17335000.00000000
PA
USD
17896356.01000000
0.038679503854
Long
DBT
UST
US
N
2
2021-11-15
Fixed
0.02875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/40 #782949
36241LH25
100977.30560000
PA
USD
112857.45000000
0.000243919497
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.05000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORPORATION 4.709% 01/25/2029 144A
35137LAC9
2509000.00000000
PA
USD
2942074.07000000
0.006358722706
Long
DBT
CORP
US
N
2
2029-01-25
Fixed
0.04709000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2040#C03520
31292K4D6
347207.82980000
PA
USD
378853.22000000
0.000818817784
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.04000000
N
N
N
N
N
N
SWISS RE FINANCE LUXEMBOURG
549300CLQZ6TM98LW631
SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A
87089NAA8
3200000.00000000
PA
USD
3620800.00000000
0.007825657216
Long
DBT
CORP
LU
N
2
2049-04-02
Variable
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2048#G61821
31335CAW4
19830409.10600000
PA
USD
21415481.47000000
0.046285411265
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
BLACKROCK BD FD INC
549300WQF7SM1NEFDT68
BlackRock Total Return Instl
09252M883
29407393.17500000
NS
USD
361416862.12000000
0.781132477679
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 10/01/2027#AB6382
31417DCU5
250512.91520000
PA
USD
264107.25000000
0.000570816617
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 01/01/2048#V83906
3132L9KT1
1607885.14700000
PA
USD
1716747.01000000
0.003710415827
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 03/01/2044#MA1852
31418BBW5
296087.77650000
PA
USD
326541.83000000
0.000705756857
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.05000000
N
N
N
N
N
N
ONEOK PARTNERS LP
T4DHW82NMF6BXJT50795
ONEOK PARTNERS 6.65% 10/01/36
68268NAC7
400000.00000000
PA
USD
518220.41000000
0.001120032946
Long
DBT
CORP
US
N
2
2036-10-01
Fixed
0.06650000
N
N
N
N
N
N
WILLIAMS PARTNERS LP
N/A
WILLIAMS PARTNERS LP 4.3% 03/04/2024
96950FAM6
2607000.00000000
PA
USD
2822528.38000000
0.006100347874
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
0.04300000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 2.75% 3/05/22
713448BY3
900000.00000000
PA
USD
922932.84000000
0.001994740399
Long
DBT
CORP
US
N
2
2022-03-05
Fixed
0.02750000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 4% 06/15/2029
91529YAN6
5961000.00000000
PA
USD
6595604.54000000
0.014255120488
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 04/20/43#783976
3622A2MZ2
2309788.41070000
PA
USD
2456079.32000000
0.005308339277
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03500000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 3.95% 12/01/2027
87165BAM5
8719000.00000000
PA
USD
9356534.50000000
0.020222335321
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.03950000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.125% 12/15/2026
46625HJZ4
7374000.00000000
PA
USD
8296975.34000000
0.017932303619
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.04125000
N
N
N
N
N
N
DOUBLELINE FDS TR
54930080M2JY1L0IFX13
DoubleLine Total Return Bond N
258620202
126220903.10100000
NS
USD
1377070052.83000000
2.976269939359
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2042#AO5544
3138LWES6
261320.93460000
PA
USD
288284.89000000
0.000623071898
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.7%/VAR PERP
172967MK4
215000.00000000
PA
USD
212043.75000000
0.000458291455
Long
EP
CORP
US
N
2
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2044#G60038
31335ABF4
220960.30900000
PA
USD
235785.07000000
0.000509603715
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#AS8010
3138WH3U4
2396090.05600000
PA
USD
2482892.25000000
0.005366290226
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
SPRINT COMMUNICATIONS INC
549300JKU50UT08ZWD77
SPRINT NEXTEL 6% 11/15/22
852061AS9
800000.00000000
PA
USD
858080.00000000
0.001854573559
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
0.06000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
AMAZON.COM INC 2.8% 08/22/2024
023135AZ9
1045000.00000000
PA
USD
1101839.72000000
0.002381412935
Long
DBT
CORP
US
N
2
2024-08-22
Fixed
0.02800000
N
N
N
N
N
N
BRITISH TELECOMMUNICATION PLC
549300OWFMSO9NYV4H90
BRITISH TL GLB VAR 12/15/30
111021AE1
575000.00000000
PA
USD
910571.51000000
0.001968023781
Long
DBT
CORP
GB
N
2
2030-12-15
Variable
0.09625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AB1801
31416XAB6
4478873.46060000
PA
USD
4869725.49000000
0.010524967527
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 11/20/2042#MA0535
36179MSY7
39594.52900000
PA
USD
42583.92000000
0.000092036887
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.04000000
N
N
N
N
N
N
JPMORGAN TR II
DQ695W4P67V7A4LC6I09
JPMorgan Core Plus Bond A
4812C0811
34011217.06800000
NS
USD
296237700.66000000
0.640260356811
Long
EC
RF
US
N
1
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2041#656540
36294QLV1
17532.46000000
PA
USD
19027.28000000
0.000041123776
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/01/2050 #TBA
21H030641
-19400000.00000000
PA
USD
-20024266.78000000
-0.04327857043
Short
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
RMF BUYOUT ISSUANCE TRUST 2020
N/A
RMF BUYOUT ISSUANCE TRUST 2020 2.1582% 02/25/2030 144A
74968QAA5
277206.59000000
PA
USD
279679.00000000
0.000604471935
Long
ABS-CBDO
CORP
US
N
2
2030-02-25
Fixed
0.02158200
N
N
N
N
N
N
THUNDERBOLT AIRCRAFT LEASE LIM
N/A
THUNDERBOLT AIRCRAFT LEASE 2018-A A VAR 07/15/2038 144A
886065AA9
8014684.57750000
PA
USD
8316192.20000000
0.017973837136
Long
ABS-CBDO
CORP
US
N
2
2038-09-15
Variable
0.04147000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2042#AP4100
3138M7RW7
1487835.42390000
PA
USD
1586908.45000000
0.003429794952
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18564
3132J96A1
38035.60480000
PA
USD
41252.66000000
0.000089159626
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FGLMC 3871 KB 5.5% 06/41
3137AC7K9
755851.71000000
PA
USD
896083.82000000
0.001936711448
Long
ABS-CBDO
USGSE
US
N
2
2041-06-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2039#AW4267
3138XTW50
388515.59100000
PA
USD
420085.51000000
0.000907933385
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3% 2/1/43 #Q15788
3132J62W3
106865.23420000
PA
USD
113332.02000000
0.000244945188
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 1/41 #AH2689
3138A37B7
230780.33000000
PA
USD
255242.08000000
0.000551656270
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9074
3138YPCL4
120827.17770000
PA
USD
129401.52000000
0.000279676297
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.7% 10/23/2024
61761JVL0
21259000.00000000
PA
USD
23116857.17000000
0.049962604985
Long
DBT
CORP
US
N
2
2024-10-23
Fixed
0.03700000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP FRN 3ML+90 09/09/2021
55336VBG4
2069000.00000000
PA
USD
2074943.22000000
0.004484587489
Long
DBT
CORP
US
N
2
2021-09-09
Variable
0.02785000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 3/42 #AB4684
31417BF28
1387966.10600000
PA
USD
1482991.40000000
0.003205198395
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.03500000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.5% 05/15/2035
00206RCP5
1980000.00000000
PA
USD
2278024.45000000
0.004923508196
Long
DBT
CORP
US
N
2
2035-05-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2043#AB9954
31417HBY9
1960156.34000000
PA
USD
2085780.21000000
0.004508009542
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03500000
N
N
N
N
N
N
LOUISVILLE GAS and ELECTRIC CO
KO3GRIB3RPH1XDX50U72
LOUISVILLE GAS 5.125% 11/40
546676AU1
345000.00000000
PA
USD
452545.23000000
0.000978088777
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
0.05125000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.016% 12/03/2029
92343VEU4
1146000.00000000
PA
USD
1332135.86000000
0.002879153393
Long
DBT
CORP
US
N
2
2029-12-03
Fixed
0.04016000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BK NEW CASTLE DEL 3.1% 06/04/2020
25466AAG6
6744000.00000000
PA
USD
6758325.07000000
0.014606809366
Long
DBT
CORP
US
N
2
2020-06-04
Fixed
0.03100000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 06/01/2032#C91456
3128P7TM5
6709347.15220000
PA
USD
7083841.44000000
0.015310349890
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.03500000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TR 2019-4
N/A
CARVANA AUTO RECEIVABLES TR 2019-4 2.3% 09/15/2023 144A
14686YAD9
2936000.00000000
PA
USD
2961578.43000000
0.006400877599
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
0.02300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2033#BM5111
3140J9VD0
28351606.36800000
PA
USD
29730322.30000000
0.064256327677
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2049#CA4142
3140QBS82
12850200.45200000
PA
USD
13477017.81000000
0.029127961135
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT CFX 4.95% 07/05/2023 144A
46645WBC6
919000.00000000
PA
USD
997527.08000000
0.002155961387
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04949800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2039#AS2011
3138WBGV1
2410467.07860000
PA
USD
2607842.87000000
0.005636346767
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE FRANCE 4.25% 04/14/2025 144A
83367TBJ7
21901000.00000000
PA
USD
23498792.49000000
0.050788084132
Long
DBT
CORP
FR
N
2
2025-04-14
Fixed
0.04250000
N
N
N
N
N
N
MILLICOM INTL CELLULAR SA
549300CTHC1CP86P2G96
MILLICOM INTL CELLULAR SA 6.625% 10/15/2026 144A
600814AP2
600000.00000000
PA
USD
642000.00000000
0.001387558532
Long
DBT
CORP
LU
N
2
2026-10-15
Fixed
0.06625000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST 6.20% 07/01/2021
452152GR6
958000.00000000
PA
USD
991280.92000000
0.002142461523
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
0.06200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 10/01/2034#C91793
3128P77E7
16251788.60800000
PA
USD
17169068.81000000
0.037107613574
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
N
N
N
N
N
N
SPECTRA ENERGY PARTNERS LP
2HKVXE7U4NF5B6UGSU72
SPECTRA ENERGY LP 4.75% 3/19/24
84756NAD1
6000000.00000000
PA
USD
6600698.94000000
0.014266131046
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.04750000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 4.625% 04/15/2030 144A
737446AQ7
40000.00000000
PA
USD
39423.60000000
0.000085206468
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04625000
N
N
N
N
N
N
ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP
N/A
ICAHN ENTERPRISES LP/FIN CORP 4.75% 09/15/2024 144A
451102BU0
305000.00000000
PA
USD
311100.00000000
0.000672382335
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.04750000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 XA CSTR 12/10/2049
17291EBB6
17410027.14110000
PA
USD
584061.14000000
0.001262334919
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
0.00793067
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2050 #TBA
01F030637
-64650000.00000000
PA
USD
-66575865.32000000
-0.14389082547
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/45#G08654
3128MJWQ9
1245267.41160000
PA
USD
1319086.74000000
0.002850950250
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03500000
N
N
N
N
N
N
PUGET ENERGY INC NEW
SYBSJ96YIDMIUY7WDR33
PUGET ENERG IN 6.5% 12/15/20
745310AB8
1405000.00000000
PA
USD
1458054.74000000
0.003151302639
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2048#G67716
3132XCSD8
34953.61400000
PA
USD
38533.96000000
0.000083283683
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2046#BC7248
3140F3BS6
1375099.22790000
PA
USD
1464516.71000000
0.003165268935
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
TWDC ENTERPRISES 18 CORP
7260JQNI6SCF9FIV2392
WALT DISNEY CO 2.75% 8/16/21
25468PCN4
200000.00000000
PA
USD
203919.77000000
0.000440733047
Long
DBT
CORP
US
N
2
2021-08-16
Fixed
0.02750000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 2.605 04/29/2022
N/A
5300000.00000000
NC
USD
538043.55000000
0.001162876819
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 5/4/29 3MLV2.605
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-05-04
0.00000000
USD
0.00000000
USD
5300000.00000000
USD
1.00000000
2.60500000
USD
2022-04-29
XXXX
392293.55000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2046#MA2737
31418CBF0
622022.52500000
PA
USD
648282.01000000
0.001401135878
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 12/20/2042#MA0626
36179MVT4
2193334.16410000
PA
USD
2358931.11000000
0.005098372255
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.04000000
N
N
N
N
N
N
DTE ENERGY CO
549300IX8SD6XXD71I78
DTE ENERGY CO 3.8% 03/15/2027
233331AZ0
1635000.00000000
PA
USD
1781905.73000000
0.003851243767
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.03800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2041#Q02144
3132GFLZ8
373245.31710000
PA
USD
407030.55000000
0.000879717620
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AL2950
3138EKH40
600024.55780000
PA
USD
630793.10000000
0.001363336990
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
CVR ENERGY INC
529900SOYZIXZBTXB558
CVR ENERGY INC 5.25% 02/15/2025 144A
12662PAB4
275000.00000000
PA
USD
256437.50000000
0.000554239939
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.05250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 10/41 #005204
36202FX92
2929240.55690000
PA
USD
3200949.29000000
0.006918231305
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.65% 7/37 #942609
31413DVA2
8744.72590000
PA
USD
9175.21000000
0.000019830437
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Variable
0.04783000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2033#709470
31401JFK9
93254.75120000
PA
USD
104049.70000000
0.000224883253
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 01/01/2028#AL2877
3138EKFT7
310385.39750000
PA
USD
325288.86000000
0.000703048805
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.03500000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST BUILD AMERICA BONDS-IL ST
452152BM2
3845000.00000000
PA
USD
4834818.35000000
0.010449522511
Long
DBT
MUN
US
N
2
2035-02-01
Fixed
0.06630000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.252% 08/01/2041#
3138EPH64
378491.84500000
PA
USD
418241.66000000
0.000903948261
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Variable
0.05245000
N
N
N
N
N
N
FIDELITY SALEM STREET TRUST
S4W85DGKOEJ24DPRB829
Fidelity Inflation-Protected Bond Index Fund
31635T104
10145352.14800000
NS
USD
105511662.34000000
0.228043002045
Long
EC
RF
US
N
1
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.85% 03/15/2021
674599CZ6
1762000.00000000
PA
USD
1808133.69000000
0.003907930418
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
0.04850000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2050#TBA
01F022634
13600000.00000000
PA
USD
13868663.92000000
0.029974428272
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 1/42 #790493
36177JRP6
24366.95570000
PA
USD
25946.72000000
0.000056078804
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 8/39 #931836
31412QHM4
22162.58760000
PA
USD
24248.54000000
0.000052408518
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AJ9982
3138E3CU5
2812980.34900000
PA
USD
3002930.22000000
0.006490251476
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2042#AO5578
3138LWFU0
12473.12980000
PA
USD
13760.15000000
0.000029739896
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.04500000
N
N
N
N
N
N
SCHLUMBERGER INVT SA
529900EZ29I5KXPV2J32
SCHLUMBERGER INVT SA 3.65% 12/01/2023
806854AH8
210000.00000000
PA
USD
223873.47000000
0.000483859101
Long
DBT
CORP
LU
N
2
2023-12-01
Fixed
0.03650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#BK4838
3140HJLU3
42250.07600000
PA
USD
45485.18000000
0.000098307398
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 08/01/2041#AI5189
3138AJXT4
31074.32670000
PA
USD
34522.95000000
0.000074614663
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2050#TBA
01F032633
-125850000.00000000
PA
USD
-130684653.60000000
-0.28244954223
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 08/01/2033#730817
31402J4A2
23291.34400000
PA
USD
25947.63000000
0.000056080771
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/42#AQ8665
3138MQTX1
3131881.48080000
PA
USD
3359024.94000000
0.007259881175
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.0% 07/23/2025
6174468C6
2450000.00000000
PA
USD
2720354.51000000
0.005879518863
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/01/2040#A95150
312943WK5
3906912.79210000
PA
USD
4262998.59000000
0.009213644962
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
WFRBS COML MTG TR 2014-C24
N/A
WFRBS 2014-C24 XA CSTR 11/47
92939KAH1
6442368.96040000
PA
USD
199114.94000000
0.000430348339
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.00836924
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.25% 11/15/2027
9128283F5
46660000.00000000
PA
USD
50740927.46000000
0.109666677293
Long
DBT
UST
US
N
2
2027-11-15
Fixed
0.02250000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC 3.2% 2/23/23
38141GWT7
5700000.00000000
PA
USD
5960555.95000000
0.012882586081
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
0.03200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 09/01/2043#Q21798
3132JN7K7
27967.23750000
PA
USD
29432.40000000
0.000063612426
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 01/20/2043#MA0698
36179MX39
13957278.26620000
PA
USD
14663418.85000000
0.031692136969
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
0.03000000
N
N
N
N
N
N
OI EUROPEAN GROUP BV
72450053F5WRDY8CDZ66
OI EUROPEAN GROUP BV 4% 03/15/2023 144A
67777LAC7
500000.00000000
PA
USD
505625.00000000
0.001092810409
Long
DBT
CORP
NL
N
2
2023-03-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2044#AL6223
3138EN4H9
372694.81430000
PA
USD
409054.29000000
0.000884091542
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04500000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 5.25% 04/15/2029
29278NAG8
2803000.00000000
PA
USD
3147962.72000000
0.006803711107
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2042#AO9129
3138M1EB0
344544.12360000
PA
USD
373588.16000000
0.000807438378
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04000000
N
N
N
N
N
N
UNIVERSITY SOUTHN CALIF
0GMCSQ6M60R4T46U5511
UNIVERSITY SOUTHN CALIF 3.841% 10/01/2047
914886AC0
705000.00000000
PA
USD
907902.38000000
0.001962254974
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
0.03841000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2044#AS3638
3138WDBG5
264027.82380000
PA
USD
285317.13000000
0.000616657660
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04000000
N
N
N
N
N
N
PANAMA REPUBLIC OF
549300SHS4T08CL0LP14
PANAMA REPUBLIC OF 4.3% 04/29/2053
698299BB9
615000.00000000
PA
USD
757603.13000000
0.001637412284
Long
DBT
NUSS
PA
N
2
2053-04-29
Fixed
0.04300000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/41 #005055
36202FTL0
3456738.35870000
PA
USD
3783857.81000000
0.008178075059
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.875% 04/29/2024
61746BDQ6
4200000.00000000
PA
USD
4565588.58000000
0.009867634560
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 6/40 #G05898
3128M73F1
135592.02490000
PA
USD
152239.43000000
0.000329036012
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.05000000
N
N
N
N
N
N
KEYBANK NATL ASSN
HUX2X73FUCYHUVH1BK78
KEYBANK NATL ASSN CLVLD MTN BE 3.9% 04/13/2029
49327V2B9
2005000.00000000
PA
USD
2243893.48000000
0.004849740721
Long
DBT
CORP
US
N
2
2029-04-13
Fixed
0.03900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 2/39 #930610
31412N3T1
682396.91740000
PA
USD
756220.87000000
0.001634424797
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 10/01/2042#AB6685
31417DNB5
649063.63910000
PA
USD
682346.84000000
0.001474760404
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15400
3132J6NS9
185505.12290000
PA
USD
201195.15000000
0.000434844309
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
PNC BK N A PITTSBURGH PA MEDIUM TERM SR BK NTS BOOK ENTRY
N/A
PNC BK NA PITTSBURGH PA MEDIUM TERM SR BK NTS BOOK ENTRY 3.25% 06/01/2025
69353REQ7
1710000.00000000
PA
USD
1836659.65000000
0.003969583750
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.03250000
N
N
N
N
N
N
BANC AMER FDG 2015-R3 TR
N/A
BANC AMER FDG 2015-R3 TR 1ML+14 06/27/2036 144A
05990QBD4
612483.67080000
PA
USD
606628.33000000
0.001311109525
Long
ABS-CBDO
CORP
US
N
2
2036-06-27
Variable
0.01800880
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 4.25% 08/15/2024
87165BAD5
2029000.00000000
PA
USD
2181337.32000000
0.004714537709
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.04250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719230
3620A5A74
97524.64730000
PA
USD
107514.82000000
0.000232372438
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
BX TR 2018-IND
N/A
BX TR 2018-IND 1ML+132.5 09/15/2037 144A
12433WAC5
4446197.56800000
PA
USD
4439063.64000000
0.009594175433
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.02983500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2039#AW9574
3138XZT84
312072.33400000
PA
USD
337430.65000000
0.000729290930
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2047#AX5855
36196HQG8
63459.23380000
PA
USD
67679.93000000
0.000146277047
Long
ABS-MBS
USGA
US
N
2
2047-01-15
Fixed
0.04000000
N
N
N
N
N
N
BANK NEW YORK MELLON CORP
WFLLPEPC7FZXENRZV188
BANK OF NEW YORK MTN 3.4% 05/15/2024
06406HCV9
750000.00000000
PA
USD
803514.29000000
0.001736640356
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q33791
3132QQF98
249660.05850000
PA
USD
266332.33000000
0.000575625696
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/46#G60551
31335ATG3
960353.97400000
PA
USD
1040980.49000000
0.002249877508
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2028#MA1320
31418APE2
417880.83520000
PA
USD
434153.83000000
0.000938339331
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2045#Q37467
3132QUJM6
6036903.19040000
PA
USD
6464571.90000000
0.013971918841
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/46#G08707
3128MJYD6
645577.51430000
PA
USD
693724.69000000
0.001499351421
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 12/01/2046#G08741
3128MJZF0
8327081.79260000
PA
USD
8672247.66000000
0.018743381982
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 12/01/2034#745318
31403DAT6
1534513.58310000
PA
USD
1658359.11000000
0.003584221701
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.05000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.25% 03/15/2023
29278NAL7
1373000.00000000
PA
USD
1454086.17000000
0.003142725345
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 10/42 #Q12050
3132HNH36
2324659.76920000
PA
USD
2494429.44000000
0.005391225626
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.60% 2/35 #779905
31404VNW4
142646.88920000
PA
USD
150478.45000000
0.000325229995
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Variable
0.04387000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AB6903
31417DU50
251238.36700000
PA
USD
266241.39000000
0.000575429146
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #733234
3620ALSX3
22511.87330000
PA
USD
24817.93000000
0.000053639144
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2043#AR6751
3138W4QD6
498075.11140000
PA
USD
530618.69000000
0.001146829424
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03500000
N
N
N
N
N
N
DISNEY (WALT) CO
549300GZKULIZ0WOW665
DISNEY (WALT) CO 4.95% 10/15/2045
254687EX0
50000.00000000
PA
USD
68707.61000000
0.000148498178
Long
DBT
CORP
US
N
2
2045-10-15
Fixed
0.04950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#AL8321
3138ETG75
2184256.24990000
PA
USD
2366522.17000000
0.005114778860
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 4.8% 03/01/2050
161175BT0
750000.00000000
PA
USD
807712.82000000
0.001745714664
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
0.04800000
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GRP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 6.1% 06/10/2023
780097AY7
35526000.00000000
PA
USD
39306705.70000000
0.084953823772
Long
DBT
CORP
GB
N
2
2023-06-10
Fixed
0.06100000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 03/01/2041#A97717
312946SE7
52527.85100000
PA
USD
58533.79000000
0.000126509438
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.05000000
N
N
N
N
N
N
DUQUESNE LIGHT HLDGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LT 6.4% 9/15/20 144A
266233AC9
4858000.00000000
PA
USD
4971480.31000000
0.010744890842
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
0.06400000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2042#783630
3622A2A77
2419859.49500000
PA
USD
2574634.19000000
0.005564572643
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 10/20/2043#MA1377
36179NQ68
2062442.97170000
PA
USD
2226035.74000000
0.004811144678
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.04500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 4.25% 06/15/2048
91324PDL3
1350000.00000000
PA
USD
1637911.37000000
0.003540027875
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
0.04250000
N
N
N
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON and CO 3.7% 06/06/2027
075887BW8
118000.00000000
PA
USD
130327.55000000
0.000281677732
Long
DBT
CORP
US
N
2
2027-06-06
Fixed
0.03700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2042#MA1159
31418AJD1
31360.09560000
PA
USD
34595.93000000
0.000074772395
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 5/46#Q40310
3132WDKY9
75384.14930000
PA
USD
79568.99000000
0.000171972945
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC 4.125% 04/15/2021 144A
034863AM2
6803000.00000000
PA
USD
6980435.51000000
0.015086858021
Long
DBT
CORP
GB
N
2
2021-04-15
Fixed
0.04125000
N
N
N
N
N
N
HOLMES MASTER ISSUER PLC
N/A
HOLMES MASTER ISSUER PLC 18-2 A2 STEP 3ML+42 10/15/2054 144A
43641NCA0
6626442.99000000
PA
USD
6622639.41000000
0.014313551118
Long
ABS-CBDO
CORP
GB
N
2
2054-10-15
Variable
0.02251250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2047#BM3132
3140J7PS8
1961865.39700000
PA
USD
2091890.38000000
0.004521215490
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 5.625% 9/15/20
91529YAH9
3216000.00000000
PA
USD
3283688.99000000
0.007097057125
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
0.05625000
N
N
N
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
NAVIENT CORP 6.625% 07/26/2021
63938CAD0
1300000.00000000
PA
USD
1338376.00000000
0.002892640245
Long
DBT
CORP
US
N
2
2021-07-26
Fixed
0.06625000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 4.7% 05/15/2045
00287YAS8
2925000.00000000
PA
USD
3449456.45000000
0.007455331352
Long
DBT
CORP
US
N
2
2045-05-14
Fixed
0.04700000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 05/20/2045#MA2825
36179RD63
312191.89120000
PA
USD
327498.82000000
0.000707825205
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
0.03000000
N
N
N
N
N
N
VIRGINIA ELECTRIC AND POWER CO
CQKUMNNZVDJLRYV2PT43
VIRGINIA ELECTRIC AND POWER CO 3.15% 01/15/2026
927804FU3
15000.00000000
PA
USD
16143.34000000
0.000034890699
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.03150000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 01/46#MA3377
36179RXE4
489226.76790000
PA
USD
520965.40000000
0.001125965709
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA 1ML+605 01/25/2044
3136AHTW0
254085.15520000
PA
USD
42495.67000000
0.000091846151
Long
ABS-CBDO
USGSE
US
N
2
2044-01-25
Variable
0.04423250
N
N
N
N
N
N
VIRGINIA ELECTRIC AND POWER CO
CQKUMNNZVDJLRYV2PT43
VIRGINIA ELEC and PWR 6% 1/15/36 B
927804FA7
470000.00000000
PA
USD
668280.09000000
0.001444357851
Long
DBT
CORP
US
N
2
2036-01-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.0% 11/01/2037#A67449
3128KYH28
4949.24580000
PA
USD
5883.88000000
0.000012716865
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/41 #AJ4047
3138AVP90
680451.61620000
PA
USD
741272.29000000
0.001602116340
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 9/38 #G05188
3128M7CZ7
88641.25660000
PA
USD
100452.16000000
0.000217107868
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/01/42 #Q12052
3132HNH51
425752.41490000
PA
USD
454317.17000000
0.000981918482
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 6/36 #745640
31403DLV9
152034.02050000
PA
USD
179092.11000000
0.000387072874
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 02/47#MA4261
36179SWW3
1726832.27920000
PA
USD
1802325.93000000
0.003895378071
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
0.03000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.0% 05/15/2045
912810RM2
15826000.00000000
PA
USD
20156512.85000000
0.043564394675
Long
DBT
UST
US
N
2
2045-05-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 5.0% 06/01/2031#MA0777
31417Y2K2
87619.51730000
PA
USD
96138.75000000
0.000207785269
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/42 #AB7410
31417EGU9
944497.48000000
PA
USD
992930.18000000
0.002146026079
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 5/40 #004695
36202FGC4
218106.70330000
PA
USD
235187.21000000
0.000508311557
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
0.04000000
N
N
N
N
N
N
TANGER PPTYS LTD PARTNERSHIP
PQPGJDNFN35EXH363L31
TANGER PPTYS LTD PARTNERSHIP 3.875% 07/15/2027
875484AK3
13369000.00000000
PA
USD
14284159.65000000
0.030872441738
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21258
3132JNMF1
323401.42280000
PA
USD
350451.53000000
0.000757433038
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.0% 12/01/2028#AU9683
3138X9XM6
93061.39500000
PA
USD
96714.45000000
0.000209029533
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2049#CA4406
3140QB3Q9
12864970.56200000
PA
USD
13520650.51000000
0.029222264757
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 3.3% 11/16/2022
251526BL2
10180000.00000000
PA
USD
10448637.07000000
0.022582703294
Long
DBT
CORP
US
N
2
2022-11-16
Fixed
0.03300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2040#890310
31410LDP4
694928.19710000
PA
USD
769456.33000000
0.001663030678
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
WESTERN ASSET FDS INC
549300Q2LEO7M5HGWP70
Western Asset Core Plus Bond I
957663503
268433589.05600000
NS
USD
3274889786.48000000
7.078039353324
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.0% 11/01/2028#AU6440
3138X6EN1
60946.03750000
PA
USD
63224.15000000
0.000136646742
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
0.03000000
N
N
N
N
N
N
PROVIDENT FDG MTG TR 2019-1
N/A
PROVIDENT FDG MTG TR 2019-1 3% 12/25/2049 144A
74387LAE1
3840207.81000000
PA
USD
3930212.68000000
0.008494392736
Long
ABS-CBDO
CORP
US
N
2
2049-12-25
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.97 08/01/2024
N/A
-17000000.00000000
NC
USD
-220364.88000000
-0.00047627596
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 8/05/29 3MLV1.97
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-08-05
0.00000000
USD
0.00000000
USD
-17000000.00000000
USD
1.00000000
1.97000000
USD
2024-08-01
XXXX
252235.12000000
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UNITEDHEALTH INC MTN 4.7% 2/21
91324PBP6
240000.00000000
PA
USD
245172.48000000
0.000529892782
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
0.04700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.0% 04/01/2029#J27984
31307G2R9
1188602.75300000
PA
USD
1240612.09000000
0.002681342508
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 11/41 #005232
36202FY59
5829803.51440000
PA
USD
6206322.54000000
0.013413762917
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/43#AL3597
3138EK7K5
17199.35370000
PA
USD
18649.21000000
0.000040306651
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2033#709252
31401H5M0
93880.27220000
PA
USD
104623.09000000
0.000226122525
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/46#AS7248
3138WHBS0
810504.41540000
PA
USD
870538.72000000
0.001881500667
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 6/46#V82414
3132L7VF3
540474.20640000
PA
USD
570308.92000000
0.001232612161
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 4/42 #Q07441
3132GSS67
61619.22500000
PA
USD
67042.80000000
0.000144900014
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
QUEBEC PROVINCE CDA
549300WN65YFEQH74Y36
QUEBEC 7.125% 2/09/24
748148PD9
810000.00000000
PA
USD
996429.60000000
0.002153589397
Long
DBT
NUSS
CA
N
2
2024-02-09
Fixed
0.07125000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.89 12/09/2024
N/A
-20200000.00000000
NC
USD
-931153.14000000
-0.00201250698
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 12/29 1.89V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-11
0.00000000
USD
0.00000000
USD
-20200000.00000000
USD
1.00000000
1.89000000
USD
2024-12-09
XXXX
-355453.14000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2046#BC1552
3140EVWN3
155088.18010000
PA
USD
166672.54000000
0.000360230381
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.04000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.125% 03/01/2027
55336VAK6
505000.00000000
PA
USD
541467.87000000
0.001170277823
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
0.04125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2046#AS9175
36193VFQ0
164725.84220000
PA
USD
176394.23000000
0.000381241929
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
BAYVIEW COML ASST TR 2007 2
N/A
BAYC 2007-2 A2 1ML+32 7/37
07325XAB6
103557.84350000
PA
USD
97179.99000000
0.000210035707
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.01946750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2049#RA1173
3133KGJS8
825355.06900000
PA
USD
857101.28000000
0.001852458245
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 09/44#G07828
3128MAA58
430146.63600000
PA
USD
470443.38000000
0.001016772158
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04500000
N
N
N
N
N
N
BAYVIEW COML ASST TR 2007 2
N/A
BAYC 2007-2 M1 1ML+37 7/37
07325XAC4
35248.56580000
PA
USD
32761.42000000
0.000070807457
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.01996750
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 3.6% 02/17/2023
00206RCS9
6860000.00000000
PA
USD
7224696.47000000
0.015614780729
Long
DBT
CORP
US
N
2
2023-02-17
Fixed
0.03600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 9/36 #893427
31410PSQ7
45854.82720000
PA
USD
54408.49000000
0.000117593402
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
0.06000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
CARDINAL HEALTH 3.2% 6/15/22
14149YAV0
405000.00000000
PA
USD
419280.04000000
0.000906192518
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.03200000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO NEW MTN SR NTS 4.65% 11/04/2044
94974BGE4
1385000.00000000
PA
USD
1685237.75000000
0.003642314670
Long
DBT
CORP
US
N
2
2044-11-04
Fixed
0.04650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2035#AB0067
31416VCD4
2018042.61460000
PA
USD
2247547.54000000
0.004857638263
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 05/01/2043#Q17903
3132J9GM4
182859.10070000
PA
USD
192438.81000000
0.000415919178
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BM4614
3140J9DU2
1577039.31500000
PA
USD
1656193.60000000
0.003579541371
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.875% 08/14/2024
00774MAM7
7954000.00000000
PA
USD
8102526.47000000
0.017512040085
Long
DBT
CORP
IE
N
2
2024-08-14
Fixed
0.02875000
N
N
N
N
N
N
UPGRADE RECEIVABLES TRUST 2019-2
5493009DX1Z3IUWYTS52
UPGRADE RECEIVABLES TRUST 2019-2 2.77% 10/15/2025 144A
91532MAA5
4503628.61210000
PA
USD
4525355.92000000
0.009780679466
Long
ABS-CBDO
CORP
US
N
2
2025-10-15
Fixed
0.02770000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/40 #AD0732
31418MY63
78527.67650000
PA
USD
93377.21000000
0.000201816735
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AO2138
3138LSLU2
1207242.98310000
PA
USD
1294799.73000000
0.002798458586
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2048#CA1218
3140Q8K87
5578465.85800000
PA
USD
5993689.48000000
0.012954197782
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2045#AZ1709
3138YS3T1
407688.30740000
PA
USD
443257.40000000
0.000958014933
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04500000
N
N
N
N
N
N
COMM 2006 FL12
N/A
COMM 2014-CR20 XA CSTR 11/10/2047
12592LBK7
18188940.88580000
PA
USD
744618.86000000
0.001609349302
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Variable
0.01027173
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/01/2050 #TBA
21H040632
-14200000.00000000
PA
USD
-14783946.60000000
-0.03195263433
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2044#AV4104
3138XFR23
650971.24330000
PA
USD
709515.24000000
0.001533479633
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2048#BM5246
3140J9ZL8
2719269.81760000
PA
USD
2849356.15000000
0.006158330898
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.03500000
N
N
N
N
N
N
BARRICK NORTH AMER FIN LLC
N/A
BARRICK GOLD 5.75 5/43
06849RAK8
330000.00000000
PA
USD
465826.68000000
0.001006794056
Long
DBT
CORP
US
N
2
2043-05-01
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BK4845
3140HJL33
747884.99700000
PA
USD
776775.20000000
0.001678848997
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25336
3132M5SZ6
27303.91570000
PA
USD
29930.04000000
0.000064687978
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
LIBERTY PPTY LTD PARTNERSHIP
549300N6GNCW2Y4RH795
LIBERTY PPTY LTD PARTNERSHIP 4.125% 06/15/2022
53117CAN2
1061000.00000000
PA
USD
1121178.18000000
0.002423209267
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.04125000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 3.55% 06/01/2024
00206RHR6
3131000.00000000
PA
USD
3335889.26000000
0.007209877889
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
0.03550000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 3/42 #005334
36202F4T0
358488.93580000
PA
USD
398823.31000000
0.000861979262
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Fixed
0.05000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.9 12/10/2024
N/A
-20200000.00000000
NC
USD
-305545.20000000
-0.00066037671
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 12/12/29 3MLV1.9
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-12
0.00000000
USD
0.00000000
USD
-20200000.00000000
USD
1.00000000
1.90000000
USD
2024-12-10
XXXX
265104.80000000
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
DDR CORP 4.625% 7/15/22
23317HAA0
1600000.00000000
PA
USD
1703972.53000000
0.003682806265
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
0.04625000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
QORVO INC 5.5% 07/15/2026
74736KAF8
600000.00000000
PA
USD
619800.00000000
0.001339577536
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.05500000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 4.6% 04/01/2024
92936UAA7
7436000.00000000
PA
USD
8130516.23000000
0.017572534525
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 02/01/2041#AH2454
3138A3WQ6
29033.72120000
PA
USD
32337.54000000
0.000069891323
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2028#AU2296
3138X1RS7
877854.00790000
PA
USD
902523.11000000
0.001950628725
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.02500000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN
N/A
TARGA RES P LP/TARGA RES P FIN 5.125% 02/01/2025
87612BBB7
900000.00000000
PA
USD
903393.00000000
0.001952508823
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.05125000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC ENERGY GROUP INC FRN 3ML+211.25 05/15/2067
976657AH9
1012000.00000000
PA
USD
972459.21000000
0.002101782046
Long
DBT
CORP
US
N
2
2067-05-15
Variable
0.03804250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2034#FM1577
3140X4XF8
10654013.05500000
PA
USD
11312068.83000000
0.024448843645
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03500000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST TXBL
452151LF8
24560000.00000000
PA
USD
28735200.00000000
0.062105563755
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
0.05100000
N
N
N
N
N
N
BEECHWOOD PARK CLO LTD
N/A
BEECHWOOD PARK CLO LTD 3ML+133 01/17/2033 144A
07355TAA0
2900000.00000000
PA
USD
2900870.00000000
0.006269668098
Long
ABS-CBDO
CORP
KY
N
2
2033-01-17
Variable
0.03233170
N
N
N
N
N
N
DCP MIDSTREAM LLC
VQOHU6HCVU6YY1KUKU03
DCP MIDSTREAM LLC 5.35% 03/15/2020 144A
23311RAD8
2258000.00000000
PA
USD
2260826.18000000
0.004886337469
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
0.05350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q01985
3132GFF28
146990.06450000
PA
USD
163383.23000000
0.000353121175
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 5.25% 04/01/2025 144A
15135BAL5
1300000.00000000
PA
USD
1337375.00000000
0.002890476778
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.05250000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
SEMPRA ENERGY 4% 02/01/48
816851BJ7
590000.00000000
PA
USD
653010.94000000
0.001411356544
Long
DBT
CORP
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#BD9690
3140FHXU6
303626.75700000
PA
USD
323180.68000000
0.000698492383
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2049#QA1043
31334XEQ8
477943.29900000
PA
USD
496326.77000000
0.001072714087
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
0.03500000
N
N
N
N
N
N
CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP
N/A
CRESTWOOD MIDSTRM PTN/FIN CORP 5.625% 05/01/2027 144A
226373AQ1
240000.00000000
PA
USD
221988.00000000
0.000479784024
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.05625000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO NEW MTN SR NTS 3.0% 02/19/2025
94974BGH7
7625000.00000000
PA
USD
8048643.78000000
0.017395583097
Long
DBT
CORP
US
N
2
2025-02-19
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2042#792254
36177LQG2
57888.78740000
PA
USD
62951.04000000
0.000136056468
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043
3136AA4A0
1269792.90240000
PA
USD
1278358.80000000
0.002762924704
Long
ABS-CBDO
USGSE
US
N
2
2043-01-25
Fixed
0.01750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 06/01/2043#AT9645
3138WXWF0
21466.54960000
PA
USD
22755.16000000
0.000049180866
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 11/01/2048#ZT1321
3132ADPE2
356455.41260000
PA
USD
380915.67000000
0.000823275370
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 12/40 #004881
36202FM60
231187.90200000
PA
USD
246335.96000000
0.000532407419
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.9 12/10/2024
N/A
-20200000.00000000
NC
USD
-937585.02000000
-0.00202640824
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 12/12/29 1.9V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-12
0.00000000
USD
0.00000000
USD
-20200000.00000000
USD
1.00000000
1.90000000
USD
2024-12-10
XXXX
-366935.02000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/45#Q36893
3132QTUT1
378108.56620000
PA
USD
400522.80000000
0.000865652380
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 04/01/2031#AS7051
3138WGZR8
298093.51100000
PA
USD
310010.28000000
0.000670027116
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
0.02500000
N
N
N
N
N
N
ADVANCED DRAIN SYS INC DEL
6QQTOZ5MF5DHM7K92I60
ADVANCED DRAIN SYS INC DEL 5% 09/30/2027 144A
00790RAA2
400000.00000000
PA
USD
413500.00000000
0.000893700082
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
0.05000000
N
N
N
N
N
N
ALABAMA POWER and LIGHT
0RL818ELFOHP5JHOFU19
ALABAMA POWER CO 3.75% 03/01/2045
010392FM5
1000000.00000000
PA
USD
1121338.87000000
0.002423556567
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
0.03750000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL B 1ML+110 10/15/2036 144A
056054AE9
3832111.57000000
PA
USD
3838264.41000000
0.008295664377
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.02738500
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / A 3.5% 05/26/22
00774MAA3
1949000.00000000
PA
USD
2003805.70000000
0.004330837532
Long
DBT
CORP
IE
N
2
2022-05-26
Fixed
0.03500000
N
N
N
N
N
N
ABB FINANCE USA INC
5493002Y01YAFV45F528
ABB FIN USA INC 2.875% 5/08/22
00037BAB8
115000.00000000
PA
USD
118715.68000000
0.000256580926
Long
DBT
CORP
US
N
2
2022-05-08
Fixed
0.02875000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 01/20/2045#MA2523
36179QYU9
529707.77410000
PA
USD
570234.34000000
0.001232450971
Long
ABS-MBS
USGA
US
N
2
2045-01-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33547
3132QP5H3
1282388.42730000
PA
USD
1368026.20000000
0.002956723404
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/47#BJ2132
3140H3LN4
273658.33300000
PA
USD
294954.51000000
0.000637486988
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 2.496/VAR 02/13/2031
06051GHZ5
1800000.00000000
PA
USD
1827728.32000000
0.003950280412
Long
DBT
CORP
US
N
2
2031-02-13
Variable
0.02496000
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 3.8% 09/15/22 WI
225433AH4
10230000.00000000
PA
USD
10766061.62000000
0.023268754918
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
0.03800000
N
N
N
N
N
N
NAVISTAR FINL DEALER NT MASTER OWNER TR II
N/A
NAVISTAR FINL DEALER NT MASTER OWNER TR II 2018-1 A 1ML+63 09/25/2023 144A
63938PBD0
11000000.00000000
PA
USD
11021147.50000000
0.023820073593
Long
ABS-CBDO
CORP
US
N
2
2023-09-25
Variable
0.02256750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 08/01/2032#J37452
31307UH50
161389.67600000
PA
USD
170267.19000000
0.000367999520
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 02/01/2043#AR4159
3138W1TR8
1411113.31670000
PA
USD
1529746.04000000
0.003306249485
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/42#AK5551
3138EAEZ6
1024989.26100000
PA
USD
1111392.78000000
0.002402060022
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 07/01/2033#MA1490
31418AUQ9
3047915.81100000
PA
USD
3185159.80000000
0.006884105383
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/43#AL7261
3138EQB76
1645012.79400000
PA
USD
1764319.32000000
0.003813234152
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2041#AI7895
3138AMXZ3
186885.24720000
PA
USD
207625.73000000
0.000448742761
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 4.875% 05/15/2023
00130HBT1
602000.00000000
PA
USD
596443.54000000
0.001289097076
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#BO1835
3140JWBD1
1140455.09400000
PA
USD
1215885.93000000
0.002627901707
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM OPER LP 3.875% 3/15/23
23311VAD9
17626000.00000000
PA
USD
17546683.00000000
0.037923753436
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.03875000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 3.5% 05/15/2031
3137AQ6B9
428661.97860000
PA
USD
25072.44000000
0.000054189218
Long
ABS-CBDO
USGSE
US
N
2
2031-05-15
Fixed
0.03500000
N
N
N
N
N
N
PIMCO FDS
O7M5VNOD7AVYOESOBU56
PIMCO Mortgage Opportunities and BdInstl
72201U638
80159624.81600000
NS
USD
875343102.99000000
1.891884409729
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2039#AS3482
3138WC2Q5
1841180.08370000
PA
USD
1989639.59000000
0.004300220231
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AU3735
3138X3EH1
610544.36120000
PA
USD
642233.93000000
0.001388064126
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 10/1/33 #A14237
31296NV61
247243.22280000
PA
USD
276072.90000000
0.000596678049
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.5% 01/43 #Q16224
3132J7LE0
25031.54840000
PA
USD
26742.26000000
0.000057798210
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
BROADCOM CORP / BROADCOM CAYMAN FIN LTD
N/A
BROADCOM CORP / BROADCOM CAYMAN FIN LTD 3.125% 01/15/2025
11134LAP4
1260000.00000000
PA
USD
1298938.81000000
0.002807404405
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.03125000
N
N
N
N
N
N
ARCH CAP FIN LLC
549300XG4URFY0200M65
ARCH CAPITAL FINANCE LLC 4.011% 12/15/2026
03939CAA1
1970000.00000000
PA
USD
2251208.28000000
0.004865550243
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.04011000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2042#AL2866
3138EKFG5
9201440.13200000
PA
USD
9814152.07000000
0.021211386977
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2010-95 ZC 5% 09/25/2040
31398NFC3
2130729.79940000
PA
USD
2440458.01000000
0.005274576844
Long
ABS-CBDO
USGSE
US
N
2
2040-09-25
Fixed
0.05000000
N
N
N
N
N
N
DRYDEN SENIOR LOAN FUND 2018
N/A
DRSLF 2020-78A A 3ML+118 04/17/2033 144A
26253LAA0
5400000.00000000
PA
USD
5400000.00000000
0.011671053073
Long
ABS-CBDO
CORP
US
N
2
2033-04-17
Variable
0.00000000
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON CO
9R1Z5I36FERIBVKW4P77
SOUTHERN CALIFORNIA EDISON CO 3.6% 02/01/2045
842400GE7
1935000.00000000
PA
USD
2027248.24000000
0.004381504037
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
0.03600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2047#MA3179
31418CQ98
2369911.38990000
PA
USD
2463294.90000000
0.005323934354
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 06/01/2043#AB9749
31417GZP4
523234.74000000
PA
USD
550392.61000000
0.001189566918
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 3.973/VAR 05/22/2030
404280CC1
1000000.00000000
PA
USD
1096275.57000000
0.002369387103
Long
DBT
CORP
GB
N
2
2030-05-22
Variable
0.03973000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2045#AZ7335
3140E0EH4
2389703.13660000
PA
USD
2575670.55000000
0.005566812534
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90684
3132J2XM0
894710.91700000
PA
USD
935420.62000000
0.002021730315
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.5% 08/15/2029
674599CS2
2534000.00000000
PA
USD
2556791.71000000
0.005526009582
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
0.03500000
N
N
N
N
N
N
TOLL BROS FIN CORP
N/A
TOLL BROS FINANCE CORP 4.35% 02/15/2028
88947EAT7
29675000.00000000
PA
USD
31318401.50000000
0.067688652978
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.04350000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.964/VAR 11/15/2048
46647PAL0
1945000.00000000
PA
USD
2314910.64000000
0.005003230544
Long
DBT
CORP
US
N
2
2048-11-15
Variable
0.03964000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 4.063% 11/01/2024
345397ZX4
22139000.00000000
PA
USD
22559616.43000000
0.048758237161
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.04063000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 09/30/2021
912828F21
60710000.00000000
PA
USD
61807997.42000000
0.133586003380
Long
DBT
UST
US
N
2
2021-09-30
Fixed
0.02125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 11/46#MA4195
36179SUU9
9406322.97720000
PA
USD
9817548.61000000
0.021218727940
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
0.03000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
LEVEL 3 FINANCING INC 5.375% 01/15/24
527298BK8
900000.00000000
PA
USD
897768.00000000
0.001940351476
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/27#MA1162
31418AJG4
259486.01510000
PA
USD
269590.84000000
0.000582668333
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2018-H4
N/A
MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051
61691RAE6
3237000.00000000
PA
USD
3819667.12000000
0.008255469940
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Fixed
0.04310000
N
N
N
N
N
N
ISHARES TRUST
549300G3FWQPUM47D181
iShares 3-7 Year Treasury Bond ETF
464288661
5100.00000000
NS
USD
664428.00000000
0.001436032305
Long
EC
RF
US
N
1
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2047#MA4778
36179TJX4
4058137.16700000
PA
USD
4269506.05000000
0.009227709575
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/01/2047#G61047
31335BEU6
873286.95900000
PA
USD
963557.67000000
0.002082543093
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
AMERICAN AIRLS INC 2016-2 CL AA PASS THRU TRS
N/A
AMERICAN AIRLS INC 2016-2 CL AA PASS THRU TRS 3.2% 12/15/2029
023765AA8
461430.00000000
PA
USD
495792.78000000
0.001071559972
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.03200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 03/01/2048#Q54622
3132XXD48
44787.58600000
PA
USD
48239.81000000
0.000104260996
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 5.75% 02/15/2026 144A
1248EPBM4
2400000.00000000
PA
USD
2495280.00000000
0.005393063946
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 8/42#AP4263
3138M7WZ4
85793.97820000
PA
USD
90917.28000000
0.000196500074
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 12/20/2045#MA3311
36179RVC0
1798645.56680000
PA
USD
1921515.72000000
0.004152983694
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
0.04000000
N
N
N
N
N
N
CAPITAL ONE NATL ASSN MCLEAN VA
207ALC1P1YM0OVDV0K75
CAPITAL ONE NATL ASN MCLEAN VA 2.15% 09/06/2022
14042RNW7
5084000.00000000
PA
USD
5134993.64000000
0.011098293204
Long
DBT
CORP
US
N
2
2022-09-06
Fixed
0.02150000
N
N
N
N
N
N
PLANET FITNESS MASTER ISSUER LLC 18-1A
N/A
PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A
72703PAC7
6154000.00000000
PA
USD
6429945.36000000
0.013897080288
Long
ABS-CBDO
CORP
US
N
2
2049-12-05
Fixed
0.03858000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.5% 09/15/2040#748784
3620C42R0
118519.46750000
PA
USD
130660.29000000
0.000282396885
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 02/20/2050#BQ4127
3617LNSQ8
2287844.00000000
PA
USD
2389293.87000000
0.005163995475
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/41 #AH3843
3138A5HV7
53894.00220000
PA
USD
59606.54000000
0.000128827979
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/40 #004801
36202FKN5
841271.12010000
PA
USD
921934.21000000
0.001992582054
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 10/01/2031#G15963
3128MEZ46
183670.07600000
PA
USD
190686.46000000
0.000412131813
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2044#AX2369
3138Y3T35
90111.64960000
PA
USD
98621.19000000
0.000213150581
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 08/45#MA3033
36179RLN7
949454.87000000
PA
USD
996007.12000000
0.002152676288
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2017-30 AI 5.5% 05/47
3136AWQD2
610470.40150000
PA
USD
122047.44000000
0.000263781879
Long
ABS-CBDO
USGSE
US
N
2
2047-05-25
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q16893
3132J8C73
3062579.72100000
PA
USD
3273797.88000000
0.007075679409
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
NSG HOLDINGS LLC/NSG HLD INC
N/A
NSG HLDS LLC 7.75% 12/25 144A
62940QAA3
23647.89600000
PA
USD
26249.16000000
0.000056732470
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.07750000
N
N
N
N
N
N
BX COML MTG TR 2019
N/A
BX COML MTG TR 2019-XCALM AL 1ML+88.72 11/25/2286 144A
05608FAA9
1900000.00000000
PA
USD
1900594.13000000
0.004107765733
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
0.02534500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 08/01/2045#Q35879
3132QSQ92
1026327.54330000
PA
USD
1108644.14000000
0.002396119369
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM5110
3140J9VC2
7710296.62500000
PA
USD
8012958.15000000
0.017318455526
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT K076 A2 3.9% 06/25/2051
3137FEZU7
4800000.00000000
PA
USD
5585251.20000000
0.012071437626
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Fixed
0.03900000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2047#MA4383
36179S2Q9
12170573.16100000
PA
USD
12891680.84000000
0.027862868757
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2046#G60440
31335APZ5
13507269.38300000
PA
USD
14552798.22000000
0.031453051924
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 08/01/2034#C91782
3128P76T5
497835.07860000
PA
USD
525933.79000000
0.001136703921
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 12/01/2037#C91967
3128P8FG1
392328.91780000
PA
USD
408831.41000000
0.000883609830
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2050#TBA
01F032633
155150000.00000000
PA
USD
161110242.40000000
0.348208553655
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03500000
N
N
N
N
N
N
FLORIDA PWR and LT CO
A89MY1K3YLIGJMYWVX50
FLORIDA PWR and LT CO 3.95% 03/01/2048
341081FQ5
2080000.00000000
PA
USD
2557840.65000000
0.005528276662
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2049#BN6593
3140JPKF1
380312.45000000
PA
USD
401988.32000000
0.000868819818
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 06/01/2031#G18604
3128MMU68
671141.88200000
PA
USD
692166.07000000
0.001495982766
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.02500000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 4.3% 04/01/2027
42809HAG2
1117000.00000000
PA
USD
1177742.02000000
0.002545461041
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.04300000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.666%/VAR 01/29/2031
172967ML2
4890000.00000000
PA
USD
5014319.35000000
0.010837479122
Long
DBT
CORP
US
N
2
2031-01-29
Variable
0.02666000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2039#935275
31412UQ45
10850.53880000
PA
USD
12024.39000000
0.000025988387
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04500000
N
N
N
N
N
N
WR GRACE and CO - CONN
549300GJVOEHHLSO6K25
WR GRACE and CO CONN 5.625% 10/01/24 144A
383909AF5
400000.00000000
PA
USD
442000.00000000
0.000955297307
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.05625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2043#AB9675
31417GXD3
3148189.44230000
PA
USD
3353888.05000000
0.007248778784
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03500000
N
N
N
N
N
N
TWIN RIVER WORLDWIDE HOLDINGS INC
549300NS4D5IK406VT62
TWIN RIVER WORLDWIDE HOLDINGS INC 6.75% 06/01/2027
90171VAA3
300000.00000000
PA
USD
312541.50000000
0.000675497858
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
0.06750000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2.375% 11/15/2049
912810SK5
1913000.00000000
PA
USD
2233053.87000000
0.004826313006
Long
DBT
UST
US
N
2
2049-11-15
Fixed
0.02375000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 10/20/2046#MA4005
36179SNW3
541560.65240000
PA
USD
576694.45000000
0.001246413246
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP 4.5% 11/15/2040
3137BE3R3
950556.04890000
PA
USD
1040915.15000000
0.002249736289
Long
ABS-CBDO
USGSE
US
N
2
2040-11-15
Fixed
0.04500000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC 2.65% 02/15/2025
37940XAA0
495000.00000000
PA
USD
512469.39000000
0.001107603231
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.02650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/01/2047#G08780
3128MJ2N9
500722.95340000
PA
USD
533216.12000000
0.001152443265
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984
3617M76V5
393040.38800000
PA
USD
417933.68000000
0.000903282622
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2041#AI6550
3138ALH42
190134.07980000
PA
USD
210168.66000000
0.000454238812
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.04500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.882%/VAR 07/24/2038
46647PAJ5
6115000.00000000
PA
USD
7008631.42000000
0.015147798013
Long
DBT
CORP
US
N
2
2038-07-24
Variable
0.03882000
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LIMITED 4.875% 10/01/2024 144A
98313RAC0
300000.00000000
PA
USD
299412.00000000
0.000647120989
Long
DBT
CORP
KY
N
2
2024-10-01
Fixed
0.04875000
N
N
N
N
N
N
TIME WARNER CABLE INC
B1WXCWLJVJXMWJX6O298
TIME WARNER CABLE INC 5.875% 11/15/2040
88732JAY4
5543000.00000000
PA
USD
6628746.04000000
0.014326749415
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
0.05875000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
RY1052DWLDPLDW74Y843
ENERGY TRANSFER PARTNERS MLP 4.75% 01/15/2026
29273RBG3
1935000.00000000
PA
USD
2131999.87000000
0.004607904376
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.04750000
N
N
N
N
N
N
TIME WARNER CABLE INC
B1WXCWLJVJXMWJX6O298
TIME WARNER CABLE INC 5.5% 09/01/2041
88732JBB3
2591000.00000000
PA
USD
3030439.51000000
0.006549707473
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2043#AT2887
3138WQF56
859221.79110000
PA
USD
921537.88000000
0.001991725464
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
ENTERGY LA LLC
0V5453U14HDZO63CGH17
ENTERGY LOUISIANA LLC 4.05% 09/01/2023
29364WAS7
880000.00000000
PA
USD
958608.07000000
0.002071845492
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
0.04050000
N
N
N
N
N
N
NIELSEN FINANCE LLC/ NIELSEN FINANCE CO
N/A
NIELSEN FINANCE 5.0% 04/15/22 144A
65409QBB7
1200000.00000000
PA
USD
1194000.00000000
0.002580599512
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2041#AB3419
31416YYR3
186856.78740000
PA
USD
206546.04000000
0.000446409221
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2040#
312943B28
753287.20500000
PA
USD
821943.68000000
0.001776471909
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #616878
36290TJX8
202457.65690000
PA
USD
215583.41000000
0.000465941744
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 01/48#CA1576
3140Q8XE0
525041.09220000
PA
USD
571660.70000000
0.001235533772
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-170 B 4% 12/40
38377NRP1
559259.27050000
PA
USD
626697.21000000
0.001354484518
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2041#AI3533
3138AG4T2
100773.90140000
PA
USD
111549.99000000
0.000241093676
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
APOLLO AVIATION SECURITIZATION EQUITY TRUST
N/A
APOLLO AVIATION SECURITIZATION EQUITY TRUST 4.335% 01/16/2040 144A
00255UAB1
622000.00000000
PA
USD
621981.34000000
0.001344292079
Long
ABS-CBDO
CORP
US
N
2
2040-01-16
Fixed
0.04335000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#AS6350
3138WGBU7
845701.10120000
PA
USD
916270.88000000
0.001980341864
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
MATCH GROUP INC
549300BIJKT86CPCKK96
MATCH GROUP INC 4.125% 08/01/2030 144A
57665RAL0
70000.00000000
PA
USD
68579.00000000
0.000148220212
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2046#BM4748
3140J9H20
977391.96060000
PA
USD
1044307.83000000
0.002257068909
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2043#MA0934
36179NBB3
1046447.64900000
PA
USD
1112397.61000000
0.002404231767
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03500000
N
N
N
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
CHEMOURS CO 7% 05/15/2025
163851AD0
600000.00000000
PA
USD
559500.00000000
0.001209250776
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.07000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.6% 03/09/2026
172967KJ9
5735000.00000000
PA
USD
6490225.81000000
0.014027364794
Long
DBT
CORP
US
N
2
2026-03-09
Fixed
0.04600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 1/30 #MA0295
31417YKH9
10139.54820000
PA
USD
11112.74000000
0.000024018033
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.05000000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 3.5% 01/11/2028
455780CD6
2955000.00000000
PA
USD
3123065.63000000
0.006749900874
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/45#AY3962
3138YHML1
118158.00600000
PA
USD
127353.10000000
0.000275249035
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2041#AJ5302
3138AW3L5
17219.53500000
PA
USD
18695.30000000
0.000040406266
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 7/35 #735676
31402RJV2
1084221.17030000
PA
USD
1213906.17000000
0.002623622840
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22499
3132JPX49
314480.56800000
PA
USD
340784.51000000
0.000736539648
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)JUN20 TYM0
N/A
-1108.00000000
NC
USD
-3706778.75000000
-0.00801148361
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UNDERLYING TREASURY 10 YR NOTEGENERIC IV FOR FUTURES TRADING
2020-06-19
-145596221.25000000
USD
-3706778.75000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2048#BM4676
3140J9FS5
2420909.76070000
PA
USD
2634271.32000000
0.005693466738
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AS0305
3138W9KT6
806742.26880000
PA
USD
848615.26000000
0.001834117358
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 5.0% 10/01/2021
00772BAM3
2185000.00000000
PA
USD
2289116.01000000
0.004947480452
Long
DBT
CORP
IE
N
2
2021-10-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/45#AY8537
3138YNPX9
1018007.69850000
PA
USD
1099138.13000000
0.002375573972
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 12/01/2043#C09055
31292SBY5
539756.48950000
PA
USD
584228.38000000
0.001262696375
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
0.04000000
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 2019-P1
N/A
CONSUMER LOAN UNDERLYING BOND CREDIT TRUST 2019-P1 2.94% 07/15/2026 144A
21054AAA6
2834503.50000000
PA
USD
2857956.75000000
0.006176919427
Long
ABS-CBDO
CORP
US
N
2
2026-07-15
Fixed
0.02940000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.84% 01/23/2030 144A
71654QCT7
11864000.00000000
PA
USD
12397880.00000000
0.026795613977
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
0.06840000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/41 #AJ3402
3138AUX85
314202.29140000
PA
USD
347113.66000000
0.000750218879
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9019
3138EEAV1
131575.13950000
PA
USD
143088.99000000
0.000309259110
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG3507
3617GM3Q3
2121432.25100000
PA
USD
2259723.33000000
0.004883953873
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
MAGNETITE XXI LTD 2019-21A A
N/A
MAGNETITE CLO LTD 2019-24A A 3ML+133 01/15/2033 144A
55954WAA7
5176000.00000000
PA
USD
5181693.60000000
0.011199226114
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.03237140
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 08/01/2032#MA3090
31418CNG5
3277092.78600000
PA
USD
3404708.35000000
0.007358617009
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 07/47#MA4587
36179TCY9
4935125.03920000
PA
USD
5227531.69000000
0.011298296258
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
0.04000000
N
N
N
N
N
N
PUBLIC SERVICE ELEC and GAS CO
549300RUHPVD434XUK18
PUBLIC SVC ELEC GAS CO SCD MTN 2.25% 09/15/2026
74456QBR6
595000.00000000
PA
USD
615467.22000000
0.001330213072
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
0.02250000
N
N
N
N
N
N
ARES CLO
N/A
ARES CLO 2019-54A A 3ML+132 10/15/2032 144A
04017WAC6
7102000.00000000
PA
USD
7104130.60000000
0.015354200976
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.03165750
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 4% 03/01/2023 144A
1248EPBZ5
1200000.00000000
PA
USD
1212000.00000000
0.002619503023
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2045#AY5719
3138YKK93
603280.39090000
PA
USD
655914.07000000
0.001417631096
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#733816
3620AMGZ9
234970.77340000
PA
USD
254637.33000000
0.000550349220
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2045#BA3538
3140E74Y3
49437.13520000
PA
USD
53330.70000000
0.000115263968
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 12/01/2042#C04422
31292L4F9
1146280.00710000
PA
USD
1205615.47000000
0.002605704099
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019 1ML+185 10/15/2036 144A
056054AH2
9588399.82000000
PA
USD
9630788.22000000
0.020815081565
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.03458500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/01/2042#Q11532
3132HMVZ1
460839.56300000
PA
USD
491758.40000000
0.001062840441
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 09/01/2034#MA3764
31418DFE7
977379.35670000
PA
USD
1003623.56000000
0.002169137747
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 10/15/2041#775540
36176TLV8
93389.39880000
PA
USD
101205.90000000
0.000218736931
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP 8% 06/15/2027
165167CZ8
455000.00000000
PA
USD
136500.00000000
0.000295018286
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.08000000
N
N
N
N
N
N
TOWD PT MTG TR 2019-MH1
N/A
TOWD PT MTG TR 2019-MH1 3% 11/25/2058 144A
89177WAA7
2159746.08350000
PA
USD
2191896.93000000
0.004737360259
Long
ABS-CBDO
CORP
US
N
2
2058-11-25
Fixed
0.03000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.7% 01/15/2023
969457BU3
2512000.00000000
PA
USD
2622013.99000000
0.005666974895
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03700000
N
N
N
N
N
N
MARYLAND ST TRANSN AUTH TRANSN
N/A
CMRYLAND ST TRANSN AUTH BUILD AMERICA BONDS
574300HZ5
50000.00000000
PA
USD
74376.50000000
0.000160750384
Long
DBT
MUN
US
N
2
2043-07-01
Fixed
0.05888000
N
N
N
N
N
N
JPMBB COML MTG SECS TR 2015-C30
N/A
JPMBB COML MTG SECS TR 2015-C30 3.551% 07/15/2048
46644UAZ1
1900000.00000000
PA
USD
2064481.67000000
0.004461976877
Long
ABS-MBS
CORP
US
N
2
2048-07-15
Fixed
0.03550800
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 3.65% 03/16/2025
06738EAE5
1400000.00000000
PA
USD
1485285.75000000
0.003210157188
Long
DBT
CORP
GB
N
2
2025-03-16
Fixed
0.03650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/47#MA3088
31418CNE0
1751885.34710000
PA
USD
1869056.34000000
0.004039602915
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 11/01/2033#G16677
3128MFUA4
7538691.86500000
PA
USD
8033543.66000000
0.017362947115
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03500000
N
N
N
N
N
N
BALTIMORE GAS and ELECTRIC CO
88V8C2WYSOD1SPSSLH72
BALTIMORE GAS and ELECTRIC CO 3.35% 07/01/2023
059165EF3
470000.00000000
PA
USD
495400.95000000
0.001070713107
Long
DBT
CORP
US
N
2
2023-07-01
Fixed
0.03350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 07/15/2046#AT7557
36194GME1
32761.29500000
PA
USD
34970.98000000
0.000075582993
Long
ABS-MBS
USGA
US
N
2
2046-07-15
Fixed
0.04000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAR 4.25% 12/15/41
26442CAM6
1450000.00000000
PA
USD
1773803.02000000
0.003833731331
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2518
3140X5YQ0
2601852.00000000
PA
USD
2694482.09000000
0.005823600644
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A
61771LAA0
10782000.00000000
PA
USD
11357828.88000000
0.024547745121
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03170000
N
N
N
N
N
N
APPALACHIAN POWER CO
3SCHO1ABYYIG382BEI70
APPALACHIAN POWER CO 3.3% 06/01/2027
037735CW5
605000.00000000
PA
USD
653354.56000000
0.001412099212
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
0.03300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2044#AX8459
3138YAMH5
1426263.60150000
PA
USD
1545724.30000000
0.003340783396
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AS0203
3138W9GM6
112896.56640000
PA
USD
119603.05000000
0.000258498804
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 4.875% 11/14/2048
00287YBD0
585000.00000000
PA
USD
719914.91000000
0.001555956504
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2048#BN1628
3140JHY23
1758404.88280000
PA
USD
1881046.24000000
0.004065516759
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.04500000
N
N
N
N
N
N
BAYVIEW COML ASSET TR
N/A
BAYC 2005-4A M1 1ML+45 1/36
07324SCT7
19610.69490000
PA
USD
18950.98000000
0.000040958869
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
0.02076750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/40 #AH0946
3138A2BQ1
5635.41590000
PA
USD
6144.41000000
0.000013279950
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FIN 3.85% 11/22 WI
254709AJ7
2293000.00000000
PA
USD
2424967.81000000
0.005241097780
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
0.03850000
N
N
N
N
N
N
PUGET ENERGY INC NEW
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC NEW 5.625% 07/15/2022
745310AF9
4555000.00000000
PA
USD
4911811.28000000
0.010615927802
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
0.05625000
N
N
N
N
N
N
CSAIL 2016-C7 COML MTG TR
5493006MX7HG5PC85C29
CSAIL 2016-C7 A4 3.21% 11/15/49
12637UAV1
2800000.00000000
PA
USD
2997824.76000000
0.006479217014
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
0.03210000
N
N
N
N
N
N
BANK 2019-BNK20
N/A
BANK 2019-BNK20 2.6% 10/17/2052
06540BBC2
4400000.00000000
PA
USD
4653192.28000000
0.010056972974
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Fixed
0.02600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19988
3132JBRJ4
208493.20700000
PA
USD
225932.10000000
0.000488308431
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2045#BM5975
3140JAT99
1633999.13140000
PA
USD
1731064.89000000
0.003741361149
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.03000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 1.625% 10/15/2024
3135G0W66
3505000.00000000
PA
USD
3604215.93000000
0.007789813964
Long
DBT
USGSE
US
N
2
2024-10-15
Fixed
0.01625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2046#G08687
3128MJXR6
1505430.59560000
PA
USD
1592790.58000000
0.003442508035
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2044#G60319
31335AK80
2158561.05900000
PA
USD
2390458.30000000
0.005166512164
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04500000
N
N
N
N
N
N
AFFILIATED MANAGERS GRP INC
2JE75BUE3T1BLCYYGK54
AFFILIATED MANAGERS GRP INC 4.25% 02/15/2024
008252AM0
1847000.00000000
PA
USD
2006796.59000000
0.004337301761
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/45#MA2495
31418BXZ4
2091145.26550000
PA
USD
2211440.91000000
0.004779600783
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
LENNAR CORP 5.25% 06/01/2026
526057CT9
2920000.00000000
PA
USD
3217840.00000000
0.006954737300
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.05250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 03/20/2048#MA5079
36179TUC7
189982.85320000
PA
USD
201623.67000000
0.000435770472
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
0.04500000
N
N
N
N
N
N
PERMANENT MASTER ISSUER PLC
213800MVYG7MLQM2LF25
PERMANENT MASTER ISSUER PLC 3ML+38 07/15/2058 144A
71419GAX8
11487000.00000000
PA
USD
11487425.02000000
0.024827842053
Long
ABS-CBDO
CORP
GB
N
2
2058-07-15
Variable
0.02211250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2045#MA2189
31418BNF9
56750.98590000
PA
USD
59430.56000000
0.000128447633
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.03000000
N
N
N
N
N
N
REGIONAL TRANSN DIST CO SALES
N/A
REGIONAL TRANSN DIST COLO SALES TAX REV BUILD AMERICA BONDS-SER B
759136QP2
45000.00000000
PA
USD
74715.30000000
0.000161482635
Long
DBT
MUN
US
N
2
2050-11-01
Fixed
0.05844000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
EG GLOBAL FINANCE PLC 6.75% 02/07/2025 144A
28228PAA9
220000.00000000
PA
USD
215050.00000000
0.000464788882
Long
DBT
CORP
GB
N
2
2025-02-07
Fixed
0.06750000
N
N
N
N
N
N
TIME WARNER CABLE INC
B1WXCWLJVJXMWJX6O298
TIME WARNER CABLE INC 7.3% 07/01/2038
88732JAN8
6393000.00000000
PA
USD
8679082.33000000
0.018758153796
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
0.07300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2032#BJ2987
3140H4J96
259657.61600000
PA
USD
267360.13000000
0.000577847086
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 01/01/2043#C04446
31292L5F8
386226.84780000
PA
USD
406219.30000000
0.000877964261
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2043#AU1687
3138X02V9
122115.43300000
PA
USD
132305.39000000
0.000285952449
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2042#AL5881
3138ENRB7
2573034.25670000
PA
USD
2846569.15000000
0.006152307338
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 04/01/2043#AT3094
3138WQNL2
18201.27260000
PA
USD
18832.17000000
0.000040702084
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% #AL9282
3138ERJ43
3224298.32570000
PA
USD
3465138.26000000
0.007489224544
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04000000
N
N
N
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP 4.2% 06/10/2024
04010LAX1
12032000.00000000
PA
USD
12777672.49000000
0.027616461812
Long
DBT
CORP
US
N
2
2024-06-10
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 02/01/2043#AB8463
31417FMM7
318453.21330000
PA
USD
329491.60000000
0.000712132213
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.02500000
N
N
N
N
N
N
CALIFORNIA INST TECHNOLOGY
549300CITPNHOTVPHC04
CALIFORNIA INST TECHNOLOGY 3.65% 09/01/2119
13034VAD6
635000.00000000
PA
USD
758683.19000000
0.001639746625
Long
DBT
CORP
US
N
2
2119-09-01
Fixed
0.03650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 09/01/2031#BC2863
3140EXFD0
1330858.40000000
PA
USD
1376575.52000000
0.002975201102
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 2.5% 10/01/2043#AL6851
3138EPTH7
649734.70850000
PA
USD
672256.14000000
0.001452951312
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 06/01/2033#AT6090
3138WTXU5
619021.68500000
PA
USD
646895.49000000
0.001398139184
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.25% 06/15/26
404119BT5
900000.00000000
PA
USD
1029447.83000000
0.002224951900
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.05250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24973
3132M5FN7
100051.15760000
PA
USD
108294.62000000
0.000234057825
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2043#AS1380
3138WARA7
48128.62230000
PA
USD
52733.73000000
0.000113973733
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
0.04500000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
APPLE INC 2.85% 05/11/2024
037833CU2
2545000.00000000
PA
USD
2685660.60000000
0.005804534703
Long
DBT
CORP
US
N
2
2024-05-11
Fixed
0.02850000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.75% 05/18/2046
172967KR1
10000000.00000000
PA
USD
12615430.60000000
0.027265807421
Long
DBT
CORP
US
N
2
2046-05-18
Fixed
0.04750000
N
N
N
N
N
N
ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC
N/A
ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC 6% 2/15/25 144A
03969AAL4
145000.00000000
PA
USD
151162.50000000
0.000326708437
Long
DBT
CORP
IE
N
2
2025-02-15
Fixed
0.06000000
N
N
N
N
N
N
DEVON ENERGY CORP NEW
54930042348RKR3ZPN35
DEVON ENERGY CO 5.6% 7/15/41
25179MAL7
175000.00000000
PA
USD
199140.64000000
0.000430403884
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
0.05600000
N
N
N
N
N
N
COLUMBIA PIPELINE GROUP INC
549300SRP1TQM9JJBG80
COLUMBIA PIPELINE GROUP INC 3.3% 06/01/2020
198280AD1
4641000.00000000
PA
USD
4652836.45000000
0.010056203916
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
0.03300000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
COLOMBIA REPUBLIC OF 5.0% 06/15/2045
195325CU7
1895000.00000000
PA
USD
2297095.31000000
0.004964726162
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
0.05000000
N
N
N
N
N
N
NISOURCE FIN CORP
ZHUWIE4VK4MIYES0UG62
NISOURCE FIN CORP 5.95% 06/15/2041
65473QAX1
640000.00000000
PA
USD
883026.56000000
0.001908490712
Long
DBT
CORP
US
N
2
2041-06-15
Fixed
0.05950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/45#G08681
3128MJXK1
1959884.12730000
PA
USD
2076065.86000000
0.004487013858
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2041#AI5933
3138AKSX8
34976.89590000
PA
USD
38858.62000000
0.000083985373
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
PORT AUTH NY and NJ
54930006MR4KZ4W74Z83
PORT NY NJ 4.458% 10/01/2062
73358WJA3
390000.00000000
PA
USD
532974.00000000
0.001151919970
Long
DBT
MUN
US
N
2
2062-10-01
Fixed
0.04458000
N
N
N
N
N
N
TOTAL CAPITAL INTL SA
549300U37G2I8G4RUG09
TOTAL CAP INTL 2.7% 01/25/2023
89153VAE9
1375000.00000000
PA
USD
1421847.89000000
0.003073048553
Long
DBT
CORP
FR
N
2
2023-01-25
Fixed
0.02700000
N
N
N
N
N
N
WYNDHAM HOTELS and RESORTS INC
549300FE3MQ4RVXXC673
WYNDHAM HOTELS and RESORTS INC 5.375% 04/15/2026 144A
98311AAA3
200000.00000000
PA
USD
207321.00000000
0.000448084147
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2028#MA1514
31418AVG0
404624.77170000
PA
USD
420634.44000000
0.000909119791
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2045#AY9334
3138YPLQ3
175976.59880000
PA
USD
191769.76000000
0.000414473156
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 07/01/2031#J34888
31307RND3
3144427.51000000
PA
USD
3259634.62000000
0.007045068268
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
0.02500000
N
N
N
N
N
N
EQUITY ONE INC
54930052LBJBIKJPIO43
EQUITY ONE INC 3.75% 11/15/2022
294752AH3
3200000.00000000
PA
USD
3372118.18000000
0.007288179675
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2045#BM4643
3140J9ER8
490587.30600000
PA
USD
539546.64000000
0.001166125457
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2047#MA4452
36179S5M5
10534039.38330000
PA
USD
11158182.27000000
0.024116247680
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
0.04000000
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC 2.648% 01/16/2025
65535HAP4
1525000.00000000
PA
USD
1566377.96000000
0.003385422278
Long
DBT
CORP
JP
N
2
2025-01-16
Fixed
0.02648000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18481
3132J92P2
311613.95100000
PA
USD
337970.26000000
0.000730457192
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
CF INDS INC
5FVKT86LAD2F40NPC183
CF INDUSTRIES INC 5.15% 03/15/2034
12527GAF0
300000.00000000
PA
USD
336900.00000000
0.000728144033
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
0.05150000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN
N/A
TARGA RES P LP/TARGA RES P FIN 5.875% 04/15/2026
87612BBJ0
400000.00000000
PA
USD
412040.00000000
0.000890544575
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.05875000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS 4.041%/VAR 3/13/28
404280BK4
2880000.00000000
PA
USD
3155221.76000000
0.006819400114
Long
DBT
CORP
GB
N
2
2028-03-13
Variable
0.04041000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2039#AW0113
3138XPDT7
1365165.09910000
PA
USD
1476095.41000000
0.003190294050
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2043#Q16470
3132J7T44
180882.68780000
PA
USD
191715.48000000
0.000414355841
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/40 #AE3764
31419EFE4
67161.23910000
PA
USD
73022.11000000
0.000157823133
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2042#AB6212
31417C3W3
1253600.44750000
PA
USD
1317883.57000000
0.002848349831
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03000000
N
N
N
N
N
N
ITALY REPUBLIC OF
815600DE60799F5A9309
ITALY REPUBLIC OF 2.375% 10/17/2024
465410BX5
3800000.00000000
PA
USD
3816040.90000000
0.008247632569
Long
DBT
NUSS
IT
N
2
2024-10-17
Fixed
0.02375000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 5% 08/15/2045 144A
110122BU1
510000.00000000
PA
USD
695404.10000000
0.001502981140
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
0.05000000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN ENERGY PTNRS MLP 4.15% 02/01/2024
494550BS4
300000.00000000
PA
USD
323328.59000000
0.000698812061
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.04150000
N
N
N
N
N
N
DUKE REALTY LP NEW
2549009GZDBNY1KE9O81
DUKE REALTY LP 3.875% 10/15/22
26441YAW7
2108000.00000000
PA
USD
2223652.07000000
0.004805992838
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
0.03875000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.6% 08/13/2021
674599CU7
2048000.00000000
PA
USD
2074097.54000000
0.004482759716
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
0.02600000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 08/45#AL8626
36184FSP4
1222306.40190000
PA
USD
1269684.59000000
0.002744177080
Long
ABS-MBS
USGA
US
N
2
2045-08-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/01/2045#G08671
3128MJW97
1862361.64920000
PA
USD
1972762.26000000
0.004263743155
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/42#AB5369
31417B6F9
87129.02720000
PA
USD
93448.16000000
0.000201970080
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 07/20/2046#MA3805
36179SGN1
912400.01870000
PA
USD
982205.37000000
0.002122846481
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2043#AD7475
36180KJU6
64270.77840000
PA
USD
69951.38000000
0.000151186346
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.04000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
ECOPETROL SA 4.125% 01/16/2025
279158AK5
1320000.00000000
PA
USD
1376925.00000000
0.002975956435
Long
DBT
CORP
CO
N
2
2025-01-16
Fixed
0.04125000
N
N
N
N
N
N
FIDELITY SALEM STREET TRUST
S4W85DGKOEJ24DPRB829
Fidelity U.S. Bond Index Fund
316146356
12651599.29200000
NS
USD
155867703.28000000
0.336877821746
Long
EC
RF
US
N
1
N
N
N
MORGAN STANLEY CAP I TR 2011-C3
N/A
MORGAN STANLEY CAP I TR 11-C3 AJ VAR 07/15/2049 144A
61760RAE2
4200000.00000000
PA
USD
4374987.12000000
0.009455686458
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Variable
0.05244467
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.35% 09/08/2026
6174467Y9
2340000.00000000
PA
USD
2619496.69000000
0.005661534239
Long
DBT
CORP
US
N
2
2026-09-08
Fixed
0.04350000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3% 02/15/2047
912810RV2
4045000.00000000
PA
USD
5219314.06000000
0.011280535444
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.03000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
FISERV INC 3.85% 06/01/2025
337738AP3
1490000.00000000
PA
USD
1629102.66000000
0.003520989556
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/41 #AE6390
31419HC42
1634872.27070000
PA
USD
1777285.18000000
0.003841257344
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25265
3132M5QS4
300435.73690000
PA
USD
329332.07000000
0.000711787419
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2042#AJ5572
3138AXFN6
57837.63000000
PA
USD
62794.50000000
0.000135718137
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 8/37 #AE0265
31419AJK4
677267.26080000
PA
USD
785500.53000000
0.001697707106
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 01/01/2032#C91417
3128P7SE4
261499.84800000
PA
USD
276095.93000000
0.000596727824
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.03500000
N
N
N
N
N
N
BAY AREA TOLL AU CA BRIDGE REV
N/A
BATA CA 2.574% 4/1/2031
072024WS7
1050000.00000000
PA
USD
1111110.00000000
0.002401448848
Long
DBT
MUN
US
N
2
2031-04-01
Fixed
0.02574000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2045#G08636
3128MJV64
313622.05440000
PA
USD
332409.55000000
0.000718438796
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03500000
N
N
N
N
N
N
CCUBS COML MTG TR 2017-C1
N/A
CCUBS COML MTG TR 2017-C1 A3 3.283% 11/15/2050
12508GAT3
5500000.00000000
PA
USD
6025273.65000000
0.013022460842
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
0.03283000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2032#BJ3109
3140H4N34
265195.82200000
PA
USD
273062.62000000
0.000590171913
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
NORTHERN STATES POWER CO (MN)
3S1GHB0TEH85KX44SB51
NORTHERN ST PWR 6.25 6/1/36
665772CB3
370000.00000000
PA
USD
547954.45000000
0.001184297308
Long
DBT
CORP
US
N
2
2036-06-01
Fixed
0.06250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 04/01/2042#MA1028
31418AEA2
62698.56800000
PA
USD
67983.87000000
0.000146933954
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
PSEG PWR LLC
N/A
PSEG PWR LLC 3% 06/15/21
69362BBB7
1075000.00000000
PA
USD
1095060.06000000
0.002366760014
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
0.03000000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC 4.75% 11/15/2024
21036PAN8
5595000.00000000
PA
USD
6336215.53000000
0.013694501432
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
0.04750000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
HOME DEPOT INC 2.625% 06/01/2022
437076BG6
260000.00000000
PA
USD
267420.22000000
0.000577976959
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.02625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/40 #AE1110
31419BGU3
33083.49580000
PA
USD
35970.55000000
0.000077743370
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
CLUB 2019-HP1 A
N/A
CLUB 2019-HP1 A 2.59% 12/15/2026 144A
21055MAA9
7241759.71000000
PA
USD
7303759.31000000
0.015785659730
Long
ABS-CBDO
CORP
US
N
2
2026-12-15
Fixed
0.02590000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783261
36241LTS5
743584.27040000
PA
USD
819755.11000000
0.001771741740
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 4.25% 09/15/2024
00912XAN4
3212000.00000000
PA
USD
3450921.15000000
0.007458497017
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.04250000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.75% 01/15/2025 144A
15135BAN1
3965000.00000000
PA
USD
4065512.75000000
0.008786817606
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.04750000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG 4.5% 04/01/2025
251525AP6
13996000.00000000
PA
USD
13945955.62000000
0.030141479296
Long
DBT
CORP
DE
N
2
2025-04-01
Fixed
0.04500000
N
N
N
N
N
N
CONAGRA BRANDS INC
54930035UDEIH090K650
CONAGRA BRANDS INC 3.8% 10/22/2021
205887BZ4
1514000.00000000
PA
USD
1573785.98000000
0.003401433277
Long
DBT
CORP
US
N
2
2021-10-22
Fixed
0.03800000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTB 3% 11/15/2044
912810RJ9
3705000.00000000
PA
USD
4706218.38000000
0.010171578608
Long
DBT
UST
US
N
2
2044-11-15
Fixed
0.03000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV FIN INC
5493000EYEKDT0FBSQ91
ANHUESER-BUSCH INBEV FIN INC 4.9% 02/01/2046
035242AN6
12306000.00000000
PA
USD
15081486.38000000
0.032595708883
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
0.04900000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS OP PRTNRSHP LP
RDKVCX5HITZ2GPIR7153
AMERICAN CAMPUS CMNTYS INC 3.75% 03/28/2023
024836AA6
813000.00000000
PA
USD
865279.93000000
0.001870134812
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2029#MA1775
31418A6M5
447249.00910000
PA
USD
464945.18000000
0.001004888865
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AD8812
36180MYH4
238787.93180000
PA
USD
249078.02000000
0.000538333850
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
ASCENSION HEALTH ALLIANCE
549300IMOY6ECI21DH68
ASCENSION HEALTH ALLIANCE 3.945% 11/15/2046
04351LAB6
465000.00000000
PA
USD
577388.17000000
0.001247912588
Long
DBT
CORP
US
N
2
2046-11-15
Fixed
0.03945000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 11/20/2047#MA4837
36179TLS2
2352382.73450000
PA
USD
2474907.06000000
0.005349031786
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 06/01/2043#Q19744
3132JBHW6
163528.99500000
PA
USD
177206.97000000
0.000382998509
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.04000000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 3% 01/15/2027
756109AS3
585000.00000000
PA
USD
627201.90000000
0.001355575307
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.03000000
N
N
N
N
N
N
CORE 2019 CORE MTG TR
N/A
CORE 2019 CORE MTG TR 1ML+90 12/15/2020 144A
21871FAA6
2583000.00000000
PA
USD
2582224.84000000
0.005580978362
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Variable
0.02538500
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AR9028
36193GA54
1627468.35330000
PA
USD
1735630.23000000
0.003751228246
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
HUDSON PAC PPTYS LP
5493007NTUGLGZ8T3526
HUDSON PAC PPTYS INC 4.65% 04/01/2029
44409MAB2
10503000.00000000
PA
USD
12248364.17000000
0.026472464498
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
0.04650000
N
N
N
N
N
N
FORTIS INC
549300MQYQ9Y065XPR71
FORTIS INC 3.055% 10/04/2026
349553AM9
301000.00000000
PA
USD
319385.18000000
0.000690289145
Long
DBT
CORP
CA
N
2
2026-10-04
Fixed
0.03055000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 30YR 3.5% 07/47#BM3041
3140J7LX1
9089758.05230000
PA
USD
9683671.03000000
0.020929377506
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.03500000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
HOME DEPOT INC 4.875% 2/15/44
437076BD3
1000000.00000000
PA
USD
1333888.17000000
0.002882940671
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
0.04875000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1.85% 05/25/2033
3136ADB57
12908814.46000000
PA
USD
12967222.97000000
0.028026138425
Long
ABS-CBDO
USGSE
US
N
2
2033-05-25
Fixed
0.01850000
N
N
N
N
N
N
TWDC ENTERPRISES 18 CORP
7260JQNI6SCF9FIV2392
DISNEY (WALT) CO 1.85% 07/30/2026
25468PDM5
2030000.00000000
PA
USD
2072095.50000000
0.004478432695
Long
DBT
CORP
US
N
2
2026-07-30
Fixed
0.01850000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2046#Q40647
3132WDWH3
1119864.29690000
PA
USD
1193598.85000000
0.002579732504
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
JBS USA LLC / JBS USA FIN INC
N/A
JBS USA LLC / JBS USA FIN INC 5.875% 07/15/2024 144A
466112AP4
1300000.00000000
PA
USD
1322776.00000000
0.002858923870
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.05875000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP 1ML+112 12/15/2029 144A
05607QAN8
3689000.00000000
PA
USD
3692472.09000000
0.007980562543
Long
ABS-MBS
CORP
US
N
2
2029-12-15
Variable
0.02778500
N
N
N
N
N
N
EMERA US FINANCE LP
N/A
EMERA US FINANCE LP 2.7% 06/15/2021
29103DAF3
1304000.00000000
PA
USD
1324400.95000000
0.002862435884
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AQ5065
3138MLTX2
473878.90900000
PA
USD
498178.85000000
0.001076716999
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.375% 04/30/2021
912828Q78
14560000.00000000
PA
USD
14610050.00000000
0.031576790547
Long
DBT
UST
US
N
2
2021-04-30
Fixed
0.01375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552554
36213EZT6
332602.58710000
PA
USD
360440.73000000
0.000779022757
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 3% 06/01/2026
50077LAD8
2365000.00000000
PA
USD
2354844.19000000
0.005089539170
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.03000000
N
N
N
N
N
N
DEERE JOHN CAPITAL CORP
E0KSF7PFQ210NWI8Z391
JOHN DEERE CAPITAL CORP 2.80% 03/06/2023
24422ETG4
1045000.00000000
PA
USD
1089987.17000000
0.002355795946
Long
DBT
CORP
US
N
2
2023-03-06
Fixed
0.02800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 08/01/2043#G08540
3128MJS68
983126.03760000
PA
USD
1034630.54000000
0.002236153322
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
AASET 2019-2 TR
N/A
AASET 2019-2 B TR 4.458% 10/16/2039 144A
00038RAB2
1469492.05000000
PA
USD
1487094.65000000
0.003214066775
Long
ABS-CBDO
CORP
US
N
2
2039-10-16
Fixed
0.04458000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/47#MA4262
36179SWX1
6040773.37900000
PA
USD
6368622.46000000
0.013764542728
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2043#Q16222
3132J7LC4
172432.05150000
PA
USD
181465.51000000
0.000392202518
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HLDNGS PLC 4.875% 1/22
404280AL3
4645000.00000000
PA
USD
4918097.67000000
0.010629514616
Long
DBT
CORP
GB
N
2
2022-01-14
Fixed
0.04875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96876
312945T99
152940.46710000
PA
USD
169227.69000000
0.000365752842
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031
674599DD4
8126000.00000000
PA
USD
10324812.23000000
0.022315079909
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 10/42 #Q12211
3132HNN47
40898.27260000
PA
USD
43885.07000000
0.000094849070
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047
38380HES7
7804912.66300000
PA
USD
8275769.00000000
0.017886470226
Long
ABS-CBDO
USGA
US
N
2
2047-09-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/20/2043#MA1376
36179NQ50
15000520.53380000
PA
USD
16118998.35000000
0.034838089858
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.04000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO 2.7% 10/09/2022
369604BD4
1170000.00000000
PA
USD
1195561.41000000
0.002583974197
Long
DBT
CORP
US
N
2
2022-10-09
Fixed
0.02700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2048#Q54557
3132XXB32
864142.75290000
PA
USD
909428.07000000
0.001965552457
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34669
31307RFJ9
45272.79130000
PA
USD
47635.77000000
0.000102955481
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
CITIBANK CR CARD ISSUANCE TR
R8AG6FXVDQAMDKCSJJ64
CITIBANK CR CARD ISSUANCE TR 3.29% 05/23/2025
17305EGM1
700000.00000000
PA
USD
747082.14000000
0.001614673204
Long
ABS-CBDO
CORP
US
N
2
2025-05-23
Fixed
0.03290000
N
N
N
N
N
N
LOS ANGELES CALIF WTR and PWR RE
N/A
LOS ANGELES CALIF DEPT WTR and PWR REV BUILD AMERICA BONDS
544495UG7
190000.00000000
PA
USD
280052.40000000
0.000605278967
Long
DBT
MUN
US
N
2
2039-07-01
Fixed
0.05716000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2.25% 04/12/2022
3135G0V59
955000.00000000
PA
USD
980977.73000000
0.002120193176
Long
DBT
USGSE
US
N
2
2022-04-12
Fixed
0.02250000
N
N
N
N
N
N
TERRAFORM POWER OPERATING LLC
5493000S2OLR3UT5BE13
TERRAFORM POWER OPERATING LLC 5% 01/31/2028 144A
88104LAE3
400000.00000000
PA
USD
430520.00000000
0.000930485512
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/01/2046#Q44963
3132WJQR5
6571158.16520000
PA
USD
6997658.53000000
0.015124082239
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2045#BC3688
3140EYC25
365657.52950000
PA
USD
391034.60000000
0.000845145475
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.03500000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 4.875% 06/15/2030 144A
64110LAV8
70000.00000000
PA
USD
73766.00000000
0.000159430907
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
0.04875000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2017-PANW D 1ML+1000 12/20/2040
38377RBW4
1187000.00000000
PA
USD
1446331.61000000
0.003125965367
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Variable
0.06706000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.2% 10/21/2026
172967KY6
3500000.00000000
PA
USD
3726192.82000000
0.008053443363
Long
DBT
CORP
US
N
2
2026-10-21
Fixed
0.03200000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2.875% 08/15/2045
912810RN0
18855000.00000000
PA
USD
23545181.25000000
0.050888344443
Long
DBT
UST
US
N
2
2045-08-15
Fixed
0.02875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13654
3132HQBX9
85071.37530000
PA
USD
92346.47000000
0.000199588991
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
SPRINGLEAF FINANCE CORPORATION
5493008I795YYBFWFU90
SPRINGLEAF FIN CRP MED TRM NTS 6.875% 03/15/2025
85172FAM1
500000.00000000
PA
USD
550000.00000000
0.001188718368
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.06875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2046#Q39899
3132QW7M5
98568.11190000
PA
USD
105919.32000000
0.000228924075
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
OHIO POWER CO
N/A
OHIO POWER CO 4% 06/01/2049
677415CR0
680000.00000000
PA
USD
832831.03000000
0.001800002806
Long
DBT
CORP
US
N
2
2049-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AH2367
3138A3TZ0
1113949.60940000
PA
USD
1210637.09000000
0.002616557357
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 05/01/2036#745512
31403DGV5
8095830.03090000
PA
USD
9500895.34000000
0.020534343288
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4% 09/01/2038#C92014
3128P8GX3
3365112.33500000
PA
USD
3585454.51000000
0.007749264792
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 11/20/2048#MA5594
36179UGB2
1698820.45120000
PA
USD
1775093.58000000
0.003836520626
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/46#G08735
3128MJY95
879035.37510000
PA
USD
951495.49000000
0.002056473030
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2046#BD1238
3140F8LU9
178896.92640000
PA
USD
194225.41000000
0.000419780568
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04500000
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 4.55% 04/17/2026
225433AR2
5384000.00000000
PA
USD
6073018.80000000
0.013125652728
Long
DBT
CORP
GG
N
2
2026-04-17
Fixed
0.04550000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.1% 02/15/2028
00206RGL0
1580000.00000000
PA
USD
1768619.29000000
0.003822527703
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.04100000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 03/20/2047#MA4323
36179SYU5
488338.74470000
PA
USD
521579.91000000
0.001127293854
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04500000
N
N
N
N
N
N
DEERE JOHN CAPITAL CORP
E0KSF7PFQ210NWI8Z391
DEERE JOHN CAPITAL CORP 2.65% 06/24/2024
24422ETT6
615000.00000000
PA
USD
647246.40000000
0.001398897608
Long
DBT
CORP
US
N
2
2024-06-24
Fixed
0.02650000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.0% 02/15/2025
912828J27
23205000.00000000
PA
USD
24400601.43000000
0.052737169317
Long
DBT
UST
US
N
2
2025-02-15
Fixed
0.02000000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030
92277GAU1
10008000.00000000
PA
USD
10407672.28000000
0.022494165842
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.03000000
N
N
N
N
N
N
GS MTG SECS TR 2015-GC30
N/A
GS MTG SECS TR 2015-GC30 3.119% 05/10/2050
36250GAN5
2000000.00000000
PA
USD
2135132.80000000
0.004614675597
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
0.03119000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1
N/A
CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A
14855MAB4
3435596.16300000
PA
USD
3575645.15000000
0.007728063762
Long
ABS-CBDO
CORP
US
N
2
2039-04-15
Fixed
0.05095000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2042#AJ2880
3138AUFW2
49797.39030000
PA
USD
55013.46000000
0.000118900928
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04500000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
COLOMBIA REPUBLIC OF 3.875% 04/25/27
195325DL6
600000.00000000
PA
USD
646875.00000000
0.001398094899
Long
DBT
NUSS
CO
N
2
2027-04-25
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2047#BE8498
3140FUNQ7
154564.73090000
PA
USD
169450.60000000
0.000366234619
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04500000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC 4.625% 05/15/2023 144A
82967NAL2
1500000.00000000
PA
USD
1511250.00000000
0.003266273880
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.04625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2040#AD9114
31418XDU9
92339.29740000
PA
USD
103135.36000000
0.000222907085
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/42#Q13785
3132HQF23
1339643.70300000
PA
USD
1429523.61000000
0.003089638133
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2046#AL8881
3138ET2P0
2679472.76350000
PA
USD
2891339.48000000
0.006249069726
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/01/2047#Q49494
3132WPRQ2
701724.62910000
PA
USD
757814.46000000
0.001637869033
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7738
31417ES44
1722404.37630000
PA
USD
1810727.21000000
0.003913535809
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2046#AS7877
3138WHXF4
1507580.29720000
PA
USD
1557952.32000000
0.003367211891
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.02500000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC 7.875/VAR PERP RGS
N/A
290000.00000000
PA
USD
306096.16000000
0.000661567505
Long
EP
CORP
GB
N
2
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2046#AS7822
3138WHVQ2
832121.15200000
PA
USD
886230.83000000
0.001915416120
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
CORECIVIC INC
529900JFA3K6PTLT8B15
CORRECTIONS CORP AMER NEW 4.625% 05/01/2023
22025YAP5
800000.00000000
PA
USD
801760.00000000
0.001732848798
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.04625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2047#Q50031
3132XSA91
11729250.71210000
PA
USD
12475874.99000000
0.026964185027
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 6.00% 3/22 #897617
31410UG22
769.32800000
PA
USD
785.77000000
0.000001698289
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/46#AS7008
36193SYD5
138304.02400000
PA
USD
148100.82000000
0.000320091209
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/48#G08814
3128MJ3Y4
94927.59700000
PA
USD
100820.70000000
0.000217904396
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE6344
31419HBN1
94384.61770000
PA
USD
104418.49000000
0.000225680321
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
DISTRICT COLUMBIA INCOME TAX REV
N/A
DISTRICT COLUMBIA INCOME TAX R BUILD AMERICA BONDS
25477GEU5
75000.00000000
PA
USD
100941.75000000
0.000218166022
Long
DBT
MUN
US
N
2
2035-12-01
Fixed
0.05582000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 01/01/2033#J38387
31307VJ80
883187.48900000
PA
USD
918355.31000000
0.001984846956
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.03000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.3% 04/01/2026
46625HQW3
1125000.00000000
PA
USD
1216432.88000000
0.002629083833
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
0.03300000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/43 #MA1012
36179NDR6
8583394.47270000
PA
USD
9124343.17000000
0.019720498777
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.785 10/24/24
N/A
28800000.00000000
NC
USD
1228584.38000000
0.002655346945
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 10/29 3MLV1.785
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-10-28
0.00000000
USD
0.00000000
USD
28800000.00000000
USD
1.00000000
1.78500000
USD
2024-10-24
XXXX
428664.38000000
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC 4.75% 03/15/2039
571748BH4
2493000.00000000
PA
USD
3225363.27000000
0.006970997389
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 02/01/2044#Q25157
3132M5ME9
134781.92010000
PA
USD
147745.43000000
0.000319323102
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 01/01/27#J17763
3128PXTU0
152297.67400000
PA
USD
159581.93000000
0.000344905402
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.03500000
N
N
N
N
N
N
MARKEL CORP
549300SCNO12JLWIK605
MARKEL CORP 4.3% 11/01/2047
570535AS3
525000.00000000
PA
USD
587676.92000000
0.001270149726
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
0.04300000
N
N
N
N
N
N
REPUBLICA ORIENTAL DEL URUGUAY
549300RDR012H2V82H43
URUGUAY REPUBLICA ORIENTAL DL 5.1% 06/18/2050
760942BA9
1375000.00000000
PA
USD
1735507.81000000
0.003750963659
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
0.05100000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 6.25% 03/15/2026 144A
893647BE6
850000.00000000
PA
USD
899939.20000000
0.001945044104
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.06250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 06/01/2045#Q33871
3132QQJR4
581114.73000000
PA
USD
607744.89000000
0.001313522753
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03000000
N
N
N
N
N
N
GOSFORTH FDG 2018-1 PLC
N/A
GOSFORTH FDG PLC 2018-1A A1 3ML+45 08/25/2060 144A
38312RAA1
5119517.56000000
PA
USD
5116993.64000000
0.011059389694
Long
ABS-CBDO
CORP
GB
N
2
2060-08-25
Variable
0.02129250
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GRP INC 3.75% 07/10/2025
026874DD6
2360000.00000000
PA
USD
2574736.26000000
0.005564793248
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2039#AX5330
3138Y64Q4
466142.18470000
PA
USD
503728.53000000
0.001088711557
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.04000000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINANCE CORP 6.02% 06/15/2026 144A
25272KAK9
2112000.00000000
PA
USD
2473423.48000000
0.005345825316
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.06020000
N
N
N
N
N
N
NUFARM AUSTRALIA LTD / NUFARM AMERICAS INC
N/A
NUFARM AUSTRALIA LTD / NUFARM AMERICAS INC 5.75% 04/30/2026 144A
67052NAA3
400000.00000000
PA
USD
394000.00000000
0.000851554613
Long
DBT
CORP
AU
N
2
2026-04-30
Fixed
0.05750000
N
N
N
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
NUTRIEN LTD 4.9% 06/01/2043
67077MAR9
825000.00000000
PA
USD
956911.29000000
0.002068178231
Long
DBT
CORP
CA
N
2
2043-06-01
Fixed
0.04900000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 5% 05/15/2050
29278NAR4
6600000.00000000
PA
USD
6690201.28000000
0.014459573002
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2045#AS5645
3138WFHX7
3037979.91540000
PA
USD
3216540.83000000
0.006951929396
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03500000
N
N
N
N
N
N
WYNN LAS VEGAS LLC/ WYNN LAS V
N/A
WYNN LAS VEGAS LLC/ WYNN LAS V 5.25% 05/15/2027 144A
983130AX3
300000.00000000
PA
USD
288750.00000000
0.000624077143
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
0.05250000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2016-GC36
N/A
CGCMT 2016-GC36 A4 3.349% 02/10/2049
17324TAD1
2500000.00000000
PA
USD
2717369.50000000
0.005873067343
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
0.03349000
N
N
N
N
N
N
HESS INFRASTRUCTURE PARTNERS LP / HESS INFRASTRUCTURE PARTNERS FIN CORP
N/A
HESS INFRASTRUCTURE PARTNERS LP / HESS INFRASTRUCTURE PARTNERS FIN CORP 5.625% 02/15/2026 144A
428102AC1
600000.00000000
PA
USD
598512.00000000
0.001293567651
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.05625000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.55% 03/09/2049
00206RDK5
2211000.00000000
PA
USD
2563301.29000000
0.005540078777
Long
DBT
CORP
US
N
2
2049-03-09
Fixed
0.04550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 05/01/2028#MA1449
31418ATF5
432930.93950000
PA
USD
450060.59000000
0.000972718709
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2028#AB7716
31417ESE2
514482.48950000
PA
USD
528940.27000000
0.001143201845
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.02500000
N
N
N
N
N
N
CONSOLIDATED EDISON CO OF NY
VZFZPMWDHTQCFKYOBP05
CONSOLIDATED EDISON CO OF NY SR3 4.3% 12/01/2056
209111FK4
300000.00000000
PA
USD
363587.17000000
0.000785823177
Long
DBT
CORP
US
N
2
2056-12-01
Fixed
0.04300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2042#Q06232
3132GRHH7
454919.21800000
PA
USD
495813.04000000
0.001071603760
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
MILLICOM INTL CELLULAR SA
549300CTHC1CP86P2G96
MILLICOM INTL CELLULAR SA 6.0% 03/10/2025 144A
600814AM9
100000.00000000
PA
USD
102468.75000000
0.000221466336
Long
DBT
CORP
LU
N
2
2025-03-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3% 2/43 #Q15438
3132J6PY4
741163.84110000
PA
USD
786709.10000000
0.001700319196
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 4/41 #A97945
312946ZJ8
917802.11970000
PA
USD
1015542.45000000
0.002194898117
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/40 #719262
3620A5B73
130497.61410000
PA
USD
145361.50000000
0.000314170700
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 8/35 #003747
36202EEU9
68130.84420000
PA
USD
75592.71000000
0.000163378987
Long
ABS-MBS
USGA
US
N
2
2035-08-20
Fixed
0.05000000
N
N
N
N
N
N
LINCOLN NATIONAL CORP IND
EFQMQROEDSNBRIP7LE47
LINCOLN NATL CRP 6.3 10/9/37
534187AW9
110000.00000000
PA
USD
155652.92000000
0.000336413609
Long
DBT
CORP
US
N
2
2037-10-09
Fixed
0.06300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 08/01/2046#Q42260
3132WFQN2
121033.02240000
PA
USD
127978.93000000
0.000276601645
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 06/30/2025
912828XZ8
19673000.00000000
PA
USD
21504279.70000000
0.046477331423
Long
DBT
UST
US
N
2
2025-06-30
Fixed
0.02750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/01/2050 #TBA
21H030633
-157350000.00000000
PA
USD
-162579275.49000000
-0.35138358387
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 3/38 #G04668
3128M6QV3
155693.41320000
PA
USD
176387.68000000
0.000381227773
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 3/1/43 #Q16622
3132J7YU0
274788.53450000
PA
USD
292881.27000000
0.000633006082
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15107
3132J6DM3
99526.59110000
PA
USD
107944.55000000
0.000233301217
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 3/41 #004978
36202FQ74
5126362.72310000
PA
USD
5611482.73000000
0.012128131993
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04500000
N
N
N
N
N
N
NEW JERSEY ST TPK AUTH TPK REV
5493005YN67D71KSMI84
NEW JERSEY ST TPK AUTH TPK REVBUILD AMERICA BDS-TAXABLE-SER F 7.414% 1/1/40
646139W35
1740000.00000000
PA
USD
3020692.20000000
0.006528640552
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
0.07414000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2041#AC9301
31417WKP5
52778.24390000
PA
USD
58718.03000000
0.000126907637
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 3.50% 7/42 #MA0220
36179MG53
346952.83390000
PA
USD
369144.01000000
0.000797833209
Long
ABS-MBS
USGA
US
N
2
2042-07-20
Fixed
0.03500000
N
N
N
N
N
N
TRIVIUM PACKAGING FINANCE BV
724500GMZWW3PVYET548
TRIVIUM PACKAGING FINANCE BV 8.5% 08/15/2027 144A
89686QAB2
60000.00000000
PA
USD
63475.20000000
0.000137189338
Long
DBT
CORP
NL
N
2
2027-08-15
Fixed
0.08500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 10/20/2042#MA0463
36179MQQ6
648562.61000000
PA
USD
697529.15000000
0.001507574024
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.04000000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC 4.375% 03/15/2029
571748BG6
5432000.00000000
PA
USD
6330392.67000000
0.013681916449
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.04375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 04/01/2049#ZT1865
3132AECA2
2123779.52530000
PA
USD
2265931.10000000
0.004897370764
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AB6017
31417CVK8
2083666.18590000
PA
USD
2224368.25000000
0.004807540722
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.05% 07/30/2022
172967GK1
1159000.00000000
PA
USD
1223061.55000000
0.002643410418
Long
DBT
CORP
US
N
2
2022-07-30
Fixed
0.04050000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2037#310068
31374CMR4
80511.34440000
PA
USD
90328.14000000
0.000195226762
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
0.05000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.375% 06/01/2021
00912XAS3
2750000.00000000
PA
USD
2807916.05000000
0.006068766156
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 09/01/2028#890560
31410LMH2
525924.55000000
PA
USD
540703.87000000
0.001168626585
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
0.02500000
N
N
N
N
N
N
WILLIAMS PARTNERS LP
N/A
WILLIAMS PRTN MTN 4.125% 11/20
96950FAG9
394000.00000000
PA
USD
398020.62000000
0.000860244403
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
0.04125000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 3.557% 08/15/2027
05526DBB0
1170000.00000000
PA
USD
1235139.46000000
0.002669514479
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.03557000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040
3137BJGM9
662430.66570000
PA
USD
696158.39000000
0.001504611392
Long
ABS-CBDO
USGSE
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
RETAIL OPPTY INVTS PRTNRSHP LP
549300KH0PNTJK9NTE57
RETAIL OPPORTUNITY 5% 12/15/23
76132FAA5
626000.00000000
PA
USD
675449.22000000
0.001459852536
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2045#AL7147
3138EP5H3
1359160.67180000
PA
USD
1493881.76000000
0.003228735797
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.4025 02/26/2025
N/A
14200000.00000000
NC
USD
453713.43000000
0.000980613615
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/28/30 3MLV1.40250003%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-28
0.00000000
USD
0.00000000
USD
14200000.00000000
USD
1.00000000
1.40250000
USD
2025-02-26
XXXX
53273.43000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.0% 01/20/2035#781859
36241KB49
2400665.46540000
PA
USD
2655983.20000000
0.005740392757
Long
ABS-MBS
USGA
US
N
2
2035-01-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/2048#MA5077
36179TUA1
261975.59400000
PA
USD
275149.90000000
0.000594683164
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2044#Q29975
3132MAXC0
1476615.43700000
PA
USD
1565533.38000000
0.003383596882
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN 1.625% 11/15/22
912828TY6
64320000.00000000
PA
USD
65581275.32000000
0.141741212016
Long
DBT
UST
US
N
2
2022-11-15
Fixed
0.01625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2042#794559
36177PB53
61813.67430000
PA
USD
67083.93000000
0.000144988908
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.04000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 4.5% 01/30/2026
254709AP3
6463000.00000000
PA
USD
7196594.97000000
0.015554044785
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
0.04500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 1.875% 09/24/2026
3135G0Q22
495000.00000000
PA
USD
517501.50000000
0.001118479161
Long
DBT
USGSE
US
N
2
2026-09-24
Fixed
0.01875000
N
N
N
N
N
N
UBS COML MTG TR 2017-C7
N/A
UBSCM 2017-C7 XA CSTR 12/50
90276WAT4
17574634.20690000
PA
USD
1127423.33000000
0.002436706948
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.01055812
N
N
N
N
N
N
FIDELITY REVERE STREET TRUST
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
68499185.14300000
NS
USD
68512884.98000000
0.148077317929
Long
STIV
RF
US
N
1
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #772072
36176PQZ2
170896.64970000
PA
USD
185307.15000000
0.000400505478
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
RY1052DWLDPLDW74Y843
ENERGY TRAN PTNR 6.625 10/15/36
29273RAF6
900000.00000000
PA
USD
1063505.32000000
0.002298560561
Long
DBT
CORP
US
N
2
2036-10-15
Fixed
0.06625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2043#AR1797
3138NX7K7
386135.69580000
PA
USD
411365.30000000
0.000889086342
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TR 2019-4
N/A
CARVANA AUTO RECEIVABLES TR 2019-4 2.2% 07/15/2022 144A
14686YAC1
1610000.00000000
PA
USD
1615421.68000000
0.003491420771
Long
ABS-CBDO
CORP
US
N
2
2022-07-15
Fixed
0.02200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2031#BC2462
3140EWWY7
1994559.95510000
PA
USD
2071483.55000000
0.004477110083
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/40 #AE4428
31419E4N6
26534.97010000
PA
USD
28850.56000000
0.000062354892
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2043#MA1600
31418AX60
192293.94100000
PA
USD
204617.81000000
0.000442241725
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.03500000
N
N
N
N
N
N
ROCKWELL COLLINS INC
XO75O7GICH1NPWLBRL05
ROCKWELL COLLINS INC 3.5% 03/15/2027
774341AK7
2225000.00000000
PA
USD
2474965.29000000
0.005349157639
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/38 #889219
31410G4C4
27310.01840000
PA
USD
32484.00000000
0.000070207868
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2041#AI6151
3138AKZR3
27802.05290000
PA
USD
30775.02000000
0.000066514239
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.04500000
N
N
N
N
N
N
TCW FDS INC
549300RGHXB227I79431
TCW Total Return Bond I
87234N880
30497882.03300000
NS
USD
315043121.40000000
0.680904627834
Long
EC
RF
US
N
1
N
N
N
COMM 2014-UBS6 MTG TR
N/A
COMM 2014-UBS6 MTG TR 3.644% 12/10/2047
12592PBF9
3900000.00000000
PA
USD
4223640.72000000
0.009128580556
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Fixed
0.03644000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV FIN INC
5493000EYEKDT0FBSQ91
ANHEUSER-BUSCH INBEV FIN INC 3.65% 02/01/2026
035242AP1
12330000.00000000
PA
USD
13481090.21000000
0.029136762838
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
0.03650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 3/35 #735288
31402Q2V2
1393535.84830000
PA
USD
1562751.23000000
0.003377583804
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.05000000
N
N
N
N
N
N
CEDAR FUNDING LTD
549300ZKTUZSV15HAV29
CEDAR FUNDING LTD 3ML+134 10/20/2032 144A
15033XAA4
5957000.00000000
PA
USD
5957595.70000000
0.012876188075
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Variable
0.03470540
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
COMMONWEALTH EDISON CO 3.2% 11/15/2049
202795JQ4
940000.00000000
PA
USD
997197.04000000
0.002155248070
Long
DBT
CORP
US
N
2
2049-11-15
Fixed
0.03200000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3% 08/15/2026
126650DF4
828000.00000000
PA
USD
867830.39000000
0.001875647137
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.03000000
N
N
N
N
N
N
CENTERPOINT ENERGY INC
21TPXMRRHFKOBHDC8J74
CENTERPOINT ENERGY INC 2.95% 03/01/2030
15189TAX5
400000.00000000
PA
USD
416111.01000000
0.000899343274
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
0.02950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4.0% 06/01/33#G30718
3132J4AU3
2803753.97420000
PA
USD
3004862.76000000
0.006494428287
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.04000000
N
N
N
N
N
N
OPEN TEXT CORPORATION
549300UQROQS42RKHM85
OPEN TEXT CORPORATION 3.875% 02/15/2028 144A
683715AC0
175000.00000000
PA
USD
174160.00000000
0.000376413074
Long
DBT
CORP
CA
N
2
2028-02-15
Fixed
0.03875000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 5.625% 01/15/2028 144A
737446AN4
105000.00000000
PA
USD
109747.05000000
0.000237196971
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.05625000
N
N
N
N
N
N
ONEOK INC NEW
2T3D6M0JSY48PSZI1Q41
ONEOK INC 4.95% 07/13/2047
682680AT0
365000.00000000
PA
USD
400102.48000000
0.000864743940
Long
DBT
CORP
US
N
2
2047-07-13
Fixed
0.04950000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.375% 08/01/2023
681936BJ8
6644000.00000000
PA
USD
7174064.17000000
0.015505348829
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2047#BH4095
3140GSRR5
20429661.59500000
PA
USD
21744980.41000000
0.046997559342
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
ZAYO GROUP LLC/ZAYO CAP INC
N/A
ZAYO GROUP LLC/ZAYO CAP INC 6.375% 05/15/2025
989194AL9
400000.00000000
PA
USD
409000.00000000
0.000883974205
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.06375000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
N/A
BHP BILLITON FIN USA LTD 6.25%/VAR 10/19/2075 144A
055451AW8
1979000.00000000
PA
USD
2018580.00000000
0.004362769317
Long
DBT
CORP
AU
N
2
2075-10-19
Variable
0.06250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#BM5108
3140J9VA6
26101167.07500000
PA
USD
27109434.28000000
0.058591786347
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772063
36176PQQ2
330647.38070000
PA
USD
358528.53000000
0.000774889907
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
FIDELITY REVERE STREET TRUST
549300BDV45LJNXBZC55
Fidelity Securities Lending Cash Central Fund
31635A303
314691430.90200000
NS
USD
314722900.05000000
0.680212531469
Long
STIV
RF
US
N
1
N
N
ONEOK INC NEW
2T3D6M0JSY48PSZI1Q41
ONEOK INC NEW 4.45% 09/01/2049
682680AZ6
1335000.00000000
PA
USD
1369788.74000000
0.002960532793
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
0.04450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AO3760
3138LUFA8
1240769.90040000
PA
USD
1330758.23000000
0.002876175913
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4% 05/01/2048#MA5192
36179TXV2
14201064.84000000
PA
USD
14988116.26000000
0.032393907470
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/45#AL7623
3138EQPH9
1501226.87140000
PA
USD
1640102.07000000
0.003544762649
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.0% 08/01/2028#MA1557
31418AWT1
450278.05040000
PA
USD
468094.07000000
0.001011694580
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2035#843431
31407XA84
2540605.03750000
PA
USD
2845821.13000000
0.006150690638
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.05000000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
LENNAR CORP 5% 06/15/2027
526057CV4
12100000.00000000
PA
USD
13524049.00000000
0.029229609934
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 09/01/2042#AP5143
3138M8WD1
499543.81730000
PA
USD
525159.82000000
0.001135031135
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 3.6% 05/01/2034
097023CJ2
1750000.00000000
PA
USD
1931177.24000000
0.004173865196
Long
DBT
CORP
US
N
2
2034-05-01
Fixed
0.03600000
N
N
N
N
N
N
EASTMAN CHEMICAL CO
FDPVHDGJ1IQZFK9KH630
EASTMAN CHEMICAL CO 4.65% 10/15/2044
277432AP5
485000.00000000
PA
USD
544954.43000000
0.001177813347
Long
DBT
CORP
US
N
2
2044-10-15
Fixed
0.04650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 05/01/2033#710653
31401KQE8
11935.92930000
PA
USD
13211.54000000
0.000028554182
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #743475
3620AX6L7
52690.78350000
PA
USD
58791.14000000
0.000127065650
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 12/20/2046#MA4125
36179SSN8
1066984.91500000
PA
USD
1101677.29000000
0.002381061874
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
0.02500000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.596% 01/07/2022
345397ZM8
8285000.00000000
PA
USD
8741682.87000000
0.018893452727
Long
DBT
CORP
US
N
2
2022-01-07
Fixed
0.05596000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2049#MA3745
31418DET5
3817855.81470000
PA
USD
3964704.68000000
0.008568940507
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.668% VAR 07/24/2028
172967LP4
1275000.00000000
PA
USD
1396540.74000000
0.003018352054
Long
DBT
CORP
US
N
2
2028-07-24
Variable
0.03668000
N
N
N
N
N
N
KAISER FNDTN HOSPS
DW4Z57L3G4IRMHYZYK62
KAISER FNDTN HOSPS 4.15% 05/01/2047
48305QAD5
1310000.00000000
PA
USD
1654316.47000000
0.003575484318
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
0.04150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/42#AK8632
3138EDSW2
44014.25110000
PA
USD
47206.44000000
0.000102027567
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2042#AK6744
3138EBP66
178855.74980000
PA
USD
194184.26000000
0.000419691630
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6% 06/15/2048
29278NAE3
1799000.00000000
PA
USD
2020493.20000000
0.004366904328
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#BJ8805
3140HAYB0
96035.46300000
PA
USD
103388.93000000
0.000223455127
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM OPER LP 5.375% 07/15/2025
23311VAG2
800000.00000000
PA
USD
838016.00000000
0.001811209113
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.05375000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2020-BXLP E 1ML+177.15 12/15/2029 144A
05607QAU2
4677000.00000000
PA
USD
4699075.44000000
0.010156140529
Long
ABS-MBS
CORP
US
N
2
2029-12-15
Variable
0.03258500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/46#Q38782
3132QVXL0
283236.54850000
PA
USD
305865.02000000
0.000661067941
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2043#AC9441
36179KP24
95131.61730000
PA
USD
103034.48000000
0.000222689052
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
0.04000000
N
N
N
N
N
N
PRIVATE EXPORT FUNDING CORP
CYQE6SAYPFKNQJ6FMH60
PRIVATE EXPORT FUNDING CORP 3.55% 01/15/2024
742651DT6
755000.00000000
PA
USD
825697.95000000
0.001784586036
Long
DBT
USGSE
US
N
2
2024-01-15
Fixed
0.03550000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 3.1% 07/17/2022
713448CX4
260000.00000000
PA
USD
270026.20000000
0.000583609279
Long
DBT
CORP
US
N
2
2022-07-17
Fixed
0.03100000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2042#MA0699
36179MX47
6070933.74580000
PA
USD
6455437.55000000
0.013952176714
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
0.03500000
N
N
N
N
N
N
CSX CORP
549300JVQR4N1MMP3Q88
CSX CORP 6.15% 5/1/37
126408GK3
1500000.00000000
PA
USD
2090154.35000000
0.004517463398
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
0.06150000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 9/38 #G04817
3128M6VJ4
132274.20740000
PA
USD
149900.83000000
0.000323981581
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4% 04/01/2050 #TBA
01F040644
-10000000.00000000
PA
USD
-10526894.00000000
-0.02275184047
Short
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-135 ZA 4.5% 12/40
31398SE82
965415.98150000
PA
USD
1076087.99000000
0.002325755563
Long
ABS-CBDO
USGSE
US
N
2
2040-12-25
Fixed
0.04500000
N
N
N
N
N
N
MCDONALDS CORP
UE2136O97NLB5BYP9H04
MCDONALDS CORP 3.7% 01/30/2026
58013MEY6
185000.00000000
PA
USD
202864.44000000
0.000438452156
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
0.03700000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/2043 #MA1090
36179NF78
335326.38840000
PA
USD
356459.56000000
0.000770418230
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
0.03500000
N
N
N
N
N
N
EXELON GENERATION CO LLC
S2PEWKCZFFECR4533P43
EXELON GENERATION CO LLC 5.6% 06/15/2042
30161MAN3
375000.00000000
PA
USD
447377.85000000
0.000966920487
Long
DBT
CORP
US
N
2
2042-06-15
Fixed
0.05600000
N
N
N
N
N
N
UNITED AIRLS PASS THRU TR 2013-1A-O
N/A
UNITED AIRLINES 2013-1 CLASS A PASS THROUGH TRUST 4.3% 02/15/2027
909319AA3
149184.03230000
PA
USD
163452.43000000
0.000353270738
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.04300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#BC6149
3140F1ZP0
406899.41600000
PA
USD
433358.54000000
0.000936620466
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 11/46#MA4126
36179SSP3
22023574.26490000
PA
USD
22986400.88000000
0.049680649007
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A97047
312945ZL5
368407.09950000
PA
USD
407640.21000000
0.000881035282
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI SWAP REC 2.54 04/05/2022
N/A
4500000.00000000
NC
USD
439973.82000000
0.000950918111
N/A
DIR
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI FSWP IRS 4/07/29 3MLV2.54
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-07
0.00000000
USD
0.00000000
USD
4500000.00000000
USD
1.00000000
2.54000000
USD
2022-04-05
XXXX
316673.82000000
N
N
N
LIBERTY PPTY LTD PARTNERSHIP
549300N6GNCW2Y4RH795
LIBERTY PPTY LTD PARTNERSHIP 3.375% 06/15/2023
53117CAP7
4307000.00000000
PA
USD
4585169.02000000
0.009909953885
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/41 #AH9861
3138AB5X3
5133.33660000
PA
USD
5679.05000000
0.000012274165
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 4.25% 05/15/2023
37045XAL0
1875000.00000000
PA
USD
1978552.41000000
0.004276257441
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2042#Q07488
3132GSUM9
572169.85400000
PA
USD
611094.51000000
0.001320762307
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
HUNTINGTON BANCSHARES INC
549300XTVCVV9I7B5T19
HUNTINGTON BANK 7% 12/15/20
446150AG9
404000.00000000
PA
USD
420264.78000000
0.000908320843
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #794581
36177PCT0
58272.56120000
PA
USD
62050.49000000
0.000134110104
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2046#BM4548
3140J9BS9
2981712.33560000
PA
USD
3298693.11000000
0.007129485622
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/49#CA4861
3140QCMK9
6931341.60300000
PA
USD
7364732.05000000
0.015917440486
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AR9166
36193GFF7
1251398.46940000
PA
USD
1334566.66000000
0.002884407096
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GRP INC 4.5% 07/16/2044
026874DA2
2530000.00000000
PA
USD
3102931.18000000
0.006706384163
Long
DBT
CORP
US
N
2
2044-07-16
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 9/38 #677307
36295QNY2
78504.59720000
PA
USD
89611.92000000
0.000193678791
Long
ABS-MBS
USGA
US
N
2
2038-09-15
Fixed
0.05500000
N
N
N
N
N
N
CINTAS CORP NO 2
549300QVUQTTKMTE0G41
CINTAS CORP NO 2 3.7% 04/01/2027
17252MAN0
1135000.00000000
PA
USD
1279420.28000000
0.002765218887
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.03700000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 08/20/2042#783646
3622A2BP6
2587386.08400000
PA
USD
2752875.82000000
0.005949807370
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2046#G60553
31335ATJ7
16624730.37100000
PA
USD
17895980.28000000
0.038678691787
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2042#AK8453
3138EDMB4
404329.90970000
PA
USD
446050.00000000
0.000964050596
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 08/01/26#J16432
3128PWED6
414103.98200000
PA
USD
433910.20000000
0.000937812772
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25
N/A
MSBAM 15-C25 3.372% 10/28
61765TAE3
2800000.00000000
PA
USD
3033639.00000000
0.006556622550
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
0.03372000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 05/15/2025
912828XB1
35440000.00000000
PA
USD
37552556.43000000
0.081162570211
Long
DBT
UST
US
N
2
2025-05-15
Fixed
0.02125000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 2.879%/VAR 10/30/2030
95000U2G7
3110000.00000000
PA
USD
3248278.41000000
0.007020524022
Long
DBT
CORP
US
N
2
2030-10-30
Variable
0.02879000
N
N
N
N
N
N
C and W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY
5493009O8OIWZPZRY516
C and W SENIOR FINANCING DESIGNATED ACTIVITY COMPANY 7.5% 10/15/2026 144A
12674TAB2
1140000.00000000
PA
USD
1197000.00000000
0.002587083431
Long
DBT
CORP
IE
N
2
2026-10-15
Fixed
0.07500000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 4.85% 03/15/2044
29379VBA0
2850000.00000000
PA
USD
3351923.36000000
0.007244532487
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
0.04850000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 5% 09/20/2037
25470DAS8
380000.00000000
PA
USD
436346.73000000
0.000943078860
Long
DBT
CORP
US
N
2
2037-09-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2032#BJ0958
3140H2B49
65662.53100000
PA
USD
67610.35000000
0.000146126663
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
FIDELITY SALEM STREET TRUST
S4W85DGKOEJ24DPRB829
Fidelity Sai Us Treasury Bond Index Fund
31635V786
367647338.90300000
NS
USD
3897061792.37000000
8.422743520287
Long
EC
RF
US
N
1
N
N
N
CITIGROUP COML MTG TR 2015-GC29
N/A
CITIGROUP COML MTG TR 2015-GC29 XA CSTR 04/10/2048
17323VBF1
31995730.14430000
PA
USD
1449700.94000000
0.003133247520
Long
ABS-MBS
CORP
US
N
2
2048-04-10
Variable
0.01077360
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG REF NTS BE 2.375% 02/16/2021
3137EAEL9
2785000.00000000
PA
USD
2817608.70000000
0.006089714940
Long
DBT
USGSE
US
N
2
2021-02-16
Fixed
0.02375000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 3.854% 06/25/2028
3137FGR31
17300000.00000000
PA
USD
20105008.16000000
0.043453077273
Long
ABS-MBS
USGSE
US
N
2
2028-06-25
Fixed
0.03854000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.0% 10/31/2022
9128283C2
32840000.00000000
PA
USD
33800826.48000000
0.073053933292
Long
DBT
UST
US
N
2
2022-10-31
Fixed
0.02000000
N
N
N
N
N
N
HIGHWOODS RLTY LTD PARTNERSHIP
JUJNVZX73BIYHLR58F51
HIGHWOODS/FORSYTH LTD PRTNRSHP 3.2% 06/15/2021
431282AN2
2263000.00000000
PA
USD
2302993.77000000
0.004977474540
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
0.03200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2043#AQ9328
3138MRLJ8
1319592.33100000
PA
USD
1415297.35000000
0.003058890830
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 08/15/2029
912828YB0
188233000.00000000
PA
USD
196519664.18000000
0.424739153821
Long
DBT
UST
US
N
2
2029-08-15
Fixed
0.01625000
N
N
N
N
N
N
MARKEL CORP
549300SCNO12JLWIK605
MARKEL CORP 4.15% 09/17/2050
570535AV6
1040000.00000000
PA
USD
1191064.80000000
0.002574255647
Long
DBT
CORP
US
N
2
2050-09-17
Fixed
0.04150000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 01/20/2048#MA4964
36179TQR9
1111661.37530000
PA
USD
1183510.72000000
0.002557928967
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
0.04500000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 3.5% 09/01/25
828807CV7
55000.00000000
PA
USD
59723.96000000
0.000129081760
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 08/39#A87886
312934XP2
1123116.47170000
PA
USD
1266623.47000000
0.002737561063
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
0.05000000
N
N
N
N
N
N
GLP CAP LP / GLP FING II INC
N/A
GLP CAP LP / GLP FING II INC 5.25% 06/01/2025
361841AJ8
200000.00000000
PA
USD
223830.00000000
0.000483765149
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2047#BH0967
3140GPCD8
138198.64630000
PA
USD
149392.16000000
0.000322882190
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019-BPR CNM CSTR 11/05/2032 144A
05492PAG3
461000.00000000
PA
USD
487697.85000000
0.001054064350
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Variable
0.03842500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2044#AX2179
3138Y3M57
10120.01320000
PA
USD
10914.39000000
0.000023589337
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.04500000
N
N
N
N
N
N
CNOOC FINANCE 2013 LTD
5493006KAH3PSSMCES09
CNOOC FINANCE 2013 LTD 2.875% 09/30/2029
12625GAF1
2225000.00000000
PA
USD
2333468.75000000
0.005043340301
Long
DBT
CORP
VG
N
2
2029-09-30
Fixed
0.02875000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.5% 05/15/2021
00772BAF8
1455000.00000000
PA
USD
1503038.43000000
0.003248526164
Long
DBT
CORP
IE
N
2
2021-05-15
Fixed
0.04500000
N
N
N
N
N
N
CANADIAN NATIONAL RAILWAY CO
3SU7BEP7TH9YEQOZCS77
CANADIAN NATL RLWY 2.85% 12/21
136375BV3
600000.00000000
PA
USD
614068.03000000
0.001327188994
Long
DBT
CORP
CA
N
2
2021-12-15
Fixed
0.02850000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2045#G61242
31335BLX2
889225.35390000
PA
USD
979754.19000000
0.002117548731
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 03/20/45#MA2677
36179Q6N6
588756.32410000
PA
USD
617623.34000000
0.001334873107
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8228
3138EDEA5
185274.10500000
PA
USD
201487.03000000
0.000435475151
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/46#BC1443
3140EVS99
4022393.92200000
PA
USD
4391982.74000000
0.009492419195
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC 3.875% 08/01/2022 144A
82967NAY4
1500000.00000000
PA
USD
1496445.00000000
0.003234275743
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90632
3132J2VZ3
1625252.36100000
PA
USD
1698694.10000000
0.003671397962
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2031#AS7695
3138WHRR5
1650773.71100000
PA
USD
1711607.36000000
0.003699307470
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.75% 09/30/2022
912828L57
16995000.00000000
PA
USD
17370084.92000000
0.037542070924
Long
DBT
UST
US
N
2
2022-09-30
Fixed
0.01750000
N
N
N
N
N
N
BX TR 2018-IND
N/A
BX TR 2018-EXCL 1ML+262.5 7/19 144A
12433WAG6
2530703.06500000
PA
USD
2531678.90000000
0.005471733112
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.04283500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2047#BC7535
3140F3LR7
95974.58590000
PA
USD
103718.13000000
0.000224166629
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 5.55% 03/15/2026
674599DC6
7413000.00000000
PA
USD
8374927.56000000
0.018100782229
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.05550000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.65% 7/15/42
20030NBE0
3871000.00000000
PA
USD
4867177.31000000
0.010519460130
Long
DBT
CORP
US
N
2
2042-07-15
Fixed
0.04650000
N
N
N
N
N
N
NEW JERSEY ST TPK AUTH TPK REV
5493005YN67D71KSMI84
NEW JERSEY ST TPK AUTH TPK REVBUILD AMERICA BONDS-TAXABLE-A-ISSUER SUBSIDY
646139X83
1675000.00000000
PA
USD
2829091.75000000
0.006114533326
Long
DBT
MUN
US
N
2
2041-01-01
Fixed
0.07102000
N
N
N
N
N
N
WYNN MACAU LIMITED
254900NMDQ8ENTHU1I31
WYNN MACAU LIMITED 5.5% 10/01/2027 144A
98313RAD8
190000.00000000
PA
USD
191781.25000000
0.000414497990
Long
DBT
CORP
KY
N
2
2027-10-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 12/45#G60412
31335AN53
1386524.30800000
PA
USD
1497730.49000000
0.003237054081
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1611
3138WAYH4
713090.01230000
PA
USD
753220.01000000
0.001627939020
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
ALLERGAN FUNDING SCS
222100FLFVOSKCBCAR54
ACTAVIS FUNDING SCS 4.55% 03/15/2035
00507UAT8
400000.00000000
PA
USD
477531.42000000
0.001032091582
Long
DBT
CORP
LU
N
2
2035-03-15
Fixed
0.04550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2048#MA3334
31418CV43
2751383.08400000
PA
USD
2954457.99000000
0.006385488149
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
N
N
N
N
N
N
NEWMONT CORP
549300VSP3RIX7FGDZ51
NEWMONT GOLDCORP CORP 2.8% 10/01/2029
651639AX4
425000.00000000
PA
USD
441913.22000000
0.000955109748
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.02800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2042#AK7569
3138ECMT7
69863.80560000
PA
USD
77334.57000000
0.000167143679
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP 6.875 2/15/38
91324PBK7
700000.00000000
PA
USD
1068028.87000000
0.002308337338
Long
DBT
CORP
US
N
2
2038-02-15
Fixed
0.06875000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2050 #TBA
01F030637
134250000.00000000
PA
USD
138249186.68000000
0.298798813909
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2039#AS2599
3138WB3H6
2064680.98230000
PA
USD
2232452.42000000
0.004825013088
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04000000
N
N
N
N
N
N
MERRILL LYNCH ALTERNATIVE NT ASSET SER 2007 OAR1
N/A
MANA 2007-OAR1 A1 1ML+17 2/37
59023TAA3
2803.48280000
PA
USD
2852.88000000
0.000006165947
Long
ABS-CBDO
CORP
US
N
2
2037-02-25
Variable
0.01830880
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 1/41 #A96413
312945DS4
4398788.34310000
PA
USD
4798330.29000000
0.010370660644
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP 1ML+125 12/15/2029 144A
05607QAR9
5099000.00000000
PA
USD
5113401.62000000
0.011051626239
Long
ABS-MBS
CORP
US
N
2
2029-12-15
Variable
0.02908500
N
N
N
N
N
N
PRIVATE EXPORT FUNDING CORP
CYQE6SAYPFKNQJ6FMH60
PRIVATE EXPORT FUNDING 1.75% 11/15/2024
742651DX7
1225000.00000000
PA
USD
1259057.72000000
0.002721209161
Long
DBT
USGSE
US
N
2
2024-11-15
Fixed
0.01750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 11/33 #725027
31402CPL0
102572.54610000
PA
USD
114377.04000000
0.000247203797
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.05000000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 3.7% 01/31/2051
29379VBY8
215000.00000000
PA
USD
214293.68000000
0.000463154243
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
0.03700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2042#AO2976
3138LTJW9
9828.36470000
PA
USD
10541.18000000
0.000022782716
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2047#CA0855
3140Q75R4
1229692.81000000
PA
USD
1307349.39000000
0.002825582243
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2043#Q23085
3132M3CW5
47861.07240000
PA
USD
51864.29000000
0.000112094607
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2040#AD9214
31418XGY8
48993.81410000
PA
USD
54722.04000000
0.000118271080
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 07/01/2043#Q20604
3132JMU56
1644588.29220000
PA
USD
1730745.81000000
0.003740671519
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.775 12/03/24
N/A
-8200000.00000000
NC
USD
-139046.74000000
-0.00030052257
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 12/29 3MLV1.775
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-05
0.00000000
USD
0.00000000
USD
-8200000.00000000
USD
1.00000000
1.77500000
USD
2024-12-03
XXXX
95883.26000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 02/01/2043#Q15774
3132J62G8
212031.83850000
PA
USD
223139.87000000
0.000482273567
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BC0625
3140EUVT3
598479.01800000
PA
USD
642808.54000000
0.001389306034
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 9/41 #G06719
3128M8YQ1
2425494.15440000
PA
USD
2682278.55000000
0.005797225058
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
GLOBAL PARTNERS LP / GLP FIN CORP
N/A
GLOBAL PARTNERS LP / GLP FIN CORP 7% 08/01/2027
37954FAG9
500000.00000000
PA
USD
517152.50000000
0.001117724865
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
0.07000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETE 3.125% 2/15/22
674599CC7
4427000.00000000
PA
USD
4530846.40000000
0.009792546074
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
0.03125000
N
N
N
N
N
N
DRYDEN 76 CLO LTD
N/A
DRYDEN 76 CLO LTD 3ML+133 10/20/2032 144A
26252WAA7
2651000.00000000
PA
USD
2651795.30000000
0.005731341423
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Variable
0.03264000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 06/01/2042#G07032
3128M9ED0
702961.30050000
PA
USD
738909.69000000
0.001597010038
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR9310
36193GKX2
56703.34580000
PA
USD
60719.94000000
0.000131234378
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 3.35% 11/01/2022
345397ZU0
3970000.00000000
PA
USD
4007242.97000000
0.008660878774
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
0.03350000
N
N
N
N
N
N
SUMMIT MIDSTREAM HOLDINGS LLC / SUMMIT MIDSTREAM FINANCE CORP
N/A
SUMMIT MIDSTREAM HOLDINGS LLC / SUMMIT MIDSTREAM FINANCE CORP 5.75% 04/15/2025
86614WAD8
1035000.00000000
PA
USD
765900.00000000
0.001655344360
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 9/36 #938577
31412YFS6
213446.84980000
PA
USD
249702.18000000
0.000539682850
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 04/20/2043#MA0933
36179NBA5
617560.49080000
PA
USD
648804.73000000
0.001402265636
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.6% 04/15/2022
674599CK9
2105000.00000000
PA
USD
2142920.25000000
0.004631506661
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
0.02600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2042#AK4683
3138E9FZ8
50984.27300000
PA
USD
56245.00000000
0.000121562662
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AS4297
36193NX21
471792.63810000
PA
USD
505212.16000000
0.001091918135
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2047#AX5815
36196HN89
70811.83980000
PA
USD
75433.05000000
0.000163033912
Long
ABS-MBS
USGA
US
N
2
2047-01-15
Fixed
0.04000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INT 3.875 8/42
718172AU3
530000.00000000
PA
USD
578926.83000000
0.001251238103
Long
DBT
CORP
US
N
2
2042-08-21
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q02067
3132GFJL2
86342.61950000
PA
USD
95972.04000000
0.000207424957
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2048#BM3471
3140J72D6
2481787.38500000
PA
USD
2646270.82000000
0.005719401330
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2045#AY5060
3138YJTS5
68069.01360000
PA
USD
72899.44000000
0.000157558006
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2027#MA1294
31418ANL8
449453.53430000
PA
USD
466956.02000000
0.001009234906
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.03000000
N
N
N
N
N
N
LOWES COS INC
WAFCR4OKGSC504WU3E95
LOWES COS INC 4.25% 09/15/2044
548661DE4
305000.00000000
PA
USD
347685.41000000
0.000751454606
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
0.04250000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 4.25% 02/01/2024
00914AAA0
7846000.00000000
PA
USD
8457711.90000000
0.018279704530
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.04250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 9/42 #MA0392
36179MNH9
1112056.86060000
PA
USD
1182489.20000000
0.002555721150
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
0.03500000
N
N
N
N
N
N
SOUTHWESTERN ELEC POWER CO
R64UBJHEC74EB3HGQ410
SOUTHWESTERN ELEC POWER CO 3.85% 02/01/2048
845437BQ4
660000.00000000
PA
USD
727795.95000000
0.001572989844
Long
DBT
CORP
US
N
2
2048-02-01
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2044#AW4740
3138XUHS4
70599.64220000
PA
USD
77178.35000000
0.000166806040
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2042#AB4530
31417BA80
41108.91450000
PA
USD
44632.08000000
0.000096463587
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
DOMINION RES 7 6/15/38
25746UBD0
150000.00000000
PA
USD
219300.51000000
0.000473975535
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
0.07000000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 5.9%/VAR PERP
949746RG8
700000.00000000
PA
USD
750652.00000000
0.001622388765
Long
EP
CORP
US
N
2
N
N
N
WEINGARTEN REALTY INVESTORS
549300JMKTJNB8GWHU88
WEINGARTEN REALTY INVESTORS 3.375% 10/15/2022
948741AH6
472000.00000000
PA
USD
488019.19000000
0.001054758864
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2042#890500
31410LKM3
77447.37770000
PA
USD
84133.27000000
0.000181837751
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
EXXON MOBIL CORP
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 4.114% 03/01/2046
30231GAW2
705000.00000000
PA
USD
859472.90000000
0.001857584042
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
0.04114000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.797%/VAR 07/23/2024
46647PAU0
10889000.00000000
PA
USD
11639516.05000000
0.025156557327
Long
DBT
CORP
US
N
2
2024-07-23
Variable
0.03797000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2032#BJ2973
3140H4JT2
69599.85500000
PA
USD
72295.22000000
0.000156252101
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
VOYA CLO 2019-2 LLC
N/A
VOYA CLO 2019-2 LLC 3ML+127 07/20/2032 144A
92917RAC3
8868000.00000000
PA
USD
8872434.00000000
0.019176045945
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Variable
0.03089130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 03/01/2044#AW0779
3138XP2M4
168287.50670000
PA
USD
185596.68000000
0.000401131241
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/34#MA3864
31418DJJ2
3524632.33890000
PA
USD
3618172.91000000
0.007819979270
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 01/01/2048#Q53334
3132XVV42
1607436.97950000
PA
USD
1711747.58000000
0.003699610528
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 11/41 #772088
36176PRH1
56246.35110000
PA
USD
59892.92000000
0.000129446934
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #769093
36176LGA7
22551.86710000
PA
USD
24580.36000000
0.000053125682
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 6/39 #AE0967
31419BCD5
253610.08650000
PA
USD
272846.46000000
0.000589704725
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.03500000
N
N
N
N
N
N
FLORIDA PWR and LT CO
A89MY1K3YLIGJMYWVX50
FLORIDA PWR and LT CO 2.75% 06/01/2023
341081FJ1
1200000.00000000
PA
USD
1251554.18000000
0.002704991714
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
0.02750000
N
N
N
N
N
N
CHILDRENS HOSP CORP
549300NXFO6BISJLOS32
CHILDRENS HOSP CORP 4.115% 01/01/2047
16876BAA0
580000.00000000
PA
USD
736826.76000000
0.001592508189
Long
DBT
CORP
US
N
2
2047-01-01
Fixed
0.04115000
N
N
N
N
N
N
AEP TRANSMISSION CO LLC
549300X123Z1I0LA3Y84
AEP TRANSMISSION CO LLC 4% 12/01/2046
00115AAF6
375000.00000000
PA
USD
459876.02000000
0.000993932858
Long
DBT
CORP
US
N
2
2046-12-01
Fixed
0.04000000
N
N
N
N
N
N
PANAMA REPUBLIC OF
549300SHS4T08CL0LP14
PANAMA REPUBLIC OF 4.5% 04/16/2050
698299BH6
400000.00000000
PA
USD
498625.00000000
0.001077681266
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
FEDERAL HOME LOAN BANKS 3% 10/12/2021
3130AF5B9
1165000.00000000
PA
USD
1202933.67000000
0.002599907908
Long
DBT
USGSE
US
N
2
2021-10-12
Fixed
0.03000000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 4% 02/01/2025
92936UAC3
5544000.00000000
PA
USD
5970586.24000000
0.012904264608
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.04000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 4.25% 12/01/2026
29250NAL9
1943000.00000000
PA
USD
2167107.12000000
0.004683781891
Long
DBT
CORP
CA
N
2
2026-12-01
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17590
3132J82Y5
74495.20430000
PA
USD
79400.15000000
0.000171608030
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
COLUMBIA PIPELINE GROUP INC
549300SRP1TQM9JJBG80
COLUMBIA PIPELINE GROUP INC 4.5% 06/01/2025
198280AF6
1418000.00000000
PA
USD
1580604.65000000
0.003416170510
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.04500000
N
N
N
N
N
N
WINWATER MORTGAGE LOAN TRUST 2015-1
N/A
WIN 2015-1 A9 2.5% 01/20/2045 144A
97652TAJ2
151203.08000000
PA
USD
151147.56000000
0.000326676147
Long
ABS-CBDO
CORP
US
N
2
2045-01-20
Fixed
0.02500000
N
N
N
N
N
N
WILLIAMS PARTNERS L P NEW
WUURD1P1N0874ONXXO03
WILLIAMS PARTNERS L P NEW 4.85% 03/01/2048
96949LAE5
100000.00000000
PA
USD
105423.65000000
0.000227852780
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
0.04850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 6/24 #AA6863
31416QTV7
6180.74260000
PA
USD
6459.89000000
0.000013961799
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 12/01/2046#G60989
31335BC20
20736974.23770000
PA
USD
21823353.21000000
0.047166946954
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q02189
3132GFNE3
165362.41200000
PA
USD
183804.57000000
0.000397257942
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2015-H13 HA 2.5% 08/64
38376RCQ7
543983.41130000
PA
USD
545456.19000000
0.001178897804
Long
ABS-CBDO
USGA
US
N
2
2064-08-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/47#Q48877
3132WN2K7
8964592.12340000
PA
USD
9706008.71000000
0.020977656071
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2039#AL7550
3138EQL83
2130464.94900000
PA
USD
2377742.05000000
0.005139028455
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2045#AY5316
3138YJ4A1
391747.15930000
PA
USD
426170.30000000
0.000921084479
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04500000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 3ML+161/VAR 05/07/2025
06738EBH7
200000.00000000
PA
USD
212708.34000000
0.000459727838
Long
DBT
CORP
GB
N
2
2025-05-07
Variable
0.03932000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2047#BH5155
3140GTWR7
2147267.06380000
PA
USD
2256699.74000000
0.004877418969
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.03500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2.875% 11/15/2046
912810RU4
7015000.00000000
PA
USD
8838351.99000000
0.019102384288
Long
DBT
UST
US
N
2
2046-11-15
Fixed
0.02875000
N
N
N
N
N
N
ARES XXXIV CLO LTD
549300VDFIIXSFET0S73
ARES XXXIV CLO LTD 3ML+125 04/17/2033 144A
04015GAP4
2769000.00000000
PA
USD
2769000.00000000
0.005984656659
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Variable
0.01250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/41 #738002
3620AR3K5
91861.49190000
PA
USD
99607.52000000
0.000215282343
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.875% 4/30/22
912828X47
57915000.00000000
PA
USD
59114021.19000000
0.127763496055
Long
DBT
UST
US
N
2
2022-04-30
Fixed
0.01875000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/2049#MA5816
36179UN99
965551.26390000
PA
USD
1002867.60000000
0.002167503886
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2049#FM1338
3140X4PY6
2582946.03700000
PA
USD
2788925.14000000
0.006027720986
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2043#AB9671
31417GW93
608106.58030000
PA
USD
652210.24000000
0.001409625986
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03500000
N
N
N
N
N
N
UNIVERSITY PA TRUSTEES
549300FG60YK9HZ7DS75
UNIVERSITY PA TRUSTEES 3.61% 02/15/2119
91481CAC4
285000.00000000
PA
USD
352585.14000000
0.000762044422
Long
DBT
MUN
XX
N
2
2119-02-15
Fixed
0.03610000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 1.67 02/07/2025
N/A
20100000.00000000
NC
USD
790275.72000000
0.001708027753
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 02/11/30 3MLV1.67%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-11
0.00000000
USD
0.00000000
USD
20100000.00000000
USD
1.00000000
1.67000000
USD
2025-02-07
XXXX
225465.72000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2044#AW5723
3138XVLD0
276361.46690000
PA
USD
301941.01000000
0.000652586954
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.352%/VAR 04/24/2025
172967MF5
6698000.00000000
PA
USD
7091608.30000000
0.015327136452
Long
DBT
CORP
US
N
2
2025-04-24
Variable
0.03352000
N
N
N
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
VALVOLINE INC 4.25% 02/15/2030 144A
92047WAD3
70000.00000000
PA
USD
69037.50000000
0.000149211171
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04250000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.125% 01/23/2023
61744YAN8
7600000.00000000
PA
USD
7930025.14000000
0.017139211904
Long
DBT
CORP
US
N
2
2023-01-23
Fixed
0.03125000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036
674599DF9
4200000.00000000
PA
USD
4961575.42000000
0.010723483343
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
0.06450000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP 3.7% 08/08/2046
594918BT0
2050000.00000000
PA
USD
2479169.90000000
0.005358245089
Long
DBT
CORP
US
N
2
2046-08-08
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2046#G60603
31335AU48
4839860.58600000
PA
USD
5178190.56000000
0.011191654972
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2046#Q39678
3132QWXG9
481830.81540000
PA
USD
517765.76000000
0.001119050308
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 2.6% 11/19/2022
418056AW7
2485000.00000000
PA
USD
2556876.44000000
0.005526192709
Long
DBT
CORP
US
N
2
2022-11-19
Fixed
0.02600000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 01/31/2027
912828Z78
17561000.00000000
PA
USD
18091945.95000000
0.039102233589
Long
DBT
UST
US
N
2
2027-01-31
Fixed
0.01500000
N
N
N
N
N
N
INTERNATIONAL PAPER CO
824LMFJDH41EY779Q875
INTERNATIONAL PAPER CO 5.0% 09/15/2035
460146CM3
405000.00000000
PA
USD
514448.07000000
0.001111879764
Long
DBT
CORP
US
N
2
2035-09-15
Fixed
0.05000000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 4.972%/VAR 05/16/2029
06738EBD6
15000000.00000000
PA
USD
17353328.25000000
0.037505854631
Long
DBT
CORP
GB
N
2
2029-05-16
Variable
0.04972000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.625% 05/13/2024
46625HJX9
2860000.00000000
PA
USD
3092887.83000000
0.006684677410
Long
DBT
CORP
US
N
2
2024-05-13
Fixed
0.03625000
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2019
N/A
MARLETTE FUNDING TRUST 2019-4A A 2.39% 12/17/2029 144A
57110AAA2
4142428.91000000
PA
USD
4171105.70000000
0.009015036296
Long
ABS-CBDO
CORP
US
N
2
2029-12-17
Fixed
0.02390000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 4.50% 7/25 #G13844
3128MCP58
24938.64720000
PA
USD
26283.31000000
0.000056806278
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.04500000
N
N
N
N
N
N
TERWIN MORTGAGE TRUST
N/A
TMTS 2003-4HE A 1ML+43 9/34
881561BU7
3983.40800000
PA
USD
3907.85000000
0.000008446060
Long
ABS-CBDO
CORP
US
N
2
2034-09-25
Variable
0.02486750
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 2.45% 09/13/2029
828807DF1
885000.00000000
PA
USD
902556.05000000
0.001950699918
Long
DBT
CORP
US
N
2
2029-09-13
Fixed
0.02450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#G07921
3128MAD22
6703872.20370000
PA
USD
7159935.96000000
0.015474813442
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 3.25% 11/30/2026
828807CY1
1070000.00000000
PA
USD
1167236.04000000
0.002522754402
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2046#AS6522
3138WGG81
1273513.29600000
PA
USD
1346773.68000000
0.002910790203
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 2.2 07/18/2024
N/A
79000000.00000000
NC
USD
4487698.49000000
0.009699290232
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 7/22/29 3MLV2.2
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-07-22
0.00000000
USD
0.00000000
USD
79000000.00000000
USD
1.00000000
2.20000000
USD
2024-07-18
XXXX
2366548.49000000
N
N
N
PACIFICORP
SGY07Y7FNYBNLM6Z1M11
PACIFICORP 5.75 4/1/37
695114CD8
900000.00000000
PA
USD
1274808.79000000
0.002755252045
Long
DBT
CORP
US
N
2
2037-04-01
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2042#AO3037
3138LTLT3
47041.70030000
PA
USD
51895.62000000
0.000112162321
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.04500000
N
N
N
N
N
N
1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC
N/A
1011778 BC ULC/NEW RED FIN INC 4.375% 01/15/2028 144A
68245XAJ8
280000.00000000
PA
USD
278600.00000000
0.000602139886
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
0.04375000
N
N
N
N
N
N
CHARLES RIVER LABS INTL INC
549300BSQ0R4UZ5KX287
CHARLES RIVER LABS INTL INC 4.25% 05/01/2028 144A
159864AE7
30000.00000000
PA
USD
30189.00000000
0.000065247670
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
0.04250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #773365
36176Q6A7
28928.86670000
PA
USD
30831.51000000
0.000066636331
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/43#AB8499
31417FNR5
96477.27990000
PA
USD
102268.70000000
0.000221033967
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/45#BA6404
3140EBDJ7
412709.67140000
PA
USD
444697.89000000
0.000961128273
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 07/01/2043#Q19754
3132JBH89
30222.03390000
PA
USD
31805.32000000
0.000068741032
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
DELTA AIR INC DEL PASS THRU TR
N/A
DELTA AIR 6.821% 2/10/24
247367BH7
111007.84760000
PA
USD
121632.08000000
0.000262884159
Long
DBT
CORP
US
N
2
2024-02-10
Fixed
0.06821000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 04/20/2045#MA2753
36179RBW8
285384.94750000
PA
USD
299377.51000000
0.000647046445
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
0.03000000
N
N
N
N
N
N
ASCENSION HEALTH
N/A
ASCENSION HEALTH 3.106% 11/15/2039
04352EAB1
610000.00000000
PA
USD
672203.88000000
0.001452838362
Long
DBT
CORP
US
N
2
2039-11-15
Fixed
0.03106000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17614
3132J83Y4
90158.86700000
PA
USD
96095.14000000
0.000207691014
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
FISERV INC 2.75% 07/01/2024
337738AS7
205000.00000000
PA
USD
212740.73000000
0.000459797842
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
0.02750000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 5.012% 04/15/2049
92343VDS0
1594000.00000000
PA
USD
2202298.81000000
0.004759841906
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
0.05012000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 4.375% 06/01/2046
50077LAB2
7290000.00000000
PA
USD
6733081.91000000
0.014552251170
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
0.04375000
N
N
N
N
N
N
ADVOCATE HEALTH and HOSPITALS CORP
549300AEHU3PPOUCIL87
ADVOCATE HEALTH and HOSPITALS CORP 3.387% 10/15/2049
007589AC8
510000.00000000
PA
USD
582703.79000000
0.001259401270
Long
DBT
CORP
US
N
2
2049-10-15
Fixed
0.03387000
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GRP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 4.8% 4/5/26
780097BA8
15438000.00000000
PA
USD
17648574.32000000
0.038143971770
Long
DBT
CORP
GB
N
2
2026-04-05
Fixed
0.04800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/41 #AJ1242
3138ASLY6
85961.90900000
PA
USD
95019.78000000
0.000205366832
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.5% 1/14/22
172967FT3
2773000.00000000
PA
USD
2915279.52000000
0.006300811481
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 12/40 #AE8843
31419KZH1
53224.99100000
PA
USD
58866.62000000
0.000127228786
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY FRN 3ML+93 07/22/2022
61744YAJ7
3691000.00000000
PA
USD
3715899.49000000
0.008031196326
Long
DBT
CORP
US
N
2
2022-07-22
Variable
0.02732130
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 06/20/2048#MA5265
36179TZ65
3531351.43600000
PA
USD
3744141.49000000
0.008092235934
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2046#AS9183
36193VFY3
117355.01000000
PA
USD
125667.88000000
0.000271606758
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/42#AB5500
31417CDE2
24764.24190000
PA
USD
26560.30000000
0.000057404939
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03500000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 7.25% 03/17/44
71647NAK5
34097000.00000000
PA
USD
42049487.64000000
0.090881815177
Long
DBT
CORP
NL
N
2
2044-03-17
Fixed
0.07250000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
APACHE CORP 3.25% 4/15/22
037411AZ8
110000.00000000
PA
USD
112192.09000000
0.000242481451
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
0.03250000
N
N
N
N
N
N
XCEL ENERGY INC
LGJNMI9GH8XIDG5RCM61
XCEL ENERGY INC 3.5% 12/01/2049
98389BAX8
1175000.00000000
PA
USD
1291596.79000000
0.002791536052
Long
DBT
CORP
US
N
2
2049-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2032#AS8610
3138WJR83
156587.60120000
PA
USD
162832.19000000
0.000351930209
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.03000000
N
N
N
N
N
N
ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC
N/A
ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.9% 02/01/2046
03522AAJ9
945000.00000000
PA
USD
1167680.50000000
0.002523715016
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
0.04900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2043#AR7567
3138W5MR6
499716.03190000
PA
USD
532366.83000000
0.001150607690
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 04/01/2033#MA3339
31418CV92
734762.66000000
PA
USD
761997.89000000
0.001646910706
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2046#Q41906
3132WFDL0
31069.67730000
PA
USD
33338.31000000
0.000072054293
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#AL9776
3138ER2J8
5006519.34750000
PA
USD
5328945.20000000
0.011517481899
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 6/41 #005082
36202FUF1
2200187.48840000
PA
USD
2404271.16000000
0.005196365983
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19690
3132JBF81
219704.47710000
PA
USD
238081.11000000
0.000514566161
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4% 1/31/24
02209SAS2
1380000.00000000
PA
USD
1492417.55000000
0.003225571191
Long
DBT
CORP
US
N
2
2024-01-31
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 2.645 04/14/2022
N/A
9000000.00000000
NC
USD
937298.25000000
0.002025788448
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 4/29 3MLV2.645
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-20
0.00000000
USD
0.00000000
USD
9000000.00000000
USD
1.00000000
2.64500000
USD
2022-04-14
XXXX
696638.25000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AT0228
36193XHD3
65424.38070000
PA
USD
70058.73000000
0.000151418362
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AB7271
31417ECH2
239312.94270000
PA
USD
253603.83000000
0.000548115511
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
WELLPOINT INC 3.3% 01/15/2023
94973VBA4
3395000.00000000
PA
USD
3548556.09000000
0.007669516011
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2044#Q27808
3132M8KV7
140203.09380000
PA
USD
151667.15000000
0.000327799140
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 01/01/2043#C09022
31292SAX8
928473.73350000
PA
USD
976534.78000000
0.002110590601
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.5% 02/43 #Q15869
3132J66F6
301232.18020000
PA
USD
323231.14000000
0.000698601442
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 3.125% 07/31/2029
29379VBV4
515000.00000000
PA
USD
538486.94000000
0.001163835121
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
0.03125000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046
674599DL6
6475000.00000000
PA
USD
7860624.36000000
0.016989215573
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
0.06600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2043#Q20707
3132JMYC7
269854.86690000
PA
USD
290807.07000000
0.000628523101
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 12/01/2032#SB0030
3132CWA79
1948641.41100000
PA
USD
2025742.72000000
0.004378250147
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/46#MA3664
36179SB97
4750148.75700000
PA
USD
5058315.13000000
0.010932567471
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 12/35 #003795
36202EGC7
83229.69310000
PA
USD
92398.97000000
0.000199702459
Long
ABS-MBS
USGA
US
N
2
2035-12-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/20/2050#MA6599
36179VKL3
9700000.00000000
PA
USD
10048283.35000000
0.021717416347
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/01/2043#G07425
3128M9SN3
719355.61000000
PA
USD
780198.71000000
0.001686248250
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2015-C21
N/A
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2015-C21 3.077% 03/15/2048
61764XBH7
3732072.59000000
PA
USD
3960525.82000000
0.008559908711
Long
ABS-MBS
CORP
US
N
2
2048-03-15
Fixed
0.03077000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2038#AU4761
3138X4JF8
808125.52600000
PA
USD
875307.26000000
0.001891806942
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 5/15/43 #AD2413
36180DVE4
216001.44500000
PA
USD
228560.76000000
0.000493989770
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 5% 03/15/2024
404119BN8
300000.00000000
PA
USD
333460.43000000
0.000720710069
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/40 #AE7953
31419JZT8
36090.48930000
PA
USD
39239.95000000
0.000084809544
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 01/01/2038#C91969
3128P8FJ5
399618.59460000
PA
USD
416427.71000000
0.000900027760
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.03000000
N
N
N
N
N
N
COMM 2015-CCRE23 MORTGAGE TRUST
N/A
COMM 2015-CCRE23 MTG TR 3.23% 05/10/2048
12593AAZ8
2500000.00000000
PA
USD
2686272.00000000
0.005805856126
Long
ABS-MBS
CORP
US
N
2
2048-05-10
Fixed
0.03230000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1
N/A
CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A
14855MAA6
7790441.76000000
PA
USD
8013469.64000000
0.017319561013
Long
ABS-CBDO
CORP
US
N
2
2039-04-15
Fixed
0.03967000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
LOCKHEED MARTIN CORP3.8% 03/1/45
539830BD0
485000.00000000
PA
USD
572000.47000000
0.001236268119
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
0.03800000
N
N
N
N
N
N
TRIVIUM PACKAGING FINANCE BV
724500GMZWW3PVYET548
TRIVIUM PACKAGING FINANCE BV 5.5% 08/15/2026 144A
89686QAA4
205000.00000000
PA
USD
212431.66000000
0.000459129847
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/42#Q10245
3132HLHW6
1550889.75100000
PA
USD
1664151.07000000
0.003596739900
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/20/2046#MA3596
36179R7H6
1621092.38800000
PA
USD
1698548.99000000
0.003671084335
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2047#Q51189
3132XTKB3
94620.77000000
PA
USD
102032.41000000
0.000220523272
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
CSMC SER 2015-1R
N/A
CSMC SER 2015-1R 1ML+28 05/27/2037 144A
12649MBC6
582320.20840000
PA
USD
564779.62000000
0.001220661651
Long
ABS-CBDO
CORP
US
N
2
2037-05-27
Variable
0.02007250
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN EN 3.45 2/15/23
494550BM7
1900000.00000000
PA
USD
1984005.12000000
0.004288042417
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.03450000
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TENNESSEE VALLEY AUTHORITY 2.25% 03/15/20
880591EV0
3130000.00000000
PA
USD
3130900.53000000
0.006766834491
Long
DBT
USGSE
US
N
2
2020-03-15
Fixed
0.02250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/50#CA5126
3140QCVU7
12807114.60900000
PA
USD
13391808.06000000
0.028943796781
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
AMERADA HESS CORP
N/A
AMERADA HESS CORP 7.875% 10/01/2029
023551AF1
5583000.00000000
PA
USD
7284395.75000000
0.015743809149
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.07875000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
ECOPETROL SA 5.375% 06/26/2026
279158AL3
1490000.00000000
PA
USD
1671593.75000000
0.003612825809
Long
DBT
CORP
CO
N
2
2026-06-26
Fixed
0.05375000
N
N
N
N
N
N
PROSPER MARKETPLACE ISSUANCE TR SER 2018-2
54930091UL0OQ4F85R54
PROSPER MARKETPLACE ISSUANCE TR SER 2018-2A A 3.35% 10/15/2024 144A
74360PAA1
556398.85500000
PA
USD
557500.25000000
0.001204928704
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
0.03350000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 12/16/2021
00774MAH8
4011000.00000000
PA
USD
4179174.97000000
0.009032476458
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
0.04450000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/40 #004833
36202FLN4
2791910.67730000
PA
USD
3010552.46000000
0.006506725470
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2046#Q39975
3132QXCM7
89976.94000000
PA
USD
97165.42000000
0.000210004217
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 05/01/2032#BH2370
3140GQT48
763964.05070000
PA
USD
793714.11000000
0.001715459167
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2043#MA1224
36179NLD8
930843.53370000
PA
USD
989507.81000000
0.002138629290
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.03500000
N
N
N
N
N
N
ROGERS COMMUNICATIONS INC
54930030NVF3Y2OL0A78
ROGERS COMMUNICATIONS INC 3.0% 03/15/2023
775109AW1
150000.00000000
PA
USD
156661.33000000
0.000338593092
Long
DBT
CORP
CA
N
2
2023-03-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2033#721575
31401XT80
145118.23410000
PA
USD
161703.68000000
0.000349491153
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 04/32#BD9809
3140FH3T2
220331.13900000
PA
USD
229668.60000000
0.000496384151
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2046#MA3454
36179RZT9
8305337.23300000
PA
USD
8795021.58000000
0.019008734007
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 11/20/2044#MA2372
36179QT50
8275512.09860000
PA
USD
8882211.41000000
0.019197177921
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
0.04000000
N
N
N
N
N
N
LYONDELLBASELL INDS NV
BN6WCCZ8OVP3ITUUVN49
LYONDELLBAS INDS 5.75% 4/24
552081AK7
1730000.00000000
PA
USD
1979537.95000000
0.004278387495
Long
DBT
CORP
NL
N
2
2024-04-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2049#FM1449
3140X4TF3
6589173.73700000
PA
USD
6875563.61000000
0.014860197741
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18363
3132J9WZ7
72533.00600000
PA
USD
78667.85000000
0.000170025306
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
TELENET FINANCE LUXEMBOURG NOTES SARL
2138007RI9GLJPCC3E25
TELENET FINANCE LUXEMBOURG NOTES SARL 5.5% 03/01/2028 144A
N/A
400000.00000000
PA
USD
422000.00000000
0.000912071184
Long
DBT
CORP
LU
N
2
2028-03-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 08/01/2046#Q45458
3132WKB49
1098224.00320000
PA
USD
1180129.55000000
0.002550621224
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.04000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS CORP 5.875% 11/15/2024
25470XAW5
200000.00000000
PA
USD
205146.00000000
0.000443383306
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
0.05875000
N
N
N
N
N
N
NBC UNIVERSAL INC
VTBDOQJ6KOGQ6K786R46
NBCUNIVERSAL MED 5.95% 4/1/41
63946BAG5
1495000.00000000
PA
USD
2177561.64000000
0.004706377309
Long
DBT
CORP
US
N
2
2041-04-01
Fixed
0.05950000
N
N
N
N
N
N
XYLEM INC
549300DF5MV96DRYLQ48
XYLEM INC 4.875% 10/01/21
98419MAB6
525000.00000000
PA
USD
552885.40000000
0.001194954601
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
0.04875000
N
N
N
N
N
N
UBS BARCLAYS COML MTG TR 2013-C6
549300G1IXWLFE766Q13
UBS BARCLAYS COML MTG TR 2013-C6 A3FL 1ML+79 04/10/2046 144A
90349GAC9
5422999.85900000
PA
USD
5480305.78000000
0.011844618447
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Variable
0.02447880
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-IMC A 1ML+105 04/15/34 144A
05608BAA8
8070000.00000000
PA
USD
8065124.91000000
0.017431203864
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.02658500
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 4.75% 5/01/23
404121AF2
205000.00000000
PA
USD
222851.38000000
0.000481650052
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2028#MA1580
31418AXJ2
464903.99730000
PA
USD
483298.71000000
0.001044556461
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
0.03000000
N
N
N
N
N
N
ECOLAB INC
82DYEISM090VG8LTLS26
ECOLAB INC 4.35% 12/8/21
278865AL4
245000.00000000
PA
USD
257862.95000000
0.000557320773
Long
DBT
CORP
US
N
2
2021-12-08
Fixed
0.04350000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT JUN20 TUM0
N/A
-1200.00000000
NC
USD
-2169785.66000000
-0.00468957103
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UNDERLYING TREASURY 2 YR NOTE GENERIC IV FOR FUTURES TRADING
2020-06-30
-259823964.34000000
USD
-2169785.66000000
N
N
N
NBC UNIVERSAL INC
VTBDOQJ6KOGQ6K786R46
NBCUNIVERSAL ME 4.45% 1/15/43
63946BAJ9
2406000.00000000
PA
USD
2965381.86000000
0.006409097976
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
0.04450000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 6/34 #003568
36202D6D8
52611.84730000
PA
USD
58086.44000000
0.000125542578
Long
ABS-MBS
USGA
US
N
2
2034-06-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 7/35 #357843
31376KP42
62495.90010000
PA
USD
73424.26000000
0.000158692302
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/01/2047#Q49499
3132WPRV1
447728.95200000
PA
USD
490792.15000000
0.001060752079
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 3.75% 08/15/2021
87165BAC7
2016000.00000000
PA
USD
2068336.99000000
0.004470309404
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
0.03750000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI PROPERTIES / NOTE 4.625% 12/01/2029 144A
92564RAB1
250000.00000000
PA
USD
258125.00000000
0.000557887143
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
0.04625000
N
N
N
N
N
N
CITIBANK CR CARD ISSUANCE TR
R8AG6FXVDQAMDKCSJJ64
CITIBANK CR CARD ISSUANCE TR 2018-A6 A6 3.21% 12/09/2024
17305EGR0
2400000.00000000
PA
USD
2532184.56000000
0.005472825998
Long
ABS-CBDO
CORP
US
N
2
2024-12-07
Fixed
0.03210000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 02/01/2043#MA1340
31418AP28
592652.11440000
PA
USD
613194.92000000
0.001325301936
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.02500000
N
N
N
N
N
N
ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FIN CORP
N/A
ICAHN ENTERPRISES LP/FIN CORP 6.375% 12/15/2025
451102BQ9
1100000.00000000
PA
USD
1135750.00000000
0.002454703431
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.06375000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 2.76% 10/01/2024
20268JAA1
950000.00000000
PA
USD
989949.22000000
0.002139583312
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.02760000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN 4.15% 3/01/22
494550BJ4
885000.00000000
PA
USD
930791.49000000
0.002011725348
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
0.04150000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CREDIT SUISSE MORTGAGE TRUST 2017-RPL3 4.5349% 04/15/2036 144A
12690CAE3
1543000.00000000
PA
USD
1658687.97000000
0.003584932468
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
0.04534900
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
INTERCONTINENTAL EXCHANGE INC 2.75% 12/01/20
45866FAC8
1768000.00000000
PA
USD
1783618.87000000
0.003854946387
Long
DBT
CORP
US
N
2
2020-12-01
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/41 #AJ5385
3138AW6X6
768099.44240000
PA
USD
836754.32000000
0.001808482236
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
CHICAGO IL OHARE INTL ARPT REV
N/A
CHICAGO OHARE 4.472% 1/1/2049
167593H62
910000.00000000
PA
USD
1230875.10000000
0.002660297892
Long
DBT
MUN
US
N
2
2049-01-01
Fixed
0.04472000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/01/2050 #TBA
21H030633
306225000.00000000
PA
USD
316401897.92000000
0.683841359849
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY INC 4.25% 04/15/2027
15135UAM1
7813000.00000000
PA
USD
8375238.64000000
0.018101454568
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
0.04250000
N
N
N
N
N
N
DLL SECURITIZATION TRUST 2019
N/A
DLL SECURITIZATION TRUST 2019 2.08% 02/21/2023 144A
23291RAC4
2600000.00000000
PA
USD
2632529.64000000
0.005689702434
Long
ABS-CBDO
CORP
US
N
2
2023-02-21
Fixed
0.02080000
N
N
N
N
N
N
COMM 2015-DC1 MTG TR
N/A
COMM 2015-DC1 MTG TR 3.35% 02/10/2048
12629NAF2
3800000.00000000
PA
USD
4093397.62000000
0.008847085347
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
0.03350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2048#G61638
31335BZB5
783466.75000000
PA
USD
832594.03000000
0.001799490576
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
HORIZON 2018
N/A
HORIZON 2018-1 A 4.458% 12/15/2038 144A
440405AE8
3654031.04000000
PA
USD
3782430.04000000
0.008174989211
Long
ABS-CBDO
CORP
US
N
2
2038-12-15
Fixed
0.04458000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/41 #AE0949
31419BBT1
17451.19360000
PA
USD
18965.90000000
0.000040991115
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
UNIVERSITY CA REVS
N/A
UNIVERSITY CALIF REVS BUILD AMERICA BONDS
91412F7Y7
60000.00000000
PA
USD
88467.60000000
0.000191205565
Long
DBT
MUN
US
N
2
2043-05-15
Fixed
0.05770000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 7/40 #A92914
312941GX9
39955.44520000
PA
USD
44811.06000000
0.000096850418
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.05000000
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
PUCKW5P5O3XMOZVH7T53
SENSATA TECHNOLOGIES BV 4.875% 10/15/2023 144A
81725WAG8
800000.00000000
PA
USD
844000.00000000
0.001824142369
Long
DBT
CORP
NL
N
2
2023-10-15
Fixed
0.04875000
N
N
N
N
N
N
INGERSOLL-RAND GLOBAL HLDG CO LTD
549300UCF0D858BIOV83
INGERSOLL RAND GLB HLDG CO LTD 4.25% 06/15/2023
45687AAJ1
425000.00000000
PA
USD
465107.87000000
0.001005240488
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2047#AS9968
3138WLCE1
1022048.74700000
PA
USD
1102223.67000000
0.002382242768
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.89 12/09/24
N/A
-20200000.00000000
NC
USD
-308430.77000000
-0.00066661331
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 12/29 3MLV1.89
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-12-11
0.00000000
USD
0.00000000
USD
-20200000.00000000
USD
1.00000000
1.89000000
USD
2024-12-09
XXXX
267269.23000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2048#B32396
312979UV7
250120.69000000
PA
USD
261586.82000000
0.000565369196
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2041#AA3361
31416LWX0
37851.13360000
PA
USD
42051.84000000
0.000090886899
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 8/1/41 #AI8194
3138ANC84
511500.18660000
PA
USD
565397.37000000
0.001221996798
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO UNITED MEXICAN STATES 4.15% 03/28/2027
91087BAC4
750000.00000000
PA
USD
824531.25000000
0.001782064440
Long
DBT
NUSS
MX
N
2
2027-03-28
Fixed
0.04150000
N
N
N
N
N
N
HCP INC
PZ9HF5U52KPF0MH0QN75
HCP INC 3.5% 07/15/2029
40414LAR0
887000.00000000
PA
USD
975834.03000000
0.002109076065
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
0.03500000
N
N
N
N
N
N
ALLERGAN FUNDING SCS
222100FLFVOSKCBCAR54
ACTAVIS FUNDING SCS 3.85% 06/15/2024
00507UAF8
560000.00000000
PA
USD
607019.62000000
0.001311955222
Long
DBT
CORP
LU
N
2
2024-06-15
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 12/41 #AJ7680
3138E0RA9
39756.77500000
PA
USD
42478.67000000
0.000091809409
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.03500000
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 6.5% 04/15/2029 144A
46590XAA4
295000.00000000
PA
USD
319986.50000000
0.000691588782
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.06500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2017-134 BA 2.5% 11/46
38380GF25
1401102.84700000
PA
USD
1445361.58000000
0.003123868835
Long
ABS-CBDO
USGA
US
N
2
2046-11-20
Fixed
0.02500000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37 3.05% 04/10/2049
17290XAS9
4000000.00000000
PA
USD
4281484.00000000
0.009253597592
Long
ABS-MBS
CORP
US
N
2
2049-04-10
Fixed
0.03050000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2042#AP8745
3138MCWF7
127990.40400000
PA
USD
140956.89000000
0.000304650989
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04500000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.125% 07/03/2023
00774MAF2
5132000.00000000
PA
USD
5456219.85000000
0.011792561379
Long
DBT
CORP
IE
N
2
2023-07-03
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#Q24165
3132M4JJ5
672911.54760000
PA
USD
728354.41000000
0.001574196847
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK AMER FDG CORP 4.25% 10/22/2026
06051GFL8
10727000.00000000
PA
USD
11975936.46000000
0.025883664820
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
0.04250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2043#MA1225
36179NLE6
176661.57300000
PA
USD
189833.92000000
0.000410289213
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.04000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.375% 01/23/2045
71654QBR2
160000.00000000
PA
USD
150080.00000000
0.000324368823
Long
DBT
CORP
MX
N
2
2045-01-23
Fixed
0.06375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 10/01/2043#AU4405
3138X33P5
708129.60830000
PA
USD
744884.23000000
0.001609922848
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/01/2050 #TBA
21H022630
-45300000.00000000
PA
USD
-46499797.68000000
-0.10050029752
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.02500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US LONG BOND(CBT) FUT JUN20 USM0
N/A
-135.00000000
NC
USD
-957733.58000000
-0.00206995545
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UNDERLYING TREASURY 20 YR NOTEGENERIC IV FOR FUTURES TRADING
2020-06-19
-22026016.42000000
USD
-957733.58000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HLDGS LLC 5.25% 06/01/2024
126307AH0
1600000.00000000
PA
USD
1728000.00000000
0.003734736983
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2041#AE9268
31419LJN4
27707.17600000
PA
USD
30112.08000000
0.000065081422
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2045#AS5384
3138WE6W4
550930.94410000
PA
USD
594837.55000000
0.001285626040
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 3.7% 05/09/2023
37045XBK1
11800000.00000000
PA
USD
12257072.88000000
0.026491286686
Long
DBT
CORP
US
N
2
2023-05-09
Fixed
0.03700000
N
N
N
N
N
N
NIELSEN CO LUXEMBOURG SARL
549300MFMRJBOPHHM352
NIELSEN CO LUXEMBOURG SARL 5% 02/01/2025 144A
65410CAC4
520000.00000000
PA
USD
513500.00000000
0.001109830695
Long
DBT
CORP
LU
N
2
2025-02-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 09/01/2040#AE4424
31419E4J5
33762.85360000
PA
USD
37710.32000000
0.000081503545
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.05000000
N
N
N
N
N
N
QEP RESOURCES INC
Q6JQDZPXKEDQKVK58165
QEP RESOURCES 5.25% 5/01/23
74733VAC4
300000.00000000
PA
USD
265560.00000000
0.000573956454
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/47#BE2975
3140FNJV7
477712.41750000
PA
USD
514835.88000000
0.001112717940
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2015-C26
N/A
MORGAN STANLEY BK AMER MERRILL LYNCH TR 2015-C26 3.252% 11/15/2048
61690VAY4
3200000.00000000
PA
USD
3434683.84000000
0.007423403219
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
0.03252000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 2/15/29
912833XN5
2800000.00000000
PA
USD
2510859.88000000
0.005426736836
Long
DBT
UST
US
N
2
2029-02-15
Fixed
0.00000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/41 #004945
36202FP67
34336.56140000
PA
USD
37004.09000000
0.000079977166
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3.75% 07/15/2023
125523AF7
6229000.00000000
PA
USD
6631301.21000000
0.014332271920
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.03750000
N
N
N
N
N
N
GENERAL ELECTRIC CAPITAL CORP
P0H32NFVTA51I1N8SJ31
GENERAL ELECTRIC CAPITAL CORP 3.15% 09/07/2022
36962G6F6
1386000.00000000
PA
USD
1431486.75000000
0.003093881080
Long
DBT
CORP
US
N
2
2022-09-07
Fixed
0.03150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2045#BA4584
3140E9CW4
1023284.85840000
PA
USD
1102917.19000000
0.002383741677
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2043#AV0893
3138XB7F5
15113.95450000
PA
USD
15898.43000000
0.000034361374
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2047#AX5831
36196HPQ7
127243.26340000
PA
USD
135547.21000000
0.000292959015
Long
ABS-MBS
USGA
US
N
2
2047-01-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2043#Q20882
3132JM6T1
64828.94130000
PA
USD
70251.40000000
0.000151834781
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 10/41 #Q03643
3132GJWC9
561830.18640000
PA
USD
622188.39000000
0.001344739578
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019 IMC B 1ML+130 04/15/2034
05608BAG5
4464000.00000000
PA
USD
4462647.41000000
0.009645147179
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.02958500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q16935
3132J8EH9
532190.07850000
PA
USD
567230.75000000
0.001225959294
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.75% 11/15/2029
912828YS3
548700000.00000000
PA
USD
579350041.81000000
1.252152793724
Long
DBT
UST
US
N
2
2029-11-15
Fixed
0.01750000
N
N
N
N
N
N
BRISTOL PARK CLO LTD 2016
549300XRS6MFERKEPO61
BRISTOL PARK CLO LTD 2016 3ML+99 04/15/2029 144A
11014PAJ4
8338000.00000000
PA
USD
8338000.00000000
0.018020970467
Long
ABS-CBDO
CORP
US
N
2
2029-04-15
Variable
0.00000000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A
05492PAA6
4963000.00000000
PA
USD
5253089.34000000
0.011353534164
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03112000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#AS6286
3138WF6Y7
828468.70960000
PA
USD
892681.50000000
0.001929357993
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 04/01/2043#AT4017
3138WRPB0
622875.08400000
PA
USD
655204.67000000
0.001416097866
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2044#AX6493
3138Y8GB0
498156.79040000
PA
USD
543019.94000000
0.001173632322
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2045#Q37045
3132QTZK5
627144.17510000
PA
USD
676072.40000000
0.001461199418
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON CO
9R1Z5I36FERIBVKW4P77
SOUTHERN CALIFORNIA EDISON CO 4% 04/01/2047
842400GG2
715000.00000000
PA
USD
805756.31000000
0.001741486047
Long
DBT
CORP
US
N
2
2047-04-01
Fixed
0.04000000
N
N
N
N
N
N
EL PASO CORP
N/A
EL PASO CORP 6.5% 09/15/2020
28336LBV0
12030000.00000000
PA
USD
12333422.95000000
0.026656302560
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96766
312945QT8
135449.31970000
PA
USD
149873.85000000
0.000323923269
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/49#MA5815
36179UN81
999588.12490000
PA
USD
1033916.98000000
0.002234611101
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
0.03000000
N
N
N
N
N
N
LANARK MASTER ISSUER PLC
213800KIOPB5OYXIVY33
LANARK MASTER ISSUER PLC 2019-1A 1A1 3ML+77 12/22/2069 144A
513770BB2
4172980.00000000
PA
USD
4177411.70000000
0.009028665492
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.02452750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2047#BH1623
3140GPYV4
100162.36030000
PA
USD
108512.98000000
0.000234529768
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/42#G60488
31335ARH3
7157613.95060000
PA
USD
7805503.27000000
0.016870082024
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
CIT GROUP INC NEW
N8O96ZZJQRFYQUJY7K79
CIT GROUP INC 5.0% 08/01/23
125581GR3
7000000.00000000
PA
USD
7472500.00000000
0.016150360017
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
0.05000000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
LENNAR CORP 4.75% 11/29/2027
526057CD4
9350000.00000000
PA
USD
10308375.00000000
0.022279554023
Long
DBT
CORP
US
N
2
2027-11-29
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2047#Q51234
3132XTLQ9
33795.81400000
PA
USD
36443.04000000
0.000078764565
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
PUGET ENERGY INC NEW
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC NEW 3.65% 05/15/2025
745310AH5
624000.00000000
PA
USD
670123.94000000
0.001448342975
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.03650000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTB 3.625% 08/15/43
912810RC4
43790000.00000000
PA
USD
60871520.87000000
0.131561990877
Long
DBT
UST
US
N
2
2043-08-15
Fixed
0.03625000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.95% 06/15/2028
29278NAF0
4954000.00000000
PA
USD
5459204.16000000
0.011799011387
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.04950000
N
N
N
N
N
N
CHC COML MTG TR 2019-CHC
N/A
CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034
162665AA1
14057000.00000000
PA
USD
14050411.48000000
0.030367240386
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.02778500
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 5% 07/31/2027 144A
92840VAF9
195000.00000000
PA
USD
196979.25000000
0.000425732459
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
0.05000000
N
N
N
N
N
N
C AND S GROUP ENTERPRISES LLC
N/A
C AND S GROUP ENTERPRISES LLC 5.375% 07/15/2022 144A
12467AAD0
400000.00000000
PA
USD
406040.00000000
0.000877576738
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
0.05375000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 6.875%/VAR PERP
55336VAU4
300000.00000000
PA
USD
289500.00000000
0.000625698123
Long
EP
CORP
US
N
2
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.4 02/26/2025
N/A
11700000.00000000
NC
USD
373066.32000000
0.000806310522
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/28/30 3MLV1.4%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-02-28
0.00000000
USD
0.00000000
USD
11700000.00000000
USD
1.00000000
1.40000000
USD
2025-02-26
XXXX
43418.82000000
N
N
N
PARSLEY ENERGY LLC / PARSLEY FINANCE CORP
N/A
PARSLEY ENERGY LLC / PARSLEY FINANCE CORP 5.25% 8/15/25 144A
701885AF2
700000.00000000
PA
USD
693000.00000000
0.001497785144
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.05250000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2050#TBA
01F022634
-8500000.00000000
PA
USD
-8667914.95000000
-0.01873401767
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 04/43#AB9891
36178W7C7
507416.74630000
PA
USD
532894.24000000
0.001151747584
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2033#
3140JAUL0
1370607.74000000
PA
USD
1423553.22000000
0.003076734293
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI PROPERTIES / NOTE 3.5% 02/15/2025 144A
92564RAC9
125000.00000000
PA
USD
125193.75000000
0.000270582018
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 05/01/2043#G08525
3128MJSP6
273408.40380000
PA
USD
287731.86000000
0.000621876631
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2032#J36729
31307TPN5
94872.27470000
PA
USD
100001.94000000
0.000216134805
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 6/36 #651860
36292LE91
17480.56580000
PA
USD
19814.25000000
0.000042824659
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2045#AY2657
3138YF5T7
81795.02680000
PA
USD
87599.50000000
0.000189329335
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 4.95% 01/10/2047
06738EAV7
1405000.00000000
PA
USD
1708483.03000000
0.003692554836
Long
DBT
CORP
GB
N
2
2047-01-10
Fixed
0.04950000
N
N
N
N
N
N
CONCHO RES INC
SYHS7HRDXLL4I0IQ8776
CONCHO RES INC 4.3% 08/15/2028
20605PAK7
2415000.00000000
PA
USD
2625663.30000000
0.005674862171
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
0.04300000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 4.45% 03/03/2026
06051GFU8
2065000.00000000
PA
USD
2330880.73000000
0.005037746797
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
0.04450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 10/01/2041#AL4242
3138ELWC3
590707.95340000
PA
USD
659771.93000000
0.001425969113
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 02/34#G30703
3132J4AD1
6014363.85780000
PA
USD
6355704.87000000
0.013736623862
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 02/01/2041#AH5574
3138A7FQ6
507111.04460000
PA
USD
551285.23000000
0.001191496144
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 7/38 #AL0095
3138EGC93
1337304.20180000
PA
USD
1588185.41000000
0.003432554853
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2044#AW8329
3138XYHF4
44936.28630000
PA
USD
48533.81000000
0.000104896420
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552552
36213EZR0
118955.44740000
PA
USD
129357.85000000
0.000279581913
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
AON CORP2
LTS3U8DGK38SETRUWX71
AON CORP 5% 9/30/20
037389AW3
540000.00000000
PA
USD
550232.43000000
0.001189220720
Long
DBT
CORP
US
N
2
2020-09-30
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-160 DY 4% 12/20/2040
38377RLW3
2508815.62860000
PA
USD
2811656.77000000
0.006076850997
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2042#Q10434
3132HLPT4
1067623.63650000
PA
USD
1139253.07000000
0.002462274637
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS CORP 3.5% 05/15/2025
369550BG2
1905000.00000000
PA
USD
2089059.20000000
0.004515096443
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.03500000
N
N
N
N
N
N
DELTA AIRLINES INC
Q2CCMS6R0AS67HJMBN42
DELTA AIRLINES INC 3.625% 03/15/2022
247361ZJ0
480000.00000000
PA
USD
494371.66000000
0.001068488496
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2046#V82292
3132L7RM3
530045.65500000
PA
USD
572392.33000000
0.001237115048
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 02/15/2030
912828Z94
3695000.00000000
PA
USD
3820860.94000000
0.008258050151
Long
DBT
UST
US
N
2
2030-02-15
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 04/01/2043#Q17674
3132J86L9
240871.18310000
PA
USD
253490.06000000
0.000547869619
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
PINE STR TR I
N/A
PINE STR TR I 5.568% 02/15/2049 144A
72284LAA7
7800000.00000000
PA
USD
9735021.66000000
0.021040361938
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
0.05568000
N
N
N
N
N
N
PERMANENT MASTER ISSUER PLC
213800MVYG7MLQM2LF25
PERMANENT MASTER ISSUER PLC 2.53613%/VAR 07/15/2058
71419GAY6
5256000.00000000
PA
USD
5263626.46000000
0.011376308106
Long
ABS-CBDO
CORP
GB
N
2
2058-07-15
Variable
0.02381250
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTB 6.25% 8/15/23
912810EQ7
11080000.00000000
PA
USD
13090846.93000000
0.028293327647
Long
DBT
UST
US
N
2
2023-08-15
Fixed
0.06250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/48#ZA5379
31329N6Q6
5604011.14400000
PA
USD
5992833.13000000
0.012952346948
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 2.645 04/14/22
N/A
9000000.00000000
NC
USD
21254.76000000
0.000045938042
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 4/29 2.645V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-20
0.00000000
USD
0.00000000
USD
9000000.00000000
USD
1.00000000
2.64500000
USD
2022-04-14
XXXX
-219405.24000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 05/01/2033#AT3000
3138WQKN1
560263.69300000
PA
USD
585316.61000000
0.001265048374
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.03000000
N
N
N
N
N
N
LABORATORY CORP OF AMER HLDGS
OZ7UA8IXAIFILY2VZH07
LABORATORY CORP OF AMER HLDGS 4.7% 02/01/2045
50540RAS1
830000.00000000
PA
USD
996743.83000000
0.002154268544
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
0.04700000
N
N
N
N
N
N
BX TR 2018-IND
N/A
BX TR 2018-EXCL A 1ML+108.763 09/15/2037 144A
12433WAA9
3889969.17900000
PA
USD
3885291.88000000
0.008397305136
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.02746127
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
UNITED MEXICAN 4.75% 3/08/44
91086QBB3
2960000.00000000
PA
USD
3430825.00000000
0.007415063085
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2041#AH7450
3138A9H49
97138.27620000
PA
USD
107918.66000000
0.000233245260
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 03/01/2044#MA1885
31418BCX2
291182.53310000
PA
USD
321132.05000000
0.000694064666
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.05000000
N
N
N
N
N
N
LABORATORY CORP OF AMER HLDGS
OZ7UA8IXAIFILY2VZH07
LABORATORY CORP OF AMER HLDGS 3.25% 09/01/2024
50540RAT9
795000.00000000
PA
USD
844943.53000000
0.001826181626
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.03250000
N
N
N
N
N
N
MELCO RESORTS FIN LTD
529900NRV6LBR3T6B421
MCE FINANCE LTD 4.875% 06/06/2025 144A
58547DAA7
300000.00000000
PA
USD
301496.30000000
0.000651625799
Long
DBT
CORP
KY
N
2
2025-06-06
Fixed
0.04875000
N
N
N
N
N
N
PACIFICORP
SGY07Y7FNYBNLM6Z1M11
PACIFICORP 5.25 6/15/35
695114BZ0
1375000.00000000
PA
USD
1840745.93000000
0.003978415452
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
0.05250000
N
N
N
N
N
N
TWDC ENTERPRISES 18 CORP
7260JQNI6SCF9FIV2392
WALT DISNEY MTN 2.55% 2/15/22
25468PCT1
335000.00000000
PA
USD
343598.23000000
0.000742620958
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
0.02550000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2013-133 IB 3% 04/32
3136AHQ94
481446.14320000
PA
USD
25553.33000000
0.000055228568
Long
ABS-CBDO
USGSE
US
N
2
2032-04-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2046#BC9751
3140F5ZR7
205778.67250000
PA
USD
220506.31000000
0.000476581638
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
CENTURYLINK INC
8M3THTGWLTYZVE6BBY25
CENTURYLINK INC 5.625% 04/01/2025
156700AZ9
175000.00000000
PA
USD
182437.50000000
0.000394303286
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.05625000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS LTD
635400CPI3EOIFF6OC33
PARK AEROSPACE HOLDINGS LTD 5.5% 02/15/2024 144A
70014LAB6
7000000.00000000
PA
USD
7697426.31000000
0.016636494628
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #737104
3620AQ3M3
56640.17600000
PA
USD
62442.25000000
0.000134956817
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2049#BO4757
3140K0JB5
6951958.00500000
PA
USD
7291066.17000000
0.015758225969
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 3.5% 06/15/2022
25470DBA6
1105000.00000000
PA
USD
1145124.63000000
0.002474964876
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT 4.03% 10/25/2028
3137FJXW4
1150000.00000000
PA
USD
1354031.05000000
0.002926475601
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Fixed
0.04030000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 04/01/2043#AT2998
3138WQKL5
842341.07320000
PA
USD
871538.72000000
0.001883661973
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2042#AB4590
31417BC47
1058345.45380000
PA
USD
1130803.70000000
0.002444012962
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.875% 09/30/2022
9128282W9
1213000.00000000
PA
USD
1243704.06000000
0.002688025202
Long
DBT
UST
US
N
2
2022-09-30
Fixed
0.01875000
N
N
N
N
N
N
WILLIAMS PARTNERS L P NEW
WUURD1P1N0874ONXXO03
WILLIAMS PARTNERS L P NEW 3.6% 03/15/2022
96949LAA3
660000.00000000
PA
USD
681096.48000000
0.001472057993
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.03600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 9/41 #AJ1131
3138ASHH8
38944.38870000
PA
USD
42898.30000000
0.000092716358
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17564
3132J8Z60
27985.19870000
PA
USD
30028.95000000
0.000064901753
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4% 03/01/2050#TBA
01F040636
-13500000.00000000
PA
USD
-14219744.40000000
-0.03073322066
Short
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2049#BM5577
3140JAFT0
3754809.61300000
PA
USD
4200734.93000000
0.009079074132
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 02/01/2035#QN1578
3133G7XF5
2109664.00000000
PA
USD
2179497.25000000
0.004710560755
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/40 #AE6921
31419HVP4
42595.57470000
PA
USD
46312.71000000
0.000100095943
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC 3.5% 06/03/2024
571748AV4
1140000.00000000
PA
USD
1218721.02000000
0.002634029204
Long
DBT
CORP
US
N
2
2024-06-03
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2042#AL6997
3138EPX33
3141034.00880000
PA
USD
3474951.99000000
0.007510435019
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 07/15/2046#AT7536
36194GLR3
48473.21940000
PA
USD
51742.64000000
0.000111831684
Long
ABS-MBS
USGA
US
N
2
2046-07-15
Fixed
0.04000000
N
N
N
N
N
N
ALTICE FING SA
549300DIYGW8HVDF7Q17
ALTICE FING SA 7.5% 05/15/2026 144A
02154CAE3
300000.00000000
PA
USD
316500.00000000
0.000684053388
Long
DBT
CORP
LU
N
2
2026-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 11/40 #004853
36202FMA1
2827351.98750000
PA
USD
3048769.27000000
0.006589323696
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#G08578
3128MJUC2
170912.15680000
PA
USD
187350.73000000
0.000404922280
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/01/2045#Q37853
3132QUWP4
326417.06180000
PA
USD
352597.34000000
0.000762070790
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AB2086
31416XJ84
1007701.51910000
PA
USD
1095166.99000000
0.002366991123
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2048#BK3836
3140HHHN8
443809.77800000
PA
USD
477792.43000000
0.001032655705
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 5.3% 03/01/2048
958254AJ3
645000.00000000
PA
USD
585913.21000000
0.001266337809
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
0.05300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AR5169
3138W2W76
456683.13500000
PA
USD
480386.73000000
0.001038262781
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#BC9096
3140F5DA8
1429296.72770000
PA
USD
1507945.50000000
0.003259131844
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
STRYKER CORP 3.5% 03/15/2026
863667AN1
675000.00000000
PA
USD
737757.27000000
0.001594519306
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.03500000
N
N
N
N
N
N
PUBLIC SERVICE CO OF CO
5BANEF6PGSEK0SNMQF44
PUBLIC SERVICE CO OF CO 2.5% 03/15/2023
744448CH2
645000.00000000
PA
USD
662546.59000000
0.001431966002
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17646
3132J85G1
1036433.03920000
PA
USD
1112123.64000000
0.002403639634
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
NATIONSTAR HECM LOAN TRUST
N/A
NATIONSTAR HECM LOAN TRUST 2.2722% 11/25/2029 144A
63862UAA6
3594663.19000000
PA
USD
3584874.92000000
0.007748012120
Long
ABS-CBDO
CORP
US
N
2
2029-11-25
Fixed
0.02272200
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #773363
36176Q5Y6
35426.48060000
PA
USD
37667.90000000
0.000081411862
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#V80950
3132L6BT7
254809.61740000
PA
USD
275804.02000000
0.000596096917
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 09/20/2046#MA3940
36179SLV7
528700.49900000
PA
USD
588020.54000000
0.001270892394
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/42 #005305
36202F3N4
245571.86510000
PA
USD
264342.79000000
0.000571325691
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 1/35 #003664
36202EB99
670580.14510000
PA
USD
742341.14000000
0.001604426452
Long
ABS-MBS
USGA
US
N
2
2035-01-20
Fixed
0.05000000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
STRYKER CORP 3.375% 05/15/2024
863667AF8
335000.00000000
PA
USD
356192.87000000
0.000769841831
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 04/01/2043#AT3712
3138WRDS6
17968.37820000
PA
USD
18591.21000000
0.000040181296
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/41 #AJ4198
3138AVUY9
451219.18890000
PA
USD
489890.12000000
0.001058802516
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 04/30/2023
912828R28
29145000.00000000
PA
USD
29812147.12000000
0.064433176161
Long
DBT
UST
US
N
2
2023-04-30
Fixed
0.01625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2042#AI9097
3138APDB1
407415.44970000
PA
USD
435308.62000000
0.000940835186
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/01/2042#Q11218
3132HMK75
6936370.73540000
PA
USD
7401748.50000000
0.015997444366
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
ALTICE FRANCE SA 8.125% 02/01/2027 144A
02156LAA9
135000.00000000
PA
USD
147120.30000000
0.000317972005
Long
DBT
CORP
FR
N
2
2027-02-01
Fixed
0.08125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/47#BM1277
3140J5M30
1711037.25700000
PA
USD
1845260.09000000
0.003988171934
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04000000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
COMMONWEALTH EDISON CO 4.35% 11/15/2045
202795JG6
555000.00000000
PA
USD
691336.39000000
0.001494189573
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
0.04350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 04/01/2043#AR9512
3138W7SA3
201961.25460000
PA
USD
208961.74000000
0.000451630288
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2046#AS8453
3138WJMB1
464085.67700000
PA
USD
483097.55000000
0.001044121693
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2046#MA4127
36179SSQ1
3387745.48400000
PA
USD
3571607.58000000
0.007719337337
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2040#AE0698
31419AX44
349959.37600000
PA
USD
387162.96000000
0.000836777676
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 05/48#BM3904
3140J8KS1
797029.10970000
PA
USD
866155.28000000
0.001872026711
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 06/01/2043#Q19697
3132JBGF4
44008.03120000
PA
USD
46313.55000000
0.000100097759
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6% 11/35 #AD0687
31418MXR8
496156.26950000
PA
USD
577014.76000000
0.001247105534
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.06000000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2017
N/A
WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050
95001GAG8
35668824.95480000
PA
USD
2112357.75000000
0.004565451742
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.00890024
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2042#AB9201
36178WGJ2
42259.76070000
PA
USD
45889.26000000
0.000099180738
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.04000000
N
N
N
N
N
N
VIPER ENERGY PARTNERS LP
5299009LINL232255G03
VIPER ENERGY PARTNERS LP 5.375% 11/01/2027 144A
92763MAA3
300000.00000000
PA
USD
304890.00000000
0.000658960624
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
0.05375000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/45#MA3174
36179RQ36
28320.86000000
PA
USD
30255.53000000
0.000065391462
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/42 #AB7276
31417ECN9
566392.98000000
PA
USD
595436.93000000
0.001286921483
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GRP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 3ML+176.2 03/22/2025
780097BK6
1735000.00000000
PA
USD
1870508.67000000
0.004042741844
Long
DBT
CORP
GB
N
2
2025-03-22
Variable
0.04269000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2028#AU2696
3138X17J9
254735.60250000
PA
USD
261894.08000000
0.000566033279
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG MLT CTF GT A2 3.92% 09/25/2028
3137FJKE8
10200000.00000000
PA
USD
11956032.00000000
0.025840645189
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Fixed
0.03920000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2043#AU3742
3138X3EQ1
30590.73530000
PA
USD
32799.81000000
0.000070890430
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2018-C46
N/A
WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051
95001QAV3
13100886.47000000
PA
USD
748487.71000000
0.001617711071
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Variable
0.00944130
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 4.55% 06/24/2024
969457BW9
12246000.00000000
PA
USD
13416927.13000000
0.028998086781
Long
DBT
CORP
US
N
2
2024-06-24
Fixed
0.04550000
N
N
N
N
N
N
HOWARD HUGHES CORP
549300BVHY25JZC1KI49
HOWARD HUGHES CORP 5.375% 03/15/2025 144A
44267DAB3
400000.00000000
PA
USD
404880.00000000
0.000875069623
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 6/39 #AA7681
31416RRB1
416330.74430000
PA
USD
461370.78000000
0.000997163492
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE6932
31419HV25
44433.84850000
PA
USD
49157.54000000
0.000106244492
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2049#ZN3940
3131YALV0
725638.61400000
PA
USD
753549.36000000
0.001628650847
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
0.03500000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+98.535 05/15/2036 144A
12653VAA4
15700000.00000000
PA
USD
15699982.73000000
0.033932468832
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.02638500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.0% 06/01/2033#C91709
3128P73S0
690116.44700000
PA
USD
721517.02000000
0.001559419154
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2015-GC33
N/A
CGCMT 2015-GC33 XA CSTR 09/58
29425AAK9
18937622.44000000
PA
USD
806551.45000000
0.001743204588
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Variable
0.00894245
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/46#AS8573
3138WJQ35
857453.54810000
PA
USD
904635.96000000
0.001955195240
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN 4.125 9/27/22 144A
034863AG5
1333000.00000000
PA
USD
1403177.40000000
0.003032695908
Long
DBT
CORP
GB
N
2
2022-09-27
Fixed
0.04125000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.287% 11/05/2032 144A
05492PAQ1
6500000.00000000
PA
USD
6859360.95000000
0.014825178832
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03287000
N
N
N
N
N
N
CENTURYLINK INC
8M3THTGWLTYZVE6BBY25
CENTURYLINK INC 4% 02/15/2027 144A
156700BC9
165000.00000000
PA
USD
165808.50000000
0.000358362926
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.04000000
N
N
N
N
N
N
AVOLON HLDGS FDG LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 3.95% 07/01/2024 144A
05401AAF8
2862000.00000000
PA
USD
2977379.33000000
0.006435028181
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2042#AQ9054
3138MRBY6
304091.71390000
PA
USD
322630.27000000
0.000697302778
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 03/20/2049#MA5818
36179UPB2
552797.61900000
PA
USD
582134.53000000
0.001258170925
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
0.04500000
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 4.464% 07/23/2022
161175BB9
11002000.00000000
PA
USD
11675265.30000000
0.025233822400
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
0.04464000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 2007 3
N/A
BAYC 2007-3 M3 1ML+37 7/37
07325YAE8
34796.88980000
PA
USD
32091.64000000
0.000069359858
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.01996750
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 08/20/2048#MA5398
36179T7K5
45303729.94430000
PA
USD
47701293.94000000
0.103097098749
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
0.04000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
GILEAD SCIENCES 4.4% 12/01/21
375558AU7
1120000.00000000
PA
USD
1171033.05000000
0.002530960903
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
0.04400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q02020
3132GFG50
32268.21660000
PA
USD
36169.47000000
0.000078173297
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 11/15/2042#AA5821
36178DPE5
426082.84370000
PA
USD
445128.24000000
0.000962058391
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #783281
36241LUE4
28947.28470000
PA
USD
31912.57000000
0.000068972832
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/42#G07184
3128M9J52
544497.27500000
PA
USD
592422.56000000
0.001280406507
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.905 10/28/2024
N/A
15700000.00000000
NC
USD
229660.07000000
0.000496365715
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 10/29 1.905V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-10-30
0.00000000
USD
0.00000000
USD
15700000.00000000
USD
1.00000000
1.90500000
USD
2024-10-28
XXXX
-199734.93000000
N
N
N
ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC
N/A
ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORLDWIDE INC 3.65% 02/01/2026
03522AAG5
5100000.00000000
PA
USD
5558835.58000000
0.012014345385
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
0.03650000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST 2019-4
N/A
CARMAX AUTO OWNER TR 2019-4 2.01% 03/15/2023
14315WAB6
4300000.00000000
PA
USD
4324076.13000000
0.009345652223
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
0.02010000
N
N
N
N
N
N
BAIRD FDS INC
5493001CJOVRFMYFIJ62
Baird Core Plus Bond Inst
057071870
60696065.89700000
NS
USD
722890144.83000000
1.562386897525
Long
EC
RF
US
N
1
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027
3136A8PY0
675658.87790000
PA
USD
50007.20000000
0.000108080867
Long
ABS-CBDO
USGSE
US
N
2
2027-09-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2.5% 03/01/2035#TBA
01F022436
97150000.00000000
PA
USD
99716129.82000000
0.215517082114
Long
ABS-MBS
USGA
US
N
2
2035-03-01
Fixed
0.02500000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
FIFTH THIRD BANK 8.25 3/1/38
316773CH1
603000.00000000
PA
USD
1005815.49000000
0.002173875178
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
0.08250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2047#Q51124
3132XTHA9
34392.85000000
PA
USD
37086.84000000
0.000080156014
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2035#310165
31374CQS8
2645026.32000000
PA
USD
2962149.63000000
0.006402112137
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/42#AQ6804
3138MNR28
50893.52860000
PA
USD
54584.64000000
0.000117974116
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
AASET 2019-1 TRUST
549300TXM3PCKZJKD061
AASET 2019-1 TRUST 3.844% 05/15/2039 144A
00256DAA0
5235175.11000000
PA
USD
5352273.94000000
0.011567902447
Long
ABS-CBDO
CORP
US
N
2
2039-05-15
Fixed
0.03844000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/47#BH4269
3140GSW73
102431.44600000
PA
USD
110466.71000000
0.000238752376
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2048#Q54740
3132XXHS1
443054.76900000
PA
USD
465442.28000000
0.001005963250
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
DUQUESNE LIGHT HLDGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LT HLD 5.9% 12/21 144
266233AD7
8875000.00000000
PA
USD
9468081.55000000
0.020463422643
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
0.05900000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036
31397CDM8
562159.89800000
PA
USD
650135.84000000
0.001405142572
Long
ABS-CBDO
USGSE
US
N
2
2036-11-15
Fixed
0.05500000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 7% 4/15/20
25466AAB7
3143000.00000000
PA
USD
3162664.97000000
0.006835487170
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
0.07000000
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 5.75% 04/01/2048
161175BN3
14203000.00000000
PA
USD
16937336.70000000
0.036606769546
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
0.05750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2042#Q10047
3132HLBQ5
1142175.86220000
PA
USD
1219877.97000000
0.002636529727
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC 4.375% 1/12/26
06738EAN5
1440000.00000000
PA
USD
1588968.00000000
0.003434246270
Long
DBT
CORP
GB
N
2
2026-01-12
Fixed
0.04375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.375% 05/15/2027
912828X88
87359000.00000000
PA
USD
95381695.88000000
0.206149043492
Long
DBT
UST
US
N
2
2027-05-15
Fixed
0.02375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.375% 01/31/2025
912828Z52
2125000.00000000
PA
USD
2171235.35000000
0.004692704260
Long
DBT
UST
US
N
2
2025-01-31
Fixed
0.01375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7457
31417EJB8
498281.27050000
PA
USD
528036.78000000
0.001141249126
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
RY1052DWLDPLDW74Y843
ENERGY TRANSFER PARTNERS MLP 5.3% 04/15/2047
29273RBL2
560000.00000000
PA
USD
580810.52000000
0.001255309334
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
0.05300000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLMC 6.75% 9/15/29
3134A3U46
255000.00000000
PA
USD
376840.11000000
0.000814466837
Long
DBT
USGSE
US
N
2
2029-09-15
Fixed
0.06750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #766918
36176HYP3
551376.24490000
PA
USD
586261.60000000
0.001267090786
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
CISCO SYSTEMS INC
8E6NF1YAL0WT6CWXXV93
CISCO SYSTEMS INC 3.0% 06/15/2022
17275RAV4
310000.00000000
PA
USD
323105.85000000
0.000698330652
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.03000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORPORATION 3.666% 01/25/2022 144A
35137LAA3
986000.00000000
PA
USD
1026702.69000000
0.002219018812
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
0.03666000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2049#CA4557
3140QCB39
3163560.34800000
PA
USD
3360377.14000000
0.007262803694
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/39 #723339
3620A9S44
72579.47550000
PA
USD
81050.52000000
0.000175174985
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 2.5675 04/04/2022
N/A
3000000.00000000
NC
USD
298326.57000000
0.000644775042
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 4/29 3MLV2.5675
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-04-06
0.00000000
USD
0.00000000
USD
3000000.00000000
USD
1.00000000
2.56750000
USD
2022-04-04
XXXX
214814.07000000
N
N
N
MORGAN STANLEY CAP I TR 2015-UBS8
N/A
MSC TR 2015-UBS8 3.54% 12/15/2048
61691ABK8
3000000.00000000
PA
USD
3270195.90000000
0.007067894427
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Fixed
0.03540000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
VALERO ENERGY CORP NEW 4% 04/01/2029
91913YAW0
820000.00000000
PA
USD
891421.34000000
0.001926634401
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
0.04000000
N
N
N
N
N
N
SAPPHIRE AVIATION FINANCE
N/A
SAPPHIRE AVIATION FINANCE 4.335% 03/15/2040 144A
80307AAB5
712000.00000000
PA
USD
707661.78000000
0.001529473739
Long
ABS-CBDO
CORP
US
N
2
2040-03-15
Fixed
0.04335000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719228
3620A5A58
100553.77870000
PA
USD
110854.25000000
0.000239589969
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BC3883
3140EYJ51
881636.13600000
PA
USD
946939.19000000
0.002046625471
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #783550
36241L5K8
5014326.67650000
PA
USD
5331581.12000000
0.011523178929
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
MADISON PARK FUNDING XXXIII LTD
N/A
MADISON PARK FUNDING XXXIII LTD 2019-33A A 3ML+133 10/15/2032 144A
55819JAA1
3846000.00000000
PA
USD
3847538.40000000
0.008315708309
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.03174050
N
N
N
N
N
N
GLAXOSMITHKLINE CAP PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE CAP PLC 2.85% 05/08/2022
377373AD7
710000.00000000
PA
USD
731588.15000000
0.001581185949
Long
DBT
CORP
GB
N
2
2022-05-08
Fixed
0.02850000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 12/36 #003929
36202ELJ6
64946.09850000
PA
USD
72337.86000000
0.000156344259
Long
ABS-MBS
USGA
US
N
2
2036-12-20
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 08/01/2031#V61273
3132KFMW9
1731405.51100000
PA
USD
1791595.23000000
0.003872185743
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
DOMINION ENERGY SOUTH CAROLINA INC
3QRVFYR22IUIEOORTK28
SOUTH CAROLINA ELEC and GAS CO 5.1% 06/01/2065
837004CJ7
470000.00000000
PA
USD
677313.78000000
0.001463882421
Long
DBT
CORP
US
N
2
2065-06-01
Fixed
0.05100000
N
N
N
N
N
N
SUNOCO LOGISTICS PRTNR OPER LP
5493006LL0CKP8WQW329
SUNOCO LOGISTICS PRTNR OPER LP 5.35% 05/15/2045
86765BAQ2
850000.00000000
PA
USD
877552.38000000
0.001896659333
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 12/39 #728451
3620AFH42
86210.63170000
PA
USD
96272.63000000
0.000208074624
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.05000000
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029
72650RBM3
2689000.00000000
PA
USD
2645373.53000000
0.005717462012
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.03550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7741
31417ES77
2265251.95550000
PA
USD
2381411.36000000
0.005146958957
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/01/2047#G08792
3128MJ3A6
4323352.64180000
PA
USD
4547215.41000000
0.009827924516
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
BAYVIEW COML ASSET TR
N/A
BAYC 2005-4A A2 1ML+39 1/36
07324SCS9
60757.06030000
PA
USD
58700.68000000
0.000126870139
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
0.02016750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/01/2042#Q11244
3132HMLZ2
1022610.60980000
PA
USD
1091220.01000000
0.002358460491
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 8/35 #357953
31376KTJ5
55387.79320000
PA
USD
65174.83000000
0.000140862759
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.06000000
N
N
N
N
N
N
TEVA PHARMACEUTICAL FIN NETH III B V
5493004T21MOAFINJP35
TEVA PHARMACEUTICAL FIN NETH III B V 2.2% 07/21/2021
88167AAC5
1013000.00000000
PA
USD
982711.30000000
0.002123939951
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
0.02200000
N
N
N
N
N
N
MACK-CALI REALTY LP
549300MJC9VNA6VSEE11
MACK CALI RLTY 3.15% 5/15/23
55448QAS5
3436000.00000000
PA
USD
3462455.14000000
0.007483425500
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.03150000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22682
3132JP6T4
53644.89120000
PA
USD
58131.88000000
0.000125640788
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13381
3132HPXJ8
61966.94280000
PA
USD
67068.68000000
0.000144955948
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34653
31307RE27
417079.06830000
PA
USD
438848.18000000
0.000948485259
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
NEW RESIDENTIAL MTG LN TR 2020-1
N/A
NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A
64830TAD0
4219128.73000000
PA
USD
4420232.24000000
0.009553475013
Long
ABS-CBDO
CORP
US
N
2
2059-10-25
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 05/01/2042#AO2961
3138LTJF6
8805.56510000
PA
USD
9547.85000000
0.000020635826
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.04000000
N
N
N
N
N
N
WILLIAMS PARTNERS LP
N/A
WILLIAMS PARTNERS LP 4% 11/15/2021
96950FAH7
1643000.00000000
PA
USD
1701266.86000000
0.003676958484
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/01/2050 #TBA
21H032639
254075000.00000000
PA
USD
263222157.34000000
0.568903660822
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
0.03500000
N
N
N
N
N
N
RETAIL OPPTY INVTS PRTNRSHP LP
549300KH0PNTJK9NTE57
RETAIL OPPTY INVTS PRTNRSHP LP 4.0% 12/15/2024
76132FAB3
877000.00000000
PA
USD
937477.12000000
0.002026175041
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
0.04000000
N
N
N
N
N
N
AMEREN ILL CO
RC71E2BZ6UOMFPDJSE79
AMEREN ILL CO 4.5% 03/15/2049
02361DAT7
600000.00000000
PA
USD
797179.66000000
0.001722949281
Long
DBT
CORP
US
N
2
2049-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/42 #MA0462
36179MQP8
8720104.81860000
PA
USD
9272394.40000000
0.020040482807
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 03/01/2033#ZS8690
3132A9UP0
859775.69700000
PA
USD
891644.74000000
0.001927117237
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2047#BM2005
3140J6GP6
787506.41900000
PA
USD
840177.05000000
0.001815879804
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2047#BE3702
3140FPDG1
473779.95300000
PA
USD
505467.68000000
0.001092470392
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 5.45% 01/23/2039
03523TBU1
5390000.00000000
PA
USD
7020582.58000000
0.015173628129
Long
DBT
CORP
US
N
2
2039-01-23
Fixed
0.05450000
N
N
N
N
N
N
EL PASO PIPELINE PARTNERS OPER CO L L C
N/A
EL PASO PIPELINE PRT OP CO LLC 5% 10/01/2021
28370TAE9
1212000.00000000
PA
USD
1262934.30000000
0.002729587637
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
0.05000000
N
N
N
N
N
N
CONCHO RES INC
SYHS7HRDXLL4I0IQ8776
CONCHO RES INC 4.875% 10/01/2047
20605PAJ0
185000.00000000
PA
USD
206012.02000000
0.000445255040
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2042#AJ6217
3138AX4B4
145713.11840000
PA
USD
158201.20000000
0.000341921222
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13121
3132HPPE8
341032.03500000
PA
USD
370196.24000000
0.000800107400
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 11/20/2046#MA4070
36179SQX8
1317273.59880000
PA
USD
1398203.73000000
0.003021946285
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 2/36 #003817
36202EG29
53350.52930000
PA
USD
59287.03000000
0.000128137421
Long
ABS-MBS
USGA
US
N
2
2036-02-20
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 04/01/2043#G08528
3128MJSS0
282482.89480000
PA
USD
297281.75000000
0.000642516867
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#AL9489
3138ERRK8
629429.49700000
PA
USD
669965.51000000
0.001448000560
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTB 7.25% 8/15/22
912810EM6
7335000.00000000
PA
USD
8462469.74000000
0.018289987679
Long
DBT
UST
US
N
2
2022-08-15
Fixed
0.07250000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP 2.4% 08/08/2026
594918BR4
1815000.00000000
PA
USD
1908744.33000000
0.004125380810
Long
DBT
CORP
US
N
2
2026-08-08
Fixed
0.02400000
N
N
N
N
N
N
JPMBB COML MTG SECS TR 2014-C19
N/A
JPMBB COML MTG SES TR 2014-C19 VAR 04/15/2047
46641WAX5
3492437.56820000
PA
USD
71709.52000000
0.000154986224
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Variable
0.00750493
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/46#AS6520
3138WGG65
1273998.19070000
PA
USD
1347286.47000000
0.002911898499
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.4% 05/01/2026
172967KN0
1045000.00000000
PA
USD
1129904.18000000
0.002442068824
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.03400000
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS ALL AM PIPELN/PAA FIN C 3.6% 11/01/2024
72650RBF8
1877000.00000000
PA
USD
1945071.75000000
0.004203895486
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.03600000
N
N
N
N
N
N
TOLEDO HOSP
5493009DCR7NWV6K4T34
TOLEDO HOSP 5.325% 11/15/2028
889184AC1
2792000.00000000
PA
USD
3252376.51000000
0.007029381270
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.05325000
N
N
N
N
N
N
RADIATE HOLDCO LLC / RADIATE FIN INC
N/A
RADIATE HOLDCO LLC / RADIATE FIN INC 6.625% 02/15/2025 144A
75026JAA8
150000.00000000
PA
USD
150375.00000000
0.000325006408
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.06625000
N
N
N
N
N
N
BWX TECHNOLOGIES INC
549300NP85N265KWMS58
BWX TECHNOLOGIES INC 5.375% 07/15/2026 144A
05605HAA8
700000.00000000
PA
USD
732763.50000000
0.001583726240
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.05375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17578
3132J82L3
163938.89920000
PA
USD
175911.34000000
0.000380198256
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 1.92 01/08/25
N/A
-18000000.00000000
NC
USD
-271693.08000000
-0.00058721191
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 01/10/30 3MLV1.92%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-01-10
0.00000000
USD
0.00000000
USD
-18000000.00000000
USD
1.00000000
1.92000000
USD
2025-01-08
XXXX
230506.92000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 04/01/2050 #TBA
21H022648
40300000.00000000
PA
USD
41329584.40000000
0.089325883896
Long
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 03/15/2043#758871
36230T2C5
585367.62070000
PA
USD
621306.03000000
0.001342832527
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 07/01/2043#Q20416
3132JMN96
119709.81670000
PA
USD
125981.23000000
0.000272284003
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC 4.9% 03/15/2049
571748BJ0
4960000.00000000
PA
USD
6650254.07000000
0.014373234852
Long
DBT
CORP
US
N
2
2049-03-15
Fixed
0.04900000
N
N
N
N
N
N
PPL ELEC UTILS CORP
N/A
PPL ELEC UTILS CORP 4.15% 10/01/2045
69351UAT0
730000.00000000
PA
USD
890345.38000000
0.001924308922
Long
DBT
CORP
US
N
2
2045-10-01
Fixed
0.04150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE3874
31419EJU4
45820.95840000
PA
USD
50692.11000000
0.000109561167
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
ONEOK PARTNERS LP
T4DHW82NMF6BXJT50795
ONEOK PARTNERS 3.375% 10/1/22
68268NAJ2
1065000.00000000
PA
USD
1101711.40000000
0.002381135596
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
0.03375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2033#K90513
3132J2SA2
1119145.12770000
PA
USD
1183360.89000000
0.002557605139
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#CA3925
3140QBLF3
3725846.52700000
PA
USD
3972277.74000000
0.008585308208
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 2.605 04/29/22
N/A
5300000.00000000
NC
USD
13983.04000000
0.000030221629
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM FSWP IRS 5/4/29 2.605V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2029-05-04
0.00000000
USD
0.00000000
USD
5300000.00000000
USD
1.00000000
2.60500000
USD
2022-04-29
XXXX
-131766.96000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.0% 08/20/2045#MA3037
36179RLS6
1165453.68500000
PA
USD
1274364.98000000
0.002754292836
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE5530
3140FREC5
389823.01480000
PA
USD
414928.08000000
0.000896786600
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 04/01/2043#AB8897
31417F3F3
1593772.28610000
PA
USD
1676495.12000000
0.003623419170
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNMA 6.25% 5/15/29
31359MEU3
255000.00000000
PA
USD
361487.13000000
0.000781284348
Long
DBT
USGSE
US
N
2
2029-05-15
Fixed
0.06250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2044#AS3179
3138WCQ97
32542.10230000
PA
USD
35574.48000000
0.000076887341
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FHR 3980 EP 5% 1/42
3137AKL66
3424193.38870000
PA
USD
3844402.53000000
0.008308930734
Long
ABS-CBDO
USGSE
US
N
2
2042-01-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q34164
3132QQTW2
1562350.62730000
PA
USD
1666684.25000000
0.003602214877
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
TANGER PPTYS LTD PARTNERSHIP
PQPGJDNFN35EXH363L31
TANGER PPTYS LTD PARTNERSHIP 3.125% 09/01/2026
875484AJ6
3497000.00000000
PA
USD
3597958.63000000
0.007776290023
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.03125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 6/35 #828385
31407EJ61
83242.28660000
PA
USD
97811.38000000
0.000211400334
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19606
3132JBDL4
206460.46820000
PA
USD
223729.34000000
0.000483547592
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/41 #AI7910
3138AMYG4
91120.46620000
PA
USD
100721.90000000
0.000217690859
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2041#AH3933
3138A5LP5
548806.00760000
PA
USD
596440.72000000
0.001289090981
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2045#MA3105
36179RNW5
4211574.32800000
PA
USD
4470418.53000000
0.009661942948
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #778681
36176W2N0
171116.28380000
PA
USD
185438.36000000
0.000400789063
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 2/36 #745578
31403DJX8
1791.55880000
PA
USD
2117.56000000
0.000004576695
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 12/33 #745944
31403DWD7
63312.64000000
PA
USD
70576.92000000
0.000152538329
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
0.05000000
N
N
N
N
N
N
NUANCE COMMUNICATIONS INC
AEMSOT3SS15TNMJCE605
NUANCE COMMUNICATIONS INC 5.625% 12/15/2026
67020YAQ3
600000.00000000
PA
USD
633000.00000000
0.001368106776
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.05625000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.5% 9/13/25
172967HB0
8267000.00000000
PA
USD
9679642.06000000
0.020920669669
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
0.05500000
N
N
N
N
N
N
SILVERSTONE MASTER ISSUER PLC
549300P6OXWKM20QS303
SILVERSTONE MASTER ISSUER PLC STEP 01/21/2070 144A
82846GAV2
4161540.01400000
PA
USD
4165056.52000000
0.009001962166
Long
ABS-CBDO
CORP
GB
N
2
2070-01-21
Variable
0.02389130
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/45#Q34074
3132QQQ47
15408.84700000
PA
USD
16510.08000000
0.000035683337
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
JOHNSON CONTROLS INTERNATIONAL PLC
549300XQ6S1GYKGBL205
JOHNSON CTLS INTL PLC STEP 07/02/2064
478375AN8
197000.00000000
PA
USD
237348.05000000
0.000512981794
Long
DBT
CORP
IE
N
2
2064-07-02
Variable
0.04950000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AT2645
36194A5E3
85567.25460000
PA
USD
91628.43000000
0.000198037086
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #768770
36176K2B2
45857.18620000
PA
USD
49724.00000000
0.000107468785
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 2007 3
N/A
BAYC 2007-3 M5 1ML+60 7/37
07325YAG3
22422.54220000
PA
USD
27195.54000000
0.000058777887
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.02226750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.25% 6/36 #886983
31410EM88
6428.42070000
PA
USD
6703.00000000
0.000014487234
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.04345000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
AMGEN INC 2.6% 08/19/2026
031162CJ7
4225000.00000000
PA
USD
4469219.24000000
0.009659350916
Long
DBT
CORP
US
N
2
2026-08-19
Fixed
0.02600000
N
N
N
N
N
N
MPH ACQUISITION HLDGS LLC
5493002WXOPRPTXWTU06
MPH ACQUISITION HLDGS LLC 7.125% 06/01/2024 144A
553283AB8
385000.00000000
PA
USD
358134.70000000
0.000774038720
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
0.07125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/46#MA3521
36179R4E6
3807263.57010000
PA
USD
4031740.59000000
0.008713825630
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2044#BF9583
3617GGUG8
512320.62000000
PA
USD
538044.34000000
0.001162878527
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/39 #930854
31412PE31
66371.83220000
PA
USD
73552.16000000
0.000158968733
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 09/20/2042 #MA0391
36179MNG1
904182.77450000
PA
USD
949928.09000000
0.002053085398
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
0.03000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
INTERCONTINENTAL EXCHANGE INC 3.75% 12/01/25
45866FAD6
3162000.00000000
PA
USD
3485737.26000000
0.007533745289
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
0.03750000
N
N
N
N
N
N
CENTERPOINT ENER HOUS ELEC LLC
549300S8SEQBOJLKHW63
CENTERPOINT ENER HOUS ELEC LLC 3.95% 03/01/2048
15189XAS7
1235000.00000000
PA
USD
1474502.18000000
0.003186850592
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2041#AI4778
3138AJJY9
302836.89880000
PA
USD
336445.68000000
0.000727162108
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
MILOS CLO LTD
254900GFWI4EEB8IJS18
MILOS CLO LTD 3ML+107 10/20/2030 144A
60162PAE2
8191000.00000000
PA
USD
8191000.00000000
0.017703258467
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Variable
0.00000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 4.125% 05/15/2045
68389XBF1
1695000.00000000
PA
USD
2064116.71000000
0.004461188087
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
0.04125000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.95% 07/01/2024
674599DB8
975000.00000000
PA
USD
1145008.68000000
0.002474714272
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
0.06950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 07/01/2033#C91714
3128P73X9
3127688.21400000
PA
USD
3269999.28000000
0.007067469471
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 4.125% 01/15/2026
92277GAG2
1628000.00000000
PA
USD
1806926.32000000
0.003905320922
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.04125000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.125% 09/15/2020 144A
125523CG3
1049000.00000000
PA
USD
1063262.66000000
0.002298036099
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
0.04125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#738107
3620ASAG4
47771.90260000
PA
USD
51800.17000000
0.000111956024
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
LANARK MASTER ISSUER PLC
213800KIOPB5OYXIVY33
LANARK MASTER ISSUER PLC 2020-1A 1A 12/22/2069 144A
513770BE6
6383000.00000000
PA
USD
6442821.48000000
0.013924909525
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.02277000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.00% 10/38 #782431
36241KVY1
31671.09980000
PA
USD
35379.07000000
0.000076465000
Long
ABS-MBS
USGA
US
N
2
2038-10-20
Fixed
0.05000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST 2018-C11
N/A
UBS COMMERCIAL MORTGAGE TRUST 2018-C11 A3 4.3124% 07/15/2051
90276XAT2
4100000.00000000
PA
USD
4603357.82000000
0.009949265450
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Fixed
0.04312400
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A97152
3129455M6
129513.45920000
PA
USD
143305.85000000
0.000309727811
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.5% 11/01/2030#AE6799
31419HRV6
6138.72870000
PA
USD
6664.72000000
0.000014404500
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 10/01/2045#BA4574
3140E9CL8
539886.12050000
PA
USD
581900.22000000
0.001257664509
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q11868
3132HNCD9
47071.50570000
PA
USD
51096.94000000
0.000110436129
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2049#QA1057
31334XE62
533654.24600000
PA
USD
555347.93000000
0.001200276882
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2041#Q04636
3132GKY91
21942.35980000
PA
USD
23914.81000000
0.000051687225
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 4.875% 01/01/2026 144A
88033GCY4
160000.00000000
PA
USD
163000.00000000
0.000352292898
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
0.04875000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNMA 13-149 MA 2.5% 5/20/40
38378UQY6
2897798.57600000
PA
USD
3005132.46000000
0.006495011191
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
Fixed
0.02500000
N
N
N
N
N
N
PRUDENTIAL FINL INC
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FINL INC 5.375% 05/15/2045
744320AV4
5278000.00000000
PA
USD
5762942.64000000
0.012455483224
Long
DBT
CORP
US
N
2
2045-05-15
Variable
0.05375000
N
N
N
N
N
N
BERRY GLOBAL ESCROW CORP
N/A
BERRY GLOBAL ESCROW CORP 4.875% 07/15/2026 144A
085770AA3
200000.00000000
PA
USD
203440.00000000
0.000439696118
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.04875000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2018-BOP
N/A
MORGAN STANLEY CAP I TR 2018-BOP A 1ML+85 06/15/2035 144A
61768FAA8
7150000.00000000
PA
USD
7141393.55000000
0.015434737618
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.02508500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 9/40 #004800
36202FKM7
195279.61280000
PA
USD
210572.47000000
0.000455111569
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 04/01/2050 #TBA
01F032641
-8500000.00000000
PA
USD
-8821888.20000000
-0.01906680099
Short
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.03500000
N
N
N
N
N
N
OLIN CORP
549300GKK294V7W57P06
OLIN CORP 5.125% 09/15/2027
680665AJ5
700000.00000000
PA
USD
705390.00000000
0.001524563727
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
0.05125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2045#MA2962
36179RJF7
1058040.86660000
PA
USD
1132963.49000000
0.002448680930
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2048#BM2007
3140J6GR2
8629130.70500000
PA
USD
9160428.87000000
0.019798491021
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 4/41 #005017
36202FSE7
1177103.88460000
PA
USD
1288496.05000000
0.002784834404
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 08/47#MA4654
36179TE35
1000011.01640000
PA
USD
1064644.13000000
0.002301021878
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2047#BE7087
3140FS2V4
137610.50360000
PA
USD
149659.45000000
0.000323459885
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/34 #725228
31402CVV1
113121.18850000
PA
USD
131127.12000000
0.000283405847
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 03/01/2033#G18681
3128MMXK4
4188509.94800000
PA
USD
4345607.13000000
0.009392187305
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #794582
36177PCU7
106572.35330000
PA
USD
113315.14000000
0.000244908706
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/01/2050 #TBA
21H032647
125850000.00000000
PA
USD
130272671.04000000
0.281559121803
Long
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2048#G08824
3128MJ4J6
6630195.50280000
PA
USD
7010719.00000000
0.015152309913
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2039#AW8233
3138XYEF7
216904.59550000
PA
USD
234394.22000000
0.000506597663
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2047#MA3073
31418CMX9
1316108.22750000
PA
USD
1420651.05000000
0.003070461815
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/01/2043#G60065
31335ACA4
316976.83860000
PA
USD
345668.79000000
0.000747096072
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 11/20/2043#AG0445
36181TP62
9528.06400000
PA
USD
10134.29000000
0.000021903303
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2039#AV6645
3138XJL39
548819.14540000
PA
USD
593414.98000000
0.001282551430
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04000000
N
N
N
N
N
N
CITGO HLDG INC
549300NYHOALWZ2BSL72
CITGO HLDG INC 9.25% 08/01/2024 144A
17302WAB4
260000.00000000
PA
USD
270400.00000000
0.000584417176
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
0.09250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS6967
36193SW47
153302.71720000
PA
USD
164161.95000000
0.000354804227
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
COMM 2013-CCRE7 MTG TR
549300FVY7JUBJ0PIH53
COMM MTG TR 2013-CC7 AM 3.314% 03/10/2046
12625FAS5
1700000.00000000
PA
USD
1776497.11000000
0.003839554084
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Fixed
0.03314000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H27 FA 1ML+38 12/60
38375BJK9
1052218.50060000
PA
USD
1049845.64000000
0.002269037811
Long
ABS-CBDO
USGA
US
N
2
2060-12-20
Variable
0.02114380
N
N
N
N
N
N
COMM 2014-UBS6 MTG TR
N/A
COMM 2014-UBS6 XA CSTR 12/47
12592PBG7
11077262.20130000
PA
USD
380085.24000000
0.000821480557
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Variable
0.00892030
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2044#MA1749
31418A5K0
15450.77520000
PA
USD
16252.73000000
0.000035127124
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#G08567
3128MJTZ3
585788.53190000
PA
USD
634053.11000000
0.001370382870
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.584% 03/18/2024
345397ZQ9
8575000.00000000
PA
USD
9174834.11000000
0.019829625155
Long
DBT
CORP
US
N
2
2024-03-18
Fixed
0.05584000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2047#BJ4279
3140H5XH9
201412.87000000
PA
USD
217086.88000000
0.000469191203
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.3% 11/20/2026
172967JC6
2129000.00000000
PA
USD
2357007.23000000
0.005094214162
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
0.04300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2048#BK3214
3140HGSC2
27947.56900000
PA
USD
30104.99000000
0.000065066099
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
UNITED TECHNOLOGIES CORP
I07WOS4YJ0N7YRFE7309
UNITED TECHNOLOGIES CORP 4.125% 11/16/2028
913017CY3
490000.00000000
PA
USD
573513.64000000
0.001239538542
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
0.04125000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV2.0 MAC 03/18/27
N/A
12810000.00000000
NC
USD
577821.18000000
0.001248848455
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-03-18
0.00000000
USD
0.00000000
USD
13098225.00000000
USD
577821.18000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.125% 02/28/2027
912828ZB9
953000.00000000
PA
USD
957988.36000000
0.002070506109
Long
DBT
UST
US
N
2
2027-02-28
Fixed
0.01125000
N
N
N
N
N
N
CORPOARATE OFFICE PPTYS LP
H0TWO5VRNEP6CQAWPX27
CORPORATE OFFICE PPTYS LP 5.0% 07/01/2025
22003BAK2
3453000.00000000
PA
USD
3858567.90000000
0.008339546434
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/48#G08817
3128MJ4B3
2120975.56690000
PA
USD
2252645.73000000
0.004868657013
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.04000000
N
N
N
N
N
N
MPT OPER PARTNERSHIP LP / MPT FIN CORP
N/A
MPT OPER PARTNERSHIP LP/CORP 6.375% 03/01/2024
55342UAF1
1600000.00000000
PA
USD
1650000.00000000
0.003566155105
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
0.06375000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP 4.1% 02/06/2037
594918BZ6
1930000.00000000
PA
USD
2393774.62000000
0.005173679747
Long
DBT
CORP
US
N
2
2037-02-06
Fixed
0.04100000
N
N
N
N
N
N
MARRIOTT INTL INC
N/A
MARRIOTT INTL INC 3.6% 04/15/2024
571900BB4
660000.00000000
PA
USD
706718.40000000
0.001527434806
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
0.03600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 7/38 #889733
31410KPS7
16458.93670000
PA
USD
19543.76000000
0.000042240048
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/44#AV8070
3138XK6G4
30443.83050000
PA
USD
32632.78000000
0.000070529427
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 02/01/2045#Q31307
3132QMNZ0
23497.29500000
PA
USD
25176.59000000
0.000054414318
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#AS8226
3138WJD88
113123.82800000
PA
USD
116550.25000000
0.000251900769
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A
61771LAE2
1558000.00000000
PA
USD
1617536.32000000
0.003495991155
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03177090
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2041#Q04673
3132GK2E5
468884.75890000
PA
USD
513231.88000000
0.001109251205
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2041#890362
31410LFB3
11099.59780000
PA
USD
12328.14000000
0.000026644884
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745236
3620C04V7
313376.92870000
PA
USD
345478.45000000
0.000746684689
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 2.85% 8/09/22
02209SAN3
1570000.00000000
PA
USD
1612978.72000000
0.003486140786
Long
DBT
CORP
US
N
2
2022-08-09
Fixed
0.02850000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 12/20/44#MA2446
36179QWF4
211906.23910000
PA
USD
227441.64000000
0.000491571009
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 2/41 #AH5581
3138A7FX1
1060023.83980000
PA
USD
1172381.91000000
0.002533876202
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
IPALCO ENTERPRISES INC 3.7% 09/01/2024
462613AM2
2644000.00000000
PA
USD
2785108.91000000
0.006019472945
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.03700000
N
N
N
N
N
N
2020-03-30
Stacie M. Smith
Stacie M. Smith
Stacie M. Smith
President and Treasurer