0001752724-21-082110.txt : 20210423
0001752724-21-082110.hdr.sgml : 20210423
20210423134317
ACCESSION NUMBER: 0001752724-21-082110
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210228
FILED AS OF DATE: 20210423
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: 21848737
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
2021-02-28
N
45274485091.98
3841378416.05
41433106675.93
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2445470410.57000000
0.00000000
0.00000000
17113666.07000000
USD
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 1.992%/VAR 01/27/2032
38141GXR0
1180000.00000000
PA
USD
1153559.36000000
0.002784148842
Long
DBT
CORP
US
N
2
2032-01-27
Variable
0.01992000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 02/20/2050#BQ4127
3617LNSQ8
2241530.63000000
PA
USD
2371632.88000000
0.005724004474
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 30YR 4.5% 08/01/2041#890362
31410LFB3
8795.85780000
PA
USD
9962.81000000
0.000024045529
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
MARKEL CORP
549300SCNO12JLWIK605
MARKEL CORP 4.3% 11/01/2047
570535AS3
525000.00000000
PA
USD
623676.69000000
0.001505261709
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
0.04300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2040#MA4093
31418DRP9
4003958.85970000
PA
USD
4088596.54000000
0.009867945872
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2047#CA0855
3140Q75R4
840434.33000000
PA
USD
905419.82000000
0.002185256893
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
NORTHERN STATES POWER CO (MN)
3S1GHB0TEH85KX44SB51
NORTHERN STATES POWER CO (MN) 3.6% 09/15/2047
665772CQ0
20000.00000000
PA
USD
22408.62000000
0.000054083851
Long
DBT
CORP
US
N
2
2047-09-15
Fixed
0.03600000
N
N
N
N
N
N
CITIZENS FINANCIAL GRP INC
2138004JDDA4ZQUPFW65
CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032 144A
174610AV7
9574000.00000000
PA
USD
9566107.48000000
0.023088076775
Long
DBT
CORP
US
N
2
2032-09-30
Fixed
0.02638000
N
N
N
N
N
N
CYRUSONE LP/CYRUSONE FIN CORP
N/A
CYRUSONE LP/CYRUSONE FIN CORP 2.9% 11/15/2024
23283PAQ7
4000000.00000000
PA
USD
4238960.00000000
0.010230852427
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
0.02900000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2046#AS9175
36193VFQ0
132964.46220000
PA
USD
145667.30000000
0.000351572237
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90632
3132J2VZ3
1257637.89100000
PA
USD
1342882.10000000
0.003241084745
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% 1/38 #889371
31410KCG7
64449.62770000
PA
USD
76787.32000000
0.000185328415
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.06000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
LOCKHEED MARTIN CORP 2.9% 03/01/2025
539830BE8
1345000.00000000
PA
USD
1441726.37000000
0.003479648246
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
0.02900000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT JUN21 TUM1
N/A
-1739.00000000
NC
USD
207088.48000000
0.000499814029
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2021-06-30
-384118510.36000000
USD
207088.48000000
N
N
N
SOUTHWEST AIRLINES CO
UDTZ87G0STFETI6HGH41
SOUTHWEST AIRLINES CO 5.125% 06/15/2027
844741BK3
885000.00000000
PA
USD
1036916.43000000
0.002502627761
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.05125000
N
N
N
N
N
N
RETAIL PROPERTIES OF AMERICA INC.
549300OVTYLM7DH6CM14
RETAIL PPTYS AMER INC 4.0% 03/15/2025
76131VAA1
6865000.00000000
PA
USD
7223778.29000000
0.017434797604
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 6/35 #828385
31407EJ61
51009.61660000
PA
USD
60183.36000000
0.000145254278
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.06000000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP 1ML+262.15 12/15/2029 144A
05607QBA5
6486851.07860000
PA
USD
6485545.92000000
0.015653052450
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.02612000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/41 #AH3843
3138A5HV7
39568.83220000
PA
USD
44323.83000000
0.000106976844
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2032#J36710
31307TN31
53751.35900000
PA
USD
57900.95000000
0.000139745615
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 09/01/2040#AE4424
31419E4J5
24826.14360000
PA
USD
28585.27000000
0.000068991374
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 03/20/2047#784299
3622A2X49
922155.80700000
PA
USD
998109.63000000
0.002408966428
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
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
2866787.37000000
0.006919074141
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04247500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AU3735
3138X3EH1
445165.43120000
PA
USD
475471.31000000
0.001147563743
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 05/20/2045#MA2825
36179RD63
188316.84120000
PA
USD
199305.92000000
0.000481030596
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#BJ8805
3140HAYB0
57064.47300000
PA
USD
62204.14000000
0.000150131489
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2.875% 09/12/2023
3135G0U43
505000.00000000
PA
USD
538176.51000000
0.001298904555
Long
DBT
USGSE
US
N
2
2023-09-12
Fixed
0.02875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9019
3138EEAV1
105167.68950000
PA
USD
116414.62000000
0.000280970048
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
AUSTIN BIDCO INC
N/A
AUSTIN BIDCO INC 7.125% 12/15/2028 144A
92837TAA0
60000.00000000
PA
USD
61575.00000000
0.000148613041
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
0.07125000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC 2% 12/02/2025 144A
629377CN0
3120000.00000000
PA
USD
3146136.24000000
0.007593290709
Long
DBT
CORP
US
N
2
2025-12-02
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2032#AS8610
3138WJR83
109485.54120000
PA
USD
116374.10000000
0.000280872252
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.03000000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FINANCE PLC
213800X3RLP4NOTPY579
VIRGIN MEDIA SECD FIN PLC 4.5% 08/15/2030 144A
92769XAR6
1932000.00000000
PA
USD
1975470.00000000
0.004767853918
Long
DBT
CORP
GB
N
2
2030-08-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q01985
3132GFF28
101413.60450000
PA
USD
116647.85000000
0.000281532956
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG 4.5% 04/01/2025
251525AP6
13996000.00000000
PA
USD
14919994.09000000
0.036009836787
Long
DBT
CORP
DE
N
2
2025-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17605
3132J83P3
59980.76860000
PA
USD
65706.68000000
0.000158584970
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 4.11% 09/15/2028
11135FAL5
1135000.00000000
PA
USD
1258829.87000000
0.003038222259
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
0.04110000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 6/39 #AE0967
31419BCD5
194772.19650000
PA
USD
211491.01000000
0.000510439662
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.03500000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 3.5% 06/01/2041
00206RJZ6
4880000.00000000
PA
USD
4903253.98000000
0.011834145139
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 8/31#AS7693
3138WHRP9
1012247.71820000
PA
USD
1051724.97000000
0.002538368600
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33578
3132QP6Q2
86324.62080000
PA
USD
94191.08000000
0.000227332892
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #773113
36176QVE1
8017.36660000
PA
USD
8942.50000000
0.000021582982
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
MASTERCARD INC 3.375% 04/01/2024
57636QAB0
870000.00000000
PA
USD
947369.55000000
0.002286503779
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM1884
3140J6CW5
658562.54600000
PA
USD
699380.25000000
0.001687974439
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS LP
549300NELT611CL6XM83
EQT MIDSTREAM PARTNERS LP 6.5% 06/30/48
26885BAE0
220000.00000000
PA
USD
207900.00000000
0.000501772656
Long
DBT
CORP
US
N
2
2048-07-15
Fixed
0.06500000
N
N
N
N
N
N
ONE 2021-PARK MORTGAGE TRUST
N/A
ONE 2021-PARK MORTGAGE TRUST 1ML+ 03/15/2036 144A
682413AJ8
5759000.00000000
PA
USD
5723035.62000000
0.013812711812
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.02000000
N
N
N
N
N
N
NUANCE COMMUNICATIONS INC
AEMSOT3SS15TNMJCE605
NUANCE COMMUNICATIONS INC 5.625% 12/15/2026
67020YAQ3
600000.00000000
PA
USD
628500.00000000
0.001516902907
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.05625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 1/42 #778793
36176W7E5
643012.42100000
PA
USD
697448.76000000
0.001683312732
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 4.50% 11/40 #AE3886
31419EJ83
33816.60780000
PA
USD
37901.50000000
0.000091476365
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 4.00% 10/41 #479607
36209RYC1
197226.25220000
PA
USD
218505.11000000
0.000527368395
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+50 08/20/2049
38381YCS1
629775.11100000
PA
USD
635921.97000000
0.001534816046
Long
ABS-CBDO
USGA
US
N
2
2049-08-20
Variable
0.00611130
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2047#MA4322
36179SYT8
2704665.70500000
PA
USD
2927225.61000000
0.007064943579
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
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
5055330.16000000
0.012201185393
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03112000
N
N
N
N
N
N
OLIN CORP
549300GKK294V7W57P06
OLIN CORP 5% 02/01/2030
680665AK2
195000.00000000
PA
USD
204204.00000000
0.000492852253
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
0.05000000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 4.8% 4/5/26
780097BA8
15438000.00000000
PA
USD
17774157.67000000
0.042898443047
Long
DBT
CORP
GB
N
2
2026-04-05
Fixed
0.04800000
N
N
N
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
VALVOLINE INC 4.25% 02/15/2030 144A
92047WAD3
270000.00000000
PA
USD
278100.00000000
0.000671202384
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 2/20/43 #MA0782
36179M2P4
771327.78470000
PA
USD
821640.88000000
0.001983054001
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03000000
N
N
N
N
N
N
C AND S GROUP ENTERPRISES LLC
N/A
C AND S GROUP ENTERPRISES LLC 5% 12/15/2028 144A
12467AAF5
2000000.00000000
PA
USD
1965000.00000000
0.004742584270
Long
DBT
CORP
US
N
2
2028-12-15
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
8162110.22640000
PA
USD
8184735.60000000
0.019754095834
Long
ABS-CBDO
CORP
KY
N
2
2041-12-16
Variable
0.04213000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/41 #005203
36202FX84
2997088.05020000
PA
USD
3319808.50000000
0.008012453726
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18136
3132J9PW2
39827.71450000
PA
USD
44036.92000000
0.000106284378
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2049#CA4142
3140QBS82
9353785.93200000
PA
USD
9958417.46000000
0.024034928246
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03000000
N
N
N
N
N
N
UNITED RENTALS NORTH AMER INC
NGIZXNT70J2LYT3FBI09
UNITED RENTALS INC 3.875% 02/15/2031
911363AM1
500000.00000000
PA
USD
511312.50000000
0.001234067491
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q12164
3132HNMM8
41640.61480000
PA
USD
46080.45000000
0.000111216497
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
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
126718.75000000
0.000305839364
Long
DBT
CORP
US
N
2
2025-02-15
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
277548.78900000
PA
USD
299762.96000000
0.000723486564
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
0.04500000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY CORP 4.25% 3/15/23
337932AF4
12580000.00000000
PA
USD
13318823.40000000
0.032145365068
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04250000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 2.25% 04/01/2033
92936UAH2
2760000.00000000
PA
USD
2687315.76000000
0.006485914225
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
0.02250000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 4.078/VAR 04/23/2040
06051GHU6
7865000.00000000
PA
USD
9145700.66000000
0.022073412769
Long
DBT
CORP
US
N
2
2040-04-23
Variable
0.04078000
N
N
N
N
N
N
Fidelity Salem Street Trust
S4W85DGKOEJ24DPRB829
Fidelity Sai Total Bond Fund
31635T849
587611040.02200000
NS
USD
6199296472.23000000
14.96218113866
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/41 #AH6219
3138A74D7
518215.03730000
PA
USD
573796.35000000
0.001384874068
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04000000
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP 1ML+215 03/15/2036 144A
74952PAJ6
7852365.00000000
PA
USD
7812858.18000000
0.018856558937
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.02212000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 05/01/2030#AS4956
3138WEQJ1
759522.45160000
PA
USD
807547.06000000
0.001949038160
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
0.03000000
N
N
N
N
N
N
MAGELLAN MIDSTREAM PARTNRS MLP
MZF5TI8NFVZZNUSKDL39
MAGELLAN MIDSTREAM PARTNRS MLP 3.25% 06/01/2030
559080AQ9
225000.00000000
PA
USD
241590.53000000
0.000583085723
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
0.03250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479494
36209RUT8
630952.57420000
PA
USD
699026.43000000
0.001687120484
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
BENCHMARK 2019-B13 MTG TR
N/A
BENCHMARK 2019-B13 A4 2.952% 08/15/2057
08162DAE8
7629000.00000000
PA
USD
8156360.73000000
0.019685612266
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
0.02952000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 11/40 #004853
36202FMA1
1928024.80750000
PA
USD
2120983.46000000
0.005119054857
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 04/01/2051 #TBA
21H020642
105025000.00000000
PA
USD
106438720.52000000
0.256892927080
Long
ABS-MBS
USGA
US
N
2
2051-04-01
Fixed
0.02000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPER LLC/CAP CORP 4.464% 07/23/2022
161175BB9
11002000.00000000
PA
USD
11512249.77000000
0.027785147418
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
0.04464000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 7/38 #889733
31410KPS7
11800.81670000
PA
USD
14094.30000000
0.000034017000
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
0.06000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.5% 08/15/2029
674599CS2
2729000.00000000
PA
USD
2609660.83000000
0.006298491808
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2046#MA4127
36179SSQ1
2224117.01400000
PA
USD
2388641.84000000
0.005765056090
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
0.03500000
N
N
N
N
N
N
VEREIT OPER PARTNERSHIP LP
5493005TQOUJE1LCS698
VEREIT OPER PARTNERSHIP LP 3.1% 12/15/2029
92340LAE9
2335000.00000000
PA
USD
2446170.73000000
0.005903903728
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.03100000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLMC 6.25% 7/15/32
3134A4KX1
40000.00000000
PA
USD
59599.82000000
0.000143845887
Long
DBT
USGSE
US
N
2
2032-07-15
Fixed
0.06250000
N
N
N
N
N
N
AETHON UN/AETHIN UN FIN
N/A
AETHON UN/AETHIN UN FIN 8.25% 02/15/2026 144A
00810GAC8
125000.00000000
PA
USD
130000.00000000
0.000313758755
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.08250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2043#AS1380
3138WARA7
25924.70230000
PA
USD
28869.95000000
0.000069678458
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/01/2046#Q44963
3132WJQR5
4561117.29520000
PA
USD
4932570.13000000
0.011904900514
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TVA 7.125% 5/01/30
880591DM1
460000.00000000
PA
USD
684661.84000000
0.001652451131
Long
DBT
USGSE
US
N
2
2030-05-01
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
5237111.50300000
PA
USD
5817359.37000000
0.014040364907
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
WELLTOWER INC
T6IZ0MBEG5ACZDTR7D06
WELLTOWER INC 2.7% 02/15/2027
95040QAK0
340000.00000000
PA
USD
364382.75000000
0.000879448294
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.02700000
N
N
N
N
N
N
MBRT 2019-MBR
N/A
MBRT 2019-MBR 1ML+ 11/15/2036 144A
55282DAA2
6000000.00000000
PA
USD
5999977.20000000
0.014481118316
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.00962000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 2/01/43 #Q15926
3132J7A44
292609.25830000
PA
USD
315384.76000000
0.000761190229
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
GS MTG SECS TR 2015-GC34
54930070360RBP384M53
GS MORTGAGE SECURITIES TRUST 2015-GC34 XA CSTR 10/10/2048
36250VAF9
5640000.63820000
PA
USD
261417.41000000
0.000630938471
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
0.01221820
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 4.508% 05/01/2023
097023CS2
1500000.00000000
PA
USD
1608882.12000000
0.003883083478
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.04508000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR9310
36193GKX2
46190.26580000
PA
USD
50603.08000000
0.000122131995
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.375% 06/01/2021
00912XAS3
2750000.00000000
PA
USD
2769403.78000000
0.006684036033
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.03375000
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TENNESSEE VALLEY AUTHORITY 0.75% 05/15/2025
880591EW8
845000.00000000
PA
USD
845935.92000000
0.002041690782
Long
DBT
USGSE
US
N
2
2025-05-15
Fixed
0.00750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AK9784
3138EE2S7
786770.31450000
PA
USD
859162.00000000
0.002073612308
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
SPRINT CAPITAL CORP 6.875% 11/15/2028
852060AD4
1695000.00000000
PA
USD
2144175.00000000
0.005175028309
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.06875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 12/01/2046#G60989
31335BC20
15279618.85770000
PA
USD
16287476.27000000
0.039310294536
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03000000
N
N
N
N
N
N
PFP 2019-5 LTD
N/A
PFP 2019-5 LTD 1ML+97 04/14/2036 144A
69346TAA2
6935808.61000000
PA
USD
6931494.54000000
0.016729362329
Long
ABS-MBS
CORP
KY
N
2
2036-04-14
Variable
0.01077380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2028#MA1481
31418AUF3
320102.76910000
PA
USD
338542.29000000
0.000817081597
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
0.03000000
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
118469.23000000
0.000285928909
Long
DBT
CORP
US
N
2
2022-05-08
Fixed
0.02875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #738240
3620ASEM7
27160.49030000
PA
USD
31135.48000000
0.000075146380
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
ASCENSION HEALTH
N/A
ASCENSION HEALTH ALLIANCE 3.945% 11/15/2046
04351LAB6
315000.00000000
PA
USD
378741.65000000
0.000914103914
Long
DBT
CORP
US
N
2
2046-11-15
Fixed
0.03945000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL A 1ML+85 10/15/2036 144A
056054AA7
13480028.94800000
PA
USD
13502919.39000000
0.032589686058
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01032000
N
N
N
N
N
N
BX COML MTG TR 2020-FOX
N/A
BX COML MTG TR 2020-FOX A 1ML+90 11/15/2032 144A
12433AAA7
5153000.00000000
PA
USD
5169106.22000000
0.012475787201
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
0.01112000
N
N
N
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP 1.3% 05/07/2022
855244AY5
3742000.00000000
PA
USD
3783555.36000000
0.009131720171
Long
DBT
CORP
US
N
2
2022-05-07
Fixed
0.01300000
N
N
N
N
N
N
KAISER ALUMINUM CORP
N/A
KAISER ALUMINUM CORP 6.5% 05/01/2025 144A
483007AK6
105000.00000000
PA
USD
112350.00000000
0.000271159970
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.06500000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC 4.75% 11/15/2024
21036PAN8
5595000.00000000
PA
USD
6389503.32000000
0.015421250860
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
0.04750000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 1.625% 01/07/2025
3135G0X24
705000.00000000
PA
USD
736369.26000000
0.001777248483
Long
DBT
USGSE
US
N
2
2025-01-07
Fixed
0.01625000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 11/15/36
912833Y38
1975000.00000000
PA
USD
1445275.18000000
0.003488213402
Long
DBT
UST
US
N
2
2036-11-15
Fixed
0.00000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 6/34 #003568
36202D6D8
39812.10730000
PA
USD
44755.68000000
0.000108019126
Long
ABS-MBS
USGA
US
N
2
2034-06-20
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
5962704.15000000
0.014391158733
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
0.03500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 3.75% 02/21/2024 REGS
N/A
1250000.00000000
PA
1537408.62000000
0.003710580121
Long
DBT
CORP
MX
N
2
2024-02-21
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2041#AJ8343
3138E1HV2
5301.84910000
PA
USD
5868.84000000
0.000014164614
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
LOS ANGELES CA DEPT ARPTS REV
N/A
LA CA AIRPT 2.063% 5/15/2034
544445UD9
500000.00000000
PA
USD
488270.00000000
0.001178453751
Long
DBT
MUN
US
N
2
2034-05-15
Fixed
0.02063000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #757631
36230SPQ1
28762.08190000
PA
USD
31874.23000000
0.000076929374
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
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
70614.90000000
0.000170431101
Long
DBT
MUN
US
N
2
2050-11-01
Fixed
0.05844000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2033#BH9242
3140GYHU6
49660.95300000
PA
USD
52144.91000000
0.000125853246
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 15YR 3% 06/01/2030#AS5103
3138WEU56
344526.84420000
PA
USD
366095.95000000
0.000883583152
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
0.03000000
N
N
N
N
N
N
CFCRE 2016-C6 MTG TR
N/A
CFCRE 2016-C6 MTG TR 2.95% 11/10/2049
12532AAY5
1000000.00000000
PA
USD
1054309.60000000
0.002544606679
Long
ABS-MBS
CORP
US
N
2
2049-11-10
Fixed
0.02950000
N
N
N
N
N
N
DUKE REALTY LP NEW
2549009GZDBNY1KE9O81
DUKE REALTY LP 3.625 4/15/23
26441YAX5
1382000.00000000
PA
USD
1459308.00000000
0.003522082018
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.03625000
N
N
N
N
N
N
TOLEDO HOSP
5493009DCR7NWV6K4T34
TOLEDO HOSP 6.015% 11/15/2048
889184AE7
5710000.00000000
PA
USD
7274353.28000000
0.017556861803
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
0.06015000
N
N
N
N
N
N
SUNOCO LP / SUNOCO FIN CORP
N/A
SUNOCO LP / SUNOCO FIN CORP 5.5% 02/15/2026
86765LAL1
560000.00000000
PA
USD
576161.60000000
0.001390582667
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.05500000
N
N
N
N
N
N
HESS MIDSTREAM PARTNERS LP
N/A
HESS INFRASTRUCTURE PARTNERS LP / HESS INFRASTRUCTURE PARTNERS FIN CORP 5.625% 02/15/2026 144A
428102AC1
669000.00000000
PA
USD
693003.72000000
0.001672584499
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.05625000
N
N
N
N
N
N
CNH EQUIP TR 2019-C
N/A
CNH EQUIPMENT TRUST 2019-C 1.99% 03/15/2023
12597CAB3
1507387.72000000
PA
USD
1514392.55000000
0.003655030171
Long
ABS-CBDO
CORP
US
N
2
2023-03-15
Fixed
0.01990000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/20/2044#MA2304
36179QRZ6
4126187.86830000
PA
USD
4548567.15000000
0.010978098228
Long
ABS-MBS
USGA
US
N
2
2044-10-20
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
5325054.93500000
PA
USD
5783144.38000000
0.013957786041
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.375% 08/15/2050
912810SP4
256365000.00000000
PA
USD
214024717.97000000
0.516554840176
Long
DBT
UST
US
N
2
2050-08-15
Fixed
0.01375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 6/36 #745640
31403DLV9
118603.73050000
PA
USD
140474.33000000
0.000339038853
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.06000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES
8M3THTGWLTYZVE6BBY25
CENTURYLINK INC 7.65% 3/15/42
156700AT3
1000000.00000000
PA
USD
1201150.00000000
0.002899010227
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
0.07650000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745236
3620C04V7
223444.01870000
PA
USD
255175.04000000
0.000615872331
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 3.5% 08/42#Q10245
3132HLHW6
1202308.87100000
PA
USD
1314876.84000000
0.003173493241
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.75% 09/21/2047
71654QCC4
11150000.00000000
PA
USD
9759037.50000000
0.023553718953
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 30YR 2.5% 04/01/2043#AT3712
3138WRDS6
17436.89820000
PA
USD
18223.47000000
0.000043982871
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.02500000
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS AA PIPELINE 5.15% 6/42
72650RBA9
2285000.00000000
PA
USD
2337590.94000000
0.005641843268
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
0.05150000
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
3319566.46000000
0.008011869556
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
0.04700000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.431/VAR 01/23/2030
6174468G7
8189000.00000000
PA
USD
9589532.16000000
0.023144612917
Long
DBT
CORP
US
N
2
2030-01-23
Variable
0.04431000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2.5% 11/01/2050#SD7530
3132DVLK9
18474611.65100000
PA
USD
19269893.80000000
0.046508445409
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 10/33 #254903
31371LDG1
148457.62860000
PA
USD
168212.94000000
0.000405986790
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.05000000
N
N
N
N
N
N
FRESENIUS US FIN II INC
TRJSJR7WPAPZ2OYFQZ47
FRESENIUS US FIN II INC 4.5% 01/15/2023 144A
35804GAK4
4787000.00000000
PA
USD
5070609.84000000
0.012238063343
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.04500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 2.013%/VAR 09/22/2028
404280CL1
6340000.00000000
PA
USD
6369921.25000000
0.015373988969
Long
DBT
CORP
GB
N
2
2028-09-22
Variable
0.02013000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
UNITED MEXICAN 4.75% 3/08/44
91086QBB3
2246000.00000000
PA
USD
2363915.00000000
0.005705377148
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
0.04750000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 5.6% 01/03/2031
71647NBH1
1750000.00000000
PA
USD
1886780.00000000
0.004553798040
Long
DBT
CORP
NL
N
2
2031-01-03
Fixed
0.05600000
N
N
N
N
N
N
SOUTHERN CO GAS CAPITAL CORP
E8CD46SWUD2TSN8PA636
AGL CAP CORP 4.4% 06/01/2043
001192AK9
440000.00000000
PA
USD
501006.19000000
0.001209192914
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
0.04400000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 3.7% 01/31/2051
29379VBY8
65000.00000000
PA
USD
65681.18000000
0.000158523425
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
0.03700000
N
N
N
N
N
N
EFS VOLUNTEER NO 2 LLC
N/A
EFS VOLUNTEER NO 2 LLC 1ML+ 03/25/2036 144A
26845BAB5
1314899.79000000
PA
USD
1334087.47000000
0.003219858651
Long
ABS-CBDO
CORP
US
N
2
2036-03-25
Variable
0.01480000
N
N
N
N
N
N
NEW JERSEY ST TPK AUTH TPK REV
5493005YN67D71KSMI84
NJ TPK 2.113% 1/1/2033
646140DW0
1050000.00000000
PA
USD
1033494.00000000
0.002494367627
Long
DBT
MUN
US
N
2
2033-01-01
Fixed
0.02113000
N
N
N
N
N
N
IHS MARKIT LTD
549300HLPTRASHS0E726
IHS MARKIT LTD 4% 03/01/2026 144A
44962LAC1
1195000.00000000
PA
USD
1330274.00000000
0.003210654731
Long
DBT
CORP
BM
N
2
2026-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.0% 08/45#AZ9030
3140E2A84
151586.31140000
PA
USD
166376.25000000
0.000401553886
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 30YR 4.0% 01/43#AL3597
3138EK7K5
12578.60370000
PA
USD
13876.63000000
0.000033491647
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 4.00% 4/42 #AK8228
3138EDEA5
146153.83500000
PA
USD
161783.94000000
0.000390470213
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 3.5% 08/20/2046#MA3937
36179SLS4
271132.68400000
PA
USD
291189.21000000
0.000702793571
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2038#G31067
3132J4MR7
1468626.18000000
PA
USD
1578542.72000000
0.003809858460
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA BC 4.65%/VAR PERP
064159KJ4
12927000.00000000
PA
USD
12943029.48000000
0.031238375585
Long
EP
CORP
CA
N
2
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2045#AZ9666
3140E2W49
101187.57400000
PA
USD
111060.22000000
0.000268047049
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 3.875% 05/15/2027
50077LBC9
235000.00000000
PA
USD
256870.97000000
0.000619965507
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AH1563
3138A2WZ8
1146889.71390000
PA
USD
1263883.47000000
0.003050419269
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
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
15620935.35100000
PA
USD
740621.35000000
0.001787511025
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Variable
0.00938670
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2049#MA5817
36179UPA4
3312721.39700000
PA
USD
3559176.94000000
0.008590176372
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
0.04000000
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 1.547% 10/25/2030
3137F83Q4
5600000.00000000
PA
USD
5557003.76000000
0.013411989121
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Fixed
0.01547000
N
N
N
N
N
N
RAYTHEON TECHNOLOGIES CORP
I07WOS4YJ0N7YRFE7309
RAYTHEON TECHNOLOGIES CORP 3.5% 03/15/2027
75513ECH2
1300000.00000000
PA
USD
1445226.07000000
0.003488094873
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.03500000
N
N
N
N
N
N
ARES XXXIV CLO LTD
549300VDFIIXSFET0S73
ARES XXXIV CLO LTD 3ML+125 04/17/2033 144A
04015GAP4
15169000.00000000
PA
USD
15219543.11000000
0.036732807001
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Variable
0.01473380
N
N
N
N
N
N
SPRINT SPECTRUM CO LLC
N/A
SPRINT SPECTRUM CO LLC 5.152% 09/20/2029 144A
85208NAE0
9350000.00000000
PA
USD
10849459.50000000
0.026185483953
Long
DBT
CORP
US
N
2
2029-09-20
Fixed
0.05152000
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
284200.00000000
0.000685924910
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
0.04375000
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
2398155.72000000
0.005788018114
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
0.05875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/46#Q38782
3132QVXL0
206310.51850000
PA
USD
226623.58000000
0.000546962557
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2045#G08636
3128MJV64
181936.18440000
PA
USD
197143.76000000
0.000475812160
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03500000
N
N
N
N
N
N
BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA
N/A
BBIRD 2016-1A AA 2.487% 12/16/2041 144A
09228YAA0
1352718.79200000
PA
USD
1356951.04000000
0.003275040538
Long
ABS-CBDO
CORP
KY
N
2
2041-12-16
Variable
0.02487000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 3.65% 09/15/2059 144A
00206RME9
4915000.00000000
PA
USD
4531640.52000000
0.010937245317
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
0.03650000
N
N
N
N
N
N
MGM RESORTS INTERNATIONAL
54930066VBP7DZEGGJ87
MGM RESORTS INTERNATIONAL 6.75% 05/01/2025
552953CG4
100000.00000000
PA
USD
107063.00000000
0.000258399643
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.06750000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.016% 12/03/2029
92343VEU4
1346000.00000000
PA
USD
1542733.02000000
0.003723430714
Long
DBT
CORP
US
N
2
2029-12-03
Fixed
0.04016000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 4.083%/VAR 03/20/2051
06051GJA8
3100000.00000000
PA
USD
3603430.86000000
0.008696984486
Long
DBT
CORP
US
N
2
2051-03-20
Variable
0.04083000
N
N
N
N
N
N
IMPERIAL TOBACCO FINANCE
2138008L3B3MCG1DFS50
IMPERIAL TOBACCO FINANCE 3.125% 07/26/2024 144A
45262BAA1
4250000.00000000
PA
USD
4524790.55000000
0.010920712717
Long
DBT
CORP
GB
N
2
2024-07-26
Fixed
0.03125000
N
N
N
N
N
N
KIMCO REALTY CORP
549300EA7I6T15IBYS12
KIMCO REALTY CORP 1.9% 03/01/2028
49446RAX7
815000.00000000
PA
USD
814731.07000000
0.001966376975
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.01900000
N
N
N
N
N
N
LOUISVILLE GAS and ELECTRIC CO
KO3GRIB3RPH1XDX50U72
LOUISVILLE GAS 5.125% 11/40
546676AU1
345000.00000000
PA
USD
431732.17000000
0.001041998065
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
0.05125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/39 #782727
36241LA48
45345.15740000
PA
USD
51794.62000000
0.000125007811
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
0.05000000
N
N
N
N
N
N
MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC
N/A
MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC 3ML+165 07/15/2031 144A
55820BAA5
7030000.00000000
PA
USD
7045690.96000000
0.017004978687
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Variable
0.01891250
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
3730175.47000000
0.009002886264
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.01199627
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
909845.09060000
PA
USD
909290.81000000
0.002194599640
Long
ABS-CBDO
USGA
US
N
2
2060-12-20
Variable
0.00523880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2042#AQ9061
3138MRB75
477930.13250000
PA
USD
528742.61000000
0.001276135565
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 8/42 #Q10323
3132HLLC5
44863.34560000
PA
USD
49063.74000000
0.000118416753
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 03/15/2043#758871
36230T2C5
459375.40070000
PA
USD
512620.82000000
0.001237225159
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
0.03500000
N
N
N
N
N
N
CSMC SER 2015-1R
N/A
CSMC SER 2015-1R 1ML+28 05/27/2037 144A
12649MBC6
451520.52350000
PA
USD
438977.42000000
0.001059484685
Long
ABS-CBDO
CORP
US
N
2
2037-05-27
Variable
0.00473860
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
4080184.11720000
PA
USD
4093789.49000000
0.009880479207
Long
ABS-CBDO
USGA
US
N
2
2061-09-20
Variable
0.00693880
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
COLOMBIA GLB 10.375% 1/28/33
195325BB0
750000.00000000
PA
USD
1183828.13000000
0.002857203393
Long
DBT
NUSS
CO
N
2
2033-01-28
Fixed
0.10375000
N
N
N
N
N
N
BROOKFIELD RESIDENTIAL PPTYS INC / BROOKFIELD RESIDENTIAL US CORP
N/A
BROOKFIELD RESIDENTIAL PPTYS INC / US CORP 4.875% 02/15/2030 144A
11283YAD2
500000.00000000
PA
USD
505970.00000000
0.001221173212
Long
DBT
CORP
CA
N
2
2030-02-15
Fixed
0.04875000
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 4.5% 09/01/2026
55303XAB1
400000.00000000
PA
USD
424000.00000000
0.001023336249
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.04500000
N
N
N
N
N
N
CISCO SYSTEMS INC
8E6NF1YAL0WT6CWXXV93
CISCO SYSTEMS INC 2.9% 03/04/2021
17275RAP7
150000.00000000
PA
USD
150023.39000000
0.000362085786
Long
DBT
CORP
US
N
2
2021-03-04
Fixed
0.02900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2048#B32396
312979UV7
187315.99000000
PA
USD
199051.32000000
0.000480416111
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.03500000
N
N
N
N
N
N
CENTURY CMNTYS INC
5299002QMB2O7ZL1CA26
CENTURY COMMUNITIES INC 6.75% 06/01/2027
156504AL6
275000.00000000
PA
USD
292875.00000000
0.000706862273
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
0.06750000
N
N
N
N
N
N
TELECOM ITALIA SPA NEW
549300W384M3RI3VXU42
TELECOM ITALIA SPA NEW 5.303% 05/30/2024 144A
87927YAA0
370000.00000000
PA
USD
400587.90000000
0.000966830469
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 2.5% 06/01/2043#AT5225
3138WSYX0
520568.08120000
PA
USD
544050.80000000
0.001313082323
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.02500000
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
1493842.78000000
0.003605432707
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.05350300
N
N
N
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
DOWDUPONT INC 4.493% 11/15/2025
26078JAC4
2625000.00000000
PA
USD
3005520.13000000
0.007253909665
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.04493000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.8% 02/15/2029
55336VAS9
2360000.00000000
PA
USD
2761840.17000000
0.006665781042
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.04800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 2/42 #Q06088
3132GRCZ2
64578.00660000
PA
USD
71503.86000000
0.000172576631
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2017-30 AI 5.5% 05/47
3136AWQD2
494730.85740000
PA
USD
99934.64000000
0.000241195140
Long
ABS-CBDO
USGSE
US
N
2
2047-05-25
Fixed
0.05500000
N
N
N
N
N
N
GB 2020-FLIX A
N/A
GB 2020-FLIX A 1ML+120 08/25/2025 144A
368306AA4
4400000.00000000
PA
USD
4434697.52000000
0.010703270586
Long
ABS-MBS
CORP
TC
N
2
2037-08-15
Variable
0.01232000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 07/15/2046#AT7536
36194GLR3
23982.81940000
PA
USD
26180.62000000
0.000063187682
Long
ABS-MBS
USGA
US
N
2
2046-07-15
Fixed
0.04000000
N
N
N
N
N
N
SINCLAIR TELEVISION GROUP INC
549300CQGEN0CH65UD62
SINCLAIR BROADCASTING NEW TL B 1LN 09/30/2026
82925BAE5
600000.00000000
PA
USD
597378.00000000
0.001441789061
Long
LON
CORP
US
N
2
2026-09-30
Variable
0.02620000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 5.476% 01/25/2039
35137LAJ4
2474000.00000000
PA
USD
3176490.22000000
0.007666550917
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
0.05476000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/39 #698329
36296QY29
18474.30520000
PA
USD
20797.13000000
0.000050194474
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4% 05/01/2037#C91938
3128P8EK3
5949316.26460000
PA
USD
6481125.65000000
0.015642384001
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
0.04000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
ALTICE FRANCE SA 8.125% 02/01/2027 144A
02156LAA9
135000.00000000
PA
USD
147151.35000000
0.000355154034
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 4.0% 01/01/2041#AE9268
31419LJN4
19268.06600000
PA
USD
21240.32000000
0.000051264125
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS PARTNERS LP 4.9% 01/15/2045
96950FAP9
470000.00000000
PA
USD
536898.89000000
0.001295820982
Long
DBT
CORP
US
N
2
2045-01-15
Fixed
0.04900000
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
7182918.72220000
PA
USD
7196949.84000000
0.017370046364
Long
ABS-CBDO
CORP
US
N
2
2039-04-15
Fixed
0.03967000
N
N
N
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
1913832.81000000
0.004619090779
Long
DBT
CORP
CL
N
2
2047-08-01
Fixed
0.04500000
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
242792.00000000
0.000585985506
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Variable
0.01116000
N
N
N
N
N
N
SILVERSTONE MASTER ISSUER PLC
549300P6OXWKM20QS303
SILVERSTONE MASTER ISSUER PLC STEP 01/21/2070 144A
82846GAV2
3072765.04850000
PA
USD
3079343.84000000
0.007432085322
Long
ABS-CBDO
CORP
GB
N
2
2070-01-21
Variable
0.00793630
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
LEVEL 3 FINANCING INC 4.25% 07/01/2028 144A
527298BR3
1520000.00000000
PA
USD
1541447.20000000
0.003720327350
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
0.04250000
N
N
N
N
N
N
HANCOCK JOHN SOVEREIGN BD FD
WKGWVLWSOXTPDPZACG18
JHancock Bond R6
410223606
19114668.21800000
NS
USD
314436292.19000000
0.758901075532
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 09/01/2031#BD8051
3140FF5M9
1206776.18300000
PA
USD
1266382.84000000
0.003056451571
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 30YR 4% 01/15/2043#AC9441
36179KP24
84435.27730000
PA
USD
93254.80000000
0.000225073154
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 09/01/2040#MA4128
31418DSS2
472975.49500000
PA
USD
482973.49000000
0.001165670471
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/46#Q43257
3132WGTP2
2344713.51530000
PA
USD
2556180.88000000
0.006169416404
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
LEVEL 3 TERM B 1LN 03/01/2027
52729KAP1
750000.00000000
PA
USD
747345.00000000
0.001803738748
Long
LON
CORP
US
N
2
2027-03-01
Variable
0.01864500
N
N
N
N
N
N
VOYA 2020
N/A
VOYA 2020-1A A 3ML+170 07/16/2031 144A
92918EAA5
8112000.00000000
PA
USD
8134088.98000000
0.019631858753
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Variable
0.01923380
N
N
N
N
N
N
UNIVERSITY SOUTHN CALIF
0GMCSQ6M60R4T46U5511
UNIVERSITY SOUTHN CALIF 3.841% 10/01/2047
914886AC0
705000.00000000
PA
USD
846698.53000000
0.002043531363
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% 04/01/2048#BK3836
3140HHHN8
254430.88800000
PA
USD
277346.92000000
0.000669384804
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 15YR 3.5% 9/1/26 #AI8382
3138ANJ46
119007.37910000
PA
USD
126833.97000000
0.000306117450
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 11/15/2042#AA5821
36178DPE5
313696.75370000
PA
USD
334223.78000000
0.000806658749
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 10/20/2043#MA1377
36179NQ68
1476738.64170000
PA
USD
1639465.35000000
0.003956896987
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-135 ZA 4.5% 12/40
31398SE82
694058.67150000
PA
USD
758678.38000000
0.001831092188
Long
ABS-CBDO
USGSE
US
N
2
2040-12-25
Fixed
0.04500000
N
N
N
N
N
N
OPEN TEXT CORPORATION
549300UQROQS42RKHM85
OPEN TEXT CORPORATION 3.875% 02/15/2028 144A
683715AC0
490000.00000000
PA
USD
497962.50000000
0.001201846880
Long
DBT
CORP
CA
N
2
2028-02-15
Fixed
0.03875000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 1.95% 02/15/2028 144A
11135FBE0
1620000.00000000
PA
USD
1597001.88000000
0.003854410176
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.01950000
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
1620000.00000000
PA
USD
2646091.80000000
0.006386419007
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
0.07414000
N
N
N
N
N
N
NATIONSTAR MTG HLDGS INC
N/A
NATIONSTAR MTG HLDGS INC 6% 01/15/2027 144A
63861CAA7
500000.00000000
PA
USD
525000.00000000
0.001267102667
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.06000000
N
N
N
N
N
N
DARLING INGREDIENTS INC
L1N0SPPKS7EXZYUMZ898
DARLING INGREDIENTS INC 5.25% 04/15/2027 144A
237266AH4
300000.00000000
PA
USD
315750.00000000
0.000762071747
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
0.05250000
N
N
N
N
N
N
LABORATORY CORP OF AMER HLDGS
OZ7UA8IXAIFILY2VZH07
LABORATORY CORP OF AMER HLDGS 3.25% 09/01/2024
50540RAT9
720000.00000000
PA
USD
780185.04000000
0.001882999134
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.03250000
N
N
N
N
N
N
GRAPHIC PACKAGING INTL INC
SO75N4VY5NXGQSK8YQ65
GRAPHIC PACKAGING INTL INC 3.5% 03/15/2028 144A
38869AAB3
231000.00000000
PA
USD
237063.75000000
0.000572160209
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
0.03500000
N
N
N
N
N
N
STERICYCLE INC
B8PTJH2P0AXSWSMP2136
STERICYCLE INC 3.875% 01/15/2029 144A
858912AG3
530000.00000000
PA
USD
533789.50000000
0.001288316379
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 04/01/2041#AH9677
3138ABXF1
17806.30220000
PA
USD
20485.81000000
0.000049443094
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 3.0% 08/01/2043#AS0203
3138W9GM6
95366.41640000
PA
USD
102872.02000000
0.000248284592
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 3.5% 09/01/2047#G08784
3128MJ2S8
1678956.66000000
PA
USD
1788799.71000000
0.004317319780
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.03500000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 4.25% 03/01/2031
50077LBF2
7220000.00000000
PA
USD
8106063.38000000
0.019564218158
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 02/01/2043#Q15789
3132J62X1
159501.63490000
PA
USD
171916.59000000
0.000414925656
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TR 2021-1
N/A
SANTANDER DRIVE AUTO RECEIVABLES TR 2021-1 1.13% 11/16/2026
80286NAG1
2800000.00000000
PA
USD
2789577.56000000
0.006732726034
Long
ABS-CBDO
CORP
US
N
2
2026-11-16
Fixed
0.01130000
N
N
N
N
N
N
IHS MARKIT LTD
549300HLPTRASHS0E726
IHS MARKIT LTD 4.125% 08/01/2023
44962LAG2
365000.00000000
PA
USD
392849.50000000
0.000948153618
Long
DBT
CORP
BM
N
2
2023-08-01
Fixed
0.04125000
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
1013000.00000000
0.002444904766
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
0.02200000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AT0228
36193XHD3
40504.65070000
PA
USD
44374.29000000
0.000107098630
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
DTE ENERGY CO
549300IX8SD6XXD71I78
DTE ENERGY CO 3.8% 03/15/2027
233331AZ0
1010000.00000000
PA
USD
1141703.66000000
0.002755534768
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.03800000
N
N
N
N
N
N
HENLEY CLO IV DAC
N/A
HENLEY CLO IV DAC 3MEUR+90 04/25/2034 144A
N/A
2000000.00000000
PA
2416478.33000000
0.005832240263
Long
ABS-CBDO
CORP
IE
N
2
2034-04-25
Variable
0.00000000
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
411449.67000000
0.000993045665
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
0.03900000
N
N
N
N
N
N
CEDAR FUNDING LTD
549300ZKTUZSV15HAV29
CEDAR FUNDING LTD 3ML+134 10/20/2032 144A
15033XAA4
5957000.00000000
PA
USD
5987017.32000000
0.014449839271
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Variable
0.01564000
N
N
N
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP 4.11%/VAR 07/24/2034
961214EF6
4937000.00000000
PA
USD
5441456.93000000
0.013133113508
Long
DBT
CORP
AU
N
2
2034-07-24
Variable
0.04110000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 3.75% 04/01/2040
20030NDH1
370000.00000000
PA
USD
417642.95000000
0.001007993325
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
0.03750000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA ENERGY TERM B-3 12/31/25
88233FAK6
500000.00000000
PA
USD
498045.00000000
0.001202045996
Long
LON
CORP
US
N
2
2025-12-31
Variable
0.01863110
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 3.6% 05/01/2034
097023CJ2
1750000.00000000
PA
USD
1797499.53000000
0.004338317046
Long
DBT
CORP
US
N
2
2034-05-01
Fixed
0.03600000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 12/47#MA4901
36179TNS0
1226279.87500000
PA
USD
1323163.47000000
0.003193493262
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
0.04000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 3.45% 07/27/2026
25466AAJ0
435000.00000000
PA
USD
478790.09000000
0.001155573714
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
0.03450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2050#CA5555
3140QDE59
4644928.53000000
PA
USD
5011349.29000000
0.012095036293
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.25% 6/36 #886983
31410EM88
3951.10070000
PA
USD
4155.93000000
0.000010030457
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.02553000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST 6.20% 07/01/2021
452152GR6
479000.00000000
PA
USD
485871.21000000
0.001172664202
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 30YR 4.0% 09/01/2043#Q21524
3132JNVR5
33673.25350000
PA
USD
37179.41000000
0.000089733580
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 4.0% 01/01/2044#Q24349
3132M4QA6
44346.46840000
PA
USD
48880.80000000
0.000117975223
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CMBX AAACDSIGEN 8/
N/A
2660000.00000000
NC
USD
-18154.23000000
-0.00004381575
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
36561.44000000
USD
0.00000000
USD
2660000.00000000
USD
-54715.67000000
N
N
N
Voya Funds/USA
N/A
Voya Intermediate Bond I
92913L684
126618689.97900000
NS
USD
1316834375.78000000
3.178217810408
Long
EC
RF
US
N
1
N
N
N
JAPAN BANK INTL COOPERATION
549300TJ3QFYVCTSCJ29
JAPAN BANK INTL COOPERATION 3.25% 07/20/2023
471048BS6
400000.00000000
PA
USD
426786.96000000
0.001030062658
Long
DBT
CORP
JP
N
2
2023-07-20
Fixed
0.03250000
N
N
N
N
N
N
TOTAL CAPITAL INTL SA
549300U37G2I8G4RUG09
TOTAL CAP INTL 2.829% 01/10/2030
89153VAT6
800000.00000000
PA
USD
852755.12000000
0.002058149118
Long
DBT
CORP
FR
N
2
2030-01-10
Fixed
0.02829000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 02/20/2048#MA5021
36179TSJ5
1380084.74880000
PA
USD
1504666.93000000
0.003631557106
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
0.04500000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
LEVEL 3 FINANCING INC 4.625% 09/15/2027 144A
527298BN2
1000000.00000000
PA
USD
1034700.00000000
0.002497278343
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
0.04625000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 04/01/2051 #TBA
01F030645
92450000.00000000
PA
USD
96823310.27000000
0.233685856644
Long
ABS-MBS
USGA
US
N
2
2051-04-01
Fixed
0.03000000
N
N
N
N
N
N
ZIGGO BV
213800TQASLF9JXH5J59
ZIGGO BV 4.875% 01/15/2030 144A
98955DAA8
115000.00000000
PA
USD
120031.25000000
0.000289698889
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 5.00% 2/30 #MA0320
31417YLA3
317359.75350000
PA
USD
356190.50000000
0.000859676062
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#AS6286
3138WF6Y7
482695.76960000
PA
USD
529338.81000000
0.001277574510
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% 07/01/2039#AC4562
31417QB86
3927.55230000
PA
USD
4381.30000000
0.000010574394
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
0.04500000
N
N
N
N
N
N
FLORIDA PWR and LT CO
A89MY1K3YLIGJMYWVX50
FLORIDA PWR and LT 5.25% 2/01/41
341081FD4
150000.00000000
PA
USD
204009.37000000
0.000492382508
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 11/01/2044#AL7307
3138EQDM1
876553.59950000
PA
USD
994383.18000000
0.002399972533
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 03/01/2043#Q16049
3132J7EX6
95726.75530000
PA
USD
105929.67000000
0.000255664318
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4% 09/01/2038#C92014
3128P8GX3
1625130.35500000
PA
USD
1760243.69000000
0.004248399000
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 4/42 #Q07441
3132GSS67
53380.64500000
PA
USD
59105.60000000
0.000142653073
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
AMEREN ILL CO
RC71E2BZ6UOMFPDJSE79
AMEREN ILL CO 4.15% 03/15/2046
02361DAQ3
835000.00000000
PA
USD
992823.65000000
0.002396208562
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
0.04150000
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
746127.76000000
0.001800800905
Long
ABS-CBDO
CORP
US
N
2
2025-05-23
Fixed
0.03290000
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
35446259.28480000
PA
USD
1752555.22000000
0.004229842656
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.00882223
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
545730.64100000
PA
USD
41033.21000000
0.000099034837
Long
ABS-CBDO
USGSE
US
N
2
2034-02-15
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 X1 CSTR 05/25/2030
3137FUZE7
24975424.52500000
PA
USD
3180735.20000000
0.007676796299
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
0.01572352
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2045#AY4526
3138YJA48
132348.66790000
PA
USD
144926.64000000
0.000349784632
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04000000
N
N
N
N
N
N
NEXTERA ENERGY CAP HLDGS INC
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAP HLDGS INC 2.75% 11/01/2029
65339KBM1
1450000.00000000
PA
USD
1520158.00000000
0.003668945251
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
0.02750000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019 1ML+145 10/15/2036 144A
056054AG4
6779884.98000000
PA
USD
6784710.90000000
0.016375095773
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01562000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2050#CA5122
3140QCVQ6
5556432.60600000
PA
USD
5917338.46000000
0.014281667330
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.00% 2/27 #AB4420
31417A4E6
538771.71890000
PA
USD
569470.93000000
0.001374434542
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
0.03000000
N
N
N
N
N
N
BCAP LLC 2010-RR2 TR
N/A
BCAP 2010-RR2 5A2 5% 12/36
05532VBE6
265239.03990000
PA
USD
264695.64000000
0.000638850574
Long
ABS-CBDO
CORP
US
N
2
2036-12-26
Fixed
0.05000000
N
N
N
N
N
N
EMPRESAS PUBLICAS DE MEDELLIN ESP
549300SU25TO8EMXB434
EMPRESAS PUBLIC DE MEDELLIN 4.375% 02/15/2031 REGS
N/A
400000.00000000
PA
USD
408000.00000000
0.000984719787
Long
DBT
CORP
CO
N
2
2031-02-15
Fixed
0.04375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.875% 11/15/2030
91282CAV3
168992000.00000000
PA
USD
161123310.00000000
0.388875763674
Long
DBT
UST
US
N
2
2030-11-15
Fixed
0.00875000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 4.625% 12/01/2030 144A
126307BD8
170000.00000000
PA
USD
169529.10000000
0.000409163380
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
0.04625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2043#AU1687
3138X02V9
99305.14300000
PA
USD
109614.78000000
0.000264558438
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 2.5% 07/01/2046#AS7530
3138WHLL4
504642.27000000
PA
USD
526775.78000000
0.001271388564
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 05/01/2045#AX9659
3138YBWV1
74142.67590000
PA
USD
81376.61000000
0.000196404799
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
ARAMARK SERVICES INC 4.75% 06/01/2026
038522AN8
100000.00000000
PA
USD
101500.00000000
0.000244973182
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.04750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2047#MA4900
36179TNR2
702216.43780000
PA
USD
748730.34000000
0.001807082307
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2050#MA3905
31418DKT8
1666524.82600000
PA
USD
1743522.94000000
0.004208042987
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
0.03000000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 3% 06/15/2022
87166FAA1
5477000.00000000
PA
USD
5639631.74000000
0.013611414138
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.03000000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP 1ML+112 12/15/2029 144A
05607QAN8
3681537.48000000
PA
USD
3681536.74000000
0.008885495284
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01232000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 2/41 #A96807
312945R42
948366.64990000
PA
USD
1046440.47000000
0.002525614306
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
BFLD TR 2020 -OBRK
N/A
BFLD TR 2020 - OBRK A 1ML+225 11/15/2022 144A
05553JAA6
7501000.00000000
PA
USD
7575964.24000000
0.018284808569
Long
ABS-MBS
CORP
US
N
2
2028-11-15
Variable
0.02162000
N
N
N
N
N
N
TTM TECHNOLOGIES INC
549300SC4BDOIS008048
TTM TECHNOLOGIES INC 4% 03/01/2029 144A
87305RAK5
130000.00000000
PA
USD
131462.50000000
0.000317288541
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
0.04000000
N
N
N
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
ALCOA INC GLB 5.95 2/1/37
013817AK7
575000.00000000
PA
USD
691408.75000000
0.001668734993
Long
DBT
CORP
US
N
2
2037-02-01
Fixed
0.05950000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.125% 12/15/2026
46625HJZ4
4475000.00000000
PA
USD
5129051.59000000
0.012379114195
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17612
3132J83W8
6374.54530000
PA
USD
6981.33000000
0.000016849641
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM OPER LP 5.125% 05/15/2029
23311VAH0
355000.00000000
PA
USD
376200.60000000
0.000907971016
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
0.05125000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 5.6% 2/15/41
42809HAD9
2846000.00000000
PA
USD
3415444.64000000
0.008243274313
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
0.05600000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#796180
36177Q2N2
30096.49760000
PA
USD
33343.63000000
0.000080475814
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 3.215% 09/06/2026
05526DBJ3
490000.00000000
PA
USD
527756.63000000
0.001273755873
Long
DBT
CORP
US
N
2
2026-09-06
Fixed
0.03215000
N
N
N
N
N
N
XPO LOGISTICS INC
54930096DB9LCLPN7H13
XPO LOGISTICS INC 6.25% 05/01/2025 144A
983793AH3
1810000.00000000
PA
USD
1944030.50000000
0.004691973776
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.06250000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2051 #TBA
01F032633
-13900000.00000000
PA
USD
-14745945.66000000
-0.03558976587
Short
ABS-MBS
USGA
US
N
2
2051-03-01
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
1263747.50000000
0.003050091101
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04950000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.875% 04/01/2021
00912XAM6
2900000.00000000
PA
USD
2900000.00000000
0.006999233783
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
0.03875000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 4.0% 10/01/2023
29250NAF2
3799000.00000000
PA
USD
4096480.01000000
0.009886972854
Long
DBT
CORP
CA
N
2
2023-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 8/31#J35097
31307RUW3
240231.04000000
PA
USD
253066.10000000
0.000610782343
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
VALEANT PHARMACEUTICALS INTL INC
KOO0397YRO83WY5MGD97
VALEANT PHARMA TERM B-2 INCR 11/27/2025
N/A
3000000.00000000
PA
USD
2997660.00000000
0.007234939014
Long
LON
CORP
US
N
2
2025-11-27
Variable
0.02870750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 03/01/45#AX9566
3138YBTY9
2575461.04650000
PA
USD
2828352.78000000
0.006826311148
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.5% 07/32#BM3929
3140J8LK7
4398718.55000000
PA
USD
4726472.35000000
0.011407477568
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.875% 02/15/2051
912810SU3
3230000.00000000
PA
USD
3058406.25000000
0.007381551844
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.01875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783261
36241LTS5
552413.82040000
PA
USD
630861.44000000
0.001522602311
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO 6.7% 9/15/38
406216AW1
170000.00000000
PA
USD
223703.41000000
0.000539914643
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 15YR 2.5% 09/01/2031#AS8011
3138WH3V2
1137229.47000000
PA
USD
1195177.91000000
0.002884596415
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
0.02500000
N
N
N
N
N
N
ENDEAVOR ENERGY RES L P / EER FIN INC
N/A
ENDEAVOR ENERGY RES L P / EER FIN INC 6.625% 07/15/2025 144A
29260FAF7
45000.00000000
PA
USD
47298.60000000
0.000114156537
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.06625000
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
12405000.00000000
0.029939825890
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
0.05875000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
LEVEL 3 FINANCING INC 3.875% 11/15/2029 144A
527298BQ5
1500000.00000000
PA
USD
1619767.50000000
0.003909355657
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.03875000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 3.05% 06/05/2023
02005NBK5
11748000.00000000
PA
USD
12353122.80000000
0.029814618770
Long
DBT
CORP
US
N
2
2023-06-05
Fixed
0.03050000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 12/39 #728451
3620AFH42
58379.25170000
PA
USD
66996.14000000
0.000161697119
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.05000000
N
N
N
N
N
N
NORTHWEST FIBER LLC/NORTHWEST FIBER FINANCE SUB INC
N/A
NORTHWEST FIBER LLC/NORTHWEST FIBER FINANCE SUB INC 6% 02/15/2028 144A
667449AC6
35000.00000000
PA
USD
35218.75000000
0.000085001470
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 04/01/2030#AS4752
3138WEH69
935217.59320000
PA
USD
984918.14000000
0.002377128386
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
0.02500000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 5.625% 02/15/2027 144A
92840VAB8
625000.00000000
PA
USD
653125.00000000
0.001576336056
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.05625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2043#AB9376
31417GM29
1496889.29010000
PA
USD
1637894.32000000
0.003953105261
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN 5.8% 3/15/35
494550AT3
1200000.00000000
PA
USD
1518262.97000000
0.003664371542
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
0.05800000
N
N
N
N
N
N
NATIONSTAR HECM LOAN TRUST 2020-1
N/A
NATIONSTAR HECM LOAN TRUST 2020-1 1.2686% 09/25/2030 144A
63862XAA0
7891208.67000000
PA
USD
7880547.65000000
0.019019929428
Long
ABS-CBDO
CORP
US
N
2
2030-09-25
Fixed
0.01268600
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2047#AS8699
3138WJUZ9
892526.52600000
PA
USD
972635.51000000
0.002347483903
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 05/20/2045#MA2828
36179RD97
292584.01970000
PA
USD
323727.63000000
0.000781325987
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
0.04500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.15% 03/22/2030
92343VFE9
2673000.00000000
PA
USD
2866998.64000000
0.006919584047
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
0.03150000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2042#794559
36177PB53
45171.19430000
PA
USD
50044.74000000
0.000120784425
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2041#AB2091
31416XKD1
396131.45880000
PA
USD
436768.49000000
0.001054153369
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 2.802%/VAR 01/25/2052
6174468Y8
1015000.00000000
PA
USD
966307.50000000
0.002332211068
Long
DBT
CORP
US
N
2
2052-01-25
Variable
0.02802000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2047#BE7087
3140FS2V4
104142.09360000
PA
USD
115273.75000000
0.000278216525
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 30YR 3.0% 12/01/2042#C04422
31292L4F9
823863.60710000
PA
USD
880201.71000000
0.002124392256
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 5.0% 02/01/2041#A96961
312945WW4
53843.50140000
PA
USD
61965.47000000
0.000149555452
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13425
3132HPYW8
253427.06260000
PA
USD
280448.17000000
0.000676869760
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 3.5% 08/01/26#J16432
3128PWED6
300993.31200000
PA
USD
321807.09000000
0.000776690708
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
0.03500000
N
N
N
N
N
N
RETAIL OPPTY INVTS PRTNRSHP LP
549300KH0PNTJK9NTE57
RETAIL OPPORTUNITY 5% 12/15/23
76132FAA5
626000.00000000
PA
USD
672425.16000000
0.001622917550
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 15YR 2.5% 12/01/2032#BJ2987
3140H4J96
138686.10700000
PA
USD
145622.95000000
0.000351465196
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% 11/01/2049#SD7509
3132DVKW4
26891243.11600000
PA
USD
28713536.27000000
0.069300949346
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.75% 05/18/2046
172967KR1
10000000.00000000
PA
USD
12368791.90000000
0.029852436595
Long
DBT
CORP
US
N
2
2046-05-18
Fixed
0.04750000
N
N
N
N
N
N
PANAMA REPUBLIC OF
549300SHS4T08CL0LP14
PANAMA REPUBLIC OF 4.5% 04/16/2050
698299BH6
400000.00000000
PA
USD
444000.00000000
0.001071606827
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2038#ZA2505
31329KYA6
103297.32500000
PA
USD
110090.28000000
0.000265706071
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.03500000
N
N
N
N
N
N
ENTERGY TEX INC
LWXX58X12AJXISQ28573
ENTERGY TEX INC 1.75% 03/15/2031
29365TAK0
1475000.00000000
PA
USD
1436851.40000000
0.003467882365
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
0.01750000
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
420000.00000000
0.001013682134
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
0.05000000
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
437130.00000000
PA
USD
437010.10000000
0.001054736501
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.03200000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 03/01/2051 #TBA
01F032633
1250000.00000000
PA
USD
1326074.25000000
0.003200518513
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.5% 01/43 #Q16224
3132J7LE0
19350.95840000
PA
USD
21114.34000000
0.000050960069
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 4.223/VAR 05/01/2029
38141GWZ3
2525000.00000000
PA
USD
2910362.32000000
0.007024243542
Long
DBT
CORP
US
N
2
2029-05-01
Variable
0.04223000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/01/2048#G67713
3132XCSA4
5468096.04900000
PA
USD
5986186.12000000
0.014447833146
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 1/41 #AB2068
31416XJN1
35045.61940000
PA
USD
38101.26000000
0.000091958491
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
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 3.85% 05/25/2028
3137FG6Y6
660000.00000000
PA
USD
767105.33000000
0.001851430876
Long
ABS-MBS
USGSE
US
N
2
2028-05-25
Fixed
0.03850000
N
N
N
N
N
N
UST BILLS
N/A
UST BILLS 0% 04/20/2021
912796D97
10000000.00000000
PA
USD
9999375.00000000
0.024133780452
Long
DBT
UST
US
N
2
2021-04-20
Fixed
0.00000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 8/42 #Q10333
3132HLLN1
39084.35900000
PA
USD
42743.69000000
0.000103163130
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST TAXM 7.35% 7/01/35
452152GS4
4655000.00000000
PA
USD
5719970.90000000
0.013805315021
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
0.07350000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Forward: USD/GBP settle 2021-04-06
N/A
1.00000000
NC
N/A
41898.20000000
0.000101122516
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
4611123.00000000
GBP
6467621.06000000
USD
2021-04-06
41898.20000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 12/01/2049#QA5154
31346YWP4
7492194.73800000
PA
USD
7962444.59000000
0.019217590059
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/42 #AQ5136
3138MLV68
527351.72480000
PA
USD
575214.80000000
0.001388297538
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#FM3884
3140X7J67
3154470.49000000
PA
USD
3379077.62000000
0.008155501460
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/42#AQ8665
3138MQTX1
2850012.80080000
PA
USD
3118480.30000000
0.007526542299
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03500000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT SECURITIZATION
N/A
CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A
14856CAA7
6542384.55000000
PA
USD
6590672.58000000
0.015906778681
Long
ABS-CBDO
CORP
US
N
2
2043-06-15
Fixed
0.04125000
N
N
N
N
N
N
MATTAMY GROUP CORP
5493008TNY7A82WCXU31
MATTAMY GROUP CORP 4.625% 03/01/2030 144A
57701RAM4
500000.00000000
PA
USD
519375.00000000
0.001253526567
Long
DBT
CORP
CA
N
2
2030-03-01
Fixed
0.04625000
N
N
N
N
N
N
WYETH
549300Q9GR3WRH4N4836
WYETH 6.45% 02/01/2024
983024AF7
1875000.00000000
PA
USD
2188486.16000000
0.005281974574
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.06450000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 3.25% 01/15/2031
756109AX2
1177000.00000000
PA
USD
1280326.30000000
0.003090104514
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 08/39#A87886
312934XP2
667023.21170000
PA
USD
764512.79000000
0.001845173706
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
0.05000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
SUNTRUST BANKS INC 2.7% 01/27/2022
867914BM4
540000.00000000
PA
USD
550880.17000000
0.001329565205
Long
DBT
CORP
US
N
2
2022-01-27
Fixed
0.02700000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3% 11/01/2036#AS8249
3138WJEX2
1412571.99000000
PA
USD
1493728.21000000
0.003605156189
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 01/01/27#J17763
3128PXTU0
113378.69400000
PA
USD
121218.86000000
0.000292565220
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.03500000
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
2750584.62870000
PA
USD
3138786.46000000
0.007575551803
Long
ABS-CBDO
USGSE
US
N
2
2042-01-15
Fixed
0.05000000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 3.8% 12/01/2057 144A
00206RMG4
26383000.00000000
PA
USD
25082839.16000000
0.060538156977
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
0.03800000
N
N
N
N
N
N
FIDELITY NATL INFORMN SVCS INC
6WQI0GK1PRFVBA061U48
FIDELITY NATL INFORMN SVCS INC 3.1% 03/01/2041
31620MBU9
1785000.00000000
PA
USD
1803077.07000000
0.004351778600
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
0.03100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2049#FM1534
3140X4V45
2875668.48500000
PA
USD
3180080.71000000
0.007675216668
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.04500000
N
N
N
N
N
N
BWX TECHNOLOGIES INC
549300NP85N265KWMS58
BWX TECHNOLOGIES INC 5.375% 07/15/2026 144A
05605HAA8
700000.00000000
PA
USD
724500.00000000
0.001748601681
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.05375000
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
5961999.45000000
0.014389457919
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
0.03283000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC NEW
549300K2RLMQL149Q332
O'REILLY AUTOMOTIVE INC NEW 1.75% 03/15/2031
67103HAK3
420000.00000000
PA
USD
401450.27000000
0.000968911824
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
0.01750000
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
KROGER CO 2.65% 10/15/2026
501044DE8
530000.00000000
PA
USD
567194.43000000
0.001368940143
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
0.02650000
N
N
N
N
N
N
GARTNER INC
PP55B5R38BFB8O8HH686
GARTNER INC 4.5% 07/01/2028 144A
366651AC1
165000.00000000
PA
USD
173250.00000000
0.000418143880
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
0.04500000
N
N
N
N
N
N
ASCENSION HEALTH
N/A
ASCENSION HEALTH 2.532% 11/15/2029
04352EAA3
295000.00000000
PA
USD
309741.68000000
0.000747570493
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.02532000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/43#AL7261
3138EQB76
1111943.74400000
PA
USD
1215644.95000000
0.002933994207
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
RMF BUYOUT ISSUANCE TRUST 2020-2
N/A
RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A
76971EAA2
1599846.34000000
PA
USD
1590692.02000000
0.003839181146
Long
ABS-CBDO
CORP
US
N
2
2050-10-25
Fixed
0.01718800
N
N
N
N
N
N
HOME POINT CAPITAL INC
N/A
HOME POINT CAPITAL INC 5% 02/01/2026 144A
43734LAA4
300000.00000000
PA
USD
298500.00000000
0.000720438373
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
0.05000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE INC 5.5% 09/01/2041
88732JBB3
2591000.00000000
PA
USD
3171225.56000000
0.007653844508
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/41 #005055
36202FTL0
2389813.30870000
PA
USD
2671825.14000000
0.006448527166
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
0.04500000
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
2280271.79000000
0.005503501844
Long
DBT
CORP
US
N
2
2035-05-15
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
4441698.30000000
0.010720167171
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01412000
N
N
N
N
N
N
JPMBB COML MTG SECS TR 2014-C18
N/A
JPMBB COML MTG SECS TR 2014-C18 3.794% 02/15/2047 144A
46641JAA4
7456111.74000000
PA
USD
7928969.40000000
0.019136796721
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Fixed
0.03793800
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
8875032.32000000
0.021420146911
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Variable
0.01494000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 11/41 #772088
36176PRH1
46379.40110000
PA
USD
50479.73000000
0.000121834286
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.03500000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC 5.5% 07/01/2029 144A
82967NBC1
1000000.00000000
PA
USD
1082200.00000000
0.002611920965
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
0.05500000
N
N
N
N
N
N
PATTERN ENERGY OP LP/PAT
254900P898KPCM50SP51
PATTERN ENERGY OP LP/PAT 4.5% 08/15/2028 144A
70339PAA7
90000.00000000
PA
USD
93646.13000000
0.000226017640
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 03/01/2043#AR6931
3138W4VZ1
239203.44100000
PA
USD
249993.86000000
0.000603367403
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96766
312945QT8
80584.76970000
PA
USD
90342.48000000
0.000218044185
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 06/30/2022
912828ZX1
309500000.00000000
PA
USD
309608807.82000000
0.747249802534
Long
DBT
UST
US
N
2
2022-06-30
Fixed
0.00125000
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
6734179.80000000
0.016253137503
Long
ABS-MBS
CORP
US
N
2
2051-10-15
Fixed
0.04069400
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.0% 08/01/2028#MA1557
31418AWT1
338734.39040000
PA
USD
358247.18000000
0.000864639918
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.03000000
N
N
N
N
N
N
RETAIL PROPERTIES OF AMERICA INC.
549300OVTYLM7DH6CM14
RETAIL PPTYS AMER INC 4.75% 09/15/2030
76131VAB9
10799000.00000000
PA
USD
11671067.85000000
0.028168459443
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
0.04750000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.375% 04/15/2038
035240AM2
2500000.00000000
PA
USD
2907651.48000000
0.007017700851
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
0.04375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 01/01/2043#C04446
31292L5F8
266839.95780000
PA
USD
285087.22000000
0.000688066241
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.125% 07/27/2026
61761J3R8
37616000.00000000
PA
USD
41119372.55000000
0.099242793623
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
0.03125000
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
4344806.73900000
PA
USD
4356327.43000000
0.010514122110
Long
ABS-CBDO
CORP
US
N
2
2039-07-15
Fixed
0.03721000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GSINC 6.75% 10/01/37
38141GFD1
50999000.00000000
PA
USD
74401402.25000000
0.179569933850
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
0.06750000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP 1ML+105.15 12/15/2029 144A
05607QAK4
4441996.03000000
PA
USD
4441995.14000000
0.010720883603
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01112000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/01/2046#G08738
3128MJZC7
1953916.33600000
PA
USD
2100676.75000000
0.005070044026
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY INC 5.25% 06/15/2037
15135UAP4
1695000.00000000
PA
USD
1895507.77000000
0.004574862765
Long
DBT
CORP
CA
N
2
2037-06-15
Fixed
0.05250000
N
N
N
N
N
N
TOLEDO HOSP
5493009DCR7NWV6K4T34
TOLEDO HOSP 5.325% 11/15/2028
889184AC1
2792000.00000000
PA
USD
3279934.11000000
0.007916215734
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.05325000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 4.3%/VAR PERP
060505FQ2
3840000.00000000
PA
USD
3878784.00000000
0.009361557245
Long
EP
CORP
US
N
2
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2034#FM1577
3140X4XF8
7780967.07500000
PA
USD
8392380.68000000
0.020255253234
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03500000
N
N
N
N
N
N
FARMERS EXCHANGE CAP III
N/A
FARMERS EXCHANGE CAP III 5.454/VAR 10/15/2054 144A
30958QAA9
3335000.00000000
PA
USD
4166786.59000000
0.010056659816
Long
DBT
CORP
US
N
2
2054-10-15
Variable
0.05454000
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
1347351.85000000
0.003251872616
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Fixed
0.04030000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS6967
36193SW47
96541.67720000
PA
USD
105764.84000000
0.000255266496
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
EXXON MOBIL CORP
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 4.114% 03/01/2046
30231GAW2
705000.00000000
PA
USD
793236.07000000
0.001914498172
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
0.04114000
N
N
N
N
N
N
DTE ELEC CO
9N0FWODEJVKHC2DYLO03
DTE ELEC CO 3.75% 08/15/2047
23338VAG1
900000.00000000
PA
USD
1021114.65000000
0.002464489708
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
0.03750000
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
1195234.26700000
PA
USD
1255443.83000000
0.003030049954
Long
ABS-CBDO
USGA
US
N
2
2046-11-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 2/41 #AH0067
3138A1CD1
1148267.15750000
PA
USD
1288766.72000000
0.003110475712
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
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
157749.20000000
PA
USD
158303.06000000
0.000382069008
Long
ABS-CBDO
CORP
US
N
2
2030-02-25
Fixed
0.02158200
N
N
N
N
N
N
BOOZ ALLEN AND HAMILTON INC
549300D7XCH2480XU542
BOOZ ALLEN AND HAMILTON INC 3.875% 09/01/2028 144A
09951LAA1
320000.00000000
PA
USD
327761.60000000
0.000791062090
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
0.03875000
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON CO
9R1Z5I36FERIBVKW4P77
SOUTHERN CALIFORNIA EDISON CO 3.5% 10/01/2023
842400FY4
675000.00000000
PA
USD
722496.64000000
0.001743766514
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8987
3617M76Y9
105122.03200000
PA
USD
116314.70000000
0.000280728888
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A97152
3129455M6
98332.21920000
PA
USD
110177.45000000
0.000265916458
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2046#G60393
31335ANJ3
65971.19400000
PA
USD
71982.92000000
0.000173732857
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 20YR 3.5% 10/01/2034#C91793
3128P77E7
11470232.14800000
PA
USD
12371713.25000000
0.029859487358
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
N
N
N
N
N
N
POWER TEAM SERVICES LLC
549300J2G34D0WX8Z443
POWER TEAM SERVICES LLC 9.033% 12/04/2025 144A
73939VAA2
108000.00000000
PA
USD
119610.00000000
0.000288682190
Long
DBT
CORP
US
N
2
2025-12-04
Fixed
0.09033000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
HUMANA INC 3.125% 08/15/2029
444859BK7
2600000.00000000
PA
USD
2801759.45000000
0.006762127377
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
0.03125000
N
N
N
N
N
N
TEACHERS INS and ANNUITY ASSN AMER
O06XD7BJ4EPXNABVFN69
TEACHERS INS and ANNUITY ASSN AMER 4.375% VAR 09/15/2054 144A
878091BE6
2100000.00000000
PA
USD
2241735.91000000
0.005410494384
Long
DBT
CORP
US
N
2
2054-09-15
Variable
0.04375000
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
139685.76000000
0.000337135617
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.03050000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 4.875% 04/15/2028
64110LAS5
145000.00000000
PA
USD
164870.80000000
0.000397920439
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
0.04875000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.625% 11/15/2050
912810SS8
29450000.00000000
PA
USD
26187492.19000000
0.063204268979
Long
DBT
UST
US
N
2
2050-11-15
Fixed
0.01625000
N
N
N
N
N
N
PANAMA REPUBLIC OF
549300SHS4T08CL0LP14
PANAMA REPUBLIC OF 4.3% 04/29/2053
698299BB9
615000.00000000
PA
USD
664968.75000000
0.001604921289
Long
DBT
NUSS
PA
N
2
2053-04-29
Fixed
0.04300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21255
3132JNMC8
202548.99620000
PA
USD
223638.96000000
0.000539759091
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% 04/01/2046#Q39936
3132QXBE6
31228.85070000
PA
USD
34225.53000000
0.000082604305
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2044#MA2074
36179QJT9
842401.09030000
PA
USD
928633.90000000
0.002241284746
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2042#AI9097
3138APDB1
369734.70970000
PA
USD
405603.12000000
0.000978934848
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/40 #782918
36241LG34
531009.50430000
PA
USD
609387.52000000
0.001470774385
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.05000000
N
N
N
N
N
N
SAPPHIRE AVIATION FINANCE
N/A
SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A
80307AAA7
7002143.24820000
PA
USD
6981392.40000000
0.016849792255
Long
ABS-CBDO
CORP
US
N
2
2040-03-15
Fixed
0.03228000
N
N
N
N
N
N
CONSOLIDATED EDISON CO OF NY
VZFZPMWDHTQCFKYOBP05
CONSOLIDATED EDISON CO OF NY 3.7% 11/15/2059
209111FW8
1650000.00000000
PA
USD
1780826.92000000
0.004298077221
Long
DBT
CORP
US
N
2
2059-11-15
Fixed
0.03700000
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
138965.88890000
PA
USD
145064.07000000
0.000350116323
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.04300000
N
N
N
N
N
N
GSR MTG LN TR 2006-OA1
N/A
GSR MTG LN TR 2006-OA1 1ML+44 08/25/2046
362631AA1
19959994.51000000
PA
USD
6829338.07000000
0.016482804737
Long
ABS-CBDO
CORP
US
N
2
2046-08-25
Variable
0.00337630
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 0.875% 08/05/2030
3135G05Q2
705000.00000000
PA
USD
665300.59000000
0.001605722195
Long
DBT
USGSE
US
N
2
2030-08-05
Fixed
0.00875000
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
6312758.76000000
0.015236025648
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Variable
0.01112000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2041#A97673
312946Q25
322090.18640000
PA
USD
360889.59000000
0.000871017451
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
APPLE INC 2.65% 02/08/2051
037833EF3
2735000.00000000
PA
USD
2544996.35000000
0.006142422217
Long
DBT
CORP
US
N
2
2051-02-08
Fixed
0.02650000
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
15375000.00000000
PA
USD
17220000.00000000
0.041560967500
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.05500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 05/15/2028
9128284N7
43880000.00000000
PA
USD
49188451.45000000
0.118717748670
Long
DBT
UST
US
N
2
2028-05-15
Fixed
0.02875000
N
N
N
N
N
N
LYB INTERNATIONAL FINANCE III LLC
N/A
LYB INTERNATIONAL FINANCE III LLC 3.375% 10/01/2040
50249AAH6
165000.00000000
PA
USD
168208.95000000
0.000405977160
Long
DBT
CORP
US
N
2
2040-10-01
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AB6017
31417CVK8
1273718.76590000
PA
USD
1390119.08000000
0.003355092561
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 2.2 07/18/2024
N/A
13700000.00000000
NC
USD
472577.80000000
0.001140580173
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
13700000.00000000
USD
1.00000000
2.20000000
USD
2024-07-18
XXXX
104732.80000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/45#G08654
3128MJWQ9
721413.67160000
PA
USD
780813.00000000
0.001884514733
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03500000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CATHOLIC HLT IN 4.35% 11/01/42
14916RAD6
2500000.00000000
PA
USD
2852269.68000000
0.006884035277
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
0.04350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 01/01/2040#AC8577
31417VQ71
248210.17090000
PA
USD
291460.57000000
0.000703448506
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.05500000
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
5645689.29000000
0.013626034210
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
0.03459000
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
5259153.85000000
0.012693119758
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 15YR 3.0% 12/01/2029#MA2149
31418BL79
1599372.95910000
PA
USD
1699501.70000000
0.004101796452
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 02/01/2031#J33761
31307QFA0
898426.93470000
PA
USD
944111.85000000
0.002278641226
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2041#792596
36177L3E2
25988.01180000
PA
USD
28791.87000000
0.000069490010
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/49#BR8986
3617M76X1
48332.54900000
PA
USD
53221.90000000
0.000128452593
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
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
204500.00000000
0.000493566658
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 30YR 4.0% 06/01/2045#AZ4601
3138YWDF1
64010.04760000
PA
USD
70255.37000000
0.000169563365
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 4% 08/01/2045#Q35879
3132QSQ92
659244.34330000
PA
USD
724152.68000000
0.001747763414
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 30YR 4.5% 01/01/2048#CA1567
3140Q8W50
461835.75700000
PA
USD
504922.91000000
0.001218646030
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04500000
N
N
N
N
N
N
SERVICE PPTYS TR
529900IS770AG1K9QG27
HOSPITALITY PROP TRUST 4.375% 02/15/2030
44106MAY8
200000.00000000
PA
USD
186000.00000000
0.000448916373
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04375000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 8/42 #MA0318
36179MK74
5302372.56520000
PA
USD
5797338.97000000
0.013992045094
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03500000
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
TYSON FOODS INC 4% 03/01/2026
902494BJ1
2520000.00000000
PA
USD
2835626.82000000
0.006843867253
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2041#AH0064
3138A1CA7
45037.73020000
PA
USD
50449.93000000
0.000121762363
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 30YR 5.0% 07/01/2041#AC9301
31417WKP5
39711.06390000
PA
USD
45661.99000000
0.000110206532
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
CENT CLO 20 LTD / CENT CLO 20
N/A
CENT CLO 20 LTD / CENT CLO 20-29A A1N 1ML+170 07/20/2031 144A
197363AA2
6998000.00000000
PA
USD
7035404.31000000
0.016980151560
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Variable
0.01924000
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
2700100.00000000
0.006516769358
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
0.04750000
N
N
N
N
N
N
ALEXANDRIA REAL EST EQUITS INC
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030
015271AU3
5395000.00000000
PA
USD
6585591.69000000
0.015894515807
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
0.04900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q02345
3132GFTA5
63737.98300000
PA
USD
73312.64000000
0.000176942174
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
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
13482000.00000000
PA
USD
14078163.25000000
0.033978053733
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03170000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 1/41 #A96413
312945DS4
2970938.03310000
PA
USD
3277382.27000000
0.007910056795
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
GENERAL MOTORS CO 6.75% 04/01/2046
37045VAL4
1600000.00000000
PA
USD
2225822.66000000
0.005372087295
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
0.06750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22682
3132JP6T4
52260.55120000
PA
USD
57700.02000000
0.000139260665
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM OPER LP 5.625% 07/15/2027
23311VAJ6
260000.00000000
PA
USD
281379.80000000
0.000679118276
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.05625000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2051 #TBA
01F030637
-134700000.00000000
PA
USD
-141050889.48000000
-0.34043039683
Short
ABS-MBS
USGA
US
N
2
2051-03-01
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 3237 C 5.5% 11/15/2036
31397CDM8
465472.30800000
PA
USD
532661.93000000
0.001285594957
Long
ABS-CBDO
USGSE
US
N
2
2036-11-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.5% 09/15/2040#748784
3620C42R0
86304.18750000
PA
USD
98560.14000000
0.000237877745
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/40 #AE5066
31419FTY2
24271.95050000
PA
USD
26749.38000000
0.000064560401
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
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
2005772.99000000
0.004840991059
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.02737000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP CAPITAL MARKETS PLC T5Y 4.375%/VAR PERP
05565QDU9
3695000.00000000
PA
USD
3895527.65000000
0.009401968528
Long
EP
CORP
GB
N
2
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2033#
3140JAUL0
912981.13000000
PA
USD
969567.70000000
0.002340079655
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% 03/01/2046#BM4748
3140J9H20
649254.90060000
PA
USD
708790.73000000
0.001710686904
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
AIMCO 2019
N/A
AIMCO CLO 2019-10A A 3ML+132 07/22/2032 144A
00901AAA5
10856000.00000000
PA
USD
10863914.02000000
0.026220370354
Long
ABS-CBDO
CORP
US
N
2
2032-07-22
Variable
0.01542380
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
656669.73000000
0.001584891365
Long
DBT
CORP
US
N
2
2024-06-24
Fixed
0.02650000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 11/15/2043#711823
36297GYU8
505512.61120000
PA
USD
564421.66000000
0.001362247983
Long
ABS-MBS
USGA
US
N
2
2043-11-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/45#G08659
3128MJWV8
423580.83060000
PA
USD
458457.37000000
0.001106500107
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03500000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 2.55% 12/01/2033 144A
00206RMF6
2798000.00000000
PA
USD
2703065.71000000
0.006523927184
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
0.02550000
N
N
N
N
N
N
OLIN CORP
549300GKK294V7W57P06
OLIN CORP 5.125% 09/15/2027
680665AJ5
700000.00000000
PA
USD
725847.15000000
0.001751853066
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
0.05125000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 5.125% 05/28/2024
780099CH8
25198000.00000000
PA
USD
28168915.01000000
0.067986490200
Long
DBT
CORP
GB
N
2
2024-05-28
Fixed
0.05125000
N
N
N
N
N
N
TRANSOCEAN PROTEUS LTD
5493000CTMQ2LH21VM89
TRANSOCEAN PROTEUS LTD 6.25% 12/01/2024 144A
893829AA9
2400000.00000000
PA
USD
2316000.00000000
0.005589732911
Long
DBT
CORP
KY
N
2
2024-12-01
Fixed
0.06250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2041#AH7450
3138A9H49
94053.39620000
PA
USD
108206.61000000
0.000261159779
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030
92277GAU1
10008000.00000000
PA
USD
10477253.00000000
0.025287152812
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2049#BO8254
3140K4E48
2594235.89700000
PA
USD
2756253.19000000
0.006652296704
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
ANTERO RESOURCES CORPORATION
APVBKPOULHUX7YZLKU17
ANTERO RESOURCES CORP 7.625% 02/01/2029 144A
03674XAQ9
1100000.00000000
PA
USD
1172875.00000000
0.002830767697
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.07625000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 4.25% 12/01/2026
29250NAL9
1943000.00000000
PA
USD
2214395.25000000
0.005344506911
Long
DBT
CORP
CA
N
2
2026-12-01
Fixed
0.04250000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 4% 02/01/2025
92936UAC3
5544000.00000000
PA
USD
6086701.94000000
0.014690430982
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2045#AZ7335
3140E0EH4
1666380.25660000
PA
USD
1827403.08000000
0.004410490128
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
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
268101.82860000
PA
USD
13422.79000000
0.000032396291
Long
ABS-CBDO
USGSE
US
N
2
2031-05-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2031#AS8388
3138WJKA5
881919.89000000
PA
USD
928788.02000000
0.002241656719
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
CNA FINANCIAL CORP
549300YX2GSZD7YG1R84
CNA FINANCIAL CORP 3.9% 05/01/2029
126117AV2
1400000.00000000
PA
USD
1597616.86000000
0.003855894448
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
0.03900000
N
N
N
N
N
N
PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER
N/A
PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER 5.875% 10/01/2028 144A
70052LAB9
2700000.00000000
PA
USD
2844247.50000000
0.006864673513
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
0.05875000
N
N
N
N
N
N
CHEVRON CORP NEW
N/A
CHEVRON CORP NEW 2.355% 12/05/2022
166764AB6
840000.00000000
PA
USD
866240.02000000
0.002090695314
Long
DBT
CORP
US
N
2
2022-12-05
Fixed
0.02355000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.65% 11/20/2040
92343VFT6
1265000.00000000
PA
USD
1182153.47000000
0.002853161553
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
0.02650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17646
3132J85G1
795331.29920000
PA
USD
870541.01000000
0.002101075878
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
ASCENSION HEALTH
N/A
ASCENSION HEALTH 4.847% 11/15/2053
04351LAA8
150000.00000000
PA
USD
208543.76000000
0.000503326389
Long
DBT
CORP
US
N
2
2053-11-15
Fixed
0.04847000
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
59940.80000000
0.000144668852
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.03500000
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
541092.60000000
0.001305942622
Long
DBT
CORP
US
N
2
2049-10-15
Fixed
0.03387000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 10/15/2041#775540
36176TLV8
60747.69880000
PA
USD
67301.80000000
0.000162434838
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
CIM TR 2017-5
N/A
CIM TR 2017-5 4% 05/25/2057 144A
12552CAH3
11080000.00000000
PA
USD
11006013.30000000
0.026563331072
Long
ABS-CBDO
CORP
US
N
2
2057-05-25
Fixed
0.04000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 4.682%/VAR 08/09/2028
25466AAN1
3503000.00000000
PA
USD
3746458.50000000
0.009042185828
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 6% 11/35 #AD0687
31418MXR8
408580.07950000
PA
USD
478110.77000000
0.001153934156
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.06000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.625% 02/15/2029
9128286B1
23255000.00000000
PA
USD
25742194.81000000
0.062129530887
Long
DBT
UST
US
N
2
2029-02-15
Fixed
0.02625000
N
N
N
N
N
N
CONTINENTAL AIR LINES INC
K1OQBWM7XEOO08LDNP29
CONTL AIR 12-1 ETC 4.15 4/24
210795PZ7
539384.95190000
PA
USD
553615.60000000
0.001336167245
Long
DBT
CORP
US
N
2
2025-10-11
Fixed
0.04150000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2043#AD5682
36180HJ33
45229.86960000
PA
USD
50024.94000000
0.000120736637
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 07/15/2046#AT7557
36194GME1
3458.27500000
PA
USD
3781.68000000
0.000009127193
Long
ABS-MBS
USGA
US
N
2
2046-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #489861
36210EFA2
13495.03940000
PA
USD
14951.03000000
0.000036084742
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
NATWEST GRP PLC(UNGTD) 6.1% 06/10/2023
780097AY7
35526000.00000000
PA
USD
39494369.66000000
0.095320802200
Long
DBT
CORP
GB
N
2
2023-06-10
Fixed
0.06100000
N
N
N
N
N
N
AIMCO CLO 11 LTD
549300VLRW0CEQ83RF89
AIMCO CLO 11 LTD 3ML+138 10/15/2031 144A
00140NAA8
5211000.00000000
PA
USD
5221083.29000000
0.012601235361
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Variable
0.01604610
N
N
N
N
N
N
GARTNER INC
PP55B5R38BFB8O8HH686
GARTNER INC 3.75% 10/01/2030 144A
366651AE7
105000.00000000
PA
USD
106312.50000000
0.000256588290
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
0.03750000
N
N
N
N
N
N
FORD MOTOR CO
20S05OYHG0MQM4VUIC57
FORD MOTOR CO 5.291% 12/8/46
345370CS7
825000.00000000
PA
USD
871406.25000000
0.002103164160
Long
DBT
CORP
US
N
2
2046-12-08
Fixed
0.05291000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NATL MTG ASSN 1ML+40 03/20/2050
38382DRU5
5412324.04300000
PA
USD
5447106.88000000
0.013146749826
Long
ABS-CBDO
USGA
US
N
2
2050-03-20
Variable
0.00511130
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY INC 4.65% 05/15/2050
25470DBH1
11727000.00000000
PA
USD
13593460.76000000
0.032808210270
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
0.04650000
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
104250.00000000
0.000251610386
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 4% 11/01/2040#A95150
312943WK5
2814574.37210000
PA
USD
3105699.87000000
0.007495696362
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 2.5% 02/01/2043#AB8463
31417FMM7
229780.39330000
PA
USD
240145.74000000
0.000579598681
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.02500000
N
N
N
N
N
N
TEGNA INC
549300YC5EDBGX85AO10
TEGNA INC 4.75% 03/15/2026 144A
87901JAF2
225000.00000000
PA
USD
239625.00000000
0.000578341860
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2048#G67710
3132XCR72
4750922.99400000
PA
USD
5121502.11000000
0.012360893307
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
INTEL CORP 4.75% 03/25/2050
458140BM1
1250000.00000000
PA
USD
1624426.21000000
0.003920599588
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
0.04750000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031
95000U2L6
24345000.00000000
PA
USD
28777304.26000000
0.069454855232
Long
DBT
CORP
US
N
2
2031-04-04
Variable
0.04478000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SOFR 1.323%/VAR 01/13/2027 144A
09659W2N3
5375000.00000000
PA
USD
5323966.96000000
0.012849548071
Long
DBT
CORP
FR
N
2
2027-01-13
Variable
0.01323000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.3% 08/15/2039
674599CX1
439000.00000000
PA
USD
389612.50000000
0.000940341024
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
0.04300000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 01/47#MA4197
36179SUW5
380930.28010000
PA
USD
413139.08000000
0.000997123105
Long
ABS-MBS
USGA
US
N
2
2047-01-20
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
582935.64540000
PA
USD
623531.46000000
0.001504911193
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 7.375% 01/17/2027
71647NAS8
1240000.00000000
PA
USD
1509080.00000000
0.003642208178
Long
DBT
CORP
NL
N
2
2027-01-17
Fixed
0.07375000
N
N
N
N
N
N
CDK GLOBAL INC
5493000L10CYRTHIJ385
CDK GLOBAL INC 5.875% 06/15/2026
12508EAG6
180000.00000000
PA
USD
187402.50000000
0.000452301347
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.05875000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST 4.95% 06/01/23
452151LE1
5431636.36000000
PA
USD
5641351.84000000
0.013615565649
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
0.04950000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 2.776% 04/25/2023
46647PAE6
2000000.00000000
PA
USD
2054069.98000000
0.004957557240
Long
DBT
CORP
US
N
2
2023-04-25
Variable
0.02776000
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
5989500.00000000
0.014455831291
Long
DBT
CORP
US
N
2
2028-03-09
Fixed
0.06125000
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
40000.00000000
PA
USD
41348.00000000
0.000099794592
Long
DBT
CORP
IE
N
2
2025-02-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2044#AW7233
3138XXBB1
147864.62560000
PA
USD
163965.47000000
0.000395735398
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04500000
N
N
N
N
N
N
SL GREEN OPER PARTNERSHIP LP
2K1OXW4LY7IS2U150Y32
SL GREEN OPER PARTNERSHIP LP 3.25% 10/15/2022
78444FAF3
7000000.00000000
PA
USD
7263511.08000000
0.017530693840
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/41 #AJ1242
3138ASLY6
82050.58900000
PA
USD
91859.36000000
0.000221705219
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
INDONESIA ASAHAN ALUMINIUM TBK PT
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM TBK PT 6.53% 11/15/2028 REGS
N/A
988000.00000000
PA
USD
1202890.00000000
0.002903209767
Long
DBT
CORP
ID
N
2
2028-11-15
Fixed
0.06530000
N
N
N
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
CONOCO INC 6.95% 04/15/2029
208251AE8
425000.00000000
PA
USD
581632.53000000
0.001403786915
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.06950000
N
N
N
N
N
N
UNIVERSITY PA TRUSTEES
549300FG60YK9HZ7DS75
UNIVERSITY PA TRUSTEES 3.61% 02/15/2119
91481CAC4
285000.00000000
PA
USD
305740.91000000
0.000737914519
Long
DBT
CORP
US
N
2
2119-02-15
Fixed
0.03610000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#V80950
3132L6BT7
162416.29740000
PA
USD
179327.54000000
0.000432812198
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
UST BILLS
N/A
UST BILLS 0% 08/05/2021
912796C64
40000000.00000000
PA
USD
39991059.60000000
0.096519577720
Long
DBT
UST
US
N
2
2021-08-05
Fixed
0.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.625% 02/15/2029
87264ABS3
275000.00000000
PA
USD
269156.25000000
0.000649616385
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.02625000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
FISERV INC 3.85% 06/01/2025
337738AP3
1490000.00000000
PA
USD
1644581.03000000
0.003969243829
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.03850000
N
N
N
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
SPRINT CORP 7.875% 09/15/2023
85207UAF2
5977000.00000000
PA
USD
6900745.35000000
0.016655148270
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.07875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q01871
3132GFCG0
46215.77340000
PA
USD
53161.87000000
0.000128307709
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
NIELSEN FINANCE LLC/ NIELSEN FINANCE CO
N/A
NIELSEN FINANCE LLC/ FIN CO 5.625% 10/01/2028 144A
65409QBD3
205000.00000000
PA
USD
215988.00000000
0.000521293278
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
0.05625000
N
N
N
N
N
N
PIMCO FDS PAC INVT MGMT SER
549300F3V4IM7FBY9U59
PIMCO Investment Grade Credit Bond Instl
722005816
59129743.74700000
NS
USD
645696801.72000000
1.558407885680
Long
EC
RF
US
N
1
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY FRN 3ML+93 07/22/2022
61744YAJ7
3691000.00000000
PA
USD
3703213.52000000
0.008937812819
Long
DBT
CORP
US
N
2
2022-07-22
Variable
0.01152380
N
N
N
N
N
N
TRANSOCEAN PHOENIX 2 LTD
N/A
TRANSOCEAN PHOENIX 2 LTD 7.75% 10/15/2024 144A
893828AA1
147000.00000000
PA
USD
145530.00000000
0.000351240859
Long
DBT
CORP
KY
N
2
2024-10-15
Fixed
0.07750000
N
N
N
N
N
N
COMM 14-CCRE18 MTG TR
N/A
COMM 14-CCRE18 MTG TR 3.828% 07/15/2047
12632QAX1
1610000.00000000
PA
USD
1757812.33000000
0.004242530843
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
0.03828000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 04/01/2051 #TBA
21H022648
104500000.00000000
PA
USD
108285711.05000000
0.261350692085
Long
ABS-MBS
USGA
US
N
2
2051-04-01
Fixed
0.02500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.666%/VAR 01/29/2031
172967ML2
10165000.00000000
PA
USD
10505768.72000000
0.025355976326
Long
DBT
CORP
US
N
2
2031-01-29
Variable
0.02666000
N
N
N
N
N
N
FORD MOTOR CO
20S05OYHG0MQM4VUIC57
FORD MOTOR CO 4.75% 1/15/43
345370CQ1
2000000.00000000
PA
USD
2023000.00000000
0.004882568946
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 09/01/2044#AS3293
3138WCUT8
188659.98880000
PA
USD
207479.82000000
0.000500758539
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
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
2531579.36000000
0.006110039924
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.06020000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
APPLE INC 3.85% 08/04/2046
037833CD0
1005000.00000000
PA
USD
1150540.28000000
0.002776862205
Long
DBT
CORP
US
N
2
2046-08-04
Fixed
0.03850000
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH
N/A
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH 1ML+91 06/15/2035 144A
46650FAA0
2936329.59000000
PA
USD
2942236.60000000
0.007101173037
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Variable
0.02410000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 11/20/2049#MA6284
36179U6V9
1016742.99400000
PA
USD
1077338.94000000
0.002600188656
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
0.03500000
N
N
N
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
WESTAR ENERGY INC 4.125% 3/42
95709TAH3
655000.00000000
PA
USD
751767.98000000
0.001814413738
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#BK4838
3140HJLU3
30764.48600000
PA
USD
33525.76000000
0.000080915390
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
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
517700.14100000
PA
USD
550628.35000000
0.001328957430
Long
ABS-CBDO
USGA
US
N
2
2046-02-20
Fixed
0.03000000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO UNITED MEXICAN STATES 3.771% 05/24/2061
91087BAN0
950000.00000000
PA
USD
832140.63000000
0.002008395451
Long
DBT
NUSS
MX
N
2
2061-05-24
Fixed
0.03771000
N
N
N
N
N
N
BENCHMARK 2021-B23 MTG TR
N/A
BENCHMARK 2021-B23 MTG TR 1.823% 02/15/2054
08162RAC1
2000000.00000000
PA
USD
1956760.20000000
0.004722697275
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Fixed
0.01823000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP PAY 1.57 02/16/2022
N/A
-9300000.00000000
NC
USD
-317777.37000000
-0.00076696486
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS FSWP IRS 02/18/32 3MLV1.57%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2032-02-18
0.00000000
USD
0.00000000
USD
-9300000.00000000
USD
1.00000000
1.57000000
USD
2022-02-16
XXXX
-70397.37000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2047#BH9317
3140GYK73
1801454.46650000
PA
USD
1936808.91000000
0.004674544260
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
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 3.0% 11/15/2021
3137AJAX2
17668.98500000
PA
USD
131.26000000
0.000000316799
Long
ABS-CBDO
USGSE
US
N
2
2021-11-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2028#MA1358
31418AQL5
282716.50830000
PA
USD
296958.35000000
0.000716717557
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 4.50% 8/40 #AL0145
3138EGET7
383954.52050000
PA
USD
428768.66000000
0.001034845548
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.04500000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FINANCE PLC
213800X3RLP4NOTPY579
VIRGIN MEDIA SECD FIN PLC 5.5% 05/15/2029 144A
92769XAP0
175000.00000000
PA
USD
187568.50000000
0.000452701993
Long
DBT
CORP
GB
N
2
2029-05-15
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33623
3132QQAZ5
65233.95980000
PA
USD
71178.50000000
0.000171791366
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 3.95% 12/01/2027
87165BAM5
8719000.00000000
PA
USD
9603555.28000000
0.023178458123
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.03950000
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
3667200.00000000
0.008850893148
Long
DBT
CORP
LU
N
2
2049-04-02
Variable
0.05000000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS INC 3.125% 06/15/2023
92277GAH0
1414000.00000000
PA
USD
1486310.90000000
0.003587254297
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.03125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 4/41 #A97945
312946ZJ8
653722.71970000
PA
USD
732471.01000000
0.001767839944
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q02067
3132GFJL2
63793.97950000
PA
USD
73379.54000000
0.000177103639
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 5.50% 12/37 #967254
31414JBX0
76033.72000000
PA
USD
88596.86000000
0.000213831081
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 30YR 4.0% 06/01/2043#Q19744
3132JBHW6
126358.66500000
PA
USD
139712.92000000
0.000337201168
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.04000000
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
416520.00000000
0.001005283053
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.05875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2047#784303
3622A2X80
3057116.69860000
PA
USD
3377702.77000000
0.008152183220
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
UST BILLS
N/A
UST BILLS 0% 05/25/2021
912796G29
115000000.00000000
PA
USD
114986423.10000000
0.277523054207
Long
DBT
UST
US
N
2
2021-05-25
Fixed
0.00000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.0% 08/20/2045#MA3037
36179RLS6
848918.63500000
PA
USD
965703.52000000
0.002330753345
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 15YR 3% 03/01/2033#BK4845
3140HJL33
103252.63000000
PA
USD
109523.16000000
0.000264337310
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
UPJOHN INC 4% 06/22/2050 144A
91533BAF7
5262000.00000000
PA
USD
5463772.02000000
0.013186971623
Long
DBT
CORP
US
N
2
2050-06-22
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2028#MA1514
31418AVG0
295720.56170000
PA
USD
312755.54000000
0.000754844531
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 5.00% 7/35 #995203
31416BRY6
86676.95560000
PA
USD
98404.24000000
0.000237501476
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.05000000
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
131362.48760000
PA
USD
11649.20000000
0.000028115680
Long
ABS-CBDO
USGSE
US
N
2
2030-12-25
Variable
0.06532370
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/40 #719262
3620A5B73
102883.93410000
PA
USD
118069.80000000
0.000284964873
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2041#AJ5302
3138AW3L5
10826.56500000
PA
USD
11987.77000000
0.000028932829
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 3.5% 05/01/2045#AY9077
3138YPCP5
27375.18930000
PA
USD
29859.79000000
0.000072067465
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% 05/01/2039#AV6645
3138XJL39
403593.76540000
PA
USD
444485.00000000
0.001072777389
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04000000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 4.95% 01/10/2047
06738EAV7
1655000.00000000
PA
USD
2089036.29000000
0.005041949439
Long
DBT
CORP
GB
N
2
2047-01-10
Fixed
0.04950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34623
31307RD44
32781.43470000
PA
USD
35148.24000000
0.000084831292
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 4.00% 1/41 #AH2367
3138A3TZ0
807847.73940000
PA
USD
890820.08000000
0.002150019999
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO UNITED MEXICAN STATES 4.15% 03/28/2027
91087BAC4
275000.00000000
PA
USD
306625.00000000
0.000740048296
Long
DBT
NUSS
MX
N
2
2027-03-28
Fixed
0.04150000
N
N
N
N
N
N
WELLTOWER INC
T6IZ0MBEG5ACZDTR7D06
WELLTOWER INC 2.75% 01/15/2031
95040QAL8
3560000.00000000
PA
USD
3662199.52000000
0.008838824345
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2028#AU2296
3138X1RS7
645637.48790000
PA
USD
676115.32000000
0.001631823858
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #779846
36176YET0
15960.89410000
PA
USD
17802.63000000
0.000042967161
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% 12/01/2049#MA3871
31418DJR4
1920904.51340000
PA
USD
2009655.68000000
0.004850362044
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON CO
9R1Z5I36FERIBVKW4P77
SOUTHERN CAL EDS 3.9% 12/01/14
842400FT5
120000.00000000
PA
USD
123967.47000000
0.000299199070
Long
DBT
CORP
US
N
2
2041-12-01
Fixed
0.03900000
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
1485111.92000000
0.003584360525
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03177097
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
BERRY GLOBAL INC 0.95% 02/15/2024 144A
08576PAC5
4465000.00000000
PA
USD
4466875.30000000
0.010780932588
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.00950000
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
208408.29000000
0.000502999429
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
0.03150000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
VALERO ENERGY CORP NEW 4% 04/01/2029
91913YAW0
820000.00000000
PA
USD
905188.78000000
0.002184699272
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
0.04000000
N
N
N
N
N
N
HOME RE 2021-1 LTD
N/A
HOME RE 2021-1 LTD M1C 1ML+230 07/25/2033 144A
437307AC5
745000.00000000
PA
USD
745492.67000000
0.001799268096
Long
ABS-CBDO
CORP
US
N
2
2033-07-25
Variable
0.02422880
N
N
N
N
N
N
EXXON MOBIL CORP
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 2.397% 03/06/2022
30231GAJ1
1575000.00000000
PA
USD
1603511.60000000
0.003870121573
Long
DBT
CORP
US
N
2
2022-03-06
Fixed
0.02397000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.93% 05/01/2060
097023CX1
4430000.00000000
PA
USD
5812416.98000000
0.014028436306
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
0.05930000
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
4540629.05000000
0.010958939394
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 15YR 3% 03/01/2032#G18636
3128MMV67
817898.16000000
PA
USD
869601.84000000
0.002098809164
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 08/20/2048#MA5398
36179T7K5
12415682.54930000
PA
USD
13363618.67000000
0.032253479746
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AU2287
36194PRG1
52980.20250000
PA
USD
58041.70000000
0.000140085319
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA COMMUNICATIONS CORP 3.875% 02/15/2027
78410GAD6
400000.00000000
PA
USD
414612.00000000
0.001000678040
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.03875000
N
N
N
N
N
N
PBF HLDG CO LLC / PBF FIN CORP
N/A
PBF HLDG CO LLC / PBF FIN CORP 9.25% 05/15/2025 144A
69318FAK4
475000.00000000
PA
USD
462982.50000000
0.001117421639
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.09250000
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
932979.62000000
0.002251773267
Long
DBT
CORP
US
N
2
2067-05-15
Variable
0.02306250
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
FISERV INC 3.5% 07/01/2029
337738AU2
3895000.00000000
PA
USD
4292509.29000000
0.010360095185
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
0.03500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 2.25% 06/15/2026
097023BR5
810000.00000000
PA
USD
818896.06000000
0.001976429299
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.02250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2047#
3128MJ3C2
266512.32000000
PA
USD
291443.83000000
0.000703408103
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 2.25% 01/15/2023
00914AAD4
1711000.00000000
PA
USD
1756492.92000000
0.004239346408
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.02250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 04/01/2043#AT4017
3138WRPB0
455974.47400000
PA
USD
487016.21000000
0.001175427693
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
CFMT 2020-HB2
N/A
CFMT 2020-HB2 3.4047% 04/25/2030 144A
12529EAA4
6290262.16000000
PA
USD
6358719.08000000
0.015346952208
Long
ABS-CBDO
CORP
US
N
2
2030-04-25
Fixed
0.03404700
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 5.017% 06/26/2024 144A
46115HAT4
31005000.00000000
PA
USD
33770839.47000000
0.081506896729
Long
DBT
CORP
IT
N
2
2024-06-26
Fixed
0.05017000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #743475
3620AX6L7
35000.67350000
PA
USD
40166.84000000
0.000096943828
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.27 11/25/2025
N/A
-28100000.00000000
NC
USD
-1570825.97000000
-0.00379123386
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 11/28/30 3MLV1.27%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-11-28
0.00000000
USD
0.00000000
USD
-28100000.00000000
USD
1.00000000
1.27000000
USD
2025-11-25
XXXX
-869028.47000000
N
N
N
MORGAN STANLEY ABS CAP I INC TR 2007 NC3
549300LT6TIGKPKJS707
MSAC 2007-NC3 A2D 1ML+ 26 5/37
61755AAE6
2710296.27000000
PA
USD
2333102.17000000
0.005631009492
Long
ABS-CBDO
CORP
US
N
2
2037-05-25
Variable
0.00377630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2033#709252
31401H5M0
72752.90220000
PA
USD
82409.61000000
0.000198897974
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US ULTRA BOND CBT FUT JUN21 WNM1
N/A
731.00000000
NC
USD
-953922.11000000
-0.00230231857
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UNITED STATES TREASURY BOND
UNITED STATES TREASURY BOND 0% 06/30/2040
2021-06-21
139158609.61000000
USD
-953922.11000000
N
N
N
LAMB WESTON HOLDINGS INC
5493005SMYID1D2OY946
LAMB WESTON HOLDINGS INC 4.875% 05/15/2028 144A
513272AC8
345000.00000000
PA
USD
376050.00000000
0.000907607539
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
0.04875000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS 2.219%/VAR 06/09/2026 144A
09659W2L7
9163000.00000000
PA
USD
9497618.37000000
0.022922776330
Long
DBT
CORP
FR
N
2
2026-06-09
Variable
0.02219000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#BD9690
3140FHXU6
249554.95700000
PA
USD
269631.33000000
0.000650763004
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 4.0% 10/01/2043#Q22486
3132JPXP2
20439.95380000
PA
USD
22567.42000000
0.000054467120
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 3.95% 11/06/2024
254709AK4
8102000.00000000
PA
USD
8904728.58000000
0.021491819693
Long
DBT
CORP
US
N
2
2024-11-06
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AU1628
3138X0Y28
446910.70350000
PA
USD
477335.40000000
0.001152062778
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 5.0% 02/01/2041#AE0972
31419BCJ2
104944.73180000
PA
USD
120835.26000000
0.000291639391
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 3% 05/50#FM3269
3140X6T35
1489764.76100000
PA
USD
1586529.15000000
0.003829133939
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.03000000
N
N
N
N
N
N
PACIFICORP
SGY07Y7FNYBNLM6Z1M11
PACIFICORP 5.25 6/15/35
695114BZ0
1375000.00000000
PA
USD
1826978.75000000
0.004409465996
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
0.05250000
N
N
N
N
N
N
ENCORE CR RECEIVABLES TR
N/A
ENCORE CR RECEIVABLES TR 05-4 M4 1ML+60 01/25/2036
29256PAZ7
4800000.00000000
PA
USD
4723789.44000000
0.011401002287
Long
ABS-CBDO
CORP
US
N
2
2036-01-25
Variable
0.01017630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2041#AJ1874
3138ATCL2
443171.85750000
PA
USD
486579.96000000
0.001174374791
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.03500000
N
N
N
N
N
N
HOME RE 2021-1 LTD
N/A
HOME RE 2021-1 LTD M1A 1ML+105 07/25/2033 144A
437307AA9
305000.00000000
PA
USD
305139.26000000
0.000736462419
Long
ABS-CBDO
CORP
US
N
2
2033-07-25
Variable
0.01172880
N
N
N
N
N
N
WESTINGHOUSE AIR BRAKE TECH CORP
06BTX5UWZD0GQ5N5Y745
WESTINGHOUSE AIR BRAKE TECH CORP 3.45% 11/15/2026
960386AL4
740000.00000000
PA
USD
799657.30000000
0.001929995996
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
0.03450000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 4% 11/13/2030
345397B36
345000.00000000
PA
USD
352762.50000000
0.000851402485
Long
DBT
CORP
US
N
2
2030-11-13
Fixed
0.04000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.375% 10/15/2028
125523AH3
14599000.00000000
PA
USD
17029687.81000000
0.041101643531
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
0.04375000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 5.75% 8/15/42
91529YAJ5
2238000.00000000
PA
USD
2699392.77000000
0.006515062438
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
0.05750000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 5.2% 03/01/2047
55336VAL4
1775000.00000000
PA
USD
2066790.42000000
0.004988258390
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
0.05200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2045#BA3538
3140E74Y3
48394.87520000
PA
USD
53071.29000000
0.000128089091
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 4.5% 01/42#G60517
31335ASE9
1113145.00890000
PA
USD
1247931.62000000
0.003011919018
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2045#AY2657
3138YF5T7
52403.14680000
PA
USD
57208.45000000
0.000138074246
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 10/01/2031#G15963
3128MEZ46
144026.54600000
PA
USD
152115.42000000
0.000367134960
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24971
3132M5FL1
32142.14930000
PA
USD
35428.61000000
0.000085507973
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 2% 02/01/2051#MA4255
31418DWR9
9492497.50900000
PA
USD
9589330.48000000
0.023144126157
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AR3062
36192XMK2
95788.06250000
PA
USD
104939.23000000
0.000253273863
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 4.50% 7/40 #719230
3620A5A74
63356.90730000
PA
USD
72354.15000000
0.000174628831
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 11/15/41
912834KV9
850000.00000000
PA
USD
540316.10000000
0.001304068517
Long
DBT
UST
US
N
2
2041-11-15
Fixed
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 6/24 #995957
31416CME3
25740.25450000
PA
USD
26797.11000000
0.000064675599
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
0.05000000
N
N
N
N
N
N
NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV
N/A
NYC TFA (PIT) 3.14% 8/1/2028
64971XBN7
2735000.00000000
PA
USD
2997970.25000000
0.007235687812
Long
DBT
MUN
US
N
2
2028-08-01
Fixed
0.03140000
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
194477.21000000
0.000469376364
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
0.04350000
N
N
N
N
N
N
HUDSON PAC PPTYS LP
5493007NTUGLGZ8T3526
HUDSON PAC PPTYS LP 3.25% 01/15/2030
44409MAC0
1750000.00000000
PA
USD
1809418.05000000
0.004367082739
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 10/42 #Q12211
3132HNN47
39574.53260000
PA
USD
43279.76000000
0.000104456951
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 7.5% 03/15/2027
893647BH9
40000.00000000
PA
USD
42635.20000000
0.000102901286
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.07500000
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 1.5% 10/25/2049
3137FRHM6
6308238.21000000
PA
USD
6422860.16000000
0.015501758558
Long
ABS-CBDO
USGSE
US
N
2
2049-10-25
Fixed
0.01500000
N
N
N
N
N
N
EATON VANCE CLO 2020-2 LTD
N/A
EATON VANCE CLO 2020-2A A1 3ML+137 10/15/2032 144A
27829PAA4
5900000.00000000
PA
USD
5909929.70000000
0.014263786073
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01560340
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
ALTICE FRANCE SA 5.125% 01/15/2029 144A
02156LAE1
300000.00000000
PA
USD
301654.50000000
0.000728051850
Long
DBT
CORP
FR
N
2
2029-01-15
Fixed
0.05125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 03/20/45#MA2677
36179Q6N6
338904.89410000
PA
USD
358787.33000000
0.000865943586
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
0.03000000
N
N
N
N
N
N
VOYA CLO 2020-3 LTD / VOYA CLO 2020-3 LLC
N/A
VOYA 2020-3A A1 3ML+127 10/20/2031 144A
92918NAC1
7500000.00000000
PA
USD
7541497.50000000
0.018201622096
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Variable
0.01496480
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 3.25% 12/01/2026
25278XAM1
2500000.00000000
PA
USD
2656759.40000000
0.006412165567
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.0% 08/01/2028#AS0294
3138W9KG4
271658.44640000
PA
USD
287731.80000000
0.000694449012
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2044#Q28059
3132M8TQ9
33469.39700000
PA
USD
36818.35000000
0.000088862151
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 5.00% 4/40 #A91937
312940EJ4
33888.79980000
PA
USD
39035.14000000
0.000094212438
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.05000000
N
N
N
N
N
N
BAYVIEW COML ASST TR 2007 2
N/A
BAYC 2007-2 A2 1ML+32 7/37
07325XAB6
86000.64350000
PA
USD
68429.06000000
0.000165155513
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.00437630
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
UPJOHN INC 1.65% 06/22/2025 144A
91533BAB6
1160000.00000000
PA
USD
1177651.63000000
0.002842296232
Long
DBT
CORP
US
N
2
2025-06-22
Fixed
0.01650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE8956
31419K5S0
24037.35670000
PA
USD
26940.96000000
0.000065022785
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 3% 11/19/2024
418056AX5
5655000.00000000
PA
USD
6059290.60000000
0.014624272921
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
0.03000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 4.55% 03/15/2035
00287YCY3
400000.00000000
PA
USD
482167.39000000
0.001163724925
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
0.04550000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE LLC
W2ZGZGZKY5GGNY6F3V51
ROCKIES EXPRESS PIPELINE LLC 4.8% 05/15/2030 144A
77340RAT4
1331000.00000000
PA
USD
1377744.72000000
0.003325226685
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.04800000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 1/40 #723623
3620A94G3
35993.67670000
PA
USD
41127.59000000
0.000099262626
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030
38141GXH2
18190000.00000000
PA
USD
20651936.65000000
0.049844045756
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
0.03800000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 5.75% 01/15/2030 144A
126307BA4
1000000.00000000
PA
USD
1067200.00000000
0.002575718032
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 08/01/2034#CA4087
3140QBRH3
1693363.09300000
PA
USD
1840712.10000000
0.004442611833
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
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
17047950.35000000
0.041145720699
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
0.01562000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 05/01/2044#AS9099
3138WKDD4
122258.25060000
PA
USD
139504.53000000
0.000336698213
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.05000000
N
N
N
N
N
N
MATCH GROUP HOLDINGS II LLC
N/A
MATCH GROUP INC 4.125% 08/01/2030 144A
57665RAL0
70000.00000000
PA
USD
72362.50000000
0.000174648984
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
0.04125000
N
N
N
N
N
N
INTERNATIONAL GAME TECHNOLOGY PLC.
549300UQ6KHRCZDRGZ76
GTECH CLEOPATRA FIN 6.5% 02/15/2025 144A
460599AC7
800000.00000000
PA
USD
884000.00000000
0.002133559539
Long
DBT
CORP
GB
N
2
2025-02-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/45#Q36614
3132QTK47
18092.98590000
PA
USD
19526.17000000
0.000047126975
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 4.50% 12/40 #A95831
312944PQ8
1019086.06750000
PA
USD
1142483.43000000
0.002757416765
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q11868
3132HNCD9
45515.50570000
PA
USD
50366.72000000
0.000121561533
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 20YR 3.5% 08/01/2034#C91778
3128P76P3
424604.58770000
PA
USD
457975.58000000
0.001105337293
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/40 #AE8869
31419K2B0
14731.23940000
PA
USD
16229.18000000
0.000039169594
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR GOVT 4.5% 04/23/2028 REGS
N/A
900000.00000000
PA
USD
1059750.00000000
0.002557737242
Long
DBT
NUSS
QA
N
2
2028-04-23
Fixed
0.04500000
N
N
N
N
N
N
BAT INTL FIN PLC
21380041YBGOQDFAC823
BAT INTL FINANCE PLC 3.95% 06/15/2025 144A
05530QAK6
3600000.00000000
PA
USD
3967055.78000000
0.009574603736
Long
DBT
CORP
GB
N
2
2025-06-15
Fixed
0.03950000
N
N
N
N
N
N
BANFF MERGER SUB INC
549300DSDR5SWIGOZV63
BANFF MERGER SUB INC 9.75% 09/01/2026 144A
05988LAA6
500000.00000000
PA
USD
532810.00000000
0.001285952328
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.09750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2047#MA4586
36179TCX1
7269751.66070000
PA
USD
7754130.85000000
0.018714818829
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
0.03500000
N
N
N
N
N
N
CF INDS INC
5FVKT86LAD2F40NPC183
CF INDUSTRIES INC 5.15% 03/15/2034
12527GAF0
300000.00000000
PA
USD
362631.00000000
0.000875220395
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
0.05150000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 4.125% 05/15/2045
68389XBF1
850000.00000000
PA
USD
967908.28000000
0.002336074597
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
0.04125000
N
N
N
N
N
N
ALTICE FRANCE HOLDING SA
5299000JVHXKJPOE6H40
ALTICE FRANCE HOLDING SA 8% 05/15/2027 REGS
N/A
4800000.00000000
PA
6312669.56000000
0.015235810361
Long
DBT
CORP
LU
N
2
2027-05-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 06/20/2045#MA2893
36179RGA1
8998052.06500000
PA
USD
9902270.82000000
0.023899416709
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/42#AB5501
31417CDF9
19580.84840000
PA
USD
21406.98000000
0.000051666364
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 3.5% 10/01/2045#AZ4775
3138YWJV0
2793283.71620000
PA
USD
3013635.25000000
0.007273495742
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.03500000
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
2188231.18200000
PA
USD
2329022.63000000
0.005621163404
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Variable
0.03741176
N
N
N
N
N
N
FRONTIER COMMUNICATIONS CORP
549300ZCZ76HYCS0H445
FRONTIER COMMUNICATIONS CORP 5.875% 10/15/2027 144A
35906ABE7
95000.00000000
PA
USD
101650.00000000
0.000245335211
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.05875000
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
1572818.52000000
0.003796042938
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
0.04375000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 2.85% 07/25/2022
87165BAQ6
2029000.00000000
PA
USD
2090118.49000000
0.005044561360
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
0.02850000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 6.125% 12/15/2022
780099CE5
5889000.00000000
PA
USD
6424352.62000000
0.015505360653
Long
DBT
CORP
GB
N
2
2022-12-15
Fixed
0.06125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2046#BD1238
3140F8LU9
136203.77640000
PA
USD
152018.11000000
0.000366900100
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
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
2699411.40000000
0.006515107402
Long
DBT
CORP
US
N
2
2022-05-06
Fixed
0.03245000
N
N
N
N
N
N
VEREIT OPER PARTNERSHIP LP
5493005TQOUJE1LCS698
VEREIT OPER PARTNERSHIP LP 2.85% 12/15/2032
92340LAG4
1553000.00000000
PA
USD
1549397.29000000
0.003739515122
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
0.02850000
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
3498868.24000000
0.008444619582
Long
DBT
CORP
US
N
2
2037-06-26
Fixed
0.06450000
N
N
N
N
N
N
IHS MARKIT LTD
549300HLPTRASHS0E726
IHS MARKIT LTD 5% 11/01/2022 144A
44962LAA5
6800000.00000000
PA
USD
7216367.26000000
0.017416910868
Long
DBT
CORP
BM
N
2
2022-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/48#BK1867
3140HFCD9
39391.85500000
PA
USD
42939.79000000
0.000103636423
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 08/45#MA3033
36179RLN7
608976.63000000
PA
USD
644512.97000000
0.001555550673
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2040#AD9214
31418XGY8
47589.13410000
PA
USD
54794.99000000
0.000132249291
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #778862
36176XB73
121044.07480000
PA
USD
131858.85000000
0.000318245143
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 4.78% 03/25/2038
126650CY4
1320000.00000000
PA
USD
1608851.63000000
0.003883009890
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
0.04780000
N
N
N
N
N
N
FIVE CORNERS FND TR II
N/A
FIVE CORNERS FND TR II 2.85% 05/15/2030 144A
33834DAA2
11420000.00000000
PA
USD
12128158.20000000
0.029271660208
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.02850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2039#AW9574
3138XZT84
179550.13400000
PA
USD
200547.23000000
0.000484026533
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 02/47#MA4261
36179SWW3
1083998.91920000
PA
USD
1145561.06000000
0.002764844714
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
0.03000000
N
N
N
N
N
N
BLACKROCK RAINIER CLO VI LTD / BLACKROCK RAINIER CLO VI LLC
N/A
BLACKROCK RAINIER CLO VI LTD / BLACKROCK RAINIER CLO VI LLC 3ML+170 04/20/2033 144A
09261MAA4
8500000.00000000
PA
USD
8500000.00000000
0.020514995572
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Variable
0.01887620
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q34164
3132QQTW2
1060346.70730000
PA
USD
1149019.79000000
0.002773192459
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM5110
3140J9VC2
5940731.05500000
PA
USD
6314507.00000000
0.015240245075
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 08/01/2033#730817
31402J4A2
19692.19400000
PA
USD
22262.58000000
0.000053731380
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2046#Q40046
3132WDBQ6
3944003.91600000
PA
USD
4272594.66000000
0.010312030650
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
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
173360.00680000
PA
USD
189320.22000000
0.000456929820
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
MOOG INC
549300WM2I4U7OBAHG07
MOOG INC 4.25% 12/15/2027 144A
615394AM5
360000.00000000
PA
USD
369900.00000000
0.000892764336
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 4.0% 09/40#AE4589
31419FC38
310657.62670000
PA
USD
342460.89000000
0.000826539252
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 06/01/2028#AT7761
3138WVTT8
282834.60810000
PA
USD
296186.04000000
0.000714853564
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2029#MA1775
31418A6M5
320943.80910000
PA
USD
339431.78000000
0.000819228407
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
0.03000000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030
11120VAJ2
9288000.00000000
PA
USD
10285739.53000000
0.024824929519
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
0.04050000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 10/20/2047#MA4779
36179TJY2
232110.20960000
PA
USD
250593.40000000
0.000604814410
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
0.04000000
N
N
N
N
N
N
HYDRO-QUEBEC
6THEVG93PYJH84S4D167
HYDRO-Q 8.05% 7/07/24P06
448814EJ8
1455000.00000000
PA
USD
1808943.30000000
0.004365936916
Long
DBT
CORP
CA
N
2
2024-07-07
Fixed
0.08050000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2044#AW5423
3138XVAZ3
55040.85700000
PA
USD
61104.73000000
0.000147478031
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
0.04500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 1.167% 02/04/2023
097023DD4
4000000.00000000
PA
USD
4016934.80000000
0.009694988192
Long
DBT
CORP
US
N
2
2023-02-04
Fixed
0.01167000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 1.65% 01/15/2031
053332BA9
155000.00000000
PA
USD
146604.07000000
0.000353833158
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
0.01650000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.75% 01/31/2028
91282CBJ9
9035000.00000000
PA
USD
8821830.47000000
0.021291742709
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.00750000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.5% 11/15/2030
969457BX7
10592000.00000000
PA
USD
11505643.46000000
0.027769202898
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 09/30/2025
91282CAM3
43265000.00000000
PA
USD
42494342.19000000
0.102561322573
Long
DBT
UST
US
N
2
2025-09-30
Fixed
0.00250000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.8% 04/01/2027
68389XBU8
7964000.00000000
PA
USD
8565795.36000000
0.020673794574
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.02800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2049#CA4628
3140QCEA0
9756830.08600000
PA
USD
10656949.37000000
0.025720855192
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.04000000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC 4.4% 11/15/2025
21036PBB3
480000.00000000
PA
USD
548832.74000000
0.001324623674
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.04400000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AS6968
36193SW54
113048.10740000
PA
USD
123848.23000000
0.000298911281
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 5.8% 04/01/2047
42809HAH0
4517000.00000000
PA
USD
5645470.23000000
0.013625505502
Long
DBT
CORP
US
N
2
2047-04-01
Fixed
0.05800000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 5/42 #766751
36176HTG9
263805.89410000
PA
USD
286221.69000000
0.000690804318
Long
ABS-MBS
USGA
US
N
2
2042-05-15
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
401842.58610000
PA
USD
430734.43000000
0.001039589991
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
METHANEX CORP
549300TSJHRXT9QXRD13
METHANEX CORP 5.125% 10/15/2027
59151KAM0
320000.00000000
PA
USD
330944.00000000
0.000798742905
Long
DBT
CORP
CA
N
2
2027-10-15
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 11/33 #725027
31402CPL0
81444.90610000
PA
USD
92245.62000000
0.000222637468
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.05000000
N
N
N
N
N
N
NYU HOSPS CTR
N/A
NYU HOSPS CTR 4.368% 07/01/2047
62952EAE7
810000.00000000
PA
USD
955629.98000000
0.002306440565
Long
DBT
CORP
US
N
2
2047-07-01
Fixed
0.04368000
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
12289363.52000000
0.029660733905
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
0.04250000
N
N
N
N
N
N
MASCO CORP
5GCSNMQXHEYA1JO8QN11
MASCO CORP 4.45% 04/01/2025
574599BJ4
1610000.00000000
PA
USD
1820728.96000000
0.004394381947
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.04450000
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST 2020-HB5
N/A
CASCADE FUNDING MORTGAGE TRUST 2020-HB5 0.8335% 02/25/2031 144A
12526PAA2
5615000.00000000
PA
USD
5608694.36000000
0.013536745877
Long
ABS-CBDO
CORP
US
N
2
2031-02-25
Fixed
0.00800600
N
N
N
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
STEEL DYNAMICS INC 2.4% 06/15/2025
858119BL3
365000.00000000
PA
USD
383151.75000000
0.000924747818
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.02400000
N
N
N
N
N
N
TCW FDS INC
549300RGHXB227I79431
TCW Total Return Bond N
87234N641
18021933.07800000
NS
USD
189410516.65000000
0.457147754165
Long
EC
RF
US
N
1
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/39 #710924
36297FYV8
60750.53680000
PA
USD
69478.24000000
0.000167687739
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.05000000
N
N
N
N
N
N
NEXTERA ENERGY CAP HLDGS INC
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAP HLDGS INC FRN 3ML+27 02/22/2023
65339KBT6
5000000.00000000
PA
USD
5001750.00000000
0.012071868129
Long
DBT
CORP
US
N
2
2023-02-22
Variable
0.00452380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2046#MA2737
31418CBF0
377485.49500000
PA
USD
399055.13000000
0.000963131085
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#BK2485
3140HFXP9
51871.00600000
PA
USD
56526.70000000
0.000136428823
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
INVESCO EURO CLO I DAC
N/A
INVESCO EURO CLO I DAC 3MEUR+65 07/15/2031 144A
N/A
10000000.00000000
PA
12062483.56000000
0.029113152567
Long
ABS-CBDO
CORP
IE
N
2
2031-07-15
Variable
0.00000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 06/01/2031#J34501
31307RAA3
1472656.38800000
PA
USD
1549036.45000000
0.003738644225
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.02500000
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
MARATHON PETROLEUM CORP 3.8% 04/01/2028
56585ABD3
3090000.00000000
PA
USD
3403855.84000000
0.008215304410
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
0.03800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22499
3132JPX49
277659.75800000
PA
USD
306570.47000000
0.000739916686
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
QWEST CORPORATION
549300R2L4N683OO1509
US WEST COMMUNICATIONS 7.25% 09/15/2025
912920AK1
203000.00000000
PA
USD
241823.75000000
0.000583648607
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
0.07250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2047#BM2005
3140J6GP6
414554.34900000
PA
USD
448653.64000000
0.001082838522
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
2427362.51000000
0.005858509546
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
0.04300000
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
2251036.78000000
0.005432942302
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 3% 08/01/2049#QA1997
31334YGE1
1097609.37760000
PA
USD
1148322.00000000
0.002771508322
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.03000000
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
159020.97000000
0.000383801705
Long
DBT
CORP
US
N
2
2047-12-15
Fixed
0.04080000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AT5989
3138WTUP9
427080.50000000
PA
USD
456155.20000000
0.001100943753
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Forward: EUR/USD settle 2021-03-02
N/A
1.00000000
NC
N/A
-249844.93000000
-0.00060300795
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
37237591.76000000
USD
30655793.00000000
EUR
2021-03-02
-249844.93000000
N
N
N
MACK-CALI REALTY LP
549300MJC9VNA6VSEE11
MACK-CALI REALTY LP 4.5% 04/18/2022
55448QAQ9
644000.00000000
PA
USD
657087.57000000
0.001585899834
Long
DBT
CORP
US
N
2
2022-04-18
Fixed
0.04500000
N
N
N
N
N
N
QUICKEN LOANS INC
549300FGXN1K3HLB1R50
QUICKEN LOANS INC 5.25% 01/15/2028 144A
74840LAB8
300000.00000000
PA
USD
316515.00000000
0.000763918096
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.05250000
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
3042961.10000000
0.007344274528
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 4% 02/01/2048#V83994
3132L9NK7
1115556.19600000
PA
USD
1205870.18000000
0.002910402518
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 5.50% 11/36 #904131
31411CPQ8
9193.88280000
PA
USD
10674.63000000
0.000025763527
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 30YR 4.5% 03/01/2046#BC0289
3140EUKB4
54117.19690000
PA
USD
59622.70000000
0.000143901109
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 06/01/2050#SD7518
3132DVK79
9481815.36600000
PA
USD
10136205.70000000
0.024464025300
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.03000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 7.875% 09/15/2031
674599DE2
40000.00000000
PA
USD
47400.00000000
0.000114401269
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
0.07875000
N
N
N
N
N
N
COMM 2014-UBS6 MTG TR
N/A
COMM 2014-UBS6 XA CSTR 12/47
12592PBG7
10821130.03130000
PA
USD
284541.61000000
0.000686749396
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Variable
0.00886496
N
N
N
N
N
N
CORPORACION NACIONAL DEL COBRE DE CHILE
549300UVMBCBCIPSUI70
CORPORACION NACIONAL DEL COBRE DE CHILE 3.15% 01/14/2030 REGS
N/A
1040000.00000000
PA
USD
1094600.00000000
0.002641848723
Long
DBT
CORP
CL
N
2
2030-01-14
Fixed
0.03150000
N
N
N
N
N
N
BWX TECHNOLOGIES INC
549300NP85N265KWMS58
BWX TECHNOLOGIES INC 4.125% 06/30/2028 144A
05605HAB6
200000.00000000
PA
USD
207750.00000000
0.000501410627
Long
DBT
CORP
US
N
2
2028-06-30
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#AS6304
3138WGAE4
1089497.48550000
PA
USD
1194775.95000000
0.002883626273
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
NUTRITION and BIOSCIENCES
N/A
NUTRITION and BIOSCIENCES 3.468% 12/01/2050 144A
67079BAF7
1650000.00000000
PA
USD
1684950.14000000
0.004066675842
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
0.03468000
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
9045172.50000000
0.021830785151
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.04875000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2015-70 JC 3% 10/45
3136AQCV0
728939.82500000
PA
USD
773704.60000000
0.001867358405
Long
ABS-CBDO
USGSE
US
N
2
2045-10-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2040#MA4071
31418DQZ8
1041899.93820000
PA
USD
1063924.14000000
0.002567811649
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.02000000
N
N
N
N
N
N
ERAC USA FIN LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA FIN LLC 3.3% 12/01/2026 144A
26884TAR3
4865000.00000000
PA
USD
5352865.70000000
0.012919296015
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
0.03300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2046#Q43328
3132WGVW4
123052.69470000
PA
USD
133150.89000000
0.000321363519
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2042#AO7372
3138LYFN2
151037.06700000
PA
USD
165122.97000000
0.000398529058
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
GS MTG SECS TR 2021
N/A
GS MTG SECS TR 2021-RENT C 1ML+155 11/21/2023 144A
36260XAN6
3525000.00000000
PA
USD
3526056.44000000
0.008510239088
Long
ABS-MBS
CORP
US
N
2
2023-11-21
Variable
0.01800000
N
N
N
N
N
N
COX COMMUNICATIONS INC NEW
5493001NEDZNIFRP2R92
COX COMMUNICATIONS INC NEW 4.6% 08/15/2047 144A
224044CK1
2125000.00000000
PA
USD
2570040.88000000
0.006202867914
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
0.04600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2049#CA4106
3140QBR42
707411.89000000
PA
USD
767950.64000000
0.001853471056
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 01/01/2043#C09022
31292SAX8
525184.91740000
PA
USD
561098.53000000
0.001354227512
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% 05/01/2046#AS7155
3138WG5R1
1190459.40940000
PA
USD
1258854.64000000
0.003038282043
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
VOYA CLO 2017-1 LTD
N/A
VOYA CLO 2017-1 LTD 3ML+125 04/17/2030 144A
92916MAA9
2826000.00000000
PA
USD
2833065.00000000
0.006837684227
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Variable
0.01473380
N
N
N
N
N
N
PINE STREET TRUST II
N/A
PINE STR TR I 5.568% 02/15/2049 144A
72284LAA7
7800000.00000000
PA
USD
10330352.29000000
0.024932603704
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
0.05568000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 4% 04/15/2030
053332AZ5
6924000.00000000
PA
USD
7894272.79000000
0.019053055450
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
COLOMBIA REPUBLIC OF 3.125% 04/15/2031
195325DS1
200000.00000000
PA
USD
198125.00000000
0.000478180411
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
0.03125000
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
3052556.22000000
0.007367432627
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.02012000
N
N
N
N
N
N
WILLIAM (CARTER) CO
TGI2A0HXEYNQPU7TYV27
WILLIAM (CARTER) CO 5.625% 03/15/2027
96926JAC1
875000.00000000
PA
USD
921484.38000000
0.002224029173
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.05625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/46#BC1443
3140EVS99
3097609.04200000
PA
USD
3434684.04000000
0.008289709161
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 04/01/2051 #TBA
01F020646
315200000.00000000
PA
USD
317523339.20000000
0.766351752678
Long
ABS-MBS
USGA
US
N
2
2051-04-01
Fixed
0.02000000
N
N
N
N
N
N
DIGICEL INTERNATIONAL FINANCE LTD / DIGICEL HOLDINGS BERMUDA LTD
N/A
DIGICEL INTERNATIONAL FINANCE LTD / DIGICEL HOLDINGS BERMUDA LTD 8.75% 05/25/2024 144A
25381VAA5
400000.00000000
PA
USD
417500.00000000
0.001007648311
Long
DBT
CORP
LC
N
2
2024-05-25
Fixed
0.08750000
N
N
N
N
N
N
ALTERNATIVE LN TR 2007-OH3
549300TXT201GGLA0F48
ALTERNATIVE LN TR 2007-OH3 STEP 09/25/2047
02151DAD6
2453181.36470000
PA
USD
2289650.09000000
0.005526136642
Long
ABS-CBDO
CORP
US
N
2
2047-09-25
Variable
0.00337630
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 4.95% 07/01/2050
694308JN8
785000.00000000
PA
USD
850527.00000000
0.002052771486
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
0.04950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2047#Q51803
3132XUAD7
592864.46700000
PA
USD
649437.61000000
0.001567436434
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2028#MA1320
31418APE2
302754.47520000
PA
USD
318005.52000000
0.000767515509
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.03000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 5% 08/15/2045
110122DJ4
672000.00000000
PA
USD
897452.28000000
0.002166027005
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
0.05000000
N
N
N
N
N
N
SM ENERGY CO
84BUTVXV5ODI6BXNMH43
SM ENERGY CO 6.625% 01/15/2027
78454LAP5
300000.00000000
PA
USD
282750.00000000
0.000682425293
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.06625000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP 6.875 2/15/38
91324PBK7
700000.00000000
PA
USD
1079597.14000000
0.002605638887
Long
DBT
CORP
US
N
2
2038-02-15
Fixed
0.06875000
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
7730.71950000
PA
USD
7773.00000000
0.000018760360
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.00793880
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
2706669.00000000
0.006532623829
Long
ABS-MBS
CORP
US
N
2
2048-05-10
Fixed
0.03230000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 10/20/44#MA2305
36179QR29
1260444.34850000
PA
USD
1396579.65000000
0.003370685333
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP MTG LN TR
N/A
CITIGROUP MTG LN TR 6% 11/25/2035
17307GL71
1876285.64480000
PA
USD
1907441.37000000
0.004603664854
Long
ABS-CBDO
CORP
US
N
2
2035-11-25
Fixed
0.06000000
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
1172285.60000000
0.002829345163
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.03850000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 3.95% 06/01/25
958254AE4
1176000.00000000
PA
USD
1187760.00000000
0.002866693075
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.03950000
N
N
N
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE CABINET OF MINISTERS 7.75% 09/01/2022 144A
903724AP7
1800000.00000000
PA
USD
1892700.00000000
0.004568086131
Long
DBT
NUSS
UA
N
2
2022-09-01
Fixed
0.07750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19988
3132JBRJ4
146245.85700000
PA
USD
161701.89000000
0.000390272183
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.875% 12/01/2024
55336VAG5
2489000.00000000
PA
USD
2813799.91000000
0.006791187375
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.04875000
N
N
N
N
N
N
MILLICOM INTL CELLULAR SA
549300CTHC1CP86P2G96
MILLICOM INTL CELLULAR SA 4.5% 04/27/2031 144A
600814AR8
200000.00000000
PA
USD
214000.00000000
0.000516495182
Long
DBT
CORP
LU
N
2
2031-04-27
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 05/48#BM3904
3140J8KS1
491428.34970000
PA
USD
545260.93000000
0.001316003007
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/41 #AB3867
31417AJM2
5920.61470000
PA
USD
6472.78000000
0.000015622241
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#BC9096
3140F5DA8
925185.38770000
PA
USD
994411.18000000
0.002400040112
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 15YR 5.00% 9/25 #AE0552
31419ATJ6
59280.26490000
PA
USD
62015.06000000
0.000149675138
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
0.05000000
N
N
N
N
N
N
RADIATE HOLDCO LLC / RADIATE FIN INC
N/A
RADIATE HOLDCO LLC / RADIATE FIN INC 4.5% 09/15/2026 144A
75026JAC4
345000.00000000
PA
USD
349312.50000000
0.000843075810
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.65% 07/30/2045
172967JU6
700000.00000000
PA
USD
876541.84000000
0.002115559054
Long
DBT
CORP
US
N
2
2045-07-30
Fixed
0.04650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2050#FM3217
3140X6SF9
7809473.99100000
PA
USD
8364522.20000000
0.020188015987
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 3/41 #A97661
312946QN9
237986.53700000
PA
USD
266654.70000000
0.000643578822
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 4.75% 5/01/23
404121AF2
205000.00000000
PA
USD
222283.46000000
0.000536487552
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.04750000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 4.4% 11/6/42
00287YAM1
4405000.00000000
PA
USD
5254971.49000000
0.012683025511
Long
DBT
CORP
US
N
2
2042-11-06
Fixed
0.04400000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.5% 04/15/38
55336VAM2
900000.00000000
PA
USD
994917.53000000
0.002401262202
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 1/41 #004922
36202FPF7
4904341.29900000
PA
USD
5395407.11000000
0.013021970937
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/01/2048#Q58491
3132Y2NH5
123774.05600000
PA
USD
131866.94000000
0.000318264669
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.03500000
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
3440056.64000000
0.008302676086
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
0.03252000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/01/2043#G07425
3128M9SN3
510039.03000000
PA
USD
563942.66000000
0.001361091902
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 09/01/2042#AP5143
3138M8WD1
312830.26730000
PA
USD
334127.06000000
0.000806425312
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03000000
N
N
N
N
N
N
FRESENIUS MED CARE US FIN II INC
5493008GJ5TVVTY4UM62
FRESENIUS MED CARE US FIN II 5.875% 01/31/2022 144A
35802XAF0
1800000.00000000
PA
USD
1885467.11000000
0.004550629342
Long
DBT
CORP
US
N
2
2022-01-31
Fixed
0.05875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2042#Q10047
3132HLBQ5
752215.13220000
PA
USD
821202.59000000
0.001981996176
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 3.0% 12/01/42 #AB7276
31417ECN9
489271.03000000
PA
USD
522579.53000000
0.001261260793
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
EMIRATE OF ABU DHABI
213800FER4348CINTA77
EMIRATE OF ABU DHABI 2.5% 09/30/2029 REGS
N/A
1200000.00000000
PA
USD
1241400.00000000
0.002996154765
Long
DBT
NUSS
AE
N
2
2029-09-30
Fixed
0.02500000
N
N
N
N
N
N
CO-OPERATIVE GROUP
213800TKR59ER8Z69V16
CO-OPERATIVE GROUP 5.125% 05/17/2024 REGS
N/A
725000.00000000
PA
1079370.90000000
0.002605092851
Long
DBT
CORP
GB
N
2
2024-05-17
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2046#BC5795
3140F1NM0
320478.64760000
PA
USD
353081.87000000
0.000852173294
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
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
540650.11480000
PA
USD
593692.16000000
0.001432893180
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04500000
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
70696.96130000
PA
USD
71329.98000000
0.000172156967
Long
ABS-CBDO
USGA
US
N
2
2064-08-20
Fixed
0.02500000
N
N
N
N
N
N
NEW YORK and PRESBYTERIAN HOSP
19EOSPKL8HML7MY3UE63
NY and PRESBYTERIAN HOSP 4.024% 08/01/45
649322AA2
600000.00000000
PA
USD
721829.88000000
0.001742157269
Long
DBT
CORP
US
N
2
2045-08-01
Fixed
0.04024000
N
N
N
N
N
N
GS MTG SECS TR 2021
N/A
GS MTG SECS TR 2021 1ML+185 11/21/2023 144A
36260XAQ9
2175000.00000000
PA
USD
2175654.89000000
0.005251005933
Long
ABS-MBS
CORP
US
N
2
2023-11-21
Variable
0.02100000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 0.625% 04/22/2025
3135G03U5
1625000.00000000
PA
USD
1628634.17000000
0.003930755621
Long
DBT
USGSE
US
N
2
2025-04-22
Fixed
0.00625000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 4.25% 11/21/2049
00287YCB3
1570000.00000000
PA
USD
1812514.79000000
0.004374556810
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
0.04250000
N
N
N
N
N
N
HORIZON 2018
N/A
HORIZON 2018-1 A 4.458% 12/15/2038 144A
440405AE8
3567482.12000000
PA
USD
3602359.97000000
0.008694399862
Long
ABS-CBDO
CORP
US
N
2
2038-12-15
Fixed
0.04458000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.419%/VAR 12/20/2028
06051GHD4
8640000.00000000
PA
USD
9529149.83000000
0.022998878419
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 30YR 4% 11/01/2045#BA3565
3140E76B1
358195.06000000
PA
USD
392807.56000000
0.000948052394
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 3.5% 09/15/2053 144A
00206RMC3
3423000.00000000
PA
USD
3139997.72000000
0.007578475214
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
0.03500000
N
N
N
N
N
N
KAISER ALUMINUM CORP
N/A
KAISER ALUMINUM CORP 4.625% 03/01/2028 144A
483007AJ9
415000.00000000
PA
USD
433230.95000000
0.001045615414
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04625000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS OP PRTNRSHP LP
RDKVCX5HITZ2GPIR7153
AMERICAN CAMPUS CMNTYS OP PRTNRSHP LP 3.625% 11/15/2027
024836AD0
5092000.00000000
PA
USD
5649094.23000000
0.013634252131
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
0.03625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772063
36176PQQ2
269382.37070000
PA
USD
298446.20000000
0.000720308526
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTE 2% 08/15/2025
912828K74
6760000.00000000
PA
USD
7176162.50000000
0.017319875519
Long
DBT
UST
US
N
2
2025-08-15
Fixed
0.02000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.9% 08/15/2024
674599CW3
6201000.00000000
PA
USD
6034689.18000000
0.014564896683
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.02900000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 2.9% 02/16/2028
345397B51
275000.00000000
PA
USD
272250.00000000
0.000657083240
Long
DBT
CORP
US
N
2
2028-02-16
Fixed
0.02900000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 09/30/2022
91282CAN1
340000.00000000
PA
USD
340026.56000000
0.000820663926
Long
DBT
UST
US
N
2
2022-09-30
Fixed
0.00125000
N
N
N
N
N
N
AASET 2018-1 TR
N/A
AASET 2018-1A A 3.844% 1/38 144A
000367AA0
3062457.81350000
PA
USD
3046748.63000000
0.007353415841
Long
ABS-CBDO
CORP
US
N
2
2038-01-16
Fixed
0.03844000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2050#
3140X7WF2
8416536.00000000
PA
USD
8746231.07000000
0.021109281373
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 01/01/2037#C91908
3128P8DM0
2484690.15120000
PA
USD
2628258.53000000
0.006343377894
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.03000000
N
N
N
N
N
N
CSMC 2020-RPL2 TR
N/A
CSMC 2020-RPL2 TR VAR 02/25/2060 144A
22946BAP1
812048.94750000
PA
USD
815794.04000000
0.001968942484
Long
ABS-CBDO
CORP
US
N
2
2060-02-25
Variable
0.03487135
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.905 02/05/2026
N/A
-5000000.00000000
NC
USD
-127742.45000000
-0.00030831009
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/09/31 1.905%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2031-02-09
0.00000000
USD
0.00000000
USD
-5000000.00000000
USD
1.00000000
1.90500000
USD
2026-02-05
XXXX
8882.55000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2039#AL7550
3138EQL83
1718199.33900000
PA
USD
1947811.77000000
0.004701099980
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% 02/01/2042#AJ2880
3138AUFW2
21894.65030000
PA
USD
24498.37000000
0.000059127523
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2041#AJ2399
3138ATUZ1
51544.19270000
PA
USD
57706.06000000
0.000139275242
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2018-MP
N/A
MORGAN STANLEY CAP I TR 2018-MP 4.418% 07/11/2040 144A
61691DAA5
3340000.00000000
PA
USD
3631557.28000000
0.008764868414
Long
ABS-MBS
CORP
US
N
2
2040-07-11
Variable
0.04276000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 2.6% 02/15/2033 144A
11135FBF7
12129000.00000000
PA
USD
11645054.36000000
0.028105675133
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
0.02600000
N
N
N
N
N
N
MOUNTAIN VIEW CLO XIV LTD
N/A
MOUNTAIN VIEW CLO XIV LTD 2019-1A B 3ML+200 04/15/2029 144A
62432MAE9
1250000.00000000
PA
USD
1242001.25000000
0.002997605899
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Variable
0.02241250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2048#G61821
31335CAW4
11630352.21600000
PA
USD
12747416.14000000
0.030766257137
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
CF HIPPOLYTA ISSUER LLC
N/A
CF HIPPOLYTA ISSUER LLC 1.99% 07/15/2060 144A
12530MAB1
7055189.66000000
PA
USD
6978004.47000000
0.016841615388
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Fixed
0.01990000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AO2138
3138LSLU2
803652.79310000
PA
USD
877597.85000000
0.002118107765
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
JPMBB COML MTG SECUTITIES TR 2015--C29
N/A
JPMBB COML MTG SECUTITIES TR 2015-C29 A3A2 3.3423% 05/15/2048 144A
46644RAA3
5405583.36000000
PA
USD
5771545.14000000
0.013929790940
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
0.03342300
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG3507
3617GM3Q3
1020740.24100000
PA
USD
1118849.20000000
0.002700374868
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
CLEVELAND-CLIFFS INC 4.625% 03/01/2029 144A
185899AK7
110000.00000000
PA
USD
107662.50000000
0.000259846554
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
0.04625000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
UPJOHN INC 3.85% 06/22/2040 144A
91533BAE0
7489000.00000000
PA
USD
7941421.95000000
0.019166851310
Long
DBT
CORP
US
N
2
2040-06-22
Fixed
0.03850000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.805% 05/01/2050
097023CW3
5710000.00000000
PA
USD
7365617.47000000
0.017777130562
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
0.05805000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 07/31/2024
9128282N9
41955000.00000000
PA
USD
44455911.54000000
0.107295626870
Long
DBT
UST
US
N
2
2024-07-31
Fixed
0.02125000
N
N
N
N
N
N
BENCHMARK 2019-B14 MTG TR
N/A
BENCHMARK 2019-B14 MTG TR 3.0486% 12/15/2062
08162YAE2
1305000.00000000
PA
USD
1406043.67000000
0.003393527019
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Fixed
0.03048600
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#AS8226
3138WJD88
80162.14800000
PA
USD
84121.62000000
0.000203029960
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE INC 4% 09/01/2021
88732JBA5
16424000.00000000
PA
USD
16564582.38000000
0.039979098138
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
0.04000000
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 4.625% 06/15/2025 144A
55303XAK1
65000.00000000
PA
USD
68900.00000000
0.000166292140
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.04625000
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
5290000.00000000
0.012767567832
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2035#310165
31374CQS8
2074498.51000000
PA
USD
2360157.16000000
0.005696307492
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
0.05000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC 6.625% 01/15/2027
629377CC4
400000.00000000
PA
USD
415952.00000000
0.001003912169
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.06625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745138
3620C0ZB7
122791.02390000
PA
USD
140228.43000000
0.000338445367
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST BUILD AMERICA BONDS-TAXABLE-SE
452152FA4
2510000.00000000
PA
USD
2985896.00000000
0.007206546261
Long
DBT
MUN
US
N
2
2035-04-01
Fixed
0.06725000
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
25257128.33000000
0.060958808924
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
0.04300000
N
N
N
N
N
N
AASET 2019-2 TR
N/A
AASET 2019-2 B TR 4.458% 10/16/2039 144A
00038RAB2
1399951.06000000
PA
USD
1318857.35000000
0.003183100317
Long
ABS-CBDO
CORP
US
N
2
2039-10-16
Fixed
0.04458000
N
N
N
N
N
N
HILTON DOMESTIC OPERATING CO INC
5493003EG7H0N1E4XV50
HILTON DOMESTIC OPERATING CO INC 5.375% 05/01/2025 144A
432833AG6
400000.00000000
PA
USD
420700.00000000
0.001015371604
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.05375000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 4.5% 03/15/2025
91529YAQ9
8661000.00000000
PA
USD
9707582.25000000
0.023429530220
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AT2645
36194A5E3
45314.49460000
PA
USD
49300.95000000
0.000118989267
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 15YR 2.5% 02/01/2035#FM2518
3140X5YQ0
2016111.12300000
PA
USD
2134594.55000000
0.005151905616
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552552
36213EZR0
92690.81740000
PA
USD
102894.05000000
0.000248337762
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/46#G60551
31335ATG3
680603.67400000
PA
USD
750831.97000000
0.001812154651
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
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
609338.86000000
PA
USD
668381.48000000
0.001613158012
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
PETRONAS CAP LTD
549300G7YFX3540OYR85
PETRONAS CAP LTD 3.5% 04/21/2030 144A
716743AP4
600000.00000000
PA
USD
655140.00000000
0.001581199317
Long
DBT
CORP
MY
N
2
2030-04-21
Fixed
0.03500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 3.6% 04/01/2050
68389XBX2
1300000.00000000
PA
USD
1362152.08000000
0.003287593398
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
0.03600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 02/01/2035#QN1578
3133G7XF5
1813883.89200000
PA
USD
1913113.86000000
0.004617355572
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 06/01/2041#Q01604
3132GEX96
72433.67710000
PA
USD
83359.86000000
0.000201191430
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 2007 3
N/A
BAYC 2007-3 M5 1ML+60 7/37
07325YAG3
19067.46890000
PA
USD
16212.63000000
0.000039129650
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.00717630
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC TERM B 01/15/2026
64072UAH5
2000000.00000000
PA
USD
1987140.00000000
0.004796019800
Long
LON
CORP
US
N
2
2026-01-15
Variable
0.02361030
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984
3617M76V5
136965.21800000
PA
USD
148252.60000000
0.000357811933
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
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
6888548.12000000
PA
USD
6880286.68000000
0.016605770679
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.00962000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 5.55% 01/23/2049
03523TBV9
15352000.00000000
PA
USD
19976517.04000000
0.048213901014
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
0.05550000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 3.5% 12/01/2029
25278XAN9
600000.00000000
PA
USD
630547.71000000
0.001521845115
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #733234
3620ALSX3
12944.55330000
PA
USD
14782.79000000
0.000035678690
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 10/20/2042#MA0463
36179MQQ6
492942.60000000
PA
USD
546021.67000000
0.001317839075
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2042#AK2717
3138E7AT1
36772.19990000
PA
USD
40704.72000000
0.000098242017
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 15YR 4.50% 6/24 #AA6863
31416QTV7
4144.95260000
PA
USD
4338.54000000
0.000010471191
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 15YR 3.0% 04/01/2029#J27984
31307G2R9
939817.27300000
PA
USD
999742.09000000
0.002412906417
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2034#FM0046
3140X3BQ0
5829534.36600000
PA
USD
6276470.19000000
0.015148442136
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
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
8335273.47000000
0.020117423332
Long
ABS-CBDO
CORP
US
N
2
2029-04-15
Variable
0.01231250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/45#AZ3341
3138YUWB3
186961.19580000
PA
USD
205319.44000000
0.000495544400
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040
674599DJ1
65000.00000000
PA
USD
70200.00000000
0.000169429728
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
0.06200000
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 1.521% 11/25/2030
3137F82N2
3500000.00000000
PA
USD
3450607.65000000
0.008328141254
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Fixed
0.01521000
N
N
N
N
N
N
MORGAN STANLEY ABS 06 HE4
N/A
MORGAN STANLEY ABS 06 HE4 STEP 06/25/2036
61748BAD6
4429352.39000000
PA
USD
2969513.58000000
0.007167006817
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Variable
0.00597630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2046#BC7248
3140F3BS6
1171754.94790000
PA
USD
1267485.80000000
0.003059113597
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 03/01/30#V60745
3132KEZJ7
367202.22000000
PA
USD
384841.66000000
0.000928826464
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 12/15/2042#AA8612
36178GR97
97260.93250000
PA
USD
103093.40000000
0.000248818899
Long
ABS-MBS
USGA
US
N
2
2042-12-15
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
839988.35000000
PA
USD
924198.61000000
0.002230580046
Long
ABS-MBS
USGA
US
N
2
2041-03-20
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
11868.16130000
PA
USD
13361.12000000
0.000032247449
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
0.04500000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL C 1ML+130 10/15/2036 144A
056054AF6
4787308.88000000
PA
USD
4790729.89000000
0.011562564997
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01362000
N
N
N
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GRP AG SOFR 1.305%/VAR 02/02/2027 144A
225401AT5
2700000.00000000
PA
USD
2661565.88000000
0.006423766146
Long
DBT
CORP
CH
N
2
2027-02-02
Variable
0.01305000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 10/42 #Q12050
3132HNH36
1846977.66920000
PA
USD
2019903.72000000
0.004875095984
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
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
6012864.36000000
0.014512221849
Long
ABS-MBS
CORP
US
N
2
2052-03-10
Fixed
0.03762900
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 11/46#MA4126
36179SSP3
4541330.51490000
PA
USD
4799240.40000000
0.011583105359
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
0.03000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.75% 02/01/2022
00912XAQ7
4752000.00000000
PA
USD
4864380.14000000
0.011740322003
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
0.03750000
N
N
N
N
N
N
AMWINS GROUP INC
549300SJE7MUB8NMRG61
AMWINS TERM B 1LN 02/16/2028
03234TAW8
2500000.00000000
PA
USD
2498950.00000000
0.006031288021
Long
LON
CORP
US
N
2
2028-02-16
Variable
0.03000000
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
3618594.89000000
0.008733583311
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.03125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 04/20/2045#MA2753
36179RBW8
167463.60750000
PA
USD
177288.14000000
0.000427890047
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
0.03000000
N
N
N
N
N
N
ARGENT SECS INC
N/A
ARSI 2005-W5 A2D 1ML+32 1/36
040104QP9
3137504.98000000
PA
USD
3017070.91000000
0.007281787807
Long
ABS-CBDO
CORP
US
N
2
2036-01-25
Variable
0.00757630
N
N
N
N
N
N
ITALY REPUBLIC OF
815600DE60799F5A9309
ITALY REPUBLIC OF 2.375% 10/17/2024
465410BX5
3800000.00000000
PA
USD
3976633.69000000
0.009597720299
Long
DBT
NUSS
IT
N
2
2024-10-17
Fixed
0.02375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #773363
36176Q5Y6
26351.15060000
PA
USD
28590.23000000
0.000069003346
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% 03/01/2039#AW1156
3138XQJA0
294813.78690000
PA
USD
325236.45000000
0.000784967568
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04000000
N
N
N
N
N
N
MAGELLAN MIDSTREAM PARTNRS MLP
MZF5TI8NFVZZNUSKDL39
MAGELLAN MIDSTREAM PARTNRS MLP 3.95% 03/01/2050
559080AP1
1085000.00000000
PA
USD
1115838.45000000
0.002693108336
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
0.03950000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 3.375% 02/15/2031 144A
126307BF3
244000.00000000
PA
USD
234240.00000000
0.000565345007
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2041#AL0762
3138EGZ49
135677.70200000
PA
USD
151897.35000000
0.000366608642
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
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
10614350.26000000
0.025618041010
Long
DBT
CORP
US
N
2
2022-11-16
Fixed
0.03300000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 0% 06/01/2048#MA5266
36179TZ73
7389542.64400000
PA
USD
8129006.79000000
0.019619592741
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
0.05000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.875% 01/27/2026
61746BDZ6
625000.00000000
PA
USD
703614.72000000
0.001698194454
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/47#BE2975
3140FNJV7
332373.31750000
PA
USD
366671.85000000
0.000884973103
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.04000000
N
N
N
N
N
N
PARAGUAY REP
529900UXKJTJPCU0HK83
PARAGUAY REP 2.739% 01/29/2033 144A
699149AK6
400000.00000000
PA
USD
382750.00000000
0.000923778182
Long
DBT
NUSS
PY
N
2
2033-01-29
Fixed
0.02739000
N
N
N
N
N
N
CDK GLOBAL INC
5493000L10CYRTHIJ385
CDK GLOBAL INC 4.875% 06/01/2027
12508EAF8
500000.00000000
PA
USD
523125.00000000
0.001262577301
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
0.04875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG7744
3617GSS91
977639.60500000
PA
USD
1071605.92000000
0.002586351847
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
STATE STREET CORP 2.825%/VAR 03/30/2023
857477BL6
887000.00000000
PA
USD
911692.81000000
0.002200396936
Long
DBT
CORP
US
N
2
2023-03-30
Variable
0.02825000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2045#AS5133
3138WEV30
2353423.02660000
PA
USD
2549371.85000000
0.006152982613
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
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
32939250.00000000
0.079499831517
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.04350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2045#AY5352
3138YJ5N2
108699.49040000
PA
USD
118667.09000000
0.000286406450
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
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
742044.80430000
PA
USD
744133.07000000
0.001795986663
Long
ABS-CBDO
USGA
US
N
2
2062-08-20
Variable
0.00663880
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN 4.15% 3/01/22
494550BJ4
885000.00000000
PA
USD
918606.35000000
0.002217082965
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
0.04150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.54% 02/01/2039#
3138ETWB8
239027.05000000
PA
USD
265258.09000000
0.000640208063
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Variable
0.06582000
N
N
N
N
N
N
VERISK ANALYTICS INC
549300I1YSWNIRKBWP67
VERISK ANALYTIC 4.125% 9/12/22
92345YAC0
690000.00000000
PA
USD
727582.35000000
0.001756041022
Long
DBT
CORP
US
N
2
2022-09-12
Fixed
0.04125000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK AMER FDG CORP 4.0% 01/22/2025
06051GFM6
43905000.00000000
PA
USD
48618687.78000000
0.117342607592
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
0.04000000
N
N
N
N
N
N
HESS MIDSTREAM PARTNERS LP
N/A
HESS MIDSTREAM PARTNERS LP 5.125% 06/15/2028 144A
428104AA1
110000.00000000
PA
USD
113300.00000000
0.000273452823
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.05125000
N
N
N
N
N
N
NATIONWIDE MUTUAL INSURANCE CO
Z7LVXXWM8HZPKF5T2355
NATIONWIDE MUTUAL INSURANCE CO 3ML+0 12/15/2024 144A
638671AJ6
5490000.00000000
PA
USD
5490005.98000000
0.013250288043
Long
DBT
CORP
US
N
2
2024-12-15
Variable
0.02506500
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTY LTD 3.85% 2/01/23
10112RAU8
1175000.00000000
PA
USD
1240817.67000000
0.002994749294
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/42#AB5500
31417CDE2
18067.40190000
PA
USD
19752.39000000
0.000047672963
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 3.5% 01/01/2047#ZM2486
3131XVXP5
4272821.28000000
PA
USD
4617432.01000000
0.011144305557
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% 06/01/2043#Q19747
3132JBHZ9
69456.21320000
PA
USD
76794.00000000
0.000185344537
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.04000000
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
6152850.00000000
PA
USD
5866127.19000000
0.014158067450
Long
ABS-CBDO
CORP
US
N
2
2049-12-05
Fixed
0.03858000
N
N
N
N
N
N
LEGENDS HOSPITALITY HOLDING CO LLC / LEGENDS HOSPITALITY CO-ISSUER INC
N/A
LEGENDS HOSPITALITY HOLDING CO LLC / LEGENDS HOSPITALITY CO-ISSUER INC 5% 02/01/2026 144A
52473NAA6
60000.00000000
PA
USD
61050.00000000
0.000147345938
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
0.05000000
N
N
N
N
N
N
MEMORIAL SLOAN KETTERING CANCER CTR
549300IZ71UAMEHWL382
MEMORIAL SLOAN 5% 7/01/42
586054AA6
225000.00000000
PA
USD
298471.73000000
0.000720370143
Long
DBT
CORP
US
N
2
2042-07-01
Fixed
0.05000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 1.122%/VAR 01/28/2027
17327CAM5
4110000.00000000
PA
USD
4055397.91000000
0.009787820019
Long
DBT
CORP
US
N
2
2027-01-28
Variable
0.01122000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 30YR 3.5% 07/47#BM3041
3140J7LX1
6276218.33230000
PA
USD
6796822.48000000
0.016404327421
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.03500000
N
N
N
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
DDR CORP 4.25% 02/01/26
23317HAE2
5582000.00000000
PA
USD
5983715.27000000
0.014441869678
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
0.04250000
N
N
N
N
N
N
BANK 2021-BNK31
N/A
BANK 2021-BNK31 1.771% 02/15/2054
06541ABB5
2000000.00000000
PA
USD
1952455.60000000
0.004712307998
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Fixed
0.01771000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/01/2050#RA2400
3133KHUZ7
5766791.61200000
PA
USD
6128746.02000000
0.014791905583
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25265
3132M5QS4
163939.58690000
PA
USD
182355.95000000
0.000440121353
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR GOVT 4.625% 06/02/2046 RGS
N/A
400000.00000000
PA
USD
479250.00000000
0.001156683720
Long
DBT
NUSS
QA
N
2
2046-06-02
Fixed
0.04625000
N
N
N
N
N
N
MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST SERIES 2016-5
N/A
MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST SERIES 2016-5 1ML+125 01/23/2023 144A
61916BAW0
3508000.00000000
PA
USD
3509119.05000000
0.008469360208
Long
ABS-CBDO
CORP
US
N
2
2023-01-23
Variable
0.01370500
N
N
N
N
N
N
JPMORGAN TR II
DQ695W4P67V7A4LC6I09
JPMorgan Core Plus Bond A
4812C0811
43408775.58000000
NS
USD
371579118.96000000
0.896816938846
Long
EC
RF
US
N
1
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS INC 2.7% 03/13/2023
00440EAP2
145000.00000000
PA
USD
151935.53000000
0.000366700791
Long
DBT
CORP
US
N
2
2023-03-13
Fixed
0.02700000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/41 #783501
36241L3J3
64670.37150000
PA
USD
73938.72000000
0.000178453236
Long
ABS-MBS
USGA
US
N
2
2041-09-15
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
194463.52900000
PA
USD
194951.19000000
0.000470520329
Long
ABS-CBDO
CORP
US
N
2
2026-04-15
Fixed
0.03520000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 12/01/2032#J38057
31307U5S3
556821.74600000
PA
USD
590803.35000000
0.001425920954
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
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
289467.16000000
0.000698637353
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
0.03600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/47#BM1277
3140J5M30
1141873.73700000
PA
USD
1251856.50000000
0.003021391829
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2048#Q54192
3132XWUS8
63518.36500000
PA
USD
69276.06000000
0.000167199772
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 II 3.5% 06/20/2046#AR3124
36192XPH6
112720.85370000
PA
USD
123489.71000000
0.000298045982
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 4.0% 12/01/2045#BA4584
3140E9CW4
867277.76840000
PA
USD
951083.08000000
0.002295466491
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
BARRICK PD AUSTRALIA FIN PTY LTD
5493008DX0TK7OFLV260
BARRICK PD AUST 5.95% 10/15/39
06849UAD7
1040000.00000000
PA
USD
1432794.49000000
0.003458090896
Long
DBT
CORP
AU
N
2
2039-10-15
Fixed
0.05950000
N
N
N
N
N
N
CENTERPOINT ENER HOUS ELEC LLC
549300S8SEQBOJLKHW63
CENTERPOINT ENER HOUS ELEC LLC 3.95% 03/01/2048
15189XAS7
1135000.00000000
PA
USD
1328529.49000000
0.003206444306
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% 11/01/2046#MA2806
31418CDL5
2149704.20630000
PA
USD
2271867.17000000
0.005483217050
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2046#BM4548
3140J9BS9
2106080.69560000
PA
USD
2360485.56000000
0.005697100095
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
SANTANDER UK GROUP HOLDINGS PLC
549300F5XIFGNNW4CF72
SANTANDER UK GROUP HOLDINGS PLC 4.796%/VAR 11/15/2024
80281LAJ4
2850000.00000000
PA
USD
3144253.21000000
0.007588745962
Long
DBT
CORP
GB
N
2
2024-11-15
Variable
0.04796000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 11/20/2047#MA4838
36179TLT0
325871.53550000
PA
USD
351719.21000000
0.000848884474
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/41#AL1431
3138EHSV5
638146.38500000
PA
USD
714433.85000000
0.001724306737
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 30YR 4.5% 02/01/2048#BK1653
3140HEZT2
1068150.79400000
PA
USD
1176149.28000000
0.002838670267
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04500000
N
N
N
N
N
N
DUKE REALTY LP NEW
2549009GZDBNY1KE9O81
DUKE REALTY LP 3.25% 06/30/2026
26441YAZ0
805000.00000000
PA
USD
883424.63000000
0.002132170867
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
0.03250000
N
N
N
N
N
N
PUGET ENERGY INC NEW
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC 6% 9/01/21
745310AD4
4353000.00000000
PA
USD
4471901.19000000
0.010793062719
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
0.06000000
N
N
N
N
N
N
INTELSAT JACKSON HLDGS S A
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS SA 9.75% 07/15/2025 144A
45824TAY1
5500000.00000000
PA
USD
3523300.00000000
0.008503586341
Long
DBT
CORP
LU
N
2
2025-07-15
Fixed
0.09750000
Y
Y
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 2.76% 10/01/2024
20268JAA1
575000.00000000
PA
USD
612488.40000000
0.001478258448
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.02760000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 2.6% 11/19/2022
418056AW7
2485000.00000000
PA
USD
2568993.40000000
0.006200339791
Long
DBT
CORP
US
N
2
2022-11-19
Fixed
0.02600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2044#G08597
3128MJUX6
104271.69000000
PA
USD
113443.68000000
0.000273799599
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
0.03500000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL INC NEW
225YDZ14ZO8E1TXUSU86
MARRIOTT INTL INC 3.6% 04/15/2024
571900BB4
660000.00000000
PA
USD
705806.36000000
0.001703484041
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
0.03600000
N
N
N
N
N
N
FEDERAL HOME LOAN BANK
2549001DPIFGXC1TOL40
FEDERAL HOME LOAN BANKS 3% 10/12/2021
3130AF5B9
1165000.00000000
PA
USD
1185760.45000000
0.002861867103
Long
DBT
USGSE
US
N
2
2021-10-12
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2034#C91764
3128P75Z2
207468.57380000
PA
USD
223774.17000000
0.000540085424
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.03500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.1% 02/15/2047
674599CL7
265000.00000000
PA
USD
225250.00000000
0.000543647382
Long
DBT
CORP
US
N
2
2047-02-15
Fixed
0.04100000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 5.75% 11/20/2025
02005NBF6
1765000.00000000
PA
USD
2022702.67000000
0.004881851331
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2047#AX5831
36196HPQ7
47165.74340000
PA
USD
51370.13000000
0.000123983292
Long
ABS-MBS
USGA
US
N
2
2047-01-15
Fixed
0.04000000
N
N
N
N
N
N
LYB INTERNATIONAL FINANCE III LLC
N/A
LYB INTERNATIONAL FINANCE III LLC 4.2% 05/01/2050
50249AAD5
150000.00000000
PA
USD
164342.90000000
0.000396646337
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/46#AS7248
3138WHBS0
455528.25540000
PA
USD
499119.03000000
0.001204638198
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
BTIG LLC
549300GTG9PL6WO3EC51
FX Forward: USD/EUR settle 2021-03-02
N/A
1.00000000
NC
N/A
-1448.91000000
-0.00000349698
N/A
DFE
CORP
US
N
2
BTIG LLC
549300GTG9PL6WO3EC51
423659.00000000
EUR
509716.85000000
USD
2021-03-02
-1448.91000000
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 5/35 #003710
36202EDP1
75811.26420000
PA
USD
85505.58000000
0.000206370187
Long
ABS-MBS
USGA
US
N
2
2035-05-20
Fixed
0.05000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.75% 11/15/2043
912810RD2
10295000.00000000
PA
USD
13500927.34000000
0.032584878188
Long
DBT
UST
US
N
2
2043-11-15
Fixed
0.03750000
N
N
N
N
N
N
PECO ENERGY COMPANY
YH65D4JBECK76IFEJ279
PECO ENERGY COMPANY 3.9% 03/01/2048
693304AW7
635000.00000000
PA
USD
735764.47000000
0.001775788805
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
0.03900000
N
N
N
N
N
N
ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC
N/A
ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.875% 02/15/2030 144A
013092AE1
300000.00000000
PA
USD
310566.00000000
0.000749560013
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04875000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
ECOPETROL SA 6.875% 04/29/2030
279158AN9
200000.00000000
PA
USD
243680.00000000
0.000588128720
Long
DBT
CORP
CO
N
2
2030-04-29
Fixed
0.06875000
N
N
N
N
N
N
AMERIQUEST MTG SECS INC
N/A
AMERIQUEST MTG SECS INC M3 1ML+120 11/25/2034
03072SVT9
3108479.89000000
PA
USD
3062787.72000000
0.007392126648
Long
ABS-CBDO
CORP
US
N
2
2034-11-25
Variable
0.01317630
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.3% 02/15/2051 144A
87264ABM6
3575000.00000000
PA
USD
3311486.75000000
0.007992368942
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
0.03300000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
COMMONWEALTH EDISON CO 4.35% 11/15/2045
202795JG6
205000.00000000
PA
USD
249236.75000000
0.000601540096
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
0.04350000
N
N
N
N
N
N
TURKEY REPUBLIC OF
5493000PCHOG3B6S3Q85
TURKEY REPUBLIC OF 7.25% 12/23/2023
900123CR9
1200000.00000000
PA
USD
1302000.00000000
0.003142414615
Long
DBT
NUSS
TR
N
2
2023-12-23
Fixed
0.07250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2042#890500
31410LKM3
50784.56770000
PA
USD
56231.48000000
0.000135716301
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
LABORATORY CORP OF AMER HLDGS
OZ7UA8IXAIFILY2VZH07
LABORATORY CORP OF AMER HLDGS 4.7% 02/01/2045
50540RAS1
730000.00000000
PA
USD
896821.85000000
0.002164505444
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
0.04700000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 3.75% 02/15/2051 144A
11135FBG5
5224000.00000000
PA
USD
5151096.99000000
0.012432321404
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
0.03750000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL CO LTD
549300ZLMVP4X0OGR454
TAKEDA PHARMACEUTICAL CO LTD 3.025% 07/09/2040
874060AY2
510000.00000000
PA
USD
512289.31000000
0.001236425050
Long
DBT
CORP
JP
N
2
2040-07-09
Fixed
0.03025000
N
N
N
N
N
N
CORPOARATE OFFICE PPTYS LP
H0TWO5VRNEP6CQAWPX27
CORPORATE OFFICE PPTYS LP 2.25% 03/15/2026
22003BAL0
1775000.00000000
PA
USD
1820193.95000000
0.004393090685
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.02250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 11/20/2043#AG0445
36181TP62
4169.32400000
PA
USD
4579.18000000
0.000011051983
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/01/2046#G08742
3128MJZG8
233335.88680000
PA
USD
250570.29000000
0.000604758634
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 3% 11/01/2049#QA4483
31339U6U9
3026808.71400000
PA
USD
3215841.39000000
0.007761526103
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
IBM CORPORATION
VGRQXHF3J8VDLUA7XE92
IBM CORPORATION 3.625% 02/12/2024
459200HU8
2410000.00000000
PA
USD
2636891.28000000
0.006364213286
Long
DBT
CORP
US
N
2
2024-02-12
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 7/29 #MA0130
31417YEC7
99682.88450000
PA
USD
111879.64000000
0.000270024743
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.05000000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH TERM B 1LN 08/01/2027
28414BAF3
3000000.00000000
PA
USD
2992500.00000000
0.007222485205
Long
LON
CORP
US
N
2
2027-08-01
Variable
0.01872880
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 01/01/2033#J38387
31307VJ80
692867.43900000
PA
USD
737100.30000000
0.001779012869
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.03000000
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
8306236.50000000
0.020047341766
Long
DBT
CORP
US
N
2
2058-04-15
Fixed
0.04750000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY GL 7.375 11/15/31C
337932AC1
9948000.00000000
PA
USD
13682280.24000000
0.033022578651
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
0.07375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745068
3620C0W53
153129.21970000
PA
USD
174874.92000000
0.000422065671
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/01/2045#G61807
31335CAG9
335994.58500000
PA
USD
372121.13000000
0.000898125098
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/35#BO9279
3140K5JZ1
857002.81100000
PA
USD
907367.41000000
0.002189957458
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 02/15/2024
91282CBM2
14795000.00000000
PA
USD
14730271.88000000
0.035551936752
Long
DBT
UST
US
N
2
2024-02-15
Fixed
0.00125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.875% 09/30/2022
9128282W9
1213000.00000000
PA
USD
1246594.41000000
0.003008691623
Long
DBT
UST
US
N
2
2022-09-30
Fixed
0.01875000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.6% 06/01/2060
035240AU4
5007000.00000000
PA
USD
5756327.94000000
0.013893063788
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
0.04600000
N
N
N
N
N
N
LOWES COS INC
WAFCR4OKGSC504WU3E95
LOWES COS INC 4.25% 09/15/2044
548661DE4
85000.00000000
PA
USD
96560.79000000
0.000233052256
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
0.04250000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 3.75% 05/15/2030
29278NAQ6
2964000.00000000
PA
USD
3133043.71000000
0.007561691510
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.03750000
N
N
N
N
N
N
EGYPT, (ARAB) REP OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF 4.75% 04/11/2025 144A
N/A
1430000.00000000
PA
1793841.98000000
0.004329489444
Long
DBT
NUSS
EG
N
2
2025-04-11
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 12/01/2032#SB0030
3132CWA79
1420406.71100000
PA
USD
1509775.15000000
0.003643885943
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 3 4/43 #AB9025
31417GA30
722159.96210000
PA
USD
771323.02000000
0.001861610392
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 3.0% 09/01/2042#AP4786
3138M8J87
319425.41760000
PA
USD
341171.20000000
0.000823426547
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC T5Y+341.7 PERP
172967MV0
4320000.00000000
PA
USD
4295700.00000000
0.010367796056
Long
DBT
CORP
US
N
2
2199-12-31
Variable
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 10/01/2043#AU4405
3138X33P5
536475.40830000
PA
USD
572494.53000000
0.001381732088
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 5.00% 2/36 #003817
36202EG29
43615.76930000
PA
USD
49360.61000000
0.000119133258
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 5.00% 9/38 #G05188
3128M7CZ7
68748.27660000
PA
USD
78608.18000000
0.000189723113
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
0.05000000
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
1534660.75000000
0.003703948057
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.65% 7/37 #942609
31413DVA2
8265.19980000
PA
USD
8767.08000000
0.000021159600
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Variable
0.02806000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2048#ZA5450
31329PBT9
1231525.83400000
PA
USD
1309433.64000000
0.003160355920
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.03500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 3.85% 04/01/2060
68389XBY0
6500000.00000000
PA
USD
7023059.55000000
0.016950357126
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
0.03850000
N
N
N
N
N
N
WR GRACE and CO - CONN
549300GJVOEHHLSO6K25
WR GRACE and CO - CONN 4.875% 06/15/2027 144A
383909AG3
125000.00000000
PA
USD
129600.00000000
0.000312793344
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2032#BJ3109
3140H4N34
148552.07000000
PA
USD
155982.39000000
0.000376468004
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/42#AP8469
3138MCMT8
930581.02560000
PA
USD
993932.93000000
0.002398885842
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
MCDONALDS CORP
UE2136O97NLB5BYP9H04
MCDONALDS CORP 4.7% 12/09/2035
58013MEZ3
1535000.00000000
PA
USD
1889235.33000000
0.004559724050
Long
DBT
CORP
US
N
2
2035-12-09
Fixed
0.04700000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.509%/VAR 01/23/2029
46647PAM8
3150000.00000000
PA
USD
3481023.83000000
0.008401551583
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 4.0% 05/01/2043#Q18481
3132J92P2
237855.07100000
PA
USD
262992.86000000
0.000634740865
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2042#AJ2623
3138AT4H0
19833.93950000
PA
USD
21948.84000000
0.000052974159
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.04000000
N
N
N
N
N
N
SPRINGLEAF FINANCE CORPORATION
5493008I795YYBFWFU90
SPRINGLEAF FINANCE CORP 4% 09/15/2030
682691AA8
500000.00000000
PA
USD
485355.00000000
0.001171418314
Long
DBT
CORP
US
N
2
2030-09-15
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
3373085.97000000
0.008141040439
Long
DBT
CORP
US
N
2
2038-01-15
Fixed
0.06300000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 4.375% 04/15/2040 144A
87264AAW5
200000.00000000
PA
USD
225200.00000000
0.000543526706
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
0.04375000
N
N
N
N
N
N
PROVIDENCE HEALTH and SVCS
N/A
PROVIDENCE HEALTH and SVCS 2.532% 10/01/2029
743820AA0
2405000.00000000
PA
USD
2514870.79000000
0.006069713308
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.02532000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/40#004832
36202FLM6
240848.48500000
PA
USD
262247.22000000
0.000632941242
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.03500000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2016-2
N/A
NAVSL 16-2A3 1ML+150 6/65 144A
63940FAC1
1475000.00000000
PA
USD
1526467.91000000
0.003684174401
Long
ABS-CBDO
CORP
US
N
2
2065-06-25
Variable
0.01617630
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 09/20/2046#MA3940
36179SLV7
358371.86900000
PA
USD
410248.53000000
0.000990146679
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
0.05000000
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
12006860.61000000
0.028978904970
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
0.04650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2050#BP4416
3140KB4A9
8226832.65940000
PA
USD
8523387.76000000
0.020571442606
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.02500000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA 6.572% 01/14/2022 144A
904678AJ8
7600000.00000000
PA
USD
7959425.74000000
0.019210303978
Long
DBT
CORP
IT
N
2
2022-01-14
Fixed
0.06572000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #430354
36207FBX8
466915.92640000
PA
USD
517291.77000000
0.001248498631
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.875% 09/10/2024
46625HJY7
250000.00000000
PA
USD
275700.46000000
0.000665411025
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
0.03875000
N
N
N
N
N
N
INTERNATIONAL PAPER CO
824LMFJDH41EY779Q875
INTERNATIONAL PAPER CO 5.0% 09/15/2035
460146CM3
715000.00000000
PA
USD
903073.34000000
0.002179593596
Long
DBT
CORP
US
N
2
2035-09-15
Fixed
0.05000000
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
965737.16240000
PA
USD
991689.42000000
0.002393471065
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 4.0% 09/45#AZ8147
3140E1BR3
138611.61470000
PA
USD
152005.70000000
0.000366870148
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 30YR 2.5% 10/01/2050#MA4159
31418DTR3
16757982.27440000
PA
USD
17388246.64000000
0.041967035626
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT JUN21 FVM1
N/A
599.00000000
NC
USD
-586953.12000000
-0.00141662831
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2021-06-30
74844234.37000000
USD
-586953.12000000
N
N
N
LINCOLN NATIONAL CORP IND
EFQMQROEDSNBRIP7LE47
LINCOLN NATL CRP 6.3 10/9/37
534187AW9
110000.00000000
PA
USD
149330.41000000
0.000360413258
Long
DBT
CORP
US
N
2
2037-10-09
Fixed
0.06300000
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
1596888.16000000
0.003854135709
Long
DBT
CORP
NL
N
2
2025-05-11
Fixed
0.03250000
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
11414192.36000000
0.027548483026
Long
DBT
CORP
US
N
2
2023-12-20
Variable
0.03004000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/40 #737311
3620ARDQ1
84479.61920000
PA
USD
96948.97000000
0.000233989140
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.05000000
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
339307.55000000
0.000818928574
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.03500000
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
3589237.60000000
0.008662728643
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.03750000
N
N
N
N
N
N
ENDEAVOR ENERGY RES L P / EER FIN INC
N/A
ENDEAVOR ENERGY RES L P / EER FIN INC 5.5% 01/30/2026 144A
29260FAD2
20000.00000000
PA
USD
20400.00000000
0.000049235989
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2041#AI8607
3138ANR54
3553.78750000
PA
USD
4068.58000000
0.000009819635
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 2/41 #A97040
312945ZD3
804954.95640000
PA
USD
888280.27000000
0.002143890094
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
MADISON PK FDG X LTD/LLC
N/A
MADISON PK FDG X LTD/LLC AR3 3ML+101 01/20/2029 144A
55818HBQ0
3000000.00000000
PA
USD
3000192.00000000
0.007241050070
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Variable
0.01209690
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
9143000.00000000
PA
USD
9149226.38000000
0.022081922197
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Variable
0.01541250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 2/39 #930610
31412N3T1
475448.90740000
PA
USD
530596.32000000
0.001280609547
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
0.04500000
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
3737190.30000000
0.009019816759
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Fixed
0.04310000
N
N
N
N
N
N
VODAFONE GRP PLC
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC 4.25% 09/17/2050
92857WBU3
3525000.00000000
PA
USD
3953301.04000000
0.009541406274
Long
DBT
CORP
GB
N
2
2050-09-17
Fixed
0.04250000
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
255679.53400000
PA
USD
255841.00000000
0.000617479644
Long
ABS-CBDO
CORP
US
N
2
2031-04-10
Variable
0.00770500
N
N
N
N
N
N
SHELL INTL FIN B V
213800ITMMKU4Z7I4F78
SHELL INTL FIN B V 4% 05/10/46
822582BQ4
950000.00000000
PA
USD
1073152.40000000
0.002590084321
Long
DBT
CORP
NL
N
2
2046-05-10
Fixed
0.04000000
N
N
N
N
N
N
PUGET ENERGY INC NEW
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC NEW 3.65% 05/15/2025
745310AH5
324000.00000000
PA
USD
353286.01000000
0.000852665991
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.03650000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.875% 02/15/2041
912810SW9
2500000.00000000
PA
USD
2446484.38000000
0.005904660732
Long
DBT
UST
US
N
2
2041-02-15
Fixed
0.01875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2039#AA9716
31416TYN3
18754.43740000
PA
USD
21481.71000000
0.000051846727
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
0.05000000
N
N
N
N
N
N
LYB INTL FIN BV
549300J6QSW38QNOJK61
LYB INTL FIN 5.25% 7/15/43
50247VAB5
2955000.00000000
PA
USD
3676958.69000000
0.008874446028
Long
DBT
CORP
NL
N
2
2043-07-15
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2038#AU4761
3138X4JF8
528810.25600000
PA
USD
583710.17000000
0.001408801359
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
0.04000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT CORP 5% 01/15/2029
26884LAL3
70000.00000000
PA
USD
76650.00000000
0.000184996989
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/40 #AH0946
3138A2BQ1
3767.31590000
PA
USD
4153.06000000
0.000010023530
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
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
1870843.17000000
0.004515334041
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.04550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q20358
3132JMMF3
77616.13580000
PA
USD
85819.02000000
0.000207126684
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
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
2915133.36000000
0.007035758585
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01712000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
COMMONWEALTH EDISON CO 3.7% 08/15/2028
202795JN1
250000.00000000
PA
USD
286819.58000000
0.000692247342
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
0.03700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AK4826
3138E9LG3
318974.88880000
PA
USD
348324.15000000
0.000840690399
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 3.5% 05/01/2047#BM4754
3140J9H87
5530415.29500000
PA
USD
5949406.19000000
0.014359063722
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.03500000
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
423000.00000000
0.001020922720
Long
DBT
CORP
LU
N
2
2028-03-01
Fixed
0.05500000
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
4172894.25000000
0.010071400830
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.01437000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33347
3132QPWH3
85182.37490000
PA
USD
92944.75000000
0.000224324839
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
CAESARS RESORT COLLECTION LLC
549300V3UCT773B1KR38
CAESARS RESORT COLLECTION TERM B 1LN 12/22/2024
12769LAB5
2000000.00000000
PA
USD
1981260.00000000
0.004781828250
Long
LON
CORP
US
N
2
2024-12-22
Variable
0.02864500
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
EG GLOBAL FINANCE PLC 6.25% 10/30/2025 REGS
N/A
4800000.00000000
PA
5912284.15000000
0.014269468606
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
0.06250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2042#AB4590
31417BC47
988151.59380000
PA
USD
1084013.37000000
0.002616297586
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.03500000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
LIBERTY MUTUAL GROUP INC 4.569% 02/01/2029 144A
53079EBG8
6977000.00000000
PA
USD
8259971.71000000
0.019935680359
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.04569000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP STEP 02/01/2030
958667AC1
335000.00000000
PA
USD
363062.95000000
0.000876262919
Long
DBT
CORP
US
N
2
2030-02-01
Variable
0.05300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2045#BC3688
3140EYC25
355381.22950000
PA
USD
387636.06000000
0.000935570829
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 4.5% 11/01/2044#AX2179
3138Y3M57
8055.07320000
PA
USD
8845.59000000
0.000021349087
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.04500000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
HCP INC 3.5% 07/15/2029
40414LAR0
887000.00000000
PA
USD
979093.14000000
0.002363069580
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
0.03500000
N
N
N
N
N
N
CCO HLDGS LLC/CCO HLDGS CAP CORP
N/A
CCO HLDGS LLC/CAP CORP 4.5% 05/01/2032 144A
1248EPCJ0
2375000.00000000
PA
USD
2439600.00000000
0.005888045082
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 02/01/2041#
31418DW65
11414906.91000000
PA
USD
11695439.66000000
0.028227281510
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.02000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
INTERCONTINENTAL EXCHANGE INC 3.75% 12/01/25
45866FAD6
3162000.00000000
PA
USD
3508886.89000000
0.008468799883
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2039#935275
31412UQ45
10502.42880000
PA
USD
11716.66000000
0.000028278497
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04500000
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
11897759.82000000
0.028715587061
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
0.04700000
N
N
N
N
N
N
BAE SYSTEMS PLC
8SVCSVKSGDWMW2QHOH83
BAE SYSTEMS PLC 3.4% 04/15/2030 144A
05523RAD9
2985000.00000000
PA
USD
3256919.23000000
0.007860668656
Long
DBT
CORP
GB
N
2
2030-04-15
Fixed
0.03400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 06/01/2045#Q34156
3132QQTN2
1093276.91200000
PA
USD
1173248.37000000
0.002831668837
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2041#AJ1616
3138ASYN6
755738.52560000
PA
USD
826219.61000000
0.001994104898
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.03500000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028
681936BK5
7569000.00000000
PA
USD
8441432.91000000
0.020373642208
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 20YR 3.5% 01/01/2034#AS1406
3138WAR41
184038.87660000
PA
USD
198441.98000000
0.000478945451
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#MA3283
31418CUH5
4820030.61200000
PA
USD
5112751.07000000
0.012339772419
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
JMP CR ADVISORS CLO IV LTD / JMP CR ADVISORS CLO IV LLC
N/A
JMP CR ADVISORS CLO IV LTD / JMP CR ADVISORS CLO IV LLC 3ML+128 07/17/2029 144A
46647YAL1
1970236.20800000
PA
USD
1970937.61000000
0.004756914863
Long
ABS-CBDO
CORP
KY
N
2
2029-07-17
Variable
0.01503380
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
NORTHROP GRUMMAN 4.75% 6/1/43
666807BH4
695000.00000000
PA
USD
869284.94000000
0.002098044317
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
0.04750000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 4.65% 07/01/2026
958254AF1
2406000.00000000
PA
USD
2490739.32000000
0.006011471308
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
0.04650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/45#G08672
3128MJXA3
138996.39350000
PA
USD
152453.76000000
0.000367951554
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
KAZMUAIGAZ NATIONAL CO JSC
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 3.5% 04/14/2033 144A
48126PAA0
1420000.00000000
PA
USD
1448400.00000000
0.003495755245
Long
DBT
CORP
KZ
N
2
2033-04-14
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 07/01/2050#RA3078
3133KJM33
3016510.91000000
PA
USD
3219983.02000000
0.007771522046
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 02/34#G30703
3132J4AD1
4473500.65780000
PA
USD
4825086.94000000
0.011645486730
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
TAYLOR MORRISON CMNTYS INC / MONARCH CMNTYS INC
549300O1Z08HI2MRK572
TAYLOR MORRISON CMNTY/ MONARCH 5.75% 01/15/2028 144A
87724RAB8
280000.00000000
PA
USD
312200.00000000
0.000753503719
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2050#CA5224
3140QCYW0
17781315.01000000
PA
USD
18991827.82000000
0.045837325133
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 5.875% 11/15/2028
64110LAT3
635000.00000000
PA
USD
760095.00000000
0.001834511242
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.05875000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS CORP 6.75% 6/01/21
25470XAE5
1500000.00000000
PA
USD
1516875.00000000
0.003661021636
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.06750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/01/2043#G60065
31335ACA4
220379.49860000
PA
USD
244074.97000000
0.000589081991
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 4.5% 3/41#AH8925
3138AA4K4
2062556.40940000
PA
USD
2310414.64000000
0.005576252483
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 03/01/2041#A97717
312946SE7
49564.36100000
PA
USD
57040.85000000
0.000137669739
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.05000000
N
N
N
N
N
N
DISNEY (WALT) CO
549300GZKULIZ0WOW665
DISNEY (WALT) CO 4.75% 09/15/2044
254687EV4
1430000.00000000
PA
USD
1822792.60000000
0.004399362602
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
0.04750000
N
N
N
N
N
N
AEP TRANSMISSION CO LLC
549300X123Z1I0LA3Y84
AEP TRANSMISSION CO LLC 4% 12/01/2046
00115AAF6
375000.00000000
PA
USD
432369.09000000
0.001043535290
Long
DBT
CORP
US
N
2
2046-12-01
Fixed
0.04000000
N
N
N
N
N
N
UBS COML MTG TR 2017-C7
N/A
UBSCM 2017-C7 XA CSTR 12/50
90276WAT4
17221340.49690000
PA
USD
887388.12000000
0.002141736865
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.01030749
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
972154.68000000
0.002346323406
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04949800
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
1940264.40000000
PA
USD
2065520.11000000
0.004985192460
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
0.03119000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/47#MA4720
36179TG58
7650703.86360000
PA
USD
8265915.32000000
0.019950025434
Long
ABS-MBS
USGA
US
N
2
2047-09-20
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
10238.65000000
PA
USD
11645.10000000
0.000028105785
Long
ABS-MBS
USGA
US
N
2
2037-10-20
Fixed
0.05000000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 5.8% 05/01/2025
02005NBJ8
6894000.00000000
PA
USD
8086737.28000000
0.019517574057
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.05800000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.207 VAR 04/01/2023
46647PBB1
10500000.00000000
PA
USD
10825149.51000000
0.026126811090
Long
DBT
CORP
US
N
2
2023-04-01
Variable
0.03207000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP LTD 1.34%/VAR 01/12/2027 144A
55608JAR9
4111000.00000000
PA
USD
4083943.41000000
0.009856715408
Long
DBT
CORP
AU
N
2
2027-01-12
Variable
0.01340000
N
N
N
N
N
N
VOYA FINANCIAL INC
549300T065Z4KJ686G75
VOYA FINANCIAL INC 3.125% 07/15/2024
929089AD2
3436000.00000000
PA
USD
3706995.16000000
0.008946939916
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.03125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34669
31307RFJ9
32589.57130000
PA
USD
34942.53000000
0.000084334805
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% 06/01/2045#AS5263
3138WEZ51
1675671.98320000
PA
USD
1815190.44000000
0.004381014569
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
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
387102.58460000
PA
USD
426740.07000000
0.001029949487
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
HOLOGIC INC
549300DYP6F5ZJL0LB74
HOLOGIC INC 3.25% 02/15/2029 144A
436440AP6
225000.00000000
PA
USD
224564.63000000
0.000541993222
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.03250000
N
N
N
N
N
N
ONEOK INC NEW
2T3D6M0JSY48PSZI1Q41
ONEOK INC 4.95% 07/13/2047
682680AT0
365000.00000000
PA
USD
390921.62000000
0.000943500623
Long
DBT
CORP
US
N
2
2047-07-13
Fixed
0.04950000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 08/20/2046#MA3872
36179SJR9
249586.73480000
PA
USD
261357.37000000
0.000630793563
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
0.02500000
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
7119.77840000
PA
USD
7117.39000000
0.000017178026
Long
ABS-CBDO
USGA
US
N
2
2065-05-20
Fixed
0.02500000
N
N
N
N
N
N
BCAP LLC 2010-RR4-II TR
N/A
BCAP LLC 2010-RR4-II TR CSTR 01/26/2037 144A
05532XCY7
4620294.68000000
PA
USD
4392069.68000000
0.010600387063
Long
ABS-CBDO
CORP
US
N
2
2037-01-26
Variable
0.06453490
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.7% 01/15/2023
969457BU3
2512000.00000000
PA
USD
2639147.99000000
0.006369659921
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03700000
N
N
N
N
N
N
GO DADDY OPERATING CO LLC / GD FINANCE CO INC
N/A
GO DADDY OPERATING CO LLC / GD FINANCE CO INC 3.5% 03/01/2029 144A
38016LAC9
330000.00000000
PA
USD
327937.50000000
0.000791486630
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
0.03500000
N
N
N
N
N
N
ALLIANT ENERGY FINANCE LLC
54930033ER6EOI5DL570
ALLIANT ENERGY FINANCE LLC 1.4% 03/15/2026 144A
01882YAC0
2300000.00000000
PA
USD
2283554.89000000
0.005511425700
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.01400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2048#BM3877
3140J8JX2
556167.62000000
PA
USD
603166.73000000
0.001455760328
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNMA 6.625% 11/15/30
31359MGK3
670000.00000000
PA
USD
979210.96000000
0.002363353942
Long
DBT
USGSE
US
N
2
2030-11-15
Fixed
0.06625000
N
N
N
N
N
N
SAUDI ARABIAN OIL COMPANY
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL COMPANY 4.25% 04/16/2039 REGS
N/A
400000.00000000
PA
USD
438000.00000000
0.001057125654
Long
DBT
CORP
SA
N
2
2039-04-16
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2048#Q59935
3132Y4BD3
2420269.87100000
PA
USD
2665468.14000000
0.006433184363
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 4.00% 2/41 #AE0949
31419BBT1
11766.35360000
PA
USD
12972.99000000
0.000031310686
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
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
305000.00000000
PA
USD
326731.25000000
0.000788575311
Long
DBT
CORP
IE
N
2
2027-09-15
Fixed
0.06875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2040#AD9114
31418XDU9
68716.16740000
PA
USD
79121.04000000
0.000190960915
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 07/20/2046#MA3802
36179SGK7
1794084.35100000
PA
USD
1897094.75000000
0.004578692987
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03000000
N
N
N
N
N
N
PARTNERS HEALTHCARE SYS INC
5493007Z86EDN0QFYU66
PARTNERS HEALTHCARE SYS INC 3.342% 07/01/2060
70213HAF5
2000000.00000000
PA
USD
2079395.50000000
0.005018681114
Long
DBT
CORP
US
N
2
2060-07-01
Fixed
0.03342000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2043#Q20882
3132JM6T1
45035.09130000
PA
USD
49722.51000000
0.000120006714
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 2.5% 10/01/2043#BM5466
3140JACC0
931573.70980000
PA
USD
973596.81000000
0.002349804028
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 12/15/2040#734089
3620AMRJ3
3538996.87200000
PA
USD
3909755.28000000
0.009436307324
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 10/40 #A94662
312943FB4
22354.16540000
PA
USD
25060.95000000
0.000060485326
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TVA 5.25% 9/15/39
880591EH1
150000.00000000
PA
USD
214279.61000000
0.000517170029
Long
DBT
USGSE
US
N
2
2039-09-15
Fixed
0.05250000
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
1828793.02000000
0.004413844789
Long
ABS-MBS
CORP
US
N
2
2051-04-10
Fixed
0.03746000
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
185273.09000000
PA
USD
185570.08000000
0.000447878749
Long
ABS-CBDO
CORP
US
N
2
2022-12-15
Fixed
0.02170000
N
N
N
N
N
N
HILTON DOMESTIC OPERATING CO INC
5493003EG7H0N1E4XV50
HILTON DOMESTIC OPERATING CO INC 4% 05/01/2031 144A
432833AL5
970000.00000000
PA
USD
983337.50000000
0.002373313465
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
0.04000000
N
N
N
N
N
N
GB 2020-FLIX A
N/A
GB 2020-FLIX B 1ML+145 08/26/2025 144A
368306AJ5
930000.00000000
PA
USD
933178.18000000
0.002252252497
Long
ABS-MBS
CORP
TC
N
2
2037-08-15
Variable
0.01462000
N
N
N
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM 5.875% 10/15/24
00766TAD2
270000.00000000
PA
USD
299700.00000000
0.000723334608
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
0.05875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2034#FM1578
3140X4XG6
3539428.50200000
PA
USD
3798414.86000000
0.009167584004
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2048#G67716
3132XCSD8
23327.61400000
PA
USD
26078.46000000
0.000062941116
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.25% 8/9/42
02209SAM5
365000.00000000
PA
USD
380820.49000000
0.000919121254
Long
DBT
CORP
US
N
2
2042-08-09
Fixed
0.04250000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 4% 09/15/2055 144A
25470DBK4
1375000.00000000
PA
USD
1408321.20000000
0.003399023903
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
0.04000000
N
N
N
N
N
N
CROWDSTRIKE HOLDINGS INC
549300YBY08K9KM4HX32
CROWDSTRIKE HOLDINGS INC 3% 02/15/2029
22788CAA3
125000.00000000
PA
USD
125000.00000000
0.000301691111
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.03000000
N
N
N
N
N
N
RAYTHEON TECHNOLOGIES CORP
I07WOS4YJ0N7YRFE7309
RAYTHEON TECHNOLOGIES CORP 4.125% 11/16/2028
913017CY3
490000.00000000
PA
USD
564956.68000000
0.001363539269
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
0.04125000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC VAR 08/27/2021
28414HAF0
1274000.00000000
PA
USD
1291517.50000000
0.003117114799
Long
DBT
CORP
US
N
2
2021-08-27
Variable
0.04912000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2046#Q41906
3132WFDL0
21947.26730000
PA
USD
24025.86000000
0.000057987107
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
TAYLOR MORRISON CMNTYS INC / TAYLOR MORRISON HLDGS II INC
N/A
TAYLOR MORRISON CMNTYS / TAYLOR MORRISON HLDGS II 5.875% 04/15/23 144A
87724LAA3
298000.00000000
PA
USD
315880.00000000
0.000762385506
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.05875000
N
N
N
N
N
N
DANA INC
KVWHW7YLZPFJM8QYNJ51
DANA INC 5.625% 06/15/2028
235825AG1
500000.00000000
PA
USD
530625.00000000
0.001280678767
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.05625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7567
31417EMR9
406606.36780000
PA
USD
438099.17000000
0.001057365003
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-150 ZC 4.75% 01/41
31397QAV0
832870.41600000
PA
USD
927476.58000000
0.002238491521
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 4.50% 1/41 #AH1274
3138A2MY2
185022.51570000
PA
USD
207372.38000000
0.000500499230
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04500000
N
N
N
N
N
N
BLUEMOUNTAIN CLO XXVIII LTD / BLUEMOUNTAIN CLO XXVIII LLC
N/A
BLUEMOUNTAIN CLO XXVIII LTD / BLUEMOUNTAIN CLO XXVIII LLC 3ML+126 04/15/2034 144A
09630PAA1
3000000.00000000
PA
USD
3007500.00000000
0.007258688139
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Variable
0.00000000
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
89893.94200000
PA
USD
5988.10000000
0.000014452452
Long
ABS-CBDO
USGSE
US
N
2
2034-03-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 05/20/2046#AT1323
36193YPG5
160706.85650000
PA
USD
176060.08000000
0.000424926089
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/40 #004696
36202FGD2
41926.38320000
PA
USD
46900.14000000
0.000113194842
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
SAN DIEGO GAS and ELECTRIC CO
KNIRVXKVNJJ4P8OTMS63
SAN DIEGO GAS and ELECTRIC CO
797440BR4
100000.00000000
PA
USD
107115.90000000
0.000258527319
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
0.03600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BJ5987
3140H7UM7
196082.63600000
PA
USD
207990.73000000
0.000501991635
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% 10/20/2046#MA4005
36179SNW3
363042.91240000
PA
USD
397256.26000000
0.000958789460
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2046#Q40647
3132WDWH3
733551.30690000
PA
USD
794666.40000000
0.001917950314
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.705% 05/01/2040
097023CV5
4430000.00000000
PA
USD
5581636.49000000
0.013471440926
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
0.05705000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 01/31/2023
91282CBG5
515340000.00000000
PA
USD
515279607.31000000
1.243642219108
Long
DBT
UST
US
N
2
2023-01-31
Fixed
0.00125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/48#FM1001
3140X4DF0
703321.18400000
PA
USD
749132.85000000
0.001808053776
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.03500000
N
N
N
N
N
N
AMERIGAS PARTN LP/AMERIGAS FIN
N/A
AMERIGAS PARTN LP/AMERIGAS FIN 5.75% 05/20/2027
030981AL8
679000.00000000
PA
USD
764961.40000000
0.001846256439
Long
DBT
CORP
US
N
2
2027-05-20
Fixed
0.05750000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
VIACOM INC 3.875% 4/01/2024
92553PAX0
1380000.00000000
PA
USD
1501650.55000000
0.003624276986
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.03875000
N
N
N
N
N
N
ASCENSION HEALTH
N/A
ASCENSION HEALTH 3.106% 11/15/2039
04352EAB1
610000.00000000
PA
USD
658971.90000000
0.001590447718
Long
DBT
CORP
US
N
2
2039-11-15
Fixed
0.03106000
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
3654461.98000000
PA
USD
3654798.56000000
0.008820961914
Long
ABS-CBDO
CORP
US
N
2
2040-01-16
Fixed
0.03351000
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
125340.43100000
PA
USD
117807.42000000
0.000284331611
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
0.00387630
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL CO LTD
549300ZLMVP4X0OGR454
TAKEDA PHARMACEUTICAL CO LTD 2.05% 03/31/2030
874060AX4
2725000.00000000
PA
USD
2680919.96000000
0.006470477777
Long
DBT
CORP
JP
N
2
2030-03-31
Fixed
0.02050000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6.625/VAR PERP
29278NAB9
730000.00000000
PA
USD
643312.50000000
0.001552653304
Long
EP
CORP
US
N
2
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2043#AU8060
3138X75W9
232780.64090000
PA
USD
259590.08000000
0.000626528157
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.84% 01/23/2030
71654QDC3
10852000.00000000
PA
USD
10906260.00000000
0.026322573601
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
0.06840000
N
N
N
N
N
N
PIONEER NATURAL RESOURCES CO
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 0.75% 01/15/2024
723787AS6
95000.00000000
PA
USD
94752.77000000
0.000228688547
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.00750000
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
8189364.30000000
0.019765267335
Long
DBT
CORP
US
N
2
2025-02-19
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2045#Q37045
3132QTZK5
375999.43510000
PA
USD
412432.35000000
0.000995417392
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 3% 12/01/2049#CA4860
3140QCMJ2
3086797.58500000
PA
USD
3280541.36000000
0.007917681349
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/EUR settle 2021-03-02
N/A
1.00000000
NC
N/A
1887.79000000
0.000004556235
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
261640.00000000
EUR
317569.53000000
USD
2021-03-02
1887.79000000
N
N
N
MARRIOTT INTERNATIONAL INC NEW
225YDZ14ZO8E1TXUSU86
MARRIOTT INTERNATIONAL INC 3.125% 06/15/26
571903AS2
1090000.00000000
PA
USD
1145084.36000000
0.002763694185
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.03125000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 5.55% 03/15/2026
674599DC6
6488000.00000000
PA
USD
6925940.00000000
0.016715956286
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.05550000
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
1657000.00000000
PA
USD
1666196.35000000
0.004021413028
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.05750000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 2.8% 06/23/2030 144A
71567PAP5
1300000.00000000
PA
USD
1313000.00000000
0.003168963433
Long
DBT
NUSS
ID
N
2
2030-06-23
Fixed
0.02800000
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
1842163.60000000
0.004446115070
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.04125000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 3% 01/15/2027
756109AS3
585000.00000000
PA
USD
635137.01000000
0.001532921523
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2043#Q20707
3132JMYC7
191455.54690000
PA
USD
210174.39000000
0.000507261962
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 3.5% 09/42#AP5393
3138M87F4
201195.93530000
PA
USD
219959.71000000
0.000530879114
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 5.0% 03/01/2044#MA1852
31418BBW5
134579.79650000
PA
USD
152181.91000000
0.000367295436
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A97047
312945ZL5
252200.55950000
PA
USD
282580.97000000
0.000682017335
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 3.5% 01/11/2028
455780CD6
4230000.00000000
PA
USD
4545928.13000000
0.010971728877
Long
DBT
NUSS
ID
N
2
2028-01-11
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
914000.00000000
PA
USD
960577.44000000
0.002318381403
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.06250000
N
N
N
N
N
N
LUMEN TECHNOLOGIES
8M3THTGWLTYZVE6BBY25
CENTURYLINK INC 5.125% 12/15/2026 144A
156700BB1
185000.00000000
PA
USD
192862.50000000
0.000465479215
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.05125000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
ECOPETROL SA 4.125% 01/16/2025
279158AK5
300000.00000000
PA
USD
321187.50000000
0.000775195310
Long
DBT
CORP
CO
N
2
2025-01-16
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/40 #AD0732
31418MY63
65420.14650000
PA
USD
77824.08000000
0.000187830665
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.06000000
N
N
N
N
N
N
PANAMA REPUBLIC OF
549300SHS4T08CL0LP14
PANAMA REPUBLIC OF 4.5% 04/01/2056
698299BM5
445000.00000000
PA
USD
489360.94000000
0.001181086766
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
0.04500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Forward: USD/EUR settle 2021-03-02
N/A
1.00000000
NC
N/A
42052.91000000
0.000101495913
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
4391946.00000000
EUR
5341155.33000000
USD
2021-03-02
42052.91000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13654
3132HQBX9
54288.08530000
PA
USD
60076.43000000
0.000144996199
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
Fidelity Salem Street Trust
S4W85DGKOEJ24DPRB829
Fidelity Sai Us Treasury Bond Index Fund
31635V786
43910819.26300000
NS
USD
443499274.56000000
1.070398312221
Long
EC
RF
US
N
1
N
N
N
HILTON DOMESTIC OPERATING CO INC
5493003EG7H0N1E4XV50
HILTON DOMESTIC OPERATING CO INC 3.75% 05/01/2029 144A
432833AJ0
255000.00000000
PA
USD
259411.50000000
0.000626097149
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
0.03750000
N
N
N
N
N
N
DIVERSIFIED HEALTHCARE TR
N/A
SENIOR HOUSING PPTYS TR 4.75% 02/15/2028
81721MAM1
2000000.00000000
PA
USD
1970000.00000000
0.004754651914
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.04750000
N
N
N
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY REPUBLIC OF 1.75% 06/05/2035 REGS
N/A
770000.00000000
PA
994366.87000000
0.002399933168
Long
DBT
NUSS
HU
N
2
2035-06-05
Fixed
0.01750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2042#AB9201
36178WGJ2
28286.11070000
PA
USD
31284.88000000
0.000075506961
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.04000000
N
N
N
N
N
N
EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC
N/A
EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC 3ML+125 01/15/2034 144A
27830BBN3
7240000.00000000
PA
USD
7240000.00000000
0.017473949169
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Variable
0.01410110
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
ANTHEM INC 3.65% 12/01/2027
036752AB9
2965000.00000000
PA
USD
3346583.25000000
0.008077075359
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.03650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2031#BC2462
3140EWWY7
1273204.43510000
PA
USD
1350685.29000000
0.003259917969
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 20YR 4.5% 11/01/2030#AE6799
31419HRV6
4973.45870000
PA
USD
5516.72000000
0.000013314763
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 3% 11/01/2049#
31418DHL9
1622146.46840000
PA
USD
1697094.18000000
0.004095985833
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA COMMUNICATIONS CORP 3.125% 02/01/2029 144A
78410GAE4
220000.00000000
PA
USD
214000.60000000
0.000516496630
Long
DBT
CORP
US
N
2
2029-02-01
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 1.336% 09/25/2027
3137F64P9
9936000.00000000
PA
USD
10005254.91000000
0.024147971785
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
0.01336000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2046#BE1671
3140FL2D9
110637.37950000
PA
USD
122490.98000000
0.000295635519
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04500000
N
N
N
N
N
N
BB-UBS TR 2012-SHOW
N/A
BBUBS 2012-SHOW A 3.4302 11/36
05538UAA1
2800000.00000000
PA
USD
2935561.16000000
0.007085061670
Long
ABS-MBS
CORP
US
N
2
2036-11-05
Fixed
0.03430200
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 05/46#MA3662
36179SB71
1376859.24280000
PA
USD
1456344.23000000
0.003514928874
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 12/41 #005259
36202FZY5
923509.76780000
PA
USD
1022951.45000000
0.002468922878
Long
ABS-MBS
USGA
US
N
2
2041-12-20
Fixed
0.04000000
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
940280.19000000
0.002269393404
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
0.03734000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
FISERV INC 2.75% 07/01/2024
337738AS7
105000.00000000
PA
USD
111649.31000000
0.000269468835
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
0.02750000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.8% 07/15/2046
125523CF5
2375000.00000000
PA
USD
2948321.44000000
0.007115858974
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
0.04800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.252% 08/01/2041#
3138EPH64
316287.01500000
PA
USD
358473.76000000
0.000865186776
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Variable
0.05255000
N
N
N
N
N
N
TRANSOCEAN POSEIDON LTD
N/A
TRANSOCEAN POSEIDON LTD 6.875% 02/01/2027 144A
89383JAA6
120000.00000000
PA
USD
112200.00000000
0.000270797941
Long
DBT
CORP
KY
N
2
2027-02-01
Fixed
0.06875000
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
3255903.61000000
0.007858217428
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
0.06200000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 07/50#MA6766
36179VQT0
13825605.90200000
PA
USD
14409881.54000000
0.034778665410
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
0.03000000
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
262425.00000000
0.000633370319
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
0.04625000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/45#MA3174
36179RQ36
18728.45000000
PA
USD
20587.07000000
0.000049687488
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 6/38 #004168
36202ETZ2
110299.05430000
PA
USD
125517.41000000
0.000302939895
Long
ABS-MBS
USGA
US
N
2
2038-06-20
Fixed
0.05000000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SC 6% 12/19/23
780097AZ4
40605000.00000000
PA
USD
46064535.53000000
0.111178087345
Long
DBT
CORP
GB
N
2
2023-12-19
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2047#BE3702
3140FPDG1
236099.96300000
PA
USD
254930.19000000
0.000615281378
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP PAY 0.71 03/30/2022
N/A
-4000000.00000000
NC
USD
-395264.72000000
-0.00095398282
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 04/01/32 3MLV.71%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2032-04-01
0.00000000
USD
0.00000000
USD
-4000000.00000000
USD
1.00000000
0.71000000
USD
2022-03-30
XXXX
-240264.72000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.0% 12/01/2028#AU9683
3138X9XM6
61254.78500000
PA
USD
64879.08000000
0.000156587533
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 07/01/2031#V61246
3132KFL34
756710.22500000
PA
USD
795957.38000000
0.001921066132
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2044#AL6223
3138EN4H9
264325.67430000
PA
USD
295015.97000000
0.000712029566
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 II 5% 04/48#784805
3622AAGN8
7088495.63000000
PA
USD
7908592.04000000
0.019087615374
Long
ABS-MBS
USGA
US
N
2
2048-04-20
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
3686999.26000000
0.008898679234
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.01062250
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 2.645/VAR 06/24/2031
06738EBM6
1015000.00000000
PA
USD
1023655.67000000
0.002470622533
Long
DBT
CORP
GB
N
2
2031-06-24
Variable
0.02645000
N
N
N
N
N
N
GPMT 2018-FL1 LTD / GPMT 2018-FL1 LLC
N/A
GPMT 2018-FL1 LTD / GPMT 2018-FL1 LLC 1ML+90 12/19/2035 144A
36255CAA7
7676042.83000000
PA
USD
7653360.12000000
0.018471605761
Long
ABS-MBS
CORP
US
N
2
2035-11-21
Variable
0.01011130
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 3.7% 01/30/2027 144A
92840VAG7
2900000.00000000
PA
USD
3142396.44000000
0.007584264594
Long
DBT
CORP
US
N
2
2027-01-30
Fixed
0.03700000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.5% 06/01/2050
035240AT7
8175000.00000000
PA
USD
9426895.71000000
0.022752085147
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
0.04500000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 2007 1
N/A
BAYC 2007-1 A2 1ML+27 3/37
07325MAB0
31889.31980000
PA
USD
29895.83000000
0.000072154449
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
0.00387630
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC 3.9% 04/01/2035
26875PAN1
205000.00000000
PA
USD
229209.05000000
0.000553202664
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
0.03900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/47#BH4269
3140GSW73
67679.03600000
PA
USD
74134.28000000
0.000178925226
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 4.5% 8/1/41 #AI8194
3138ANC84
342756.84660000
PA
USD
383731.85000000
0.000926147906
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
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
6691323.94000000
0.016149703647
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.05450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#FM2286
3140X5RG0
3287573.89800000
PA
USD
3539623.97000000
0.008542984714
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 3.75% 04/01/2030
50077LAV8
653000.00000000
PA
USD
713632.75000000
0.001722373259
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
0.03750000
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
7497504.75000000
0.018095444323
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
0.04125000
N
N
N
N
N
N
TOTAL CAPITAL INTL SA
549300U37G2I8G4RUG09
TOTAL CAP INTL 2.7% 01/25/2023
89153VAE9
1375000.00000000
PA
USD
1436950.86000000
0.003468122415
Long
DBT
CORP
FR
N
2
2023-01-25
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2042#AK6744
3138EBP66
125911.76980000
PA
USD
139377.13000000
0.000336390729
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 3.50% 10/41 #005202
36202FX76
721264.48300000
PA
USD
789269.34000000
0.001904924354
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.03500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.95% 05/15/2025
68389XBC8
935000.00000000
PA
USD
1005731.81000000
0.002427362779
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.02950000
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
1872108.86000000
0.004518388820
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
0.03375000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 12/20/2049#MA6338
36179VBF6
2764164.43310000
PA
USD
2885298.13000000
0.006963750395
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2044#G07922
3128MAD30
2717595.79200000
PA
USD
2997512.23000000
0.007234582367
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 15YR 3.0% 10/01/2028#V60298
3132KEKK0
390928.49850000
PA
USD
415121.97000000
0.001001908867
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
0.03000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Forward: GBP/USD settle 2021-03-02
N/A
1.00000000
NC
N/A
-42422.38000000
-0.00010238763
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
6466638.90000000
USD
4611123.00000000
GBP
2021-03-02
-42422.38000000
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD D 3.17709% 11/10/2036 144A
61771LAJ1
2340000.00000000
PA
USD
2295149.92000000
0.005539410640
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03177097
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
214638.57000000
0.000518036389
Long
DBT
CORP
US
N
2
2056-07-15
Fixed
0.03300000
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
5287891.99560000
PA
USD
5588818.53000000
0.013488774987
Long
ABS-CBDO
CORP
US
N
2
2058-05-25
Fixed
0.03750000
N
N
N
N
N
N
CF HIPPOLYTA ISSUER LLC
N/A
CF HIPPOLYTA ISSUER LLC 1.69% 07/15/2060 144A
12530MAA3
546859.07800000
PA
USD
550090.03000000
0.001327658179
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Fixed
0.01690000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 02/01/2033#ZS8686
3132A9UK1
257217.94300000
PA
USD
272838.79000000
0.000658504302
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2042#AO7760
3138LYTS6
132317.03950000
PA
USD
147969.54000000
0.000357128759
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04500000
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOC(UNGTD) 4.363%/VAR 08/01/2024 144A
63861VAC1
1250000.00000000
PA
USD
1356772.76000000
0.003274610254
Long
DBT
CORP
GB
N
2
2024-08-01
Variable
0.04363000
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
4017205.62000000
0.009695641824
Long
ABS-MBS
CORP
US
N
2
2031-10-15
Variable
0.01202000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2043#Q16616
3132J7YN6
512990.61330000
PA
USD
549713.51000000
0.001326749438
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 02/01/2040#SC0052
3132D9BV5
15567345.55300000
PA
USD
16542001.49000000
0.039924598508
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
0.03000000
N
N
N
N
N
N
CALPINE CORPORATION
43R4VPJBXTU2O15HEF41
CALPINE TERM B9 1LN 04/01/2026
13134MBU6
3250000.00000000
PA
USD
3228062.50000000
0.007791022105
Long
LON
CORP
US
N
2
2026-04-01
Variable
0.00000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 5.25% 04/15/2029
29278NAG8
2803000.00000000
PA
USD
3250711.78000000
0.007845686796
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.05250000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 1.794%/VAR 02/13/2032
6174468U6
1025000.00000000
PA
USD
983587.43000000
0.002373916678
Long
DBT
CORP
US
N
2
2032-02-13
Variable
0.01794000
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
586883.25000000
0.001416459679
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 4.00% 2/41 #AE6390
31419HC42
1228580.75070000
PA
USD
1354581.78000000
0.003269322261
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2% 10/05/2022
3135G0T78
430000.00000000
PA
USD
442890.33000000
0.001068928606
Long
DBT
USGSE
US
N
2
2022-10-05
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 1/1/43 #AB7570
31417EMU2
286940.76750000
PA
USD
307371.75000000
0.000741850598
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
NAVIENT CORP 7.25% 01/25/2022
78442FEL8
680000.00000000
PA
USD
705500.00000000
0.001702744632
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
0.07250000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.522% 09/15/2048
92343VCX0
2416000.00000000
PA
USD
2845616.33000000
0.006867977224
Long
DBT
CORP
US
N
2
2048-09-15
Fixed
0.04522000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 5.576% 01/25/2049
35137LAK1
1641000.00000000
PA
USD
2160237.24000000
0.005213794989
Long
DBT
CORP
US
N
2
2049-01-25
Fixed
0.05576000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2043#G07388
3128M9RH7
297266.64910000
PA
USD
324158.10000000
0.000782364939
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
AEGIS ASSET BACKED SECS TRUST
N/A
AEGIS ASSET BACKED SECS TRUST STEP 12/25/2035
00764MHE0
11165000.00000000
PA
USD
10944180.86000000
0.026414096692
Long
ABS-CBDO
CORP
US
N
2
2035-12-25
Variable
0.00547630
N
N
N
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
10023197.55100000
PA
USD
9950557.43000000
0.024015957837
Long
ABS-CBDO
CORP
US
N
2
2039-11-15
Fixed
0.03671000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2049#CA3084
3140QANA4
4869504.33000000
PA
USD
5222873.55000000
0.012605556206
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.04000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 4.25% 02/01/2024
00914AAA0
7846000.00000000
PA
USD
8558263.72000000
0.020655616743
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.04250000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 3% 10/15/2030
15135BAW1
1638000.00000000
PA
USD
1663716.60000000
0.004015428080
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
0.03000000
N
N
N
N
N
N
PPL CAP FDG INC
549300MROK5WY0D2NU17
PPL CAP FDG INC 4.125% 04/15/2030
69352PAQ6
400000.00000000
PA
USD
462452.03000000
0.001116141335
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2048#Q54740
3132XXHS1
245571.24900000
PA
USD
261176.91000000
0.000630358017
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% 03/01/2048#BM3855
3140J8H97
805372.66920000
PA
USD
879420.89000000
0.002122507725
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
PANAMA REPUBLIC OF
549300SHS4T08CL0LP14
PANAMA REPUBLIC OF 3.16% 01/23/2030
698299BK9
3620000.00000000
PA
USD
3761406.25000000
0.009078262654
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
0.03160000
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
2732073.25400000
PA
USD
2963114.85000000
0.007151563297
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 15YR 3% 11/01/2032#BJ1634
3140H2Y85
179864.48820000
PA
USD
192541.34000000
0.000464704086
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2044#AS1792
3138WA7E1
33042.46990000
PA
USD
36744.73000000
0.000088684467
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04500000
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC 2.648% 01/16/2025
65535HAP4
675000.00000000
PA
USD
711077.62000000
0.001716206379
Long
DBT
CORP
JP
N
2
2025-01-16
Fixed
0.02648000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.5% 04/15/2025 144A
87264ABA2
500000.00000000
PA
USD
540615.00000000
0.001304789921
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/42#AK5551
3138EAEZ6
678208.42100000
PA
USD
750737.93000000
0.001811927683
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
SUNOCO LOGISTICS PRTNR OPER LP
5493006LL0CKP8WQW329
SUNOCO LOGISTICS PRTNR OPER LP 3.9% 07/15/2026
86765BAT6
805000.00000000
PA
USD
874637.90000000
0.002110963840
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.03900000
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
8108450.80000000
0.019569980265
Long
DBT
CORP
FR
N
2
2022-07-20
Variable
0.00954000
N
N
N
N
N
N
COREVEST AMERN FIN 2020-2 TR
N/A
COREVEST AMERICAN FINANCE 2020-2 TRUST 4.244% 05/15/2052 144A
21872VAD4
3200000.00000000
PA
USD
3528581.76000000
0.008516334021
Long
ABS-CBDO
CORP
US
N
2
2052-05-15
Fixed
0.04244000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2048#BK3214
3140HGSC2
20799.75900000
PA
USD
22679.65000000
0.000054737990
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
GENERAL MOTORS CO 6.6% 04/01/2036
37045VAK6
575000.00000000
PA
USD
783243.71000000
0.001890381322
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
0.06600000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 2.956/VAR 05/13/2031
46647PBP0
5386000.00000000
PA
USD
5627561.24000000
0.013582281637
Long
DBT
CORP
US
N
2
2031-05-13
Variable
0.02956000
N
N
N
N
N
N
HUNGARY REPUBLIC OF
5299008DH62LEB10JK83
HUNGARY GOVT 7.625% 3/29/41
445545AF3
550000.00000000
PA
USD
913687.50000000
0.002205211178
Long
DBT
NUSS
HU
N
2
2041-03-29
Fixed
0.07625000
N
N
N
N
N
N
UTAH ACQUISITION SUB INC
254900JOFV74IJ7H9933
MYLAN NV 3.95% 06/15/2026
62854AAN4
2804000.00000000
PA
USD
3131811.91000000
0.007558718525
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.03950000
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
710000.00000000
PA
USD
750690.10000000
0.001811812244
Long
DBT
CORP
IE
N
2
2026-10-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR1458
3138NXTQ0
213739.59540000
PA
USD
230294.33000000
0.000555822018
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% 6/40 #G05898
3128M73F1
109581.14490000
PA
USD
126217.82000000
0.000304630355
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.05000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS INC
54930030NVF3Y2OL0A78
ROGERS COMMUNICATIONS INC 3.0% 03/15/2023
775109AW1
150000.00000000
PA
USD
156821.71000000
0.000378493727
Long
DBT
CORP
CA
N
2
2023-03-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15107
3132J6DM3
85266.32110000
PA
USD
94357.66000000
0.000227734938
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 1.5% 03/01/2051 #TBA
01F012635
10500000.00000000
PA
USD
10323877.20000000
0.024916975887
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 08/01/2034#C91782
3128P76T5
343978.16860000
PA
USD
371012.48000000
0.000895449339
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046
674599DL6
6475000.00000000
PA
USD
7270130.00000000
0.017546668795
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
0.06600000
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
1551045.37000000
0.003743492811
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
0.04700000
N
N
N
N
N
N
EFF 2021-1
N/A
EFF 2021-1 0.44% 12/21/2026 144A
29374EAB2
6174000.00000000
PA
USD
6171848.36000000
0.014895934326
Long
ABS-CBDO
CORP
US
N
2
2026-12-21
Fixed
0.00440000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2047#BJ4279
3140H5XH9
149774.06000000
PA
USD
163404.29000000
0.000394380974
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
STEEL DYNAMICS INC 3.45% 04/15/2030
858119BK5
2900000.00000000
PA
USD
3150257.62000000
0.007603237779
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.03450000
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
3635648.00000000
PA
USD
3814141.23000000
0.009205540052
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 3.5% 07/01/2046#AL9515
3138ERSD3
882710.06960000
PA
USD
955378.03000000
0.002305832477
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q33724
3132QQD66
217698.42030000
PA
USD
238216.82000000
0.000574943177
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST 2015-1
N/A
NAVIENT STUDENT LOAN TRUST 2015-1 A2 1ML+60 04/25/2040
63939FAB6
472043.96000000
PA
USD
467222.93000000
0.001127656040
Long
ABS-CBDO
CORP
US
N
2
2040-04-25
Variable
0.00717630
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP 5.875% 02/01/2029 144A
165167DG9
105000.00000000
PA
USD
112089.60000000
0.000270531487
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.05875000
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
312337.50000000
0.000753835579
Long
DBT
CORP
GB
N
2
2026-08-15
Fixed
0.05500000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 2.15% 12/15/2030
718546AW4
300000.00000000
PA
USD
292210.77000000
0.000705259135
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
0.02150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2039#AS3482
3138WC2Q5
911418.64370000
PA
USD
1002337.48000000
0.002419170466
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04000000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 2/15/29
912833XN5
1020000.00000000
PA
USD
915090.31000000
0.002208596900
Long
DBT
UST
US
N
2
2029-02-15
Fixed
0.00000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 6/40 #A92350
312940TF6
16602.46830000
PA
USD
19122.42000000
0.000046152513
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 30YR 4% 04/15/2043#AD7475
36180KJU6
62475.76840000
PA
USD
69352.98000000
0.000167385420
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#738107
3620ASAG4
34365.95260000
PA
USD
37872.82000000
0.000091407145
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 3.2% 02/15/2052
29379VCA9
665000.00000000
PA
USD
618977.22000000
0.001493919403
Long
DBT
CORP
US
N
2
2052-02-15
Fixed
0.03200000
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
1160865.00000000
0.002801781215
Long
DBT
MUN
US
N
2
2036-08-01
Fixed
0.05767000
N
N
N
N
N
N
SEQUOIA MTG TR
N/A
SEMT 2004-6 A3B 6ML+44 7/34
81744FCU9
1152.91050000
PA
USD
1116.76000000
0.000002695332
Long
ABS-CBDO
CORP
US
N
2
2034-07-20
Variable
0.01140000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
EXELON CORP 5.625% 6/15/35
30161NAC5
150000.00000000
PA
USD
197450.97000000
0.000476553620
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
0.05625000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC 3.625% 02/15/2031 144A
629377CR1
645000.00000000
PA
USD
635325.00000000
0.001533375242
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/50#CA6955
3140QEWR9
8221132.71900000
PA
USD
8675476.09000000
0.020938512185
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
0.03000000
N
N
N
N
N
N
VLS COMMERCIAL MORTGAGE TRUST 2020
N/A
VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A
92858TAL0
8700000.00000000
PA
USD
317153.28000000
0.000765458604
Long
ABS-MBS
CORP
US
N
2
2042-10-10
Variable
0.00429415
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA GROUP LTD 3.375% 04/07/2030 144A
00131LAJ4
9627000.00000000
PA
USD
10520359.51000000
0.025391191619
Long
DBT
CORP
HK
N
2
2030-04-07
Fixed
0.03375000
N
N
N
N
N
N
PG and E CORP
8YQ2GSDWYZXO2EDN3511
PG and E CORP 5.25% 07/01/2030
69331CAJ7
735000.00000000
PA
USD
786229.50000000
0.001897587613
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
0.05250000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
UPJOHN INC 2.7% 06/22/2030 144A
91533BAD2
5898000.00000000
PA
USD
5978110.12000000
0.014428341487
Long
DBT
CORP
US
N
2
2030-06-22
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2042#AJ9317
3138E2K79
804931.06110000
PA
USD
891012.64000000
0.002150484748
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2047#AX5857
36196HQJ2
72753.63250000
PA
USD
79238.93000000
0.000191245446
Long
ABS-MBS
USGA
US
N
2
2047-01-15
Fixed
0.04000000
N
N
N
N
N
N
ARIZONA PUBLIC SERVICE CO
YG6VT0TPHRH4TFVAQV64
ARIZONA PUBLIC SERVICE CO 2.6% 08/15/2029
040555CZ5
340000.00000000
PA
USD
361494.94000000
0.000872478481
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
0.02600000
N
N
N
N
N
N
DTE ELEC CO
9N0FWODEJVKHC2DYLO03
DTE ELEC CO 2.25% 03/01/2030
23338VAK2
150000.00000000
PA
USD
154587.74000000
0.000373101976
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
0.02250000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 7.3% 08/15/2031
023551AJ3
1849000.00000000
PA
USD
2437283.72000000
0.005882454673
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
0.07300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#AL9776
3138ER2J8
3526366.21750000
PA
USD
3812261.77000000
0.009201003921
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
SIRIUS XM RADIO INC 4.125% 07/01/2030 144A
82967NBG2
65000.00000000
PA
USD
65650.00000000
0.000158448171
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
0.04125000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/GBP settle 2021-03-02
N/A
1.00000000
NC
N/A
-49002.89000000
-0.00011826989
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
3826290.00000000
GBP
5281784.31000000
USD
2021-03-02
-49002.89000000
N
N
N
EXETER AUTOMOBILE RECEIVABLES TR 2019-4
N/A
EXETER AUTOMOBILE RECEIVABLES TR 2019-4 2.18% 01/17/2023 144A
30167GAA8
177928.74000000
PA
USD
178114.11000000
0.000429883550
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Fixed
0.02180000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2047#BH4576
3140GTCN8
176133.62300000
PA
USD
193171.54000000
0.000466225092
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
SECURITIZED ASSET BACKED LLC TR 2006 CB5
N/A
SECURITIZED AB LLC TR 06 CB5 1ML+28 06/25/2036
81376WAC9
2878886.44270000
PA
USD
2246047.03000000
0.005420899397
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Variable
0.00397630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2044#AX8524
3138YAPJ8
491457.81590000
PA
USD
540483.34000000
0.001304472156
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 5.0% 04/01/2041#AI1360
3138AEQN6
103007.75850000
PA
USD
118830.33000000
0.000286800434
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.05000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
VISTRA OPERATIONS CO LLC 5.5% 09/01/2026 144A
92840VAA0
770000.00000000
PA
USD
798875.00000000
0.001928107892
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.05500000
N
N
N
N
N
N
SOUNDVIEW HOME LN TR 2007-NS1
N/A
SVHE 2007-NS1 A4 1ML+30 1/37
83612QAD0
7309000.00000000
PA
USD
6863344.69000000
0.016564880697
Long
ABS-CBDO
CORP
US
N
2
2037-01-25
Variable
0.00417630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 10/01/2045#AL7413
3138EQGX4
2845768.59460000
PA
USD
3138542.12000000
0.007574962081
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% 11/01/2042#Q13121
3132HPPE8
241933.25500000
PA
USD
267728.86000000
0.000646171338
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTYS LTD PARTNERSHIP 3.25% 01/30/2031
10112RBD5
3050000.00000000
PA
USD
3235567.95000000
0.007809136725
Long
DBT
CORP
US
N
2
2031-01-30
Fixed
0.03250000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP FRN 3ML+110 09/09/2022
55336VBH2
3115000.00000000
PA
USD
3117118.73000000
0.007523256111
Long
DBT
CORP
US
N
2
2022-09-09
Variable
0.01330380
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FEDEX CORP 3.3% 03/15/2027
31428XBM7
280000.00000000
PA
USD
308629.38000000
0.000744885925
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.03300000
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
2383713.89410000
PA
USD
2294695.29000000
0.005538313378
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01862000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 5.3% 12/05/2043
126650CD0
555000.00000000
PA
USD
717619.43000000
0.001731995226
Long
DBT
CORP
US
N
2
2043-12-05
Fixed
0.05300000
N
N
N
N
N
N
DRYDEN 76 CLO LTD
N/A
DRYDEN 76 CLO LTD 3ML+133 10/20/2032 144A
26252WAA7
7395000.00000000
PA
USD
7425179.00000000
0.017920884036
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Variable
0.01554000
N
N
N
N
N
N
HEALTHCARE REALTY TRUST INC
549300CB86LH2IOKHH22
HEALTHCARE REALTY TRUST INC 3.875% 05/01/2025
421946AJ3
2750000.00000000
PA
USD
3008161.17000000
0.007260283892
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19606
3132JBDL4
139927.30820000
PA
USD
154710.10000000
0.000373397296
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
TAYLOR MORRISON CMNTYS INC / MONARCH CMNTYS INC
549300O1Z08HI2MRK572
TAYLOR MORRISON CMNTY/ MONARCH 5.875% 06/15/2027 144A
87724RAA0
1500000.00000000
PA
USD
1672500.00000000
0.004036627069
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.05875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2.5% 07/01/2050#RA2976
3133KJJV5
10004612.87000000
PA
USD
10404645.31000000
0.025111912054
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02500000
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
5435607.60000000
0.013118995981
Long
ABS-CBDO
CORP
US
N
2
2033-04-17
Variable
0.01403380
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC SOFR+210.7 06/03/2031
172967MS7
2100000.00000000
PA
USD
2151516.74000000
0.005192747811
Long
DBT
CORP
US
N
2
2031-06-03
Variable
0.02572000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 08/01/2045#AZ2035
3138YTHM9
344341.95670000
PA
USD
377938.64000000
0.000912165826
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 6.00% 3/36 #888342
31410F5B7
216845.39620000
PA
USD
253524.08000000
0.000611887691
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.06000000
N
N
N
N
N
N
CSMC 2020-RPL4 TR
N/A
CSMC 2020-RPL4 TR 2% 01/25/2060 144A
126405AA7
3096246.41000000
PA
USD
3143799.18000000
0.007587650147
Long
ABS-CBDO
CORP
US
N
2
2060-01-25
Fixed
0.02000000
N
N
N
N
N
N
YALE UNIVERSITY
9SFB6DIM0FRWV0EV8S84
YALE UNIVERSITY 2.402% 04/15/2050
98459LAC7
1615000.00000000
PA
USD
1541788.17000000
0.003721150291
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
0.02402000
N
N
N
N
N
N
BABSON CLO LTD/CAYMAN ISLANDS
N/A
BABSON CLO LTD/CAYMAN ISLANDS 3ML+140 10/15/2032 144A
06762LAA6
8259000.00000000
PA
USD
8280233.89000000
0.019984583716
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01641250
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.5% 9/13/25
172967HB0
8267000.00000000
PA
USD
9775676.58000000
0.023593877853
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
0.05500000
N
N
N
N
N
N
MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST SERIES 2016-5
N/A
MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST SERIES 2020-4 A1 1ML+135 04/23/2023 144A
61916BAY6
16662000.00000000
PA
USD
16660881.98000000
0.040211520005
Long
ABS-CBDO
CORP
US
N
2
2023-04-23
Variable
0.01470500
N
N
N
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA 4.125% 03/11/2039 REGS
N/A
1540000.00000000
PA
2208800.91000000
0.005331004810
Long
DBT
NUSS
RO
N
2
2039-03-11
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
6665380.80000000
0.016087089129
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03287000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 10/1/41 #AL1697
3138EH3F7
48933.39600000
PA
USD
54181.76000000
0.000130769243
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2013-133 IB 3% 04/32
3136AHQ94
281323.81320000
PA
USD
12786.03000000
0.000030859452
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 4.0% 10/01/2045#BA4574
3140E9CL8
348586.48050000
PA
USD
382270.50000000
0.000922620895
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.875% 4/30/22
912828X47
33665000.00000000
PA
USD
34360655.58000000
0.082930434950
Long
DBT
UST
US
N
2
2022-04-30
Fixed
0.01875000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
VIACOM INC 5.85% 9/01/43
92553PAU6
220000.00000000
PA
USD
291855.64000000
0.000704402019
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 4.00% 12/41 #778681
36176W2N0
115243.73380000
PA
USD
127677.45000000
0.000308153214
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
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
348292.28000000
0.000840613480
Long
DBT
CORP
US
N
2
2056-12-01
Fixed
0.04300000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 8/15/42
912834LR7
490000.00000000
PA
USD
306289.89000000
0.000739239498
Long
DBT
UST
US
N
2
2042-08-15
Fixed
0.00000000
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
10834063.29000000
0.026148324755
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.03650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 03/01/2043#AT0162
3138WMFC0
915197.15970000
PA
USD
956481.52000000
0.002308495782
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.02500000
N
N
N
N
N
N
AEP TRANSMISSION CO LLC
549300X123Z1I0LA3Y84
AEP TRANSMISSION CO LLC 3.75% 12/01/2047
00115AAH2
650000.00000000
PA
USD
733017.97000000
0.001769160048
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
0.03750000
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
402439.00000000
0.000971298153
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
0.08500000
N
N
N
N
N
N
BAYVIEW COML ASST TR 2007 2
N/A
BAYC 2007-2 A1 1ML+27 7/37
07325XAA8
91855.15910000
PA
USD
86973.60000000
0.000209913296
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.00387630
N
N
N
N
N
N
COMM 2015-CCRE24 MTG TR
N/A
COMM 2015-CCRE24 A4 3.432% 08/10/2055
12593JBE5
1422826.81000000
PA
USD
1549482.73000000
0.003739721334
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Fixed
0.03432000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 6/41 #005082
36202FUF1
1533157.10840000
PA
USD
1714078.54000000
0.004136978077
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #773365
36176Q6A7
22068.28670000
PA
USD
24040.00000000
0.000058021234
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% 07/01/2043#Q19690
3132JBF81
179937.61710000
PA
USD
198954.38000000
0.000480182144
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
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
5937645.60000000
0.014330679199
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.02710000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 12/40 #AE9423
31419LPH0
23746.02000000
PA
USD
26614.43000000
0.000064234695
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 30YR 3% 08/45#AL8626
36184FSP4
856989.52190000
PA
USD
898739.65000000
0.002169134110
Long
ABS-MBS
USGA
US
N
2
2045-08-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 08/20/2045#MA3104
36179RNV7
589345.51360000
PA
USD
623736.30000000
0.001505405580
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% 02/01/2044#AS1626
3138WAYY7
1537855.24800000
PA
USD
1710164.85000000
0.004127532273
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
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
2871254.29000000
0.006929855181
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.03700000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/46#AS7008
36193SYD5
115087.94400000
PA
USD
126082.94000000
0.000304304818
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% 2/41 #AH5581
3138A7FX1
773608.66980000
PA
USD
866573.53000000
0.002091500250
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CMBX AAACDSIGEN 12/72
N/A
1000000.00000000
NC
USD
-2855.90000000
-0.00000689279
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
1270.88000000
USD
0.00000000
USD
1000000.00000000
USD
-4126.78000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/01/42 #Q12052
3132HNH51
306267.21490000
PA
USD
334355.72000000
0.000806977190
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 5.0% 07/01/2041#AI5633
3138AKHK8
52244.09620000
PA
USD
60073.17000000
0.000144988331
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% 03/20/2048#MA5079
36179TUC7
108750.59320000
PA
USD
118491.20000000
0.000285981934
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
0.04500000
N
N
N
N
N
N
NEW YORK and PRESBYTERIAN HOSP
19EOSPKL8HML7MY3UE63
NEW YORK and PRESBYTERIAN HOSP 4.063% 8/1/56
649322AD6
390000.00000000
PA
USD
482959.19000000
0.001165635958
Long
DBT
CORP
US
N
2
2056-08-01
Fixed
0.04063000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2028#AU2696
3138X17J9
188849.72250000
PA
USD
197764.52000000
0.000477310382
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.02500000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
PT PERTAMINA PERSERO 3.1% 08/27/2030 144A
69370PAH4
600000.00000000
PA
USD
607500.00000000
0.001466218801
Long
DBT
CORP
ID
N
2
2030-08-27
Fixed
0.03100000
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
MARATHON PETROL 5.125% 3/01/21
56585AAD4
2870000.00000000
PA
USD
2870000.00000000
0.006926827916
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.05125000
N
N
N
N
N
N
PECO ENERGY COMPANY
YH65D4JBECK76IFEJ279
PECO ENERGY COMPANY 2.8% 06/15/2050
693304AY3
360000.00000000
PA
USD
348876.92000000
0.000842024525
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
0.02800000
N
N
N
N
N
N
BEECHWOOD PARK CLO LTD
N/A
BEECHWOOD PARK CLO LTD 3ML+133 01/17/2033 144A
07355TAA0
3340000.00000000
PA
USD
3354605.82000000
0.008096438063
Long
ABS-CBDO
CORP
KY
N
2
2033-01-17
Variable
0.01553380
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.4% 04/15/2046
674599CJ2
200000.00000000
PA
USD
179000.00000000
0.000432021671
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
0.04400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2045#AY9334
3138YPLQ3
172050.05880000
PA
USD
189983.34000000
0.000458530279
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 3.875% 08/15/2059
91324PDV1
30000.00000000
PA
USD
34085.13000000
0.000082265446
Long
DBT
CORP
US
N
2
2059-08-15
Fixed
0.03875000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC NEW
549300K2RLMQL149Q332
O'REILLY AUTOMOTIVE INC NEW 4.2% 04/01/2030
67103HAJ6
1533000.00000000
PA
USD
1769183.18000000
0.004269974718
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
0.04200000
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
447589.56570000
PA
USD
480140.11000000
0.001158832027
Long
ABS-CBDO
USGSE
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 3/35 #735288
31402Q2V2
1082028.87830000
PA
USD
1232720.23000000
0.002975205889
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/40 #AE7953
31419JZT8
24827.10930000
PA
USD
27369.94000000
0.000066058140
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% 02/01/2044#Q24546
3132M4WF8
83310.66510000
PA
USD
91829.00000000
0.000221631944
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPER LLC/CAP CORP 5.375% 05/01/2047
161175BL7
37824000.00000000
PA
USD
44461957.30000000
0.107310218487
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
0.05375000
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
5547115.55000000
0.013388123640
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Variable
0.01224000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 12/33 #745944
31403DWD7
48997.74000000
PA
USD
55476.32000000
0.000133893701
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
0.05000000
N
N
N
N
N
N
WFRBS COML MTG TR 2014-C24
N/A
WFRBS 2014-C24 XA CSTR 11/47
92939KAH1
6188092.35040000
PA
USD
167835.30000000
0.000405075345
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.00854158
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2047#MA3073
31418CMX9
746674.38750000
PA
USD
818669.03000000
0.001975881355
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 20YR 3% 07/01/2033#MA1490
31418AUQ9
2335230.53100000
PA
USD
2492748.37000000
0.006016320208
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
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 K124 X1 CSTR 12/25/2030
3137F9YZ8
6500000.00000000
PA
USD
404611.35000000
0.000976541182
Long
ABS-MBS
USGSE
US
N
2
2030-12-25
Variable
0.00721700
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
NUMERICABLE SFR 7.375% 05/01/2026 144A
67054KAA7
510000.00000000
PA
USD
532032.00000000
0.001284074602
Long
DBT
CORP
FR
N
2
2026-05-01
Fixed
0.07375000
N
N
N
N
N
N
CHUBB CORP
N/A
CHUBB CORP 6.0% 05/11/2037
171232AQ4
300000.00000000
PA
USD
434574.50000000
0.001048858110
Long
DBT
CORP
US
N
2
2037-05-11
Fixed
0.06000000
N
N
N
N
N
N
NEXTERA ENERGY CAP HLDGS INC
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAP HLDGS INC 2.25% 06/01/2030
65339KBR0
840000.00000000
PA
USD
848003.93000000
0.002046681984
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
0.02250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #737111
3620AQ3U5
41979.63420000
PA
USD
47941.11000000
0.000115707254
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
NORTHWESTERN CORP
3BPWMBHR1R9SHUN7J795
NORTHWESTERN CORP 4.176% 11/15/2044
668074AU1
260000.00000000
PA
USD
297611.76000000
0.000718294581
Long
DBT
CORP
US
N
2
2044-11-15
Fixed
0.04176000
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
9250281.25000000
0.022325821045
Long
DBT
CORP
US
N
2
2024-03-18
Fixed
0.05584000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
COMMSCOPE TERM B 1LN 04/04/2026
20337EAQ4
600000.00000000
PA
USD
598596.00000000
0.001444728739
Long
LON
CORP
US
N
2
2026-04-04
Variable
0.03364500
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DAVITA INC 4.625% 06/01/2030 144A
23918KAS7
125000.00000000
PA
USD
127187.50000000
0.000306970705
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
0.04625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #783281
36241LUE4
20216.01470000
PA
USD
23086.87000000
0.000055720827
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 3.50% 7/42 #Q09199
3132GURU0
167067.01770000
PA
USD
182708.92000000
0.000440973257
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 4.5% 08/01/2041#AB3419
31416YYR3
116566.13740000
PA
USD
130501.08000000
0.000314968126
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 II 3.5% 05/20/2046#AS4758
36193PJB2
75156.47590000
PA
USD
82336.59000000
0.000198721738
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 4.25% 10/26/2049
110122CR7
1860000.00000000
PA
USD
2264042.52000000
0.005464332032
Long
DBT
CORP
US
N
2
2049-10-26
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 9/41 #G06719
3128M8YQ1
1707318.09440000
PA
USD
1912983.85000000
0.004617041789
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC INC
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC INC 4.133% 03/25/2025
883556CF7
290000.00000000
PA
USD
324509.19000000
0.000783212305
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
0.04133000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2032#J36729
31307TPN5
82757.84470000
PA
USD
89146.73000000
0.000215158208
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
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
3912951.96000000
0.009444022603
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 3.0% 08/01/2043#G08540
3128MJS68
504168.67390000
PA
USD
538645.14000000
0.001300035607
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
DIGICEL INTERNATIONAL FINANCE LTD / DIGICEL HOLDINGS BERMUDA LTD
N/A
DIGICEL INTERNATIONAL FINANCE LTD / DIGICEL HOLDINGS BERMUDA LTD 8.75% 05/25/2024 144A
25381XAA1
300000.00000000
PA
USD
314156.25000000
0.000758225185
Long
DBT
CORP
LC
N
2
2024-05-25
Fixed
0.08750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE1526
3140FLVU9
391492.11710000
PA
USD
422987.15000000
0.001020891706
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
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
23188167.21000000
0.055965311487
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.04063000
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
297130.09000000
0.000717132056
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 12/20/2042#AA5872
36178DQZ7
735967.44290000
PA
USD
789263.78000000
0.001904910935
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03000000
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
1990229.87000000
PA
USD
2072666.78000000
0.005002441154
Long
ABS-CBDO
CORP
US
N
2
2059-08-25
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
5726147.30860000
PA
USD
6312307.24000000
0.015234935891
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
0.04000000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2015-C29
549300NYO16WLNMVJJ46
WELLS FARGO COML MTG TR 2015-C29 3.4% 06/15/2048
94989KAW3
1281153.63400000
PA
USD
1352367.84000000
0.003263978852
Long
ABS-MBS
CORP
US
N
2
2048-06-15
Fixed
0.03400000
N
N
N
N
N
N
INTERNATIONAL PAPER CO
824LMFJDH41EY779Q875
INTERNATIONAL PAPER CO 5.15% 05/15/2046
460146CN1
116000.00000000
PA
USD
152170.58000000
0.000367268091
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
0.05150000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 03/01/2051 #TBA
01F030637
149450000.00000000
PA
USD
156496328.38000000
0.377708409856
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21835
3132JPBC5
226518.83440000
PA
USD
250095.75000000
0.000603613318
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2050#MA6657
36179VME7
8588084.97900000
PA
USD
9061004.20000000
0.021868995416
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
0.03500000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO NEW MTN SR NTS 2.625% 07/22/2022
95000U2B8
2000000.00000000
PA
USD
2063777.96000000
0.004980987730
Long
DBT
CORP
US
N
2
2022-07-22
Fixed
0.02625000
N
N
N
N
N
N
ESH HOSPITALITY INC
54930042FMK7X7SQ2896
ESH HOSPITALITY INC 4.625% 10/01/2027 144A
26907YAB0
1095000.00000000
PA
USD
1112103.90000000
0.002684094892
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
0.04625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22677
3132JP6N7
66618.71080000
PA
USD
73555.24000000
0.000177527696
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 3.5% 07/01/2043#AU1335
3138X0PV4
43104.69570000
PA
USD
47165.10000000
0.000113834331
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552554
36213EZT6
270619.19710000
PA
USD
299816.46000000
0.000723615688
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 30YR 4.0% 04/01/2042#MA1028
31418AEA2
45611.21800000
PA
USD
50489.01000000
0.000121856684
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.0% 10/31/2022
9128283C2
39230000.00000000
PA
USD
40452872.85000000
0.097634177341
Long
DBT
UST
US
N
2
2022-10-31
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2048#BM5261
3140J9Z38
2705211.06900000
PA
USD
2922656.75000000
0.007053916504
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
SPECTRUM BRANDS INC 3.875% 03/15/2031 144A
84762LAX3
2500000.00000000
PA
USD
2471225.00000000
0.005964372933
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
0.03875000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO 4.75% 08/01/2043
406216BE0
445000.00000000
PA
USD
496611.79000000
0.001198586902
Long
DBT
CORP
US
N
2
2043-08-01
Fixed
0.04750000
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
8284396.27000000
0.019994629740
Long
DBT
CORP
IE
N
2
2024-08-14
Fixed
0.02875000
N
N
N
N
N
N
DUQUESNE LIGHT HLDGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LT HLD 5.9% 12/21 144
266233AD7
8875000.00000000
PA
USD
9191910.99000000
0.022184942736
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
0.05900000
N
N
N
N
N
N
CLEARWAY ENERGY OPERATING LLC
549300Z3NFMM54NWBB87
NRG YIELD OPER LLC 5% 09/15/2026
62943WAE9
520000.00000000
PA
USD
535600.00000000
0.001292686073
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
0.05000000
N
N
N
N
N
N
PETROLEOS DEL PERU-PETROPERU SA
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU-PETROPERU SA 4.75% 06/19/2032 RGS
N/A
500000.00000000
PA
USD
546825.00000000
0.001319777935
Long
DBT
CORP
PE
N
2
2032-06-19
Fixed
0.04750000
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
459586.38000000
0.001109225005
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.04250000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 4.972%/VAR 05/16/2029
06738EBD6
15000000.00000000
PA
USD
17675790.60000000
0.042661031281
Long
DBT
CORP
GB
N
2
2029-05-16
Variable
0.04972000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1614
3138WAYL5
70348.08560000
PA
USD
75853.61000000
0.000183074879
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
COMM 2014-CCRE17 MTG TR
N/A
COMM 2014-CCRE17 XA CSTR 05/10/2047
12631DBC6
18527437.73120000
PA
USD
454233.49000000
0.001096305651
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
0.00966758
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.95% 06/15/2028
29278NAF0
4954000.00000000
PA
USD
5647040.03000000
0.013629294260
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.04950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AB2079
31416XJZ4
1457834.99090000
PA
USD
1607287.86000000
0.003879235686
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% 02/01/2044#AL5426
3138ENA41
1089462.61790000
PA
USD
1163630.84000000
0.002808456650
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.03000000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 4.687% 06/09/2025
345397ZJ5
180000.00000000
PA
USD
191700.00000000
0.000462673488
Long
DBT
CORP
US
N
2
2025-06-09
Fixed
0.04687000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 2/41 #AE6394
31419HC83
601734.26300000
PA
USD
674044.91000000
0.001626826864
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 30YR 6.0% 01/01/2037#932030
31412QPP8
301899.97730000
PA
USD
358411.06000000
0.000865035448
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.06000000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 4.15% 10/15/2028
20030NCT6
1450000.00000000
PA
USD
1686524.74000000
0.004070476185
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
0.04150000
N
N
N
N
N
N
CISCO SYSTEMS INC
8E6NF1YAL0WT6CWXXV93
CISCO SYSTEMS INC 3% 06/15/2022
17275RAV4
310000.00000000
PA
USD
320577.37000000
0.000773722744
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.03000000
N
N
N
N
N
N
REPUBLICA ORIENTAL DEL URUGUAY
549300RDR012H2V82H43
URUGUAY REPUBLICA ORIENTAL DL 5.1% 06/18/2050
760942BA9
2105000.00000000
PA
USD
2597043.75000000
0.006268040121
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
0.05100000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 04/30/2023
912828R28
21075000.00000000
PA
USD
21739356.50000000
0.052468564981
Long
DBT
UST
US
N
2
2023-04-30
Fixed
0.01625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/45#Q36893
3132QTUT1
315503.26620000
PA
USD
341480.98000000
0.000824174210
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.03500000
N
N
N
N
N
N
DRYDEN 75 CLO LTD
N/A
DRYDEN 75 CLO LTD 3ML+120 07/15/2030 144A
26252JAJ7
3230000.00000000
PA
USD
3229192.50000000
0.007793749392
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Variable
0.01441250
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 8% 12/15/2025 144A
893647BK2
465000.00000000
PA
USD
506268.75000000
0.001221894254
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.08000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.35% 09/08/2026
6174467Y9
2070000.00000000
PA
USD
2378265.17000000
0.005740011697
Long
DBT
CORP
US
N
2
2026-09-08
Fixed
0.04350000
N
N
N
N
N
N
NATIONSTAR HOME EQUITY LN TR 2006 B
N/A
NATIONSTAR HOME EQ LN TR 06 B 1ML+36 09/25/2036
63860FAF0
8141000.00000000
PA
USD
7660880.45000000
0.018489756295
Long
ABS-CBDO
CORP
US
N
2
2036-09-25
Variable
0.00477630
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
375000.00000000
PA
USD
377797.50000000
0.000911825181
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.05000000
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
208500.00000000
0.000503220773
Long
DBT
CORP
JP
N
2
2022-07-30
Fixed
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2047#MA3182
31418CRC0
1908210.53200000
PA
USD
2032504.11000000
0.004905507390
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
SES GLOBAL AMERICAS HLDG GP
5299000YGN3VJ3R60481
SES GLOBAL AMERICAS HLDG GP 5.3% 03/25/2044 144A
78413KAB8
2000000.00000000
PA
USD
2267718.24000000
0.005473203488
Long
DBT
CORP
US
N
2
2044-03-25
Fixed
0.05300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 4/45#Q32729
3132QPA79
1074219.15340000
PA
USD
1153132.26000000
0.002783118024
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 6.25% 02/01/2027 144A
88033GCX6
120000.00000000
PA
USD
126660.00000000
0.000305697569
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
0.06250000
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS ALL AM PIPELN/PAA FIN C 4.5% 12/15/2026
72650RBL5
2100000.00000000
PA
USD
2331168.84000000
0.005626343344
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.04500000
N
N
N
N
N
N
QUEST DIAGNOSTICS INC
8MCWUBXQ0WE04KMXBX50
QUEST DIAGNOSTIC 5.75 1/30/40
74834LAQ3
68000.00000000
PA
USD
89074.26000000
0.000214983299
Long
DBT
CORP
US
N
2
2040-01-30
Fixed
0.05750000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 3.339% 03/28/2022
345397YL1
6970000.00000000
PA
USD
7046321.50000000
0.017006500514
Long
DBT
CORP
US
N
2
2022-03-28
Fixed
0.03339000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2047#BE8498
3140FUNQ7
151550.46090000
PA
USD
169004.59000000
0.000407897460
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2043#AL7855
3138EQWR9
754734.53500000
PA
USD
806115.20000000
0.001945582324
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AB2086
31416XJ84
642048.01910000
PA
USD
707861.54000000
0.001708444277
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 5.0% 05/01/2040#AD4085
31418RRF0
75907.59220000
PA
USD
87401.38000000
0.000210945755
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.05000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28
N/A
MSBAM 2016-C28 3.272% 01/15/49
61766LBR9
4105203.04700000
PA
USD
4405687.49000000
0.010633254041
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Fixed
0.03272000
N
N
N
N
N
N
HIGHWOODS RLTY LTD PARTNERSHIP
JUJNVZX73BIYHLR58F51
HIGHWOODS/FORSYTH LTD PRTNRSHP 3.2% 06/15/2021
431282AN2
737000.00000000
PA
USD
739305.57000000
0.001784335352
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 5.0% 05/01/2042#AL5788
3138ENNE5
722654.86240000
PA
USD
832077.89000000
0.002008244026
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.05000000
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
47051.46000000
0.000113560058
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
0.05450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 08/01/2032#J37406
31307UGP7
151256.87280000
PA
USD
163217.46000000
0.000393930055
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 15YR 3.5% 10/01/2034#FM1579
3140X4XH4
2425420.72500000
PA
USD
2597057.08000000
0.006268072293
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 02/20/2051#MA7192
36179V7D6
3400000.00000000
PA
USD
3456690.24000000
0.008342821760
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2042#AO0784
3138LQ2S2
309319.31040000
PA
USD
342398.78000000
0.000826389347
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
AMERICAN AXLE and MFG INC
RY5TAKFOBLDUGX31MS24
AMERICAN AXLE and MFG INC 6.25% 04/01/2025
02406PAR1
600000.00000000
PA
USD
618060.00000000
0.001491705666
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.06250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#
3140X6S77
31370058.53100000
PA
USD
33339009.67000000
0.080464663030
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS CORP 3.5% 05/15/2025
369550BG2
1905000.00000000
PA
USD
2092703.78000000
0.005050801033
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.03500000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP 2.973% 09/16/2062 144A
907818FM5
200000.00000000
PA
USD
186081.24000000
0.000449112448
Long
DBT
CORP
US
N
2
2062-09-16
Fixed
0.02973000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
DOMINION RES 7 6/15/38
25746UBD0
150000.00000000
PA
USD
222034.38000000
0.000535886390
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
0.07000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FIN II LLC 4.25% 12/15/2025 144A
07274NAJ2
54704000.00000000
PA
USD
61609593.36000000
0.148696533527
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2042#Q06232
3132GRHH7
336535.92800000
PA
USD
372615.51000000
0.000899318298
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q12215
3132HNN88
56004.93940000
PA
USD
61991.65000000
0.000149618638
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.6% 03/15/2022
96949LAA3
660000.00000000
PA
USD
677609.31000000
0.001635429646
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.03600000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2046#AS9183
36193VFY3
79504.97000000
PA
USD
87100.53000000
0.000210219645
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/44#G60201
31335AGJ1
186908.57750000
PA
USD
207547.45000000
0.000500921766
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
CHT 2017-COSMO MTG TR
N/A
CHT 2017-COSMO MORTGAGE TRUST A 1ML+93 11/15/2034 144A
12546DAA5
16200000.00000000
PA
USD
16212673.26000000
0.039129755310
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.01042250
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
7172413.86000000
0.017310828068
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
0.04375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/01/2044#G08587
3128MJUM0
172216.41990000
PA
USD
191454.94000000
0.000462082028
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 02/01/2044#Q25157
3132M5ME9
104741.99010000
PA
USD
116504.23000000
0.000281186325
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 1.433% 02/04/2024
097023DE2
1000000.00000000
PA
USD
1001754.22000000
0.002417762751
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
0.01433000
N
N
N
N
N
N
STORE CAP CORP
5493004EA6C9IHDZ7N66
STORE CAP CORP 2.75% 11/18/2030
862121AC4
1957000.00000000
PA
USD
1952409.48000000
0.004712196686
Long
DBT
CORP
US
N
2
2030-11-18
Fixed
0.02750000
N
N
N
N
N
N
DOMINION ENERGY SOUTH CAROLINA INC
3QRVFYR22IUIEOORTK28
SOUTH CAROLINA ELEC and GAS CO 5.1% 06/01/2065
837004CJ7
520000.00000000
PA
USD
737307.06000000
0.001779511890
Long
DBT
CORP
US
N
2
2065-06-01
Fixed
0.05100000
N
N
N
N
N
N
PIMCO FUNDS
Y52315K7L96R2YWLTM72
PIMCO Income Instl
72201F490
90630053.60700000
NS
USD
1089373244.36000000
2.629233798181
Long
EC
RF
US
N
1
N
N
N
STARFRUIT US HOLDCO LLC
213800XPQ78J7OIF6Y69
AKZONOBEL SPECIALTY CHEMICALS TERM B 10/01/2025
N/A
2600000.00000000
PA
USD
2591186.00000000
0.006253902272
Long
LON
CORP
US
N
2
2025-10-01
Variable
0.03111000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.272% 01/15/2036
92343VCV4
5425000.00000000
PA
USD
6314787.56000000
0.015240922215
Long
DBT
CORP
US
N
2
2036-01-15
Fixed
0.04272000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.2925 01/13/22
N/A
-6300000.00000000
NC
USD
-305428.66000000
-0.00073716089
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 01/18/32 3MLV1.2925%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2032-01-18
0.00000000
USD
0.00000000
USD
-6300000.00000000
USD
1.00000000
1.29250000
USD
2022-01-13
XXXX
-157205.41000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1611
3138WAYH4
497760.23230000
PA
USD
536715.55000000
0.001295378486
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
DISNEY (WALT) CO
549300GZKULIZ0WOW665
DISNEY (WALT) CO 3.6% 01/13/2051
254687FZ4
4540000.00000000
PA
USD
4948850.65000000
0.011944194020
Long
DBT
CORP
US
N
2
2051-01-13
Fixed
0.03600000
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
12500429.47000000
0.030170147673
Long
DBT
CORP
US
N
2
2023-05-09
Fixed
0.03700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9701
3138EEX79
83666.31950000
PA
USD
92613.83000000
0.000223526154
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 3.95% 07/15/2030 144A
00130HCC7
9327000.00000000
PA
USD
10189654.23000000
0.024593024871
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
0.03950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2043#Q16673
3132J72F8
787069.11540000
PA
USD
840921.88000000
0.002029589252
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 09/20/2050#MA6866
36179VTX8
13014761.85800000
PA
USD
13603409.13000000
0.032832220949
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2046#Q39975
3132QXCM7
69660.58000000
PA
USD
76519.27000000
0.000184681468
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
RALI SER 2007-QS8 TR
N/A
RALI SERIES 2007-QS8 TRUST 6% 06/25/2037
74922UAE3
1296352.01270000
PA
USD
1243239.56000000
0.003000594596
Long
ABS-CBDO
CORP
US
N
2
2037-06-25
Fixed
0.06000000
N
N
N
N
N
N
DOW CHEMICAL CO
ZQUIP1CSZO8LXRBSOU78
DOW CHEMICAL CO 4.625% 10/01/2044
260543CL5
295000.00000000
PA
USD
358885.86000000
0.000866181391
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
0.04625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2042#AO2993
3138LTKF4
1576969.38400000
PA
USD
1721575.43000000
0.004155072038
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 5.125% 09/30/2024
02005NAV2
2688000.00000000
PA
USD
3067168.15000000
0.007402698943
Long
DBT
CORP
US
N
2
2024-09-30
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 10/01/2041#AL4242
3138ELWC3
461641.63340000
PA
USD
531542.53000000
0.001282893252
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.05000000
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
3295000.00000000
PA
USD
5305839.65000000
0.012805797285
Long
DBT
MUN
US
N
2
2049-04-01
Fixed
0.06263000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/41 #AJ4047
3138AVP90
496088.64620000
PA
USD
549296.78000000
0.001325743648
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 30YR 5.0% 07/01/2041#Q02189
3132GFNE3
99410.47200000
PA
USD
114343.81000000
0.000275972088
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING CO
549300G6UZOB126GBY72
GE CAP INTL FDG CO 144A 4.418% 11/15/2035
36164QNA2
16580000.00000000
PA
USD
18934999.66000000
0.045700168727
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
0.04418000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 02/01/2043#AR4159
3138W1TR8
1049326.56670000
PA
USD
1160888.66000000
0.002801838319
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC 2.65% 02/15/2025
37940XAA0
495000.00000000
PA
USD
523307.73000000
0.001263018325
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.02650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 06/01/2040#MA4045
31418DP71
1689073.25170000
PA
USD
1722666.39000000
0.004157705101
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0198
3138MFGG6
645424.66980000
PA
USD
706424.53000000
0.001704976012
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
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
226017.00000000
0.000545498559
Long
DBT
CORP
GB
N
2
2025-02-07
Fixed
0.06750000
N
N
N
N
N
N
TERWIN MORTGAGE TRUST
N/A
TMTS 2003-4HE A 1ML+43 9/34
881561BU7
3983.40800000
PA
USD
3704.92000000
0.000008941931
Long
ABS-CBDO
CORP
US
N
2
2034-09-25
Variable
0.00547630
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 3.408% 11/15/2047
46643PAA8
9320026.11000000
PA
USD
9958481.45000000
0.024035082688
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
0.03408000
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
487026.33900000
PA
USD
571293.29000000
0.001378832860
Long
ABS-CBDO
USGSE
US
N
2
2035-02-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AE4585
31419FCX2
174653.72690000
PA
USD
192556.31000000
0.000464740217
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 4.50% 11/40 #AE6344
31419HBN1
74361.43770000
PA
USD
83343.96000000
0.000201153055
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
PORT AUTH NY and NJ
54930006MR4KZ4W74Z83
PORT NY NJ 4.458% 10/01/2062
73358WJA3
515000.00000000
PA
USD
660369.05000000
0.001593819780
Long
DBT
MUN
US
N
2
2062-10-01
Fixed
0.04458000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 02/01/2050#SD7512
3132DVKZ7
23369341.19000000
PA
USD
24909154.09000000
0.060118963042
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 07/01/2039#RB5001
3133KYRW1
1233793.71000000
PA
USD
1314158.34000000
0.003171759120
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
0.03500000
N
N
N
N
N
N
ALTICE FING SA
549300DIYGW8HVDF7Q17
ALTICE FING SA 7.5% 05/15/2026 144A
02154CAE3
300000.00000000
PA
USD
313158.00000000
0.000755815880
Long
DBT
CORP
LU
N
2
2026-05-15
Fixed
0.07500000
N
N
N
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA REPUBLIC OF 3% 02/14/2031 REGS
N/A
264000.00000000
PA
USD
267135.00000000
0.000644738040
Long
DBT
NUSS
RO
N
2
2031-02-14
Fixed
0.03000000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 2.852%/VAR 05/07/2026
06738EBL8
10143000.00000000
PA
USD
10702000.10000000
0.025829586431
Long
DBT
CORP
GB
N
2
2026-05-07
Variable
0.02852000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.69% 01/23/2050
71654QDD1
85755000.00000000
PA
USD
81458674.50000000
0.196602864316
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
0.07690000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/46#BC7809
3140F3VB1
144281.50000000
PA
USD
158088.20000000
0.000381550438
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
STRYKER CORP 3.375% 11/01/2025
863667AH4
305000.00000000
PA
USD
334653.99000000
0.000807697073
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
0.03375000
N
N
N
N
N
N
NEWMONT CORP
549300VSP3RIX7FGDZ51
NEWMONT GOLDCORP CORP 2.8% 10/01/2029
651639AX4
425000.00000000
PA
USD
448657.47000000
0.001082847765
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 3.5% 02/46#BC1354
3140EVQG5
310836.88850000
PA
USD
338951.68000000
0.000818069672
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 12/39 #AC8512
31417VN66
500940.37250000
PA
USD
561451.67000000
0.001355079826
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2015-GC33
N/A
CGCMT 2015-GC33 XA CSTR 09/58
29425AAK9
18425088.57000000
PA
USD
625867.09000000
0.001510548303
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Variable
0.00883182
N
N
N
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM 5.125% 03/15/2027
00774CAB3
2505000.00000000
PA
USD
2736712.50000000
0.006605134684
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.05125000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
ATMOS ENERGY CORP 3.375% 09/15/2049
049560AS4
520000.00000000
PA
USD
540672.72000000
0.001304929230
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
0.03375000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036
674599DF9
4545000.00000000
PA
USD
5181300.00000000
0.012505217242
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
0.06450000
N
N
N
N
N
N
PROVIDENCE HEALTH and SVCS
N/A
PROVIDENCE HEALTH and SVCS 2.746% 10/01/2026
743756AB4
180000.00000000
PA
USD
194061.52000000
0.000468373085
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
0.02746000
N
N
N
N
N
N
PSEG PWR LLC
N/A
PSEG PWR LLC 3.85% 06/01/2023
69362BBC5
3300000.00000000
PA
USD
3537496.28000000
0.008537849473
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
0.03850000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNMA 6.25% 5/15/29
31359MEU3
255000.00000000
PA
USD
351918.50000000
0.000849365466
Long
DBT
USGSE
US
N
2
2029-05-15
Fixed
0.06250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2041#G06800
3128M83H5
82418.97190000
PA
USD
91280.76000000
0.000220308751
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
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
179376.87520000
PA
USD
31426.24000000
0.000075848138
Long
ABS-CBDO
USGSE
US
N
2
2044-01-25
Variable
0.05932370
N
N
N
N
N
N
CONOCOPHILLIPS INC
WPTL2Z3FIYTHSP5V2253
CONOCOPHILLIPS INC 4.875% 10/01/2047 144A
20825CBB9
185000.00000000
PA
USD
233131.68000000
0.000562670045
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 5.0% 07/01/2041#AI6622
3138ALLC9
20109.79270000
PA
USD
23198.77000000
0.000055990901
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 10/41 #Q04113
3132GKGW0
694033.73330000
PA
USD
768657.07000000
0.001855176045
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
CATALENT PHARMA SOLUTIONS
549300HALRZ339MSTH85
CATALENT PHARMA SOLUTIONS 3.125% 02/15/2029 144A
14879EAH1
275000.00000000
PA
USD
271694.50000000
0.000655742525
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.03125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2041#770540
36176MZD8
9674.42270000
PA
USD
10739.36000000
0.000025919755
Long
ABS-MBS
USGA
US
N
2
2041-08-15
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
209784.73090000
PA
USD
232373.93000000
0.000560841193
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/48#CA1199
3140Q8KM6
13665.54600000
PA
USD
14900.64000000
0.000035963125
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-WSS
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-WSS 1ML+195 02/15/2039 144A
17328TAA3
6045384.99000000
PA
USD
6175050.03000000
0.014903661649
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.02062250
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
INTUIT INC 1.35% 07/15/2027
46124HAC0
200000.00000000
PA
USD
199813.52000000
0.000482255703
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.01350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 06/01/2045#Q33871
3132QQJR4
457629.66000000
PA
USD
484776.39000000
0.001170021822
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CRP
N/A
GS MORTGAGE SECURITIES CORP II 3.475% 09/10/2037 144A
36254JAA3
4490000.00000000
PA
USD
4916302.60000000
0.011865638361
Long
ABS-MBS
CORP
US
N
2
2037-09-10
Variable
0.03475000
N
N
N
N
N
N
SFAVE COML MTG SECS TR 2015-5AVE
549300FIGODFFTOAAU64
SFAVE COML MTG SECS TR 15-5AVE VAR 01/05/2035 144A
78413MAA6
740000.00000000
PA
USD
751532.01000000
0.001813844218
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
0.03872000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2027#MA1294
31418ANL8
312165.06430000
PA
USD
327613.52000000
0.000790704695
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17564
3132J8Z60
23777.86870000
PA
USD
26026.40000000
0.000062815468
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 3.0% 02/01/2043#AR6381
3138W4CT6
26388.37160000
PA
USD
28267.30000000
0.000068223945
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
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
8539331.82000000
0.020609924056
Long
ABS-CBDO
CORP
KY
N
2
2032-07-17
Variable
0.01523380
N
N
N
N
N
N
BHMS 2018-ATLS
N/A
BHMS 2018-ATLS A 1ML+125 07/15/2035 144A
05549GAA9
10931821.00000000
PA
USD
10924697.83000000
0.026367073836
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Variable
0.01362250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2042#AO3740
3138LUEN1
20774.27280000
PA
USD
23231.77000000
0.000056070548
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2% 01/01/2032#G16177
3128MFCN6
1599590.28700000
PA
USD
1662429.07000000
0.004012320589
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.02000000
N
N
N
N
N
N
DEVON ENERGY CORP NEW
54930042348RKR3ZPN35
DEVON ENERGY CO 5.6% 7/15/41
25179MAL7
175000.00000000
PA
USD
213521.83000000
0.000515341105
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
0.05600000
N
N
N
N
N
N
STRATUS CLO 2020-1 LTD
N/A
STRATUS CLO 2020-1 LTD 3ML+198 05/01/2028 144A
86315RAA7
9073866.09000000
PA
USD
9080607.97000000
0.021916309682
Long
ABS-CBDO
CORP
KY
N
2
2028-05-01
Variable
0.02204000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2041#Q04636
3132GKY91
11939.75980000
PA
USD
13223.54000000
0.000031915395
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 3.5% 04/01/2049#BN6567
3140JPJM8
98963.96800000
PA
USD
104884.36000000
0.000253141433
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.03500000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 4.375% 11/15/2026
64110LAN6
165000.00000000
PA
USD
185175.38000000
0.000446926129
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
0.04375000
N
N
N
N
N
N
ALTICE FRANCE HOLDING SA
5299000JVHXKJPOE6H40
ALTICE FRANCE HOLDING SA 6% 02/15/2028 144A
02156TAA2
105000.00000000
PA
USD
102768.75000000
0.000248035347
Long
DBT
CORP
LU
N
2
2028-02-15
Fixed
0.06000000
N
N
N
N
N
N
BUCKEYE PARTNERS MLP
549300C1PQJLVEIUBK50
BUCKEYE PARTNERS MLP TERM 1LN 11/01/2026
11823LAK1
250000.00000000
PA
USD
249647.50000000
0.000602531453
Long
LON
CORP
US
N
2
2026-11-01
Variable
0.00000000
N
N
N
N
N
N
TH MSR ISSUER TR
N/A
TH MSR ISSUER TR 19-FT1 A 1ML+280 06/25/2024 144A
87271AAA4
1250000.00000000
PA
USD
1245993.63000000
0.003007241623
Long
ABS-CBDO
CORP
US
N
2
2024-06-25
Variable
0.02917630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2047#MA3149
31418CQB3
3992201.04160000
PA
USD
4309352.67000000
0.010400747169
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 3.125% 07/31/2029
29379VBV4
600000.00000000
PA
USD
645118.25000000
0.001557011534
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
0.03125000
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
206014.50000000
0.000497221947
Long
DBT
MUN
US
N
2
2040-06-01
Fixed
0.05731000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.35% 06/01/2040
035240AS9
4618000.00000000
PA
USD
5369437.82000000
0.012959293306
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
0.04350000
N
N
N
N
N
N
YUM BRANDS INC
549300JE8XHZZ7OHN517
YUM BRANDS INC 7.75% 04/01/2025 144A
988498AM3
330000.00000000
PA
USD
362109.00000000
0.000873960533
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.07750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 1/41 #AH2689
3138A37B7
187484.08000000
PA
USD
210131.29000000
0.000507157939
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04500000
N
N
N
N
N
N
TEACHERS INS and ANNUITY ASSN AMER
O06XD7BJ4EPXNABVFN69
TEACHERS INS and ANNUITY ASSN AMER 3.3% 05/15/2050 144A
878091BG1
8536000.00000000
PA
USD
8670730.69000000
0.020927059025
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
0.03300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6416
3140QEDW9
3515520.79000000
PA
USD
3752652.51000000
0.009057135250
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
AMERIGAS PARTN LP/AMERIGAS FIN
N/A
AMERIGAS PARTN LP/AMERIGAS FIN 5.875% 08/20/2026
030981AJ3
5200000.00000000
PA
USD
5863000.00000000
0.014150519887
Long
DBT
CORP
US
N
2
2026-08-20
Fixed
0.05875000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 08/20/2046#MA3936
36179SLR6
2201401.61880000
PA
USD
2327798.84000000
0.005618209752
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
0.03000000
N
N
N
N
N
N
TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP
N/A
TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 12/31/2030 144A
87470LAJ0
2450000.00000000
PA
USD
2436770.00000000
0.005881214795
Long
DBT
CORP
US
N
2
2030-12-31
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/41 #AJ5385
3138AW6X6
519048.41240000
PA
USD
574719.11000000
0.001387101176
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 4.50% 12/40 #AE8843
31419KZH1
51579.18100000
PA
USD
57809.71000000
0.000139525405
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 05/01/2041#Q00557
3132GDTN2
58782.38330000
PA
USD
67653.95000000
0.000163284762
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.05000000
N
N
N
N
N
N
NEWCASTLE MTG SECS TR 2007 1
N/A
NEWCASTLE MTG SECS TR 2007 1 STEP 04/25/2037
65106FAD4
5080078.10000000
PA
USD
4958510.82000000
0.011967509119
Long
ABS-CBDO
CORP
US
N
2
2037-04-25
Variable
0.00347630
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 12/20/2043#AG8740
36182DV93
532456.92100000
PA
USD
586462.96000000
0.001415445297
Long
ABS-MBS
USGA
US
N
2
2043-12-20
Fixed
0.04000000
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
1482379.43350000
PA
USD
1519057.95000000
0.003666290249
Long
ABS-CBDO
CORP
US
N
2
2058-11-25
Fixed
0.03000000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL B 1ML+110 10/15/2036 144A
056054AE9
3807633.53000000
PA
USD
3810363.22000000
0.009196421716
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01192000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.4% 04/15/26
674599CH6
130000.00000000
PA
USD
126222.20000000
0.000304640926
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.03400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2047#BH1623
3140GPYV4
31850.35030000
PA
USD
35254.81000000
0.000085088502
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
0.04500000
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
1185000.00000000
PA
USD
1279800.00000000
0.003088834274
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
0.05625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/27#AP4736
3138M8HN6
183303.05770000
PA
USD
192206.45000000
0.000463895820
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 02/01/2045#Q31307
3132QMNZ0
13620.76500000
PA
USD
14874.75000000
0.000035900638
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2047#ZM2868
3131XWFH1
892983.05090000
PA
USD
962087.62000000
0.002322026266
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.03500000
N
N
N
N
N
N
CALPINE CORPORATION
43R4VPJBXTU2O15HEF41
CALPINE CORPORATION 5% 02/01/2031 144A
131347CQ7
1025000.00000000
PA
USD
1014463.00000000
0.002448435759
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2042#792254
36177LQG2
41745.02740000
PA
USD
46562.01000000
0.000112378756
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 03/01/2045#AZ3300
3138YUU25
41608.90100000
PA
USD
45694.60000000
0.000110285237
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 3.5% 05/01/2049#Q63646
3132VQBQ8
4339695.22000000
PA
USD
4668704.87000000
0.011268054086
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2045#AS5384
3138WE6W4
322479.96410000
PA
USD
353943.62000000
0.000854253152
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/45#MA3173
36179RQ28
210481.55480000
PA
USD
226906.61000000
0.000547645658
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 6/42 #AB5423
31417CAZ8
1500474.18620000
PA
USD
1640410.21000000
0.003959177434
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
BRINKER INTERNATIONAL INC
52990067JY6PBGJNTG76
BRINKER INTERNATIONAL INC 3.875 5/15/2023
109641AG5
500000.00000000
PA
USD
501250.00000000
0.001209781356
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6% 09/01/2038#
3128M6MZ8
74794.97390000
PA
USD
89153.28000000
0.000215174016
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/43 #MA1012
36179NDR6
517788.37480000
PA
USD
564990.27000000
0.001363620339
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/20/2048#MA5466
36179UCB6
926792.66500000
PA
USD
997191.09000000
0.002406749505
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 30YR 5.0% 07/01/2041#AI7895
3138AMXZ3
92066.36720000
PA
USD
105920.57000000
0.000255642355
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 2/38 #G03854
3128M5TK6
296185.99330000
PA
USD
338840.60000000
0.000817801577
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
0.05000000
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
3771932.59000000
0.009103668280
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
0.03300000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.15% 05/01/2030
097023CY9
4430000.00000000
PA
USD
5162111.59000000
0.012458905460
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
0.05150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 04/01/2037#BM1257
3140J5MF3
13498537.80300000
PA
USD
14044179.75000000
0.033896033574
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
0.02500000
N
N
N
N
N
N
FMG RESOURCES AUG'06 PTY LTD
549300EFD6S2NFE9D745
FMG RES AUGUST 2006 PTY LTD 4.5% 09/15/2027 144A
30251GBA4
5000.00000000
PA
USD
5493.75000000
0.000013259324
Long
DBT
CORP
AU
N
2
2027-09-15
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.75% 09/30/2022
912828L57
15955000.00000000
PA
USD
16363846.88000000
0.039494617210
Long
DBT
UST
US
N
2
2022-09-30
Fixed
0.01750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479596
36209RXZ1
51051.71780000
PA
USD
56559.72000000
0.000136508518
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 3.95% 07/01/2024 144A
05401AAF8
2862000.00000000
PA
USD
2997049.68000000
0.007233465989
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
0.03950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q32328
3132QNSS9
333579.40050000
PA
USD
364290.05000000
0.000879224560
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 4.0% 09/01/2040#AE3951
31419EL98
19681.46730000
PA
USD
21686.86000000
0.000052341863
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.04000000
N
N
N
N
N
N
FREEPORT MCMORAN IN
549300IRDTHJQ1PVET45
FREEPORT MCMORAN INC 5.4% 11/14/2034
35671DBJ3
570000.00000000
PA
USD
706087.50000000
0.001704162580
Long
DBT
CORP
US
N
2
2034-11-14
Fixed
0.05400000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
CHESAPEAKE ENERGY CORP 5.5% 02/01/2026 144A
165167DF1
330000.00000000
PA
USD
344031.60000000
0.000830330205
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 01/20/2050#MA6409
36179VDN7
402354.27860000
PA
USD
419955.19000000
0.001013573983
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.03000000
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
797207.55400000
PA
USD
800982.25000000
0.001933193801
Long
ABS-CBDO
CORP
US
N
2
2026-07-15
Fixed
0.02940000
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
2340236.92100000
PA
USD
2346908.70000000
0.005664331951
Long
ABS-CBDO
USGA
US
N
2
2063-08-20
Variable
0.00743880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2037#310068
31374CMR4
62420.51440000
PA
USD
71205.73000000
0.000171857086
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AT2724
3138WQA28
244413.85250000
PA
USD
261053.01000000
0.000630058981
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
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
2218511.25000000
0.005354440996
Long
DBT
CORP
CL
N
2
2027-08-01
Fixed
0.03625000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 0.75% 10/08/2027
3135G05Y5
980000.00000000
PA
USD
956058.10000000
0.002307473845
Long
DBT
USGSE
US
N
2
2027-10-08
Fixed
0.00750000
N
N
N
N
N
N
FAIR ISAAC CORPORATION
RI6HET5SJUEY30V1PS26
FAIR ISAAC CORPORATION 4% 06/15/2028 144A
303250AF1
500000.00000000
PA
USD
517350.00000000
0.001248639171
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.04000000
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
2697616.00000000
0.006510774152
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
0.03349000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AU4585
3138X4CX6
67360.70380000
PA
USD
71883.32000000
0.000173492469
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
CHILDREN'S HEALTH SYSTEM OF TEXAS
254900FK4IY1J5YO2L69
CHILDREN'S HEALTH SYSTEM OF TEXAS 2.511% 08/15/2050
16876HAB5
360000.00000000
PA
USD
330413.94000000
0.000797463590
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
0.02511000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2043#AQ9328
3138MRLJ8
1052423.19100000
PA
USD
1151560.09000000
0.002779323546
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
PENN NATIONAL GAMING INC
N/A
PENN NATIONAL GAMING TERM B-1 10/15/2025
70757DAV1
2000000.00000000
PA
USD
1996780.00000000
0.004819286218
Long
LON
CORP
US
N
2
2025-10-15
Variable
0.03000000
N
N
N
N
N
N
GS MTG SECS TR 2011-GC5
N/A
GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A
36191YAE8
16867000.00000000
PA
USD
16969156.67000000
0.040955549876
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Fixed
0.05209000
N
N
N
N
N
N
SPIRIT REALTY LP
549300GTBVIBJRX5BW73
SPIRIT REALTY LP 2.7% 02/15/2032
84861TAJ7
2060000.00000000
PA
USD
2043603.08000000
0.004932295075
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
0.02700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.5% 02/43 #Q15871
3132J66H2
123878.48400000
PA
USD
135167.10000000
0.000326229700
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 07/01/2028#AU1659
3138X0ZZ4
261826.80000000
PA
USD
274186.54000000
0.000661757135
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.02500000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC 4.125% 04/15/2021 144A
034863AM2
2545000.00000000
PA
USD
2553828.43000000
0.006163738698
Long
DBT
CORP
GB
N
2
2021-04-15
Fixed
0.04125000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 2.592/VAR 04/29/2031
06051GJB6
4275000.00000000
PA
USD
4390709.54000000
0.010597104326
Long
DBT
CORP
US
N
2
2031-04-29
Variable
0.02592000
N
N
N
N
N
N
BAYLOR SCOTT and WHITE HLDGS
549300JQDKSBWYRGGV95
BAYLOR SCOTT and WHITE HLDGS 1.777% 11/15/2030
072863AH6
870000.00000000
PA
USD
859089.61000000
0.002073437593
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
0.01777000
N
N
N
N
N
N
CENTERPOINT ENERGY INC
21TPXMRRHFKOBHDC8J74
CENTERPOINT ENERGY INC 2.95% 03/01/2030
15189TAX5
25000.00000000
PA
USD
26224.64000000
0.000063293926
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
0.02950000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 5% 05/15/2050
29278NAR4
6600000.00000000
PA
USD
6988315.82000000
0.016866502129
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 5.00% 7/35 #735676
31402RJV2
850721.14030000
PA
USD
967593.81000000
0.002335315615
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.05000000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-DNA1
N/A
FREDDIE MAC STACR REMIC TRUST 2021-DNA1 SOFR30A+300 08/25/2033 144A
35564KCN7
2700000.00000000
PA
USD
2695643.82000000
0.006506014239
Long
ABS-CBDO
CORP
US
N
2
2033-08-25
Variable
0.03050330
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2046#AX5803
36196HNU0
11666.32030000
PA
USD
12735.43000000
0.000030737328
Long
ABS-MBS
USGA
US
N
2
2046-12-15
Fixed
0.04000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 8.875% 07/15/2030
674599EA9
145000.00000000
PA
USD
185328.85000000
0.000447296533
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
0.08875000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 5% 7/15/35
50077LAL0
920000.00000000
PA
USD
1113043.66000000
0.002686363030
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
0.05000000
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
64350.00000000
0.000155310584
Long
DBT
CORP
NL
N
2
2027-08-15
Fixed
0.08500000
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
1817975.75000000
0.004387736995
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.03100000
N
N
N
N
N
N
JP MORGAN CHASE COML MTG SECS TR 2012-CIBX
N/A
JP MORGAN CHASE CMS TR 12-CIBX 4.2707% 06/15/2045
46637WAF0
1177000.00000000
PA
USD
1222946.08000000
0.002951615696
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Fixed
0.04270700
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2050#QA8847
3133A3ZL5
2393412.13800000
PA
USD
2503994.48000000
0.006043463020
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2043#AT2887
3138WQF56
652412.45110000
PA
USD
713868.86000000
0.001722943117
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-IMC A 1ML+105 04/15/34 144A
05608BAA8
6200000.00000000
PA
USD
6192255.58000000
0.014945187741
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01112000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/40 #733919
3620AMK84
39265.47520000
PA
USD
45061.13000000
0.000108756339
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.05000000
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
178165.89000000
0.000430008522
Long
DBT
CORP
US
N
2
2055-07-01
Fixed
0.04200000
N
N
N
N
N
N
GRAY TELEVISION INC
529900TM5726KDN7UU35
GRAY TELEVISION INC 4.75% 10/15/2030 144A
389375AL0
100000.00000000
PA
USD
100000.00000000
0.000241352889
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
0.04750000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.875% 04/15/2030 144A
87264ABE4
17184000.00000000
PA
USD
18892433.28000000
0.045597433539
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2042#AK9692
3138EEXW4
99419.48100000
PA
USD
110051.68000000
0.000265612909
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 5.00% 6/35 #735580
31402RFV6
92994.53260000
PA
USD
105763.80000000
0.000255263986
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.05000000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC 8.0% 11/01/2031
36186CBY8
305000.00000000
PA
USD
436745.77000000
0.001054098533
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
0.08000000
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
39250761.55000000
0.094732846988
Long
DBT
CORP
NL
N
2
2044-03-17
Fixed
0.07250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #733607
3620AMAG7
7286.92690000
PA
USD
8321.73000000
0.000020084735
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
FLIR SYSTEMS INC
VOBD35NEPH6WISIRTJ85
FLIR SYSTEMS INC 2.5% 08/01/2030
302445AE1
245000.00000000
PA
USD
252566.96000000
0.000609577654
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
0.02500000
N
N
N
N
N
N
PALMER SQUARE CLO 2021-1 LTD
N/A
PALMER SQUARE CLO 2021-1 LTD 3ML+119 04/20/2034 144A
69701WAA4
6000000.00000000
PA
USD
6000000.00000000
0.014481173345
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2046#BE2386
3140FMUL8
101449.94580000
PA
USD
112319.21000000
0.000271085658
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.04500000
N
N
N
N
N
N
MYLAN INC
30ZMPDNA1RHIBH89C294
MYLAN INC 5.4% 11/29/2043
628530BC0
580000.00000000
PA
USD
716751.42000000
0.001729900259
Long
DBT
CORP
US
N
2
2043-11-29
Fixed
0.05400000
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
20000.00000000
PA
USD
19876.00000000
0.000047971300
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/46#AS6520
3138WGG65
695515.05070000
PA
USD
749512.20000000
0.001808969348
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
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 2007-75 JI 1ML+654.5 08/37
31396W3J3
897138.06000000
PA
USD
194166.78000000
0.000468627133
Long
ABS-CBDO
USGSE
US
N
2
2037-08-25
Variable
0.06427370
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #737104
3620AQ3M3
41712.78600000
PA
USD
47662.44000000
0.000115034675
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
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
186390.00000000
0.000449857649
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
0.04500000
N
N
N
N
N
N
PHILLIPS 66 PARTNERS LP
549300TL5L4IG0H4FX64
PHILLIPS 66 PARTNERS LP 4.9% 10/01/2046
718549AE8
525000.00000000
PA
USD
580752.11000000
0.001401661995
Long
DBT
CORP
US
N
2
2046-10-01
Fixed
0.04900000
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
6411435.63000000
0.015474185124
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.04125000
N
N
N
N
N
N
MILOS CLO LTD
254900GFWI4EEB8IJS18
MILOS CLO LTD 3ML+107 10/20/2030 144A
60162PAE2
8353000.00000000
PA
USD
8356165.79000000
0.020167847550
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Variable
0.01294000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/40 #004801
36202FKN5
581354.08010000
PA
USD
650320.58000000
0.001569567508
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 9/33 #739821
31402V4E7
100013.21350000
PA
USD
113186.61000000
0.000273179153
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.05000000
N
N
N
N
N
N
BBCMS MTG TR 2021-C9
N/A
BBCMS MTG TR 2021-C9 A4 2.021% 02/15/2054
05493EAX0
10000000.00000000
PA
USD
9967382.00000000
0.024056564423
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Fixed
0.02021000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 3.999% 11/01/2049
20030NCE9
10000.00000000
PA
USD
11503.32000000
0.000027763595
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
0.03999000
N
N
N
N
N
N
LIVE NATION ENTERTAINMENT INC
5493007B9BM9ZXJINO78
LIVE NATION ENTERTAINMENT INC 3.75% 01/15/2028 144A
538034AX7
237000.00000000
PA
USD
237521.40000000
0.000573264761
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.03750000
N
N
N
N
N
N
CSMC 2020-RPL3 TR
N/A
CSMC 2020-RPL3 TRUST VAR 03/25/2060 144A
12656PAC0
5698811.65000000
PA
USD
5776459.10000000
0.013941650924
Long
ABS-CBDO
CORP
US
N
2
2060-03-25
Variable
0.02691000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 02/01/2043#Q15786
3132J62U7
87439.41610000
PA
USD
94983.11000000
0.000229244480
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
CONNECTICUT AVE SECS TR 2020-R01
N/A
CONNECTICUT AVE SECS TR 2020-R01 1ML+205 01/25/2040 144A
20754CAB5
1145000.00000000
PA
USD
1142717.90000000
0.002757982665
Long
ABS-CBDO
CORP
US
N
2
2040-01-25
Variable
0.02167630
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
8556994.37300000
PA
USD
264228.86000000
0.000637723987
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
0.01261831
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 4.25% 04/15/2047
91324PCZ3
645000.00000000
PA
USD
772877.06000000
0.001865361113
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
0.04250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 11/46#MA4195
36179SUU9
631523.59610000
PA
USD
667388.89000000
0.001610762367
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
0.03000000
N
N
N
N
N
N
MONG DUONG FINANCE HOLDINGS B.V
549300995KGQFMWSV879
MONG DUONG FINANCE HOLDINGS B.V 5.125% 05/07/2029 REGS
N/A
250000.00000000
PA
USD
254687.50000000
0.000614695639
Long
DBT
CORP
NL
N
2
2029-05-07
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2040#AE0698
31419AX44
252857.31600000
PA
USD
283401.32000000
0.000683997273
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 3.5% 12/01/2029#AL8077
3138EQ6P2
278446.56700000
PA
USD
299543.24000000
0.000722956263
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
0.03500000
N
N
N
N
N
N
DIGICEL INTERNATIONAL FINANCE LTD / DIGICEL HOLDINGS BERMUDA LTD
N/A
DIGICEL INTERNATIONAL FINANCE LTD / DIGICEL HOLDINGS BERMUDA LTD 8% 12/31/2026 144A
25381XAC7
1550000.00000000
PA
USD
1478397.75000000
0.003568155681
Long
DBT
CORP
LC
N
2
2026-12-31
Fixed
0.08000000
N
N
N
N
N
N
SUNCOR ENERGY INC
549300W70ZOQDVLCHY06
PETRO-CANADA 6.8% 5/15/38
71644EAJ1
350000.00000000
PA
USD
491535.54000000
0.001186335226
Long
DBT
CORP
CA
N
2
2038-05-15
Fixed
0.06800000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
HOME DEPOT INC 4.875% 2/15/44
437076BD3
975000.00000000
PA
USD
1269616.15000000
0.003064255258
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 2012-149 GA 1.75% 06/25/2042
3136AA2T1
1041223.20860000
PA
USD
1070094.04000000
0.002582702881
Long
ABS-CBDO
USGSE
US
N
2
2042-06-25
Fixed
0.01750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 10/40 #004835
36202FLQ7
387130.15560000
PA
USD
443169.76000000
0.001069603019
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/27#MA1162
31418AJG4
178388.40510000
PA
USD
187057.67000000
0.000451469090
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.03000000
N
N
N
N
N
N
BENCHMARK 2019-B10 MTG TR
N/A
BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062
08162VAE8
1673000.00000000
PA
USD
1879188.55000000
0.004535475856
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Fixed
0.03717000
N
N
N
N
N
N
LUMEN TECHNOLOGIES
8M3THTGWLTYZVE6BBY25
CENTURYLINK TERM B 1LN 03/15/2027
15669GAH7
3250000.00000000
PA
USD
3235960.00000000
0.007810082949
Long
LON
CORP
US
N
2
2027-03-15
Variable
0.02364500
N
N
N
N
N
N
COMM 2015-PC1 MTG TR
N/A
COMM 2015-PC1 MTG TR 3.62% 07/10/2050
12593GAE2
1462650.48000000
PA
USD
1507210.27000000
0.003637695531
Long
ABS-MBS
CORP
US
N
2
2050-07-10
Fixed
0.03620000
N
N
N
N
N
N
NIELSEN CO LUXEMBOURG SARL
549300MFMRJBOPHHM352
NIELSEN CO LUXEMBOURG SARL 5% 02/01/2025 144A
65410CAC4
115000.00000000
PA
USD
117860.63000000
0.000284460035
Long
DBT
CORP
LU
N
2
2025-02-01
Fixed
0.05000000
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
5484298.79300000
PA
USD
5747108.58000000
0.013870812596
Long
ABS-CBDO
USGA
US
N
2
2047-09-20
Fixed
0.03000000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2015-C31
N/A
WFCM 2015-C31 XA CSTR 11/48
94989WAV9
6780982.58440000
PA
USD
255129.72000000
0.000615762950
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Variable
0.00972626
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5345
3140J95F4
953026.49000000
PA
USD
1018647.13000000
0.002458534277
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 6.00% 10/37 #995073
31416BMW5
65397.14140000
PA
USD
77788.09000000
0.000187743802
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2042#AJ5571
3138AXFM8
119100.49650000
PA
USD
131837.44000000
0.000318193470
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 3.5% 11/20/2046#MA4069
36179SQW0
256048.22550000
PA
USD
274988.91000000
0.000663693678
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
0.03500000
N
N
N
N
N
N
TRUIST BANK
JJKC32MCHWDI71265Z06
SUNTRUST BANKS INC 2.75% 5/1/23
86787EAN7
645000.00000000
PA
USD
677267.52000000
0.001634604726
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.02750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 03/01/2048#Q54622
3132XXD48
21308.74600000
PA
USD
23233.64000000
0.000056075061
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS CORP
549300ZCZ76HYCS0H445
FRONTIER COMMUNICATIONS CORP 5% 05/01/2028 144A
35906ABF4
215000.00000000
PA
USD
221385.50000000
0.000534320300
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
0.05000000
N
N
N
N
N
N
HOWARD HUGHES CORP
549300BVHY25JZC1KI49
HOWARD HUGHES CORP 4.125% 02/01/2029 144A
44267DAE7
300000.00000000
PA
USD
297795.00000000
0.000718736836
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2041#AB4058
31417AQL6
488468.46690000
PA
USD
540859.30000000
0.001305379546
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 02/20/2049#MA5763
36179UML3
319744.57000000
PA
USD
343582.49000000
0.000829246266
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
0.04000000
N
N
N
N
N
N
CHILDRENS HOSP CORP
549300NXFO6BISJLOS32
CHILDRENS HOSP CORP 4.115% 01/01/2047
16876BAA0
480000.00000000
PA
USD
586073.75000000
0.001414505927
Long
DBT
CORP
US
N
2
2047-01-01
Fixed
0.04115000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
LEVEL 3 FINANCING INC 5.375% 05/01/2025
527298BH5
400000.00000000
PA
USD
410400.00000000
0.000990512256
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.05375000
N
N
N
N
N
N
GMACM MTG LN TR
N/A
GMACM 2005-AR6 2A1 CSTR 11/35
36185MBJ0
2108085.06000000
PA
USD
2101163.58000000
0.005071219004
Long
ABS-CBDO
CORP
US
N
2
2035-11-19
Variable
0.03300143
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 07/01/2049#QA1033
31334XEE5
999900.23640000
PA
USD
1046098.43000000
0.002524788783
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
0.03000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 4.05% 11/21/2039
00287YCA5
8845000.00000000
PA
USD
10157978.87000000
0.024516575475
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
0.04050000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2046#AS7822
3138WHVQ2
530821.02200000
PA
USD
574188.41000000
0.001385820316
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #772072
36176PQZ2
126519.13970000
PA
USD
140169.37000000
0.000338302824
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
SAPPHIRE AVIATION FINANCE
N/A
SAPPHIRE AVIATION FINANCE 4.335% 03/15/2040 144A
80307AAB5
665815.30000000
PA
USD
599859.50000000
0.001447778233
Long
ABS-CBDO
CORP
US
N
2
2040-03-15
Fixed
0.04335000
N
N
N
N
N
N
PPL ELEC UTILS CORP
N/A
PPL ELEC UTILS CORP 4.125% 06/15/2044
69351UAS2
450000.00000000
PA
USD
528839.77000000
0.001276370063
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
0.04125000
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
3033220.68000000
0.007320765743
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
0.03372000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.375% 11/15/2040
912810ST6
43895000.00000000
PA
USD
39258590.63000000
0.094751742699
Long
DBT
UST
US
N
2
2040-11-15
Fixed
0.01375000
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
528482.51000000
0.001275507806
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
0.04400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/39 #930854
31412PE31
45962.37220000
PA
USD
51305.69000000
0.000123827765
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
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
1195481.23630000
PA
USD
1276866.97000000
0.003081755321
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 4% 01/01/2048#Q53334
3132XVV42
942219.13950000
PA
USD
1016659.73000000
0.002453737630
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.25% 03/15/2023
29278NAL7
1373000.00000000
PA
USD
1454863.53000000
0.003511355161
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04250000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 3.875% 05/21/2024
02005NBH2
6322000.00000000
PA
USD
6873468.06000000
0.016589313743
Long
DBT
CORP
US
N
2
2024-05-21
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AS0044
3138W9BN9
430604.33750000
PA
USD
459918.93000000
0.001110027625
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.5% 02/25/2026
125523BZ2
4775000.00000000
PA
USD
5490811.37000000
0.013252231875
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2048#BK2527
3140HFYZ6
34840.63000000
PA
USD
37956.87000000
0.000091610002
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
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
6930177.68000000
0.016726184049
Long
DBT
CORP
US
N
2
2039-01-23
Fixed
0.05450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2047#BE9261
3140FVJF4
104198.12250000
PA
USD
115124.12000000
0.000277855389
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.04500000
N
N
N
N
N
N
MDPK 2021-48A
N/A
MDPK 2021-48A A 3ML+115 04/19/2033 144A
55821UAA2
5000000.00000000
PA
USD
5001970.00000000
0.012072399106
Long
ABS-CBDO
CORP
KY
N
2
2033-04-19
Variable
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2041#AI6550
3138ALH42
137688.09980000
PA
USD
154148.08000000
0.000372040844
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.04500000
N
N
N
N
N
N
ENBRIDGE ENERGY PARTNERS LP
CZ6VG2MNE1J6YDI02G48
ENBRIDGE ENRGY PRTNRS 4.2 9/21
29250RAU0
2044000.00000000
PA
USD
2066004.01000000
0.004986360366
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
0.04200000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 3.87%/VAR 07/09/2025
53944YAL7
5375000.00000000
PA
USD
5891750.78000000
0.014219910725
Long
DBT
CORP
GB
N
2
2025-07-09
Variable
0.03870000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2.5% 1/1/43 #Q14326
3132HQYX4
197417.97750000
PA
USD
206383.68000000
0.000498112974
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.125% 08/31/2021
9128282F6
4000000.00000000
PA
USD
4021093.76000000
0.009705025962
Long
DBT
UST
US
N
2
2021-08-31
Fixed
0.01125000
N
N
N
N
N
N
PILGRIMS PRIDE CORP NEW
549300ZSLGV64ZL3HD75
PILGRIMS PRIDE CORP NEW 5.875% 09/30/2027 144A
72147KAE8
500000.00000000
PA
USD
536425.00000000
0.001294677235
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
0.05875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BC4754
3140F0H80
2827876.00700000
PA
USD
3133831.83000000
0.007563593660
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 5.0% 05/01/2039#AL0524
3138EGSN5
124321.30920000
PA
USD
141820.49000000
0.000342287849
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.05000000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PAR 5.375% 6/1/21
958254AA2
4846000.00000000
PA
USD
4846000.00000000
0.011695961005
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.05375000
N
N
N
N
N
N
ESSEX PORTFOLIO LP
5493003GN3O58H286O74
ESSEX PORTFOLIO LP 3.875% 05/01/24
29717PAN7
2685000.00000000
PA
USD
2919314.98000000
0.007045851045
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
0.03875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#778869
36176XCE7
53960.83200000
PA
USD
59782.70000000
0.000144287273
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
CALPINE CORPORATION
43R4VPJBXTU2O15HEF41
CALPINE CORPORATION 5.125% 03/15/2028 144A
131347CN4
1375000.00000000
PA
USD
1381875.00000000
0.003335195236
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
0.05125000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 4.875% 01/01/2026 144A
88033GCY4
1390000.00000000
PA
USD
1436829.10000000
0.003467828544
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
0.04875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 04/01/2041#Q00334
3132GDLP5
32870.65810000
PA
USD
37829.00000000
0.000091301384
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.05000000
N
N
N
N
N
N
GS MTG SECS TR 2021
N/A
GS MTG SECS TR 2021-RENT XCP CSTR 11/21/2023 144A
36260XAC0
72804200.00000000
PA
USD
1479454.15000000
0.003570705333
Long
ABS-MBS
CORP
US
N
2
2023-11-21
Fixed
0.02732537
N
N
N
N
N
N
WESTINGHOUSE AIR BRAKE TECH CORP
06BTX5UWZD0GQ5N5Y745
WESTINGHOUSE AIR BR CO STEP 09/15/2028
960386AM2
4805000.00000000
PA
USD
5647079.33000000
0.013629389111
Long
DBT
CORP
US
N
2
2028-09-15
Variable
0.04950000
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
2760771.00000000
0.006663200569
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.03550000
N
N
N
N
N
N
HSI ASSET SECURITIZATION TR 2007 HE1
N/A
HSI ASSET SECURITIZ TR 07 HE1 1ML+14 01/25/2037
40430FAA0
3217843.98000000
PA
USD
2874267.38000000
0.006937127361
Long
ABS-CBDO
CORP
US
N
2
2037-01-25
Variable
0.00257630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#CA5039
3140QCS56
384415.10200000
PA
USD
416530.10000000
0.001005307430
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
IQVIA INC
549300PLWY28YB00C717
IQVIA TERM B-2 1LN 01/18/2025
44969CBH2
800000.00000000
PA
USD
799200.00000000
0.001928892289
Long
LON
CORP
US
N
2
2025-01-18
Variable
0.00000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
N/A
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES CSTR 12/25/2027
3137FF3Z8
140908579.00000000
PA
USD
5038693.51000000
0.012161032358
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Variable
0.00657660
N
N
N
N
N
N
CSX CORP
549300JVQR4N1MMP3Q88
CSX CORP 6.15% 5/1/37
126408GK3
1375000.00000000
PA
USD
1919568.34000000
0.004632933646
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
0.06150000
N
N
N
N
N
N
ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC
N/A
ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC 4.75% 07/15/2027 REGS
N/A
3650000.00000000
PA
5289807.61000000
0.012767103493
Long
DBT
CORP
IE
N
2
2027-07-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2042#AB4530
31417BA80
27206.88450000
PA
USD
30116.46000000
0.000072686946
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
BANK 2021-BNK31
N/A
BANK 2021-BNK31 02/2054
06541ABN9
7000000.00000000
PA
USD
556929.10000000
0.001344164473
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Variable
0.00869400
N
N
N
N
N
N
BAYVIEW COML ASSET TR
N/A
BAYC 2005-4A A2 1ML+39 1/36
07324SCS9
52275.24030000
PA
USD
49634.23000000
0.000119793648
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
0.00507630
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2046#G08687
3128MJXR6
842097.14560000
PA
USD
907749.06000000
0.002190878581
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
SIXTH STR CLO XVII LTD / SIXTH STR CLO XVII LLC
N/A
SIXTH STR CLO XVII LTD / SIXTH STR CLO XVII LLC A 3ML+124 01/20/2034 144A
83012FAA6
5000000.00000000
PA
USD
5001475.00000000
0.012071204409
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Variable
0.00000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 3/42 #005334
36202F4T0
265310.69580000
PA
USD
303716.14000000
0.000733027678
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Fixed
0.05000000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 3.55% 09/15/2055 144A
00206RMD1
990000.00000000
PA
USD
908959.34000000
0.002193799627
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
0.03550000
N
N
N
N
N
N
VEREIT OPER PARTNERSHIP LP
5493005TQOUJE1LCS698
VEREIT OPER PARTNERSHIP LP 2.2% 06/15/2028
92340LAH2
791000.00000000
PA
USD
790920.13000000
0.001908908584
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.02200000
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
9130716.75000000
0.022037248670
Long
ABS-CBDO
CORP
KY
N
2
2029-01-15
Variable
0.01441250
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 04/20/2043#MA0933
36179NBA5
430978.66080000
PA
USD
458013.61000000
0.001105429080
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03000000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 8/15/40
912834JB5
22665000.00000000
PA
USD
14965507.07000000
0.036119683679
Long
DBT
UST
US
N
2
2040-08-15
Fixed
0.00000000
N
N
N
N
N
N
PROSPER MARKETPLACE ISSUANCE TR SER 19-3
N/A
PROSPER MARKETPLACE ISSUANCE TRUST SERIES 2019-3A A 3.19% 07/15/2025 144A
74362DAA6
432898.42600000
PA
USD
433717.69000000
0.001046790175
Long
ABS-CBDO
CORP
US
N
2
2025-07-15
Fixed
0.03190000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 03/01/2033#AB0066
31416VCC6
481810.21950000
PA
USD
542436.54000000
0.001309186260
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2042#AJ1884
3138ATCW8
445545.86000000
PA
USD
488768.80000000
0.001179657619
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2045#Q31980
3132QNFW4
272636.53500000
PA
USD
292664.66000000
0.000706354612
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03000000
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
656071.59000000
0.001583447736
Long
DBT
CORP
US
N
2
2036-01-15
Fixed
0.06000000
N
N
N
N
N
N
CONOCOPHILLIPS INC
WPTL2Z3FIYTHSP5V2253
CONOCOPHILLIPS INC 3.75% 10/01/2027 144A
20825CAV6
915000.00000000
PA
USD
1031842.12000000
0.002490380767
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 2/36 #745578
31403DJX8
1356.61880000
PA
USD
1618.99000000
0.000003907479
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/48#MA4962
36179TQP3
558817.85130000
PA
USD
595833.22000000
0.001438060690
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
0.03500000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAR 4.25% 12/15/41
26442CAM6
1450000.00000000
PA
USD
1721879.23000000
0.004155805268
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q02020
3132GFG50
31254.98660000
PA
USD
36067.29000000
0.000087049446
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031
674599DD4
8596000.00000000
PA
USD
10100300.00000000
0.024377365856
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/41 #AI1116
3138AEG23
83945.52230000
PA
USD
94033.29000000
0.000226952062
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
RUSSIA FEDN MINISTRY FINANCE
5493004EHVGF71PDBU58
RUSSIA FEDN MINISTRY FINANCE 4.375% 03/21/2029 REGS
N/A
400000.00000000
PA
USD
450000.00000000
0.001086088000
Long
DBT
NUSS
RU
N
2
2029-03-21
Fixed
0.04375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 11/30/2022
91282CAX9
1110000.00000000
PA
USD
1110000.00000000
0.002679017068
Long
DBT
UST
US
N
2
2022-11-30
Fixed
0.00125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9287
3138YPJ94
92399.79700000
PA
USD
100786.11000000
0.000243250188
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 2.5% 03/01/2043#AR9126
3138W7D84
111495.15240000
PA
USD
116524.68000000
0.000281235681
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 3.5% 01/01/2046#AS6522
3138WGG81
681743.79600000
PA
USD
734671.79000000
0.001773151590
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2042#AK7569
3138ECMT7
58652.45560000
PA
USD
65939.02000000
0.000159145729
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
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
226302.59000000
0.000546187839
Long
DBT
CORP
LU
N
2
2023-12-01
Fixed
0.03650000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.2% 11/21/2029
00287YBX6
200000.00000000
PA
USD
216222.80000000
0.000521859974
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
0.03200000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 1/42 #790493
36177JRP6
19757.18570000
PA
USD
21522.41000000
0.000051944958
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 30YR 3.0% 04/01/2043#AB8897
31417F3F3
1159561.64610000
PA
USD
1238502.05000000
0.002989160479
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
STRYKER CORP 3.5% 03/15/2026
863667AN1
675000.00000000
PA
USD
746632.61000000
0.001802019375
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.03500000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 6.375% 05/15/2029
64110LAX4
55000.00000000
PA
USD
68337.50000000
0.000164934530
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
0.06375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/40 #737454
3620ARH79
67229.76470000
PA
USD
77153.01000000
0.000186211018
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.05000000
N
N
N
N
N
N
SUTTER HEALTH
549300MJCC12LU768G81
SUTTER HEALTH 4.091% 08/15/48
86944BAE3
1140000.00000000
PA
USD
1285038.16000000
0.003101476725
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 5% 05/01/2033#710653
31401KQE8
10436.20930000
PA
USD
11715.43000000
0.000028275528
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.05000000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE 4.284% 04/15/2036 144A
12690CAA1
5237000.00000000
PA
USD
5221065.90000000
0.012601193390
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
0.04284000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 12/01/2043#C09055
31292SBY5
330173.05950000
PA
USD
364538.69000000
0.000879824660
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/01/2047#G61047
31335BEU6
628991.70900000
PA
USD
703832.16000000
0.001698719252
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
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
766222.53890000
PA
USD
836494.88000000
0.002018904559
Long
ABS-CBDO
USGSE
US
N
2
2040-11-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 06/01/2043#AT9645
3138WXWF0
11586.44960000
PA
USD
12552.65000000
0.000030296183
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03000000
N
N
N
N
N
N
CSAIL 2016-C7 COML MTG TR
5493006MX7HG5PC85C29
CSAIL 2016-C7 A4 3.21% 11/15/49
12637UAV1
3186021.60000000
PA
USD
3415109.93000000
0.008242466481
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
0.03210000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2033#K90513
3132J2SA2
827042.94770000
PA
USD
891525.91000000
0.002151723540
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.03500000
N
N
N
N
N
N
VLS COMMERCIAL MORTGAGE TRUST 2020
N/A
VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A
92858TAC0
300000.00000000
PA
USD
300591.54000000
0.000725486366
Long
ABS-MBS
CORP
US
N
2
2042-10-10
Fixed
0.02453000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2042#C04038
31292LPX7
570434.65120000
PA
USD
622750.58000000
0.001503026516
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 5.5% 3/20/41 #004984
36202FRD0
99924.56000000
PA
USD
115397.42000000
0.000278515007
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 3/38 #G04668
3128M6QV3
118711.69320000
PA
USD
135702.78000000
0.000327522580
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
0.05000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 2.196% 02/04/2026
097023DG7
500000.00000000
PA
USD
501041.35000000
0.001209277773
Long
DBT
CORP
US
N
2
2026-02-04
Fixed
0.02196000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 01/20/2043#MA0698
36179MX39
6368912.80920000
PA
USD
6784351.90000000
0.016374229316
Long
ABS-MBS
USGA
US
N
2
2043-01-20
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 1.493% 09/25/2030
3137F62M8
20339000.00000000
PA
USD
20039870.26000000
0.048366805841
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Fixed
0.01493000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21258
3132JNMF1
271470.37280000
PA
USD
299726.01000000
0.000723397384
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
OLIN CORP
549300GKK294V7W57P06
OLIN CORP 5.625% 08/01/2029
680665AL0
195000.00000000
PA
USD
210356.25000000
0.000507700886
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
0.05625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ8684
3138MQUJ0
538327.43520000
PA
USD
574975.58000000
0.001387720173
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING PARTNERS LP
549300KJEC5IUVJWR786
NEXTERA ENERGY OPERATING PARTNERS LP 4.25% 09/15/2024 144A
65342QAC6
27000.00000000
PA
USD
28620.00000000
0.000069075196
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.04250000
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
3892202.60000000
0.009393943424
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Variable
0.01554000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.412%/VAR 03/31/2031
172967MP3
13726000.00000000
PA
USD
15967364.52000000
0.038537695579
Long
DBT
CORP
US
N
2
2031-03-31
Variable
0.04412000
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
2031075.10000000
0.004902058433
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2.5% 02/01/2043#C09031
31292SA83
231752.36850000
PA
USD
242277.36000000
0.000584743407
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.02500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCS IRS 3MLV.75% MAC 03/17/31
N/A
-13404000.00000000
NC
USD
417456.68000000
0.001007543757
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2031-03-17
0.00000000
USD
0.00000000
USD
-12875308.93000000
USD
417456.68000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #794582
36177PCU7
86962.34330000
PA
USD
94351.60000000
0.000227720312
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 4.7% 04/02/2027
05526DBP9
325000.00000000
PA
USD
372230.38000000
0.000898388776
Long
DBT
CORP
US
N
2
2027-04-02
Fixed
0.04700000
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
17198453.24110000
PA
USD
436317.88000000
0.001053065808
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
0.00770410
N
N
N
N
N
N
NATIONWIDE BUILDING SOCIETY
549300XFX12G42QIKN82
NATIONWIDE BUILDING SOC(UNGTD) 3.622/VAR 04/26/2023 144A
63861VAD9
3265000.00000000
PA
USD
3377256.38000000
0.008151105844
Long
DBT
CORP
GB
N
2
2023-04-26
Variable
0.03622000
N
N
N
N
N
N
TELEFLEX INC
UUL85LWXB4NGSWWXIQ25
TELEFLEX INC 4.25% 06/01/2028 144A
879369AG1
60000.00000000
PA
USD
62025.00000000
0.000149699129
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
0.04250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 10/20/2046#MA4003
36179SNU7
6502863.92880000
PA
USD
6876236.92000000
0.016595996466
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
0.03000000
N
N
N
N
N
N
CABLEVISION LIGHTPATH LLC
N/A
CABLEVISION LIGHTPATH LLC 3.875% 09/15/2027 144A
12687GAA7
10000.00000000
PA
USD
9925.00000000
0.000023954274
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
0.03875000
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
127964.68800000
PA
USD
24507.82000000
0.000059150331
Long
ABS-CBDO
USGA
US
N
2
2041-07-20
Variable
0.05988870
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
36911.00000000
0.000089085764
Long
DBT
MUN
US
N
2
2042-06-15
Fixed
0.05952000
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
2673368.46000000
0.006452252014
Long
DBT
CORP
US
N
2
2021-11-18
Fixed
0.03300000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 09/20/2049#MA6153
36179UZS4
1732573.34190000
PA
USD
1813508.08000000
0.004376954144
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
0.03000000
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
150220.63000000
0.000362561830
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
0.02050000
N
N
N
N
N
N
CITIZENS BANK NA
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA 2.55% 05/13/2021
17401QAE1
1705000.00000000
PA
USD
1709513.12000000
0.004125959304
Long
DBT
CORP
US
N
2
2021-05-13
Fixed
0.02550000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 4% 01/15/2025
37045XAS5
1205000.00000000
PA
USD
1316378.03000000
0.003177116406
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.04000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 3.15% 11/15/2025
11135FBB6
1775000.00000000
PA
USD
1908987.93000000
0.004607397521
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.03150000
N
N
N
N
N
N
AMSR 2019-SFR1 TRUST
N/A
AMSR 2019-SFR1 TRUST 2.774% 01/19/2039 144A
00178XAA1
700000.00000000
PA
USD
729559.60000000
0.001760813172
Long
ABS-CBDO
CORP
US
N
2
2039-01-19
Fixed
0.02774000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2042#AO9129
3138M1EB0
277107.05360000
PA
USD
306655.06000000
0.000740120846
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 2.75% 3/05/22
713448BY3
900000.00000000
PA
USD
922621.98000000
0.002226774804
Long
DBT
CORP
US
N
2
2022-03-05
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2043#BM1167
3140J5JM2
219293.57900000
PA
USD
243773.39000000
0.000588354119
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 6.00% 7/38 #AL0095
3138EGC93
1076704.95180000
PA
USD
1285649.78000000
0.003102952887
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
0.06000000
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
12950180.08000000
0.031255633764
Long
DBT
CORP
US
N
2
2022-10-31
Variable
0.02876000
N
N
N
N
N
N
HOME RE 2021-1 LTD
N/A
HOME RE 2021-1 LTD 1ML+155 07/25/2033 144A
437307AB7
165000.00000000
PA
USD
165069.09000000
0.000398399017
Long
ABS-CBDO
CORP
US
N
2
2033-07-25
Variable
0.01672880
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
341376.48540000
PA
USD
396639.09000000
0.000957299902
Long
ABS-CBDO
USGSE
US
N
2
2035-06-15
Fixed
0.05500000
N
N
N
N
N
N
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
R6ZXK5P01NP6HXSY1S07
MASSACHUSETTS MUTUAL LIFE INS 3.375% 04/15/2050 144A
575767AQ1
3450000.00000000
PA
USD
3529285.93000000
0.008518033556
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
0.03375000
N
N
N
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
EQUINOR ASA 3.7% 04/06/2050
29446MAH5
920000.00000000
PA
USD
1008938.97000000
0.002435103353
Long
DBT
CORP
NO
N
2
2050-04-06
Fixed
0.03700000
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 1.5% 10/25/2030
3137F72P9
5700000.00000000
PA
USD
5613128.01000000
0.013547446620
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2048#MA3334
31418CV43
1469048.35400000
PA
USD
1596463.18000000
0.003853110008
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
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
3676212.99000000
0.008872646260
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Fixed
0.04302000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/46#AS8573
3138WJQ35
554264.94810000
PA
USD
595737.10000000
0.001437828702
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/40 #741372
3620AVT51
108395.28440000
PA
USD
123788.37000000
0.000298766807
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 01/01/2041#A96537
312945HN1
68296.68120000
PA
USD
78668.19000000
0.000189867949
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2040#004799
36202FKL9
477029.06000000
PA
USD
519457.22000000
0.001253725008
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 3.5% 04/42#890427
31410LHC9
6517.33530000
PA
USD
7117.00000000
0.000017177085
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2046#Q44628
3132WJEA5
2104645.74200000
PA
USD
2262727.58000000
0.005461158386
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03500000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/GBP settle 2021-03-02
N/A
1.00000000
NC
N/A
-19298.25000000
-0.00004657688
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
784833.00000000
GBP
1074131.08000000
USD
2021-03-02
-19298.25000000
N
N
N
NXP BV/NXP FDG LLC
N/A
NXP BV/NXP FDG LLC 3.875% 09/01/2022 144A
62947QAW8
1969000.00000000
PA
USD
2061689.83000000
0.004975947968
Long
DBT
CORP
NL
N
2
2022-09-01
Fixed
0.03875000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 10/35 #1N0063
3128QGB84
4029.95070000
PA
USD
4246.53000000
0.000010249122
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.02933000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 12/01/2033#C91737
3128P74W0
168790.34950000
PA
USD
182056.11000000
0.000439397681
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
0.03500000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 4.625% 04/15/2030 144A
737446AQ7
530000.00000000
PA
USD
537950.00000000
0.001298357866
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04625000
N
N
N
N
N
N
JPMBB COML MTG SECS TR 2013-C14
N/A
JPMBB COML MTG SEC TR 2013 C14 AS 4.409% 08/15/2046
46640LAH5
3088000.00000000
PA
USD
3285488.10000000
0.007929620449
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Fixed
0.04409300
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS LP
5493005UEC8AZ34LDV29
CHENIERE ENERGY PARTNERS LP 4% 03/01/2031 144A
16411QAH4
220000.00000000
PA
USD
221722.60000000
0.000535133900
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/41 #AL1193
3138EHKF8
315117.96910000
PA
USD
348916.04000000
0.000842118943
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 GTD MTG 2013-51 GI 3% 10/25/2032
3136AECM7
677634.94570000
PA
USD
52074.42000000
0.000125683117
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 4.0% 11/01/2045#G08677
3128MJXF2
590391.77940000
PA
USD
644720.34000000
0.001556051167
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
ARCH CAP FIN LLC
549300XG4URFY0200M65
ARCH CAPITAL FINANCE LLC 4.011% 12/15/2026
03939CAA1
1770000.00000000
PA
USD
2019185.03000000
0.004873361405
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.04011000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
STATE STREET CORP 2.901%/VAR 03/30/2026
857477BM4
833000.00000000
PA
USD
898315.21000000
0.002168109712
Long
DBT
CORP
US
N
2
2026-03-30
Variable
0.02901000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/42#AQ6804
3138MNR28
39954.81860000
PA
USD
43718.51000000
0.000105515886
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3.25% 04/15/2025
125523AV2
5000.00000000
PA
USD
5417.73000000
0.000013075847
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18564
3132J96A1
29708.23480000
PA
USD
32846.80000000
0.000079276700
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #766918
36176HYP3
434751.15490000
PA
USD
471556.45000000
0.001138115115
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
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
2829896.71620000
PA
USD
2802685.00000000
0.006764361219
Long
ABS-CBDO
USGA
US
N
2
2066-08-20
Variable
0.00460000
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
204018.75000000
0.000492405147
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
0.05000000
N
N
N
N
N
N
DELOS FINANCE SARL
549300HX549YWOJQT076
ILFC TERM B 10/06/2023
N/A
725000.00000000
PA
USD
724739.00000000
0.001749178514
Long
LON
CORP
LU
N
2
2023-10-06
Variable
0.03200130
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
12371939.49000000
0.029860033394
Long
DBT
CORP
US
N
2
2046-11-15
Fixed
0.05150000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 12/01/2036#BM3680
3140J8CS0
246134.11600000
PA
USD
269473.46000000
0.000650381981
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.03500000
N
N
N
N
N
N
INTELSAT JACKSON HLDGS S A
8XJ8KF85PBKK1TLMFN29
INTELSAT JACKSON HLDGS SA 5.5% 08/01/2023
45824TAP0
2500000.00000000
PA
USD
1587500.00000000
0.003831477114
Long
DBT
CORP
LU
N
2
2023-08-01
Fixed
0.05500000
Y
Y
N
N
N
N
ALABAMA POWER and LIGHT
0RL818ELFOHP5JHOFU19
ALABAMA POWER CO 3.75% 03/01/2045
010392FM5
650000.00000000
PA
USD
725522.92000000
0.001751070528
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
0.03750000
N
N
N
N
N
N
LUMEN TECHNOLOGIES
8M3THTGWLTYZVE6BBY25
CENTURYLINK INC 5.625% 04/01/2025
156700AZ9
175000.00000000
PA
USD
187460.00000000
0.000452440125
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.05625000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.5% 03/15/2023
912828ZD5
35430000.00000000
PA
USD
35683269.23000000
0.086122601206
Long
DBT
UST
US
N
2
2023-03-15
Fixed
0.00500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 09/15/2043#711804
36297GX96
765786.53940000
PA
USD
855026.17000000
0.002063630363
Long
ABS-MBS
USGA
US
N
2
2043-09-15
Fixed
0.03500000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 4.125% 08/17/2027
345397A86
185000.00000000
PA
USD
194712.50000000
0.000469944244
Long
DBT
CORP
US
N
2
2027-08-17
Fixed
0.04125000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 3.85% 07/15/2029
92936UAF6
1725000.00000000
PA
USD
1918276.12000000
0.004629814836
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
0.03850000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030
785592AX4
9948000.00000000
PA
USD
11378352.69000000
0.027461982947
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 01/20/2047#MA4198
36179SUX3
312092.14810000
PA
USD
343946.86000000
0.000830125683
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 06/01/2039#AL6611
3138EPKZ6
527675.57040000
PA
USD
599935.89000000
0.001447962603
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 08/01/2039#
3133KYRY7
82104.08300000
PA
USD
87375.06000000
0.000210882231
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AE8265
31419KFF7
25525.94330000
PA
USD
28129.61000000
0.000067891626
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 4% 10/01/2039#AW8233
3138XYEF7
207413.62550000
PA
USD
228104.23000000
0.000550536149
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 11/46#MA4071
36179SQY6
827978.11450000
PA
USD
922320.67000000
0.002226047583
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24973
3132M5FN7
82833.98760000
PA
USD
91300.34000000
0.000220356008
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 5.125% 05/01/2025
88033GCU2
500000.00000000
PA
USD
502500.00000000
0.001212798267
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2032#BJ0958
3140H2B49
26442.23100000
PA
USD
27764.83000000
0.000067011219
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
APACHE CORP 4.75% 4/15/43
037411BA2
335000.00000000
PA
USD
327465.85000000
0.000790348289
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 03/01/2051 #TBA
01F020638
-64550000.00000000
PA
USD
-65164483.73000000
-0.15727636413
Short
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2043#Q16470
3132J7T44
151663.45780000
PA
USD
163468.32000000
0.000394535513
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 5/15/42
912834LK2
2635000.00000000
PA
USD
1661316.04000000
0.004009634259
Long
DBT
UST
US
N
2
2042-05-15
Fixed
0.00000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
EXELON CORP 4.05% 04/15/2030
30161NAX9
2274000.00000000
PA
USD
2604052.73000000
0.006284956497
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04050000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.875% 02/15/2026
404119BS7
1135000.00000000
PA
USD
1312003.25000000
0.003166557748
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.05875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 08/15/2040#721759
3620A7ZY4
151441.82740000
PA
USD
166869.92000000
0.000402745372
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2043#AU2854
3138X2E42
296209.17390000
PA
USD
326960.96000000
0.000789129723
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 3% 10/01/2027#MA1219
31418AK98
623917.17360000
PA
USD
654516.69000000
0.001579694940
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 20YR 2% 01/01/2041#MA4232
31418DV25
2101184.41160000
PA
USD
2152823.12000000
0.005195900797
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.02000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 4.017%/VAR 10/31/2038
38148YAA6
3495000.00000000
PA
USD
4041961.21000000
0.009755390156
Long
DBT
CORP
US
N
2
2038-10-31
Variable
0.04017000
N
N
N
N
N
N
CYRUSONE LP/CYRUSONE FIN CORP
N/A
CYRUSONE LP/CYRUSONE FIN CORP 2.15% 11/01/2030
23283PAT1
1000000.00000000
PA
USD
943200.00000000
0.002276440449
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
0.02150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BD2436
3140F9V69
751278.50770000
PA
USD
806552.85000000
0.001946638605
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC
N/A
ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC 4.125% 08/15/2026 144A
03969AAN0
10000.00000000
PA
USD
10349.08000000
0.000024977803
Long
DBT
CORP
IE
N
2
2026-08-15
Fixed
0.04125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 06/20/2042#MA0154
36179ME30
255084.45500000
PA
USD
278896.10000000
0.000673123794
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
0.03500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 4.25% 09/15/2024
00912XAN4
8907000.00000000
PA
USD
9784485.40000000
0.023615138194
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.04250000
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
2082606.10000000
0.005026429990
Long
DBT
USGSE
US
N
2
2028-11-16
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19764
3132JBJJ3
56422.80060000
PA
USD
62385.86000000
0.000150570075
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS PARTNER 6.3% 4/15/40
96950FAF1
800000.00000000
PA
USD
1048456.60000000
0.002530480294
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
0.06300000
N
N
N
N
N
N
BANK 2019-BNK21
N/A
BANK 2019-BN21 A5 2.851% 10/17/2052
06540BBD0
838000.00000000
PA
USD
894065.22000000
0.002157852238
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Fixed
0.02851000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS CORP 7.75% 07/01/2026
25470XAY1
550000.00000000
PA
USD
605275.00000000
0.001460848699
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
0.07750000
N
N
N
N
N
N
SARATOGA INVT CORP CLO 2013-1 LTD / SARATOGA INVT CORP CLO 2013-1 INC
N/A
SARATOGA INVT CORP CLO 2013-1 LTD / SARATOGA INVT CORP CLO 2013-1 INC 3ML+132 04/20/2033 144A
80349BBB2
12000000.00000000
PA
USD
12000000.00000000
0.028962346690
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Variable
0.00000000
N
N
N
N
N
N
CENTRAL PARK FUNDING TRUST 2021-1
N/A
CENTRAL PARK FUNDING TRUST 2021-1 1ML+275 08/29/2022 144A
15479PAA2
12960000.00000000
PA
USD
12960000.00000000
0.031279334425
Long
ABS-CBDO
CORP
US
N
2
2022-08-29
Variable
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 08/01/2032#MA3090
31418CNG5
2045202.93600000
PA
USD
2171964.61000000
0.005242099336
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
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
156878.54760000
PA
USD
174501.70000000
0.000421164894
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GRP AG 2.593%/VAR 09/11/2025 144A
225401AM0
15060000.00000000
PA
USD
15841203.92000000
0.038233203326
Long
DBT
CORP
CH
N
2
2025-09-11
Variable
0.02593000
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
725514.89000000
0.001751051147
Long
DBT
CORP
US
N
2
2047-10-03
Fixed
0.04200000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE INC 5.875% 11/15/2040
88732JAY4
5543000.00000000
PA
USD
7057104.87000000
0.017032526489
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
0.05875000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 2.633%/VAR 11/07/2025
404280CE7
3000000.00000000
PA
USD
3174000.48000000
0.007660541858
Long
DBT
CORP
GB
N
2
2025-11-07
Variable
0.02633000
N
N
N
N
N
N
TRANSOCEAN INC
DOL4HJ22ADYSIWES4H94
TRANSOCEAN INC 11.5% 01/30/2027 144A
893830BQ1
140000.00000000
PA
USD
115500.00000000
0.000278762586
Long
DBT
CORP
KY
N
2
2027-01-30
Fixed
0.11500000
N
N
N
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
DDR CORP 3.625% 02/01/2025
23317HAD4
2396000.00000000
PA
USD
2498015.57000000
0.006029032747
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.03625000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD 9.125% 06/15/2023 144A
780153BC5
55000.00000000
PA
USD
60362.50000000
0.000145686637
Long
DBT
CORP
LR
N
2
2023-06-15
Fixed
0.09125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 10/1/33 #A14237
31296NV61
222312.85280000
PA
USD
252489.09000000
0.000609389713
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 06/20/2047#MA4510
36179TAK1
1080946.00440000
PA
USD
1153391.01000000
0.002783742525
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
0.03500000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 3.49% 05/28/2030
05971KAF6
800000.00000000
PA
USD
869755.13000000
0.002099179134
Long
DBT
CORP
ES
N
2
2030-05-28
Fixed
0.03490000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19597
3132JBDB6
211333.41610000
PA
USD
233668.25000000
0.000563965072
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
WESTERN ASSET FDS INC
549300Q2LEO7M5HGWP70
Western Asset Core Bond I
957663305
164933825.53200000
NS
USD
2182074511.79000000
5.266499876191
Long
EC
RF
US
N
1
N
N
N
PPL ELEC UTILS CORP
N/A
PPL ELEC UTILS 6.25% 5/15/39
69351UAM5
250000.00000000
PA
USD
357444.67000000
0.000862703037
Long
DBT
CORP
US
N
2
2039-05-15
Fixed
0.06250000
N
N
N
N
N
N
BENCHMARK 2018-B4 MTG TR
N/A
BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051
08161HAF7
949000.00000000
PA
USD
1087298.43000000
0.002624226173
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Fixed
0.04121000
N
N
N
N
N
N
SCIENTIFIC GAMES INTL INC
RLTHESQ0RNFQJWPBJN60
SCIENTIFIC GAMES INTL INC 8.625% 07/01/2025 144A
80874YBG4
500000.00000000
PA
USD
538440.00000000
0.001299540495
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.08625000
N
N
N
N
N
N
SOUTHWEST AIRLINES CO
UDTZ87G0STFETI6HGH41
SOUTHWEST AIRLINES CO 2.625% 02/10/2030
844741BF4
735000.00000000
PA
USD
730665.05000000
0.001763481207
Long
DBT
CORP
US
N
2
2030-02-10
Fixed
0.02625000
N
N
N
N
N
N
IQVIA INC
549300PLWY28YB00C717
IMS HEALTH INC 5% 10/15/2026 144A
449934AD0
230000.00000000
PA
USD
237963.75000000
0.000574332385
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
0.05000000
N
N
N
N
N
N
ADTALEM GLOBAL EDUCATION INC
549300Z467EZLMODV621
ADTALEM GLOBAL EDUCATION INC 5.5% 03/01/2028 144A
00737WAA7
1400000.00000000
PA
USD
1393420.00000000
0.003363059427
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2042 #MA0625
36179MVS6
4281647.93360000
PA
USD
4678655.60000000
0.011292070460
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C29
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C29 ASB 3.14% 05/15/2049
61766EBC8
500000.00000000
PA
USD
530874.35000000
0.001281280581
Long
ABS-MBS
CORP
US
N
2
2049-05-15
Fixed
0.03140000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 0.375% 05/05/2023
3137EAER6
3065000.00000000
PA
USD
3079717.24000000
0.007432986534
Long
DBT
USGSE
US
N
2
2023-05-05
Fixed
0.00375000
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
4681811.20000000
0.011299686592
Long
DBT
CORP
IE
N
2
2026-04-03
Fixed
0.04450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2039#AV6581
3138XJJ32
495827.77370000
PA
USD
546373.85000000
0.001318689072
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.6% 03/09/2026
172967KJ9
3500000.00000000
PA
USD
4016544.49000000
0.009694046167
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 30YR 4.5% 10/01/2044#AS3651
3138WDBV2
3515387.67450000
PA
USD
3914983.20000000
0.009448925060
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04500000
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
710000.00000000
PA
USD
796177.02000000
0.001921596240
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
0.03750000
N
N
N
N
N
N
PROGRESS RESIDENTIAL 2019-SFR1 TR
N/A
PROGRESS RESIDENTIAL 2019-SFR1 TR 3.422% 08/17/2035 144A
74333BAA6
8831277.76000000
PA
USD
9060035.23000000
0.021866656779
Long
ABS-CBDO
CORP
US
N
2
2035-08-17
Fixed
0.03422000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2045#BM5975
3140JAT99
1316901.86140000
PA
USD
1421368.79000000
0.003430514639
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.375% 04/30/2025
912828ZL7
33015000.00000000
PA
USD
32778994.25000000
0.079113049635
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.00375000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/01/2051 #TBA
21H030633
72250000.00000000
PA
USD
75268395.48000000
0.181662447058
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
0.03000000
N
N
N
N
N
N
AUTONATION INC DEL
N/A
AUTONATION INC DEL 4.75% 06/01/2030
05329WAQ5
953000.00000000
PA
USD
1123636.55000000
0.002711929276
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
0.04750000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.27 11/25/2025
N/A
-28100000.00000000
NC
USD
-412181.20000000
-0.00099481123
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 11/28/30 1.27%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2030-11-28
0.00000000
USD
0.00000000
USD
-28100000.00000000
USD
1.00000000
1.27000000
USD
2025-11-25
XXXX
289616.30000000
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 3.375% 02/15/2030
15135BAV3
5670000.00000000
PA
USD
5827059.00000000
0.014063775245
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.03375000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 2007 3
N/A
BAYC 2007-3 A2 1ML+29 7/37
07325YAB4
31746.74510000
PA
USD
29146.36000000
0.000070345581
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.00407630
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS ALL AM PIPELN/PAA FIN C 3.8% 09/15/2030
72650RBN1
260000.00000000
PA
USD
270039.18000000
0.000651747362
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
0.03800000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NISOURCE FIN 4.8% 2/15/44
65473QBC6
190000.00000000
PA
USD
231988.65000000
0.000559911309
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
0.04800000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 2.406%/VAR 10/30/2025
95000U2H5
5834000.00000000
PA
USD
6149156.12000000
0.014841165949
Long
DBT
CORP
US
N
2
2025-10-30
Variable
0.02406000
N
N
N
N
N
N
NEWMONT CORP
549300VSP3RIX7FGDZ51
NEWMONT CORP 2.25% 10/01/2030
651639AY2
600000.00000000
PA
USD
598128.22000000
0.001443599739
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
0.02250000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC VAR 08/28/2028
28414HAG8
1895000.00000000
PA
USD
2198200.00000000
0.005305419207
Long
DBT
CORP
US
N
2
2028-08-28
Variable
0.05900000
N
N
N
N
N
N
QUEST DIAGNOSTICS INC
8MCWUBXQ0WE04KMXBX50
QUEST DIAGNOSTICS INC 4.7% 03/30/2045
74834LAY6
100000.00000000
PA
USD
120415.19000000
0.000290625539
Long
DBT
CORP
US
N
2
2045-03-30
Fixed
0.04700000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2043#MA1225
36179NLE6
125181.78300000
PA
USD
138543.75000000
0.000334379343
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.04000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.375% 02/01/2025
404119BR9
305000.00000000
PA
USD
342362.50000000
0.000826301784
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.05375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2047#Q50031
3132XSA91
8186060.23210000
PA
USD
8829701.50000000
0.021310739667
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.03500000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD) 3.073/VAR 05/22/2028
780097BP5
5799000.00000000
PA
USD
6148743.55000000
0.014840170200
Long
DBT
CORP
GB
N
2
2028-05-22
Variable
0.03073000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERGY COMPANY
549300JD0S5IZJE9LY15
BERKSHIRE HATHAWAY ENERGY COMPANY 3.7% 07/15/2030 144A
084659AU5
1280000.00000000
PA
USD
1453820.62000000
0.003508838068
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2046#Q39678
3132QWXG9
237106.18540000
PA
USD
259849.34000000
0.000627153889
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 3.4% 09/18/2029
455780CK0
420000.00000000
PA
USD
448087.50000000
0.001081472126
Long
DBT
NUSS
ID
N
2
2029-09-18
Fixed
0.03400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2% 09/01/2050#SD8090
3132DV7B5
21239624.21420000
PA
USD
21462927.00000000
0.051801394396
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
0.02000000
N
N
N
N
N
N
VOLT XCIV LLC
N/A
VOLT XCIV LLC 2.2395% 02/27/2051 144A
92873AAA6
6441123.06000000
PA
USD
6437789.13000000
0.015537790058
Long
ABS-CBDO
CORP
US
N
2
2051-02-27
Fixed
0.02239500
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.125% 06/16/2025
345397A60
135000.00000000
PA
USD
145800.00000000
0.000351892512
Long
DBT
CORP
US
N
2
2025-06-16
Fixed
0.05125000
N
N
N
N
N
N
XCEL ENERGY INC
LGJNMI9GH8XIDG5RCM61
XCEL ENERGY INC 4% 06/15/2028
98389BAV2
2450000.00000000
PA
USD
2786294.30000000
0.006724801791
Long
DBT
CORP
US
N
2
2028-06-15
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
3569837.08310000
PA
USD
3991098.56000000
0.009632631680
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18363
3132J9WZ7
52280.71600000
PA
USD
57806.02000000
0.000139516499
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2032#MA3154
31418CQG2
57788.67800000
PA
USD
60697.23000000
0.000146494518
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 10/41 #005204
36202FX92
2074656.29690000
PA
USD
2319477.77000000
0.005598126609
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/42#G07184
3128M9J52
406511.12500000
PA
USD
450060.91000000
0.001086235008
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
N
N
N
N
N
N
TAMPA ELECTRIC CO
WS423EPRKJIIJUITXD73
TAMPA ELECTRIC CO 4.45% 06/15/2049
875127BF8
600000.00000000
PA
USD
738587.67000000
0.001782602679
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
0.04450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 12/39 #890385
31410LF23
271226.20600000
PA
USD
323849.00000000
0.000781618917
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.06000000
N
N
N
N
N
N
UNIVERSITY MI UNIV REVS
N/A
UNIV MICH REVS 2.437% 4/1/2040
914455UF5
1050000.00000000
PA
USD
1051407.00000000
0.002537601170
Long
DBT
MUN
US
N
2
2040-04-01
Fixed
0.02437000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 01/01/2033#ZS8682
3132A9UF2
407222.64300000
PA
USD
431953.27000000
0.001042531696
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.03000000
N
N
N
N
N
N
PIMCO FDS PAC INVT MGMT SER
549300F3V4IM7FBY9U59
PIMCO Total Return Instl
693390700
598323834.31500000
NS
USD
6204618161.85000000
14.97502519031
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2039#AA8725
31416SVT5
133319.78520000
PA
USD
152638.56000000
0.000368397574
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
BACARDI LTD
549300R32WTQNHNN5055
BACARDI LTD 5.3% 05/15/2048 144A
067316AH2
1050000.00000000
PA
USD
1323000.00000000
0.003193098722
Long
DBT
CORP
BM
N
2
2048-05-15
Fixed
0.05300000
N
N
N
N
N
N
MID AMERICA APTS LP
549300FXWGE3QSYCUJ38
MID AMERICA APTS LP 4% 11/15/2025
59523UAM9
1296000.00000000
PA
USD
1447406.79000000
0.003493358104
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2045#MA2189
31418BNF9
35670.12590000
PA
USD
37842.09000000
0.000091332977
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.03000000
N
N
N
N
N
N
Fidelity Salem Street Trust
S4W85DGKOEJ24DPRB829
Fidelity U.S. Bond Index Fund
316146356
7447929.90800000
NS
USD
90343389.78000000
0.218046381331
Long
EC
RF
US
N
1
N
N
N
1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC
N/A
1011778 BC ULC/NEW RED FIN INC 5.75% 04/15/2025 144A
68245XAK5
90000.00000000
PA
USD
95962.50000000
0.000231608266
Long
DBT
CORP
CA
N
2
2025-04-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AB6903
31417DU50
203466.11700000
PA
USD
220178.88000000
0.000531408088
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE CABINET OF MINISTERS 6.75% 06/20/2026 REGS
N/A
950000.00000000
PA
1221801.55000000
0.002948853339
Long
DBT
NUSS
UA
N
2
2026-06-20
Fixed
0.06750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNMA II 4.5% 6/45#MA2894
36179RGB9
130748.07190000
PA
USD
144992.20000000
0.000349942863
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 6/37 #939637
31413ALS0
3633.86640000
PA
USD
4327.33000000
0.000010444135
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2040#C03520
31292K4D6
215865.35980000
PA
USD
238113.44000000
0.000574693666
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% 06/20/2046#MA3737
36179SEJ2
535786.06830000
PA
USD
586278.82000000
0.001415000870
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2039#
312936EZ6
374953.05870000
PA
USD
413172.51000000
0.000997203789
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
FIFTH THIRD BANK 8.25 3/1/38
316773CH1
603000.00000000
PA
USD
999114.69000000
0.002411392169
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
0.08250000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 3.65% 05/24/2021
87166FAC7
5843000.00000000
PA
USD
5870360.96000000
0.014168285776
Long
DBT
CORP
US
N
2
2021-05-24
Fixed
0.03650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 11/32#ZA3931
31329MLL2
2482405.57300000
PA
USD
2639152.85000000
0.006369671650
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#BC6149
3140F1ZP0
306698.80600000
PA
USD
331947.39000000
0.000801164616
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 08/01/2046#Q42260
3132WFQN2
89018.03240000
PA
USD
95835.56000000
0.000231301892
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03000000
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
AKER BP ASA 2.875% 01/15/2026 144A
00973RAG8
3870000.00000000
PA
USD
4012768.05000000
0.009684931620
Long
DBT
CORP
NO
N
2
2026-01-15
Fixed
0.02875000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPER LLC/CAP CORP 6.484% 10/23/2045
161175BA1
1295000.00000000
PA
USD
1735927.51000000
0.004189711197
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
0.06484000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783262
36241LTT3
50173.30770000
PA
USD
57329.72000000
0.000138366935
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
PPL ELEC UTILS CORP
N/A
PPL ELEC UTILS CORP 4.15% 10/01/2045
69351UAT0
555000.00000000
PA
USD
645671.47000000
0.001558346746
Long
DBT
CORP
US
N
2
2045-10-01
Fixed
0.04150000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3% 09/15/23
00912XAT1
800000.00000000
PA
USD
839252.35000000
0.002025559793
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.03000000
N
N
N
N
N
N
CFMT 2020-HB4 LLC
N/A
CFMT 2020-HB4 A LLC 0% 12/26/2030 144A
12529LAA8
4160253.81000000
PA
USD
4159621.45000000
0.010039366544
Long
ABS-CBDO
CORP
US
N
2
2030-12-26
Fixed
0.00946100
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG ENERGY CORP 7.125% 02/01/2027 144A
552704AE8
220000.00000000
PA
USD
230934.00000000
0.000557365880
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
0.07125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/40 #AE6921
31419HVP4
27744.79470000
PA
USD
30583.58000000
0.000073814353
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
BXMT 2020-FL3 LTD
N/A
BXMT 2020-FL3 LTD STEP 03/15/2037 144A
05608XAA0
20100000.00000000
PA
USD
20137402.08000000
0.048602201706
Long
ABS-MBS
CORP
KY
N
2
2037-03-15
Variable
0.01508250
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TRANSDIGM INC 6.25% 03/15/2026 144A
893647BE6
915000.00000000
PA
USD
964309.35000000
0.002327388475
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.06250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AR5169
3138W2W76
415852.38500000
PA
USD
451180.21000000
0.001088936471
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 4% 08/47#MA3088
31418CNE0
893177.56710000
PA
USD
966646.16000000
0.002333028434
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.04000000
N
N
N
N
N
N
NAVISTAR INTL CORP NEW
WNDD3CRVXJGC8I7GX671
NAVISTAR INTL CORP NEW 9.5% 05/01/2025 144A
63934EAW8
700000.00000000
PA
USD
783125.00000000
0.001890094812
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.09500000
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
142532.16200000
PA
USD
15224.36000000
0.000036744432
Long
ABS-CBDO
USGSE
US
N
2
2041-06-25
Variable
0.06432370
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 08/01/2031#V61273
3132KFMW9
1318647.45100000
PA
USD
1386215.61000000
0.003345671423
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
STANLEY BLACK and DECKER INC
549300DJ09SMTO561131
STANLEY BLACK and DECKER INC 2.75% 11/15/2050
854502AN1
865000.00000000
PA
USD
811265.33000000
0.001958012312
Long
DBT
CORP
US
N
2
2050-11-15
Fixed
0.02750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#G08567
3128MJTZ3
364680.04190000
PA
USD
401953.51000000
0.000970126409
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BM4980
3140J9RA1
5192423.17800000
PA
USD
5747715.45000000
0.013872277294
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2044#AW6505
3138XWGP7
836754.80410000
PA
USD
929986.36000000
0.002244548947
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04500000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 5.2% 05/12/2026
06738EAP0
1701000.00000000
PA
USD
1935278.73000000
0.004670851126
Long
DBT
CORP
GB
N
2
2026-05-12
Fixed
0.05200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25069
3132M5JN3
115340.77550000
PA
USD
128297.73000000
0.000309650277
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
LEVEL 3 FINANCING INC 3.625% 01/15/2029 144A
527298BS1
135000.00000000
PA
USD
132821.10000000
0.000320567562
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
0.03625000
N
N
N
N
N
N
BAYVIEW COML ASSET TR
N/A
BAYC 2005-3A A2 1ML+40 11/35
07324SCC4
20821.08960000
PA
USD
19836.61000000
0.000047876231
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
0.00517630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2045#AS5393
3138WE7F0
186315.71640000
PA
USD
206434.63000000
0.000498235943
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 9/39 #AD0242
31418MHU9
436106.55440000
PA
USD
508191.57000000
0.001226535036
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 5.00% 8/40 #G05969
3128M76E1
132173.45470000
PA
USD
152234.94000000
0.000367423425
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.05000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
BAUSCH HEALTH COS INC 5.25% 02/15/2031 144A
071734AL1
5021000.00000000
PA
USD
5083762.50000000
0.012269807667
Long
DBT
CORP
CA
N
2
2031-02-15
Fixed
0.05250000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 4.85% 03/15/2044
29379VBA0
2725000.00000000
PA
USD
3199300.37000000
0.007721603873
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
0.04850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2044#AW4740
3138XUHS4
68926.88220000
PA
USD
76606.74000000
0.000184892580
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 15YR 3.0% 10/01/2027#AP6647
3138MAL55
750646.23070000
PA
USD
794590.94000000
0.001917768190
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 3.0% 10/01/2042#AB6694
31417DNL3
319436.22650000
PA
USD
341182.74000000
0.000823454400
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
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
7152924.80000000
0.017263790658
Long
ABS-CBDO
CORP
KY
N
2
2032-05-15
Variable
0.01523750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4% 01/01/2036#G30933
3132J4HK8
2416185.16610000
PA
USD
2642738.77000000
0.006378326372
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.04000000
N
N
N
N
N
N
PRUDENTIAL FINL INC
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FINL INC 5.375% 05/15/2045
744320AV4
5278000.00000000
PA
USD
5851652.57000000
0.014123132536
Long
DBT
CORP
US
N
2
2045-05-15
Variable
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 07/01/2028#AU1660
3138X0Z27
277956.81900000
PA
USD
291077.99000000
0.000702525138
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2045#Q37467
3132QUJM6
4158306.43040000
PA
USD
4537238.34000000
0.010950755818
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.03500000
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 5.103% 04/23/2048 144A
74727PAY7
1200000.00000000
PA
USD
1522875.00000000
0.003675502809
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
0.05103000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
SPRINT CAPITAL CORP 8.75% 03/15/2032
852060AT9
555000.00000000
PA
USD
825840.00000000
0.001993188699
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
0.08750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2043#MA0852
36179M5M8
338765.33780000
PA
USD
369859.12000000
0.000892665671
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% 08/01/2028#AS0290
3138W9KC3
191536.59250000
PA
USD
200578.23000000
0.000484101352
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2042#AO5544
3138LWES6
185069.67460000
PA
USD
206962.57000000
0.000499510142
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04500000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP A 1ML+82.15 12/15/2029 144A
05607QAA6
8794174.11000000
PA
USD
8800794.36000000
0.021240971450
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.00912000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 2.2 07/18/2024
N/A
13700000.00000000
NC
USD
295512.56000000
0.000713228101
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
13700000.00000000
USD
1.00000000
2.20000000
USD
2024-07-18
XXXX
-72332.44000000
N
N
N
UST BILLS
N/A
UST BILLS 0% 04/01/2021
9127964P1
152000000.00000000
PA
USD
151995091.92000000
0.366844545616
Long
DBT
UST
US
N
2
2021-04-01
Fixed
0.00000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8985
3617M76W3
206499.95900000
PA
USD
225453.68000000
0.000544138970
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 5.0% 03/01/2044#AW0779
3138XP2M4
164765.10670000
PA
USD
186315.25000000
0.000449677238
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.05000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 2.45% 02/15/2031 144A
11135FBH3
12129000.00000000
PA
USD
11779016.61000000
0.028428996894
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.02450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2042#AP9743
3138MDZH8
219317.60030000
PA
USD
245261.86000000
0.000591946584
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 9/41 #Q03295
3132GJKG3
182800.52000000
PA
USD
202462.60000000
0.000488649334
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER PARTNERS MLP 4.75% 01/15/2026
29273RBG3
250000.00000000
PA
USD
279584.27000000
0.000674784713
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.04750000
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
5323339.32000000
0.012848033244
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.02450000
N
N
N
N
N
N
LEXINGTON CORP PPTYS TR REIT
549300S4MH2ICXDBFV43
LEXINGTON CORP PPTYS TR REIT 2.7% 09/15/2030
529043AE1
894000.00000000
PA
USD
899645.77000000
0.002171321057
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2049#CA4536
3140QCBE5
3724935.69300000
PA
USD
3957568.36000000
0.009551705574
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
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
995802.00000000
0.002403396896
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.05625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/01/2047#G08792
3128MJ3A6
2172632.50180000
PA
USD
2312057.72000000
0.005580218104
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.2% 03/15/48
674599CN3
125000.00000000
PA
USD
106562.50000000
0.000257191672
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
0.04200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2048#Q58998
3132Y27L4
236912.02000000
PA
USD
257593.80000000
0.000621710078
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% 10/01/2041#AB3738
31417AEL9
802498.06070000
PA
USD
877339.99000000
0.002117485412
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.03500000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.2% 09/15/2023
29278NAC7
1452000.00000000
PA
USD
1563780.77000000
0.003774230067
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.04200000
N
N
N
N
N
N
VEREIT OPER PARTNERSHIP LP
5493005TQOUJE1LCS698
VEREIT OPER PARTNERSHIP LP 3.4% 01/15/2028
92340LAF6
1880000.00000000
PA
USD
2030770.49000000
0.004901323248
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.03400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/44#G60153
31335AE20
533214.66400000
PA
USD
594759.53000000
0.001435469308
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04500000
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
140267.93000000
0.000338540701
Long
DBT
CORP
US
N
2
2042-09-01
Fixed
0.03650000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 5.5% 02/15/2049
55336VAT7
4516000.00000000
PA
USD
5487083.07000000
0.013243233515
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/01/2039#A86705
312933NW0
265511.64100000
PA
USD
296707.90000000
0.000716113088
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04500000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 4.5% 01/30/2026
254709AP3
6463000.00000000
PA
USD
7358085.11000000
0.017758950994
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
0.04500000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 4.337% 01/10/2028
06738EAU9
250000.00000000
PA
USD
282707.20000000
0.000682321994
Long
DBT
CORP
GB
N
2
2028-01-10
Fixed
0.04337000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/34 #725228
31402CVV1
91765.38850000
PA
USD
107103.99000000
0.000258498574
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/42#AB5369
31417B6F9
62742.39720000
PA
USD
68593.83000000
0.000165553190
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
GLOBAL NET LEASE INC / GLOBAL NET LEASE OPERATING PARTNERSHIP LP
N/A
GLOBAL NET LEASE INC / GLOBAL NET LEASE OPERATING PARTNERSHIP LP 3.75% 12/15/2027 144A
37892AAA8
275000.00000000
PA
USD
274863.68000000
0.000663391432
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2047#AX5815
36196HN89
38482.12980000
PA
USD
41912.45000000
0.000101156908
Long
ABS-MBS
USGA
US
N
2
2047-01-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 12/15/2040#737704
3620ARRZ6
53157.40820000
PA
USD
58631.80000000
0.000141509543
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 06/01/2043#AB9749
31417GZP4
364400.44000000
PA
USD
389208.02000000
0.000939364800
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 4.5% 02/01/2045#AL7147
3138EP5H3
969131.39180000
PA
USD
1081958.06000000
0.002611337036
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2046#784232
3622A2VZ2
4444883.95390000
PA
USD
4873051.18000000
0.011761249809
Long
ABS-MBS
USGA
US
N
2
2046-04-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2044#G60271
31335AJQ2
1360005.78700000
PA
USD
1489463.38000000
0.003594862899
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 15YR 2.5% 3/1/28 #J22814
31307BDT4
425713.71500000
PA
USD
445897.82000000
0.001076187270
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 07/15/2043#AE6719
36181APC0
301109.82170000
PA
USD
325283.91000000
0.000785082114
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 01/47#MA4263
36179SWY9
691364.94130000
PA
USD
748309.56000000
0.001806066742
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
0.04000000
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
2450000.00000000
PA
USD
2473765.00000000
0.005970503296
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
0.04000000
N
N
N
N
N
N
SUNOCO LP / SUNOCO FIN CORP
N/A
SUNOCO LP / SUNOCO FIN CORP 4.5% 05/15/2029 144A
86765LAR8
255000.00000000
PA
USD
255000.00000000
0.000615449867
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2% 04/01/2036 #TBA
01F020448
53350000.00000000
PA
USD
55130033.42000000
0.133057928412
Long
ABS-MBS
USGA
US
N
2
2036-04-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 05/01/2029#AS2369
3138WBT39
353927.67930000
PA
USD
380743.22000000
0.000918934761
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.0% 11/01/2031#MA0908
31418AAJ7
995588.84880000
PA
USD
1083703.74000000
0.002615550285
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.04000000
N
N
N
N
N
N
KINROSS GOLD CORP
549300UEBMAQDN0K0R06
KINROSS GOLD CORP 4.5% 07/15/2027
496902AQ0
4140000.00000000
PA
USD
4728959.13000000
0.011413479483
Long
DBT
CORP
CA
N
2
2027-07-15
Fixed
0.04500000
N
N
N
N
N
N
ALABAMA POWER and LIGHT
0RL818ELFOHP5JHOFU19
ALABAMA POWER CO 4.1% 1/15/42
010392FG8
225000.00000000
PA
USD
254852.71000000
0.000615094378
Long
DBT
CORP
US
N
2
2042-01-15
Fixed
0.04100000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 12/31/2022
91282CBD2
214595000.00000000
PA
USD
214586617.92000000
0.517911001939
Long
DBT
UST
US
N
2
2022-12-31
Fixed
0.00125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2040#AE7856
31419JWS3
47248.18910000
PA
USD
52099.30000000
0.000125743165
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 15YR 3% 03/01/2028#MA1387
31418ARH3
311420.87360000
PA
USD
327380.66000000
0.000790142681
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.03000000
N
N
N
N
N
N
BELLEMEADE RE 2019-4 LTD
N/A
BELLEMEADE RE 2019-4 LTD 1ML+140 10/25/2029 144A
07876LAA7
3882507.82800000
PA
USD
3888408.08000000
0.009384785240
Long
ABS-CBDO
CORP
BM
N
2
2029-10-25
Variable
0.01517630
N
N
N
N
N
N
DPL INC
N/A
DPL INC 4.35% 04/15/2029
233293AQ2
2480000.00000000
PA
USD
2758181.60000000
0.006656950977
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.04350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 02/01/2043#MA1340
31418AP28
410610.88440000
PA
USD
429133.46000000
0.001035726003
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2042#C03792
31292LF91
482135.42360000
PA
USD
526503.89000000
0.001270732349
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
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
4545443.65000000
0.010970559571
Long
DBT
MUN
US
N
2
2035-02-01
Fixed
0.06630000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 5.088%/VAR 06/20/2030
06738EBK0
13438000.00000000
PA
USD
15600096.13000000
0.037651282709
Long
DBT
CORP
GB
N
2
2030-06-20
Variable
0.05088000
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
1169890.65000000
0.002823564882
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
0.03250000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.596% 01/07/2022
345397ZM8
14820000.00000000
PA
USD
15264600.00000000
0.036841553107
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% 01/01/2047#BD2440
3140F9WA9
297668.73280000
PA
USD
319569.32000000
0.000771289786
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.97/VAR 03/05/29
06051GHG7
10565000.00000000
PA
USD
11984615.99000000
0.028925216937
Long
DBT
CORP
US
N
2
2029-03-05
Variable
0.03970000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS INC 3.15% 03/15/2025
00440EAS6
1765000.00000000
PA
USD
1917711.33000000
0.004628451699
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.03150000
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
1488822.50210000
PA
USD
1491389.83000000
0.003599512442
Long
ABS-CBDO
CORP
US
N
2
2029-06-25
Fixed
0.02651300
N
N
N
N
N
N
NORTONLIFELOCK INC
YF6ZV0M6AU4FY94MK914
SYMANTEC CORP 5% 04/15/2025 144A
871503AU2
370000.00000000
PA
USD
374625.00000000
0.000904168260
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.05000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 5.2% 07/15/2045
50077LAM8
4602000.00000000
PA
USD
5530392.39000000
0.013347761810
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
0.05200000
N
N
N
N
N
N
THORNBURG MTG SECS TR
N/A
TMST 2003-4 A1 1ML+64 9/43
885220DW0
1934814.50950000
PA
USD
1881657.22000000
0.004541434063
Long
ABS-CBDO
CORP
US
N
2
2043-09-25
Variable
0.00437630
N
N
N
N
N
N
SERVICE PPTYS TR
529900IS770AG1K9QG27
HOSPITALITY PROP TRUST 4.95% 02/15/2027
44106MAW2
485000.00000000
PA
USD
480319.75000000
0.001159265593
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
0.04950000
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORPORATION 5.75% 03/01/2027 144A
143658BN1
650000.00000000
PA
USD
659750.00000000
0.001592325685
Long
DBT
CORP
PA
N
2
2027-03-01
Fixed
0.05750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2041#Q04127
3132GKHC3
195641.09700000
PA
USD
216676.66000000
0.000522955378
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 5/42 #766750
36176HTF1
151398.66180000
PA
USD
164925.50000000
0.000398052459
Long
ABS-MBS
USGA
US
N
2
2042-05-15
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
8474141.35000000
0.020452584973
Long
ABS-CBDO
CORP
US
N
2
2050-01-15
Fixed
0.02836000
N
N
N
N
N
N
PACIFICORP
SGY07Y7FNYBNLM6Z1M11
PACIFICORP 5.75 4/1/37
695114CD8
900000.00000000
PA
USD
1219392.61000000
0.002943039293
Long
DBT
CORP
US
N
2
2037-04-01
Fixed
0.05750000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.987% 10/30/2056 144A
92343VFM1
1660000.00000000
PA
USD
1496053.40000000
0.003610768103
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
0.02987000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2046#BC1552
3140EVWN3
102383.79010000
PA
USD
112277.17000000
0.000270984193
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% 12/01/2039#AX5330
3138Y64Q4
450919.00470000
PA
USD
495900.57000000
0.001196870352
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.04000000
N
N
N
N
N
N
HUDBAY MINERALS INC
549300WI524AL577IX21
HUDBAY MINERALS INC 4.5% 04/01/2026 144A
443628AJ1
55000.00000000
PA
USD
55722.15000000
0.000134487018
Long
DBT
CORP
CA
N
2
2026-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2048#Q54499
3132XW7M7
17894.94600000
PA
USD
19517.05000000
0.000047104964
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
NIELSEN FINANCE LLC/ NIELSEN FINANCE CO
N/A
NIELSEN FINANCE 5.0% 04/15/22 144A
65409QBB7
215000.00000000
PA
USD
215559.00000000
0.000520257874
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 01/20/2048#MA4964
36179TQR9
649407.09530000
PA
USD
708435.86000000
0.001709830415
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
0.04500000
N
N
N
N
N
N
MYLAN INC
30ZMPDNA1RHIBH89C294
MYLAN NV 4.2% 11/29/2023
628530BD8
1100000.00000000
PA
USD
1194561.36000000
0.002883108354
Long
DBT
CORP
US
N
2
2023-11-29
Fixed
0.04200000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031
681936BM1
3399000.00000000
PA
USD
3483356.99000000
0.008407182732
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
0.03375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #711188
36297GCZ1
3467.89200000
PA
USD
3962.53000000
0.000009563680
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 20YR 3.5% 01/01/2034#AS1612
3138WAYJ0
325329.82420000
PA
USD
350790.53000000
0.000846643078
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/42 #MA0462
36179MQP8
144532.26560000
PA
USD
158024.08000000
0.000381395682
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.03500000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 2/15/41
912834JP4
590000.00000000
PA
USD
384526.01000000
0.000928064634
Long
DBT
UST
US
N
2
2041-02-15
Fixed
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/47#BJ2132
3140H3LN4
205421.75300000
PA
USD
224116.22000000
0.000540910971
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
INVITATION HOMES TRUST 2018-SFR4
N/A
INVITATION HOMES TRUST 2018-SFR4 A 1ML+110 01/17/2038 144A
46187XAA3
5499612.42000000
PA
USD
5543726.46000000
0.013379943974
Long
ABS-CBDO
CORP
US
N
2
2038-01-17
Variable
0.01206000
N
N
N
N
N
N
OCTAGON INVT PARTNERS 31 LTD / OCTAGON INVT PARTNERS 31 LLC
N/A
OCTAGON INVT PARTNERS 31 LTD / OCTAGON INVT PARTNERS 31 LLC 3ML+105 07/20/2030 144A
67575XAN1
3000000.00000000
PA
USD
2999247.00000000
0.007238769285
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Variable
0.01274000
N
N
N
N
N
N
VULCAN MATERIALS CO
549300Q8LSNHAVWBNI21
VULCAN MATERIALS CO 4.5% 06/15/2047
929160AV1
795000.00000000
PA
USD
949996.78000000
0.002292844674
Long
DBT
CORP
US
N
2
2047-06-15
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
310424.56400000
PA
USD
346846.52000000
0.000837124096
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 5/46#Q40310
3132WDKY9
57729.69930000
PA
USD
61880.37000000
0.000149350060
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
NEWFIELD EXPLORATION CO
T8W3X1PFLPW2YE0UIP44
NEWFIELD EXPL CO 5.375% 01/01/2026
651290AR9
310000.00000000
PA
USD
343820.18000000
0.000829819937
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
0.05375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2045#G07949
3128MAEW5
2311273.30600000
PA
USD
2549762.74000000
0.006153926037
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
N
N
N
N
N
N
REPUBLICA ORIENTAL DEL URUGUAY
549300RDR012H2V82H43
URUGUAY REPUBLICA ORIENTAL DL 4.975% 04/20/2055
760942BD3
525000.00000000
PA
USD
638859.38000000
0.001541905570
Long
DBT
NUSS
UY
N
2
2055-04-20
Fixed
0.04975000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13381
3132HPXJ8
41570.86280000
PA
USD
45790.86000000
0.000110517563
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
HORMEL FOODS CORP
MSD54751OJP1FS2ND863
HORMEL FOODS CORP 1.8% 06/11/2030
440452AF7
865000.00000000
PA
USD
855022.69000000
0.002063621964
Long
DBT
CORP
US
N
2
2030-06-11
Fixed
0.01800000
N
N
N
N
N
N
UPSTART SECURITIZATION TR 2021-1
N/A
UPSTART SECURITIZATION TR 2021-1 0.87% 03/20/2031 144A
91681NAA2
910000.00000000
PA
USD
910941.03000000
0.002198582493
Long
ABS-CBDO
CORP
US
N
2
2031-03-20
Fixed
0.00870000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
GILEAD SCIENCES INC 4.5% 02/01/2045
375558BA0
565000.00000000
PA
USD
672763.89000000
0.001623735085
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
0.04500000
N
N
N
N
N
N
UBS COML MTG TR 2012-C1
N/A
UBSCM 2012-C1 AS 4.171% 5/45
90269GAE1
6570000.00000000
PA
USD
6754800.96000000
0.016302907268
Long
ABS-MBS
CORP
US
N
2
2045-05-10
Fixed
0.04171000
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
818686.75000000
0.001975924123
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2047#AS8821
3138WJYT9
2690713.39590000
PA
USD
2932219.18000000
0.007076995705
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04000000
N
N
N
N
N
N
CARRINGTON MTG LN TR
N/A
CARRINGTON MTG LN TR STEP 12/25/2035
144531EG1
10000000.00000000
PA
USD
9358565.00000000
0.022587167004
Long
ABS-CBDO
CORP
US
N
2
2035-12-25
Variable
0.00852630
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 01/20/2051#MA7135
36179V4U1
1000000.83400000
PA
USD
1016674.45000000
0.002453773157
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2043#AS0255
3138W9H94
375837.92280000
PA
USD
419475.67000000
0.001012416648
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.0% 11/01/2028#AU6440
3138X6EN1
43732.29750000
PA
USD
46319.83000000
0.000111794247
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.0% 06/01/2033#C91709
3128P73S0
537900.31700000
PA
USD
574359.85000000
0.001386234091
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERSINCOME TAX REV
N/A
NEW YORK ST D 3.11% 2/15/2039
64990FRB2
3250000.00000000
PA
USD
3430277.50000000
0.008279073849
Long
DBT
MUN
US
N
2
2039-02-15
Fixed
0.03110000
N
N
N
N
N
N
CARRINGTON MTG LN TR
N/A
CARRINGTON MTG LN TR 1ML+70.5 12/25/2035
144531EF3
4861345.63000000
PA
USD
4814602.82000000
0.011620183004
Long
ABS-CBDO
CORP
US
N
2
2035-12-25
Variable
0.00822630
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 05/15/2025
912828XB1
33680000.00000000
PA
USD
35899459.46000000
0.086644382572
Long
DBT
UST
US
N
2
2025-05-15
Fixed
0.02125000
N
N
N
N
N
N
PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2017-1
549300ZWX1MRCB6KO574
PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2017-1 3ML+124 02/14/2034 144A
70017KAL3
2000000.00000000
PA
USD
2001568.00000000
0.004830842194
Long
ABS-CBDO
CORP
KY
N
2
2034-02-14
Variable
0.01437630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2041#AI6151
3138AKZR3
27052.87290000
PA
USD
30599.72000000
0.000073853308
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.04500000
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
271618.30000000
0.000655558614
Long
DBT
MUN
US
N
2
2039-07-01
Fixed
0.05716000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/41 #AJ8098
3138E07L7
78111.89360000
PA
USD
86489.81000000
0.000208745655
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 08/47#MA4654
36179TE35
590548.93640000
PA
USD
646073.17000000
0.001559316261
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% 05/01/2046#BC9751
3140F5ZR7
136654.71250000
PA
USD
149731.58000000
0.000361381494
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6.25% 04/15/2049
29279FAA7
1925000.00000000
PA
USD
2301906.24000000
0.005555717214
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 3.5% 04/20/2046#MA3597
36179R7J2
1330587.58850000
PA
USD
1432341.75000000
0.003456998195
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 4.271%/VAR 07/23/2029
06051GHM4
3660000.00000000
PA
USD
4244967.81000000
0.010245352450
Long
DBT
CORP
US
N
2
2029-07-23
Variable
0.04271000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 7/37 #G03508
3128M5GR5
2393.27770000
PA
USD
2855.41000000
0.000006891614
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 6.00% 1/42 #AL2128
3138EJLJ5
7066.85600000
PA
USD
8443.53000000
0.000020378703
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 30YR 3.0% 01/01/2043#AB7755
31417ETM3
283966.99750000
PA
USD
307292.13000000
0.000741658433
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% 12/45#G08681
3128MJXK1
1110501.75730000
PA
USD
1198467.27000000
0.002892535380
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 15YR 3.5% 03/01/2031#BC4411
3140EY3V1
1576580.50160000
PA
USD
1700686.87000000
0.004104656895
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/45#AY8537
3138YNPX9
653153.23850000
PA
USD
716879.96000000
0.001730210494
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 03/01/2044#MA1885
31418BCX2
255950.54310000
PA
USD
289427.11000000
0.000698540691
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 30YR 3% 04/50#CA5539
3140QDEM2
20003603.08000000
PA
USD
21309144.24000000
0.051430235262
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
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
613524.75000000
0.001480759709
Long
DBT
MUN
US
N
2
2049-12-31
Fixed
0.03922000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2040#AH0944
3138A2BN8
220174.54030000
PA
USD
242699.28000000
0.000585761724
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 3.5% 07/01/2032#C91467
3128P7TY9
7269827.59560000
PA
USD
7813924.03000000
0.018859131397
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
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
2914934.96000000
0.007035279740
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
0.02575000
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
691038.00000000
0.001667840177
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 15YR 2.5% 06/01/2031#G18604
3128MMU68
481615.39200000
PA
USD
505240.07000000
0.001219411505
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.02500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.04% 05/01/2027
097023CU7
4430000.00000000
PA
USD
5105722.52000000
0.012322808810
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.05040000
N
N
N
N
N
N
SAN DIEGO GAS and ELECTRIC CO
KNIRVXKVNJJ4P8OTMS63
SAN DIEGO GAS and ELECTRIC CO 3.32% 04/15/2050
797440BY9
910000.00000000
PA
USD
950495.88000000
0.002294049267
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
0.03320000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.905 10/28/2024
N/A
10000000.00000000
NC
USD
261269.10000000
0.000630580521
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
10000000.00000000
USD
1.00000000
1.90500000
USD
2024-10-28
XXXX
-12230.90000000
N
N
N
ENABLE MIDSTREAM PARTNERS LP
549300TLGDBYE711G509
ENABLE MIDSTREAM PARTNERS LP VAR 05/15/2024
292480AH3
1210000.00000000
PA
USD
1294390.93000000
0.003124049905
Long
DBT
CORP
US
N
2
2024-05-15
Variable
0.03900000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+98.535 05/15/2036 144A
12653VAA4
5263000.00000000
PA
USD
5271397.64000000
0.012722670499
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.01092000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 08/01/2046#Q45458
3132WKB49
813907.68320000
PA
USD
892772.24000000
0.002154731594
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.04000000
N
N
N
N
N
N
GENESEE and WYOMING INC
G617XSG94Z7G0RMW3L02
GENESEE and WYOMING TERM 1LN 12/30/2026
55316HAB1
725000.00000000
PA
USD
725601.75000000
0.001751260786
Long
LON
CORP
US
N
2
2026-12-30
Variable
0.02253880
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 3.25% 10/15/2026
92277GAJ6
1900000.00000000
PA
USD
2055853.92000000
0.004961862831
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
0.03250000
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
10345002.27770000
PA
USD
384763.74000000
0.000928638402
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
0.01052754
N
N
N
N
N
N
WEINGARTEN REALTY INVESTORS
549300JMKTJNB8GWHU88
WEINGARTEN REALTY INVESTORS 3.375% 10/15/2022
948741AH6
472000.00000000
PA
USD
487008.65000000
0.001175409446
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 4.00% 11/40 #AE7533
31419JLP1
20463.53070000
PA
USD
22562.70000000
0.000054455728
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 4.39% 08/15/2037
05526DBD6
1000000.00000000
PA
USD
1067738.96000000
0.002577018827
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
0.04390000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 8/15/39
912834EP9
8745000.00000000
PA
USD
5920405.14000000
0.014289068850
Long
DBT
UST
US
N
2
2039-08-15
Fixed
0.00000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 06/20/2045#MA2891
36179RF87
180713.09140000
PA
USD
191258.46000000
0.000461607818
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
0.03000000
N
N
N
N
N
N
PENNYMAC FINANCIAL SERVICES INC
549300W1D516HBDEU871
PENNYMAC FINANCIAL SERVICES INC 4.25% 02/15/2029 144A
70932MAB3
1200000.00000000
PA
USD
1185264.00000000
0.002860668907
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.04250000
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
2060033.39000000
0.004971950102
Long
ABS-MBS
CORP
US
N
2
2048-07-15
Fixed
0.03550800
N
N
N
N
N
N
ACCREDITED MORTGAGE LOAN TRUST
N/A
ACCR 2006-1 M1 1ML+33 4/36
004375EX5
2414000.00000000
PA
USD
2237801.42000000
0.005400998379
Long
ABS-CBDO
CORP
US
N
2
2036-04-25
Variable
0.00625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/32#MA3125
31418CPK4
538782.37400000
PA
USD
572176.11000000
0.001380963572
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 3.0% 08/20/2042#MA0317
36179MK66
248103.25320000
PA
USD
264752.02000000
0.000638986649
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
0.03000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC 5.75% 01/15/2028
629377CE0
245000.00000000
PA
USD
260312.50000000
0.000628271739
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 6/38 #889705
31410KNW0
91023.98550000
PA
USD
105975.99000000
0.000255776113
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 02/01/2034#G16752
3128MFWM6
5293946.64300000
PA
USD
5699936.23000000
0.013756960767
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.375% 07/01/2025
00914AAH5
7608000.00000000
PA
USD
8087794.56000000
0.019520125833
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.03375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 06/01/2048#SD0354
3132DMMB8
14875958.72000000
PA
USD
16116469.38000000
0.038897564467
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7741
31417ES77
1596241.39550000
PA
USD
1704910.00000000
0.004114849541
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
BERRY GLOBAL ESCROW CORP 4.875% 07/15/2026 144A
085770AA3
200000.00000000
PA
USD
213582.00000000
0.000515486327
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.04875000
N
N
N
N
N
N
ON SEMICONDUCTOR CORP
ZV20P4CNJVT8V1ZGJ064
ON SEMICONDUCTOR CORP 3.875% 09/01/2028 144A
682189AQ8
125000.00000000
PA
USD
130625.00000000
0.000315267211
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
0.03875000
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
1073949.06000000
0.002592007083
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03465000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPER LLC/CAP CORP 6.384% 10/23/2035
161175AZ7
2985000.00000000
PA
USD
3962565.23000000
0.009563765664
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
0.06384000
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
685000.00000000
PA
USD
774510.92000000
0.001869304481
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
0.03650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 9/38 #G04817
3128M6VJ4
102864.06740000
PA
USD
117617.53000000
0.000283873306
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
0.05000000
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
8761260.64000000
0.021145555674
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 5.0% 06/01/2041#AI5034
3138AJSY9
20926.29450000
PA
USD
24075.30000000
0.000058106432
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 2.522/VAR 04/22/2031
46647PBL9
1055000.00000000
PA
USD
1083733.68000000
0.002615622546
Long
DBT
CORP
US
N
2
2031-04-22
Variable
0.02522000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 12/20/2046#MA4125
36179SSN8
871478.96370000
PA
USD
912578.35000000
0.002202534212
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2045#AY5316
3138YJ4A1
383588.63930000
PA
USD
424170.55000000
0.001023747877
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2046#BC2276
3140EWQ65
68348.86290000
PA
USD
75060.23000000
0.000181160033
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2041#768109
36176KDN4
26597.27530000
PA
USD
29525.05000000
0.000071259561
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 7.125% 03/15/2033
023551AM6
1335000.00000000
PA
USD
1755722.87000000
0.004237487871
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
0.07125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2.5% 06/01/2050#RA2645
3133KH5E2
12026749.72900000
PA
USD
12475315.02000000
0.030109533223
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
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 4.125% 07/03/2023
00774MAF2
5132000.00000000
PA
USD
5458827.37000000
0.013175037567
Long
DBT
CORP
IE
N
2
2023-07-03
Fixed
0.04125000
N
N
N
N
N
N
REPUBLICA ORIENTAL DEL URUGUAY
549300RDR012H2V82H43
URUGUAY REPUBLICA ORIENTAL DL 4.375% 01/23/2031
917288BK7
610000.00000000
PA
USD
705312.50000000
0.001702292095
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
0.04375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2043#Q20534
3132JMSX8
140731.48770000
PA
USD
153462.40000000
0.000370385936
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 12/36 #003929
36202ELJ6
48909.91850000
PA
USD
55500.12000000
0.000133951143
Long
ABS-MBS
USGA
US
N
2
2036-12-20
Fixed
0.05000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN
N/A
TARGA RES P LP/TARGA RES P FIN 5.5% 03/01/2030
87612BBQ4
55000.00000000
PA
USD
58815.35000000
0.000141952546
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2046#G60440
31335APZ5
9926232.37300000
PA
USD
10861794.66000000
0.026215255218
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 1.5% 04/01/2051 #TBA
01F012643
18250000.00000000
PA
USD
17906098.83000000
0.043216886848
Long
ABS-MBS
USGA
US
N
2
2051-04-01
Fixed
0.01500000
N
N
N
N
N
N
OVINTIV INC
N/A
ALBERTA 8.125% 9/15/30
012873AH8
6179000.00000000
PA
USD
8209095.13000000
0.019812888263
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
0.08125000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS 2.25 11/15/22
369550AU2
650000.00000000
PA
USD
668156.38000000
0.001612614726
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% 08/20/2050#MA6820
36179VSH4
28133216.08400000
PA
USD
29366095.20000000
0.070875919176
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
0.03000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 5.15% 03/19/2029
87165BAP8
13451000.00000000
PA
USD
15970759.69000000
0.038545889920
Long
DBT
CORP
US
N
2
2029-03-19
Fixed
0.05150000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 1/41 #004946
36202FP75
952870.21700000
PA
USD
1065314.43000000
0.002571167154
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2047#Q51124
3132XTHA9
19533.37000000
PA
USD
21340.62000000
0.000051506202
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 4.5% 03/01/2042#AK4683
3138E9FZ8
42944.10300000
PA
USD
48051.03000000
0.000115972549
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#AL9489
3138ERRK8
483158.94700000
PA
USD
522330.43000000
0.001260659583
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
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 1ML+50 10/20/2049
38382AFL4
484322.82300000
PA
USD
488856.57000000
0.001179869455
Long
ABS-CBDO
USGA
US
N
2
2049-10-20
Variable
0.00611130
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
APACHE CORP MTN 5.25% 2/01/42
037411AY1
210000.00000000
PA
USD
218400.00000000
0.000527114709
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 05/01/43#AB9339
31417GLV6
70726.61690000
PA
USD
76624.53000000
0.000184935516
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
UPGRADE RECEIVABLES TRUST 2019-2
5493009DX1Z3IUWYTS52
UPGRADE RECEIVABLES TRUST 2019-2 2.77% 10/15/2025 144A
91532MAA5
309115.64210000
PA
USD
309505.56000000
0.000747000610
Long
ABS-CBDO
CORP
US
N
2
2025-10-15
Fixed
0.02770000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2% 02/01/2051#SD8128
3132DWA52
4000003.92760000
PA
USD
4040807.97000000
0.009752606777
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2042#Q09230
3132GUST2
669894.35820000
PA
USD
741451.20000000
0.001789513892
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04000000
N
N
N
N
N
N
NEWMONT CORP
549300VSP3RIX7FGDZ51
NEWMONT GOLDCORP CORP 5.45% 06/09/2044
651639AV8
185000.00000000
PA
USD
248252.95000000
0.000599165667
Long
DBT
CORP
US
N
2
2044-06-09
Fixed
0.05450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 8/39 #931836
31412QHM4
15289.20760000
PA
USD
16834.98000000
0.000040631710
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 9/38 #677307
36295QNY2
64599.96720000
PA
USD
74874.26000000
0.000180711189
Long
ABS-MBS
USGA
US
N
2
2038-09-15
Fixed
0.05500000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG ENERGY CORP 5.875% 02/01/2029 144A
552704AF5
300000.00000000
PA
USD
304590.00000000
0.000735136764
Long
DBT
CORP
CA
N
2
2029-02-01
Fixed
0.05875000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 1.625% 10/15/2024
3135G0W66
1295000.00000000
PA
USD
1351713.49000000
0.003262399560
Long
DBT
USGSE
US
N
2
2024-10-15
Fixed
0.01625000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 04/01/2051 #TBA
01F022642
77225000.00000000
PA
USD
79909773.46000000
0.192864546906
Long
ABS-MBS
USGA
US
N
2
2051-04-01
Fixed
0.02500000
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
31433356.22000000
0.075865313373
Long
DBT
CORP
US
N
2
2021-05-28
Variable
0.00530000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 05/01/2036#745512
31403DGV5
6379466.10090000
PA
USD
7530745.38000000
0.018175671544
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.06000000
N
N
N
N
N
N
ONEOK INC NEW
2T3D6M0JSY48PSZI1Q41
ONEOK INC NEW 3.1% 03/15/2030
682680BB8
1650000.00000000
PA
USD
1687539.84000000
0.004072926158
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
0.03100000
N
N
N
N
N
N
BRAZIL MINAS SPE
N/A
BRAZIL MINAS SP 5.333% 2/28 RGS
N/A
1526000.00000000
PA
USD
1652848.75000000
0.003989198210
Long
DBT
CORP
KY
N
2
2028-02-15
Fixed
0.05333000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.905 02/05/2026
N/A
-5000000.00000000
NC
USD
-192283.50000000
-0.00046408178
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 02/09/31 3MLV1.905%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2031-02-09
0.00000000
USD
0.00000000
USD
-5000000.00000000
USD
1.00000000
1.90500000
USD
2026-02-05
XXXX
-55658.50000000
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GRP AG 4.194/VAR 04/01/2031 144A
225401AP3
12540000.00000000
PA
USD
14292416.47000000
0.034495160070
Long
DBT
CORP
CH
N
2
2031-04-01
Variable
0.04194000
N
N
N
N
N
N
CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC
N/A
CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC 20-12A A 3ML+127 10/25/2032 144A
15033TAB1
3330000.00000000
PA
USD
3341758.23000000
0.008065430034
Long
ABS-CBDO
CORP
KY
N
2
2032-10-25
Variable
0.01510060
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34677
31307RFS9
34216.60400000
PA
USD
36687.03000000
0.000088545206
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
PG and E CORP
8YQ2GSDWYZXO2EDN3511
PG and E CORP 5% 07/01/2028
69331CAH1
1155000.00000000
PA
USD
1214193.75000000
0.002930491694
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2041#AI3724
3138AHD60
114759.22780000
PA
USD
131248.26000000
0.000316771467
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 5.012% 04/15/2049
92343VDS0
156000.00000000
PA
USD
197979.98000000
0.000477830401
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
0.05012000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A
83368RAZ5
5375000.00000000
PA
USD
5341980.09000000
0.012893023281
Long
DBT
CORP
FR
N
2
2026-12-14
Variable
0.01488000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2044#AV6341
3138XJBK2
136582.46090000
PA
USD
151109.08000000
0.000364706130
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 15YR 2.5% 09/01/2031#BC2863
3140EXFD0
1055200.61000000
PA
USD
1108969.20000000
0.002676529203
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
0.02500000
N
N
N
N
N
N
XYLEM INC
549300DF5MV96DRYLQ48
XYLEM INC 3.25% 11/01/2026
98419MAJ9
225000.00000000
PA
USD
248216.42000000
0.000599077500
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/34#C91760
3128P75V1
526381.31970000
PA
USD
567751.26000000
0.001370284068
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 01/48#CA1576
3140Q8XE0
410543.33220000
PA
USD
456285.29000000
0.001101257729
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.05000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES
8M3THTGWLTYZVE6BBY25
CENTURY TEL ENTP 6.875 1/15/28
156686AM9
15000.00000000
PA
USD
16918.20000000
0.000040832564
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.06875000
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
2444611.26000000
0.005900139902
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Fixed
0.03900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2042#AL2782
3138EKCU7
184034.02680000
PA
USD
205919.43000000
0.000496992493
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04500000
N
N
N
N
N
N
SPRINT SPECTRUM CO LLC
N/A
SPRINT SPEC 3.36% 3/20/2023 144A
85208NAA8
375000.00000000
PA
USD
377812.50000000
0.000911861384
Long
DBT
CORP
US
N
2
2023-03-20
Fixed
0.03360000
N
N
N
N
N
N
CHEVRON USA INC
VA8TZDWPEZYU430RZ444
CHEVRON USA INC 6% 03/01/2041
166756AT3
360000.00000000
PA
USD
512185.45000000
0.001236174381
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/44#G08596
3128MJUW8
58385.39550000
PA
USD
64832.45000000
0.000156474991
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
0.04500000
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
3406807.91820000
PA
USD
53374.12000000
0.000128819980
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Variable
0.00740370
N
N
N
N
N
N
VICI PPTYS 1 LLC
549300XI4XP4JVS3XU20
VICI TERM B 1LN 12/22/2024
92565EAB9
3600000.00000000
PA
USD
3574368.00000000
0.008626840434
Long
LON
CORP
US
N
2
2024-12-22
Variable
0.01861130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2048#BM3700
3140J8DE0
1118395.56800000
PA
USD
1224718.97000000
0.002955894617
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV 3.625% 10/15/2025 REGS
N/A
500000.00000000
PA
628160.09000000
0.001516082525
Long
DBT
CORP
NL
N
2
2025-10-15
Fixed
0.03625000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE INC 6.55% 05/01/2037
88732JAJ7
8522000.00000000
PA
USD
11595717.94000000
0.027986600258
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
0.06550000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AR3125
36192XPJ2
111846.15020000
PA
USD
122531.44000000
0.000295733170
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
40030792.85000000
PA
USD
2552867.74000000
0.006161420045
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
0.01065220
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2042#AJ6217
3138AX4B4
94450.85840000
PA
USD
104551.70000000
0.000252338548
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 4.709% 01/25/2029
35137LAH8
2509000.00000000
PA
USD
2944279.46000000
0.007106103539
Long
DBT
CORP
US
N
2
2029-01-25
Fixed
0.04709000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2042#AL5881
3138ENRB7
1882188.35670000
PA
USD
2109548.05000000
0.005091455165
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 11/1/42 #Q13634
3132HQBB7
144191.88210000
PA
USD
157533.01000000
0.000380210470
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2043#AB9432
31417GPS9
451253.13250000
PA
USD
471609.07000000
0.001138242115
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.02500000
N
N
N
N
N
N
ONEOK INC NEW
2T3D6M0JSY48PSZI1Q41
ONEOK INC NEW 4.45% 09/01/2049
682680AZ6
4980000.00000000
PA
USD
5000345.89000000
0.012068479269
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
0.04450000
N
N
N
N
N
N
DB MASTER FIN LLC
549300F17UZJL70BPB08
DNKN 2017-1A A2II 4.03% 11/20/2047 144A
233046AF8
7092640.00000000
PA
USD
7514013.74000000
0.018135289247
Long
ABS-CBDO
CORP
US
N
2
2047-11-20
Fixed
0.04030000
N
N
N
N
N
N
PIMCO FDS
O7M5VNOD7AVYOESOBU56
PIMCO Mortgage Opportunities and BdInstl
72201U638
107231486.34300000
NS
USD
1179546349.77000000
2.846869193265
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
618637.50000000
0.001493099479
Long
DBT
CORP
KY
N
2
2027-09-07
Fixed
0.05750000
N
N
N
N
N
N
SERVICE PPTYS TR
529900IS770AG1K9QG27
SERVICE PPTYS TR 5.5% 12/15/2027
81761LAB8
100000.00000000
PA
USD
107752.93000000
0.000260064809
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.05500000
N
N
N
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSO 3.125% 11/21
075887BA6
1050000.00000000
PA
USD
1069738.88000000
0.002581845692
Long
DBT
CORP
US
N
2
2021-11-08
Fixed
0.03125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 1/35 #G06928
3128M9A51
13369.92650000
PA
USD
15172.32000000
0.000036618832
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #782989
36241LKA3
105437.15950000
PA
USD
120476.06000000
0.000290772451
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
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
1399559.84000000
0.003377878108
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.01362250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q34311
3132QQYH9
3833177.48290000
PA
USD
4182481.53000000
0.010094540008
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 10YR 3% 05/01/2027#MA3010
31418CKY9
18166.36250000
PA
USD
19201.48000000
0.000046343326
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.03000000
N
N
N
N
N
N
BOND FUND AMERICA INC
N/A
American Funds Bond Fund of Amer F2
097873822
29142759.51000000
NS
USD
393427253.39000000
0.949548042504
Long
EC
RF
US
N
1
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2046#G60603
31335AU48
3719370.09600000
PA
USD
4057140.97000000
0.009792026945
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPER LLC/CAP CORP 5.375% 04/01/2038
161175BM5
450000.00000000
PA
USD
538620.91000000
0.001299977127
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
0.05375000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS LP
549300NELT611CL6XM83
EQM MIDSTREAM PARTNERS LP 6.5% 07/01/2027 144A
26885BAH3
125000.00000000
PA
USD
134088.75000000
0.000323627072
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
0.06500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 30YR 2.5% 03/01/2050#BP1381
3140K8RB9
374308.00500000
PA
USD
388502.63000000
0.000937662321
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
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
1411587.27560000
PA
USD
1538822.39000000
0.003713992296
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2031#AS7695
3138WHRR5
1293419.35100000
PA
USD
1364985.28000000
0.003294431408
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #738229
3620ASEA3
35541.64010000
PA
USD
40743.23000000
0.000098334962
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
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
868725.65000000
0.002096694454
Long
DBT
CORP
US
N
2
2055-12-15
Variable
0.06613000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.0% 07/23/2025
6174468C6
1190000.00000000
PA
USD
1338014.34000000
0.003229336265
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
0.04000000
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
2685886.34000000
PA
USD
2789756.82000000
0.006733158683
Long
ABS-CBDO
CORP
US
N
2
2058-04-25
Fixed
0.03750000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 4.375% 03/19/2024
87165BAN3
7165000.00000000
PA
USD
7864117.14000000
0.018980273918
Long
DBT
CORP
US
N
2
2024-03-19
Fixed
0.04375000
N
N
N
N
N
N
DOLLAR TREE INC
549300PMSTQITB1WHR43
DOLLAR TREE INC 4.2% 05/15/2028
256746AH1
495000.00000000
PA
USD
567468.23000000
0.001369600967
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
0.04200000
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 3.5% 02/15/2029 144A
68245XAP4
1660000.00000000
PA
USD
1626800.00000000
0.003926328799
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 1/45#Q30720
3132QLYS6
634436.61840000
PA
USD
696902.42000000
0.001681994124
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 3.75% 04/18/2029
053332AW2
1200000.00000000
PA
USD
1331259.37000000
0.003213032950
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 4.5% 11/01/2042#AL6997
3138EPX33
2405605.19880000
PA
USD
2699950.00000000
0.006516407328
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 07/01/2045#AZ0833
3138YR4T2
1484505.58910000
PA
USD
1630273.35000000
0.003934711830
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
ZIGGO BV
213800TQASLF9JXH5J59
ZIGGO BV 5.5% 01/15/2027 144A
98954NAA7
539000.00000000
PA
USD
560026.39000000
0.001351639871
Long
DBT
CORP
NL
N
2
2027-01-15
Fixed
0.05500000
N
N
N
N
N
N
DBUBS 2011 LC3
N/A
DBUBS 2011 LC3 CSTR 08/10/2044 144A
23305YAL3
3400000.00000000
PA
USD
3410397.54000000
0.008231092992
Long
ABS-MBS
CORP
US
N
2
2044-08-10
Variable
0.05336261
N
N
N
N
N
N
CARNIVAL CORPORATION
F1OF2ZSX47CR0BCWA982
CARNIVAL CORPORATION 7.625% 03/01/2026 144A
143658BL5
75000.00000000
PA
USD
78843.75000000
0.000190291668
Long
DBT
CORP
PA
N
2
2026-03-01
Fixed
0.07625000
N
N
N
N
N
N
SERBIA REPUBLIC OF
254900W94OCY91V32O78
SERBIA REPUBLIC OF 2.125% 12/01/2030 144A
817477AF9
1430000.00000000
PA
USD
1346337.85000000
0.003249425297
Long
DBT
NUSS
RS
N
2
2030-12-01
Fixed
0.02125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2043#AV0893
3138XB7F5
10127.29450000
PA
USD
10807.24000000
0.000026083585
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.03000000
N
N
N
N
N
N
TERRAFORM POWER OPERATING LLC
5493000S2OLR3UT5BE13
TERRAFORM POWER OPERATING LLC 5% 01/31/2028 144A
88104LAE3
645000.00000000
PA
USD
712725.00000000
0.001720182378
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 4% 12/45#G60412
31335AN53
997258.54800000
PA
USD
1094746.16000000
0.002642201485
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783295
36241LUU8
753674.22830000
PA
USD
859996.03000000
0.002075625264
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 12/39 #004598
36202FDB9
217140.85730000
PA
USD
242900.45000000
0.000586247253
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
0.04500000
N
N
N
N
N
N
SERVICE PPTYS TR
529900IS770AG1K9QG27
HOSPITALITY PROP TRUST 4.95% 10/01/2029
44106MBB7
100000.00000000
PA
USD
96500.00000000
0.000232905537
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.04950000
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
70046.32000000
0.000169058817
Long
DBT
CORP
US
N
2
2046-09-15
Fixed
0.04250000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 5/15/39
912834DV7
5425000.00000000
PA
USD
3695992.83000000
0.008920385475
Long
DBT
UST
US
N
2
2039-05-15
Fixed
0.00000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
BAUSCH HEALTH COS INC 6.25% 02/15/2029 144A
071734AK3
500000.00000000
PA
USD
532850.00000000
0.001286048869
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
0.06250000
N
N
N
N
N
N
PBF HLDG CO LLC / PBF FIN CORP
N/A
PBF HLDG CO LLC / PBF FIN CORP 6% 02/15/2028
69318FAJ7
190000.00000000
PA
USD
120650.00000000
0.000291192260
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/46#G08707
3128MJYD6
402564.00430000
PA
USD
441177.82000000
0.001064795414
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2042#MA1159
31418AJD1
27384.30560000
PA
USD
30623.74000000
0.000073911281
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 05/01/2028#MA1449
31418ATF5
321101.45950000
PA
USD
339598.51000000
0.000819630815
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
0.03000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6% 07/19/2028 144A
25714PDZ8
1250000.00000000
PA
USD
1410546.88000000
0.003404395646
Long
DBT
NUSS
DO
N
2
2028-07-19
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2033#MA3246
31418CTC8
592375.90600000
PA
USD
622005.54000000
0.001501228341
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2048#MA5192
36179TXV2
4018222.07500000
PA
USD
4329093.83000000
0.010448393029
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
0.04000000
N
N
N
N
N
N
CF INDS INC
5FVKT86LAD2F40NPC183
CF INDUSTRIES INC 4.95% 6/1/43
12527GAD5
285000.00000000
PA
USD
335626.69000000
0.000810044712
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
0.04950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2044#AS3638
3138WDBG5
148245.58380000
PA
USD
163033.87000000
0.000393486955
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 1/1/43 #Q14696
3132HRGD6
167082.48980000
PA
USD
180870.70000000
0.000436536659
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
ZOETIS INC 3.25% 2/1/23
98978VAB9
5975000.00000000
PA
USD
6253620.64000000
0.015093294087
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2043#AB7964
31417EZ61
3652683.16040000
PA
USD
4059541.66000000
0.009797821080
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTB 6.25% 8/15/23
912810EQ7
11080000.00000000
PA
USD
12731612.50000000
0.030728114595
Long
DBT
UST
US
N
2
2023-08-15
Fixed
0.06250000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 1.5% 03/01/2036 #TBA
01F012437
33425000.00000000
PA
USD
33853134.14000000
0.081705517292
Long
ABS-MBS
USGA
US
N
2
2036-03-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4.0% 06/01/33#G30718
3132J4AU3
2055642.44420000
PA
USD
2240038.71000000
0.005406398143
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
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
734914.31940000
PA
USD
814272.50000000
0.001965270203
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.04500000
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
1526989.52000000
0.003685433322
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
0.04534900
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2032#BJ0036
3140H1BE9
42030.13800000
PA
USD
44108.77000000
0.000106457790
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/42 #AB7410
31417EGU9
581047.54000000
PA
USD
620603.98000000
0.001497845635
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 7/35 #357843
31376KP42
46647.36010000
PA
USD
55255.29000000
0.000133360238
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.06000000
N
N
N
N
N
N
ISRAEL, STATE OF
213800T8ZHTFZIBYPE21
ISRAEL ST 4% 6/30/22
46513AGA2
1700000.00000000
PA
USD
1779906.75000000
0.004295856364
Long
DBT
NUSS
IL
N
2
2022-06-30
Fixed
0.04000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
AMGEN INC 4.4% 05/01/2045
031162BZ2
1450000.00000000
PA
USD
1729492.95000000
0.004174181201
Long
DBT
CORP
US
N
2
2045-05-01
Fixed
0.04400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 09/01/2033#AL7521
3138EQLB6
15843650.96980000
PA
USD
17960232.82000000
0.043347540797
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE CABINET OF MINISTERS 4.375% 01/27/2030 144A
N/A
1250000.00000000
PA
1383762.02000000
0.003339749613
Long
DBT
NUSS
UA
N
2
2030-01-27
Fixed
0.04375000
N
N
N
N
N
N
GULFSTREAM NAT GAS SYS LLC
N/A
GULFSTREAM GAS 6.19 11/25 144A
402740AB0
3640000.00000000
PA
USD
4380312.55000000
0.010572010890
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
0.06190000
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
428027.48000000
0.001033056689
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Variable
0.03718550
N
N
N
N
N
N
KEYCORP
RKPI3RZGV1V1FJTH5T61
KEYCORP MEDIUM TERM NOTES 2.55% 10/01/2029
49326EEJ8
95000.00000000
PA
USD
99446.93000000
0.000240018038
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.02550000
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
18154780.00000000
0.043817086037
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.03875000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.5% 03/09/2048
00206RDJ8
6650000.00000000
PA
USD
7296640.88000000
0.017610653570
Long
DBT
CORP
US
N
2
2048-03-09
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 5/40 #AL2129
3138EJLK2
90714.04520000
PA
USD
108277.01000000
0.000261329691
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 4.50% 7/25 #G13844
3128MCP58
16310.86720000
PA
USD
17234.77000000
0.000041596615
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#AS8461
3138WJMK1
886992.03790000
PA
USD
953360.06000000
0.002300962048
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAR 6.1% 6/1/37
26442CAA2
775000.00000000
PA
USD
1075025.53000000
0.002594605175
Long
DBT
CORP
US
N
2
2037-06-01
Fixed
0.06100000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAROL 4% 9/30/42
26442CAN4
1400000.00000000
PA
USD
1622582.75000000
0.003916150344
Long
DBT
CORP
US
N
2
2042-09-30
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 01/01/2028#AL2877
3138EKFT7
220173.02750000
PA
USD
235478.49000000
0.000568334138
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 11/20/2046#MA4070
36179SQX8
851676.68880000
PA
USD
929011.49000000
0.002242196071
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
0.04000000
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
1566436.76000000
0.003780640375
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/01/2047#Q49499
3132WPRV1
315958.30200000
PA
USD
352328.20000000
0.000850354289
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
HOME DEPOT INC 3.75% 2/15/24
437076BC5
1026000.00000000
PA
USD
1116744.04000000
0.002695294004
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #738218
3620ASDX4
53033.15430000
PA
USD
60794.66000000
0.000146729668
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/20/2043#MA1376
36179NQ50
468108.72680000
PA
USD
517782.32000000
0.001249682588
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.04000000
N
N
N
N
N
N
CSMC 2020-NET
N/A
CSMC 2020-NET 2.2569% 08/15/2037 144A
126438AA8
2253000.00000000
PA
USD
2305276.13000000
0.005563850541
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Fixed
0.02256900
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/39 #723339
3620A9S44
51470.96550000
PA
USD
58838.52000000
0.000142008467
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2032#BJ2973
3140H4JT2
48352.89500000
PA
USD
51285.17000000
0.000123778239
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 5.8% 06/15/2038
29278NAD5
2762000.00000000
PA
USD
3188703.92000000
0.007696029035
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
0.05800000
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
1943442.38000000
0.004690554331
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Fixed
0.03248000
N
N
N
N
N
N
DOUBLE EAGLE III MIDCO
N/A
DOUBLE EAGLE III MIDCO 7.75% 12/15/2025 144A
25858GAA2
165000.00000000
PA
USD
175725.00000000
0.000424117364
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.07750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/01/2046#G61420
31335BSH0
4227330.83600000
PA
USD
4612552.70000000
0.011132529202
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
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
3698147.31000000
0.008925585375
Long
ABS-MBS
CORP
US
N
2
2051-03-15
Fixed
0.04090000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #783143
36241LP42
201352.79310000
PA
USD
221865.55000000
0.000535478914
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #616878
36290TJX8
163060.05690000
PA
USD
177628.79000000
0.000428712216
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 4.50% 11/40 #AE6932
31419HV25
43036.97850000
PA
USD
48235.65000000
0.000116418134
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
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
132289.21000000
0.000319283830
Long
DBT
CORP
US
N
2
2027-06-06
Fixed
0.03700000
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
1650000.00000000
PA
USD
1705357.50000000
0.004115929595
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 3.5% 04/42#AK8632
3138EDSW2
33826.51110000
PA
USD
36938.93000000
0.000089153174
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4% 05/01/2038#C91994
3128P8GB1
4172265.45000000
PA
USD
4519147.60000000
0.010907093294
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.04000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
ABBOTT LABORATORIES 4.9% 11/30/2046
002824BH2
690000.00000000
PA
USD
935408.23000000
0.002257634787
Long
DBT
CORP
US
N
2
2046-11-30
Fixed
0.04900000
N
N
N
N
N
N
EATON VANCE CLO 2020-1 LTD
N/A
EATON VANCE CLO 2020-1 LTD 3ML+165 10/15/2030 144A
278300AA6
6500000.00000000
PA
USD
6524856.00000000
0.015747928464
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Variable
0.01891250
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
499574049.95500000
NS
USD
499673964.76000000
1.205977549953
Long
STIV
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 08/33#731291
31402KNG5
343298.26000000
PA
USD
388498.66000000
0.000937652739
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 12/01/2042#Q13420
3132HPYR9
141387.84700000
PA
USD
156457.49000000
0.000377614672
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
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
580694.59000000
0.001401523169
Long
DBT
CORP
US
N
2
2042-08-21
Fixed
0.03875000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
ECOPETROL SA 5.875% 09/18/2023
279158AC3
360000.00000000
PA
USD
399150.00000000
0.000963360056
Long
DBT
CORP
CO
N
2
2023-09-18
Fixed
0.05875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 09/39#G05624
3128M7SM9
99252.76400000
PA
USD
110926.73000000
0.000267724867
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.04500000
N
N
N
N
N
N
JBS USA LUX SA
P77IMDGVZE8EFBTF2M92
JBS USA TERM B 1LN 05/01/2026
N/A
3000000.00000000
PA
USD
2992800.00000000
0.007223209264
Long
LON
CORP
LU
N
2
2026-05-01
Variable
0.02114500
N
N
N
N
N
N
MASTR ASSET BACKED SECS TR
N/A
MASTR ASSET BACKED SECS TR 1ML+172.5 06/25/2035
57643LKC9
1816559.17000000
PA
USD
1846505.15000000
0.004456593526
Long
ABS-CBDO
CORP
US
N
2
2035-06-25
Variable
0.01267630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AL1521
3138EHVP4
253252.15430000
PA
USD
280335.65000000
0.000676598190
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 3% 04/20/2046#MA3596
36179R7H6
949015.59800000
PA
USD
1003801.51000000
0.002422703945
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03000000
N
N
N
N
N
N
WESCO DISTRIBUTION INC
549300I2CEZJG9N4AH67
WESCO DISTRIBUTION INC 7.25% 06/15/2028 144A
95081QAP9
1250000.00000000
PA
USD
1389062.50000000
0.003352542474
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.07250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #743665
3620AYFE1
49040.79370000
PA
USD
56279.31000000
0.000135831740
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
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
271210.49000000
0.000654574353
Long
DBT
CORP
JP
N
2
2023-07-19
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/41 #AH8029
3138A94P6
189319.96100000
PA
USD
212070.62000000
0.000511838568
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
2011703.21000000
0.004855303817
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.04250000
N
N
N
N
N
N
NEW YORK CITY GO
549300ABYZD2SFD5JB29
NYC NY 2.8% 8/1/2030
64966QCG3
3250000.00000000
PA
USD
3467425.00000000
0.008368730414
Long
DBT
MUN
US
N
2
2030-08-01
Fixed
0.02800000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/40 #004833
36202FLN4
1899388.90730000
PA
USD
2089384.97000000
0.005042790989
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04000000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
NEWELL RUBBERMAID INC STEP 04/01/36
651229AX4
30000.00000000
PA
USD
37350.00000000
0.000090145304
Long
DBT
CORP
US
N
2
2036-04-01
Variable
0.05875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AP7882
3138MBXL5
72479.22090000
PA
USD
79238.72000000
0.000191244939
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CMBX AAACDSIGEN 8/61
N/A
1890000.00000000
NC
USD
-12899.06000000
-0.00003113225
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S12 PRC INDX
CY400081
Y
2061-08-17
20792.33000000
USD
0.00000000
USD
1890000.00000000
USD
-33691.39000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2045#AY5060
3138YJTS5
65443.26360000
PA
USD
71444.33000000
0.000172432954
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 2.5% 10/01/2046#MA2781
31418CCT9
483084.95000000
PA
USD
502914.28000000
0.001213798144
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.02500000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 1.45% 10/02/2023
02005NBL3
2261000.00000000
PA
USD
2299052.45000000
0.005548829509
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
0.01450000
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD INC
549300OSW32RVX8CCZ87
ALIMENTATION COUCHE-TARD INC 2.95% 01/25/2030 144A
01626PAM8
1800000.00000000
PA
USD
1893716.77000000
0.004570540135
Long
DBT
CORP
CA
N
2
2030-01-25
Fixed
0.02950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/42#AB7319
31417EDZ1
239186.66500000
PA
USD
264616.47000000
0.000638659495
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.0% 06/01/2029#J28440
31307HLV7
201276.99860000
PA
USD
214110.86000000
0.000516762746
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2046#MA3803
36179SGL5
4046831.96570000
PA
USD
4356305.75000000
0.010514069784
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03500000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 5.013%/VAR 04/04/2051
95000U2M4
6425000.00000000
PA
USD
8592170.36000000
0.020737451398
Long
DBT
CORP
US
N
2
2051-04-04
Variable
0.05013000
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
3298956.55000000
PA
USD
3331209.79000000
0.008039971069
Long
ABS-CBDO
CORP
US
N
2
2028-08-25
Fixed
0.02450000
N
N
N
N
N
N
SUNOCO LP / SUNOCO FIN CORP
N/A
SUNOCO LP / SUNOCO FIN CORP 6% 04/15/2027
86765LAQ0
5000.00000000
PA
USD
5204.75000000
0.000012561814
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
0.06000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
GENERAL MOTORS CO 6.25% 10/02/2043
37045VAF7
4495000.00000000
PA
USD
6041076.15000000
0.014580311819
Long
DBT
CORP
US
N
2
2043-10-02
Fixed
0.06250000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.65% 7/15/42
20030NBE0
4121000.00000000
PA
USD
5157894.21000000
0.012448726691
Long
DBT
CORP
US
N
2
2042-07-15
Fixed
0.04650000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
MOLINA HEALTHCARE INC 3.875% 11/15/2030 144A
60855RAK6
745000.00000000
PA
USD
780387.50000000
0.001883487777
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 5/1/43 #AT0347
3138WML58
362422.72310000
PA
USD
396788.99000000
0.000957661690
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
MERIT 2020
N/A
MERIT 2020-HILL F 1ML+125 08/15/2037 144A
590027AA6
2102000.00000000
PA
USD
2110550.52000000
0.005093874655
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Variable
0.01262000
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
1855941.52000000
0.004479368478
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04782040
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPER LLC/CAP CORP 5.75% 04/01/2048
161175BN3
14203000.00000000
PA
USD
17509675.28000000
0.042260107157
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
0.05750000
N
N
N
N
N
N
CHILE REP
549300FLZTJM5YJF8D34
CHILE GOVERNMENT 2.55% 01/27/2032
168863DN5
650000.00000000
PA
USD
657921.88000000
0.001587913465
Long
DBT
NUSS
CL
N
2
2032-01-27
Fixed
0.02550000
N
N
N
N
N
N
COMM 2006 FL12
N/A
COMM 2014-CR20 XA CSTR 11/10/2047
12592LBK7
17717156.97580000
PA
USD
550193.91000000
0.001327908897
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Variable
0.01018673
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
996613.30000000
0.002405354992
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04782040
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA COMMUNICATIONS CORP 4.875% 09/01/2024
78388JAV8
200000.00000000
PA
USD
205140.00000000
0.000495111316
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.04875000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.772%/VAR 01/24/2029
61744YAP3
3660000.00000000
PA
USD
4108070.49000000
0.009914946813
Long
DBT
CORP
US
N
2
2029-01-24
Variable
0.03772000
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
3921133.79000000
0.009463769687
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 5% 02/01/2049#BM5577
3140JAFT0
2854628.12300000
PA
USD
3255202.10000000
0.007856524313
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.60% 2/35 #779905
31404VNW4
77527.38070000
PA
USD
81532.97000000
0.000196782178
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Variable
0.03111000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 2.7% 08/21/2040
126650DP2
5135000.00000000
PA
USD
4875371.83000000
0.011766850765
Long
DBT
CORP
US
N
2
2040-08-21
Fixed
0.02700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q32124
3132QNLE7
80345.14130000
PA
USD
87742.04000000
0.000211767948
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
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
12556000.00000000
PA
USD
13703926.40000000
0.033074822284
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
0.04875000
N
N
N
N
N
N
DBWF 2018-AMXP MTG TR
N/A
DBWF 2018-AMXP MTG TR CSTR 05/05/2035 144A
23306PAC1
762000.00000000
PA
USD
768138.52000000
0.001853924510
Long
ABS-MBS
CORP
US
N
2
2035-05-05
Variable
0.03995615
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
1571880.38000000
0.003793778710
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03177097
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.45% 09/29/27
172967KA8
4630000.00000000
PA
USD
5341211.01000000
0.012891167084
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
0.04450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2042#Q11138
3132HMHP9
179797.21400000
PA
USD
199023.88000000
0.000480349884
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2033#721575
31401XT80
118208.96410000
PA
USD
133714.48000000
0.000322723760
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
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
1990645.15040000
PA
USD
2001286.14000000
0.004830161917
Long
ABS-CBDO
CORP
US
N
2
2037-10-25
Variable
0.01467630
N
N
N
N
N
N
WESCO DISTRIBUTION INC
549300I2CEZJG9N4AH67
WESCO DISTRIBUTION INC 7.125% 06/15/2025 144A
95081QAN4
1500000.00000000
PA
USD
1623187.50000000
0.003917609926
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
0.07125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.5% 02/43 #Q15869
3132J66F6
241658.15020000
PA
USD
264510.31000000
0.000638403275
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2042#AB8144
36178VBM2
26943.83640000
PA
USD
29758.20000000
0.000071822275
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.04000000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 2.45% 09/13/2029
828807DF1
360000.00000000
PA
USD
365614.97000000
0.000882422293
Long
DBT
CORP
US
N
2
2029-09-13
Fixed
0.02450000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LDP MTN 4% 3/01/28
92277GAM9
2712000.00000000
PA
USD
3056163.86000000
0.007376139771
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04000000
N
N
N
N
N
N
INTELLIGENT PACKAGING LTD FINCO INC / INTELLIGENT PACKAGING LTD CO-ISSUER LLC
N/A
INTELLIGENT PACKAGING LTD FINCO INC / INTELLIGENT PACKAGING LTD CO-ISSUER LLC 6% 09/15/2028 144A
45827MAA5
40000.00000000
PA
USD
41700.00000000
0.000100644154
Long
DBT
CORP
CA
N
2
2028-09-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/46#BM3928
3140J8LJ0
1786492.92500000
PA
USD
1995633.54000000
0.004816519204
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% 07/01/2045#AZ2145
3138YTL36
285773.73230000
PA
USD
311710.90000000
0.000752323262
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03500000
N
N
N
N
N
N
MAGNETITE VII LTD
N/A
MAGNETITE VII LTD 3ML+80 01/15/2028 144A
55951PBA4
6968000.00000000
PA
USD
6971337.67000000
0.016825524874
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Variable
0.01041250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2044#AS2319
3138WBSH9
4376.81710000
PA
USD
4864.48000000
0.000011740563
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.04500000
N
N
N
N
N
N
WESTERN ASSET FDS INC
549300Q2LEO7M5HGWP70
Western Asset Core Plus Bond I
957663503
270193676.83000000
NS
USD
3274747363.18000000
7.903697371267
Long
EC
RF
US
N
1
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 0.529%/VAR 01/25/2024
6174468W2
15755000.00000000
PA
USD
15763026.23000000
0.038044519213
Long
DBT
CORP
US
N
2
2024-01-25
Variable
0.00529000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2047#BE6506
3140FSGQ0
167514.76410000
PA
USD
185420.27000000
0.000447517178
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 5.50% 8/37 #888817
31410GPA5
169622.88500000
PA
USD
196668.22000000
0.000474664430
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 20YR 5.0% 06/01/2031#MA0777
31417Y2K2
65264.41730000
PA
USD
73107.12000000
0.000176446146
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #778863
36176XB81
92450.22540000
PA
USD
100710.26000000
0.000243067122
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
FORD MOTOR CO
20S05OYHG0MQM4VUIC57
FORD MOTOR CO 9.625% 04/22/2030
345370CX6
500000.00000000
PA
USD
707350.00000000
0.001707209660
Long
DBT
CORP
US
N
2
2030-04-22
Fixed
0.09625000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC 3.7% 12/06/2026
21036PAQ1
925000.00000000
PA
USD
1037883.72000000
0.002504962343
Long
DBT
CORP
US
N
2
2026-12-06
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 04/01/2033#K90336
3132J2LR2
502845.41400000
PA
USD
536928.88000000
0.001295893364
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
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
12120212.25000000
0.029252482428
Long
DBT
MUN
US
N
2
2029-02-15
Fixed
0.07425000
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
9215000.00000000
PA
USD
11083667.28000000
0.026750751196
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
0.04900000
N
N
N
N
N
N
LOS ANGELES CA DEPT ARPTS REV
N/A
LA CA AIRPT 2.163% 5/15/2035
544445UE7
500000.00000000
PA
USD
487095.00000000
0.001175617855
Long
DBT
MUN
US
N
2
2035-05-15
Fixed
0.02163000
N
N
N
N
N
N
UKRAINE CABINET OF MINISTERS
6354001WLTJXOMEXPY07
UKRAINE CABINET OF MINISTERS 8.994% 02/01/2024 REGS
N/A
1250000.00000000
PA
USD
1381250.00000000
0.003333686780
Long
DBT
NUSS
UA
N
2
2024-02-01
Fixed
0.08994000
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
316745.62000000
0.000764474704
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.03750000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE INC 7.3% 07/01/2038
88732JAN8
6393000.00000000
PA
USD
9137789.54000000
0.022054319053
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 30YR 3% 12/01/2046#MA2833
31418CEF7
234848.78000000
PA
USD
248194.72000000
0.000599025127
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% 04/01/2042#AB5049
31417BTF4
64002.44910000
PA
USD
70847.05000000
0.000170991402
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
Fidelity Colchester Street Trust
549300SHPEJB1OPRCV46
FIMM MM Government Portfolio - Instl Cl
31607A703
292859802.26000000
NS
USD
292859802.26000000
0.706825593722
Long
EC
RF
US
N
1
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 12/20/2042#MA0624
36179MVR8
2173311.60310000
PA
USD
2315074.98000000
0.005587500348
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
FGLMC 30YR 3.5% 09/46#Q43176
3132WGQ67
4369965.68170000
PA
USD
4728582.55000000
0.011412570597
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
5493008HF9XC5H29ZX61
GFL ENVIRONMENTAL INC 3.75% 08/01/2025 144A
36168QAK0
233000.00000000
PA
USD
237368.75000000
0.000572896335
Long
DBT
CORP
CA
N
2
2025-08-01
Fixed
0.03750000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
STRYKER CORP 3.375% 05/15/2024
863667AF8
335000.00000000
PA
USD
361552.87000000
0.000872618297
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03375000
N
N
N
N
N
N
NIDDA HEALTHCARE HOLDING AG
549300Q89C4WAO6L0L19
NIDDA HEALTHCARE HOLDING AG 3.5% 09/30/2024 REGS
N/A
3000000.00000000
PA
3650815.17000000
0.008811347887
Long
DBT
CORP
DE
N
2
2024-09-30
Fixed
0.03500000
N
N
N
N
N
N
CIM TRUST 2021
N/A
CIM TRUST 2021-R1 A2 2.4% 08/25/2056 144A
12563RAC8
9900000.00000000
PA
USD
9902761.11000000
0.023900600038
Long
ABS-CBDO
CORP
US
N
2
2056-08-25
Fixed
0.02400000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5.0% 11/24/2025
6174467X1
40891000.00000000
PA
USD
47734371.78000000
0.115208285377
Long
DBT
CORP
US
N
2
2025-11-24
Fixed
0.05000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
ECOPETROL SA 5.375% 06/26/2026
279158AL3
1240000.00000000
PA
USD
1390188.80000000
0.003355260832
Long
DBT
CORP
CO
N
2
2026-06-26
Fixed
0.05375000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 05/20/2044#MA1921
36179QD24
418908.02140000
PA
USD
464807.06000000
0.001121825267
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Fixed
0.04500000
N
N
N
N
N
N
VIRGIN MEDIA FINANCE PLC
2138001LVYC87DDHT482
VIRGIN MEDIA FINANCE PLC 5% 07/15/2030 144A
92769VAJ8
270000.00000000
PA
USD
274725.00000000
0.000663056724
Long
DBT
CORP
GB
N
2
2030-07-15
Fixed
0.05000000
N
N
N
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
CHEMOURS CO 7% 05/15/2025
163851AD0
600000.00000000
PA
USD
618528.00000000
0.001492835197
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2041#AH6648
3138A8L61
21290.12710000
PA
USD
24114.70000000
0.000058201525
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2046#AL8881
3138ET2P0
1746948.16350000
PA
USD
1918485.90000000
0.004630321146
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 04/32#BD9809
3140FH3T2
202706.92900000
PA
USD
216347.59000000
0.000522161158
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
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
205000.00000000
PA
USD
211908.50000000
0.000511447286
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.06375000
N
N
N
N
N
N
CSMC 2016-NXSR COML MTG TR
N/A
CSMC 2016-NXSR COML MTG TR 3.7948% 12/15/2049
12594PAV3
2000000.00000000
PA
USD
2232057.80000000
0.005387135986
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
0.03794800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 9/36 #893427
31410PSQ7
44286.85720000
PA
USD
52838.52000000
0.000127527294
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
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
2543354.72800000
PA
USD
2698570.07000000
0.006513076827
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 5.0% 03/01/2041#A97686
312946RF5
100367.16290000
PA
USD
115506.95000000
0.000278779360
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.05000000
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
8661922.04000000
0.020905799093
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Variable
0.01591250
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
15200372.47000000
0.036686538108
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/40 #AE1110
31419BGU3
12765.34580000
PA
USD
14055.41000000
0.000033923138
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
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
7673650.37000000
PA
USD
7718755.32000000
0.018629438966
Long
ABS-CBDO
CORP
US
N
2
2039-10-16
Fixed
0.03376000
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
2587933.79000000
0.006246052969
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Variable
0.00992000
N
N
N
N
N
N
CVR ENERGY INC
529900SOYZIXZBTXB558
CVR ENERGY INC 5.25% 02/15/2025 144A
12662PAB4
330000.00000000
PA
USD
325710.00000000
0.000786110495
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2502
3140X5X81
2958673.72500000
PA
USD
3120530.34000000
0.007531490130
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
IQVIA INC
549300PLWY28YB00C717
IQVIA INC 1.75% 03/15/2026 144A
N/A
625000.00000000
PA
757494.71000000
0.001828235367
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.01750000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.25% MAC 03/17/23
N/A
82104000.00000000
NC
USD
-16760.57000000
-0.00004045211
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2023-03-17
0.00000000
USD
0.00000000
USD
82144496.84000000
USD
-16760.57000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 4.1% 07/24/2023
06053FAA7
13989000.00000000
PA
USD
15221370.75000000
0.036737218063
Long
DBT
CORP
US
N
2
2023-07-24
Fixed
0.04100000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 12/20/44#MA2446
36179QWF4
149699.44910000
PA
USD
165023.51000000
0.000398289009
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/47#784304
3622A2X98
3388399.61650000
PA
USD
3738431.46000000
0.009022812335
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 10/01/2027#AB6382
31417DCU5
178424.13520000
PA
USD
191161.94000000
0.000461374865
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
0.03500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS 7.625% 11/21/22
06740L8C2
27412000.00000000
PA
USD
30144211.61000000
0.072753925612
Long
EP
CORP
GB
N
2
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 3ML+176.2 03/22/2025
780097BK6
1735000.00000000
PA
USD
1902308.60000000
0.004591276765
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 30YR 3.0% 09/01/2043#AU7317
3138X7DX8
63316.06780000
PA
USD
67567.13000000
0.000163075220
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 15YR 3% 12/01/2034#CA4890
3140QCNG7
404286.98400000
PA
USD
438062.13000000
0.001057275606
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2032#MA3217
31418CSF2
174926.12200000
PA
USD
183675.63000000
0.000443306439
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/46#BC9077
3140F5CP6
4641089.77010000
PA
USD
5017360.09000000
0.012109543533
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% 03/01/2046#BC3883
3140EYJ51
621090.67600000
PA
USD
680524.58000000
0.001642465734
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2043#AB9361
31417GMK9
208061.50600000
PA
USD
229416.15000000
0.000553702506
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP STEP 02/01/2025
958667AB3
195000.00000000
PA
USD
199605.90000000
0.000481754606
Long
DBT
CORP
US
N
2
2025-02-01
Variable
0.04350000
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
2476045.95000000
0.005976008435
Long
ABS-CBDO
CORP
US
N
2
2030-10-13
Fixed
0.03960000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 10/20/2046#MA4068
36179SQV2
327023.61320000
PA
USD
345800.23000000
0.000834598845
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/01/2051 #TBA
21H022630
43850000.00000000
PA
USD
45536181.59000000
0.109902889846
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
0.02500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.625% 02/15/2044
912810RE0
2660000.00000000
PA
USD
3429321.88000000
0.008276767433
Long
DBT
UST
US
N
2
2044-02-15
Fixed
0.03625000
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
435228.00000000
0.001050435352
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.05625000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 08/47#MA4653
36179TE27
55171.14900000
PA
USD
59642.08000000
0.000143947883
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
0.04000000
N
N
N
N
N
N
IBM CORPORATION
VGRQXHF3J8VDLUA7XE92
IBM CORPORATION 2.85% 05/15/2040
459200KK6
480000.00000000
PA
USD
478589.02000000
0.001155088426
Long
DBT
CORP
US
N
2
2040-05-15
Fixed
0.02850000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/41 #762904
36176DKR3
78020.09200000
PA
USD
88831.44000000
0.000214397246
Long
ABS-MBS
USGA
US
N
2
2041-04-15
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 BONDS-TAXABLE-A-ISSUER SUBSIDY
646139X83
825000.00000000
PA
USD
1308862.50000000
0.003158977457
Long
DBT
MUN
US
N
2
2041-01-01
Fixed
0.07102000
N
N
N
N
N
N
AVOLON TLB BORROWER 1 US LLC
635400O84AGITYFZQB55
AVOLON TERM B-3 1LN 01/15/2025
N/A
725000.00000000
PA
USD
722382.75000000
0.001743491637
Long
LON
CORP
US
N
2
2025-01-15
Variable
0.02500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 5.05% 03/25/2048
126650CZ1
7530000.00000000
PA
USD
9510261.09000000
0.022953289900
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
0.05050000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #769093
36176LGA7
18098.48710000
PA
USD
20186.88000000
0.000048721618
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13653
3132HQBW1
124157.90030000
PA
USD
137391.11000000
0.000331597413
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 30YR 6.0% 02/01/2038#A73397
3128L6X20
24987.24530000
PA
USD
29794.32000000
0.000071909452
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
0.06000000
N
N
N
N
N
N
SAUDI ARABIA KINGDOM OF
54930044PULMORCKB765
SAUDI ARABIA KINGDOM OF 3.625% 03/04/2028 REGS
N/A
800000.00000000
PA
USD
879250.00000000
0.002122095277
Long
DBT
NUSS
SA
N
2
2028-03-04
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 10/01/2042#C04268
31292LW50
104772.77700000
PA
USD
111937.43000000
0.000270164221
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
N
N
N
N
N
N
ESSEX PORTFOLIO LP
5493003GN3O58H286O74
ESSEX PORTFOLIO LP 1.7% 03/01/2028
29717PAY3
5465000.00000000
PA
USD
5383068.50000000
0.012992191346
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.01700000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.0% 01/20/2035#781859
36241KB49
1852055.70540000
PA
USD
2086537.44000000
0.005035918393
Long
ABS-MBS
USGA
US
N
2
2035-01-20
Fixed
0.05000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.5% 07/15/2023
55336VAE0
160000.00000000
PA
USD
172766.79000000
0.000416977639
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/47#Q48876
3132WN2J0
344505.63800000
PA
USD
384161.61000000
0.000927185144
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 3.5% 01/01/2047#BE5530
3140FREC5
286387.99480000
PA
USD
309427.54000000
0.000746812307
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 4.5% 12/01/2046#BE4488
3140FP7A1
198615.95320000
PA
USD
219758.94000000
0.000530394550
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q16935
3132J8EH9
394711.44850000
PA
USD
430417.99000000
0.001038826254
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
BX TR 2018-IND
N/A
BX COML MTG TR 2018-IND B 1ML+103.9 11/15/2035 144A
056059AG3
910000.00000000
PA
USD
910284.65000000
0.002196998301
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Variable
0.01012000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/41 #AB4115
31417ASD2
6678.56060000
PA
USD
7394.87000000
0.000017847732
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
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
8024593.11000000
0.019367587308
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2046#Q43088
3132WGNE3
828984.45770000
PA
USD
897532.35000000
0.002166220257
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
AEP TEXAS INC
5493001L78U618KXNZ75
AEP TEXAS INC 2.1% 07/01/2030
00108WAM2
550000.00000000
PA
USD
553499.91000000
0.001335888023
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
0.02100000
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
3914487.50000000
0.009447728674
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
0.05600000
N
N
N
N
N
N
NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV
N/A
NYC TFA (PIT) 3.88% 8/1/2031
64971XEQ7
1170000.00000000
PA
USD
1318320.90000000
0.003181805579
Long
DBT
MUN
US
N
2
2031-08-01
Fixed
0.03880000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/45#Q32820
3132QPD27
11227.60100000
PA
USD
12052.39000000
0.000029088791
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03000000
N
N
N
N
N
N
GLAXOSMITHKLINE CAP PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE CAP PLC 2.85% 05/08/2022
377373AD7
710000.00000000
PA
USD
731708.14000000
0.001765998735
Long
DBT
CORP
GB
N
2
2022-05-08
Fixed
0.02850000
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
1348681.17000000
0.003255080968
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.03125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 11/01/2032#G18665
3128MMW33
113903.71400000
PA
USD
119633.41000000
0.000288738691
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 10/01/2046#G08732
3128MJY61
1767658.79230000
PA
USD
1868650.09000000
0.004510040979
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03000000
N
N
N
N
N
N
RALI SER 2007-QS3 TR
N/A
RALI SER 2007-QS3 TR 6.25% 02/25/2037
75116BAE8
3371118.83000000
PA
USD
3279597.34000000
0.007915402930
Long
ABS-CBDO
CORP
US
N
2
2037-02-25
Fixed
0.06250000
N
N
N
N
N
N
MEXICO CITY ARPT TR
N/A
MEXICO CITY ARPT TR 5.5% 07/31/2047 144A
59284MAD6
1250000.00000000
PA
USD
1168750.00000000
0.002820811891
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
0.05500000
N
N
N
N
N
N
CIT GROUP INC NEW
N8O96ZZJQRFYQUJY7K79
CIT GROUP INC 5.0% 08/01/23
125581GR3
7000000.00000000
PA
USD
7638750.00000000
0.018436343814
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
0.05000000
N
N
N
N
N
N
TRANSCONTINENTAL GAS PIPE LINE CO LLC
N/A
TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030 WI
893574AP8
910000.00000000
PA
USD
974832.82000000
0.002352787174
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.03250000
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
6093111.31000000
0.014705900181
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 0.481% 01/27/2023
38141GXP4
14000000.00000000
PA
USD
14002825.34000000
0.033796223511
Long
DBT
CORP
US
N
2
2023-01-27
Fixed
0.00481000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS 4.041%/VAR 3/13/28
404280BK4
3130000.00000000
PA
USD
3506347.35000000
0.008462670630
Long
DBT
CORP
GB
N
2
2028-03-13
Variable
0.04041000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
EL PASO PIPELINE PRT OP CO LLC 5% 10/01/2021
28370TAE9
1212000.00000000
PA
USD
1230034.27000000
0.002968723247
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
0.05000000
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
7942254.53000000
0.019168860766
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
0.04375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21605
3132JNYA9
170371.35360000
PA
USD
188110.90000000
0.000454011091
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
MEXICO CITY ARPT TR
N/A
MEXICO CITY ARPT TR 4.25% 10/31/2026 144A
59284MAA2
2270000.00000000
PA
USD
2297921.00000000
0.005546098722
Long
DBT
CORP
MX
N
2
2026-10-31
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/46#AS8572
3138WJQ27
2890153.08500000
PA
USD
3106405.03000000
0.007497398286
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
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
2714752.98000000
0.006552134748
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Variable
0.01912000
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
1901181.42000000
0.004588556283
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
0.00988000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
LENNAR CORP 5% 06/15/2027
526057CV4
12100000.00000000
PA
USD
14157000.00000000
0.034168328507
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 6.00% 3/38 #889219
31410G4C4
22839.75840000
PA
USD
27184.62000000
0.000065610865
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 2.5% 04/01/2043#AR9512
3138W7SA3
141333.93460000
PA
USD
147709.48000000
0.000356501097
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.02500000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 4.1% 02/09/2027
254709AM0
645000.00000000
PA
USD
728690.83000000
0.001758716370
Long
DBT
CORP
US
N
2
2027-02-09
Fixed
0.04100000
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
4170376.21630000
PA
USD
4334219.87000000
0.010460764875
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/46#G08735
3128MJY95
623833.62510000
PA
USD
686090.54000000
0.001655899340
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 06/01/2044#Q26541
3132M65A4
55229.57650000
PA
USD
60842.16000000
0.000146844310
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 12/01/2047#G61305
31335BNW2
4486839.31000000
PA
USD
4852892.26000000
0.011712595673
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2051 #TBA
01F022634
-34550000.00000000
PA
USD
-35826729.61000000
-0.08646884697
Short
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AS4297
36193NX21
364252.31810000
PA
USD
399051.38000000
0.000963122034
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2020-BXLP E 1ML+177.15 12/15/2029 144A
05607QAU2
4667538.85000000
PA
USD
4666136.25000000
0.011261854648
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01712000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AL2950
3138EKH40
453217.88780000
PA
USD
484071.96000000
0.001168321660
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2041#AJ7688
3138E0RJ0
245331.61150000
PA
USD
271644.73000000
0.000655622403
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 4.0% 01/01/2041#AH3933
3138A5LP5
340907.75760000
PA
USD
376097.69000000
0.000907722640
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% 04/20/46#AS7319
36193TDY0
81084.30190000
PA
USD
89084.13000000
0.000215007121
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03500000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 2/15/36
9128335B2
1100000.00000000
PA
USD
822279.41000000
0.001984595112
Long
DBT
UST
US
N
2
2036-02-15
Fixed
0.00000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT JUN21 FVM1
N/A
-2.00000000
NC
USD
2011.60000000
0.000004855054
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2021-06-30
-249949.10000000
USD
2011.60000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 5.125% 07/20/45
126650CN8
1545000.00000000
PA
USD
1956418.76000000
0.004721873199
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
0.05125000
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
5905284.01000000
0.014252573566
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
0.03950000
N
N
N
N
N
N
GLAXOSMITHKLINE CAPITAL INC
5493007Q8VD7Q3ZYZS59
GLAXOSMITHKLINE CAPITAL INC 2.8% 03/18/2023
377372AH0
875000.00000000
PA
USD
917287.22000000
0.002213899206
Long
DBT
CORP
US
N
2
2023-03-18
Fixed
0.02800000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 2.699%/VAR 01/22/2031
6174468L6
11825000.00000000
PA
USD
12289957.46000000
0.029662167397
Long
DBT
CORP
US
N
2
2031-01-22
Variable
0.02699000
N
N
N
N
N
N
JOHNSON CONTROLS INTERNATIONAL PLC
549300XQ6S1GYKGBL205
JOHNSON CTLS INTL PLC STEP 07/02/2064
478375AN8
197000.00000000
PA
USD
249696.08000000
0.000602648703
Long
DBT
CORP
IE
N
2
2064-07-02
Variable
0.04950000
N
N
N
N
N
N
UNIVERSITY CA REVS
N/A
UNIV CAL REV 4.131% 5/15/2045
91412GXY6
1750000.00000000
PA
USD
2023105.00000000
0.004882822366
Long
DBT
MUN
US
N
2
2045-05-15
Fixed
0.04131000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.75% 01/23/2029
035240AQ3
540000.00000000
PA
USD
638728.31000000
0.001541589229
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
0.04750000
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
14155371.00000000
0.034164396869
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.03875000
N
N
N
N
N
N
SOUTH AFRICA REPUBLIC OF
549300KEVMSOSY8T8R35
SOUTH AFRICA REPUBLIC OF 4.85% 09/30/2029
836205BA1
1740000.00000000
PA
USD
1752506.25000000
0.004229724465
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
0.04850000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 01/01/2032#C91417
3128P7SE4
193666.35800000
PA
USD
208160.95000000
0.000502402466
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.03500000
N
N
N
N
N
N
MEXICO UNITED MEXICAN STATES
254900EGTWEU67VP6075
MEXICO UNITED MEXICAN STATES 2.659% 05/24/2031
91087BAM2
3577000.00000000
PA
USD
3411563.75000000
0.008233907673
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
0.02659000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2011-4 PZ 5% 2/41
31397QKY3
307504.46680000
PA
USD
365617.31000000
0.000882427940
Long
ABS-CBDO
USGSE
US
N
2
2041-02-25
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2044#AX8459
3138YAMH5
1029149.44150000
PA
USD
1135028.64000000
0.002739424414
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 08/01/2045#Q35845
3132QSP77
298107.44030000
PA
USD
327249.11000000
0.000789825181
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
MASTR ASSET BACKED SECS TR
N/A
MABS 2005-NC2 A4 1M+35 11/35
57643LMP8
11478848.75020000
PA
USD
8721869.19000000
0.021050483272
Long
ABS-CBDO
CORP
US
N
2
2035-11-25
Variable
0.00467630
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)JUN21 TYM1
N/A
-593.00000000
NC
USD
834967.77000000
0.002015218835
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2021-06-21
-79537186.52000000
USD
834967.77000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/40 #AE3764
31419EFE4
51609.56910000
PA
USD
56929.00000000
0.000137399786
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
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
13978.56100000
PA
USD
13971.21000000
0.000033719918
Long
ABS-CBDO
CORP
US
N
2
2035-09-25
Variable
0.00882630
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
980722.50000000
0.002367002087
Long
DBT
MUN
US
N
2
2041-01-01
Fixed
0.04839000
N
N
N
N
N
N
JEFFERIES GROUP LLC
NY9Q8VBNB6D1L6YV0J84
JEFFERIES GROUP LLC / JEFFERIES GROUP CAP FIN INC 2.75% 10/15/2032
47233JDX3
1655000.00000000
PA
USD
1683276.80000000
0.004062637188
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2039#AS2599
3138WB3H6
1803943.20230000
PA
USD
1986714.76000000
0.004794993471
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04000000
N
N
N
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 3.75% 03/26/2025
225433AC5
15667000.00000000
PA
USD
17168556.61000000
0.041436807392
Long
DBT
CORP
CH
N
2
2025-03-26
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 07/01/2041#Q02130
3132GFLK1
118845.73810000
PA
USD
136772.90000000
0.000330105345
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.375% 01/31/2026
91282CBH3
210400000.00000000
PA
USD
206981000.00000000
0.499554623356
Long
DBT
UST
US
N
2
2026-01-31
Fixed
0.00375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2042#AO2976
3138LTJW9
7440.43470000
PA
USD
8125.04000000
0.000019610018
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
NYU HOSPS CTR
N/A
NYU HOSPS CTR 3.38% 07/01/2055
62954RAA4
276000.00000000
PA
USD
274792.67000000
0.000663220048
Long
DBT
CORP
US
N
2
2055-07-01
Fixed
0.03380000
N
N
N
N
N
N
TRANSCONTINENTAL GAS PIPE LINE CO LLC
N/A
TRANSCONTINENTAL GAS LINE LLC 4.6% 03/15/2048
893574AM5
350000.00000000
PA
USD
407740.15000000
0.000984092631
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
0.04600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 01/31#BA4750
3140E9H41
981578.19540000
PA
USD
1055027.83000000
0.002546340148
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-170 B 4% 12/40
38377NRP1
381369.50050000
PA
USD
414689.64000000
0.001000865426
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
CGMS COML MTG TR 2017-MDDR
N/A
CGMS COML 2017-MDRA A 3.656% 7/10/22
125333AA2
4982000.00000000
PA
USD
5090414.80000000
0.012285863186
Long
ABS-MBS
CORP
US
N
2
2030-07-10
Fixed
0.03656000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/01/2045#G08671
3128MJW97
1024054.76920000
PA
USD
1105172.61000000
0.002667366023
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.03500000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2006-A2
N/A
MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2006-A2 STEP 02/25/2036
590215AA7
7543569.76000000
PA
USD
5292710.36000000
0.012774109364
Long
ABS-CBDO
CORP
US
N
2
2036-02-25
Variable
0.00297630
N
N
N
N
N
N
FREEPORT MCMORAN IN
549300IRDTHJQ1PVET45
FREEPORT MC 5.45% 3/43
35671DBC8
275000.00000000
PA
USD
341687.50000000
0.000824672652
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
0.05450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% #AL9282
3138ERJ43
1925536.53570000
PA
USD
2110398.25000000
0.005093507147
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 06/47#MA4511
36179TAL9
1728462.70500000
PA
USD
1870423.25000000
0.004514320551
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
0.04000000
N
N
N
N
N
N
STATE STR INVT TR
549300CCOK7OZZUAS108
State Street Instl US Govt MMkt Premier
857492706
259275185.26000000
NS
USD
259275185.26000000
0.625768150305
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2039#AW4267
3138XTW50
223843.61100000
PA
USD
246173.20000000
0.000594146130
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
0.04000000
N
N
N
N
N
N
BAYVIEW COML ASST TR 2007 2
N/A
BAYC 2007-2 M1 1ML+37 7/37
07325XAC4
29272.53580000
PA
USD
26486.18000000
0.000063925160
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.00487630
N
N
N
N
N
N
BATTALION CLO X LTD / BATTALION CLO X LLC
N/A
BATTALION CLO X LTD / BATTALION CLO X LLC 3ML+117 01/25/2035 144A
07132JBC7
12000000.00000000
PA
USD
12000000.00000000
0.028962346690
Long
ABS-CBDO
CORP
KY
N
2
2035-01-25
Variable
0.00000000
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
1897540.09600000
PA
USD
1963731.23000000
0.004739522057
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
Fixed
0.02500000
N
N
N
N
N
N
CWALT INC
N/A
CWALT INC 5.5% 05/25/2035
12667GAH6
2924849.19600000
PA
USD
2886783.16000000
0.006967334558
Long
ABS-CBDO
CORP
US
N
2
2035-05-25
Fixed
0.05500000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 4.875% 11/14/2048
00287YBD0
585000.00000000
PA
USD
743504.92000000
0.001794470604
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 5.0% 06/01/2041#AI4778
3138AJJY9
145611.14880000
PA
USD
167522.80000000
0.000404321117
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
PNC BANK NA PITTSBURGH PA
AD6GFRVSDT01YPT1CS68
PNC BK NA PITTSBURGH PA MEDIUM TERM SR BK NTS BOOK ENTRY 3.25% 06/01/2025
69353REQ7
1710000.00000000
PA
USD
1874988.82000000
0.004525339687
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.03250000
N
N
N
N
N
N
MARTIN MARIETTA MATERIALS INC
5299005MZ4WZECVATV08
MARTIN MARIETTA MATERIALS INC 2.5% 03/15/2030
573284AV8
655000.00000000
PA
USD
679945.40000000
0.001641067867
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2045#MA3035
36179RLQ0
3085265.98300000
PA
USD
3391449.32000000
0.008185360915
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.04000000
N
N
N
N
N
N
MERCK and CO INC
4YV9Y5M8S0BRK1RP0397
MERCK and CO INC NEW 3.4% 03/07/2029
58933YAX3
1400000.00000000
PA
USD
1579066.76000000
0.003811123245
Long
DBT
CORP
US
N
2
2029-03-07
Fixed
0.03400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 8/37 #G06089
3128M8C28
45845.82070000
PA
USD
54473.91000000
0.000131474355
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2033#709470
31401JFK9
84504.67120000
PA
USD
95803.94000000
0.000231225577
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2043#G07345
3128M9P63
3562486.20460000
PA
USD
3960140.89000000
0.009557914449
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2015-GC29
N/A
CITIGROUP COML MTG TR 2015-GC29 XA CSTR 04/10/2048
17323VBF1
30481226.35430000
PA
USD
1123251.48000000
0.002710999898
Long
ABS-MBS
CORP
US
N
2
2048-04-10
Variable
0.01036067
N
N
N
N
N
N
CAESARS ENTERTAINMENT INC
5299000BKFWWVND5L441
CAESARS ENTERTAINMENT INC 6.25% 07/01/2025 144A
28470RAH5
380000.00000000
PA
USD
402323.10000000
0.000971018425
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.06250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2044#AW5713
3138XVK33
3536.86250000
PA
USD
3926.52000000
0.000009476769
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04500000
N
N
N
N
N
N
DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC
N/A
DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC 20-85A A1 3ML+135 10/15/2032 144A
26246BAA2
5609000.00000000
PA
USD
5629321.41000000
0.013586529858
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01563250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 12/41 #AJ7680
3138E0RA9
25409.94500000
PA
USD
27779.71000000
0.000067047132
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.03500000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS PARTNERS L P NEW 4.85% 03/01/2048
96949LAE5
100000.00000000
PA
USD
116082.38000000
0.000280168177
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
0.04850000
N
N
N
N
N
N
CHURCHILL DOWNS INC
529900FODTBQC8MIS994
CHURCHILL DOWNS TERM B 12/27/2024
17148PAD3
1100000.00000000
PA
USD
1094500.00000000
0.002641607371
Long
LON
CORP
US
N
2
2024-12-27
Variable
0.04350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0214
3138MFGY7
137627.72120000
PA
USD
150635.08000000
0.000363562117
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AH4404
3138A53N0
788610.28550000
PA
USD
869526.51000000
0.002098627353
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
MYLAN INC
30ZMPDNA1RHIBH89C294
MYLAN INC 5.2% 04/15/2048
628530BJ5
1530000.00000000
PA
USD
1851206.65000000
0.004467940732
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
0.05200000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/41 #489862
36210EFB0
457247.70160000
PA
USD
506580.43000000
0.001222646503
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2028#MA1580
31418AXJ2
354420.62730000
PA
USD
374837.03000000
0.000904680001
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
0.03000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNMA 0.5% 06/17/2025
3135G04Z3
1685000.00000000
PA
USD
1678488.08000000
0.004051079474
Long
DBT
USGSE
US
N
2
2025-06-17
Fixed
0.00500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2042#AO5578
3138LWFU0
10031.10980000
PA
USD
11217.74000000
0.000027074339
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/47#Q48877
3132WN2K7
5949973.76340000
PA
USD
6541611.19000000
0.015788367599
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
CNOOC FINANCE 2013 LTD
5493006KAH3PSSMCES09
CNOOC FINANCE 2013 LTD 2.875% 09/30/2029
12625GAF1
1615000.00000000
PA
USD
1652851.56000000
0.003989204992
Long
DBT
CORP
VG
N
2
2029-09-30
Fixed
0.02875000
N
N
N
N
N
N
OWENS CORNING NEW
JO5M6676RDJIZ2U8X907
OWENS CORNING NEW 4.3% 07/15/2047
690742AG6
3010000.00000000
PA
USD
3421723.66000000
0.008258428909
Long
DBT
CORP
US
N
2
2047-07-15
Fixed
0.04300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2045#AZ0814
3138YR3Y2
1407062.12360000
PA
USD
1524215.80000000
0.003678738869
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 4.5% 04/01/2042#AK8453
3138EDMB4
301859.40970000
PA
USD
337756.65000000
0.000815185432
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.4% 08/15/2049
674599CY9
1809000.00000000
PA
USD
1593050.63000000
0.003844873720
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
0.04400000
N
N
N
N
N
N
VIRGINIA ELECTRIC AND POWER CO
CQKUMNNZVDJLRYV2PT43
VIRGINIA ELECTRIC AND POWER CO 6% 05/15/2037
927804FB5
950000.00000000
PA
USD
1323407.95000000
0.003194083321
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
0.06000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.95% 01/25/27 144A
25714PDT2
600000.00000000
PA
USD
670500.00000000
0.001618271121
Long
DBT
NUSS
DO
N
2
2027-01-25
Fixed
0.05950000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 3.1% 07/17/2022
713448CX4
260000.00000000
PA
USD
268930.86000000
0.000649072400
Long
DBT
CORP
US
N
2
2022-07-17
Fixed
0.03100000
N
N
N
N
N
N
CONSOLIDATED EDISON CO OF NY
VZFZPMWDHTQCFKYOBP05
CONSOLIDATED EDISON CO OF NY 3.95% 04/01/2050
209111FY4
1808000.00000000
PA
USD
2049643.21000000
0.004946873103
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
0.03950000
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
6546506.93000000
0.015800183609
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.02277000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 2/40 #AE0061
31419AB71
346127.26280000
PA
USD
412207.18000000
0.000994873937
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 05/01/2042#AO2961
3138LTJF6
6965.04510000
PA
USD
7709.91000000
0.000018608090
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.04000000
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
13996602.42670000
PA
USD
13910106.22000000
0.033572443236
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01232000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 3.5% 09/01/2030
404119CA5
525000.00000000
PA
USD
546248.23000000
0.001318385884
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 04/01/2043#AT3094
3138WQNL2
14384.28260000
PA
USD
15033.15000000
0.000036282941
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.02500000
N
N
N
N
N
N
TRINET GROUP INC
5299003FJVBETSFKE990
TRINET GROUP INC 3.5% 03/01/2029 144A
896288AA5
165000.00000000
PA
USD
163556.25000000
0.000394747734
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
0.03500000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS LP
5493005UEC8AZ34LDV29
CHENIERE ENERGY PARTNERS LP 5.25% 10/01/2025
16411QAB7
1195000.00000000
PA
USD
1228221.00000000
0.002964346867
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
0.05250000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 6.9% 03/19/2049
71647NBD0
980000.00000000
PA
USD
1093337.00000000
0.002638800436
Long
DBT
CORP
NL
N
2
2049-03-19
Fixed
0.06900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 04/01/2043#Q16915
3132J8DV9
60247.47570000
PA
USD
65012.20000000
0.000156908822
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
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
326897.62000000
0.000788976850
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 4% 10/45#AY3962
3138YHML1
98469.80600000
PA
USD
107984.97000000
0.000260624844
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3.814%/VAR 04/23/2029
38141GWV2
4195000.00000000
PA
USD
4722807.35000000
0.011398631985
Long
DBT
CORP
US
N
2
2029-04-23
Variable
0.03814000
N
N
N
N
N
N
SPRINGLEAF FINANCE CORPORATION
5493008I795YYBFWFU90
SPRINGLEAF FINANCE CORP 5.375% 11/15/2029
85172FAR0
1679000.00000000
PA
USD
1771345.00000000
0.004275192333
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.05375000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 4% 06/15/2029
91529YAN6
5961000.00000000
PA
USD
6583358.98000000
0.015889127097
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
0.04000000
N
N
N
N
N
N
ENDEAVOR ENERGY RES L P / EER FIN INC
N/A
ENDEAVOR ENERGY RES L P / EER FIN INC 5.75% 01/30/2028 144A
29260FAE0
180000.00000000
PA
USD
190260.00000000
0.000459198006
Long
DBT
CORP
US
N
2
2028-01-30
Fixed
0.05750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2043#Q16749
3132J75K4
49372.04040000
PA
USD
54588.01000000
0.000131749739
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
RAYMOND JAMES FINANCIAL INC.
RGUZHJ05YTITL6D76949
RAYMOND JAMES FINANCIAL INC 4.95% 07/15/2046
754730AF6
2050000.00000000
PA
USD
2587345.98000000
0.006244634273
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
0.04950000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
APACHE CORP 4.875% 11/15/2027
037411BJ3
260000.00000000
PA
USD
272529.40000000
0.000657757580
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
0.04875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 6.0% 11/01/2037#A67449
3128KYH28
3369.76580000
PA
USD
4023.68000000
0.000009711267
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% 12/41 #AJ4198
3138AVUY9
352871.66890000
PA
USD
390719.03000000
0.000943011667
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
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
820061.26000000
0.001979241543
Long
DBT
USGSE
US
N
2
2024-01-15
Fixed
0.03550000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP REC 1.57 02/16/22
N/A
-9300000.00000000
NC
USD
-213231.89000000
-0.00051464132
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS FSWP IRS 02/18/32 1.57%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2032-02-18
0.00000000
USD
0.00000000
USD
-9300000.00000000
USD
1.00000000
1.57000000
USD
2022-02-16
XXXX
34148.11000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2044#Q30880
3132QL6S7
103151.25720000
PA
USD
117289.47000000
0.000283081524
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.075/VAR 04/23/2029
172967LW9
15580000.00000000
PA
USD
17744054.21000000
0.042825787476
Long
DBT
CORP
US
N
2
2029-04-23
Variable
0.04075000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG ENERGY INC 3.375% 02/15/2029 144A
629377CQ3
45000.00000000
PA
USD
44545.05000000
0.000107510765
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.03375000
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
214471.00000000
0.000517631954
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 6/25 #MA0442
31417YP43
20813.66420000
PA
USD
21987.37000000
0.000053067152
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
0.04500000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 2007 3
N/A
BAYC 2007-3 M2 1ML+34 7/37
07325YAD0
17994.69950000
PA
USD
15951.99000000
0.000038500588
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.00457630
N
N
N
N
N
N
COMM 2014-LC17 MTG TR
N/A
COMM 2014-LC17 XA CSTR 10/47
12592MBL3
39889065.15630000
PA
USD
829030.40000000
0.002000888821
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Variable
0.00722050
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 01/01/2040#AC9526
31417WSQ5
426536.26530000
PA
USD
500859.83000000
0.001208839669
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 10/01/2037#BM1951
3140J6EZ6
739863.09000000
PA
USD
769770.06000000
0.001857862279
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.02500000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 4.6% 08/15/2045
20030NBQ3
2420000.00000000
PA
USD
3030415.86000000
0.007313996229
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
0.04600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 03/01/2033#ZS8690
3132A9UP0
522074.57700000
PA
USD
553780.17000000
0.001336564439
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3.625% 04/01/2027
126650DH0
2341000.00000000
PA
USD
2603257.64000000
0.006283037524
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.03625000
N
N
N
N
N
N
PRUDENTIAL FINL INC
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FINL INC 4.5% 11/16/2021
74432QBT1
1118000.00000000
PA
USD
1151069.44000000
0.002778139348
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 3.5% 11/01/2042#Q13237
3132HPS21
902852.02860000
PA
USD
985090.47000000
0.002377544309
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 4.5% 04/01/2044#Q25598
3132M53F7
3541805.78800000
PA
USD
3939541.02000000
0.009508196068
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04500000
N
N
N
N
N
N
FAHB 2021-HB1
N/A
FAHB 2021-HB1 VAR 02/25/2031 144A
31735RAA5
4361000.00000000
PA
USD
4361000.00000000
0.010525399492
Long
ABS-CBDO
CORP
US
N
2
2031-02-25
Variable
0.00875400
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
LENNAR CORP 5.25% 06/01/2026
526057CT9
2920000.00000000
PA
USD
3398004.00000000
0.008201180825
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.05250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2043#AA6294
36178D7F2
300045.14770000
PA
USD
318038.02000000
0.000767593949
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.03000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV.5% MAC 03/17/26
N/A
23857000.00000000
NC
USD
-319241.46000000
-0.00077049848
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2026-03-17
0.00000000
USD
0.00000000
USD
23786614.42000000
USD
-319241.46000000
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2012-LC9
N/A
J P MORGAN CHASE COML MTG SECS TR 2012-LC9 3.353% 12/15/2047 144A
46639EAJ0
750000.00000000
PA
USD
773031.60000000
0.001865734100
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
0.03353300
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/46#MA3521
36179R4E6
2407791.24010000
PA
USD
2595684.67000000
0.006264759942
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
0.03500000
N
N
N
N
N
N
LYB INTERNATIONAL FINANCE III LLC
N/A
LYB INTERNATIONAL FINANCE III LLC 2.25% 10/01/2030
50249AAG8
620000.00000000
PA
USD
616046.69000000
0.001486846484
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
0.02250000
N
N
N
N
N
N
JOHNSON and JOHNSON
549300G0CFPGEF6X2043
JOHNSON and JOHNSON 2.1% 09/01/2040
478160CR3
475000.00000000
PA
USD
444228.01000000
0.001072157136
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
0.02100000
N
N
N
N
N
N
ATLAS SR LN FD XVI LTD / ATLAS SR LN FD XVI LLC
N/A
ATLAS SR LN FD XVI LTD / ATLAS SR LN FD XVI LLC A 3ML+127 01/20/2034 144A
04940AAA0
2000000.00000000
PA
USD
2000612.00000000
0.004828534861
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Variable
0.00000000
N
N
N
N
N
N
ARES LV CLO LTD
N/A
ARES LV CLO LTD 2020-55A A1 3ML+170 04/15/2031 144A
04018BAA5
6330000.00000000
PA
USD
6344951.46000000
0.015313723659
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Variable
0.01941250
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2041#656540
36294QLV1
4037.86000000
PA
USD
4473.51000000
0.000010796945
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
AEP TEXAS INC
5493001L78U618KXNZ75
AEP TEXAS INC 3.8% 10/01/2047
00108WAF7
725000.00000000
PA
USD
798105.48000000
0.001926250633
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
0.03800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 04/01/2043#AR6071
3138W3W90
10506.83050000
PA
USD
11488.07000000
0.000027726788
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/20/2050#MA6599
36179VKL3
14489824.76000000
PA
USD
15097642.48000000
0.036438596309
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% 02/01/2041#A96822
312945SK5
511173.32070000
PA
USD
564139.36000000
0.001361566643
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
PUGET SOUND ENERGY INC
8MNFJR7KOMBQ7X62LK44
PUGET SOUND MTN 5.764% 7/15/40
745332CC8
285000.00000000
PA
USD
387871.89000000
0.000936140012
Long
DBT
CORP
US
N
2
2040-07-15
Fixed
0.05764000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BM4614
3140J9DU2
433338.46600000
PA
USD
465207.26000000
0.001122791162
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 4.00% 6/41 #768770
36176K2B2
44406.87620000
PA
USD
49211.84000000
0.000118774197
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
MIDOCEAN CREDIT CLO V
N/A
MIDOCEAN CREDIT CLO V 16-5A AR 3ML+112 07/19/2028 144A
59801TAL7
1568418.18700000
PA
USD
1568534.25000000
0.003785702728
Long
ABS-CBDO
CORP
KY
N
2
2028-07-19
Variable
0.01343380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2044#AV4104
3138XFR23
324761.35330000
PA
USD
359885.85000000
0.000868594896
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 5% 07/01/2036#310015
31374CK47
13749.85030000
PA
USD
15608.92000000
0.000037672579
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 6.00% 9/37 #942981
31413ECS2
5661.71940000
PA
USD
6760.66000000
0.000016317048
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 3.0% 07/01/2043#AS0038
3138W9BG4
579508.99350000
PA
USD
618960.69000000
0.001493879507
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 06/20/2050#MA6710
36179VN30
7130592.85700000
PA
USD
7410765.97000000
0.017886097771
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3% 2/43 #Q15438
3132J6PY4
638666.09110000
PA
USD
693765.99000000
0.001674424260
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.5% 03/13/2027
71654QCG5
30640000.00000000
PA
USD
31789000.00000000
0.076723669911
Long
DBT
CORP
MX
N
2
2027-03-13
Fixed
0.06500000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM LLC 5.85%/VAR 05/21/2043 144A
23311RAH9
7892000.00000000
PA
USD
7004150.00000000
0.016904718380
Long
DBT
CORP
US
N
2
2043-05-21
Variable
0.05850000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 4/41 #A97942
312946ZF6
499393.48100000
PA
USD
559551.07000000
0.001350492673
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
MACK-CALI REALTY LP
549300MJC9VNA6VSEE11
MACK CALI RLTY 3.15% 5/15/23
55448QAS5
3436000.00000000
PA
USD
3472569.38000000
0.008381146524
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.03150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AT9528
3138WXSS7
928909.48270000
PA
USD
992147.60000000
0.002394576896
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS LP/ TARGA RESOURCES PARTNERS FIN
N/A
TARGA RES P LP/TARGA RES P FIN 4.875% 02/01/2031 144A
87612BBR2
290000.00000000
PA
USD
297395.00000000
0.000717771424
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
0.04875000
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON CO
9R1Z5I36FERIBVKW4P77
SOUTHERN CALIFORNIA EDISON CO 3.6% 02/01/2045
842400GE7
2110000.00000000
PA
USD
2140721.37000000
0.005166692873
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 15YR 2.5% 11/01/2029#AS3743
3138WDER8
1113268.88750000
PA
USD
1169300.60000000
0.002822140780
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 12/40 #004882
36202FM78
24378.17970000
PA
USD
26817.37000000
0.000064724497
Long
ABS-MBS
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 4.0% 08/01/2042#AL2693
3138EJ7F9
10569488.44940000
PA
USD
11699819.14000000
0.028237851512
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.04000000
N
N
N
N
N
N
JOHNSON and JOHNSON
549300G0CFPGEF6X2043
JOHNSON and JOHNSON 3.625% 03/03/2037
478160CF9
1260000.00000000
PA
USD
1465312.33000000
0.003536573642
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% 10/01/2042#C04272
31292LW92
507722.59350000
PA
USD
542461.94000000
0.001309247564
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 3% 04/01/2046#Q39717
3132QWYP8
25164.05220000
PA
USD
26973.31000000
0.000065100862
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% 02/20/2050#MA6474
36179VFP0
2378008.97900000
PA
USD
2481477.10000000
0.005989116672
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 07/20/2045#MA2960
36179RJD2
189143.55220000
PA
USD
200180.87000000
0.000483142313
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2027#MA1257
31418AMF2
200883.42210000
PA
USD
210646.94000000
0.000508402475
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
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
658301.64000000
PA
USD
661908.08000000
0.001597534274
Long
ABS-CBDO
CORP
US
N
2
2049-12-25
Fixed
0.03000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
NETFLIX INC 5.375% 11/15/2029 144A
64110LAU0
120000.00000000
PA
USD
141774.00000000
0.000342175644
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
0.05375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34584
31307RCV5
49427.64760000
PA
USD
52996.31000000
0.000127908125
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% 08/43#AS0080
3138W9CS7
45557.23290000
PA
USD
49848.67000000
0.000120311205
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 4.5% 11/01/2047#MA3184
31418CRE6
859250.91570000
PA
USD
941026.17000000
0.002271193848
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.04500000
N
N
N
N
N
N
ENLINK MIDSTREAM LLC
54930000GY1H533OBE23
ENLINK MIDSTREAM LLC 5.625% 01/15/2028 144A
29336TAC4
220000.00000000
PA
USD
221925.00000000
0.000535622399
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.05625000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 4.95% 03/31/2030
404280CF4
1855000.00000000
PA
USD
2230172.90000000
0.005382586725
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
0.04950000
N
N
N
N
N
N
FORTIVE CORP
549300MU9YQJYHDQEF63
FORTIVE CORP 3.15% 06/15/2026
34959JAG3
275000.00000000
PA
USD
300421.31000000
0.000725075511
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.03150000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2043#Q15174
3132J6FQ2
30642.95130000
PA
USD
33910.19000000
0.000081843223
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.04000000
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
2827995.95300000
PA
USD
3065837.20000000
0.007399486656
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 3.0% 1/1/43 #AB7568
31417EMS7
101841.23000000
PA
USD
109092.61000000
0.000263298166
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 4.836% 05/09/2028
06738EAW5
6667000.00000000
PA
USD
7590138.62000000
0.018319018844
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
0.04836000
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 3.4% 04/16/2025 144A
74727PBC4
3165000.00000000
PA
USD
3456773.44000000
0.008343022566
Long
DBT
NUSS
QA
N
2
2025-04-16
Fixed
0.03400000
N
N
N
N
N
N
AASET 2019-1 TRUST
549300TXM3PCKZJKD061
AASET 2019-1 TRUST 3.844% 05/15/2039 144A
00256DAA0
5091418.66000000
PA
USD
5138820.28000000
0.012402691210
Long
ABS-CBDO
CORP
US
N
2
2039-05-15
Fixed
0.03844000
N
N
N
N
N
N
NEW YORK LIFE INSURANCE CO
TAE73CY392TBWJ3O3305
NEW YORK LIFE INSURANCE CO 3.75% 05/15/2050 144A
64952GAT5
5552000.00000000
PA
USD
6170969.00000000
0.014893811966
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 02/01/2041#AH2454
3138A3WQ6
28258.95120000
PA
USD
32537.87000000
0.000078531089
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 3% 12/01/2046#AS8453
3138WJMB1
297889.11700000
PA
USD
314817.50000000
0.000759821131
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03000000
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
PUCKW5P5O3XMOZVH7T53
SENSATA TECHNOLOGIES BV 4.875% 10/15/2023 144A
81725WAG8
300000.00000000
PA
USD
319500.00000000
0.000771122480
Long
DBT
CORP
NL
N
2
2023-10-15
Fixed
0.04875000
N
N
N
N
N
N
AFFRM 2021-A
N/A
AFFRM 2021-A 0.88% 08/15/2025 144A
00833MAA2
2207000.00000000
PA
USD
2208866.02000000
0.005331161955
Long
ABS-CBDO
CORP
US
N
2
2025-08-15
Fixed
0.00880000
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
617828.14000000
PA
USD
722965.00000000
0.001744896914
Long
ABS-CBDO
USGSE
US
N
2
2041-06-15
Fixed
0.05500000
N
N
N
N
N
N
TOWD PT MTG TR 2020
N/A
TOWD PT MTG TR 2020 1.75% 10/25/2060 144A
89179JAA4
6907388.28000000
PA
USD
7043545.34000000
0.016999800172
Long
ABS-CBDO
CORP
US
N
2
2060-10-25
Fixed
0.01750000
N
N
N
N
N
N
COSTCO WHOLESALE CORP NEW
29DX7H14B9S6O3FD6V18
COSTCO WHOLESALE CORP NEW 1.6% 04/20/2030
22160KAP0
540000.00000000
PA
USD
527935.27000000
0.001274187026
Long
DBT
CORP
US
N
2
2030-04-20
Fixed
0.01600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AB7936
31417EZA2
1777492.58110000
PA
USD
1898500.37000000
0.004582085492
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 3.557% 08/15/2027
05526DBB0
2140000.00000000
PA
USD
2324063.97000000
0.005609195535
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.03557000
N
N
N
N
N
N
CVR ENERGY INC
529900SOYZIXZBTXB558
CVR ENERGY INC 5.75% 02/15/2028 144A
12662PAD0
40000.00000000
PA
USD
39633.40000000
0.000095656355
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2031#MA2803
31418CDH4
211514.74200000
PA
USD
221962.15000000
0.000535712061
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
REGENERON PHARMACEUTICALS INC
549300RCBFWIRX3HYQ56
REGENERON PHARMACEUTICALS INC 2.8% 09/15/2050
75886FAF4
505000.00000000
PA
USD
450050.78000000
0.001086210559
Long
DBT
CORP
US
N
2
2050-09-15
Fixed
0.02800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 3/42 #AB4684
31417BF28
916302.41600000
PA
USD
1000326.16000000
0.002414316087
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.03500000
N
N
N
N
N
N
BAYLOR SCOTT and WHITE HLDGS
549300JQDKSBWYRGGV95
BAYLOR SCOTT and W 2.839% 11/15/2050
072863AJ2
120000.00000000
PA
USD
117885.58000000
0.000284520253
Long
DBT
CORP
US
N
2
2050-11-15
Fixed
0.02839000
N
N
N
N
N
N
CHARLES RIVER LABS INTL INC
549300BSQ0R4UZ5KX287
CHARLES RIVER LABS INTL INC 4.25% 05/01/2028 144A
159864AE7
330000.00000000
PA
USD
344437.50000000
0.000831309857
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
0.04250000
N
N
N
N
N
N
RABOBANK NEDERLAND COOPERATIEV E CENTRALE RAIFEISEN-BOERNELEE NBANK B.A.
DG3RU1DBUFHT4ZF9WN62
RABOBANK NEDERLAND 4.375% 08/04/2025
21684AAC0
7713000.00000000
PA
USD
8714939.99000000
0.021033759447
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
0.04375000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE LLC
W2ZGZGZKY5GGNY6F3V51
ROCKIES EXPRESS PIPELINE LLC 4.95% 07/15/2029 144A
77340RAR8
2375000.00000000
PA
USD
2538281.25000000
0.006126215129
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
0.04950000
N
N
N
N
N
N
CLUB 2019-HP1 A
N/A
CLUB 2019-HP1 A 2.59% 12/15/2026 144A
21055MAA9
4348608.19400000
PA
USD
4400739.31000000
0.010621311465
Long
ABS-CBDO
CORP
US
N
2
2026-12-15
Fixed
0.02590000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 11/35 #A80290
312926KB3
1567676.84740000
PA
USD
1788454.97000000
0.004316487740
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.05000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.882%/VAR 07/24/2038
46647PAJ5
4990000.00000000
PA
USD
5727741.21000000
0.013824068889
Long
DBT
CORP
US
N
2
2038-07-24
Variable
0.03882000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
HCP INC 3% 01/15/2030
42250PAA1
925000.00000000
PA
USD
982310.52000000
0.002370834819
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.03000000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
AXA EQUITABLE HLDGS INC 3.9% 04/20/2023
054561AC9
827000.00000000
PA
USD
884813.01000000
0.002135521762
Long
DBT
CORP
US
N
2
2023-04-20
Fixed
0.03900000
N
N
N
N
N
N
ZAYO GROUP HLDGS INC
529900Z6OTS7RT0V0I47
ZAYO TERM 1LN 03/09/2027
98919XAB7
1500000.00000000
PA
USD
1497135.00000000
0.003613378576
Long
LON
CORP
US
N
2
2027-03-09
Variable
0.03114500
N
N
N
N
N
N
SUNOCO LP / SUNOCO FIN CORP
N/A
SUNOCO LP / SUNOCO FIN CORP 5.875% 03/15/2028
86765LAN7
55000.00000000
PA
USD
58307.67000000
0.000140727246
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
0.05875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2044#AS3179
3138WCQ97
17838.30230000
PA
USD
19803.56000000
0.000047796464
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2047#BC7535
3140F3LR7
27600.51590000
PA
USD
30279.02000000
0.000073079289
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AK6572
3138EBJS5
952427.28510000
PA
USD
1040061.26000000
0.002510217899
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 10/41 #Q03643
3132GJWC9
467531.11640000
PA
USD
525165.45000000
0.001267501986
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 3.5% 11/42#AB6934
31417DV42
266527.18200000
PA
USD
291633.70000000
0.000703866360
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO SOFR+0 11/19/2041
46647PBV7
10825000.00000000
PA
USD
10350414.79000000
0.024981025127
Long
DBT
CORP
US
N
2
2041-11-19
Variable
0.02525000
N
N
N
N
N
N
TEXTRON INC
3PPKBHUG1HD6BO7RNR87
TEXTRON INC 2.45% 03/15/2031
883203CC3
1870000.00000000
PA
USD
1846283.18000000
0.004456057795
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
0.02450000
N
N
N
N
N
N
RECETTE CLO LTD
549300392I5L5XOJ0016
RCTTE 1A 3ML+108 04/20/2034 144A
75620TAW8
4700000.00000000
PA
USD
4700000.00000000
0.011343585786
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.00000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 5.3% 05/15/2049
25470DBG3
4320000.00000000
PA
USD
5380919.47000000
0.012987004600
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
0.05300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2042#AB7124
31417D4J9
1133714.61500000
PA
USD
1249720.49000000
0.003016236508
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 3.5% 07/01/2046#Q41359
3132WEQM7
13652.61300000
PA
USD
14888.19000000
0.000035933076
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
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
113668.99890000
PA
USD
125500.09000000
0.000302898093
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 2.5% 04/01/2043#AT2998
3138WQKL5
814204.98320000
PA
USD
850933.61000000
0.002053752851
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.02500000
N
N
N
N
N
N
WOLVERINE WORLD WIDE INC
549300OVC7PK14LQ8D87
WOLVERINE WORLD WIDE INC 6.375% 05/15/2025 144A
978097AF0
270000.00000000
PA
USD
288562.50000000
0.000696453930
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.06375000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO 4.125% 8/15/23
94974BFN5
280000.00000000
PA
USD
304423.90000000
0.000734735877
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 30YR 4.5% 12/01/2045#G61796
31335B7H3
367177.71000000
PA
USD
410304.90000000
0.000990282730
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2048#BM4676
3140J9FS5
1682719.20070000
PA
USD
1849527.66000000
0.004463888441
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 06/30/2022
912828XG0
20330000.00000000
PA
USD
20872398.10000000
0.050376135835
Long
DBT
UST
US
N
2
2022-06-30
Fixed
0.02125000
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
4253613.35000000
0.010266218710
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 3.0% 06/01/2042#G07032
3128M9ED0
466049.73050000
PA
USD
498210.80000000
0.001202446159
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
HEINZ HJ FIN 7.125 8/1/39 144A
42307TAH1
9093000.00000000
PA
USD
13334845.95000000
0.032184035955
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 30YR 4% 07/42#AO9948
3138M2BS4
71824.92290000
PA
USD
79483.64000000
0.000191836061
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.7% 10/23/2024
61761JVL0
21259000.00000000
PA
USD
23463629.73000000
0.056630148237
Long
DBT
CORP
US
N
2
2024-10-23
Fixed
0.03700000
N
N
N
N
N
N
JERSEY CENTRAL POWR and LIGHT CO
549300W9UGH9ZPLNPF79
JERSEY CENTRAL POWR and LIGHT CO 4.3% 01/15/2026 144A
476556DC6
2000000.00000000
PA
USD
2211501.84000000
0.005337523583
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.04300000
N
N
N
N
N
N
BENCHMARK 2020-B19 A5
N/A
BENCHMARK 2020-B19 A5 1.787% 09/15/2053
08162WBA3
5800000.00000000
PA
USD
5854192.30000000
0.014129262248
Long
ABS-MBS
CORP
US
N
2
2053-09-15
Fixed
0.01787000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 06/01/2032#C91456
3128P7TM5
4827092.55220000
PA
USD
5188367.12000000
0.012522273940
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
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
248398.06320000
PA
USD
281668.10000000
0.000679814096
Long
ABS-CBDO
USGSE
US
N
2
2035-09-25
Fixed
0.05900000
N
N
N
N
N
N
CF INDS INC
5FVKT86LAD2F40NPC183
CF INDUSTRIES INC 5.375% 03/15/2044
12527GAE3
525000.00000000
PA
USD
655593.75000000
0.001582294456
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
0.05375000
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
MATTEL INC 5.45% 11/01/41
577081AW2
20000.00000000
PA
USD
22600.00000000
0.000054545752
Long
DBT
CORP
US
N
2
2041-11-01
Fixed
0.05450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 07/01/2030#V60869
3132KE6E0
582450.42760000
PA
USD
612067.97000000
0.001477243728
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
0.02500000
N
N
N
N
N
N
IHO VERWALTUNGS GMBH
529900JL0HDVGZMUJF32
IHO VERWALTUNGS GMBH PIK 3.75% 09/15/2026 REGS
N/A
2500000.00000000
PA
3069040.89000000
0.007407218855
Long
DBT
CORP
DE
N
2
2026-09-15
Variable
0.03750000
N
N
Y
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A
202712BK0
3419000.00000000
PA
USD
3622595.67000000
0.008743239309
Long
DBT
CORP
AU
N
2
2034-09-12
Variable
0.03610000
N
N
N
N
N
N
DOUBLELINE FDS TR
54930080M2JY1L0IFX13
DoubleLine Total Return Bond N
258620202
125025914.60600000
NS
USD
1324024435.68000000
3.195571227704
Long
EC
RF
US
N
1
N
N
N
AMEREN ILL CO
RC71E2BZ6UOMFPDJSE79
AMEREN ILL CO 4.5% 03/15/2049
02361DAT7
295000.00000000
PA
USD
371739.39000000
0.000897203757
Long
DBT
CORP
US
N
2
2049-03-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 09/01/2046#G08729
3128MJY38
493101.31000000
PA
USD
542311.49000000
0.001308884448
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04500000
N
N
N
N
N
N
VMED O2 UK FINANCING I
213800MRR46ECNGZ7L69
VMED O2 UK FINANCING I 4.25% 01/31/2031 144A
92858RAA8
495000.00000000
PA
USD
483862.50000000
0.001167816122
Long
DBT
CORP
GB
N
2
2031-01-31
Fixed
0.04250000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.5% 04/01/2025
68389XBT1
6499000.00000000
PA
USD
6888694.01000000
0.016626062013
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2036#889583
31410KJ47
127223.76770000
PA
USD
144382.77000000
0.000348471986
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 30YR 3.0% 01/01/2044#MA1749
31418A5K0
11747.46520000
PA
USD
12536.19000000
0.000030256456
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 4.5% 10/01/2044#G60319
31335AK80
1803430.68900000
PA
USD
2048923.41000000
0.004945135845
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04500000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
AMERADA HESS CORP 7.875% 10/01/2029
023551AF1
5583000.00000000
PA
USD
7448383.98000000
0.017976889925
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.07875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.0% 02/15/2025
912828J27
10415000.00000000
PA
USD
11027694.87000000
0.026615660168
Long
DBT
UST
US
N
2
2025-02-15
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/45#AZ9583
3140E2UH2
208247.56570000
PA
USD
228370.59000000
0.000551179016
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 05/15/2042#AA1859
36177YB47
27069.30720000
PA
USD
29989.83000000
0.000072381321
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2044#AX6493
3138Y8GB0
264903.90040000
PA
USD
293508.99000000
0.000708392427
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/40 #AE3832
31419EHJ1
26793.69630000
PA
USD
30030.25000000
0.000072478875
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
ENTEGRIS INC
IYX6OWO7BT5DKO3BYG52
ENTEGRIS INC 4.375% 04/15/2028 144A
29362UAC8
325000.00000000
PA
USD
340999.75000000
0.000823012748
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
0.04375000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA CORP 2.85% 04/01/2030
67066GAF1
2598000.00000000
PA
USD
2794442.31000000
0.006744467248
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
0.02850000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3% 02/15/2047
912810RV2
12120000.00000000
PA
USD
14321010.91000000
0.034564173577
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719232
3620A5A90
58311.61640000
PA
USD
66592.38000000
0.000160722633
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 3.5% 11/47#V84700
3132LAGH9
272392.36600000
PA
USD
296874.04000000
0.000716514072
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
THUNDERBOLT AIRCRAFT LEASE LIM
N/A
THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A
886065AA9
9813777.54050000
PA
USD
9790739.70000000
0.023630233128
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 3.0% 08/01/2043#AS0305
3138W9KT6
578451.50880000
PA
USD
617831.21000000
0.001491153475
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 2.496/VAR 02/13/2031
06051GHZ5
650000.00000000
PA
USD
665853.74000000
0.001607057238
Long
DBT
CORP
US
N
2
2031-02-13
Variable
0.02496000
N
N
N
N
N
N
SAUDI ARABIA KINGDOM OF
54930044PULMORCKB765
SAUDI ARABIA KINGDOM OF 3.75% 01/21/2055 144A
80413TAR0
400000.00000000
PA
USD
395750.00000000
0.000955154058
Long
DBT
NUSS
SA
N
2
2055-01-21
Fixed
0.03750000
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
7116694.04000000
0.017176346672
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01561250
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
9120659.02000000
0.022012974048
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.04572000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
VISA INC 2.7% 04/15/2040
92826CAK8
145000.00000000
PA
USD
147617.15000000
0.000356278256
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
0.02700000
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
291770.10000000
0.000704195565
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
0.05125000
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
462879.83000000
PA
USD
80022.80000000
0.000193137339
Long
ABS-CBDO
USGA
US
N
2
2040-02-16
Variable
0.05842620
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY CORP 3.4% 03/01/2050
337932AM9
3431000.00000000
PA
USD
3122210.00000000
0.007535544038
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
0.03400000
N
N
N
N
N
N
ENTERGY LA LLC
0V5453U14HDZO63CGH17
ENTERGY LA LLC 2.4% 10/01/2026
29364WAY4
1070000.00000000
PA
USD
1136252.63000000
0.002742378549
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
0.02400000
N
N
N
N
N
N
UBS-BARCLAYS COML MTG TR 2012-C3
N/A
UBSBB 2012-C3 AS 3.814% 8/49
90349DAE2
1400000.00000000
PA
USD
1455710.90000000
0.003513400313
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
0.03814000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4% 05/01/2038#MA3361
31418CWX8
5972027.47500000
PA
USD
6466990.90000000
0.015608269374
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.04000000
N
N
N
N
N
N
LYB INTL FIN BV
549300J6QSW38QNOJK61
LYB INTL FIN BV 4.875% 03/15/2044
50247VAC3
825000.00000000
PA
USD
988192.48000000
0.002385031100
Long
DBT
CORP
NL
N
2
2044-03-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 9/36 #938577
31412YFS6
155073.94980000
PA
USD
182124.13000000
0.000439561849
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9337
36184HLS1
389380.50650000
PA
USD
409323.49000000
0.000987914068
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3% 09/42 #AP8070
3138MB6G6
406668.28000000
PA
USD
434988.78000000
0.001049857987
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
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 CSTR 06/25/2029
3137FNAG5
13965008.78000000
PA
USD
981981.71000000
0.002370041227
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Variable
0.00948316
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 12/20/2050#MA7052
36179VZR4
27306154.72300000
PA
USD
28401928.87000000
0.068548875883
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
0.02500000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERGY COMPANY
549300JD0S5IZJE9LY15
BERKSHIRE HATHAWAY ENERGY COMPANY 4.05% 04/15/2025 144A
084659AS0
16081000.00000000
PA
USD
17922921.44000000
0.043257488703
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.04050000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Forward: USD/EUR settle 2021-03-02
N/A
1.00000000
NC
N/A
74344.83000000
0.000179433395
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
15924415.00000000
EUR
19287947.64000000
USD
2021-03-02
74344.83000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 05/20/2049#BN2615
3617K53Y8
1564090.26300000
PA
USD
1717356.25000000
0.004144888925
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
0.04000000
N
N
N
N
N
N
ASHFORD HOSPITALITY TRUST 2018-ASHF
N/A
ASHFORD HOSPITALITY TRUST 2018-ASHF A 1ML+90 04/15/2035 144A
04410RAA4
3546915.75000000
PA
USD
3542797.43000000
0.008550643951
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Variable
0.01012000
N
N
N
N
N
N
QUEBEC PROVINCE CDA
549300WN65YFEQH74Y36
QUEBEC 7.125% 2/09/24
748148PD9
810000.00000000
PA
USD
963341.10000000
0.002325051576
Long
DBT
NUSS
CA
N
2
2024-02-09
Fixed
0.07125000
N
N
N
N
N
N
FLATIRON CLO LTD
N/A
FLATIRON CLO LTD 3ML+132 11/16/2032 144A
33883JAB7
7901000.00000000
PA
USD
7925034.84000000
0.019127300547
Long
ABS-CBDO
CORP
KY
N
2
2032-11-16
Variable
0.01513750
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
GENERAL ELEC CAP CORP MTN BE 3.45% 05/15/2024
36962G7K4
85000.00000000
PA
USD
91735.99000000
0.000221407462
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2045#Q37070
3132QT2C9
45682.18980000
PA
USD
49845.05000000
0.000120302468
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 8/37 #AE0265
31419AJK4
551053.44080000
PA
USD
643497.45000000
0.001553099686
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.06000000
N
N
N
N
N
N
AXALTA COAT/DUTCH HLD BV
N/A
AXALTA COAT/DUTCH HLD BV 4.75% 06/15/2027 144A
05454NAA7
240000.00000000
PA
USD
250800.00000000
0.000605313045
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.04750000
N
N
N
N
N
N
BENCHMARK 2019-B14 MTG TR
N/A
BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061
08162YAK8
22896056.70500000
PA
USD
1111681.40000000
0.002683075176
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
0.00787014
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2049#CA4406
3140QB3Q9
10247754.24200000
PA
USD
10942196.38000000
0.026409307092
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 30YR 4.5% 10/01/2041#AJ0998
3138ASDC3
103857.43330000
PA
USD
116273.11000000
0.000280628510
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 3.5% 02/01/2047#BE5696
3140FRKJ3
170945.70210000
PA
USD
184698.06000000
0.000445774103
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2047#BH5155
3140GTWR7
1195329.96380000
PA
USD
1273189.22000000
0.003072878965
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.03500000
N
N
N
N
N
N
CONSOLIDATED ENERGY FINANCE SA
549300PUNIS0USNSL750
CONSOLIDATED ENERGY FINANCE SA 6.5% 05/15/2026 144A
20914UAE6
375000.00000000
PA
USD
378750.00000000
0.000914124067
Long
DBT
CORP
LU
N
2
2026-05-15
Fixed
0.06500000
N
N
N
N
N
N
LYB INTERNATIONAL FINANCE III LLC
N/A
LYB INTERNATIONAL FINANCE III LLC 3.375% 05/01/2030
50249AAC7
1645000.00000000
PA
USD
1776304.10000000
0.004287161264
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9074
3138YPCL4
99861.18770000
PA
USD
109018.33000000
0.000263118889
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 4.5% 11/01/2040#AE9547
31419LTD5
112584.76090000
PA
USD
126184.48000000
0.000304549888
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
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 4.25% 05/15/2024 144A
68245XAC3
155000.00000000
PA
USD
156550.00000000
0.000377837947
Long
DBT
CORP
CA
N
2
2024-05-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2050#
31418DLT7
7999698.88200000
PA
USD
8369307.37000000
0.020199565133
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
COX COMMUNICATIONS INC NEW
5493001NEDZNIFRP2R92
COX COMMUNICATIONS INC NEW 3.15% 08/15/2024 144A
224044CH8
4500000.00000000
PA
USD
4840943.63000000
0.011683757309
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.03150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2047#AS9968
3138WLCE1
650419.39700000
PA
USD
712253.34000000
0.001719044013
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 07/47#MA4587
36179TCY9
2922537.40920000
PA
USD
3161198.83000000
0.007629644705
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
0.04000000
N
N
N
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 3.3% 07/15/2025 144A
00130HCB9
10697000.00000000
PA
USD
11468936.60000000
0.027680609831
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.03300000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-ASH8
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-ASH8 STEP 02/15/2035 144A
46649JAA6
7820000.00000000
PA
USD
7829500.52000000
0.018896725705
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Variable
0.00912000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2034#G16829
3128MFY28
1763818.37700000
PA
USD
1889580.74000000
0.004560557707
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 07/01/2032#J37270
31307UCF3
106746.21240000
PA
USD
115187.14000000
0.000278007490
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q33791
3132QQF98
169750.09850000
PA
USD
183945.71000000
0.000443958285
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 1/35 #003664
36202EB99
511034.03510000
PA
USD
576088.11000000
0.001390405297
Long
ABS-MBS
USGA
US
N
2
2035-01-20
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3% 2/1/43 #Q15788
3132J62W3
96267.80420000
PA
USD
104212.15000000
0.000251519034
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% 6/39 #AA7681
31416RRB1
288782.49430000
PA
USD
322312.97000000
0.000777911664
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04500000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NISOURCE INC 2.95% 09/01/2029
65473PAH8
11346000.00000000
PA
USD
12012269.23000000
0.028991958831
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
0.02950000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 4.3% 03/25/2028
126650CX6
1331000.00000000
PA
USD
1532112.81000000
0.003697798530
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
0.04300000
N
N
N
N
N
N
KAISER FNDTN HOSPS
DW4Z57L3G4IRMHYZYK62
KAISER FNDTN HOSPS 4.15% 05/01/2047
48305QAD5
1000000.00000000
PA
USD
1223316.10000000
0.002952508749
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
0.04150000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.5% 04/15/2024
29278NAH6
1723000.00000000
PA
USD
1889127.82000000
0.004559464572
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
0.04500000
N
N
N
N
N
N
UNITED RENTALS NORTH AMER INC
NGIZXNT70J2LYT3FBI09
UNITED RENTALS NORTH AMER INC 4.875% 01/15/2028
911365BG8
2000000.00000000
PA
USD
2115000.00000000
0.005104613604
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2046#AS6515
3138WGGZ1
919696.52780000
PA
USD
1008567.08000000
0.002434205785
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.04000000
N
N
N
N
N
N
TELEFLEX INC
UUL85LWXB4NGSWWXIQ25
TELEFLEX INC 4.875% 06/01/2026
879369AE6
1000000.00000000
PA
USD
1030000.00000000
0.002485934757
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.04875000
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
4799618.53000000
0.011584017987
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
0.05625000
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
9779539.26000000
PA
USD
10019214.25000000
0.024181663055
Long
ABS-CBDO
USGSE
US
N
2
2033-05-25
Fixed
0.01850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/41 #AJ1224
3138ASLE0
104290.76310000
PA
USD
116758.24000000
0.000281799385
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030
92277GAV9
13000000.00000000
PA
USD
15387378.11000000
0.037137881622
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
0.04750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC 0.375% 04/20/2023
3137EAEQ8
885000.00000000
PA
USD
889601.12000000
0.002147078004
Long
DBT
USGSE
US
N
2
2023-04-20
Fixed
0.00375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2038#AV1874
3138XDCL2
575450.30460000
PA
USD
635192.29000000
0.001533054943
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
0.04000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 4.25% 06/15/2048
91324PDL3
1625000.00000000
PA
USD
1964267.19000000
0.004740815612
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
0.04250000
N
N
N
N
N
N
INDONESIA ASAHAN ALUMINIUM TBK PT
2549008P48EB9SN2OI80
INDONESIA ASAHAN ALUMINIUM TBK PT 6.53% 11/15/2028 144A
74445PAC6
1050000.00000000
PA
USD
1278375.00000000
0.003085394995
Long
DBT
CORP
ID
N
2
2028-11-15
Fixed
0.06530000
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
829736.54000000
PA
USD
970169.20000000
0.002341531393
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Variable
0.09777740
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 11/42 #MA0534
36179MSX9
378945.25800000
PA
USD
414082.24000000
0.000999399449
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.03500000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING CO
549300G6UZOB126GBY72
GE CAP INTL FDG CO MEDIUM TERM NTS BOOK ENTRY 144A 3.373% 11/15/2025
36164Q6M5
625000.00000000
PA
USD
681917.26000000
0.001645827008
Long
DBT
CORP
IE
N
2
2025-11-15
Fixed
0.03373000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 08/01/2041#AI5189
3138AJXT4
22112.92670000
PA
USD
25426.67000000
0.000061368002
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.05000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CMBX AAACDSIGEN 08/61
N/A
6200000.00000000
NC
USD
-42314.38000000
-0.00010212697
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
24281.06000000
USD
6200000.00000000
USD
-18033.32000000
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 2.625% 03/19/2027
713448ER5
839000.00000000
PA
USD
905032.17000000
0.002184321289
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
0.02625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2044 #AL5713
3138ENK32
2188619.82300000
PA
USD
2452995.03000000
0.005920374374
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2045#AZ3743
3138YVER6
1870011.32250000
PA
USD
2017529.41000000
0.004869365519
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.03500000
N
N
N
N
N
N
INEOS QUATTRO FINANCE 2
213800V48W4Y5MT5Q131
INEOS QUATTRO FINANCE 2 3.375% 01/15/2026 144A
45674GAA2
275000.00000000
PA
USD
274312.50000000
0.000662061143
Long
DBT
CORP
GB
N
2
2026-01-15
Fixed
0.03375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 10/01/2049#QA3907
31339UKU3
1799920.79900000
PA
USD
1912330.89000000
0.004615465851
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
VIRGIN MEDIA BRISTOL LLC
N/A
VIRGIN MEDIA TERM N 01/31/2028
N/A
2000000.00000000
PA
USD
1994540.00000000
0.004813879913
Long
LON
CORP
US
N
2
2028-01-31
Variable
0.02612250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2045#AZ9524
3140E2SN2
65462.92300000
PA
USD
70627.04000000
0.000170460401
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 5.0% 03/01/2041#A97520
312946K96
96900.16070000
PA
USD
111516.97000000
0.000269149428
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.05000000
N
N
N
N
N
N
HEWLETT PACKARD ENTERPRISE CO
549300BX44RGX6ANDV88
HEWLETT PACKARD ENTERPRISE CO VAR 10/15/2022
42824CAN9
5700000.00000000
PA
USD
6028932.01000000
0.014551001587
Long
DBT
CORP
US
N
2
2022-10-15
Variable
0.04400000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 01/20/2044#MA1599
36179NX45
1546120.09330000
PA
USD
1638758.51000000
0.003955191009
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
0.03000000
N
N
N
N
N
N
FORTIS INC
549300MQYQ9Y065XPR71
FORTIS INC 3.055% 10/04/2026
349553AM9
301000.00000000
PA
USD
325868.18000000
0.000786492267
Long
DBT
CORP
CA
N
2
2026-10-04
Fixed
0.03055000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/01/2046#Q40165
3132WDFF6
25651.26560000
PA
USD
27495.55000000
0.000066361304
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
CLEVELAND-CLIFFS INC 4.875% 03/01/2031 144A
185899AL5
110000.00000000
PA
USD
107318.75000000
0.000259016903
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
0.04875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 7/40 #A92914
312941GX9
28373.54520000
PA
USD
32680.12000000
0.000078874413
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2035#843431
31407XA84
1922425.38750000
PA
USD
2187661.26000000
0.005279983654
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.05000000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST TXBL
452151LF8
23505000.00000000
PA
USD
26257905.60000000
0.063374213778
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
0.05100000
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
499436.34000000
0.001205404035
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
0.03737000
N
N
N
N
N
N
NATIONSTAR HECM LOAN TRUST
N/A
NATIONSTAR HECM LOAN TRUST 2.2722% 11/25/2029 144A
63862UAA6
2240923.25000000
PA
USD
2245347.50000000
0.005419211061
Long
ABS-CBDO
CORP
US
N
2
2029-11-25
Fixed
0.02272200
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
470732.10000000
0.001136125523
Long
DBT
CORP
US
N
2
2042-05-01
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/49#CA4861
3140QCMK9
5243171.67300000
PA
USD
5648593.11000000
0.013633042663
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#Q24255
3132M4MC6
9068.24290000
PA
USD
10012.10000000
0.000024164492
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/46#AS7125
3138WG4K7
221055.08200000
PA
USD
230750.51000000
0.000556923022
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 09/45#MA3106
36179RNX3
15742.97900000
PA
USD
17305.32000000
0.000041766889
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
0.04000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR ULTRA FUT JUN21 UXYM1
N/A
143.00000000
NC
USD
-228208.95000000
-0.00055078889
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
$US 10YR NOTE ULTRA FUT CONTRACT UNDERLYING
2021-06-21
21298365.20000000
USD
-228208.95000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2045#BM4643
3140J9ER8
365470.92600000
PA
USD
405435.76000000
0.000978530920
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04500000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP 3.6% 09/15/2037
907818EQ7
640000.00000000
PA
USD
707118.28000000
0.001706650398
Long
DBT
CORP
US
N
2
2037-09-15
Fixed
0.03600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2049#CA4557
3140QCB39
2378935.89800000
PA
USD
2561397.19000000
0.006182006119
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03500000
N
N
N
N
N
N
WEYERHAEUSER CO
08IRJODWFYBI7QWRGS31
WEYERHAEUSER CO 4% 04/15/2030
962166BY9
1500000.00000000
PA
USD
1707082.59000000
0.004120093150
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04000000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 3.5% 06/01/2030
035240AV2
8175000.00000000
PA
USD
9036019.61000000
0.021808694387
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 5/39 #AA7165
31416Q6B6
17391.16200000
PA
USD
19407.25000000
0.000046839958
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AD8812
36180MYH4
182188.79180000
PA
USD
195268.43000000
0.000471285997
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
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
609252.84000000
PA
USD
573132.74000000
0.001383272426
Long
ABS-CBDO
CORP
US
N
2
2040-01-16
Fixed
0.04335000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.75% 01/15/2025
15135BAP6
3965000.00000000
PA
USD
4064125.00000000
0.009808883103
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 08/01/2050#SD0499
3132DMRU1
1372354.45000000
PA
USD
1470069.93000000
0.003548056247
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2045#G61242
31335BLX2
617423.94390000
PA
USD
690617.89000000
0.001666826230
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 4.0% 09/01/2043#Q21900
3132JPDD1
53967.32890000
PA
USD
59586.56000000
0.000143813884
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 4.00% 10/40 #A94605
312943DJ9
395485.54410000
PA
USD
436194.61000000
0.001052768293
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% 10/01/2045#AZ4750
3138YWH42
389152.45100000
PA
USD
421553.75000000
0.001017432154
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 20YR 3% 05/01/2033#AT3000
3138WQKN1
456303.53300000
PA
USD
487082.48000000
0.001175587637
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BOAM SWAP REC 0.71 03/30/2022
N/A
-4000000.00000000
NC
USD
-16817.44000000
-0.00004058937
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 04/01/32 .71%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2032-04-01
0.00000000
USD
0.00000000
USD
-4000000.00000000
USD
1.00000000
0.71000000
USD
2022-03-30
XXXX
138182.56000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/41 #AJ3402
3138AUX85
231769.85140000
PA
USD
259476.87000000
0.000626254922
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Forward: USD/EUR settle 2021-03-02
N/A
1.00000000
NC
N/A
-14840.26000000
-0.00003581739
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
9654133.00000000
EUR
11633353.84000000
USD
2021-03-02
-14840.26000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2045#AS6328
3138WGA61
322035.19550000
PA
USD
347439.33000000
0.000838554860
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 4% 12/01/2045#AS6350
3138WGBU7
595491.09120000
PA
USD
656755.39000000
0.001585098107
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 03/01/2051 #TBA
01F022634
114050000.00000000
PA
USD
118264501.06000000
0.285434790070
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/42#AP9654
3138MDWQ1
133887.31030000
PA
USD
146499.32000000
0.000353580341
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 04/01/2034#SB0378
3132CWM35
4578922.97300000
PA
USD
4928709.65000000
0.011895583134
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.03500000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
POST HLDGS INC 5.5% 12/15/2029 144A
737446AP9
270000.00000000
PA
USD
290590.20000000
0.000701347843
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.05500000
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
7489339.59000000
0.018075737473
Long
DBT
CORP
US
N
2
2021-09-25
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2032#BE3032
3140FNLN2
2536964.90300000
PA
USD
2663859.57000000
0.006429302033
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/32#BJ6650
3140H8L86
369832.32600000
PA
USD
392292.24000000
0.000946808654
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 3.347% 10/01/2029
20268JAB9
250000.00000000
PA
USD
269749.01000000
0.000651047028
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.03347000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.4% 06/10/2025
172967JT9
17376000.00000000
PA
USD
19516076.64000000
0.047102614806
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
0.04400000
N
N
N
N
N
N
EVEREST REINSUR HLDGS INC(OLD)
N/A
EVEREST REINSUR HLDGS INC(OLD) 3.5% 10/15/2050
299808AH8
855000.00000000
PA
USD
884794.06000000
0.002135476026
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15992
3132J7C67
224232.34850000
PA
USD
248131.86000000
0.000598873412
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 3.5% 06/01/2049#CA3726
3140QBD88
2932889.52000000
PA
USD
3155088.75000000
0.007614897851
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719228
3620A5A58
69011.64870000
PA
USD
78811.91000000
0.000190214821
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 3.0% 10/01/2042#AB6685
31417DNB5
499431.81910000
PA
USD
533432.04000000
0.001287453639
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
N
N
N
N
N
N
CARMAX AUTO OWNER TR 2021-1
N/A
CARMAX AUTO OWNER TR 2021-1 1.28% 07/15/2027
14316NAG4
200000.00000000
PA
USD
198382.02000000
0.000478800736
Long
ABS-CBDO
CORP
US
N
2
2027-07-15
Fixed
0.01280000
N
N
N
N
N
N
EXXON MOBIL CORP
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 3.452% 04/15/2051
30231GBM3
6000000.00000000
PA
USD
6156974.70000000
0.014860036318
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
0.03452000
N
N
N
N
N
N
ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC
N/A
ARDAGH PACKAGING FIN PLC / ARDAGH HLDGS USA INC 5.25% 08/15/2027 144A
03969AAR1
310000.00000000
PA
USD
321144.35000000
0.000775091166
Long
DBT
CORP
IE
N
2
2027-08-15
Fixed
0.05250000
N
N
N
N
N
N
MILLICOM INTL CELLULAR SA
549300CTHC1CP86P2G96
MILLICOM INTL CELLULAR SA 5.125% 01/15/2028 144A
600814AN7
385000.00000000
PA
USD
408382.98000000
0.000985644120
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2048#FM5661
3140X9JF3
1955560.00700000
PA
USD
2140993.44000000
0.005167349522
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 3.0% 01/01/2043#AB7458
31417EJC6
486427.71100000
PA
USD
524102.90000000
0.001264937490
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% 6/46#V82414
3132L7VF3
392645.09640000
PA
USD
420875.65000000
0.001015795540
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 11/20/2047#784391
3622A22Y7
10906073.91630000
PA
USD
11982073.71000000
0.028919081071
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 4.54% 08/15/2047
05526DBF1
9635000.00000000
PA
USD
9883475.47000000
0.023854053588
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
0.04540000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 4.7% 05/15/2045
00287YAS8
4100000.00000000
PA
USD
4965519.23000000
0.011984424119
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 4.00% 9/40 #004800
36202FKM7
130794.32280000
PA
USD
143883.64000000
0.000347267322
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04000000
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
1031547.93000000
0.002489670731
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
0.04800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33547
3132QP5H3
884533.10730000
PA
USD
958503.52000000
0.002313375937
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
PEACEHEALTH OBLIGATED GROUP
N/A
PEACEHEALTH OBLIGATED GROUP 1.375% 11/15/2025
70462GAB4
165000.00000000
PA
USD
166600.87000000
0.000402096012
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.01375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2047#BJ2421
3140H3VP8
124939.03900000
PA
USD
132999.01000000
0.000320996953
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2045#MA2962
36179RJF7
720215.69660000
PA
USD
791690.26000000
0.001910767315
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
0.04000000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Securities Lending Cash Central Fund
31635A303
819708474.16600000
NS
USD
819790445.01000000
1.978587923473
Long
STIV
RF
US
N
1
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2050#MA6600
36179VKM1
12432166.24200000
PA
USD
13131335.11000000
0.031692856663
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.03500000
N
N
N
N
N
N
KEYBANK NATL ASSN
HUX2X73FUCYHUVH1BK78
KEYBANK NATL ASSN CLVLD MTN BE 3.9% 04/13/2029
49327V2B9
1830000.00000000
PA
USD
2066229.25000000
0.004986903989
Long
DBT
CORP
US
N
2
2029-04-13
Fixed
0.03900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#Q24165
3132M4JJ5
398269.11760000
PA
USD
439691.34000000
0.001061207752
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
EGYPT, (ARAB) REP OF
529900GFIVH4086NMH82
EGYPT (ARAB) REP OF GLOBAL MTN BE 144A 7.6003% 03/01/2029 144A
03846JW71
632000.00000000
PA
USD
695595.00000000
0.001678838628
Long
DBT
NUSS
EG
N
2
2029-03-01
Fixed
0.07600300
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.125% 02/15/2031
91282CBL4
99909000.00000000
PA
USD
97458107.34000000
0.235217957712
Long
DBT
UST
US
N
2
2031-02-15
Fixed
0.01125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2041#Q02144
3132GFLZ8
257116.30710000
PA
USD
284761.76000000
0.000687280734
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.04000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.964/VAR 11/15/2048
46647PAL0
1270000.00000000
PA
USD
1474510.93000000
0.003558774729
Long
DBT
CORP
US
N
2
2048-11-15
Variable
0.03964000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NISOURCE FIN CORP 5.95% 06/15/2041
65473QAX1
640000.00000000
PA
USD
858311.57000000
0.002071559771
Long
DBT
CORP
US
N
2
2041-06-15
Fixed
0.05950000
N
N
N
N
N
N
PEOPLES UNITED BANK
N4662XQCE3KKIZ6EZS08
PEOPLE'S UNITED BANK 4.0% 07/15/2024
71270QEB8
40000.00000000
PA
USD
43505.95000000
0.000105002867
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.04000000
N
N
N
N
N
N
SFAVE COML MTG SECS TR 2015-5AVE
549300FIGODFFTOAAU64
SFAVE COML MTG SECS TR 15-5AVE VAR 01/05/2035 144A
78413MAC2
11245000.00000000
PA
USD
11342108.45000000
0.027374506427
Long
ABS-MBS
CORP
US
N
2
2043-01-05
Variable
0.03659000
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
932778.41000000
0.002251287641
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
0.04000000
N
N
N
N
N
N
GB 2020-FLIX A
N/A
GB 2020-FLIX C 1ML+175 08/25/2025 144A
368306AL0
500000.00000000
PA
USD
504771.10000000
0.001218279633
Long
ABS-MBS
CORP
TC
N
2
2037-08-15
Variable
0.01712000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 12/01/2049#QA5521
3133A0D27
2792276.22400000
PA
USD
2967534.28000000
0.007162229719
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34653
31307RE27
333268.92830000
PA
USD
357330.84000000
0.000862428305
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 15YR 2.5% 04/01/2031#AS7051
3138WGZR8
232590.33100000
PA
USD
245605.11000000
0.000592775028
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2050#CA5538
3140QDEL4
13333423.16000000
PA
USD
14253633.36000000
0.034401555913
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
WELLPOINT INC 3.3% 01/15/2023
94973VBA4
3395000.00000000
PA
USD
3568694.96000000
0.008613148388
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/41 #AH9861
3138AB5X3
4984.59660000
PA
USD
5594.50000000
0.000013502487
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 3.5% 02/20/2043#MA0783
36179M2Q2
415549.59420000
PA
USD
453691.06000000
0.001094996480
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% 09/44#AW7446
3138XXHY5
374131.01330000
PA
USD
411452.56000000
0.000993052640
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04000000
N
N
N
N
N
N
DB MASTER FIN LLC
549300F17UZJL70BPB08
DB MASTER FIN LLC 1A A2I 3.629% 11/20/2047 144A
233046AE1
4196220.00000000
PA
USD
4290257.29000000
0.010354659918
Long
ABS-CBDO
CORP
US
N
2
2047-11-20
Fixed
0.03629000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.5% 02/28/2026
91282CBQ3
950000.00000000
PA
USD
940054.69000000
0.002268849153
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.00500000
N
N
N
N
N
N
BX 2021-MFM1
N/A
BX 2021-MFM1 A 1ML+0 01/15/2034 144A
05608VAA4
3562000.00000000
PA
USD
3579104.37000000
0.008638271800
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Variable
0.00812250
N
N
N
N
N
N
BAIRD FDS INC
5493001CJOVRFMYFIJ62
Baird Core Plus Bond Inst
057071870
60257188.93300000
NS
USD
715855404.52000000
1.727737700479
Long
EC
RF
US
N
1
N
N
N
RBS COML FDG INC 2013-GSP TR
N/A
RBSCF 2013-GSP A CSTR 1/32
74932QAA8
5000000.00000000
PA
USD
5295584.00000000
0.012781044977
Long
ABS-MBS
CORP
US
N
2
2032-01-15
Variable
0.03833600
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
2883766.84000000
PA
USD
2890558.11000000
0.006976445509
Long
ABS-CBDO
CORP
GB
N
2
2069-12-22
Variable
0.00952380
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.625% 12/15/2029
15135BAT8
7750000.00000000
PA
USD
8362250.00000000
0.020182531967
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.04625000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 3.625% 05/01/2022 144A
05401AAE1
2155000.00000000
PA
USD
2195242.23000000
0.005298280544
Long
DBT
CORP
KY
N
2
2022-05-01
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2042#AB6212
31417C3W3
870831.09750000
PA
USD
930115.36000000
0.002244860293
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03000000
N
N
N
N
N
N
RALI SER 2006 QS4 TR
N/A
RALI SER 2006 QS4 TR 6% 04/25/2036
749228AD4
2135065.41200000
PA
USD
2038757.52000000
0.004920600175
Long
ABS-CBDO
CORP
US
N
2
2036-04-25
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2041#AK4260
3138E8WW8
34041.25950000
PA
USD
38887.30000000
0.000093855622
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04500000
N
N
N
N
N
N
SS and C TECHNOLOGIES INC
549300KY09TR3J12JU49
SS and C TECHNOLOGIES TERM B4 1LN 04/16/2025
78466DBE3
216147.78000000
PA
USD
215337.23000000
0.000519722625
Long
LON
CORP
US
N
2
2025-04-16
Variable
0.01864500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 04/01/2035#G30917
3132J4G37
565816.92800000
PA
USD
602223.68000000
0.001453484250
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.03000000
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
5266885.83900000
PA
USD
5248893.63000000
0.012668356421
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Variable
0.00899500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2045#AS5645
3138WFHX7
1804559.23540000
PA
USD
1952553.30000000
0.004712543800
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03500000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 3.75% 08/15/2021
87165BAC7
2016000.00000000
PA
USD
2035250.84000000
0.004912136702
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
0.03750000
N
N
N
N
N
N
SUMMIT MATLS LLC / SUMMIT MATLS FIN CORP
N/A
SUMMIT MATLS LLC / FIN CORP 5.25% 01/15/2029 144A
86614RAN7
1000000.00000000
PA
USD
1061250.00000000
0.002561357535
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
0.05250000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 5.25% 05/15/2024 144A
05401AAD3
4140000.00000000
PA
USD
4507815.69000000
0.010879743402
Long
DBT
CORP
KY
N
2
2024-05-15
Fixed
0.05250000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
EQUIFAX INC 2.6% 12/01/2024
294429AQ8
1245000.00000000
PA
USD
1324747.48000000
0.003197316316
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.02600000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 4.5% 07/01/2040
694308JQ1
445000.00000000
PA
USD
475682.36000000
0.001148073118
Long
DBT
CORP
US
N
2
2040-07-01
Fixed
0.04500000
N
N
N
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP 3.6% 01/15/2026
04010LAZ6
13816000.00000000
PA
USD
14762593.71000000
0.035629946422
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.03875000
N
N
N
N
N
N
DRYDEN 68 CLO LTD
N/A
DRYDEN 68 CLO LTD 3ML+131 07/15/2032 144A
26252QAA0
5220000.00000000
PA
USD
5223747.96000000
0.012607666619
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Variable
0.01551250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 05/01/2037#969230
31414LHF8
132788.52100000
PA
USD
154316.57000000
0.000372447500
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
0.05500000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS LTD
635400CPI3EOIFF6OC33
PARK AEROSPACE HOLDINGS LTD 5.5% 02/15/2024 144A
70014LAB6
12700000.00000000
PA
USD
13812220.66000000
0.033336193609
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 5.00% 8/39 #710776
36297FT93
54351.38260000
PA
USD
62121.55000000
0.000149932155
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 3% 11/01/2046#AS8269
3138WJFK9
3568955.82260000
PA
USD
3771771.73000000
0.009103280040
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS CORP 5.875% 11/15/2024
25470XAW5
200000.00000000
PA
USD
209516.00000000
0.000505672919
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
0.05875000
N
N
N
N
N
N
CFMT 2020-HB3
N/A
CFMT 2020-HB3 VAR 05/25/2030 144A
12529FAA1
445566.47000000
PA
USD
449863.16000000
0.001085757733
Long
ABS-CBDO
CORP
US
N
2
2030-05-25
Variable
0.02811500
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC VAR 08/28/2023
28414HAE3
4020000.00000000
PA
USD
4321500.00000000
0.010430065101
Long
DBT
CORP
US
N
2
2023-08-28
Variable
0.05272000
N
N
N
N
N
N
WAMU MTG PASS THROUGH CTFS
N/A
WAMU MTG PASS THROUGH CTFS STEP 01/25/2045
92922FD39
2397296.00000000
PA
USD
2340286.38000000
0.005648348790
Long
ABS-CBDO
CORP
US
N
2
2045-01-25
Variable
0.00857630
N
N
N
N
N
N
ALABAMA POWER and LIGHT
0RL818ELFOHP5JHOFU19
ALABAMA POWER 3.85% 12/01/42
010392FJ2
700000.00000000
PA
USD
793297.65000000
0.001914646797
Long
DBT
CORP
US
N
2
2042-12-01
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 06/01/2045#AZ3115
3138YUN98
62520.19800000
PA
USD
68620.16000000
0.000165616738
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
MEMORIAL SLOAN KETTERING CANCER CTR
549300IZ71UAMEHWL382
MEMORIAL SLOAN KTTRNG CNCR CTR 2.955% 01/01/2050
586054AD0
290000.00000000
PA
USD
291596.44000000
0.000703776432
Long
DBT
CORP
US
N
2
2050-01-01
Fixed
0.02955000
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
64125.00000000
0.000154767540
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 11/01/2046#G08737
3128MJZB9
764456.89400000
PA
USD
808132.46000000
0.001950451039
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 11/20/2042#AB9917
36178XAS6
87085.41400000
PA
USD
95891.10000000
0.000231435940
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 04/01/2027#AB4924
31417BPJ0
1288015.92830000
PA
USD
1361407.08000000
0.003285795319
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/01/2045#Q38812
3132QVYJ4
164026.04480000
PA
USD
179919.55000000
0.000434241031
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.0% 08/01/2032#AL6039
3138ENV97
1078531.78220000
PA
USD
1174998.68000000
0.002835893260
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.04000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.25% 06/15/2049
404119BZ1
5650000.00000000
PA
USD
7085447.87000000
0.017100933138
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
0.05250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2045#Q35722
3132QSLC0
786347.27290000
PA
USD
863278.54000000
0.002083547697
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM LLC 4.75% 09/30/2021 144A
23311RAE6
2017000.00000000
PA
USD
2033388.13000000
0.004907640998
Long
DBT
CORP
US
N
2
2021-09-30
Fixed
0.04750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 02/20/2043#AD1755
36180C5Q8
1704211.20220000
PA
USD
1852431.73000000
0.004470897498
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTB 3% 11/15/2044
912810RJ9
1780000.00000000
PA
USD
2086354.70000000
0.005035477345
Long
DBT
UST
US
N
2
2044-11-15
Fixed
0.03000000
N
N
N
N
N
N
US 2018-USDC
N/A
US 2018-USDC 4.106% 05/13/2038 144A
903442AA9
4000000.00000000
PA
USD
4372659.60000000
0.010553540274
Long
ABS-MBS
CORP
US
N
2
2038-05-13
Fixed
0.04106000
N
N
N
N
N
N
SALLY HOLDINGS LLC / SALLY CAP INC
N/A
SALLY HOLDINGS LLC / CAP INC 8.75% 04/30/2025 144A
79546VAM8
3067000.00000000
PA
USD
3373700.00000000
0.008142522419
Long
DBT
CORP
US
N
2
2025-04-30
Fixed
0.08750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#CA1545
3140Q8WF8
281290.51100000
PA
USD
306625.73000000
0.000740050058
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTL INC 1.125% 05/01/2023
718172CQ0
955000.00000000
PA
USD
970747.33000000
0.002342926726
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.01125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN 1.625% 11/15/22
912828TY6
42535000.00000000
PA
USD
43619974.70000000
0.105278069156
Long
DBT
UST
US
N
2
2022-11-15
Fixed
0.01625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 11/01/2049#
3132DV4H5
2086252.96830000
PA
USD
2182643.70000000
0.005267873628
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#733816
3620AMGZ9
217219.64340000
PA
USD
240655.60000000
0.000580829243
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 4.25% 08/15/2024
87165BAD5
6050000.00000000
PA
USD
6642448.49000000
0.016031741336
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2050#BP1932
3140K9EE5
274447.10200000
PA
USD
287127.33000000
0.000692990106
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 09/15/2023
91282CAK7
34020000.00000000
PA
USD
33948238.89000000
0.081935055354
Long
DBT
UST
US
N
2
2023-09-15
Fixed
0.00125000
N
N
N
N
N
N
SPRINGLEAF FINANCE CORPORATION
5493008I795YYBFWFU90
SPRINGLEAF FIN CRP MED TRM NTS 6.875% 03/15/2025
85172FAM1
1165000.00000000
PA
USD
1313980.20000000
0.003171329174
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.06875000
N
N
N
N
N
N
AHS HOSPITAL CORP
549300D7W3C9Z4RGJG34
AHS HOSPITAL CORP 2.78% 07/01/2051
001306AC3
315000.00000000
PA
USD
302500.64000000
0.000730094034
Long
DBT
CORP
US
N
2
2051-07-01
Fixed
0.02780000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
COLOMBIA REPUBLIC OF 5.2% 05/15/2049
195325DQ5
200000.00000000
PA
USD
222687.50000000
0.000537462714
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
0.05200000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
COMMONWEALTH EDISON CO 3.7% 03/01/2045
202795JF8
315000.00000000
PA
USD
350032.67000000
0.000844813961
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
0.03700000
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
2109895.46430000
PA
USD
2062576.21000000
0.004978087272
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01612000
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
2364457.77000000
0.005706687139
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 2.5% 06/01/2043#AT5890
3138WTRL2
22206.79550000
PA
USD
23208.54000000
0.000056014481
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.02500000
N
N
N
N
N
N
LCCM 2014-909 MORTGAGE TRUST
549300LIDRVT45XGLR93
LCCM 2014-909 A 3.388% 05/15/2031 144A
50185VAA1
2400000.00000000
PA
USD
2399559.84000000
0.005791406999
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Fixed
0.03388000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/43#AB8499
31417FNR5
74353.20990000
PA
USD
80460.60000000
0.000194193982
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 II 3.5% 03/20/2043#AA6141
36178DZE4
857488.59940000
PA
USD
934049.98000000
0.002254356612
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
OI EUROPEAN GROUP BV
72450053F5WRDY8CDZ66
OI EUROPEAN GROUP BV 4% 03/15/2023 144A
67777LAC7
290000.00000000
PA
USD
296525.00000000
0.000715671654
Long
DBT
CORP
NL
N
2
2023-03-15
Fixed
0.04000000
N
N
N
N
N
N
CONTINENTAL RESOURCES INC OKLA
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC OKLA 5.75% 01/15/2031 144A
212015AT8
770000.00000000
PA
USD
867951.70000000
0.002094826503
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
0.05750000
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
1705666.23860000
PA
USD
1854402.89000000
0.004475654950
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% 03/01/2042#Q06998
3132GSDB2
744664.18500000
PA
USD
813191.83000000
0.001962661975
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.03500000
N
N
N
N
N
N
CINTAS CORP NO 2
549300QVUQTTKMTE0G41
CINTAS CORP NO 2 3.7% 04/01/2027
17252MAN0
1035000.00000000
PA
USD
1170996.71000000
0.002826234390
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.03700000
N
N
N
N
N
N
ASGN INC
LZBNYYCBUKY537072438
ASGN INC 4.625% 05/15/2028 144A
00191UAA0
110000.00000000
PA
USD
114675.00000000
0.000276771425
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
0.04625000
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
680000.00000000
PA
USD
701093.60000000
0.001692109658
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.05250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.50% 9/39 #G06670
3128M8W75
439186.47880000
PA
USD
527803.90000000
0.001273869961
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #793122
36177MPG1
66280.42750000
PA
USD
72202.31000000
0.000174262361
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPER LLC/CAP CORP 3.7% 04/01/2051
161175BV5
6675000.00000000
PA
USD
6348602.05000000
0.015322534464
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
0.03700000
N
N
N
N
N
N
US TREAS BD STRIPPED PRIN PMT
N/A
USTPRIN 0% 08/15/2047
912803EZ2
6300000.00000000
PA
USD
3529685.19000000
0.008518997181
Long
DBT
UST
US
N
2
2047-08-15
Fixed
0.00000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 09/20/2042 #MA0391
36179MNG1
638136.42450000
PA
USD
680958.06000000
0.001643511951
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2032#C91403
3128P7RY1
5251989.02280000
PA
USD
5645064.16000000
0.013624525440
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.03500000
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
1235553.39000000
0.002982043802
Long
DBT
CORP
US
N
2
2024-06-03
Fixed
0.03500000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 1.75% 06/16/2022
694308JE8
1025000.00000000
PA
USD
1027746.47000000
0.002480495797
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
0.01750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2049#FM1338
3140X4PY6
1676420.08700000
PA
USD
1841204.47000000
0.004443800182
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.04500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.25% 05/15/2050
912810SN9
237700000.00000000
PA
USD
191961319.12000000
0.463304189621
Long
DBT
UST
US
N
2
2050-05-15
Fixed
0.01250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2045#AY5622
3138YKG80
2795510.82670000
PA
USD
3049234.74000000
0.007359416139
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
CHEVRON USA INC
VA8TZDWPEZYU430RZ444
CHEVRON USA INC 5.25% 11/15/2043
166756AU0
295000.00000000
PA
USD
397991.52000000
0.000960564031
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
0.05250000
N
N
N
N
N
N
TREEHOUSE FOODS INC
5493007M7EVHE470Q576
TREEHOUSE FOODS INC 4% 09/01/2028
89469AAD6
505000.00000000
PA
USD
518988.50000000
0.001252593738
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
0.04000000
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
341922.75000000
0.000825240435
Long
DBT
MUN
US
N
2
2038-01-01
Fixed
0.02833000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.375% 02/15/2023
912828Z86
7940000.00000000
PA
USD
8132296.88000000
0.019627533468
Long
DBT
UST
US
N
2
2023-02-15
Fixed
0.01375000
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
4691983.33000000
PA
USD
4692712.00000000
0.011325995988
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
0.00828250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2043#AS9172
3138WKFN0
136398.13730000
PA
USD
150899.69000000
0.000364200761
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
NEW JERSEY ST TPK AUTH TPK REV
5493005YN67D71KSMI84
NJ TPK 1.963% 1/1/2032
646140DV2
1000000.00000000
PA
USD
980370.00000000
0.002366151318
Long
DBT
MUN
US
N
2
2032-01-01
Fixed
0.01963000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 02/01/2029#J27464
31307GJH3
394437.90520000
PA
USD
424425.17000000
0.001024362409
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2032#MA3060
31418CMJ0
1720177.02200000
PA
USD
1826793.59000000
0.004409019107
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2044#MA2303
36179QRY9
2281021.19950000
PA
USD
2468288.71000000
0.005957286112
Long
ABS-MBS
USGA
US
N
2
2044-10-20
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
1777610.10000000
0.004290313333
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Fixed
0.03314000
N
N
N
N
N
N
HILTON DOMESTIC OPERATING CO INC
5493003EG7H0N1E4XV50
HILTON DOMESTIC OPERATING CO INC 3.625% 02/15/2032 144A
432833AN1
325000.00000000
PA
USD
320073.00000000
0.000772505432
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 3/37 #256636
31371NBD6
209102.99450000
PA
USD
243101.22000000
0.000586731817
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2040#
312943B28
438321.18500000
PA
USD
483691.72000000
0.001167403940
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15400
3132J6NS9
137883.12290000
PA
USD
152584.61000000
0.000368267364
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
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
50280.04300000
PA
USD
53942.24000000
0.000130191154
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM OPER LP 5.375% 07/15/2025
23311VAG2
345000.00000000
PA
USD
367783.80000000
0.000887656826
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.05375000
N
N
N
N
N
N
OVINTIV INC
N/A
ENCANA CORP 5.15% 11/15/41
292505AK0
3000000.00000000
PA
USD
3091100.19000000
0.007460459613
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
0.05150000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
CBS CORP 4.6% 01/15/45
124857AN3
3065000.00000000
PA
USD
3536486.38000000
0.008535412050
Long
DBT
CORP
US
N
2
2045-01-15
Fixed
0.04600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2043#Q17518
3132J8YQ7
103036.04250000
PA
USD
113925.44000000
0.000274962340
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 3.5% 12/01/45#MA2495
31418BXZ4
1186816.73550000
PA
USD
1278956.68000000
0.003086798897
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
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
657341.29000000
PA
USD
659516.96000000
0.001591763236
Long
ABS-CBDO
CORP
US
N
2
2026-02-17
Fixed
0.02480000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 6/40 #AD7859
31418VWV0
231562.76490000
PA
USD
266625.56000000
0.000643508492
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 06/01/2045#AY8494
3138YNNL7
188654.24160000
PA
USD
207060.82000000
0.000499747271
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERGY COMPANY
549300JD0S5IZJE9LY15
MDAMERICAN ENR 6.125% 4/01/36
59562VAM9
3050000.00000000
PA
USD
4266689.04000000
0.010297777266
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
0.06125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2035#AB0067
31416VCD4
1584983.76460000
PA
USD
1790480.56000000
0.004321376560
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.05000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST 2020
N/A
MARLETTE FUNDING TRUST 2020 2.24% 03/15/2030 144A
57109JAA6
935857.25700000
PA
USD
940582.40000000
0.002270122796
Long
ABS-CBDO
CORP
US
N
2
2030-03-15
Fixed
0.02240000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2041#AI3533
3138AG4T2
92152.94140000
PA
USD
103428.58000000
0.000249627865
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 02/01/2042#AK2415
3138E6VH6
651096.67570000
PA
USD
720726.78000000
0.001739494905
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT CORP 3.9% 10/01/2027
26884LAF6
180000.00000000
PA
USD
186697.80000000
0.000450600534
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
0.03900000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.7% 04/15/2048
55336VAN0
1330000.00000000
PA
USD
1455255.41000000
0.003512300975
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
0.04700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 06/01/2033#AT6090
3138WTXU5
462632.17500000
PA
USD
493838.01000000
0.001191892304
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 30YR 5% 12/01/2034#745318
31403DAT6
1200195.32310000
PA
USD
1331046.86000000
0.003212520051
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 3/36 #003829
36202EHE2
35700.23460000
PA
USD
40411.00000000
0.000097533116
Long
ABS-MBS
USGA
US
N
2
2036-03-20
Fixed
0.05000000
N
N
N
N
N
N
SS and C TECHNOLOGIES INC
549300KY09TR3J12JU49
SS and C TECHNOLOGIES TERM B-5 04/16/25
78466DBF0
600000.00000000
PA
USD
597750.00000000
0.001442686894
Long
LON
CORP
US
N
2
2025-04-16
Variable
0.01864500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 09/44#G07828
3128MAA58
313698.80600000
PA
USD
348742.51000000
0.000841700123
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04500000
N
N
N
N
N
N
PHILIPPINES REPUBLIC OF
529900RAHBALMYIJ3T08
PHILIPPINES GOVT 3.7% 03/01/41
718286CA3
1010000.00000000
PA
USD
1069968.75000000
0.002582400490
Long
DBT
NUSS
PH
N
2
2041-03-01
Fixed
0.03700000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
ARAMARK SERVICES INC 5% 02/01/2028 144A
038522AQ1
1990000.00000000
PA
USD
2039750.00000000
0.004922995555
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 30YR 3.5% 05/44#AV8070
3138XK6G4
18668.30050000
PA
USD
20438.50000000
0.000049328910
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.03500000
N
N
N
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV 3.125% 11/01/2024 REGS
N/A
2500000.00000000
PA
3069161.55000000
0.007407510071
Long
DBT
CORP
NL
N
2
2024-11-01
Fixed
0.03125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 03/01/2051 #TBA
21H020634
77300000.00000000
PA
USD
78500554.03000000
0.189463355099
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
0.02000000
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
4380203.95000000
0.010571748781
Long
ABS-CBDO
CORP
KY
N
2
2032-05-29
Variable
0.01574380
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
545214.63600000
PA
USD
546428.17000000
0.001318820175
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 30YR 3% 03/01/2050#FM2870
3140X6FL0
20692345.11600000
PA
USD
22101034.45000000
0.053341485162
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
NUTRIEN LTD 4.9% 06/01/2043
67077MAR9
825000.00000000
PA
USD
1025700.16000000
0.002475556969
Long
DBT
CORP
CA
N
2
2043-06-01
Fixed
0.04900000
N
N
N
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
ALUM CO AM 6.75% 1/15/28
022249AU0
345000.00000000
PA
USD
409687.50000000
0.000988792617
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.06750000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
LENNAR CORP 4.75% 11/29/2027
526057CD4
9350000.00000000
PA
USD
10822625.00000000
0.026120718112
Long
DBT
CORP
US
N
2
2027-11-29
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#BC0532
3140EUSW0
88499.69200000
PA
USD
97051.44000000
0.000234236454
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 15YR 3% 12/34#FM0045
3140X3BP2
530407.62200000
PA
USD
572895.92000000
0.001382700854
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/41 #004945
36202FP67
23678.80140000
PA
USD
26051.91000000
0.000062877037
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04000000
N
N
N
N
N
N
CIT GROUP INC NEW
N8O96ZZJQRFYQUJY7K79
CIT GROUP INC NEW 3.929/VAR 06/19/2024
125581HA9
1375000.00000000
PA
USD
1455781.25000000
0.003513570105
Long
DBT
CORP
US
N
2
2024-06-19
Variable
0.03929000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPER LLC/CAP CORP 4.908% 07/23/2025
161175AY0
7565000.00000000
PA
USD
8635995.66000000
0.020843225026
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
0.04908000
N
N
N
N
N
N
SOUTHERN CALIFORNIA EDISON CO
9R1Z5I36FERIBVKW4P77
SOUTHERN CAL ED 5.55 1/15/37
842400FF5
430000.00000000
PA
USD
531037.97000000
0.001281675482
Long
DBT
CORP
US
N
2
2037-01-15
Fixed
0.05550000
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
274662.75000000
0.000662906482
Long
DBT
CORP
US
N
2
2044-10-15
Fixed
0.04100000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
BERRY PLASTICS TERM Y 1LN 07/01/2026
08579JBF8
600000.00000000
PA
USD
599466.00000000
0.001446828510
Long
LON
CORP
US
N
2
2026-07-01
Variable
0.02120500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90806
3132J23P6
927688.46400000
PA
USD
990568.30000000
0.002390765210
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC 2.375% 05/21/2023 144A
63906YAA6
10828000.00000000
PA
USD
11273491.75000000
0.027208898039
Long
DBT
CORP
GB
N
2
2023-05-21
Fixed
0.02375000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.5% 01/23/2029
71654QCP5
1190000.00000000
PA
USD
1186430.00000000
0.002863483081
Long
DBT
CORP
MX
N
2
2029-01-23
Fixed
0.06500000
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
1653525.49000000
0.003990831541
Long
DBT
CORP
US
N
2
2044-11-04
Fixed
0.04650000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
PFIZER INC 2.55% 05/28/2040
717081EZ2
1310000.00000000
PA
USD
1294258.65000000
0.003123730644
Long
DBT
CORP
US
N
2
2040-05-28
Fixed
0.02550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2041#AA3361
31416LWX0
36872.31360000
PA
USD
42420.88000000
0.000102384019
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% 10/01/45#AZ7723
3140E0SM8
11785.74070000
PA
USD
12995.79000000
0.000031365714
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 07/01/2032#G16459
3128MFMG0
439851.81520000
PA
USD
472501.31000000
0.001140395562
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2041#005258
36202FZX7
2650865.13270000
PA
USD
2899975.15000000
0.006999173807
Long
ABS-MBS
USGA
US
N
2
2041-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 03/20/2047#MA4323
36179SYU5
305692.33470000
PA
USD
335795.23000000
0.000810451489
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/46#MA3664
36179SB97
3135293.02700000
PA
USD
3440562.40000000
0.008303896753
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04000000
N
N
N
N
N
N
DIAGEO CAPITAL PLC
213800L23DJLALFC4O95
DIAGEO CAPITAL PLC 2.125% 04/29/2032
25243YBE8
390000.00000000
PA
USD
392530.31000000
0.000947383243
Long
DBT
CORP
GB
N
2
2032-04-29
Fixed
0.02125000
N
N
N
N
N
N
PERU, REPUBLIC OF
254900STKLK2DBJJZ530
PERU REPUBLIC OF 2.844% 06/20/2030
715638DA7
2030000.00000000
PA
USD
2097243.75000000
0.005061758381
Long
DBT
NUSS
PE
N
2
2030-06-20
Fixed
0.02844000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.00% 1/30 #MA0295
31417YKH9
7533.36820000
PA
USD
8455.12000000
0.000020406676
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.05000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE FRANCE 4.25% 04/14/2025 144A
83367TBJ7
21901000.00000000
PA
USD
23932683.50000000
0.057762223062
Long
DBT
CORP
FR
N
2
2025-04-14
Fixed
0.04250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 11/20/2042#MA0535
36179MSY7
28994.18900000
PA
USD
32116.23000000
0.000077513448
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/45#AL7623
3138EQPH9
1205859.49140000
PA
USD
1337455.30000000
0.003227987006
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP 3.75% 02/05/2070
907818FL7
315000.00000000
PA
USD
340466.42000000
0.000821725541
Long
DBT
CORP
US
N
2
2070-02-05
Fixed
0.03750000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GRP INC 3.4% 06/30/2030
026874DR5
15800000.00000000
PA
USD
17323374.22000000
0.041810464166
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
0.03400000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 5.71% 01/15/2026 144A
46115HAW7
7646000.00000000
PA
USD
8615371.12000000
0.020793447103
Long
DBT
CORP
IT
N
2
2026-01-15
Fixed
0.05710000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2049#BN6593
3140JPKF1
194854.11000000
PA
USD
206693.68000000
0.000498861168
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2045#MA2490
31418BXU5
186329.09670000
PA
USD
205459.58000000
0.000495882632
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 06/20/2047#MA4512
36179TAM7
3346643.92500000
PA
USD
3665222.00000000
0.008846119188
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
0.04500000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
EVERSOURCE ENERGY 1.65% 08/15/2030
30040WAK4
520000.00000000
PA
USD
501714.06000000
0.001210901378
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
0.01650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2047#BH0967
3140GPCD8
135541.69630000
PA
USD
148780.11000000
0.000359085093
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04500000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.113% 05/03/2029
345397ZR7
400000.00000000
PA
USD
438000.00000000
0.001057125654
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
0.05113000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AB2096
31416XKJ8
9721.68420000
PA
USD
10721.11000000
0.000025875708
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
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
1975656.18000000
0.004768303268
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
0.03500000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 3.45% 04/10/2022
37045XAW6
4650000.00000000
PA
USD
4777232.00000000
0.011529987450
Long
DBT
CORP
US
N
2
2022-04-10
Fixed
0.03450000
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
100463.25000000
0.000242470956
Long
DBT
MUN
US
N
2
2035-12-01
Fixed
0.05582000
N
N
N
N
N
N
CONOCOPHILLIPS INC
WPTL2Z3FIYTHSP5V2253
CONOCOPHILLIPS INC 2.4% 02/15/2031 144A
20825CAZ7
410000.00000000
PA
USD
416686.37000000
0.001005684592
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.02400000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.65% 05/11/2027
14040HCE3
15820000.00000000
PA
USD
17602744.09000000
0.042484731419
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
0.03650000
N
N
N
N
N
N
OHIO POWER CO
06ZODLC132CY1O2Y7D77
OHIO POWER CO 4% 06/01/2049
677415CR0
680000.00000000
PA
USD
787508.71000000
0.001900675023
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 15YR 3% 12/34#FM0047
3140X3BR8
3994432.84200000
PA
USD
4283200.38000000
0.010337627862
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/45#Q34074
3132QQQ47
12137.06700000
PA
USD
13243.08000000
0.000031962556
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 3.50% 3/42 #783550
36241L5K8
3475057.07650000
PA
USD
3769249.50000000
0.009097192565
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.03500000
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
1434509.37000000
0.003462229808
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
0.04400000
N
N
N
N
N
N
ARGENT SECS INC
N/A
ARGENT SECS INC 1ML+36 10/25/2035
040104NC1
45839.63600000
PA
USD
45839.64000000
0.000110635295
Long
ABS-CBDO
CORP
US
N
2
2035-10-25
Variable
0.00477630
N
N
N
N
N
N
PIONEER NATURAL RESOURCES CO
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 2.15% 01/15/2031
723787AR8
325000.00000000
PA
USD
316752.38000000
0.000764491020
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
0.02150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.0% 07/37#AD0688
31418MXS6
139123.84640000
PA
USD
161469.20000000
0.000389710579
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/2043 #MA1090
36179NF78
243209.70840000
PA
USD
265380.85000000
0.000640504348
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
0.03500000
N
N
N
N
N
N
XYLEM INC
549300DF5MV96DRYLQ48
XYLEM INC 4.875% 10/01/21
98419MAB6
525000.00000000
PA
USD
538371.89000000
0.001299376110
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
0.04875000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US FOODS INC 6.25% 04/15/2025 144A
90290MAC5
185000.00000000
PA
USD
196793.75000000
0.000474967401
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.06250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 8/35 #357953
31376KTJ5
34480.97320000
PA
USD
40771.94000000
0.000098404255
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.06000000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 2007 3
N/A
BAYC 2007-3 M3 1ML+37 7/37
07325YAE8
28820.78980000
PA
USD
25878.35000000
0.000062458145
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.00487630
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 06/01/2033#K90684
3132J2XM0
633835.48700000
PA
USD
676797.62000000
0.001633470609
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
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
2105742.20000000
0.005082269636
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
0.03337000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.05% 02/15/2028 144A
87264ABH7
1125000.00000000
PA
USD
1114166.25000000
0.002689072433
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.02050000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.125% 03/01/2027
55336VAK6
505000.00000000
PA
USD
565443.05000000
0.001364713137
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2044#Q27808
3132M8KV7
122198.29380000
PA
USD
134425.49000000
0.000324439803
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2044#AW5723
3138XVLD0
199459.36690000
PA
USD
221433.89000000
0.000534437090
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.6%/VAR PERP
48128BAG6
3870000.00000000
PA
USD
3947400.00000000
0.009527163943
Long
EP
CORP
US
N
2
N
N
N
PENTAIR FINANCE SA
549300H2U8U8TZPV3T89
PENTAIR FINANCE SA 4.5% 07/01/2029
709629AR0
4570000.00000000
PA
USD
5288401.08000000
0.012763708792
Long
DBT
CORP
LU
N
2
2029-07-01
Fixed
0.04500000
N
N
N
N
N
N
NAVIENT PRIVATE ED REFI LN TR 2021-A
N/A
NAVIENT PRIVATE ED REFI LN TR 2021-A 2.24% 05/15/2069 144A
63942BAB0
100000.00000000
PA
USD
98541.96000000
0.000237833867
Long
ABS-CBDO
CORP
US
N
2
2069-05-15
Fixed
0.02240000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 12/01/2046#G08741
3128MJZF0
5260855.98260000
PA
USD
5559779.40000000
0.013418688208
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 4.00% 2/42 #AK3455
3138E7ZV9
175640.94550000
PA
USD
194424.48000000
0.000469249099
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP
549300ZWL4J1LYMOWK56
USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP 6.875% 09/01/2027
91740PAF5
2575000.00000000
PA
USD
2703750.00000000
0.006525578738
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
0.06875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 5/37 #190379
31368HM42
201767.57880000
PA
USD
234788.11000000
0.000566667886
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 09/01/2048#ZS4788
3132A5J97
1201934.59900000
PA
USD
1259720.97000000
0.003040372955
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
0.03000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCES CO
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 1.9% 08/15/2030
723787AQ0
1470000.00000000
PA
USD
1413678.91000000
0.003411954891
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
0.01900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5% 12/01/2047#G61657
31335BZW9
370835.47670000
PA
USD
411824.48000000
0.000993950280
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 12/01/2030#BM4716
3140J9G21
1094868.58510000
PA
USD
1180559.13000000
0.002849313567
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
0.03500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Forward: USD/EUR settle 2021-04-06
N/A
1.00000000
NC
N/A
244020.16000000
0.000588949706
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
30655793.00000000
EUR
37265948.37000000
USD
2021-04-06
244020.16000000
N
N
N
STORE CAP CORP
5493004EA6C9IHDZ7N66
STORE CAP CORP 4.625% 03/15/2029
862121AB6
2475000.00000000
PA
USD
2815565.59000000
0.006795448895
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.04625000
N
N
N
N
N
N
PUGET ENERGY INC NEW
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC NEW 4.1% 06/15/2030
745310AK8
5059000.00000000
PA
USD
5649360.16000000
0.013634893960
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
0.04100000
N
N
N
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
4264344.24000000
0.010292118023
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Fixed
0.03644000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 8/42#AP4263
3138M7WZ4
68567.03820000
PA
USD
74070.59000000
0.000178771508
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 04/01/2028#MA1419
31418ASH2
278009.14080000
PA
USD
294023.86000000
0.000709635080
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 30YR 4% 12/45#BA6404
3140EBDJ7
295311.61140000
PA
USD
323847.66000000
0.000781615683
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
EXELON CORP 4.7% 04/15/2050
30161NAY7
1013000.00000000
PA
USD
1261976.86000000
0.003045817611
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
0.04700000
N
N
N
N
N
N
NAKILAT INC
2549006RMTDJWLLWF072
NAKILAT INC 6.067% 12/33 144A
62983PAA3
666000.00000000
PA
USD
839992.50000000
0.002027346166
Long
DBT
CORP
MH
N
2
2033-12-31
Fixed
0.06067000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.25% 02/15/2026
87264ABR5
3450000.00000000
PA
USD
3436717.50000000
0.008294616975
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.02250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 1/37 #661586
36294V6X3
4385.64920000
PA
USD
5050.97000000
0.000012190662
Long
ABS-MBS
USGA
US
N
2
2037-01-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/46#BC3920
3140EYLA7
178599.14540000
PA
USD
195745.61000000
0.000472437684
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% 06/01/2045#AZ1709
3138YS3T1
399299.59740000
PA
USD
440919.75000000
0.001064172555
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04500000
N
N
N
N
N
N
BOSTON UNIVERSITY
549300M1CR2B2GU2ZU17
BOSTON UNIVERSITY 4.061% 10/01/2048
89838QAA1
450000.00000000
PA
USD
545181.58000000
0.001315811494
Long
DBT
CORP
US
N
2
2048-10-01
Fixed
0.04061000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTB 3.625% 08/15/43
912810RC4
47280000.00000000
PA
USD
60869306.49000000
0.146909829779
Long
DBT
UST
US
N
2
2043-08-15
Fixed
0.03625000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.2% 08/15/2026
674599CR4
805000.00000000
PA
USD
770948.50000000
0.001860706478
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.03200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 7/42 #AO9368
3138M1MS4
74683.22680000
PA
USD
81648.27000000
0.000197060458
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03500000
N
N
N
N
N
N
ISHARES TRUST
549300G3FWQPUM47D181
iShares 20+ Year Treasury Bond ETF
464287432
6072060.00000000
NS
USD
869033227.20000000
2.097436800955
Long
EC
RF
US
N
1
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP 3.7% 08/08/2046
594918BT0
1965000.00000000
PA
USD
2318858.52000000
0.005596632031
Long
DBT
CORP
US
N
2
2046-08-08
Fixed
0.03700000
N
N
N
N
N
N
VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC
N/A
VOYA CLO 2020-2 LTD/LLC 3ML+160 07/19/2031 144A
92918HAA8
6400000.00000000
PA
USD
6413152.00000000
0.015478327633
Long
ABS-CBDO
CORP
US
N
2
2031-07-19
Variable
0.01823380
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2045#G61419
31335BSG2
1754936.18300000
PA
USD
1919244.72000000
0.004632152580
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 11/01/2033#G30872
3132J4FN4
6625040.28300000
PA
USD
7086515.41000000
0.017103509677
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03000000
N
N
N
N
N
N
PRUDENTIAL TOTAL RETURN BD FD INC
TMK5EH3X0S88LKHCV210
PGIM Total Return Bond A
74440B108
78761130.59000000
NS
USD
1153062951.84000000
2.782950747233
Long
EC
RF
US
N
1
N
N
N
MARLETTE FUNDING TRUST 2019
N/A
MARLETTE FUNDING TRUST 2019-4A A 2.39% 12/17/2029 144A
57110AAA2
1778308.84000000
PA
USD
1793387.30000000
0.004328392061
Long
ABS-CBDO
CORP
US
N
2
2029-12-17
Fixed
0.02390000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2048#CA1218
3140Q8K87
3222346.11800000
PA
USD
3519955.24000000
0.008495513666
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q32008
3132QNGS2
1103110.80360000
PA
USD
1204667.60000000
0.002907500056
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
METHANEX CORP
549300TSJHRXT9QXRD13
METHANEX CORP 5.65% 12/01/2044
59151KAJ7
105000.00000000
PA
USD
108150.00000000
0.000261023149
Long
DBT
CORP
CA
N
2
2044-12-01
Fixed
0.05650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/46#BC2843
3140EXER0
3462261.71100000
PA
USD
3836853.50000000
0.009260356772
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/41 #AI7910
3138AMYG4
67006.76620000
PA
USD
75017.12000000
0.000181055986
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
BCAP LLC 2012-RR5 TR
N/A
BCAP 2012-RR5 8A5 CSTR 07/36 144A
05539DBX7
39386.36240000
PA
USD
38957.23000000
0.000094024400
Long
ABS-CBDO
CORP
US
N
2
2036-07-26
Variable
0.00551630
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 4.6% 04/01/2024
92936UAA7
7436000.00000000
PA
USD
8233388.90000000
0.019871521979
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04600000
N
N
N
N
N
N
CLECO CORPORATE HLDGS LLC
5493002H80P81B3HXL31
CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029
18551PAE9
4448000.00000000
PA
USD
4608611.01000000
0.011123015819
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2042#AO3037
3138LTLT3
36191.63030000
PA
USD
40472.93000000
0.000097682585
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.04500000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
APPLE INC 3.25% 02/23/2026
037833BY5
7150000.00000000
PA
USD
7864248.54000000
0.018980591056
Long
DBT
CORP
US
N
2
2026-02-23
Fixed
0.03250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 01/46#MA3377
36179RXE4
327912.36790000
PA
USD
359839.72000000
0.000868483560
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 8/41 #005140
36202FV94
160196.25510000
PA
USD
179100.34000000
0.000432263844
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP REC 1.2925 01/13/2022
N/A
-6300000.00000000
NC
USD
-79944.73000000
-0.00019294891
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Put
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM FSWP IRS 01/18/32 1.2925%V3ML
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2032-01-18
0.00000000
USD
0.00000000
USD
-6300000.00000000
USD
1.00000000
1.29250000
USD
2022-01-13
XXXX
68278.52000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.5% 8/44#AS3037
3138WCLT8
87309.63290000
PA
USD
95561.37000000
0.000230640127
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.03500000
N
N
N
N
N
N
POWER FINANCE CORP LTD
3358003Q6D9LIJJZ1614
POWER FINANCE CORP LTD 6.15% 12/06/28 144A
73928QAA6
1650000.00000000
PA
USD
1955765.63000000
0.004720296851
Long
DBT
CORP
IN
N
2
2028-12-06
Fixed
0.06150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2045#BA4471
3140E86H6
16595.61430000
PA
USD
18244.52000000
0.000044033676
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04500000
N
N
N
N
N
N
BJS WHOLESALE CLUB INC
549300H2XDOGOSR9L398
BJS WHOLESALE CLUB TERM B 1LN 02/03/2024
N/A
575000.00000000
PA
USD
576052.25000000
0.001390318748
Long
LON
CORP
US
N
2
2024-02-03
Variable
0.02112250
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 12/20/2050#MA7051
36179VZQ6
2485444.15000000
PA
USD
2526691.34000000
0.006098242547
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 3/41 #A97528
312946LH7
123745.57590000
PA
USD
138652.13000000
0.000334640921
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
SYMPHONY CLO XXIII LTD
N/A
SYMPHONY CLO XXIII LTD 20-23A A 3ML+0 01/15/2034 144A
87167NAC9
3410000.00000000
PA
USD
3416005.01000000
0.008244626782
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Variable
0.01486650
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
3330537.62430000
PA
USD
3505707.92000000
0.008461127347
Long
ABS-CBDO
CORP
US
N
2
2059-10-25
Fixed
0.03500000
N
N
N
N
N
N
BLACKROCK BD FD INC
549300WQF7SM1NEFDT68
BlackRock Total Return Instl
09252M883
31411507.26900000
NS
USD
376938087.23000000
0.909750963591
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#BO1835
3140JWBD1
452783.78300000
PA
USD
492183.04000000
0.001187897986
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 1.764%/VAR 11/19/2031
46647PBU9
4860000.00000000
PA
USD
4673710.22000000
0.011280134643
Long
DBT
CORP
US
N
2
2031-11-19
Variable
0.01764000
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
1035679.26380000
PA
USD
1097123.11000000
0.002647938322
Long
ABS-CBDO
USGSE
US
N
2
2047-05-15
Fixed
0.03000000
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
3409345.54300000
PA
USD
3286313.17000000
0.007931611780
Long
ABS-CBDO
CORP
US
N
2
2039-04-15
Fixed
0.05095000
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
895486.41850000
PA
USD
176385.48000000
0.000425711451
Long
ABS-CBDO
USGSE
US
N
2
2045-06-25
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AL2266
3138EJQU5
362647.07640000
PA
USD
396467.98000000
0.000956886924
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 4.00% 10/40 #AE4428
31419E4N6
18554.72010000
PA
USD
20444.63000000
0.000049343705
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.4% 02/04/2041
02209SBM4
3820000.00000000
PA
USD
3584822.81000000
0.008652073420
Long
DBT
CORP
US
N
2
2041-02-04
Fixed
0.03400000
N
N
N
N
N
N
MIAMI-DADE CNTY FLA AVIAT REV
N/A
MIAMI-DADE AVI 2.529% 10/1/2030
59333P5G9
2000000.00000000
PA
USD
2045600.00000000
0.004937114699
Long
DBT
MUN
US
N
2
2030-10-01
Fixed
0.02529000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 2/34 #725162
31402CTT9
93870.79180000
PA
USD
109563.84000000
0.000264435493
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.06000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCS IRS 3MLV.75% MAC 03/17/31
N/A
3830000.00000000
NC
USD
-273688.43000000
-0.00066055493
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2031-03-17
0.00000000
USD
0.00000000
USD
3833340.33000000
USD
-273688.43000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 4.5% 04/15/2050 144A
87264AAY1
3381000.00000000
PA
USD
3757508.16000000
0.009068854501
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
0.04500000
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
14720607.39000000
0.035528611226
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
0.04900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/42#G60488
31335ARH3
4950593.67060000
PA
USD
5482500.80000000
0.013232174074
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
TRANSMONTAIGNE PARTNERS LP / TLP FINANCE CORP
N/A
TRANSMONTAIGNE PARTNERS LP 6.125% 02/15/2026
89376VAA8
233000.00000000
PA
USD
234544.79000000
0.000566080626
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.06125000
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
45498.80650000
PA
USD
40600.38000000
0.000097990190
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.00617630
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
AMGEN INC 4.663% 06/15/2051
031162CF5
175000.00000000
PA
USD
220426.60000000
0.000532005967
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
0.04663000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2020-JGDN
N/A
BAMLL COML MTG SECS TR 2020-JGDN VAR 1ML+275 11/15/2025 144A
05493DAA2
5954000.00000000
PA
USD
5967172.03000000
0.014401942091
Long
ABS-MBS
CORP
US
N
2
2030-11-15
Variable
0.02862000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2047#MA4452
36179S5M5
4562390.70530000
PA
USD
4936748.55000000
0.011914985252
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
0.04000000
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
1994134.83000000
0.004812902024
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.05542200
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPE 3.95% 2/15/23
105340AM5
4006000.00000000
PA
USD
4202080.24000000
0.010141842060
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.03950000
N
N
N
N
N
N
RMF BUYOUT ISSUANCE TRUST 2020-2
N/A
RMF BUYOUT ISSUANCE TRUST 2020-2 A 1.45% 06/25/2030 144A
74969BAA7
9679352.98000000
PA
USD
9703426.50000000
0.023419500197
Long
ABS-CBDO
CORP
US
N
2
2030-06-25
Fixed
0.01706300
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AB1801
31416XAB6
3219193.49060000
PA
USD
3548453.57000000
0.008564295209
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2047#Q51234
3132XTLQ9
33116.45400000
PA
USD
36159.73000000
0.000087272553
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
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
352110.66700000
PA
USD
388387.71000000
0.000937384958
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 4% 08/01/2048#CA2190
3140Q9NG4
281553.81100000
PA
USD
302865.41000000
0.000730974417
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 10/42 #Q11886
3132HNCX5
283907.62710000
PA
USD
310488.90000000
0.000749373930
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 08/01/2032#G18654
3128MMWQ2
78533.76500000
PA
USD
82508.79000000
0.000199137348
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2039#AW0113
3138XPDT7
1312222.89910000
PA
USD
1445174.44000000
0.003487970263
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP 3.25% 02/05/2050
907818FK9
1435000.00000000
PA
USD
1481729.17000000
0.003576196160
Long
DBT
CORP
US
N
2
2050-02-05
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 09/01/2042#AB6181
31417C2P9
173974.19570000
PA
USD
187938.29000000
0.000453594492
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2040#890310
31410LDP4
480149.12710000
PA
USD
538148.93000000
0.001298837990
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
METHODIST HOSPITAL/THE
549300Y1E42JLBRENF23
METHODIST HOSPITAL 2.705% 12/01/2050
591539AA9
1345000.00000000
PA
USD
1289436.27000000
0.003112091690
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
0.02705000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 3.375% 10/01/2024
828807CS4
2120000.00000000
PA
USD
2296576.64000000
0.005542854070
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.03375000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 1.875% 09/24/2026
3135G0Q22
355000.00000000
PA
USD
374056.57000000
0.000902796338
Long
DBT
USGSE
US
N
2
2026-09-24
Fixed
0.01875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #737532
3620ARLM1
18025.64320000
PA
USD
19860.44000000
0.000047933745
Long
ABS-MBS
USGA
US
N
2
2040-10-15
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
17576000.00000000
PA
USD
17630907.42000000
0.042552704430
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.01571250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 07/01/2031#J34888
31307RND3
2466253.50000000
PA
USD
2598020.49000000
0.006270397511
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
0.02500000
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
393000.00000000
PA
USD
404698.86000000
0.000976752390
Long
DBT
CORP
IE
N
2
2022-05-26
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/41#G06620
3128M8VM3
165975.11210000
PA
USD
185968.69000000
0.000448840806
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.04500000
N
N
N
N
N
N
SHERWIN WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
SHERWIN WILLIAMS CO 4.5% 06/01/2047
824348AX4
210000.00000000
PA
USD
253971.79000000
0.000612968252
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
FLORIDA PWR 6.35% 9/15/37
341099CH0
675000.00000000
PA
USD
967877.00000000
0.002335999102
Long
DBT
CORP
US
N
2
2037-09-15
Fixed
0.06350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#G08578
3128MJUC2
115145.77680000
PA
USD
128080.83000000
0.000309126783
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 5/40 #004695
36202FGC4
160330.18330000
PA
USD
176277.33000000
0.000425450428
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
0.04000000
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
16775000.00000000
PA
USD
18871875.00000000
0.045547815536
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.06500000
N
N
N
N
N
N
US TREASURY C0UPON STRIPS
254900HROIFWPRGM1V77
USTCOUP 0.0% 11/15/42
912834LX4
1280000.00000000
PA
USD
792337.92000000
0.001912330461
Long
DBT
UST
US
N
2
2042-11-15
Fixed
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 2/43 #AB8500
31417FNS3
557013.34160000
PA
USD
600155.58000000
0.001448492831
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 4% 02/46#Q38879
3132QV2M2
46426.22050000
PA
USD
50997.29000000
0.000123083432
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC
N/A
ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 3.5% 03/15/2029 144A
013092AG6
80000.00000000
PA
USD
76860.00000000
0.000185503830
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/46#AS7009
36193SYE3
110556.31600000
PA
USD
121118.38000000
0.000292322709
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORP TRUST 2019-BOCA
N/A
GS MORTGAGE SECURITIES CORP TRUST 2019-BOCA 1ML+120 06/15/2038 144A
36256QAA5
6630000.00000000
PA
USD
6646384.72000000
0.016041241541
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Variable
0.01312000
N
N
N
N
N
N
CEDF 2016-6A
N/A
CEDF 2016-6A 3ML+109 10/20/2028 144A
15032DAH4
1430000.00000000
PA
USD
1430652.08000000
0.003452920127
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Variable
0.01314000
N
N
N
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
3250894.50000000
0.007846127796
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Fixed
0.03540000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2042#AJ5572
3138AXFN6
38724.72000000
PA
USD
42866.05000000
0.000103458450
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 03/01/2051 #TBA
01F020638
140000000.00000000
PA
USD
141332730.00000000
0.341110627077
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
0.02000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER PARTNERS MLP 5.15% 03/15/2045
29273RBF5
10260000.00000000
PA
USD
10852415.58000000
0.026192618537
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
0.05150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/41#AH7932
3138A9Y65
225205.03970000
PA
USD
252127.27000000
0.000608516450
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+45 12/20/2049
38382BUU5
5664642.42300000
PA
USD
5711813.03000000
0.013785625767
Long
ABS-CBDO
USGA
US
N
2
2049-12-20
Variable
0.00561130
N
N
N
N
N
N
SAUDI ARABIAN OIL COMPANY
5586006WD91QHB7J4X50
SAUDI ARABIAN OIL COMPANY 2.25% 11/24/2030 144A
80414L2K0
600000.00000000
PA
USD
588201.00000000
0.001419640107
Long
DBT
CORP
SA
N
2
2030-11-24
Fixed
0.02250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/01/2040#G06023
3128M8AY0
42010.42770000
PA
USD
46336.81000000
0.000111835229
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% 12/20/2045#MA3311
36179RVC0
1208582.69680000
PA
USD
1326256.96000000
0.003200959489
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
0.04000000
N
N
N
N
N
N
ALTICE FING SA
549300DIYGW8HVDF7Q17
ALTICE FING SA 5% 01/15/2028 144A
02154CAF0
200000.00000000
PA
USD
200022.00000000
0.000482758875
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 15YR 3% 08/01/2032#J37452
31307UH50
134989.44600000
PA
USD
145663.70000000
0.000351563548
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 2.5% 10/01/2050#CA7229
3140QFA74
17647632.13000000
PA
USD
18476802.60000000
0.044594296885
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 08/01/41#890603
31410LNU2
33725.86630000
PA
USD
38561.31000000
0.000093068835
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.05000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 4.125% 12/01/2030 144A
126307BB2
215000.00000000
PA
USD
215860.00000000
0.000520984346
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 4/42 #G06993
3128M9C67
100486.16310000
PA
USD
109768.72000000
0.000264929977
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2046#V82292
3132L7RM3
368087.44500000
PA
USD
404328.86000000
0.000975859385
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
GLP CAP LP / GLP FING II INC
N/A
GLP CAP LP / GLP FING II INC 5.375% 04/15/2026
361841AH2
8185000.00000000
PA
USD
9398508.10000000
0.022683570830
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
0.05375000
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
39462.50000000
0.000095243883
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.04875000
N
N
N
N
N
N
FORD MOTOR CO
20S05OYHG0MQM4VUIC57
FORD MOTOR CO 9% 04/22/2025
345370CW8
1250000.00000000
PA
USD
1517450.00000000
0.003662409415
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
0.09000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2050#FM3830
3140X7HG7
48280375.16400000
PA
USD
51416320.72000000
0.124094775518
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 3.4% 04/01/2030
20030NDG3
2121000.00000000
PA
USD
2357978.71000000
0.005691049740
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
0.03400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AQ5065
3138MLTX2
322424.64900000
PA
USD
344374.61000000
0.000831158070
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES
8M3THTGWLTYZVE6BBY25
LUMEN TECHNOLOGIES 4.5% 01/15/2029 144A
156700BD7
705000.00000000
PA
USD
704118.75000000
0.001699410945
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
0.04500000
N
N
N
N
N
N
SASOL FING INTL PLC
N/A
SASOL FING INTL PLC 4.5% 11/14/2022
803865AA2
1790000.00000000
PA
USD
1843700.00000000
0.004449823216
Long
DBT
CORP
IM
N
2
2022-11-14
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 6.5% 07/15/2025
00774MAN5
4320000.00000000
PA
USD
5064354.84000000
0.012222966719
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 2.5% 10/01/2043#AL6851
3138EPTH7
499718.13850000
PA
USD
522260.32000000
0.001260490370
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 01/20/2045#MA2523
36179QYU9
389669.45410000
PA
USD
431756.02000000
0.001042055628
Long
ABS-MBS
USGA
US
N
2
2045-01-20
Fixed
0.04500000
N
N
N
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP 4.2% 06/10/2024
04010LAX1
12032000.00000000
PA
USD
13068819.82000000
0.031541974204
Long
DBT
CORP
US
N
2
2024-06-10
Fixed
0.04200000
N
N
N
N
N
N
KINDER MORGAN INC DEL
549300WR7IX8XE0TBO16
KINDER MORGAN INC DEL 3.25% 08/01/2050
49456BAS0
190000.00000000
PA
USD
172592.82000000
0.000416557757
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
0.03250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2047#MA4383
36179S2Q9
1012895.98900000
PA
USD
1096086.25000000
0.002645435831
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL BARCLAYS BANK TRUST 2016-MART
N/A
MORGAN STANLEY CAPITAL BARCLAYS BANK TRUST 2016-MART 2.2004% 09/13/2031 144A
61691BAA9
1893000.00000000
PA
USD
1894879.37000000
0.004573346104
Long
ABS-MBS
CORP
US
N
2
2031-09-13
Fixed
0.02200400
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/40 #782949
36241LH25
75398.93560000
PA
USD
86164.52000000
0.000207960558
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.05000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS 3MLV1.0% MAC 03/17/51
N/A
400000.00000000
NC
USD
-20657.51000000
-0.00004985749
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2051-03-17
0.00000000
USD
0.00000000
USD
339336.00000000
USD
-20657.51000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2042#AP8745
3138MCWF7
124494.27400000
PA
USD
139143.57000000
0.000335827026
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04500000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 2.572/VAR 02/11/2031
95000U2J1
585000.00000000
PA
USD
605564.07000000
0.001461546378
Long
DBT
CORP
US
N
2
2031-02-11
Variable
0.02572000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2041#AH4123
3138A5SM5
32209.86540000
PA
USD
36151.00000000
0.000087251482
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 15YR 3.5% 03/33#BJ0669
3140H1W71
577243.70940000
PA
USD
619175.04000000
0.001494396847
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2042#AP3667
3138M7CD5
968812.54980000
PA
USD
1059165.17000000
0.002556325737
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
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
1604476.47000000
0.003872450315
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2044#Q29975
3132MAXC0
1002296.35700000
PA
USD
1087955.01000000
0.002625810848
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.03500000
N
N
N
N
N
N
BAYCARE HEALTH SYSTEM INC
1H90SRZU22X0SF1UZR52
BAYCARE HEALTH SYSTEM INC 3.831% 11/15/2050
072722AE1
230000.00000000
PA
USD
271048.38000000
0.000654183095
Long
DBT
CORP
US
N
2
2050-11-15
Fixed
0.03831000
N
N
N
N
N
N
FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC
N/A
FLATIRON CLO 20 LTD / LLC 3ML+130 11/20/2033 144A
33883MAA2
5700000.00000000
PA
USD
5749305.00000000
0.013876113719
Long
ABS-CBDO
CORP
KY
N
2
2033-11-20
Variable
0.01548270
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/41 #738002
3620AR3K5
69901.28190000
PA
USD
77034.34000000
0.000185924605
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04000000
N
N
N
N
N
N
UST BILLS
N/A
UST BILLS 0% 08/12/2021
9127964B2
260000000.00000000
PA
USD
259936336.40000000
0.627363857682
Long
DBT
UST
US
N
2
2021-08-12
Fixed
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BC0625
3140EUVT3
237508.53800000
PA
USD
260236.40000000
0.000628088069
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% 01/15/2047#AX5855
36196HQG8
16001.06380000
PA
USD
17457.41000000
0.000042133963
Long
ABS-MBS
USGA
US
N
2
2047-01-15
Fixed
0.04000000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 2.879%/VAR 10/30/2030
95000U2G7
8190000.00000000
PA
USD
8667532.69000000
0.020919340559
Long
DBT
CORP
US
N
2
2030-10-30
Variable
0.02879000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 07/45#Q34946
3132QRP87
1328788.06000000
PA
USD
1425986.78000000
0.003441660291
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 3.625% 05/15/2030
25470DBJ7
4338000.00000000
PA
USD
4771320.22000000
0.011515719198
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.03625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 07/15/2046#AT7623
36194GPG3
23131.25420000
PA
USD
25251.02000000
0.000060944066
Long
ABS-MBS
USGA
US
N
2
2046-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/42 #005305
36202F3N4
171793.32510000
PA
USD
190291.69000000
0.000459274491
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
0.04000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES LTD
K2NEH8QNVW44JIWK7Z55
ROYAL CARIBBEAN CRUISES LTD 11.5% 06/01/2025 144A
780153AZ5
160000.00000000
PA
USD
187400.00000000
0.000452295314
Long
DBT
CORP
LR
N
2
2025-06-01
Fixed
0.11500000
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2018-LAQ
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2018-LAQ 1ML+ 06/15/2032 144A
46649VAA9
5362420.26000000
PA
USD
5362301.75000000
0.012942070195
Long
ABS-MBS
CORP
US
N
2
2032-06-15
Variable
0.01112000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24
5493007OD9MH69ES1S63
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 2.684% 10/15/2049
95000HBE1
3300000.00000000
PA
USD
3483813.30000000
0.008408284049
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Fixed
0.02684000
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
20781896.47000000
0.050157707536
Long
DBT
CORP
US
N
2
2059-01-23
Fixed
0.05800000
N
N
N
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 4.55% 04/17/2026
225433AR2
6559000.00000000
PA
USD
7560600.16000000
0.018247726918
Long
DBT
CORP
CH
N
2
2026-04-17
Fixed
0.04550000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 11/20/2047#MA4837
36179TLS2
768631.84950000
PA
USD
819545.02000000
0.001977995583
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
0.03500000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
VIACOMCBS INC 4.2% 05/19/2032
92556HAD9
650000.00000000
PA
USD
747728.12000000
0.001804663420
Long
DBT
CORP
US
N
2
2032-05-19
Fixed
0.04200000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 1ML+45 02/20/2049
38381RQS1
2291280.85200000
PA
USD
2314475.72000000
0.005586054017
Long
ABS-CBDO
USGA
US
N
2
2049-02-20
Variable
0.00561130
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
7785307.71000000
0.018790065082
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Variable
0.01504000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2044#AX2369
3138Y3T35
71019.50960000
PA
USD
78843.76000000
0.000190291692
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04500000
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
225644.00000000
0.000544598313
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.05250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AA6146
36178DZK0
460982.11070000
PA
USD
494076.80000000
0.001192468631
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
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
2616970.00000000
0.006316132701
Long
ABS-MBS
CORP
US
N
2
2050-11-13
Fixed
0.03104000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.00% 12/35 #003795
36202EGC7
62241.95310000
PA
USD
70351.64000000
0.000169795715
Long
ABS-MBS
USGA
US
N
2
2035-12-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AO3760
3138LUFA8
857322.59040000
PA
USD
936205.87000000
0.002259559915
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% 08/01/2042#AJ9982
3138E3CU5
1893480.70900000
PA
USD
2066518.72000000
0.004987602634
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
LUMEN TECHNOLOGIES
8M3THTGWLTYZVE6BBY25
CENTURYLINK INC 7.6% 09/15/2039
156700AM8
1464000.00000000
PA
USD
1761133.44000000
0.004250546438
Long
DBT
CORP
US
N
2
2039-09-15
Fixed
0.07600000
N
N
N
N
N
N
ANTERO RESOURCES CORPORATION
APVBKPOULHUX7YZLKU17
ANTERO RESOURCES CORP 8.375% 07/15/2026 144A
03674XAN6
1698000.00000000
PA
USD
1857187.50000000
0.004482375686
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.08375000
N
N
N
N
N
N
CALIFORNIA ST
N/A
CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA
13063A5E0
205000.00000000
PA
USD
327569.50000000
0.000790598452
Long
DBT
MUN
US
N
2
2034-04-01
Fixed
0.07500000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY INC 5.4% 06/15/2047
15135UAR0
385000.00000000
PA
USD
444256.90000000
0.001072226863
Long
DBT
CORP
CA
N
2
2047-06-15
Fixed
0.05400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/01/2047#G08768
3128MJ2A7
518783.94910000
PA
USD
568935.99000000
0.001373143448
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 3.625% 02/01/2031
097023DC6
7150000.00000000
PA
USD
7559495.52000000
0.018245060837
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
0.03625000
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 1.1% 03/12/2033
N/A
2500000.00000000
PA
2948506.55000000
0.007116305743
Long
DBT
NUSS
ID
N
2
2033-03-12
Fixed
0.01100000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2046#G60824
31335A4H8
1624890.51220000
PA
USD
1787414.01000000
0.004313975353
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 5.7% 08/15/2035
761713BA3
635000.00000000
PA
USD
765075.95000000
0.001846532909
Long
DBT
CORP
US
N
2
2035-08-15
Fixed
0.05700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2041#AH1582
3138A2XL8
16699.55820000
PA
USD
18426.90000000
0.000044473855
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 12/31/2025
91282CBC4
169575000.00000000
PA
USD
166991630.01000000
0.403039123559
Long
DBT
UST
US
N
2
2025-12-31
Fixed
0.00375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/01/2042#Q11218
3132HMK75
4460398.79540000
PA
USD
4869472.67000000
0.011752612972
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
PACIFIC GAS and ELECTRIC CO
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS and ELECTRIC CO 3.95% 12/01/2047
694308HY6
1100000.00000000
PA
USD
1065851.50000000
0.002572463388
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
0.03950000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 12/20/2042#MA0626
36179MVT4
1646250.01410000
PA
USD
1823514.92000000
0.004401105942
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.04000000
N
N
N
N
N
N
UNIVERSITY PA TRUSTEES
549300FG60YK9HZ7DS75
UNIVERSITY PA TRUSTEES 2.396% 10/01/2050
91481CAD2
495000.00000000
PA
USD
476154.11000000
0.001149211700
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
0.02396000
N
N
N
N
N
N
MPT OPER PARTNERSHIP LP / MPT FIN CORP
N/A
MPT OPER PARTNERSHIP LP/CORP 5% 10/15/2027
55342UAH7
650000.00000000
PA
USD
692380.00000000
0.001671079133
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2040#AE0675
31419AXD4
616658.88600000
PA
USD
691148.44000000
0.001668106727
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.622/VAR 04/01/2031
6174468P7
13084000.00000000
PA
USD
14577610.04000000
0.035183482991
Long
DBT
CORP
US
N
2
2031-04-01
Variable
0.03622000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US LONG BOND(CBT) FUT JUN21 USM1
N/A
216.00000000
NC
USD
-428261.40000000
-0.00103362126
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2021-06-21
34819511.40000000
USD
-428261.40000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AP0495
3138M3RR7
3097417.10760000
PA
USD
3386285.94000000
0.008172898948
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 01/01/2046#Q38296
3132QVGE5
680784.91770000
PA
USD
746697.22000000
0.001802175313
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.04000000
N
N
N
N
N
N
ESKOM HLDGS LTD
3789001900ED06F65111
ESKOM HLDGS LTD 6.75% 08/06/2023 144A
29646AAA4
500000.00000000
PA
USD
522250.00000000
0.001260465463
Long
DBT
CORP
ZA
N
2
2023-08-06
Fixed
0.06750000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 3.336% 03/18/2021
345397XW8
996000.00000000
PA
USD
996597.60000000
0.002405317100
Long
DBT
CORP
US
N
2
2021-03-18
Fixed
0.03336000
N
N
N
N
N
N
OHIO ST UNIV GEN RCPTS
N/A
OHIO ST UNIV GEN RCPTS BUILD AMERICA BONDS
677632MV0
140000.00000000
PA
USD
185560.20000000
0.000447854903
Long
DBT
MUN
US
N
2
2040-06-01
Fixed
0.04910000
N
N
N
N
N
N
ONEOK PARTNERS LP
T4DHW82NMF6BXJT50795
ONEOK PARTNERS 6.65% 10/01/36
68268NAC7
400000.00000000
PA
USD
514322.28000000
0.001241331681
Long
DBT
CORP
US
N
2
2036-10-01
Fixed
0.06650000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
VALEANT PHARMACEUTICALS INTL INC CDA 7% 03/15/2024 144A
91911KAK8
700000.00000000
PA
USD
715190.00000000
0.001726131727
Long
DBT
CORP
CA
N
2
2024-03-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027
3136A8PY0
479495.83790000
PA
USD
36470.41000000
0.000088022388
Long
ABS-CBDO
USGSE
US
N
2
2027-09-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 6/36 #651860
36292LE91
12695.24580000
PA
USD
14591.57000000
0.000035217175
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 1.5% 04/01/2036 #TBA
01F012445
55600000.00000000
PA
USD
56216604.00000000
0.135680397899
Long
ABS-MBS
USGA
US
N
2
2036-04-01
Fixed
0.01500000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS PARTNERS L P NEW 3.75% 06/15/2027
96949LAD7
1635000.00000000
PA
USD
1813387.18000000
0.004376662349
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.03750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2045#MA2754
36179RBX6
2769216.62850000
PA
USD
2991371.77000000
0.007219762190
Long
ABS-MBS
USGA
US
N
2
2045-04-20
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
22766212.63900000
PA
USD
24968975.76000000
0.060263344371
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 5/15/43 #AD2413
36180DVE4
160820.45500000
PA
USD
172538.06000000
0.000416425592
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
0.03500000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
AMGEN INC 2.6% 08/19/2026
031162CJ7
3600000.00000000
PA
USD
3830905.84000000
0.009246001922
Long
DBT
CORP
US
N
2
2026-08-19
Fixed
0.02600000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 3.6% 03/01/2024
713448CM8
1952000.00000000
PA
USD
2129213.47000000
0.005138918224
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
0.03600000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 5.375% 08/15/2026 144A
15135BAM3
200000.00000000
PA
USD
210500.00000000
0.000508047831
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.05375000
N
N
N
N
N
N
GENTIVA HEALTH SVCS INC
549300STP29LPEN7S547
KINDRED AT HOME TERM B 1LN 07/02/2025
37249UAU0
2670000.00000000
PA
USD
2671682.10000000
0.006448181935
Long
LON
CORP
US
N
2
2025-07-02
Variable
0.02875000
N
N
N
N
N
N
MADISON PARK FUNDING XVII LTD
N/A
MADISON PARK FUNDING XVII LTD 17A 3ML+100 07/21/2030 144A
55818YBN0
7000000.00000000
PA
USD
6998250.00000000
0.016890478560
Long
ABS-CBDO
CORP
KY
N
2
2030-07-21
Variable
0.00000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.00% 10/38 #782431
36241KVY1
22907.46980000
PA
USD
26052.04000000
0.000062877351
Long
ABS-MBS
USGA
US
N
2
2038-10-20
Fixed
0.05000000
N
N
N
N
N
N
ZEP INC
NU75S1Y8UH3706J5CS61
ZEP INC TERM B 1L 08/11/2024
98944EAN2
1500000.00000000
PA
USD
1483935.00000000
0.003581519994
Long
LON
CORP
US
N
2
2024-08-11
Variable
0.00000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96876
312945T99
118603.59710000
PA
USD
132964.87000000
0.000320914555
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 30YR 3.0% 01/01/2043#AB7457
31417EJB8
404926.66050000
PA
USD
438187.46000000
0.001057578094
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 4.5% 08/01/2041#AI8715
3138ANVH3
248272.74060000
PA
USD
277952.60000000
0.000670846630
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
INTERGEN NV
549300E3XRGX2JMPEC79
INTERGEN NV 7.0% 06/30/2023 144A
45867XAG9
230000.00000000
PA
USD
223100.00000000
0.000538458295
Long
DBT
CORP
NL
N
2
2023-06-30
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 8/35 #003747
36202EEU9
53071.77420000
PA
USD
59967.69000000
0.000144733752
Long
ABS-MBS
USGA
US
N
2
2035-08-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2029#MA1837
31418BBF2
351614.32810000
PA
USD
371869.07000000
0.000897516744
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 12/01/2032#G18669
3128MMW74
2150754.84800000
PA
USD
2258944.27000000
0.005452027258
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.862% 08/21/2046
92343VCK8
490000.00000000
PA
USD
604528.49000000
0.001459046975
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
0.04862000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 9/42 #Q11420
3132HMSH5
41575.08550000
PA
USD
45467.62000000
0.000109737414
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS 4.25% 03/14/24
404280AP4
1872000.00000000
PA
USD
2047537.76000000
0.004941791538
Long
DBT
CORP
GB
N
2
2024-03-14
Fixed
0.04250000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST_B
549300WZ62L3Y22NOZ64
GSMS 2015-GS1 A3 3.734% 11/48
36252AAC0
13884000.00000000
PA
USD
15342429.51000000
0.037029396878
Long
ABS-MBS
CORP
US
N
2
2048-11-10
Fixed
0.03734000
N
N
N
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
4240919.76000000
0.010235582364
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Variable
0.05244242
N
N
N
N
N
N
SPECTRA ENERGY PARTNERS LP
2HKVXE7U4NF5B6UGSU72
SPECTRA ENERGY LP 4.75% 3/19/24
84756NAD1
6000000.00000000
PA
USD
6647947.56000000
0.016045013500
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9863
3138YP5Z1
50272.97480000
PA
USD
54835.81000000
0.000132347811
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
OHIO ST UNIV GEN RCPTS
N/A
OHIO ST UNIV TXBL-SER A
677632PA3
1403000.00000000
PA
USD
1856674.08000000
0.004481136532
Long
DBT
MUN
US
N
2
2111-06-01
Fixed
0.04800000
N
N
N
N
N
N
CIM TR 2017-3
N/A
CIM TR 2017-3 1ML+200 01/25/2057
12552AAA2
12196202.43000000
PA
USD
12294829.46000000
0.029673926109
Long
ABS-CBDO
CORP
US
N
2
2057-01-25
Variable
0.02122880
N
N
N
N
N
N
BARRICK NORTH AMER FIN LLC
N/A
BARRICK NA FIN 5.7% 5/30/41
06849RAG7
415000.00000000
PA
USD
567589.54000000
0.001369893752
Long
DBT
CORP
US
N
2
2041-05-30
Fixed
0.05700000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 07/20/2046#MA3805
36179SGN1
655934.84870000
PA
USD
725754.72000000
0.001751629984
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.04500000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 4.375% 05/01/2026 144A
05401AAG6
3477000.00000000
PA
USD
3688817.83000000
0.008903068405
Long
DBT
CORP
KY
N
2
2026-05-01
Fixed
0.04375000
N
N
N
N
N
N
BAYVIEW COML ASSET TR
N/A
BAYC 2005-4A M1 1ML+45 1/36
07324SCT7
16873.00490000
PA
USD
16164.37000000
0.000039013173
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
0.00567630
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2042#C03901
31292LKN4
457360.42000000
PA
USD
499752.70000000
0.001206167579
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
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
817238.12000000
0.001972427813
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03400000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRAN PTNR 6.625 10/15/36
29273RAF6
900000.00000000
PA
USD
1130861.64000000
0.002729367239
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 4.5% 03/01/2044#AV2400
3138XDU24
13740.14760000
PA
USD
15279.67000000
0.000036877924
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6% 06/15/2048
29278NAE3
1799000.00000000
PA
USD
2095669.35000000
0.005057958521
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 01/01/2048#V83906
3132L9KT1
1081763.39700000
PA
USD
1169679.61000000
0.002823055531
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04000000
N
N
N
N
N
N
CALIFORNIA INST TECHNOLOGY
549300CITPNHOTVPHC04
CALIFORNIA INST TECHNOLOGY 3.65% 09/01/2119
13034VAD6
535000.00000000
PA
USD
565906.37000000
0.001365831373
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 30YR 4% 03/01/2046#BC2269
3140EWQX6
113090.68210000
PA
USD
123912.65000000
0.000299066760
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.125% 06/15/2039
404119BY4
2000000.00000000
PA
USD
2469617.62000000
0.005960493475
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
0.05125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2041#Q04673
3132GK2E5
342557.87890000
PA
USD
380902.20000000
0.000919318464
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
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
4189390.40000000
0.010111214765
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
0.02661000
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
6636223.94000000
0.016016718205
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 0741#AL8558
3138ETQL3
1517170.72270000
PA
USD
1804278.44000000
0.004354678142
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.06000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 5.75% 02/01/2029
71647NAZ2
170000.00000000
PA
USD
189397.00000000
0.000457115131
Long
DBT
CORP
NL
N
2
2029-02-01
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479430
36209RST1
204769.10800000
PA
USD
228397.54000000
0.000551244061
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
COLOMBIA REPUBLIC OF 3% 01/30/2030
195325DR3
1100000.00000000
PA
USD
1090031.25000000
0.002630821913
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
0.03000000
N
N
N
N
N
N
METHANEX CORP
549300TSJHRXT9QXRD13
METHANEX CORP 5.25% 12/15/2029
59151KAL2
155000.00000000
PA
USD
158971.88000000
0.000383683225
Long
DBT
CORP
CA
N
2
2029-12-15
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2039#AS2011
3138WBGV1
1702447.48860000
PA
USD
1875999.75000000
0.004527779595
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04000000
N
N
N
N
N
N
PANAMA REPUBLIC OF
549300SHS4T08CL0LP14
PANAMA REPUBLIC OF 3.875% 03/17/2028
698299BF0
200000.00000000
PA
USD
218937.50000000
0.000528411981
Long
DBT
NUSS
PA
N
2
2028-03-17
Fixed
0.03875000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 4.0% 09/01/2040#A93824
312942G90
890319.17610000
PA
USD
982405.69000000
0.002371064515
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.04000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 05/01/2036#BM3697
3140J8DB6
195634.03200000
PA
USD
211861.62000000
0.000511334140
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
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
80500.00000000
0.000194289075
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
0.04875000
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
2008947.96000000
0.004848653941
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.03600000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 2.328% 07/15/2052 144A
78403DAR1
2105000.00000000
PA
USD
2178427.66000000
0.005257698094
Long
ABS-CBDO
CORP
US
N
2
2052-07-15
Fixed
0.02328000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6312
3140QEAN2
8568830.95100000
PA
USD
9146822.59000000
0.022076120580
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
DOW CHEMICAL CO
ZQUIP1CSZO8LXRBSOU78
DOW CHEMICAL CO 3.625% 05/15/2026
260543CX9
2820000.00000000
PA
USD
3132734.81000000
0.007560945971
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
0.03625000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2044#MA2149
36179QL66
3384921.36140000
PA
USD
3731420.53000000
0.009005891253
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
0.04000000
N
N
N
N
N
N
PARAGUAY REP
529900UXKJTJPCU0HK83
PARAGUAY REP 4.95% 04/28/2031 144A
699149AJ9
400000.00000000
PA
USD
452125.00000000
0.001091216749
Long
DBT
NUSS
PY
N
2
2031-04-28
Fixed
0.04950000
N
N
N
N
N
N
PRESTON RIDGE PARTNERS MORTGAGE TRUST
N/A
PRESTON RIDGE PARTNERS MORTGAGE TRUST 2021-1 A1 2.115% 01/25/2026 144A
693577AA6
5000000.00000000
PA
USD
4884365.00000000
0.011788556040
Long
ABS-CBDO
CORP
US
N
2
2026-01-25
Fixed
0.02115000
N
N
N
N
N
N
CHS/CMNTY HEALTH SYSTEMS INC
5493007X5NC5XI1BB106
CHS/CMNTY HEALTH SYSTEMS INC 4.75% 02/15/2031 144A
12543DBK5
560000.00000000
PA
USD
549152.80000000
0.001325396148
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34598
31307RDB8
90460.19820000
PA
USD
96991.40000000
0.000234091546
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783276
36241LT97
19332.59690000
PA
USD
22078.00000000
0.000053285890
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 4.50% 9/41 #AJ1131
3138ASHH8
37898.93870000
PA
USD
42429.58000000
0.000102405017
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK AMER FDG CORP 3.95% 04/21/2025
06051GFP9
12493000.00000000
PA
USD
13826348.53000000
0.033370291632
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 30YR 4% 06/01/2047#Q48754
3132WNWQ1
5068490.12400000
PA
USD
5553271.94000000
0.013402982265
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 3.5% 08/20/2050#MA6821
36179VSJ0
24230613.75300000
PA
USD
25703108.15000000
0.062035194104
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8237
3138EDEK3
229320.67300000
PA
USD
253844.87000000
0.000612661927
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2046#Q39899
3132QW7M5
75117.11190000
PA
USD
82395.67000000
0.000198864330
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
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
1662936.96000000
0.004013546396
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25336
3132M5SZ6
26695.84570000
PA
USD
29694.76000000
0.000071669161
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3.4% 03/15/2050
125523CK4
825000.00000000
PA
USD
840805.63000000
0.002029308679
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
0.03400000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 3/42 #794581
36177PCT0
53575.68120000
PA
USD
58362.44000000
0.000140859435
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% 03/01/2042#AK6743
3138EBP58
149173.94230000
PA
USD
165127.02000000
0.000398538833
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 4.50% 4/41 #005017
36202FSE7
803616.00460000
PA
USD
898447.35000000
0.002168428636
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
0.04500000
N
N
N
N
N
N
SERVICENOW INC
549300HJTQM36M0E1G39
SERVICENOW INC 1.4% 09/01/2030
81762PAE2
1005000.00000000
PA
USD
934510.71000000
0.002255468597
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
0.01400000
N
N
N
N
N
N
LCM XXIV LTD / LCM XXIV LLC
N/A
LCM XXIV LTD / LCM XXIV LLC 3ML+98 03/20/2030 144A
50188YAE4
7500000.00000000
PA
USD
7500000.00000000
0.018101466681
Long
ABS-CBDO
CORP
KY
N
2
2030-03-20
Variable
0.00000000
N
N
N
N
N
N
CNA FINANCIAL CORP
549300YX2GSZD7YG1R84
CNA FINANCIAL CORP 3.95% 05/15/2024
126117AS9
1400000.00000000
PA
USD
1529934.77000000
0.003692541768
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.03950000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GRP INC 4.5% 07/16/2044
026874DA2
2310000.00000000
PA
USD
2770293.74000000
0.006686183977
Long
DBT
CORP
US
N
2
2044-07-16
Fixed
0.04500000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019 1ML+185 10/15/2036 144A
056054AH2
9527152.85000000
PA
USD
9533888.55000000
0.023010315457
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01912000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2046#AS7877
3138WHXF4
1014125.38720000
PA
USD
1055752.50000000
0.002548089160
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.02500000
N
N
N
N
N
N
BANK 2019-BNK21
N/A
BANK 2019-BNK20 2.6% 10/17/2052
06540BBC2
4400000.00000000
PA
USD
4581628.92000000
0.011057893765
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Fixed
0.02600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#AL8321
3138ETG75
1569675.64990000
PA
USD
1731164.35000000
0.004178215173
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.25% 12/15/2027
15135BAR2
5825000.00000000
PA
USD
6065281.25000000
0.014638731528
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.04250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.125% 11/15/2028
9128285M8
5540000.00000000
PA
USD
6328151.53000000
0.015273176543
Long
DBT
UST
US
N
2
2028-11-15
Fixed
0.03125000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP 4.1% 02/06/2037
594918BZ6
1212000.00000000
PA
USD
1500041.17000000
0.003620392701
Long
DBT
CORP
US
N
2
2037-02-06
Fixed
0.04100000
N
N
N
N
N
N
BRAZIL, FEDERATIVE REPUBLIC OF
254900ZFY40OYEADAP90
BRAZIL FEDERATIVE REPUBLIC OF 3.875% 06/12/2030
105756CC2
1800000.00000000
PA
USD
1793812.50000000
0.004329418293
Long
DBT
NUSS
BR
N
2
2030-06-12
Fixed
0.03875000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.75% 05/15/2046
00206RCQ3
49080000.00000000
PA
USD
56484581.81000000
0.136327170085
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2043#AB9671
31417GW93
446443.43030000
PA
USD
488497.82000000
0.001179003601
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03500000
N
N
N
N
N
N
SOUTHWEST AIRLINES CO
UDTZ87G0STFETI6HGH41
SOUTHWEST AIRLINES CO 4.75% 05/04/2023
844741BH0
775000.00000000
PA
USD
843204.50000000
0.002035098421
Long
DBT
CORP
US
N
2
2023-05-04
Fixed
0.04750000
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
14750567.94000000
0.035600921879
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
0.04875000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 11/20/2050#MA6996
36179VXZ8
7801211.63600000
PA
USD
8191840.93000000
0.019771244753
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
0.03000000
N
N
N
N
N
N
SUNOCO LOGISTICS PRTNR OPER LP
5493006LL0CKP8WQW329
SUNOCO LOGISTICS PRTNR OPER LP 5.4% 10/01/2047
86765BAV1
5301000.00000000
PA
USD
5819775.69000000
0.014046196766
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
0.05400000
N
N
N
N
N
N
ISRAEL, STATE OF
213800T8ZHTFZIBYPE21
ISRAEL STATE OF 3.875% 07/03/2050
46513JB42
1750000.00000000
PA
USD
1915970.00000000
0.004624248949
Long
DBT
NUSS
IL
N
2
2050-07-03
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/01/2047#Q50433
3132XSPT1
45771.72600000
PA
USD
50049.49000000
0.000120795890
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.04000000
N
N
N
N
N
N
MARKEL CORP
549300SCNO12JLWIK605
MARKEL CORP 4.15% 09/17/2050
570535AV6
965000.00000000
PA
USD
1122075.12000000
0.002708160719
Long
DBT
CORP
US
N
2
2050-09-17
Fixed
0.04150000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST 2021-DNA1
N/A
FREDDIE MAC STACR REMIC TRUST 2021-DNA1 SOFR30A+225 08/25/2033 144A
35564KBS7
3900000.00000000
PA
USD
3896290.71000000
0.009403810195
Long
ABS-CBDO
CORP
US
N
2
2033-08-25
Variable
0.02300330
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2044#AW8329
3138XYHF4
31221.56630000
PA
USD
34323.19000000
0.000082840010
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 8/40 #G08417
3128MJPB0
241593.49600000
PA
USD
278262.92000000
0.000671595596
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.05000000
N
N
N
N
N
N
VLS COMMERCIAL MORTGAGE TRUST 2020
N/A
VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A
92858TAA4
3760000.00000000
PA
USD
3736798.54000000
0.009018871235
Long
ABS-MBS
CORP
US
N
2
2042-10-10
Fixed
0.02130000
N
N
N
N
N
N
GS MTG SECS TR 2014-GC18
N/A
GS MTG SECS TR 2014-GC18 3.801% 01/10/2047
36252RAJ8
952518.26000000
PA
USD
1004729.88000000
0.002424944592
Long
ABS-MBS
CORP
US
N
2
2047-01-10
Fixed
0.03801000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2045#AZ1805
3138YTAF1
173862.56100000
PA
USD
191876.10000000
0.000463098510
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04500000
N
N
N
N
N
N
WASTE MANAGEMENT INC DEL
549300YX8JIID70NFS41
WASTE MGMT INC 2.9% 9/15/22
94106LAY5
375000.00000000
PA
USD
387353.81000000
0.000934889611
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
0.02900000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 11/41 #005233
36202FY67
303698.18500000
PA
USD
336399.80000000
0.000811910636
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2045#AY2848
3138YGEW8
422782.36150000
PA
USD
448525.71000000
0.001082529759
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.03000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
HDEPOT 5.875% 12/16/36
437076AS1
300000.00000000
PA
USD
428449.09000000
0.001034074256
Long
DBT
CORP
US
N
2
2036-12-16
Fixed
0.05875000
N
N
N
N
N
N
SS and C TECHNOLOGIES INC
549300KY09TR3J12JU49
SS and C TECHNOLOGIES TERM B3 04/16/2025
N/A
283852.22000000
PA
USD
282787.77000000
0.000682516452
Long
LON
CORP
US
N
2
2025-04-16
Variable
0.01864500
N
N
N
N
N
N
NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV
N/A
NYC TFA (PIT) 2.69% 5/1/2033
64971XLY2
2015000.00000000
PA
USD
2116455.25000000
0.005108125892
Long
DBT
MUN
US
N
2
2033-05-01
Fixed
0.02690000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP 1ML+125 12/15/2029 144A
05607QAR9
5088685.18000000
PA
USD
5088683.65000000
0.012281685005
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01362000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.5% 08/10/2033
92343VEA8
945000.00000000
PA
USD
1127034.88000000
0.002720131243
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 30YR 3.0% 10/01/2042#AB6390
31417DC43
206379.88000000
PA
USD
220429.77000000
0.000532013618
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% 11/01/2043#Q23085
3132M3CW5
46716.72240000
PA
USD
51579.17000000
0.000124487816
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.0% 8/29#J29007
31307JAG8
337334.39000000
PA
USD
359159.82000000
0.000866842602
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2046#ZS9618
3132AAVK7
1032839.77000000
PA
USD
1129809.17000000
0.002726827072
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
SEMPRA ENERGY 4% 02/01/48
816851BJ7
390000.00000000
PA
USD
431055.69000000
0.001040365361
Long
DBT
CORP
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/01/2046#Q45023
3132WJSM4
420566.97300000
PA
USD
454817.53000000
0.001097715248
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% 02/50#CA5126
3140QCVU7
10341427.13300000
PA
USD
10961424.65000000
0.026455715077
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 07/01/2034#CA3925
3140QBLF3
1403815.23600000
PA
USD
1525969.06000000
0.003682970412
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03500000
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
913967.20000000
0.002205886242
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
0.05350000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC HLDGS LLC TERM B 07/17/25
64072UAE2
598445.60000000
PA
USD
594651.45000000
0.001435208454
Long
LON
CORP
US
N
2
2025-07-17
Variable
0.02361030
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 1.884% 07/15/2050 144A
78403DAP5
2753000.00000000
PA
USD
2839453.56000000
0.006853103201
Long
ABS-CBDO
CORP
US
N
2
2050-07-15
Fixed
0.01884000
N
N
N
N
N
N
NIELSEN FINANCE LLC/ NIELSEN FINANCE CO
N/A
NIELSEN FINANCE LLC/ FIN CO 5.875% 10/01/2030 144A
65409QBF8
205000.00000000
PA
USD
221656.25000000
0.000534973763
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
0.05875000
N
N
N
N
N
N
CONOCOPHILLIPS INC
WPTL2Z3FIYTHSP5V2253
CONOCOPHILLIPS INC 4.3% 08/15/2028 144A
20825CAX2
2540000.00000000
PA
USD
2953243.83000000
0.007127739305
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
0.04300000
N
N
N
N
N
N
BAYVIEW COML ASSET TR 2007 3
N/A
BAYC 2007-3 M1 1ML+31 7/37
07325YAC2
16824.30890000
PA
USD
15013.60000000
0.000036235757
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
0.00427630
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 3.5% 02/15/2041 144A
11135FBJ9
15811000.00000000
PA
USD
15756467.86000000
0.038028690397
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2045#BA6373
3140EBCK5
595821.33480000
PA
USD
649898.79000000
0.001568549505
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.03500000
N
N
N
N
N
N
REAL HERO MERGER SUB 2
N/A
REAL HERO MERGER SUB 2 6.25% 02/01/2029 144A
75602BAA7
30000.00000000
PA
USD
30900.00000000
0.000074578042
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.06250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 12/01/2045#G60397
31335ANN4
39422.79920000
PA
USD
43242.72000000
0.000104367554
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% 03/01/2045#AY5719
3138YKK93
587348.61090000
PA
USD
649487.39000000
0.001567556580
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04500000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAROLINAS LLC 2.95% 12/01/2026
26442CAS3
370000.00000000
PA
USD
403972.88000000
0.000975000216
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
0.02950000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.75% 04/15/2027 144A
87264ABC8
9110000.00000000
PA
USD
10034847.20000000
0.024219393632
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
0.03750000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2.5% 02/05/2024
3135G0V34
665000.00000000
PA
USD
707655.09000000
0.001707946004
Long
DBT
USGSE
US
N
2
2024-02-05
Fixed
0.02500000
N
N
N
N
N
N
TRUIST BANK
JJKC32MCHWDI71265Z06
TRUIST BANK 2.25% 03/11/2030
89788KAA4
625000.00000000
PA
USD
631789.58000000
0.001524842404
Long
DBT
CORP
US
N
2
2030-03-11
Fixed
0.02250000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
QORVO INC 4.375% 10/15/2029
74736KAH4
200000.00000000
PA
USD
215312.00000000
0.000519661732
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
0.04375000
N
N
N
N
N
N
FMC CORP
CKDHZ2X64EEBQCSP7013
FMC CORP 4.5% 10/01/2049
302491AV7
800000.00000000
PA
USD
947826.01000000
0.002287605458
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 4.50% 11/40 #AE3874
31419EJU4
33882.18840000
PA
USD
37975.00000000
0.000091653759
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% 05/01/2046#G60553
31335ATJ7
12407159.29100000
PA
USD
13572675.43000000
0.032758044276
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 3.0% 09/01/2042#AP6425
3138MAD70
82095.83540000
PA
USD
87813.01000000
0.000211939236
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 20YR 3% 07/01/2033#C91714
3128P73X9
2448354.86400000
PA
USD
2614307.29000000
0.006309706173
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
IMPERIAL TOBACCO FINANCE
2138008L3B3MCG1DFS50
IMPERIAL TOBACCO FINANCE 4.25% 07/21/2025 144A
453140AF2
1500000.00000000
PA
USD
1670046.53000000
0.004030705549
Long
DBT
CORP
GB
N
2
2025-07-21
Fixed
0.04250000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
TENET HEALTHCARE CORP 4.625% 07/15/2024
88033GCS7
240000.00000000
PA
USD
243600.00000000
0.000587935637
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.04625000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC STEP 06/15/2042
00206RJH6
7000000.00000000
PA
USD
8249634.26000000
0.019910730625
Long
DBT
CORP
US
N
2
2042-06-15
Variable
0.04900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AB7271
31417ECH2
194100.32270000
PA
USD
210043.78000000
0.000506946731
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
MGM RESORTS INTERNATIONAL
54930066VBP7DZEGGJ87
MGM RESORTS INTERNATIONAL 4.625% 09/01/2026
552953CD1
500000.00000000
PA
USD
524375.00000000
0.001265594212
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.04625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.0% 04/01/2041#Q00409
3132GDN24
55158.38730000
PA
USD
63478.70000000
0.000153207676
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/01/2045#Q37853
3132QUWP4
249290.30180000
PA
USD
273835.10000000
0.000660908925
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
N
N
N
N
N
N
KAZMUAIGAZ NATIONAL CO JSC
2138001H1M69RFJCSH88
KAZMUNAIGAZ FINANCE SUB BV 5.75% 04/19/2047 REGS
N/A
400000.00000000
PA
USD
472600.00000000
0.001140633753
Long
DBT
CORP
KZ
N
2
2047-04-19
Fixed
0.05750000
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
345949.74430000
PA
USD
37692.68000000
0.000090972372
Long
ABS-CBDO
USGSE
US
N
2
2033-01-15
Fixed
0.03000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FIN II LLC 4.875% 06/25/2048 144A
07274NAQ6
6800000.00000000
PA
USD
8484330.42000000
0.020477176588
Long
DBT
CORP
US
N
2
2048-06-25
Fixed
0.04875000
N
N
N
N
N
N
ROCK-TENN COMPANY
PQQ60KVT5SJX0ETQT497
ROCK TENN COMP 4.9% 3/22 WI
772739AL2
185000.00000000
PA
USD
193456.25000000
0.000466912248
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
0.04900000
N
N
N
N
N
N
Stone Harbor Strategic Income
N/A
Stone Harbor Emerging Mkts Debt Instl
861647105
22189168.65700000
NS
USD
215678719.35000000
0.520546820292
Long
EC
RF
US
N
1
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q16893
3132J8C73
2605088.12100000
PA
USD
2853776.09000000
0.006887671041
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 3% 01/01/2047#MA2863
31418CFD1
4424797.22120000
PA
USD
4674865.96000000
0.011282924055
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/01/2047#Q49494
3132WPRQ2
439056.19910000
PA
USD
481500.77000000
0.001162116019
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 11/41 #489787
36210ECY3
132261.08760000
PA
USD
143954.07000000
0.000347437306
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2043#AU3742
3138X3EQ1
22643.22530000
PA
USD
24776.19000000
0.000059798050
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2047#Q51189
3132XTKB3
71487.56000000
PA
USD
78101.67000000
0.000188500636
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
INTUIT INC 0.95% 07/15/2025
46124HAB2
940000.00000000
PA
USD
942005.13000000
0.002273556596
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.00950000
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
536704.18000000
0.001295351044
Long
DBT
CORP
US
N
2
2036-06-01
Fixed
0.06250000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3% 02/15/2041 144A
87264ABK0
2795000.00000000
PA
USD
2620955.35000000
0.006325751458
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
0.03000000
N
N
N
N
N
N
ROMANIA, REPUBLIC OF
315700IASY927EDWBK92
ROMANIA 3.875% 10/29/2035 144A
N/A
710000.00000000
PA
1017004.77000000
0.002454570394
Long
DBT
NUSS
RO
N
2
2035-10-29
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 6/41 #G06596
3128M8UV4
580198.26470000
PA
USD
667740.38000000
0.001611610698
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
CFCRE COML MTG TR 2011-C2
N/A
CFCRE 2011-C2 A4 3.8343 12/47
12527DAR1
7254055.55000000
PA
USD
7299085.10000000
0.017616552765
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
0.03834300
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
783376.46160000
PA
USD
805144.38000000
0.001943239222
Long
ABS-CBDO
USGSE
US
N
2
2042-06-15
Fixed
0.01750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34571
31307RCG8
121123.45900000
PA
USD
129868.54000000
0.000313441473
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/46#Q38783
3132QVXM8
344937.98550000
PA
USD
378145.58000000
0.000912665282
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
COMSTOCK RESOURCES INC
I03QQGEA4SS774AURI46
COMSTOCK RESOURCES INC 6.75% 03/01/2029 144A
205768AS3
130000.00000000
PA
USD
134875.00000000
0.000325524709
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
0.06750000
N
N
N
N
N
N
WFRBS COML MTG TR 2012-C9
N/A
WFRBS COML MTG TR 2012-C9 3.388% 11/15/2045
92930RAC6
400000.00000000
PA
USD
414210.08000000
0.000999707994
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Fixed
0.03388000
N
N
N
N
N
N
MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST SERIES 2016-5
N/A
MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST SERIES 2020-5 A1 1ML+100 08/10/2023 144A
61916BBA7
12613000.00000000
PA
USD
12579171.93000000
0.030360194876
Long
ABS-CBDO
CORP
US
N
2
2023-08-10
Variable
0.01120500
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 4.125% 01/09/2027
345397A45
85000.00000000
PA
USD
89887.50000000
0.000216946078
Long
DBT
CORP
US
N
2
2027-01-09
Fixed
0.04271000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 4.3% 04/01/2027
42809HAG2
1117000.00000000
PA
USD
1240167.93000000
0.002993181128
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.04300000
N
N
N
N
N
N
PRECISION DRILLING CORP
549300WF2OE8T5BP4B84
PRECISION DRILLING CORP 7.125% 01/15/2026 144A
740212AL9
115000.00000000
PA
USD
111550.00000000
0.000269229147
Long
DBT
CORP
CA
N
2
2026-01-15
Fixed
0.07125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2049#BO4757
3140K0JB5
6175987.15500000
PA
USD
6577134.81000000
0.015874104882
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/40 #AA4757
31416NJB9
95315.33500000
PA
USD
105065.67000000
0.000253579029
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
BARRICK NORTH AMER FIN LLC
N/A
BARRICK GOLD 5.75 5/43
06849RAK8
560000.00000000
PA
USD
785574.99000000
0.001896007934
Long
DBT
CORP
US
N
2
2043-05-01
Fixed
0.05750000
N
N
N
N
N
N
DELTA AIR INC DEL PASS THRU TR
N/A
DELTA AIR 6.821% 2/10/24
247367BH7
94349.19760000
PA
USD
98446.35000000
0.000237603109
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 4% 04/43#MA0935
36179NBC1
226527.44970000
PA
USD
250919.47000000
0.000605601390
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 05/20/2050#MA6656
36179VMD9
119407.04700000
PA
USD
124313.32000000
0.000300033789
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
0.03000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 4.875% 09/23/2032 REGS
N/A
1570000.00000000
PA
USD
1591587.50000000
0.003841342413
Long
DBT
NUSS
DO
N
2
2032-09-23
Fixed
0.04875000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GSCM SWAP PAY 1.905 10/28/2024
N/A
10000000.00000000
NC
USD
298597.30000000
0.000720673210
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
10000000.00000000
USD
1.00000000
1.90500000
USD
2024-10-28
XXXX
25097.30000000
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
2127772.20000000
0.005135439677
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Fixed
0.02904000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 10/34 #AL2130
3138EJLL0
26015.13210000
PA
USD
30472.57000000
0.000073546428
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.06000000
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
3867226.07000000
0.009333661847
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01571250
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2010-95 ZC 5% 09/25/2040
31398NFC3
1782295.50940000
PA
USD
1983613.27000000
0.004787507935
Long
ABS-CBDO
USGSE
US
N
2
2040-09-25
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2.5% 11/01/2046#G08731
3128MJY53
809370.45470000
PA
USD
842839.78000000
0.002034218159
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 1/40 #A90893
3129387E7
28155.86680000
PA
USD
32430.51000000
0.000078271972
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.05000000
N
N
N
N
N
N
SENSATA TECHNOLOGIES INC
N/A
SENSATA TECHNOLOGIES INC 3.75% 02/15/2031 144A
81728UAB0
590000.00000000
PA
USD
592212.50000000
0.001429321978
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.03750000
N
N
N
N
N
N
SOUTHERN COPPER CORP DEL
2549007U6NAP46Q9TU15
SOUTHERN COPPER CORP 5.875% 04/45
84265VAJ4
455000.00000000
PA
USD
610837.50000000
0.001474273953
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 30YR 3.5% 04/01/2043#Q17578
3132J82L3
132082.61920000
PA
USD
144572.88000000
0.000348930822
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
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
1465483.88000000
0.003536987683
Long
DBT
USGSE
US
N
2
2027-02-01
Fixed
0.02875000
N
N
N
N
N
N
2021-03-30
Stacie M. Smith
Stacie M. Smith
Stacie M. Smith
President and Treasurer