0001752724-23-238136.txt : 20231026
0001752724-23-238136.hdr.sgml : 20231026
20231026135819
ACCESSION NUMBER: 0001752724-23-238136
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230831
FILED AS OF DATE: 20231026
DATE AS OF CHANGE: 20231026
PERIOD START: 20240228
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: SEI Catholic Values Trust
CENTRAL INDEX KEY: 0001627853
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0228
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23015
FILM NUMBER: 231349466
BUSINESS ADDRESS:
STREET 1: ONE FREEDOM VALLEY DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
BUSINESS PHONE: 610-676-1000
MAIL ADDRESS:
STREET 1: ONE FREEDOM VALLEY DRIVE
CITY: OAKS
STATE: PA
ZIP: 19456
0001627853
S000048321
Catholic Values Fixed Income Fund
C000152592
Catholic Values Fixed Income Fund Class F, effective 1-31-2017 (formerly Class A)
CFVAX
C000152593
Catholic Values Fixed Income Fund Class Y
CFVYX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001627853
XXXXXXXX
S000048321
C000152592
C000152593
SEI CATHOLIC VALUES TRUST
811-23015
0001627853
549300HNHS8PWODW1A40
ONE FREEDOM VALLEY DRIVE
OAKS
19456
8003425734
Catholic Values Fixed Income Fund
S000048321
549300PGEESYEMTFDK65
2024-02-28
2023-08-31
N
192649100.82
7952329.56
184696771.26
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
254113.70000000
USD
N
Barclays U.S. Aggregate Index
LEH_AGG
EYECARE PARTNERS, LLC
N/A
EYECARE PARTNERS, LLC 2/18/2027
30233PAB6
23072.13030000
PA
USD
18144.62000000
0.009824004976
Long
LON
US
N
2
2027-02-18
Floating
9.25347960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1000
3140X4DE3
192267.76000000
PA
USD
168521.85000000
0.091242445035
Long
DBT
USGA
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
BRK - GOLDMAN SACHS
N/A
BRK - GOLDMAN SACHS PAY - 3.05% FIXED
N/A
864000.00000000
NC
USD
82675.33000000
0.044762737018
N/A
DIR
XX
N
2
BRK - GOLDMAN SACHS
N/A
Y
2048-02-15
32757.87000000
USD
0.00000000
USD
-864000.00000000
USD
49917.46000000
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 5.350000% 09/01/2040
04650NAB0
21000.00000000
PA
USD
19554.73000000
0.010587477987
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
5.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1374
3140XGQ44
90732.53000000
PA
USD
78238.23000000
0.042360366922
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC 2.400000% 10/15/2028
37045XDP8
553000.00000000
PA
USD
468039.76000000
0.253409822384
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
2.40000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3736
36179SEH6
14375.59000000
PA
USD
13272.27000000
0.007185978352
Long
DBT
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
STATE STREET CORPORATION
549300ZFEEJ2IP5VME73
STATE STREET CORP 3.152000% 03/30/2031
857477BN2
30000.00000000
PA
USD
26367.84000000
0.014276286380
Long
DBT
CORP
US
N
2
2031-03-30
Fixed
3.15200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4208
31418DVA7
151321.83000000
PA
USD
121161.10000000
0.065600009774
Long
DBT
USGA
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC 2.900000% 02/10/2029
345397B93
220000.00000000
PA
USD
181563.89000000
0.098303770424
Long
DBT
CORP
US
N
2
2029-02-10
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5110
3133KYVB2
83099.92000000
PA
USD
66647.30000000
0.036084713092
Long
DBT
USGA
US
N
2
2041-05-01
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7548
3132DVL52
483871.68000000
PA
USD
405923.99000000
0.219778606431
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC 3.073000% 05/22/2028
780097BP5
200000.00000000
PA
USD
180328.99000000
0.097635161010
Long
DBT
NUSS
GB
N
2
2028-05-22
Fixed
3.07300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8480
3140XCM62
63205.93000000
PA
USD
54847.40000000
0.029695917056
Long
DBT
USGA
US
N
2
2050-11-01
Fixed
3.00000000
N
N
N
N
N
N
CONSTELLATION BRANDS, INC.
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC 4.350000% 05/09/2027
21036PBK3
20000.00000000
PA
USD
19365.28000000
0.010484904456
Long
DBT
CORP
US
N
2
2027-05-09
Fixed
4.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0313
3132D9K29
281577.43000000
PA
USD
233837.03000000
0.126605911085
Long
DBT
USGA
US
N
2
2042-01-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7548
3132DVL52
435136.42000000
PA
USD
365039.57000000
0.197642637448
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 09/28/2023
912796CS6
610000.00000000
PA
USD
607585.54000000
0.328963812336
Long
DBT
UST
US
N
2
2023-09-28
None
0.00000000
N
N
N
N
N
N
MARS, INCORPORATED
54930073HKEO6GZBSS03
MARS INC 144A 3.200000% 04/01/2030
571676AB1
10000.00000000
PA
USD
9020.74000000
0.004884081047
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA3641
3140QBBK3
139646.24000000
PA
USD
130602.47000000
0.070711831673
Long
DBT
USGA
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
TIME WARNER CABLE ENTERPRISES LLC
N/A
TIME WARNER CABLE ENTERPRISES LLC 8.375000% 07/15/2033
88731EAJ9
50000.00000000
PA
USD
55712.27000000
0.030164181874
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
8.37500000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2005-S2 JPMMT 2005-S2 2A15
466247VH3
85578.30000000
PA
USD
62738.76000000
0.033968520170
Long
ABS-MBS
US
N
2
2035-09-25
Fixed
6.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2013-20G 1
83162CVR1
258738.09000000
PA
USD
240806.95000000
0.130379620800
Long
ABS-MBS
US
N
2
2033-07-01
Fixed
3.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL3000
3138EKKN4
102406.83000000
PA
USD
94312.78000000
0.051063578078
Long
DBT
USGA
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
APPLE INC.
HWUPKR0MPOU8FGXBT394
APPLE INC 3.200000% 05/13/2025
037833BG4
80000.00000000
PA
USD
77599.17000000
0.042014361956
Long
DBT
CORP
US
N
2
2025-05-13
Fixed
3.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM8674
3138L9T85
40000.00000000
PA
USD
38386.33000000
0.020783433158
Long
DBT
USGA
US
N
2
2025-04-01
Fixed
2.81000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3041
3140X6LX7
228523.95000000
PA
USD
229163.95000000
0.124075774815
Long
DBT
USGA
US
N
2
2049-08-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3320
3140QNVN9
92731.60000000
PA
USD
85907.71000000
0.046512837995
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BS8755
3140LKWR0
100000.00000000
PA
USD
93866.27000000
0.050821825070
Long
DBT
USGA
US
N
2
2030-06-01
Fixed
3.80000000
N
N
N
N
N
N
UFC HOLDINGS, LLC
N/A
UFC HOLDINGS, LLC 4/29/2026
90266UAJ2
25514.54000000
PA
USD
25509.18000000
0.013811383829
Long
LON
US
N
2
2026-04-29
Floating
8.36897040
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5135
36179TV44
174005.31000000
PA
USD
154903.60000000
0.083869143430
Long
DBT
USGA
US
N
2
2048-04-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZT1257
3132ADME5
45812.56000000
PA
USD
40558.25000000
0.021959371419
Long
DBT
USGA
US
N
2
2046-01-01
Fixed
3.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.862000% 08/21/2046
92343VCK8
30000.00000000
PA
USD
26400.95000000
0.014294213060
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86200000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2023-DNA2 M1A
35564KT58
148336.73000000
PA
USD
149588.69000000
0.080991502439
Long
DBT
USGA
US
Y
2
2043-04-25
Floating
7.39595160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.000000% 07/31/2030
91282CHR5
880000.00000000
PA
USD
869550.00000000
0.470798701064
Long
SN
UST
US
N
2
2030-07-31
Fixed
4.00000000
N
N
N
N
N
N
BRK - MORGAN STANLEY
N/A
BRK - MORGAN STANLEY REC - 4.1% FIXED
N/A
6682000.00000000
NC
USD
-22103.17000000
-0.01196727471
N/A
DIR
XX
N
2
BRK - MORGAN STANLEY
N/A
Y
2026-03-10
70720.07000000
USD
0.00000000
USD
-6682000.00000000
USD
-92823.24000000
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 11/15/2041
912810TC2
120000.00000000
PA
USD
83967.19000000
0.045462186169
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 2.150000% 01/15/2031
723787AR8
50000.00000000
PA
USD
40519.83000000
0.021938569756
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG C91981
3128P8FW6
18785.90000000
PA
USD
17022.82000000
0.009216631067
Long
DBT
USGA
US
N
2
2038-02-01
Fixed
3.00000000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 7.500000% 01/15/2031
969457BB5
10000.00000000
PA
USD
10950.76000000
0.005929047879
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (SEPTEMBER)
21H050698
500000.00000000
PA
USD
486533.21000000
0.263422693683
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
5.00000000
N
N
N
N
N
N
FEDERAL REALTY OP LP
549300LI6XZ51GOCJ427
FEDERAL REALTY OP LP 1.250000% 02/15/2026
313747BB2
233000.00000000
PA
USD
209719.92000000
0.113548232905
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL8936
3138ET4W3
59254.96000000
PA
USD
57358.74000000
0.031055626803
Long
DBT
USGA
US
N
2
2046-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0697
3140XFX30
86503.32000000
PA
USD
74192.48000000
0.040169884667
Long
DBT
USGA
US
N
2
2042-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7543
3132DVLY9
465950.65000000
PA
USD
390954.61000000
0.211673765238
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25G 1
83162CQ22
440824.47000000
PA
USD
409906.23000000
0.221934702595
Long
ABS-MBS
US
N
2
2047-07-01
Fixed
3.93000000
N
N
N
N
N
N
N/A
N/A
US BOND FUTR OPTN Oct23C 123 SHORT
N/A
-4.00000000
NC
USD
-3500.00000000
-0.00189499793
N/A
DIR
US
N
1
RJ O'BRIEN
N/A
Call
Written
N/A
Call Option 123 Sep 2023 on US Long Bond (CBT) Dec 2023
-4000.00000000
123.00000000
USD
2023-09-25
XXXX
-506.92000000
N
N
N
FREEPORT-MCMORAN INC.
549300IRDTHJQ1PVET45
FREEPORT-MCMORAN INC 5.450000% 03/15/2043
35671DBC8
160000.00000000
PA
USD
143607.06000000
0.077752880583
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS7313
3138WHDT6
97169.54000000
PA
USD
88510.70000000
0.047922169616
Long
DBT
USGA
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)DEC23 FINANCIAL COMMODITY FUTURE.
N/A
96.00000000
NC
USD
10659000.00000000
5.771080851757
N/A
DIR
US
N
1
WELLS FARGO BROKERAGE SERVICES, LLC
N/A
Long
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Dec 2023
2023-12-22
10572822.33000000
USD
86177.67000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6780
3140XARA2
73466.62000000
PA
USD
61740.88000000
0.033428240016
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BD3715
3140FBDV9
164954.41000000
PA
USD
148239.76000000
0.080261153992
Long
DBT
USGA
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6555
3140XAH96
81626.27000000
PA
USD
65304.98000000
0.035357943484
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 3.750000% 05/15/2030
29278NAQ6
110000.00000000
PA
USD
98243.90000000
0.053191996443
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ4821
3140KQLB5
128127.95000000
PA
USD
107792.71000000
0.058361989364
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
AIR CANADA 2015-1 PASS THROUGH TRUST
N/A
AIR CANADA 2015-1 CLASS A PASS THROUGH TRUST 144A 3.600000% 03/15/2027
009090AA9
199160.48000000
PA
USD
185621.91000000
0.100500896000
Long
DBT
NUSS
CA
N
2
2027-03-15
Fixed
3.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1074
3140XGFQ7
177902.15000000
PA
USD
155179.11000000
0.084018312253
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5230 PE
3137H7XD0
100000.00000000
PA
USD
76644.53000000
0.041497493148
Long
DBT
USGA
US
N
2
2051-12-25
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q45737
3132WKLT3
38589.90000000
PA
USD
33821.80000000
0.018312068895
Long
DBT
USGA
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.950000% 06/15/2028
29278NAF0
20000.00000000
PA
USD
19369.84000000
0.010487373367
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
Truist Financial Corporation
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP MTN 6.047000% 06/08/2027
89788MAN2
40000.00000000
PA
USD
39972.04000000
0.021641980922
Long
DBT
CORP
US
N
2
2027-06-08
Fixed
6.04700000
N
N
N
N
N
N
HILTON DOMESTIC OPERATING COMPANY INC.
5493003EG7H0N1E4XV50
HILTON DOMESTIC OPERATING CO INC 144A 5.750000% 05/01/2028
432833AH4
20000.00000000
PA
USD
19623.00000000
0.010624441275
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.75000000
N
N
N
N
N
N
CTR PARTNERSHIP, L.P.
254900L7G64R08G6RJ22
CTR PARTNERSHIP LP / CARETRUST CAPITAL CORP 144A 3.875000% 06/30/2028
126458AE8
10000.00000000
PA
USD
8712.55000000
0.004717218357
Long
DBT
CORP
US
N
2
2028-06-30
Fixed
3.87500000
N
N
N
N
N
N
APPLE INC.
HWUPKR0MPOU8FGXBT394
APPLE INC 1.125000% 05/11/2025
037833DT4
60000.00000000
PA
USD
56108.43000000
0.030378673983
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0104
3140FXDJ8
38045.61000000
PA
USD
36176.44000000
0.019586936876
Long
DBT
USGA
US
N
2
2056-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8485
36179XNA0
94843.04000000
PA
USD
80730.37000000
0.043709681251
Long
DBT
USGA
US
N
2
2052-12-20
Fixed
2.50000000
N
N
N
N
N
N
CIM TRUST
N/A
CIM TRUST 2023-R4 CIM 2023-R4 A1
12569UAA9
153668.89000000
PA
USD
149453.49000000
0.080918301376
Long
ABS-MBS
US
Y
2
2062-05-25
Floating
5.00000040
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.250000% 02/01/2032
00206RKH4
50000.00000000
PA
USD
39010.18000000
0.021121203004
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
US BOND FUTR OPTN Nov23P 112 SHORT
N/A
-9.00000000
NC
USD
-1828.13000000
-0.00098980073
N/A
DIR
US
N
1
ADVANTAGE CAPITAL CORPORATION
N/A
Put
Written
N/A
Put Option 112 Oct 2023 on US Long Bond (CBT) Dec 2023
-9000.00000000
112.00000000
USD
2023-10-30
XXXX
2937.55000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.000000% 08/15/2047
20030NBZ3
10000.00000000
PA
USD
8023.58000000
0.004344190721
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA4703
3133KLGL5
78923.67000000
PA
USD
63525.84000000
0.034394667306
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-56 AQ
3136BBME9
200000.00000000
PA
USD
151471.84000000
0.082011092541
Long
DBT
USGA
US
N
2
2050-08-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3049
3140X6L74
82861.28000000
PA
USD
78580.29000000
0.042545567777
Long
DBT
USGA
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
NEW YORK ST URBAN DEV CORP REV
N/A
NEW YORK ST URBAN DEV CORP REV NEW YORK STATE URBAN DEVELOPMENT CORP
650035TD0
275000.00000000
PA
USD
280018.31000000
0.151609748286
Long
DBT
MUN
US
N
2
2039-03-15
Fixed
5.77000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX 2022-MVRK MORTGAGE TRUST BX 2022-MVRK A
05610JAA7
168106.68000000
PA
USD
165260.21000000
0.089476501875
Long
ABS-MBS
US
Y
2
2039-03-15
Floating
6.77747880
N
N
N
N
N
N
SCHLUMBERGER HOLDINGS CORPORATION
529900IKZG65COT1D505
SCHLUMBERGER HOLDINGS CORP 144A 3.900000% 05/17/2028
806851AK7
441000.00000000
PA
USD
418192.22000000
0.226420969433
Long
DBT
CORP
US
N
2
2028-05-17
Fixed
3.90000000
N
N
N
N
N
N
CONSTELLATION BRANDS, INC.
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC 3.600000% 05/09/2024
21036PBM9
30000.00000000
PA
USD
29538.18000000
0.015992797166
Long
DBT
CORP
US
N
2
2024-05-09
Fixed
3.60000000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-7.00000000
NC
USD
-812765.63000000
-0.44005405425
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Short
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Dec 2023
2023-12-22
-801687.98000000
USD
-11077.65000000
N
N
N
ELEVANCE HEALTH, INC.
8MYN82XMYQH89CTMTH67
ELEVANCE HEALTH INC 3.650000% 12/01/2027
036752AB9
30000.00000000
PA
USD
28277.18000000
0.015310056481
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS0038
3138W9BG4
19954.52000000
PA
USD
17676.00000000
0.009570280995
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QB3535
3133A94U6
148029.75000000
PA
USD
118498.31000000
0.064158300760
Long
DBT
USGA
US
N
2
2050-09-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G60587
31335AUL0
104729.11000000
PA
USD
99063.24000000
0.053635610045
Long
DBT
USGA
US
N
2
2046-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-3 IO
38381ETV0
291260.27000000
PA
USD
14679.02000000
0.007947632164
Long
DBT
USGA
US
N
2
2061-02-16
Floating
0.64026000
N
N
N
N
N
N
CSMC TRUST
N/A
CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-I CSMC 2019-ICE4 F
12653VAL0
189528.48000000
PA
USD
187671.23000000
0.101610455190
Long
ABS-MBS
US
N
2
2036-05-15
Floating
8.00800920
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 1.300000% 06/11/2025
064159VL7
40000.00000000
PA
USD
37046.54000000
0.020058033363
Long
DBT
NUSS
CA
N
2
2025-06-11
Fixed
1.30000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS, L.P.
5493005UEC8AZ34LDV29
CHENIERE ENERGY PARTNERS LP 4.000000% 03/01/2031
16411QAK7
10000.00000000
PA
USD
8828.55000000
0.004780024003
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.00000000
N
N
N
N
N
N
QUIKRETE HOLDINGS, INC.
N/A
QUIKRETE HOLDINGS, INC. 03/19/2029
74839XAG4
39574.62000000
PA
USD
39572.25000000
0.021425523429
Long
LON
US
N
2
2029-03-19
Floating
8.43312960
N
N
N
N
N
N
TELEFONICA EMISIONES, S.A.U.
549300Y5MFC4SW5Z3K71
TELEFONICA EMISIONES SA 5.213000% 03/08/2047
87938WAU7
150000.00000000
PA
USD
125715.67000000
0.068065981415
Long
DBT
NUSS
ES
N
2
2047-03-08
Fixed
5.21300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G60722
31335AYT9
405621.01000000
PA
USD
356061.33000000
0.192781567090
Long
DBT
USGA
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST
N/A
FORD CREDIT AUTO OWNER TRUST 2020-REV1 FORDR 2020-1 A
34531NAA4
400000.00000000
PA
USD
378737.36000000
0.205059004235
Long
ABS-MBS
US
N
2
2031-08-15
Fixed
2.04000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 5.500000% 04/01/2063
161175CL6
30000.00000000
PA
USD
23567.83000000
0.012760282618
Long
DBT
CORP
US
N
2
2063-04-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS8745
3138WJWF1
38429.83000000
PA
USD
33676.11000000
0.018233188252
Long
DBT
USGA
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
ALLIED UNIVERSAL HOLDCO LLC
N/A
ALLIED UNIVERSAL HOLDCO LLC 5/12/2028
01957TAH0
86465.00550000
PA
USD
83952.33000000
0.045454140550
Long
LON
US
N
2
2028-05-12
Floating
9.16864920
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN 1.850000% 05/01/2025
06367WB85
70000.00000000
PA
USD
65757.16000000
0.035602766389
Long
DBT
NUSS
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 4.110000% 09/15/2028
11135FAL5
237000.00000000
PA
USD
222987.78000000
0.120731823560
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.11000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 784369
3622A22A9
99033.47000000
PA
USD
93781.96000000
0.050776177277
Long
DBT
USGA
US
N
2
2045-08-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS3669
3140XKCF5
371881.05000000
PA
USD
353305.37000000
0.191289413231
Long
DBT
USGA
US
N
2
2046-03-01
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 5.125000% 01/13/2029
09659W2V5
200000.00000000
PA
USD
195941.56000000
0.106088243266
Long
DBT
NUSS
FR
N
2
2029-01-13
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4415 IO
3137BF4Y4
86035.75000000
PA
USD
3555.77000000
0.001925193372
Long
DBT
USGA
US
N
2
2041-04-15
Floating
0.21187440
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
INTERCONTINENTAL EXCHANGE INC 4.950000% 06/15/2052
45866FAX2
10000.00000000
PA
USD
9289.29000000
0.005029481531
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
4.95000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 2.125000% 09/15/2031
126650DR8
30000.00000000
PA
USD
23694.36000000
0.012828789500
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.12500000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C37 WFCM 2016-C37 A4
95000PAD6
170000.00000000
PA
USD
160226.75000000
0.086751245788
Long
ABS-MBS
US
N
2
2049-12-15
Fixed
3.52500000
N
N
N
N
N
N
MICRON TECHNOLOGY, INC.
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC 5.875000% 02/09/2033
595112BZ5
50000.00000000
PA
USD
49441.87000000
0.026769211861
Long
DBT
CORP
US
N
2
2033-02-09
Fixed
5.87500000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING III LLC
N/A
HERTZ VEHICLE FINANCING LLC HERTZ 2021-1A A
42806MAA7
100000.00000000
PA
USD
94656.32000000
0.051249580246
Long
ABS-MBS
US
Y
2
2025-12-26
Fixed
1.21000000
N
N
N
N
N
N
PFS FINANCING CORP.
N/A
PFS FINANCING CORP PFSFC 2022-A A
69335PEF8
463000.00000000
PA
USD
440639.88000000
0.238574760670
Long
ABS-MBS
US
Y
2
2027-02-15
Fixed
2.47000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AB9016
31417GAS5
254164.84000000
PA
USD
224974.41000000
0.121807440631
Long
DBT
USGA
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1171
3140XGJR1
174328.59000000
PA
USD
150496.62000000
0.081483081146
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AMERICA
O06XD7BJ4EPXNABVFN69
TEACHERS INSURANCE & ANNUITY ASSOCIATION OF AMERIC 4.900000% 09/15/2044
878091BD8
90000.00000000
PA
USD
80809.68000000
0.043752621904
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.90000000
N
N
N
N
N
N
FLEETCOR TECHNOLOGIES OPERATING COMPANY, LLC
N/A
FLEETCOR TECHNOLOGIES OPERATING COMPANY, LLC 4/28/2028
33903RAY5
0.01650000
PA
USD
0.02000000
0.000000010828
Long
LON
US
N
2
2028-04-28
Floating
7.16865120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AB6802
31417DRY1
99606.20000000
PA
USD
91735.36000000
0.049668090770
Long
DBT
USGA
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7768
36179WTZ1
258634.76000000
PA
USD
227867.49000000
0.123373835094
Long
DBT
USGA
US
N
2
2051-12-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR5566
3140L4FG9
80066.20000000
PA
USD
64007.30000000
0.034655343221
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
DUKE ENERGY OHIO, INC.
L6KC0HABGHNFU1Z6QY21
DUKE ENERGY OHIO INC 3.650000% 02/01/2029
26442EAF7
50000.00000000
PA
USD
46617.52000000
0.025240029742
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.65000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.125000% 08/15/2040
912810SQ2
4321000.00000000
PA
USD
2652857.68000000
1.436331378129
Long
DBT
UST
US
N
1
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FUNDING
635400DPNHEAUHB7ZI15
NEW YORK LIFE GLOBAL FUNDING 144A 0.950000% 06/24/2025
64952WDQ3
30000.00000000
PA
USD
27681.58000000
0.014987581976
Long
DBT
CORP
US
N
2
2025-06-24
Fixed
0.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZT1970
3132AEFK7
34368.12000000
PA
USD
32852.24000000
0.017787121981
Long
DBT
USGA
US
N
2
2033-04-01
Fixed
3.50000000
N
N
N
N
N
N
THE NATIONAL COLLEGIATE TRUST
N/A
NATIONAL COLLEGIATE STUDENT LOAN TRUST 2006-3 NCSLT 2006-3 B
63543VAG8
250000.00000000
PA
USD
189004.05000000
0.102332081232
Long
ABS-MBS
US
N
2
2032-01-26
Floating
5.78943000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
INTERCONTINENTAL EXCHANGE INC 4.600000% 03/15/2033
45866FAW4
100000.00000000
PA
USD
95518.83000000
0.051716567294
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
4.60000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-189 PT
38383LDU1
95503.16000000
PA
USD
78444.70000000
0.042472155557
Long
DBT
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
RYDER SYSTEM, INC.
ZXJ6Y2OSPZXIVGRILD15
RYDER SYSTEM INC MTN 5.250000% 06/01/2028
78355HKW8
355000.00000000
PA
USD
350542.52000000
0.189793528933
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.375000% 08/15/2050
912810SP4
1539000.00000000
PA
USD
831841.52000000
0.450382274863
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS5314
3138WE3Y3
27698.82000000
PA
USD
26278.72000000
0.014228034318
Long
DBT
USGA
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8487
36179XNC6
97265.05000000
PA
USD
88315.52000000
0.047816493703
Long
DBT
USGA
US
N
2
2052-12-20
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.875000% 02/15/2043
912810TQ1
340000.00000000
PA
USD
316359.38000000
0.171285820451
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.87500000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2022-DNA2 STACR 2022-DNA2 M2
35564KRN1
100000.00000000
PA
USD
101561.83000000
0.054988416585
Long
DBT
USGA
US
Y
2
2042-02-25
Floating
9.03758040
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 3.250000% 04/06/2050
822582CH3
50000.00000000
PA
USD
35480.63000000
0.019210205873
Long
DBT
NUSS
NL
N
2
2050-04-06
Fixed
3.25000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 5.500000% 03/16/2047
92343VDV3
6000.00000000
PA
USD
5786.28000000
0.003132853899
Long
DBT
CORP
US
N
2
2047-03-16
Fixed
5.50000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2006-GG8
N/A
GS MORTGAGE SECURITIES TRUST 2006-GG8 GSMS 2006-GG8 AJ
362332AH1
0.01000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
US
N
2
2039-11-10
Fixed
5.62200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1850
3140XHBU0
404744.39000000
PA
USD
391330.61000000
0.211877342159
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
4.50000000
N
N
N
N
N
N
Domino's Pizza Master Issuer LLC
N/A
DOMINO'S PIZZA MASTER ISSUER LLC DPABS 2021-1A A2I
25755TAN0
558152.50000000
PA
USD
476725.86000000
0.258112719972
Long
ABS-MBS
US
Y
2
2051-04-25
Fixed
2.66200000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7705
36179WR26
172263.30000000
PA
USD
146656.72000000
0.079404051841
Long
DBT
USGA
US
N
2
2051-11-20
Fixed
2.50000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.300000% 04/01/2027
20030NDK4
190000.00000000
PA
USD
179348.63000000
0.097104366674
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0160
3132D9E91
81156.05000000
PA
USD
68137.05000000
0.036891305427
Long
DBT
USGA
US
N
2
2041-07-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (SEPTEMBER)
01F042699
200000.00000000
PA
USD
189625.00000000
0.102668280937
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
4.50000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 3.625000% 04/01/2027
126650DH0
30000.00000000
PA
USD
28395.55000000
0.015374145311
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0240
3140XFHS3
85676.38000000
PA
USD
75019.04000000
0.040617407379
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
BBCCRE TRUST
N/A
BBCCRE TRUST 2015-GTP BBCCR 2015-GTP D
05490TAG7
140000.00000000
PA
USD
110837.92000000
0.060010751267
Long
ABS-MBS
US
N
2
2033-08-10
Floating
4.71468600
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-96 IN
3136BDXA1
158730.78000000
PA
USD
24937.37000000
0.013501789895
Long
DBT
USGA
US
N
2
2051-01-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G07668
3128M9Z96
96461.77000000
PA
USD
91768.43000000
0.049685995794
Long
DBT
USGA
US
N
2
2037-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AN5386
3138LH6Y5
19289.68000000
PA
USD
17847.09000000
0.009662913909
Long
DBT
USGA
US
N
2
2029-05-01
Fixed
3.25000000
N
N
N
N
N
N
INDONESIA RUPIAH
N/A
FX Forward Contract: IDR/USD SETTLE 2023-10-20
N/A
1.00000000
NC
-1330.32000000
-0.00072027247
N/A
DFE
ID
N
2
CITIGROUP GLOBAL MARKETS
N/A
654895.04000000
USD
9959840279.00000000
IDR
2023-10-20
-1330.32000000
N
N
N
OBX TRUST
N/A
OBX 2022-NQM6 TRUST OBX 2022-NQM6 A1
67116VAA9
163804.93000000
PA
USD
158276.04000000
0.085695076811
Long
ABS-MBS
US
Y
2
2062-07-25
Fixed
4.70000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 6.484000% 10/23/2045
161175BA1
20000.00000000
PA
USD
18399.00000000
0.009961733426
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48400000
N
N
N
N
N
N
BRK: UBS
N/A
BRK: UBS PAY: 2.5
N/A
290000.00000000
NC
USD
54043.63000000
0.029260733488
N/A
DIR
XX
N
2
BRK: UBS
N/A
Y
2052-04-21
257.94000000
USD
0.00000000
USD
-290000.00000000
USD
53785.69000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4158
31418DTQ5
72551.96000000
PA
USD
58169.05000000
0.031494351310
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
SkyMiles IP Ltd.
2549008L7P4I8VB90936
DELTA AIR LINES INC / SKYMILES IP LTD 144A 4.750000% 10/20/2028
830867AB3
50000.00000000
PA
USD
48012.84000000
0.025995495033
Long
DBT
NUSS
US
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.450000% 02/01/2050
20030NCZ2
40000.00000000
PA
USD
29193.31000000
0.015806074898
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.375000% 11/15/2048
912810SE9
50000.00000000
PA
USD
42492.19000000
0.023006460649
Long
DBT
UST
US
N
2
2048-11-15
Fixed
3.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4270
3140XKW89
193985.42000000
PA
USD
155646.53000000
0.084271386520
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS3253
3138WCTK9
10316.65000000
PA
USD
9797.06000000
0.005304402417
Long
DBT
USGA
US
N
2
2044-09-01
Fixed
4.00000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M CO 3.700000% 04/15/2050
88579YBP5
120000.00000000
PA
USD
92056.54000000
0.049841986609
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3282
3140QNUG5
90361.66000000
PA
USD
80838.28000000
0.043768106745
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 1.150000% 06/12/2025
89114QCH9
30000.00000000
PA
USD
27820.93000000
0.015063029965
Long
DBT
NUSS
CA
N
2
2025-06-12
Fixed
1.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G67713
3132XCSA4
75445.11000000
PA
USD
71198.78000000
0.038549011720
Long
DBT
USGA
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2018-20E 1
83162CZL0
156088.70000000
PA
USD
143722.20000000
0.077815220601
Long
ABS-MBS
US
N
2
2038-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BD2455
3140F9WR2
35811.79000000
PA
USD
31424.29000000
0.017013989895
Long
DBT
USGA
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 3.875000% 08/22/2037
023135BF2
280000.00000000
PA
USD
251979.51000000
0.136428757406
Long
DBT
CORP
US
N
2
2037-08-22
Fixed
3.87500000
N
N
N
N
N
N
STRUCTURED ASSET INVESTMENT LOAN TRUST
N/A
STRUCTURED ASSET INVESTMENT LOAN TRUST SAIL 2003-BC12 2A
86358EFK7
117213.90000000
PA
USD
109992.64000000
0.059553093023
Long
ABS-MBS
US
N
2
2033-11-25
Floating
6.14943000
N
N
N
N
N
N
DISH DBS Corporation
N/A
DISH DBS CORP 144A 5.750000% 12/01/2028
25470XBF1
30000.00000000
PA
USD
23288.10000000
0.012608828969
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU PASS, LLC
549300GKHS6RS20NLH85
VENTURE GLOBAL CALCASIEU PASS LLC 144A 3.875000% 11/01/2033
92328MAC7
20000.00000000
PA
USD
16249.78000000
0.008798085580
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3597
36179R7J2
13892.22000000
PA
USD
12802.69000000
0.006931734600
Long
DBT
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1938
3140XHEL7
495306.02000000
PA
USD
413107.46000000
0.223667938092
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4177
31418DUB6
60018.41000000
PA
USD
51869.06000000
0.028083360443
Long
DBT
USGA
US
N
2
2040-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BK7700
3140HMRW6
24299.73000000
PA
USD
23486.56000000
0.012716280766
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 5.850000% 12/15/2025
25179MAV5
30000.00000000
PA
USD
30155.13000000
0.016326831159
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BP2319
3140K9SH3
54012.71000000
PA
USD
46965.21000000
0.025428278837
Long
DBT
USGA
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS, L.P.
5493005UEC8AZ34LDV29
CHENIERE ENERGY PARTNERS LP 3.250000% 01/31/2032
16411QAN1
40000.00000000
PA
USD
33053.20000000
0.017895927348
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
3.25000000
N
N
N
N
N
N
APACHE CORPORATION
72ZZ1XRHOOU9P9X16K08
APACHE CORP 7.750000% 12/15/2029
03746AAA8
20000.00000000
PA
USD
20779.47000000
0.011250586492
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
7.75000000
N
N
N
N
N
N
H&E EQUIPMENT SERVICES, INC.
254900KVLRCDMQRYY541
H&E EQUIPMENT SERVICES INC 144A 3.875000% 12/15/2028
404030AJ7
10000.00000000
PA
USD
8731.52000000
0.004727489246
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 4.500000% 04/15/2050
87264AAZ8
50000.00000000
PA
USD
41300.88000000
0.022361452080
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-175 GI
38382LLM1
74595.21000000
PA
USD
7975.99000000
0.004318424163
Long
DBT
USGA
US
N
2
2050-11-20
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL6663
3138EPMM3
91707.51000000
PA
USD
87136.62000000
0.047178204256
Long
DBT
USGA
US
N
2
2039-03-01
Fixed
4.00000000
N
N
N
N
N
N
IMPAC CMB TRUST
N/A
IMPAC CMB TRUST SERIES 2005-4 IMM 2005-4 1M1
45254NPG6
20455.43000000
PA
USD
18403.08000000
0.009963942452
Long
ABS-MBS
US
N
2
2035-05-25
Floating
6.07443120
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.000000% 03/01/2048
20030NCK5
10000.00000000
PA
USD
8047.09000000
0.004356919693
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (SEPTEMBER)
21H040699
200000.00000000
PA
USD
186343.75000000
0.100891720374
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
4.00000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.999000% 11/01/2049
20030NCE9
10000.00000000
PA
USD
7979.48000000
0.004320313747
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.99900000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 1.875000% 02/28/2031
126650DQ0
10000.00000000
PA
USD
7849.77000000
0.004250085124
Long
DBT
CORP
US
N
2
2031-02-28
Fixed
1.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB1301
3140QLNT9
167403.42000000
PA
USD
139591.07000000
0.075578511225
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4720
36179TG58
41346.07000000
PA
USD
39247.19000000
0.021249526850
Long
DBT
USGA
US
N
2
2047-09-20
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
STRIP PRINC 0.000000% 05/15/2049
912803FJ7
410000.00000000
PA
USD
138246.10000000
0.074850306833
Long
DBT
UST
US
N
2
2049-05-15
Fixed
0.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5019
36179TSG1
13249.43000000
PA
USD
12182.26000000
0.006595816438
Long
DBT
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
PG&E WILDFIRE RECOVERY FUNDING LLC
N/A
PG&E WILDFIRE RECOVERY FUNDING LLC 3.594000% 06/01/2030
693342AA5
334890.16000000
PA
USD
313294.68000000
0.169626506117
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.59400000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-3 SCRT 2020-3 MA
35563PSC4
121484.94000000
PA
USD
106752.53000000
0.057798806807
Long
ABS-MBS
US
N
2
2060-05-25
Fixed
2.00000000
N
N
N
N
N
N
NVIDIA CORPORATION
549300S4KLFTLO7GSQ80
NVIDIA CORP 3.500000% 04/01/2050
67066GAH7
50000.00000000
PA
USD
39374.60000000
0.021318510189
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3456
36179RZV4
147101.96000000
PA
USD
143994.19000000
0.077962483598
Long
DBT
USGA
US
N
2
2046-02-20
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.330000% 03/15/2050
06051GHS1
150000.00000000
PA
USD
127065.52000000
0.068796827975
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
4.33000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8672
3140XCT65
234475.98000000
PA
USD
219394.18000000
0.118786147967
Long
DBT
USGA
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4 NRZT 2019-NQM4 A1
64828EAA3
179491.00000000
PA
USD
166065.32000000
0.089912410957
Long
ABS-MBS
US
N
2
2059-09-25
Floating
2.49188040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1590
3140XGXU8
438961.10000000
PA
USD
365827.09000000
0.198069022812
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.750000% 08/15/2041
912810TA6
1946000.00000000
PA
USD
1307544.76000000
0.707941319753
Long
DBT
UST
US
N
1
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
BRIGHTHOUSE FINANCIAL, INC.
5493003T8SZSHOGGAW52
BRIGHTHOUSE FINANCIAL INC 4.700000% 06/22/2047
10922NAF0
4000.00000000
PA
USD
2978.02000000
0.001612383356
Long
DBT
CORP
US
N
2
2047-06-22
Fixed
4.70000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC.
N/A
GFL ENVIRONMENTAL INC. 5/28/2027
C7052BAJ3
58719.10000000
PA
USD
58873.53000000
0.031875776494
Long
LON
US
N
2
2027-05-28
Floating
8.46911880
N
N
N
N
N
N
RANGE RESOURCES CORPORATION
H3Y3WLYCX0BTO1TRW162
RANGE RESOURCES CORP 4.875000% 05/15/2025
75281AAS8
30000.00000000
PA
USD
29325.00000000
0.015877375549
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.87500000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.500000% 04/15/2025
87264ABB0
200000.00000000
PA
USD
193340.59000000
0.104680005330
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA6332
3133KNA94
88604.90000000
PA
USD
70961.88000000
0.038420747431
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Kraft Heinz Foods Company
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 4.875000% 10/01/2049
50077LAZ9
20000.00000000
PA
USD
17729.16000000
0.009599063307
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.87500000
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.375000% 07/01/2025
00914AAH5
20000.00000000
PA
USD
19054.65000000
0.010316720682
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 5.550000% 03/15/2026
674599DC6
30000.00000000
PA
USD
29747.40000000
0.016106074728
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
MACQUARIE GROUP LIMITED.
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP LTD 144A 1.340000% 01/12/2027
55608JAR9
302000.00000000
PA
USD
270880.79000000
0.146662439279
Long
DBT
NUSS
AU
N
2
2027-01-12
Fixed
1.34000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q45560
3132WKFA1
37699.81000000
PA
USD
33076.53000000
0.017908558863
Long
DBT
USGA
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 4.900000% 06/01/2044
212015AQ4
20000.00000000
PA
USD
15331.56000000
0.008300935579
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
VOC Escrow Ltd
N/A
VOC ESCROW LTD 144A 5.000000% 02/15/2028
91832VAA2
30000.00000000
PA
USD
27845.75000000
0.015076468207
Long
DBT
NUSS
US
N
2
2028-02-15
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.000000% 03/22/2027
92343VFF6
10000.00000000
PA
USD
9295.11000000
0.005032632642
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
3.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 3.482000% 03/19/2030
30231GBK7
40000.00000000
PA
USD
36989.88000000
0.020027356053
Long
DBT
CORP
US
N
2
2030-03-19
Fixed
3.48200000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 1.000000% 07/09/2029
040114HX1
13557.00000000
PA
USD
4366.71000000
0.002364258979
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA4950
3140QCQC3
101263.83000000
PA
USD
91791.15000000
0.049698297037
Long
DBT
USGA
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 2.150000% 02/03/2032
444859BR2
10000.00000000
PA
USD
7843.40000000
0.004246636227
Long
DBT
CORP
US
N
2
2032-02-03
Fixed
2.15000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2014-20C 1
83162CWD1
243504.16000000
PA
USD
226628.76000000
0.122703152011
Long
ABS-MBS
US
N
2
2034-03-01
Fixed
3.21000000
N
N
N
N
N
N
VIRGIN MEDIA BRISTOL LLC
N/A
VIRGIN MEDIA BRISTOL LLC 1/31/2028
G9368PBC7
75281.50000000
PA
USD
73135.98000000
0.039597866005
Long
LON
US
N
2
2028-01-31
Floating
7.92496080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM4097
3140J8RT2
412779.53000000
PA
USD
399558.07000000
0.216331919217
Long
DBT
USGA
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 6.750000% MATURITY: PERPETUAL
29273VAL4
10000.00000000
PA
USD
9181.30000000
0.004971012723
Long
DBT
CORP
US
N
2
2172-05-15
Fixed
6.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 2.083000% 04/22/2026
46647PBK1
60000.00000000
PA
USD
56435.06000000
0.030555520605
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
2.08300000
N
N
N
N
N
N
TOYOTA AUTO LOAN EXTENDED NOTE TRUST
N/A
TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2021-1 TALNT 2021-1A A
89237MAA7
456000.00000000
PA
USD
409516.23000000
0.221723545683
Long
ABS-MBS
US
Y
2
2034-02-27
Fixed
1.07000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.400000% 03/22/2041
92343VGK4
10000.00000000
PA
USD
7425.67000000
0.004020465517
Long
DBT
CORP
US
N
2
2041-03-22
Fixed
3.40000000
N
N
N
N
N
N
Ferguson Finance Plc
2138003A7ZEU931DZL61
FERGUSON FINANCE PLC 144A 3.250000% 06/02/2030
314890AB0
230000.00000000
PA
USD
199068.58000000
0.107781299392
Long
DBT
NUSS
US
N
2
2030-06-02
Fixed
3.25000000
N
N
N
N
N
N
DELTA AIR LINES, INC.
Q2CCMS6R0AS67HJMBN42
DELTA AIR LINES INC 2.900000% 10/28/2024
247361ZU5
40000.00000000
PA
USD
38738.98000000
0.020974367735
Long
DBT
CORP
US
N
2
2024-10-28
Fixed
2.90000000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2015-CCRE24 MORTGAGE TRUST COMM 2015-CR24 AM
12593JBH8
90000.00000000
PA
USD
84660.83000000
0.045837742274
Long
ABS-MBS
US
N
2
2048-08-10
Floating
4.02800040
N
N
N
N
N
N
NVIDIA CORPORATION
549300S4KLFTLO7GSQ80
NVIDIA CORP 3.500000% 04/01/2040
67066GAG9
90000.00000000
PA
USD
74916.17000000
0.040561710683
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8685
3140XCUK2
78847.83000000
PA
USD
68339.21000000
0.037000760508
Long
DBT
USGA
US
N
2
2051-09-01
Fixed
3.00000000
N
N
N
N
N
N
Kraft Heinz Foods Company
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 4.375000% 06/01/2046
50077LAB2
10000.00000000
PA
USD
8274.99000000
0.004480311130
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.37500000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS, L.P.
549300PDHUGWPWGOT525
KINDER MORGAN ENERGY PARTNERS LP 3.500000% 09/01/2023
494550BQ8
30000.00000000
PA
USD
30000.00000000
0.016242839436
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.375000% 05/15/2051
912810SX7
300000.00000000
PA
USD
208511.72000000
0.112894079619
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7 CGCMT 2019-C7 XA
17328CAJ1
1070376.32000000
PA
USD
43068.73000000
0.023318615537
Long
DBT
USGA
US
N
2
2072-12-15
Floating
0.98879760
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A
5493001DTG5N7T8BG747
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A FORDF 2018-4 A
34528PAK2
150000.00000000
PA
USD
141693.75000000
0.076716961013
Long
ABS-MBS
US
N
2
2030-11-15
Fixed
4.06000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD3400
3132DQX50
99539.38000000
PA
USD
94385.39000000
0.051102891163
Long
DBT
USGA
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
Element Fleet Management Corp.
5493000PGBS1C22ELQ16
ELEMENT FLEET MANAGEMENT CORP 144A 1.600000% 04/06/2024
286181AF9
491000.00000000
PA
USD
477769.03000000
0.258677521399
Long
DBT
NUSS
CA
N
2
2024-04-06
Fixed
1.60000000
N
N
N
N
N
N
NOMURA ASSET SECURITIES CORPORATION
N/A
NOMURA ASSET ACCEPTANCE CORP ALTERNATIVE LOAN TRUS NAA 2007-1 1A4
65538PAE8
97138.14000000
PA
USD
91558.76000000
0.049572474589
Long
ABS-MBS
US
N
2
2047-03-25
Floating
6.13800000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 2.800000% 01/15/2051
20030NDL2
40000.00000000
PA
USD
25372.27000000
0.013737256924
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1143
3132DNHU0
58168.23000000
PA
USD
55946.38000000
0.030290935579
Long
DBT
USGA
US
N
2
2050-09-01
Fixed
4.50000000
N
N
N
N
N
N
KINDER MORGAN, INC.
549300WR7IX8XE0TBO16
KINDER MORGAN INC 5.200000% 03/01/2048
49456BAQ4
10000.00000000
PA
USD
8611.78000000
0.004662658660
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.20000000
N
N
N
N
N
N
Continental Airlines
N/A
CONTINENTAL AIRLINES 2012-2 CLASS A PASS THROUGH T 4.000000% 10/29/2024
210795QB9
125447.44000000
PA
USD
122360.88000000
0.066249604237
Long
DBT
CORP
US
N
2
2024-10-29
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G67701
3132XCRW7
68466.95000000
PA
USD
60420.23000000
0.032713203153
Long
DBT
USGA
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
ELEVANCE HEALTH, INC.
8MYN82XMYQH89CTMTH67
ELEVANCE HEALTH INC 4.550000% 05/15/2052
036752AU7
20000.00000000
PA
USD
17220.16000000
0.009323476464
Long
DBT
CORP
US
N
2
2052-05-15
Fixed
4.55000000
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY 7.950000% 01/09/2025
22550L2L4
322000.00000000
PA
USD
328295.32000000
0.177748272349
Long
DBT
NUSS
CH
N
2
2025-01-09
Fixed
7.95000000
N
N
N
N
N
N
FIRSTENERGY CORP.
549300SVYJS666PQJH88
FIRSTENERGY CORP 1.600000% 01/15/2026
337932AN7
20000.00000000
PA
USD
18160.88000000
0.009832808595
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.60000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.400000% 05/01/2026
172967KN0
510000.00000000
PA
USD
482551.89000000
0.261267095633
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.40000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.000000% 02/15/2049
912810SF6
310000.00000000
PA
USD
246074.61000000
0.133231679320
Long
DBT
UST
US
N
2
2049-02-15
Fixed
3.00000000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.375000% 01/23/2031
917288BK7
40000.00000000
PA
USD
39289.34000000
0.021272348039
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 4.250000% 08/22/2057
023135BM7
10000.00000000
PA
USD
8659.47000000
0.004688479360
Long
DBT
CORP
US
N
2
2057-08-22
Fixed
4.25000000
N
N
N
N
N
N
OAK STREET INVESTMENT GRADE NET LEASE FUND LLC.
N/A
OAK STREET INVESTMENT GRADE NET LEASE FUND SERIES OAKIG 2020-1A A3
67181DAC5
230000.00000000
PA
USD
205172.56000000
0.111086164961
Long
ABS-MBS
US
Y
2
2050-11-20
Fixed
2.26000000
N
N
N
N
N
N
USD PUT/ AUD CALL
N/A
USD PUT/ AUD CALL EXPIRATION: 11/03/2023
USAU12067
870000.00000000
NC
USD
2922.46000000
0.001582301617
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
Put
Purchased
N/A
N/A
870000.00000000
0.67160000
USD
2023-11-03
XXXX
-7108.64000000
N
N
N
GENERAL MOTORS COMPANY
54930070NSV60J38I987
GENERAL MOTORS CO 6.250000% 10/02/2043
37045VAF7
50000.00000000
PA
USD
47014.88000000
0.025455171565
Long
DBT
CORP
US
N
2
2043-10-02
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (SEPTEMBER)
21H020691
400000.00000000
PA
USD
329906.25000000
0.178620474927
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
2.00000000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 1.450000% 05/12/2025
91159HHZ6
30000.00000000
PA
USD
28054.72000000
0.015189610413
Long
DBT
CORP
US
N
2
2025-05-12
Fixed
1.45000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.910000% 05/24/2033
172967NU1
40000.00000000
PA
USD
38022.92000000
0.020586672815
Long
DBT
CORP
US
N
2
2033-05-24
Fixed
4.91000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4650
3140X8EY9
132170.53000000
PA
USD
114624.72000000
0.062061030746
Long
DBT
USGA
US
N
2
2040-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA2797
3133KJDA7
55108.33000000
PA
USD
47683.86000000
0.025817376056
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2019-25G 1
83162CC68
20723.15000000
PA
USD
17877.22000000
0.009679227134
Long
ABS-MBS
US
N
2
2044-07-01
Fixed
2.69000000
N
N
N
N
N
N
SOUTHERN COPPER CORPORATION
2549007U6NAP46Q9TU15
SOUTHERN COPPER CORP 5.250000% 11/08/2042
84265VAG0
120000.00000000
PA
USD
110987.04000000
0.060091489008
Long
DBT
CORP
MX
N
2
2042-11-08
Fixed
5.25000000
N
N
N
N
N
N
COHERENT CORP.
N/A
COHERENT CORP. 7/2/2029
45173JAQ7
54999.11000000
PA
USD
54806.61000000
0.029673832209
Long
LON
US
N
2
2029-07-02
Floating
8.18313120
N
N
N
N
N
N
Mondelez International, Inc.
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL INC 1.500000% 05/04/2025
609207AU9
70000.00000000
PA
USD
65457.94000000
0.035440760308
Long
DBT
CORP
US
N
2
2025-05-04
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-113 Z
38381HGG0
614152.67000000
PA
USD
383636.55000000
0.207711562786
Long
DBT
USGA
US
N
2
2061-09-16
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL9621
3138ERVP2
63175.18000000
PA
USD
59886.96000000
0.032424475853
Long
DBT
USGA
US
N
2
2037-01-01
Fixed
4.00000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 4.125000% 04/15/2026
90351DAF4
449000.00000000
PA
USD
430846.04000000
0.233272101651
Long
DBT
NUSS
CH
N
2
2026-04-15
Fixed
4.12500000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS126846
-16138000.00000000
NC
USD
250783.06000000
0.135780965898
N/A
DCR
XX
N
2
BRK : JP MORGAN CHASE BANK NA (PAS)
N/A
Y
2028-06-20
128624.53000000
USD
0.00000000
USD
-16138000.00000000
USD
122158.53000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1015
3140XGDV8
90755.48000000
PA
USD
72994.92000000
0.039521492174
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H09 FL
38380QAW2
61832.50000000
PA
USD
61954.22000000
0.033543748262
Long
DBT
USGA
US
N
2
2070-05-20
Floating
4.85038080
N
N
N
N
N
N
TRICON AMERICAN HOMES TRUST
N/A
TRICON AMERICAN HOMES 2020-SFR2 TRUST TAH 2020-SFR2 A
89613JAA8
225175.47000000
PA
USD
191645.96000000
0.103762485230
Long
ABS-MBS
US
Y
2
2039-11-17
Fixed
1.48200000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C23 B
61690QAH2
100000.00000000
PA
USD
91727.74000000
0.049663965089
Long
ABS-MBS
US
N
2
2050-07-15
Floating
4.27647960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BL2454
3140HTWQ8
18849.91000000
PA
USD
17268.68000000
0.009349746550
Long
DBT
USGA
US
N
2
2029-05-01
Fixed
3.16000000
N
N
N
N
N
N
HALLIBURTON COMPANY
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO 3.800000% 11/15/2025
406216BG5
2000.00000000
PA
USD
1950.28000000
0.001055936163
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.970000% 03/05/2029
06051GHG7
150000.00000000
PA
USD
140177.05000000
0.075895777193
Long
DBT
CORP
US
N
2
2029-03-05
Fixed
3.97000000
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 2.750000% 04/06/2030
822582CG5
20000.00000000
PA
USD
17629.58000000
0.009545147909
Long
DBT
NUSS
NL
N
2
2030-04-06
Fixed
2.75000000
N
N
N
N
N
N
MEDLINE BORROWER, LP
N/A
MEDLINE BORROWER, LP 10/23/2028
58503UAC7
39276.13000000
PA
USD
39230.96000000
0.021240739473
Long
LON
US
N
2
2028-10-23
Floating
8.68313160
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERGY COMPANY
549300JD0S5IZJE9LY15
BERKSHIRE HATHAWAY ENERGY CO 4.450000% 01/15/2049
084659AR2
600000.00000000
PA
USD
490753.10000000
0.265707460207
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2395
3132DPUU0
94242.83000000
PA
USD
91439.11000000
0.049507692731
Long
DBT
USGA
US
N
2
2053-01-01
Fixed
5.00000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.350000% 04/15/2050
437076CD2
90000.00000000
PA
USD
65884.49000000
0.035671706413
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.35000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 4.050000% 08/22/2047
023135BJ4
30000.00000000
PA
USD
25889.23000000
0.014017153534
Long
DBT
CORP
US
N
2
2047-08-22
Fixed
4.05000000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC.
QUR0DG15Z6FFGYCHH861
LIBERTY MUTUAL GROUP INC 144A 4.569000% 02/01/2029
53079EBG8
349000.00000000
PA
USD
336853.19000000
0.182381742627
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.56900000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2019-20D 1
83162CB51
20506.49000000
PA
USD
18502.13000000
0.010017570894
Long
ABS-MBS
US
N
2
2039-04-01
Fixed
2.98000000
N
N
N
N
N
N
ELEVANCE HEALTH, INC.
8MYN82XMYQH89CTMTH67
ELEVANCE HEALTH INC 4.100000% 05/15/2032
036752AT0
100000.00000000
PA
USD
92145.41000000
0.049890103314
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.10000000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2022-DNA3 STACR 2022-DNA3 B1
35564KWA3
120000.00000000
PA
USD
126358.24000000
0.068413886792
Long
DBT
USGA
US
Y
2
2042-04-25
Floating
10.93758120
N
N
N
N
N
N
NORFOLK SOUTHERN CORPORATION
54930036C8MWP850MI84
NORFOLK SOUTHERN CORP 4.837000% 10/01/2041
655844BH0
200000.00000000
PA
USD
181855.61000000
0.098461715794
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
4.83700000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 4.750000% 01/14/2050
105756CB4
200000.00000000
PA
USD
146734.11000000
0.079445952952
Long
DBT
NUSS
BR
N
2
2050-01-14
Fixed
4.75000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 0.750000% 07/09/2030
040114HS2
169700.00000000
PA
USD
56640.84000000
0.030666935655
Long
DBT
NUSS
AR
N
2
2030-07-09
Fixed
0.75000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.150000% 10/15/2028
20030NCT6
40000.00000000
PA
USD
38571.13000000
0.020883489049
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2296
3140XHRS8
267239.28000000
PA
USD
239422.14000000
0.129629845918
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL9631
3138ERVZ0
37388.73000000
PA
USD
32798.14000000
0.017757830727
Long
DBT
USGA
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD8146
3132DWBP7
166126.74000000
PA
USD
132749.31000000
0.071874190920
Long
DBT
USGA
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5423
3140X9AZ8
74644.96000000
PA
USD
62626.80000000
0.033907901893
Long
DBT
USGA
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
3 Month SOFR Opt Jun24P 94.5
N/A
3 Month SOFR Opt Jun24P 94.5 SHORT
00VH4L9M7
-109.00000000
NC
USD
-41556.25000000
-0.02249971654
N/A
DIR
US
N
1
ADVANTAGE CAPITAL CORPORATION
N/A
Put
Written
N/A
N/A
-272500.00000000
94.50000000
USD
2024-06-17
XXXX
-3610.15000000
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
MOODY'S CORP 3.250000% 05/20/2050
615369AT2
235000.00000000
PA
USD
161902.01000000
0.087658278428
Long
DBT
CORP
US
N
2
2050-05-20
Fixed
3.25000000
N
N
N
N
N
N
AMSR TRUST
N/A
AMSR 2021-SFR3 TRUST AMSR 2021-SFR3 A
00180UAA3
300000.00000000
PA
USD
263756.34000000
0.142805062698
Long
ABS-MBS
US
Y
2
2038-10-17
Fixed
1.47600000
N
N
N
N
N
N
GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST
N/A
GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2022-1 GOOD 2022-1GS A
38237JAA1
84673.37000000
PA
USD
67527.89000000
0.036561489158
Long
ABS-MBS
US
Y
2
2049-01-20
Fixed
2.70000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 4.950000% 12/05/2044
023135AQ9
127000.00000000
PA
USD
125573.63000000
0.067989076984
Long
DBT
CORP
US
N
2
2044-12-05
Fixed
4.95000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 3.600000% 04/13/2032
023135CH7
110000.00000000
PA
USD
101218.76000000
0.054802668887
Long
DBT
CORP
US
N
2
2032-04-13
Fixed
3.60000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 3.500000% 03/01/2042
161175CE2
10000.00000000
PA
USD
6537.55000000
0.003539612498
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.250000% 04/15/2029
29278NAG8
30000.00000000
PA
USD
29310.88000000
0.015869730585
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
FIRSTENERGY CORP.
549300SVYJS666PQJH88
FIRSTENERGY CORP 5.100000% 07/15/2047
337932AJ6
120000.00000000
PA
USD
104428.61000000
0.056540571493
Long
DBT
CORP
US
N
2
2047-07-15
Fixed
5.10000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP MATURITY: PERPETUAL
29273VAH3
70000.00000000
PA
USD
64400.00000000
0.034867961990
Long
DBT
CORP
US
N
2
2172-02-15
Floating
9.65418120
N
N
N
N
N
N
N/A
N/A
SOFR 1yr MidCurve Dec23P 96 LONG
N/A
33.00000000
NC
USD
35062.50000000
0.018983818591
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Put
Purchased
N/A
Put Option 96 Dec 2023 on CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Dec 2024 (1 Year Mid-Curve)
82500.00000000
96.00000000
USD
2023-12-18
XXXX
4680.70000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4305
31418DYB2
507087.63000000
PA
USD
404298.48000000
0.218898509834
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (SEPTEMBER)
01F022691
200000.00000000
PA
USD
165671.87000000
0.089699386118
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
2.50000000
N
N
N
N
N
N
TACO BELL FUNDING, LLC
N/A
TACO BELL FUNDING LLC BELL 2021-1A A2II
87342RAH7
424440.00000000
PA
USD
351586.15000000
0.190358579417
Long
ABS-MBS
US
Y
2
2051-08-25
Fixed
2.29400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q49596
3132WPUW5
10131.34000000
PA
USD
9751.62000000
0.005279799930
Long
DBT
USGA
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0191
3140FXF98
35867.23000000
PA
USD
33549.66000000
0.018164724684
Long
DBT
USGA
US
N
2
2057-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9356
3140XDME3
214052.22000000
PA
USD
201531.87000000
0.109114993524
Long
DBT
USGA
US
N
2
2036-01-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA2199
3140Q9NR0
45759.95000000
PA
USD
44187.07000000
0.023924116105
Long
DBT
USGA
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2020-GSA2 GSMS 2020-GSA2 AAB
36264KAW0
260000.00000000
PA
USD
224590.99000000
0.121599846314
Long
ABS-MBS
US
N
2
2053-12-12
Fixed
1.66200000
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD.
N/A
PALMER SQUARE LOAN FUNDING 2022-2 LTD PSTAT 2022-2A A1
69701NAA4
343745.77000000
PA
USD
341251.55000000
0.184763137802
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.57795960
N
N
N
N
N
N
ASURION LLC
N/A
ASURION LLC 7/31/2027
04649VAY6
29324.99780000
PA
USD
28174.87000000
0.015254662985
Long
LON
US
N
2
2027-07-31
Floating
8.78785920
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786366
3622AB6B3
95611.75000000
PA
USD
91164.99000000
0.049359276493
Long
DBT
USGA
US
N
2
2052-08-20
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 5.557000% 07/25/2034
95000U3F8
360000.00000000
PA
USD
355264.84000000
0.192350325117
Long
DBT
CORP
US
N
2
2034-07-25
Fixed
5.55700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD8121
3132DWAW3
387204.63000000
PA
USD
309868.75000000
0.167771611753
Long
DBT
USGA
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 5.875000% 05/28/2045
279158AJ8
110000.00000000
PA
USD
77542.91000000
0.041983901218
Long
DBT
NUSS
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 4.300000% 03/25/2028
126650CX6
30000.00000000
PA
USD
28813.82000000
0.015600608393
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS PASS-THROUGH TRUST 144A 7.507000% 01/10/2032
126650BS8
309706.66000000
PA
USD
321443.32000000
0.174038407822
Long
DBT
CORP
US
N
2
2032-01-10
Fixed
7.50700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4813 CJ
3137FGSM8
13914.87000000
PA
USD
12114.21000000
0.006558972264
Long
DBT
USGA
US
N
2
2048-08-15
Fixed
3.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 3.100000% 02/01/2025
958667AB3
140000.00000000
PA
USD
134071.49000000
0.072590056169
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.10000000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 5.727000% 10/21/2026
91159HJH4
169000.00000000
PA
USD
168949.75000000
0.091474122069
Long
DBT
CORP
US
N
2
2026-10-21
Fixed
5.72700000
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2020-MKST F
46652DAL9
170000.00000000
PA
USD
43141.43000000
0.023357977351
Long
ABS-MBS
US
N
2
2036-12-15
Floating
8.52447960
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785657
3622ABE65
85802.45000000
PA
USD
72218.07000000
0.039100883847
Long
DBT
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.875000% 05/15/2043
912810TS7
1805000.00000000
PA
USD
1678932.03000000
0.909020779598
Long
DBT
UST
US
N
2
2043-05-15
Fixed
3.87500000
N
N
N
N
N
N
STACK INFRASTRUCTURE ISSUER, LLC
N/A
STACK INFRASTRUCTURE ISSUER LLC SIDC 2019-2A A2
85236KAC6
159000.00000000
PA
USD
152161.35000000
0.082384412549
Long
ABS-MBS
US
N
2
2044-10-25
Fixed
3.08000000
N
N
N
N
N
N
PERATON CORP
N/A
PERATON CORP 2/1/2028
71360HAB3
106364.85140000
PA
USD
105218.24000000
0.056968099270
Long
LON
US
N
2
2028-02-01
Floating
9.16864920
N
N
N
N
N
N
N/A
N/A
SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)
783965593
176238.55000000
NS
USD
176238.55000000
0.095420482338
Long
STIV
RF
US
N
2
N
N
N
IMPAC SECURED ASSETS CORP
N/A
IMPAC SECURED ASSETS TRUST 2006-2 IMSA 2006-2 2M3
45256VAU1
3713.22000000
PA
USD
3711.54000000
0.002009531609
Long
ABS-MBS
US
N
2
2036-08-25
Floating
7.07942880
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 5.750000% 06/24/2044
969457BV1
70000.00000000
PA
USD
66240.89000000
0.035864671346
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 3.109000% 04/22/2051
46647PBN5
10000.00000000
PA
USD
6768.61000000
0.003664714847
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.10900000
N
N
N
N
N
N
AMERICAN TOWER TRUST #1
N/A
AMERICAN TOWER TRUST #1 144A 5.490000% 03/15/2028
03027WAM4
351000.00000000
PA
USD
349865.85000000
0.189427160861
Long
DBT
CORP
US
Y
2
2028-03-15
Fixed
5.49000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC 144A 3.625000% 09/11/2024
034863AS9
200000.00000000
PA
USD
195353.32000000
0.105769753671
Long
DBT
NUSS
ZA
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SB0385
3132CWNA8
300964.01000000
PA
USD
278889.31000000
0.150998476095
Long
DBT
USGA
US
N
2
2035-07-01
Fixed
3.00000000
N
N
N
N
N
N
THE CIGNA GROUP
549300VIWYMSIGT1U456
CIGNA GROUP/THE 3.400000% 03/01/2027
125523CB4
441000.00000000
PA
USD
414627.18000000
0.224490757023
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
SCHLUMBERGER HOLDINGS CORPORATION
529900IKZG65COT1D505
SCHLUMBERGER HOLDINGS CORP 144A 3.900000% 05/17/2028
806851AK7
30000.00000000
PA
USD
28448.45000000
0.015402786852
Long
DBT
CORP
US
N
2
2028-05-17
Fixed
3.90000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2020-3 JPMMT 2020-3 A3A
46592AAD6
67433.52000000
PA
USD
56484.37000000
0.030582218419
Long
ABS-MBS
US
N
2
2050-08-25
Floating
2.99999880
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-2 SCRT 2022-2 MA
35563PE39
244094.11000000
PA
USD
216346.98000000
0.117136308623
Long
ABS-MBS
US
N
2
2062-04-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5117
3133KYVJ5
84783.54000000
PA
USD
67996.54000000
0.036815229381
Long
DBT
USGA
US
N
2
2041-07-01
Fixed
1.50000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 144A 9.750000% MATURITY: PERPETUAL
225401AX6
200000.00000000
PA
USD
0.01000000
0.000000005414
Long
DBT
NUSS
CH
N
2
2171-12-23
Fixed
9.75000000
Y
N
N
N
N
N
CAMERON LNG, LLC
549300C39FLHGVD73K22
CAMERON LNG LLC 144A 2.902000% 07/15/2031
133434AA8
60000.00000000
PA
USD
51312.88000000
0.027782229028
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 3.375000% 05/03/2024
025816CV9
20000.00000000
PA
USD
19676.26000000
0.010653277729
Long
DBT
CORP
US
N
2
2024-05-03
Fixed
3.37500000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 2.700000% 04/15/2030
437076CB6
20000.00000000
PA
USD
17560.51000000
0.009507751478
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70000000
N
N
N
N
N
N
CHICAGO ILL MET WTR RECLAMATION DIST GTR CHICAGO
N/A
CHICAGO IL MET WTR RECLAMATION METROPOLITAN WATER RECLAMATION DISTRICT OF GREATER
167560PL9
345000.00000000
PA
USD
364920.85000000
0.197578359118
Long
DBT
MUN
US
N
2
2038-12-01
Fixed
5.72000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2578
3132DP2K3
96907.39000000
PA
USD
97199.40000000
0.052626474917
Long
DBT
USGA
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL9572
3138ERT67
46841.04000000
PA
USD
45539.20000000
0.024656197122
Long
DBT
USGA
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 1.125000% 01/15/2026
723787AT4
10000.00000000
PA
USD
9065.08000000
0.004908087963
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ5731
3140KRLM9
228743.52000000
PA
USD
193727.40000000
0.104889435087
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0552
3132DMTH8
16004.21000000
PA
USD
12743.70000000
0.006899795764
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.950000% 10/15/2025
20030NCS8
70000.00000000
PA
USD
68180.19000000
0.036914662630
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
APACHE CORPORATION
72ZZ1XRHOOU9P9X16K08
APACHE CORP 5.350000% 07/01/2049
037411BG9
20000.00000000
PA
USD
16019.80000000
0.008673567973
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA9220
3140QHG66
164925.47000000
PA
USD
131798.48000000
0.071359384953
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA3210
31418CR89
84137.18000000
PA
USD
76467.49000000
0.041401638739
Long
DBT
USGA
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.375000% 05/15/2033
91282CHC8
2543000.00000000
PA
USD
2395585.47000000
1.297037004847
Long
SN
UST
US
N
2
2033-05-15
Fixed
3.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.875000% 05/15/2052
912810TG3
290000.00000000
PA
USD
225123.83000000
0.121888340800
Long
DBT
UST
US
N
2
2052-05-15
Fixed
2.87500000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WORLDWIDE INC.
549300CRGMZK3K53BF92
ANHEUSER-BUSCH INBEV WORLDWIDE INC 5.550000% 01/23/2049
03523TBV9
20000.00000000
PA
USD
20486.14000000
0.011091769423
Long
DBT
CORP
BE
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 8.125000% 07/15/2039
172967EW7
60000.00000000
PA
USD
74712.88000000
0.040451643789
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS4583
3138WECV9
106818.76000000
PA
USD
101322.47000000
0.054858820383
Long
DBT
USGA
US
N
2
2045-03-01
Fixed
4.00000000
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 5.141000% 03/15/2052
55903VBE2
165000.00000000
PA
USD
131523.07000000
0.071210270273
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
BRK: UBS
N/A
BRK: UBS PAY: 2.85
N/A
517000.00000000
NC
USD
28507.28000000
0.015434639060
N/A
DIR
XX
N
2
BRK: UBS
N/A
Y
2029-02-15
1690.89000000
USD
0.00000000
USD
-517000.00000000
USD
26816.39000000
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7767
36179WTY4
262027.66000000
PA
USD
223063.48000000
0.120772809658
Long
DBT
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
ILPT COMMERCIAL MORTGAGE TRUST
N/A
ILPT COMMERCIAL MORTGAGE TRUST 2022-LPF2 ILPT 2022-LPF2 A
449652AA4
160000.00000000
PA
USD
159448.27000000
0.086329754934
Long
ABS-MBS
US
Y
2
2039-10-15
Floating
7.55547840
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZT1748
3132AD5H7
133706.40000000
PA
USD
131715.41000000
0.071314408531
Long
DBT
USGA
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2463
3140XHWZ6
369721.27000000
PA
USD
319351.61000000
0.172905897499
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.000000% 05/15/2050
29278NAR4
30000.00000000
PA
USD
24694.04000000
0.013370044225
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
PHILLIPS 66 COMPANY
RVJMT2IZVVSKIRJJBH76
PHILLIPS 66 CO 3.550000% 10/01/2026
718547AF9
232000.00000000
PA
USD
219590.93000000
0.118892673922
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
3.55000000
N
N
N
N
N
N
FIRSTKEY HOMES TRUST
N/A
FIRSTKEY HOMES 2020-SFR2 TRUST FKH 2020-SFR2 A
33767JAA0
247999.16000000
PA
USD
225339.38000000
0.122005045601
Long
ABS-MBS
US
Y
2
2037-10-19
Fixed
1.26600000
N
N
N
N
N
N
SMALL BUSINESS INVESTMENT COMPANIES
N/A
SBA SMALL BUSINESS INVESTMENT COS SBIC 2023-10A 1
83162CS79
315000.00000000
PA
USD
311833.02000000
0.168835122494
Long
ABS-MBS
US
N
2
2033-03-01
Fixed
5.16800000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 5.288000% 04/25/2034
06051GLH0
256000.00000000
PA
USD
249806.78000000
0.135252380588
Long
DBT
CORP
US
N
2
2034-04-25
Fixed
5.28800000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS LP
6OQWTZ1SPC04IFT4T704
TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PART 4.875000% 02/01/2031
87612BBS0
50000.00000000
PA
USD
45923.96000000
0.024864516952
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.87500000
N
N
N
N
N
N
SABEY DATA CENTER ISSUER, LLC
N/A
SABEY DATA CENTER ISSUER LLC SDCP 2020-1 A2
78520EAA4
77000.00000000
PA
USD
73363.41000000
0.039721002971
Long
ABS-MBS
US
N
2
2045-04-20
Fixed
3.81200000
N
N
N
N
N
N
PROGRESS RESIDENTIAL MASTER TRUST
N/A
PROGRESS RESIDENTIAL 2019-SFR3 TRUST PROG 2019-SFR3 A
74332WAA1
349117.11000000
PA
USD
335369.09000000
0.181578209360
Long
ABS-MBS
US
N
2
2036-09-17
Fixed
2.27100000
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019- NCMS 2019-FAME A
63873VAA1
110000.00000000
PA
USD
96276.90000000
0.052127007604
Long
ABS-MBS
US
N
2
2036-08-15
Fixed
3.04690000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BC1457
3140EVTP2
140467.57000000
PA
USD
123869.56000000
0.067066445804
Long
DBT
USGA
US
N
2
2046-07-01
Fixed
3.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.329000% 09/21/2028
92343VER1
270000.00000000
PA
USD
258588.21000000
0.140006892505
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4573
3140XLCK2
96799.23000000
PA
USD
97437.10000000
0.052755172348
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
6.00000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) DEC23 FINANCIAL COMMODITY FUTURE.
N/A
15.00000000
NC
USD
3057070.31000000
1.655183406371
N/A
DIR
US
N
1
BNP SECURITIES
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Dec 2023
2024-01-01
3046656.48000000
USD
10413.83000000
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.412000% 03/31/2031
172967MP3
183000.00000000
PA
USD
169918.16000000
0.091998446340
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41200000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 BS8420
3617MKK99
32104.45000000
PA
USD
30150.62000000
0.016324389318
Long
DBT
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2018-5 JPMMT 2018-5 A1
46649KAA3
15873.13000000
PA
USD
13839.52000000
0.007493103374
Long
ABS-MBS
US
N
2
2048-10-25
Floating
3.49999920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5138
3133KYV71
87499.12000000
PA
USD
72398.99000000
0.039198838997
Long
DBT
USGA
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 2.937000% 11/01/2056
20030NDU2
27000.00000000
PA
USD
16801.47000000
0.009096785983
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.93700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD8214
3132DWDT7
92727.11000000
PA
USD
82882.27000000
0.044874780124
Long
DBT
USGA
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8864
3140XCZ68
82257.13000000
PA
USD
68981.44000000
0.037348481800
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7560
3132DVMH5
96322.55000000
PA
USD
89962.72000000
0.048708333874
Long
DBT
USGA
US
N
2
2053-02-01
Fixed
4.00000000
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM
N/A
SOFI PROFESSIONAL LOAN PROGRAM 2018-B TRUST SOFI 2018-B A2FX
83404RAB4
18167.23000000
PA
USD
17586.25000000
0.009521687834
Long
ABS-MBS
US
N
2
2047-08-25
Fixed
3.34000000
N
N
N
N
N
N
DUKE ENERGY FLORIDA, LLC
7MOHLM3DKE63RX2ZCN83
DUKE ENERGY FLORIDA LLC 3.200000% 01/15/2027
26444HAC5
230000.00000000
PA
USD
217434.92000000
0.117725349780
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7312
36179WDR6
71883.97000000
PA
USD
61205.62000000
0.033138435275
Long
DBT
USGA
US
N
2
2051-04-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5224 HL
3137H7G72
200000.00000000
PA
USD
178293.36000000
0.096533013968
Long
DBT
USGA
US
N
2
2052-04-25
Fixed
4.00000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 3.100000% 05/12/2051
023135CB0
120000.00000000
PA
USD
85708.30000000
0.046404871842
Long
DBT
CORP
US
N
2
2051-05-12
Fixed
3.10000000
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES T JPMCC 2018-PHH F
46650FAQ5
250000.00000000
PA
USD
49953.38000000
0.027046157688
Long
ABS-MBS
US
N
2
2035-06-15
Floating
8.66700000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 2.350000% 01/15/2027
20030NBW0
260000.00000000
PA
USD
238533.70000000
0.129148819642
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.35000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.376000% 04/27/2028
06051GKP3
100000.00000000
PA
USD
95990.35000000
0.051971861416
Long
DBT
CORP
US
N
2
2028-04-27
Fixed
4.37600000
N
N
N
N
N
N
THE COCA-COLA COMPANY
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE 1.450000% 06/01/2027
191216CU2
40000.00000000
PA
USD
35714.53000000
0.019336845877
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
1.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD3171
3132DQQY5
96950.73000000
PA
USD
95844.86000000
0.051893089059
Long
DBT
USGA
US
N
2
2053-06-01
Fixed
5.50000000
N
N
N
N
N
N
BALL CORPORATION
0BGI85ALH27ZJP15DY16
BALL CORP 3.125000% 09/15/2031
058498AX4
30000.00000000
PA
USD
24288.51000000
0.013150478935
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
3.12500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.400000% 04/15/2026
674599CH6
20000.00000000
PA
USD
18748.27000000
0.010150837977
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.40000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 4.100000% 04/13/2062
023135CK0
374000.00000000
PA
USD
310067.18000000
0.167879047308
Long
DBT
CORP
US
N
2
2062-04-13
Fixed
4.10000000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 5.836000% 06/12/2034
91159HJN1
20000.00000000
PA
USD
19981.41000000
0.010818494478
Long
DBT
CORP
US
N
2
2034-06-12
Fixed
5.83600000
N
N
N
N
N
N
METLIFE SECURITIZATION TRUST
N/A
METLIFE SECURITIZATION TRUST 2020-1 MST 2020-INV1 A2A
59166CAE9
88429.69000000
PA
USD
71736.67000000
0.038840240417
Long
ABS-MBS
US
Y
2
2050-05-25
Floating
2.49999840
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.625000% 02/26/2044
195325BR5
200000.00000000
PA
USD
151267.07000000
0.081900224334
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
GARDA WORLD SECURITY CORPORATION
N/A
GARDA WORLD SECURITY CORPORATION 10/30/2026
C4000KAD6
13741.31000000
PA
USD
13709.43000000
0.007422669008
Long
LON
US
N
2
2026-10-30
Floating
9.66777840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS3162
3140XJQQ9
190334.08000000
PA
USD
158522.84000000
0.085828701237
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (SEPTEMBER)
21H032696
300000.00000000
PA
USD
272402.34000000
0.147486249024
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0549
3140XFTF8
90586.93000000
PA
USD
75789.39000000
0.041034496425
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
LOWE'S COMPANIES, INC.
WAFCR4OKGSC504WU3E95
LOWE'S COS INC 5.625000% 04/15/2053
548661EM5
245000.00000000
PA
USD
237939.27000000
0.128826978607
Long
DBT
CORP
US
N
2
2053-04-15
Fixed
5.62500000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE B.V.
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 7.375000% 01/17/2027
71647NAS8
100000.00000000
PA
USD
103520.50000000
0.056048895329
Long
DBT
NUSS
BR
N
2
2027-01-17
Fixed
7.37500000
N
N
N
N
N
N
NSTAR ELECTRIC COMPANY
54930080R72Y2Z31UR68
NSTAR ELECTRIC CO 3.950000% 04/01/2030
67021CAP2
230000.00000000
PA
USD
214308.52000000
0.116032629340
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.95000000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2021-1 SEMT 2021-1 A1
81747KAA1
315887.72000000
PA
USD
249304.59000000
0.134980480871
Long
ABS-MBS
US
Y
2
2051-03-25
Floating
2.49999840
N
N
N
N
N
N
APACHE CORPORATION
72ZZ1XRHOOU9P9X16K08
APACHE CORP 4.250000% 01/15/2044
037411BC8
150000.00000000
PA
USD
102023.60000000
0.055238431784
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.250000% 10/22/2026
06051GFL8
50000.00000000
PA
USD
48017.92000000
0.025998245487
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 2.484000% 09/16/2036
61747YEF8
20000.00000000
PA
USD
15083.30000000
0.008166520669
Long
DBT
CORP
US
N
2
2036-09-16
Fixed
2.48400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0523
3140XFSM4
90308.40000000
PA
USD
75608.22000000
0.040936405917
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
MSCCG TRUST
N/A
MSCG TRUST 2015-ALDR MSCCG 2015-ALDR A2
55352NAC1
110000.00000000
PA
USD
101091.39000000
0.054733707205
Long
ABS-MBS
US
N
2
2035-06-07
Floating
3.57714360
N
N
N
N
N
N
COLUMBIA PIPELINES OPERATING COMPANY LLC
N/A
COLUMBIA PIPELINES OPERATING CO LLC 144A 6.544000% 11/15/2053
19828TAC0
30000.00000000
PA
USD
30666.15000000
0.016603511686
Long
DBT
CORP
US
N
2
2053-11-15
Fixed
6.54400000
N
N
N
N
N
N
GREAT OUTDOORS GROUP, LLC
N/A
GREAT OUTDOORS GROUP, LLC 3/6/2028
07014QAN1
19304.57000000
PA
USD
19226.19000000
0.010409597238
Long
LON
US
N
2
2028-03-06
Floating
9.18312840
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0384
3132D9M92
97889.91000000
PA
USD
82165.29000000
0.044486587090
Long
DBT
USGA
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
The Bank of New York Mellon Corporation
WFLLPEPC7FZXENRZV188
BANK OF NEW YORK MELLON CORP/THE MTN 1.600000% 04/24/2025
06406RAN7
20000.00000000
PA
USD
18791.58000000
0.010174287223
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 5.750000% 10/28/2034
760942BE1
150000.00000000
PA
USD
160517.78000000
0.086908817574
Long
DBT
NUSS
UY
N
2
2034-10-28
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4718
36179TG33
1995.76000000
PA
USD
1777.44000000
0.000962355750
Long
DBT
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 2.500000% 02/01/2031
694308JG3
20000.00000000
PA
USD
15607.08000000
0.008450109817
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ1567
3140KLW57
352135.40000000
PA
USD
308705.33000000
0.167141703611
Long
DBT
USGA
US
N
2
2050-09-01
Fixed
3.00000000
N
N
N
N
N
N
FRESENIUS MEDICAL CARE US FINANCE II, INC.
5493008GJ5TVVTY4UM62
FRESENIUS MEDICAL CARE US FINANCE II INC 144A 4.750000% 10/15/2024
35802XAJ2
50000.00000000
PA
USD
49095.56000000
0.026581709937
Long
DBT
CORP
DE
N
2
2024-10-15
Fixed
4.75000000
N
N
N
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 144A 2.268000% 11/15/2026
212015AU5
20000.00000000
PA
USD
17851.64000000
0.009665377406
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.26800000
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 5.141000% 03/15/2052
55903VBE2
40000.00000000
PA
USD
31884.38000000
0.017263095495
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
CARRIER GLOBAL CORPORATION
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP 2.700000% 02/15/2031
14448CAL8
10000.00000000
PA
USD
8391.38000000
0.004543327932
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.70000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.000000% 01/22/2025
06051GFM6
420000.00000000
PA
USD
409127.51000000
0.221513081798
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3126
3140QNPL0
90392.29000000
PA
USD
81758.32000000
0.044266242145
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3936
36179SLR6
101971.18000000
PA
USD
91257.96000000
0.049409613052
Long
DBT
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-56 AS
3136APTN2
115212.70000000
PA
USD
11707.93000000
0.006339000904
Long
DBT
USGA
US
N
2
2045-08-25
Floating
0.74793960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4330
3140X7Y45
176987.33000000
PA
USD
148904.32000000
0.080620965371
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0957
3140XGB32
90716.37000000
PA
USD
78166.61000000
0.042321589850
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 6.412000% 03/15/2026
55903VBG7
30000.00000000
PA
USD
30044.17000000
0.016266754310
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.41200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841090
31288QF70
215171.40000000
PA
USD
215434.69000000
0.116642369290
Long
DBT
USGA
US
N
2
2046-10-01
Floating
4.41799920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U99124
3132H7D68
137192.01000000
PA
USD
125412.34000000
0.067901750065
Long
DBT
USGA
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125% 01/15/2030
912828Z37
390000.00000000
PA
USD
411450.79000000
0.222770970598
Long
DBT
USGA
US
N
2
2030-01-15
Fixed
0.12500000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2022-NQM1 TRUST OBX 2022-NQM1 A2
67114VAB9
120000.00000000
PA
USD
84449.77000000
0.045723468485
Long
ABS-MBS
US
Y
2
2061-11-25
Floating
3.00099960
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
PERTAMINA PERSERO PT 144A 6.000000% 05/03/2042
69369EAD1
200000.00000000
PA
USD
192771.36000000
0.104371808280
Long
DBT
NUSS
ID
N
2
2042-05-03
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9464
3140XDQS8
82629.69000000
PA
USD
72100.53000000
0.039037244402
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
EXELON CORPORATION
3SOUA6IRML7435B56G12
EXELON CORP 5.100000% 06/15/2045
30161NAS0
328000.00000000
PA
USD
298656.08000000
0.161700758471
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA6635
3140QELR1
485498.04000000
PA
USD
408520.37000000
0.221184359213
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
VANTAGE DATA CENTERS ISSUER LLC
N/A
VANTAGE DATA CENTERS ISSUER LLC VDC 2020-1A A2
92212KAB2
387000.00000000
PA
USD
349876.25000000
0.189432791712
Long
ABS-MBS
US
Y
2
2045-09-15
Fixed
1.64500000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.625000% 04/15/2052
437076CQ3
80000.00000000
PA
USD
60916.92000000
0.032982125017
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1132
3132DNHH9
95690.03000000
PA
USD
88564.07000000
0.047951065628
Long
DBT
USGA
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6477
36179VFS4
16848.88000000
PA
USD
16260.89000000
0.008804100845
Long
DBT
USGA
US
N
2
2050-02-20
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.250000% 11/30/2026
91282CDK4
3010000.00000000
PA
USD
2718523.82000000
1.471884863744
Long
SN
UST
US
N
1
2026-11-30
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS3941
3140XKLX6
98099.19000000
PA
USD
95283.14000000
0.051588958133
Long
DBT
USGA
US
N
2
2053-02-01
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.250000% 05/15/2041
912810SY5
10000.00000000
PA
USD
7368.36000000
0.003989436279
Long
DBT
UST
US
N
2
2041-05-15
Fixed
2.25000000
N
N
N
N
N
N
EXELON CORPORATION
3SOUA6IRML7435B56G12
EXELON CORP 5.625000% 06/15/2035
30161NAC5
60000.00000000
PA
USD
59745.27000000
0.032347760923
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
5.62500000
N
N
N
N
N
N
BRK - CITIGROUP MARKETS
N/A
BRK - CITIGROUP MARKETS PAY - 5.41% FIXED
N/A
20711000.00000000
NC
USD
650.28000000
0.000352079787
N/A
DIR
XX
N
2
BRK - CITIGROUP MARKETS
N/A
Y
2024-03-31
0.00000000
USD
0.00000000
USD
-20711000.00000000
USD
650.28000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD8037
3132DV4W2
100507.10000000
PA
USD
84025.26000000
0.045493626892
Long
DBT
USGA
US
N
2
2050-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4726
3140X8HC4
127028.72000000
PA
USD
119907.77000000
0.064921421842
Long
DBT
USGA
US
N
2
2034-11-01
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.785000% 03/17/2033
172967NN7
160000.00000000
PA
USD
139108.59000000
0.075317283053
Long
DBT
CORP
US
N
2
2033-03-17
Fixed
3.78500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I INC.
3IFG42XD94UUZ7FL2766
MORGAN STANLEY CAPITAL I TRUST 2007-IQ16 MSC 2007-IQ16 AJ
61756UAH4
13067.62000000
PA
USD
6457.95000000
0.003496514831
Long
ABS-MBS
US
N
2
2049-12-12
Floating
6.28182000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 555647
31385XHY6
73200.58000000
PA
USD
71181.08000000
0.038539428445
Long
DBT
USGA
US
N
2
2033-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BU1421
3140M2SK9
89090.41000000
PA
USD
77397.68000000
0.041905269633
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 5.582000% 06/12/2029
693475BR5
90000.00000000
PA
USD
89262.40000000
0.048329161030
Long
DBT
CORP
US
N
2
2029-06-12
Fixed
5.58200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA6871
3140QET51
139612.58000000
PA
USD
125845.00000000
0.068136004295
Long
DBT
USGA
US
N
2
2035-08-01
Fixed
2.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.550000% 03/21/2031
92343VGJ7
61000.00000000
PA
USD
50214.42000000
0.027187492048
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
MANULIFE FINANCIAL CORP
5493007GBX87QOZACS27
MANULIFE FINANCIAL CORP 3.703000% 03/16/2032
56501RAN6
340000.00000000
PA
USD
305007.38000000
0.165139530008
Long
DBT
NUSS
CA
N
2
2032-03-16
Fixed
3.70300000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785791
3622ABKC5
86051.57000000
PA
USD
72042.68000000
0.039005922793
Long
DBT
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORPORATION TRUST
N/A
GS MORTGAGE SECURITIES CORP TRUST 2018-SRP5 GSMS 2018-SRP5 A
36255TAA0
170741.28000000
PA
USD
140941.87000000
0.076309872142
Long
ABS-MBS
US
N
2
2031-09-15
Floating
7.22548080
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 4.000000% 05/10/2046
822582BQ4
50000.00000000
PA
USD
41106.20000000
0.022256046881
Long
DBT
NUSS
NL
N
2
2046-05-10
Fixed
4.00000000
N
N
N
N
N
N
JAZZ PHARMACEUTICALS PUBLIC LIMITED COMPANY
N/A
JAZZ PHARMACEUTICALS PUBLIC LIMITED COMPANY 5/5/2028
G5080AAF9
79490.32260000
PA
USD
79490.32000000
0.043038283483
Long
LON
US
N
2
2028-05-05
Floating
8.93313000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1749
3132DN5J8
94416.94000000
PA
USD
79029.40000000
0.042788728498
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7673
3140XBQ37
161939.38000000
PA
USD
135400.06000000
0.073309381142
Long
DBT
USGA
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
FEDERAL NATIONAL MORTGAGE ASSOCIATION POOL # 5 YR
ZZZ185401
100000.00000000
PA
USD
100359.38000000
0.054337376509
Long
DBT
USGA
US
N
2
2028-09-01
Fixed
4.86000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4587
31418ECZ1
90801.74000000
PA
USD
77639.47000000
0.042036181504
Long
DBT
USGA
US
N
2
2042-04-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 AP1087
36188MF46
81121.63000000
PA
USD
77076.75000000
0.041731509151
Long
DBT
USGA
US
N
2
2045-11-20
Fixed
4.00000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.250000% 10/15/2030
20030NCU3
200000.00000000
PA
USD
190281.22000000
0.103023576807
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.25000000
N
N
N
N
N
N
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
R6ZXK5P01NP6HXSY1S07
MASSACHUSETTS MUTUAL LIFE INSURANCE CO 144A 5.672000% 12/01/2052
575767AT5
305000.00000000
PA
USD
301965.38000000
0.163492506089
Long
DBT
CORP
US
N
2
2052-12-01
Fixed
5.67200000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 3.875000% 07/20/2025
126650CL2
18000.00000000
PA
USD
17461.23000000
0.009453998508
Long
DBT
CORP
US
N
2
2025-07-20
Fixed
3.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA2047
3140Q9HZ9
22772.91000000
PA
USD
22030.44000000
0.011927896654
Long
DBT
USGA
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 4.625000% 11/02/2031
279158AP4
20000.00000000
PA
USD
15801.02000000
0.008555114359
Long
DBT
NUSS
CO
N
2
2031-11-02
Fixed
4.62500000
N
N
N
N
N
N
BP CAPITAL MARKETS AMERICA INC.
5493009NTB34VXE1T760
BP CAPITAL MARKETS AMERICA INC 3.588000% 04/14/2027
10373QAZ3
10000.00000000
PA
USD
9538.58000000
0.005164454113
Long
DBT
CORP
US
N
2
2027-04-14
Fixed
3.58800000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP MTN 2.215000% 01/27/2028
91159HJC5
10000.00000000
PA
USD
8924.16000000
0.004831789932
Long
DBT
CORP
US
N
2
2028-01-27
Fixed
2.21500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (SEPTEMBER)
21H030690
400000.00000000
PA
USD
351671.88000000
0.190404996038
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
3.00000000
N
N
N
N
N
N
The Bank of New York Mellon Corporation
WFLLPEPC7FZXENRZV188
BANK OF NEW YORK MELLON CORP/THE MTN 4.289000% 06/13/2033
06406RBH9
160000.00000000
PA
USD
147211.11000000
0.079704214099
Long
DBT
CORP
US
N
2
2033-06-13
Fixed
4.28900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM1565
3140J5W39
75959.18000000
PA
USD
66639.72000000
0.036080609068
Long
DBT
USGA
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7509
3132DVKW4
46581.02000000
PA
USD
40774.65000000
0.022076536434
Long
DBT
USGA
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
TERRIER MEDIA BUYER
N/A
TERRIER MEDIA BUYER 12/17/2026
88145LAE4
28361.27000000
PA
USD
26287.49000000
0.014232782641
Long
LON
US
N
2
2026-12-17
Floating
8.84187000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1237
3140XGLT4
255998.94000000
PA
USD
232019.06000000
0.125621611258
Long
DBT
USGA
US
N
2
2051-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7192
36179V7D6
146231.64000000
PA
USD
120927.62000000
0.065473597169
Long
DBT
USGA
US
N
2
2051-02-20
Fixed
2.00000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2018-C12 UBSCM 2018-C12 A2
90353DAV7
12656.34000000
PA
USD
12619.27000000
0.006832425880
Long
ABS-MBS
US
N
2
2051-08-15
Fixed
4.15190000
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2019-SB63 MORTGAGE TRUST FRESB 2019-SB63 A5H
30298BAE3
182312.91000000
PA
USD
178049.61000000
0.096401040898
Long
ABS-MBS
US
N
2
2039-02-25
Floating
2.54999880
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2010-20B 1
83162CTB9
29938.57000000
PA
USD
28664.84000000
0.015519946453
Long
ABS-MBS
US
N
2
2030-02-01
Fixed
4.14000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20F 1
83162CXB4
75250.34000000
PA
USD
68680.04000000
0.037185295406
Long
ABS-MBS
US
N
2
2035-06-01
Fixed
2.98000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA7257
3140QFB32
75149.83000000
PA
USD
63149.87000000
0.034191106628
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 5.050000% 03/30/2029
161175BR4
40000.00000000
PA
USD
38093.56000000
0.020624919288
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.05000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 11/15/2026
912828U24
2220000.00000000
PA
USD
2055234.38000000
1.112761401284
Long
SN
UST
US
N
2
2026-11-15
Fixed
2.00000000
N
N
N
N
N
N
ALI GROUP NORTH AMERICA CORPORATION
N/A
ALI GROUP NORTH AMERICA CORPORATION 7/30/2029
01608UAE7
39241.07000000
PA
USD
39244.60000000
0.021248124551
Long
LON
US
N
2
2029-07-30
Floating
7.43312880
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA3913
3133KKK24
217956.56000000
PA
USD
183363.94000000
0.099278367861
Long
DBT
USGA
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5763
36179UML3
41631.10000000
PA
USD
39212.82000000
0.021230917970
Long
DBT
USGA
US
N
2
2049-02-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q53595
3132XV7H0
435334.59000000
PA
USD
394844.11000000
0.213779649371
Long
DBT
USGA
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
NEXSTAR BROADCASTING, INC.
N/A
NEXSTAR BROADCASTING, INC. 9/18/2026
65336RAW8
21125.49000000
PA
USD
21153.80000000
0.011453259228
Long
LON
US
N
2
2026-09-18
Floating
7.93312920
N
N
N
N
N
N
SOUTH AFRICAN RAND
N/A
FX Forward Contract: ZAR/USD SETTLE 2023-10-20
N/A
1.00000000
NC
-1459.45000000
-0.00079018706
N/A
DFE
ZA
N
2
CITIGROUP GLOBAL MARKETS
N/A
126091.33000000
USD
2370000.00000000
ZAR
2023-10-20
-1459.45000000
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 4.250000% 04/01/2050
126650DL1
70000.00000000
PA
USD
55299.96000000
0.029940945704
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5711
36179UKY7
58511.01000000
PA
USD
56511.87000000
0.030597107688
Long
DBT
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-223 P
38383FHR7
88457.17000000
PA
USD
75272.35000000
0.040754556501
Long
DBT
USGA
US
N
2
2051-06-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-H27 AI
38375BZC9
29338.56000000
PA
USD
704.01000000
0.000381170713
Long
DBT
USGA
US
N
2
2062-10-20
Floating
1.74426120
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6413
36179VDS6
19084.58000000
PA
USD
18841.73000000
0.010201439836
Long
DBT
USGA
US
N
2
2050-01-20
Fixed
5.00000000
N
N
N
N
N
N
BP CAPITAL MARKETS AMERICA INC.
5493009NTB34VXE1T760
BP CAPITAL MARKETS AMERICA INC 3.000000% 02/24/2050
10373QBG4
50000.00000000
PA
USD
33308.65000000
0.018034235126
Long
DBT
CORP
US
N
2
2050-02-24
Fixed
3.00000000
N
N
N
N
N
N
Citadel Securities 7/23 TLB
N/A
Citadel Securities 7/23 TLB 7/25/2030
N/A
28732.03000000
PA
USD
28588.37000000
0.015478543455
Long
LON
US
N
2
2030-07-25
Floating
7.93312920
N
N
N
N
N
N
CONSTELLATION BRANDS, INC.
5493005GKEG8QCVY7037
CONSTELLATION BRANDS INC 4.750000% 11/15/2024
21036PAN8
80000.00000000
PA
USD
79269.92000000
0.042918952756
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
4.75000000
N
N
N
N
N
N
GENESEE & WYOMING INC.
N/A
GENESEE & WYOMING INC. 12/30/2026
55316HAB1
76703.37010000
PA
USD
76689.56000000
0.041521873650
Long
LON
US
N
2
2026-12-30
Floating
7.34186880
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 BC4732
3617B8HH4
25436.12000000
PA
USD
23407.80000000
0.012673637898
Long
DBT
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5597
36179UGE6
15683.91000000
PA
USD
15497.09000000
0.008390558153
Long
DBT
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2672
31418B6J0
58642.37000000
PA
USD
54037.72000000
0.029257533648
Long
DBT
USGA
US
N
2
2036-07-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA3206
3133KJR38
422564.72000000
PA
USD
340755.90000000
0.184494779023
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.875000% 05/15/2049
912810SH2
70000.00000000
PA
USD
54258.20000000
0.029376907690
Long
DBT
UST
US
N
2
2049-05-15
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZT0794
3132AC3B4
157666.98000000
PA
USD
152290.70000000
0.082454446258
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8486
36179XNB8
94725.55000000
PA
USD
83455.68000000
0.045185240343
Long
DBT
USGA
US
N
2
2052-12-20
Fixed
3.00000000
N
N
N
N
N
N
API GROUP DE, INC.
N/A
API GROUP DE, INC. 10/1/2026
00186XAB9
37380.58000000
PA
USD
37434.03000000
0.020267831291
Long
LON
US
N
2
2026-10-01
Floating
7.93312920
N
N
N
N
N
N
CANADIAN DOLLAR
N/A
FX Forward Contract: CAD/USD SETTLE 2023-10-20
N/A
1.00000000
NC
-31160.18000000
-0.01687099335
N/A
DFE
CA
N
2
CITIGROUP GLOBAL MARKETS
N/A
1528977.95000000
USD
2024733.00000000
CAD
2023-10-20
-31160.18000000
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8727
36179XVU7
98311.55000000
PA
USD
98683.41000000
0.053429959455
Long
DBT
USGA
US
N
2
2053-03-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-176 IN
38383CED8
264082.75000000
PA
USD
35671.03000000
0.019313293760
Long
DBT
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
United States of America
N/A
US LONG BOND(CBT) DEC23 FINANCIAL COMMODITY FUTURE.
N/A
9.00000000
NC
USD
1095187.50000000
0.592965157175
N/A
DIR
US
N
1
JEFFERIES LLC
N/A
Long
U.S. Treasury Futures
US Long Bond (CBT) Dec 2023
2023-12-22
1078193.85000000
USD
16993.65000000
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.700000% 01/12/2026
172967KG5
100000.00000000
PA
USD
95877.36000000
0.051910685468
Long
DBT
CORP
US
N
2
2026-01-12
Fixed
3.70000000
N
N
N
N
N
N
PRIME SECURITY SERVICES BORROWER, LLC
N/A
PRIME SECURITY SERVICES BORROWER, LLC 9/23/2026
03765VAK6
52139.78000000
PA
USD
52128.83000000
0.028224007189
Long
LON
US
N
2
2026-09-23
Floating
8.18161920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB1273
3140QLMX1
87780.83000000
PA
USD
70227.08000000
0.038022906150
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
CD COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES
N/A
CD 2017-CD5 MORTGAGE TRUST CD 2017-CD5 A4
12515HAZ8
180000.00000000
PA
USD
164209.05000000
0.088907374438
Long
ABS-MBS
US
N
2
2050-08-15
Fixed
3.43100000
N
N
N
N
N
N
United Airlines Pass Through Trust
N/A
UNITED AIRLINES 2014-1 CLASS A PASS THROUGH TRUST 4.000000% 04/11/2026
90932PAA6
470234.50000000
PA
USD
448104.47000000
0.242616298564
Long
DBT
CORP
US
N
2
2026-04-11
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2919
3132DQG42
195818.64000000
PA
USD
193374.48000000
0.104698354324
Long
DBT
USGA
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7989
36179W2W7
185526.34000000
PA
USD
168455.72000000
0.091206640403
Long
DBT
USGA
US
N
2
2052-04-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841089
31288QF62
104967.39000000
PA
USD
104757.20000000
0.056718479313
Long
DBT
USGA
US
N
2
2047-06-01
Floating
4.59500040
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.329000% 09/21/2028
92343VER1
30000.00000000
PA
USD
28732.02000000
0.015556319584
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.375000% 05/15/2033
91282CHC8
135000.00000000
PA
USD
127174.22000000
0.068855681197
Long
SN
UST
US
N
2
2033-05-15
Fixed
3.37500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.200000% 03/15/2040
674599DJ1
105000.00000000
PA
USD
103710.60000000
0.056151820788
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
6.20000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 4.194000% 04/01/2031
225401AP3
250000.00000000
PA
USD
225106.80000000
0.121879120281
Long
DBT
NUSS
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE TRUST
N/A
MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2004 MLMI 2004-WMC5 M1
59020UMF9
215179.98000000
PA
USD
206527.16000000
0.111819583304
Long
ABS-MBS
US
N
2
2035-07-25
Floating
6.35942880
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 6.384000% 10/23/2035
161175AZ7
580000.00000000
PA
USD
562645.11000000
0.304631806047
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
6.38400000
N
N
N
N
N
N
Duke Energy Carolinas, LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAROLINAS LLC 3.950000% 03/15/2048
26442CAU8
98000.00000000
PA
USD
76966.19000000
0.041671648873
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
3.95000000
N
N
N
N
N
N
Provincia de Buenos Aires
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS MTN 5.250000% 09/01/2037
N/A
296874.00000000
PA
USD
111249.52000000
0.060233603024
Long
DBT
NUSS
AR
N
2
2037-09-01
Fixed
5.25000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 6.500000% MATURITY: PERPETUAL
29273VAN0
20000.00000000
PA
USD
18241.00000000
0.009876187805
Long
DBT
CORP
US
N
2
2171-11-15
Fixed
6.50000000
N
N
N
N
N
N
THE CIGNA GROUP
549300VIWYMSIGT1U456
CIGNA GROUP/THE 4.900000% 12/15/2048
125523AK6
10000.00000000
PA
USD
8917.28000000
0.004828064908
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.90000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC.
549300IRDTHJQ1PVET45
FREEPORT-MCMORAN INC 4.625000% 08/01/2030
35671DCH6
10000.00000000
PA
USD
9248.42000000
0.005007353370
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
4.62500000
N
N
N
N
N
N
BRK: UBS
N/A
BRK: UBS PAY: 3.85
N/A
1323000.00000000
NC
USD
7453.13000000
0.004035333129
N/A
DIR
XX
N
2
BRK: UBS
N/A
Y
2029-06-30
183.69000000
USD
0.00000000
USD
-1323000.00000000
USD
7269.44000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4305
31418DYB2
164638.86000000
PA
USD
131265.75000000
0.071070950025
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5877
36179UQ62
11415.29000000
PA
USD
11019.93000000
0.005966498453
Long
DBT
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 4.550000% 04/17/2026
902613BB3
250000.00000000
PA
USD
241943.61000000
0.130995040329
Long
DBT
NUSS
CH
N
2
2026-04-17
Fixed
4.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0424
3140XFPJ4
87941.10000000
PA
USD
73748.15000000
0.039929311972
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.565000% 06/14/2030
46647PDF0
180000.00000000
PA
USD
172047.67000000
0.093151422640
Long
DBT
CORP
US
N
2
2030-06-14
Fixed
4.56500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2595
3140XH3D7
92632.90000000
PA
USD
77255.33000000
0.041828197359
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA4703
3133KLGL5
259658.89000000
PA
USD
209000.04000000
0.113158469730
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 2.100000% 08/01/2027
694308JF5
20000.00000000
PA
USD
17268.60000000
0.009349703236
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.000000% 02/15/2041
87264ABL8
10000.00000000
PA
USD
7063.40000000
0.003824322402
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2014-C17 A4
61763UAY8
216573.98000000
PA
USD
213140.72000000
0.115400349744
Long
ABS-MBS
US
N
2
2047-08-15
Fixed
3.44300000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2011-20G 1
83162CUD3
116950.95000000
PA
USD
110730.70000000
0.059952699359
Long
ABS-MBS
US
N
2
2031-07-01
Fixed
3.74000000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 STACR 2020-DNA1 B1
35565HBD6
180000.00000000
PA
USD
178650.00000000
0.096726108843
Long
DBT
USGA
US
N
2
2050-01-25
Floating
7.70205960
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.625000% 11/15/2050
912810SS8
2320000.00000000
PA
USD
1341975.00000000
0.726582815089
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 4.150000% 10/16/2028
29379VBT9
380000.00000000
PA
USD
362950.86000000
0.196511751409
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QB2668
3133A86D4
230925.07000000
PA
USD
193060.42000000
0.104528313452
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 2.450000% 10/29/2026
00774MAV7
150000.00000000
PA
USD
134962.00000000
0.073072203200
Long
DBT
NUSS
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA7185
3133KN6W8
90550.77000000
PA
USD
83884.65000000
0.045417496704
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
MASSACHUSETTS EDL FING AUTH ED LN REV
N/A
MASSACHUSETTS ST EDUCTNL FING MASSACHUSETTS EDUCATIONAL FINANCING AUTHORITY
57563RSP5
285000.00000000
PA
USD
273468.90000000
0.148063714451
Long
DBT
MUN
US
N
2
2027-07-01
Fixed
4.14100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6497
3140XAGF3
213928.48000000
PA
USD
173159.37000000
0.093753328127
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA 4.375000% 08/04/2025
21684AAC0
250000.00000000
PA
USD
242319.51000000
0.131198563108
Long
DBT
NUSS
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3444
3140X6ZJ3
90399.32000000
PA
USD
82066.72000000
0.044433218534
Long
DBT
USGA
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2336
3140X5S20
77956.31000000
PA
USD
72892.38000000
0.039465974149
Long
DBT
USGA
US
N
2
2050-01-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.250000% 02/15/2052
912810TD0
1282000.00000000
PA
USD
864849.23000000
0.468253572653
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
DELTA AIRLINES 2020-1 CLASS AA PASS THROUGH TRUST
N/A
DELTA AIR LINES 2020-1 CLASS AA PASS THROUGH TRUST 2.000000% 06/10/2028
247361ZV3
139505.12000000
PA
USD
122848.60000000
0.066513669492
Long
DBT
CORP
US
N
2
2028-06-10
Fixed
2.00000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST
N/A
HYUNDAI AUTO RECEIVABLES TRUST 2023-B HART 2023-B A2A
44933XAB3
220000.00000000
PA
USD
219957.25000000
0.119091009820
Long
ABS-MBS
US
N
2
2026-05-15
Fixed
5.77000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 5.600000% 07/15/2041
25179MAL7
50000.00000000
PA
USD
46438.35000000
0.025143022091
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q31008
3132QMDN8
32476.11000000
PA
USD
30878.67000000
0.016718575960
Long
DBT
USGA
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
RACKSPACE TECHNOLOGY GLOBAL, INC.
N/A
RACKSPACE TECHNOLOGY GLOBAL, INC. 2/15/2028
75009XAB6
6875.00000000
PA
USD
3050.78000000
0.001651777656
Long
LON
US
N
2
2028-02-15
Floating
8.17688160
N
N
N
N
N
N
CAMERON LNG, LLC
549300C39FLHGVD73K22
CAMERON LNG LLC 144A 3.302000% 01/15/2035
133434AB6
70000.00000000
PA
USD
57942.68000000
0.031371788258
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
TRANSCONTINENTAL GAS PIPE LINE COMPANY, LLC
N/A
TRANSCONTINENTAL GAS PIPE LINE CO LLC 7.850000% 02/01/2026
893574AH6
50000.00000000
PA
USD
52257.41000000
0.028293623999
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841077
31288QFS4
55824.93000000
PA
USD
52900.61000000
0.028641870477
Long
DBT
USGA
US
N
2
2047-11-01
Floating
2.87100000
N
N
N
N
N
N
AMWINS GROUP INC.
N/A
AMWINS GROUP INC. 2/19/2028
03234TAW8
9203.98200000
PA
USD
9192.48000000
0.004977065888
Long
LON
US
N
2
2028-02-19
Floating
7.68313080
N
N
N
N
N
N
CINTAS CORP NO 2
549300QVUQTTKMTE0G41
CINTAS CORP NO 2 4.000000% 05/01/2032
17252MAQ3
20000.00000000
PA
USD
18702.78000000
0.010126208418
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.00000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 4.125000% 04/01/2040
126650DK3
10000.00000000
PA
USD
8147.87000000
0.004411484805
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6597
3140XAKK7
81010.41000000
PA
USD
67739.90000000
0.036676277304
Long
DBT
USGA
US
N
2
2041-03-01
Fixed
2.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.500000% 08/10/2033
92343VEA8
160000.00000000
PA
USD
147827.93000000
0.080038177706
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QD2129
3133AYLJ7
272852.87000000
PA
USD
217508.93000000
0.117765420865
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 4.350000% 03/01/2029
00206RHJ4
120000.00000000
PA
USD
113534.14000000
0.061470560219
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.35000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.300000% 04/15/2040
437076CC4
10000.00000000
PA
USD
7881.20000000
0.004267102205
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
3.30000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.400000% 10/15/2052
87264ACT0
30000.00000000
PA
USD
20332.94000000
0.011008822656
Long
DBT
CORP
US
N
2
2052-10-15
Fixed
3.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8577
3140XCQ76
78449.31000000
PA
USD
68910.73000000
0.037310197427
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AU6735
3138X6PV1
25013.64000000
PA
USD
22162.47000000
0.011999381390
Long
DBT
USGA
US
N
2
2043-10-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3873
36179SJS7
33285.10000000
PA
USD
29760.07000000
0.016112934620
Long
DBT
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
NATIONAL SECURITIES CLEARING CORPORATION
549300RYC9NELN2ICA34
NATIONAL SECURITIES CLEARING CORP 144A 1.500000% 04/23/2025
637639AB1
250000.00000000
PA
USD
235120.62000000
0.127300882628
Long
DBT
CORP
US
N
2
2025-04-23
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4901
36179TNS0
14108.35000000
PA
USD
13347.20000000
0.007226547550
Long
DBT
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3234
3140QNSY9
91127.34000000
PA
USD
78787.69000000
0.042657859941
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
ICON PUBLIC LIMITED COMPANY
N/A
ICON PUBLIC LIMITED COMPANY 7/3/2028
L5000DAD9
10998.00270000
PA
USD
10999.21000000
0.005955280065
Long
LON
US
N
2
2028-07-03
Floating
7.75347840
N
N
N
N
N
N
SOUTHWESTERN ENERGY COMPANY
EFWMP121W54QV9MGOP87
SOUTHWESTERN ENERGY CO 5.375000% 03/15/2030
845467AS8
220000.00000000
PA
USD
205960.78000000
0.111512929324
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.37500000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 3.509000% 01/23/2029
46647PAM8
310000.00000000
PA
USD
285782.86000000
0.154730836955
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
3.50900000
N
N
N
N
N
N
N/A
N/A
US BOND FUTR OPTN Oct23C 122 LONG
N/A
2.00000000
NC
USD
2562.50000000
0.001387409201
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Call
Purchased
N/A
Call Option 122 Sep 2023 on US Long Bond (CBT) Dec 2023
2000.00000000
122.00000000
USD
2023-09-25
XXXX
-940.96000000
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7650
36179WQB7
163423.55000000
PA
USD
144187.96000000
0.078067396098
Long
DBT
USGA
US
N
2
2051-10-20
Fixed
3.00000000
N
N
N
N
N
N
PHOENIX GUARANTOR INC.
N/A
PHOENIX GUARANTOR INC. 3/5/2026
71913BAH5
14179.98000000
PA
USD
14104.68000000
0.007636668418
Long
LON
US
N
2
2026-03-05
Floating
8.93313000
N
N
N
N
N
N
DIAMONDBACK ENERGY, INC.
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 3.250000% 12/01/2026
25278XAM1
10000.00000000
PA
USD
9405.72000000
0.005092519991
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4494 AI
3137BKU57
89674.47000000
PA
USD
4360.51000000
0.002360902126
Long
DBT
USGA
US
N
2
2038-11-15
Floating
0.12374280
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD8045
3132DV5E1
333857.23000000
PA
USD
303988.12000000
0.164587674124
Long
DBT
USGA
US
N
2
2050-02-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5265
36179TZ65
29902.90000000
PA
USD
28880.02000000
0.015636450926
Long
DBT
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
PRINCIPAL LIFE GLOBAL FUNDING II
635400WSLKBQWSOIIT41
PRINCIPAL LIFE GLOBAL FUNDING II 144A 1.250000% 06/23/2025
74256LEE5
10000.00000000
PA
USD
9212.49000000
0.004987899862
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4031
31418DPR7
22871.62000000
PA
USD
21969.63000000
0.011894972418
Long
DBT
USGA
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
THE SOUTHERN COMPANY
549300FC3G3YU2FBZD92
SOUTHERN CO/THE 3.250000% 07/01/2026
842587CV7
415000.00000000
PA
USD
392612.66000000
0.212571479902
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
CHEVRON CORPORATION
N/A
CHEVRON CORP 3.078000% 05/11/2050
166764CA6
10000.00000000
PA
USD
7100.72000000
0.003844528494
Long
DBT
CORP
US
N
2
2050-05-11
Fixed
3.07800000
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 4.375000% 05/11/2045
822582BF8
50000.00000000
PA
USD
43380.79000000
0.023487573553
Long
DBT
NUSS
NL
N
2
2045-05-11
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL6301
3138EPAB0
44625.99000000
PA
USD
43474.17000000
0.023538132098
Long
DBT
USGA
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AP2422
3138M5VQ9
61936.45000000
PA
USD
57041.53000000
0.030883880433
Long
DBT
USGA
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 1.200000% 06/03/2027
023135BR6
60000.00000000
PA
USD
52825.17000000
0.028601025150
Long
DBT
CORP
US
N
2
2027-06-03
Fixed
1.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G60804
31335A3M8
178761.81000000
PA
USD
173953.93000000
0.094183525144
Long
DBT
USGA
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.412000% 03/31/2031
172967MP3
50000.00000000
PA
USD
46425.73000000
0.025136189270
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41200000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6997
36179VX21
86403.60000000
PA
USD
78454.35000000
0.042477380337
Long
DBT
USGA
US
N
2
2050-11-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA3607
3133KKAG4
194281.52000000
PA
USD
169380.88000000
0.091707547914
Long
DBT
USGA
US
N
2
2050-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2138
31418BLU8
13839.35000000
PA
USD
13153.90000000
0.007121889522
Long
DBT
USGA
US
N
2
2035-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA5117
3133KLVJ3
156733.88000000
PA
USD
125743.01000000
0.068080784056
Long
DBT
USGA
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC MTN 4.972000% 05/16/2029
06738EBD6
200000.00000000
PA
USD
190078.53000000
0.102913834769
Long
DBT
NUSS
GB
N
2
2029-05-16
Fixed
4.97200000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.750000% 04/30/2027
91282CEN7
180000.00000000
PA
USD
169896.09000000
0.091986497024
Long
SN
UST
US
N
2
2027-04-30
Fixed
2.75000000
N
N
N
N
N
N
EQT CORPORATION
4NT01YGM4X7ZX86ISY52
EQT CORP 3.900000% 10/01/2027
26884LAF6
260000.00000000
PA
USD
242777.01000000
0.131446266409
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
APPLEBEE'S FUNDING LLC/IHOP FUNDING LLC
N/A
APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC DIN 2023-1A A2
03789XAF5
170000.00000000
PA
USD
168750.67000000
0.091366334586
Long
ABS-MBS
US
Y
2
2053-03-05
Fixed
7.82400000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 3.650000% 09/15/2059
00206RLV2
32000.00000000
PA
USD
20709.47000000
0.011212686534
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WORLDWIDE INC.
549300CRGMZK3K53BF92
ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.350000% 06/01/2040
035240AS9
50000.00000000
PA
USD
44730.29000000
0.024218230613
Long
DBT
CORP
BE
N
2
2040-06-01
Fixed
4.35000000
N
N
N
N
N
N
TRICON AMERICAN HOMES TRUST
N/A
TRICON AMERICAN HOMES 2019-SFR1 TRUST TAH 2019-SFR1 A
89612LAA4
284216.19000000
PA
USD
265015.71000000
0.143486920855
Long
ABS-MBS
US
N
2
2038-03-17
Fixed
2.75000000
N
N
N
N
N
N
Kraft Heinz Foods Company
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 5.200000% 07/15/2045
50077LAM8
20000.00000000
PA
USD
18385.37000000
0.009954353762
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
5.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA7186
3133KN6X6
179745.95000000
PA
USD
166883.73000000
0.090355521031
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9195
3140XDGD2
86324.40000000
PA
USD
71679.68000000
0.038809384436
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 NRZT 2019-6A B2
64828GBB5
194257.57000000
PA
USD
175265.05000000
0.094893402198
Long
ABS-MBS
US
N
2
2059-09-25
Floating
4.25000160
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2007-51 SG
38375K4K5
6029.96000000
PA
USD
176.87000000
0.000095762367
Long
DBT
USGA
US
N
2
2037-08-20
Floating
1.15153920
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 3.137000% 11/15/2035
11135FBP5
150000.00000000
PA
USD
114486.82000000
0.061986367828
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS9316
3132AAK52
31694.05000000
PA
USD
29400.31000000
0.015918150490
Long
DBT
USGA
US
N
2
2038-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8428
36179XLH7
193305.65000000
PA
USD
188239.90000000
0.101918349040
Long
DBT
USGA
US
N
2
2052-11-20
Fixed
5.00000000
N
N
N
N
N
N
NIKE, INC.
787RXPR0UX0O0XUXPZ81
NIKE INC 2.750000% 03/27/2027
654106AJ2
20000.00000000
PA
USD
18688.55000000
0.010118503898
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
2.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0222
3140FXG89
35657.54000000
PA
USD
33984.44000000
0.018400126741
Long
DBT
USGA
US
N
2
2057-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 CG3425
3617WGYW1
135697.05000000
PA
USD
113958.08000000
0.061700093197
Long
DBT
USGA
US
N
2
2051-09-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZT0657
3132ACWS5
104731.54000000
PA
USD
108071.11000000
0.058512722914
Long
DBT
USGA
US
N
2
2040-07-01
Fixed
6.00000000
N
N
N
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 5.800000% 11/01/2030
682680BK8
30000.00000000
PA
USD
30064.84000000
0.016277945626
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
5.80000000
N
N
N
N
N
N
MEG Energy Corp.
5493002WXPTG5ZC1T326
MEG ENERGY CORP 144A 5.875000% 02/01/2029
552704AF5
10000.00000000
PA
USD
9553.31000000
0.005172429347
Long
DBT
NUSS
CA
N
2
2029-02-01
Fixed
5.87500000
N
N
N
N
N
N
THE COCA-COLA COMPANY
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE 3.375000% 03/25/2027
191216CR9
20000.00000000
PA
USD
19161.36000000
0.010374496462
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5010 JI
3137FVQG0
79254.66000000
PA
USD
13545.43000000
0.007333874819
Long
DBT
USGA
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.203000% 07/23/2029
46647PAV8
590000.00000000
PA
USD
557269.63000000
0.301721370762
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.20300000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.106000% 04/08/2026
172967MQ1
30000.00000000
PA
USD
28710.38000000
0.015544603083
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.10600000
N
N
N
N
N
N
DTE ENERGY COMPANY
549300IX8SD6XXD71I78
DTE ENERGY CO 4.875000% 06/01/2028
233331BJ5
192000.00000000
PA
USD
187739.26000000
0.101647288536
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QC5830
3133AQPP6
86028.53000000
PA
USD
72144.41000000
0.039061002262
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1 SCRT 2022-1 MAU
35563P7F0
311822.24000000
PA
USD
280056.72000000
0.151630544534
Long
ABS-MBS
US
N
2
2061-11-25
Fixed
3.25000000
N
N
N
N
N
N
ICON PUBLIC LIMITED COMPANY
N/A
ICON PUBLIC LIMITED COMPANY 7/3/2028
L5000DAC1
44141.98500000
PA
USD
44146.84000000
0.023902334458
Long
LON
US
N
2
2028-07-03
Floating
7.75347840
N
N
N
N
N
N
BANK
N/A
BANK 2017-BNK8 BANK 2017-BNK8 XA
06650AAF4
1353964.72000000
PA
USD
32330.24000000
0.017504496575
Long
DBT
USGA
US
N
2
2050-11-15
Floating
0.84781080
N
N
N
N
N
N
PENSKE TRUCK LEASING CO., L.P.
549300ZX07JYMI8GHQ39
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP 144A 5.550000% 05/01/2028
709599BT0
542000.00000000
PA
USD
531716.59000000
0.287886239901
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.55000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.750000% 08/15/2047
912810RY6
460000.00000000
PA
USD
348647.66000000
0.188767598708
Long
DBT
UST
US
N
2
2047-08-15
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G67701
3132XCRW7
141041.88000000
PA
USD
124465.63000000
0.067389174781
Long
DBT
USGA
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785558
3622ABB35
82484.70000000
PA
USD
69337.05000000
0.037541019004
Long
DBT
USGA
US
N
2
2051-07-20
Fixed
2.50000000
N
N
N
N
N
N
Chevron U.S.A. Inc.
VA8TZDWPEZYU430RZ444
CHEVRON USA INC 3.850000% 01/15/2028
166756AR7
30000.00000000
PA
USD
28996.04000000
0.015699267400
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.85000000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP, INC.
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GROUP INC 2.500000% 06/30/2025
026874DQ7
14000.00000000
PA
USD
13252.07000000
0.007175041507
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
2.50000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2 SCRT 2019-2 MA
35563PKG3
262532.17000000
PA
USD
243599.72000000
0.131891704623
Long
ABS-MBS
US
N
2
2058-08-25
Fixed
3.50000000
N
N
N
N
N
N
NVIDIA CORPORATION
549300S4KLFTLO7GSQ80
NVIDIA CORP 3.700000% 04/01/2060
67066GAJ3
50000.00000000
PA
USD
39686.76000000
0.021487522347
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.70000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 1.500000% 06/03/2030
023135BS4
30000.00000000
PA
USD
24388.56000000
0.013204648805
Long
DBT
CORP
US
N
2
2030-06-03
Fixed
1.50000000
N
N
N
N
N
N
THE CIGNA GROUP
549300VIWYMSIGT1U456
CIGNA GROUP/THE 4.125000% 11/15/2025
125523AG5
50000.00000000
PA
USD
48720.51000000
0.026378647373
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
SOTERA HEALTH HOLDINGS, LLC
N/A
SOTERA HEALTH HOLDINGS, LLC 12/11/2026
83600VAE1
50000.00000000
PA
USD
49390.50000000
0.026741398706
Long
LON
US
N
2
2026-12-11
Floating
8.18313120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB5497
3140QRDB6
93237.44000000
PA
USD
95416.73000000
0.051661287497
Long
DBT
USGA
US
N
2
2053-01-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 784605
3622AAAE4
115130.09000000
PA
USD
112620.21000000
0.060975732944
Long
DBT
USGA
US
N
2
2042-01-15
Fixed
4.50000000
N
N
N
N
N
N
Provincia de Buenos Aires
549300L6AYROPOTQ4L07
PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS MTN 5.250000% 09/01/2037
N/A
20000.00000000
PA
USD
7494.73000000
0.004057856533
Long
DBT
NUSS
AR
N
2
2037-09-01
Fixed
5.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0584
3140XFUJ8
88064.76000000
PA
USD
70854.37000000
0.038362538509
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2020-B22 MORTGAGE TRUST BMARK 2020-B22 ASB
08163BBD2
474000.00000000
PA
USD
397563.23000000
0.215251857023
Long
ABS-MBS
US
N
2
2054-01-15
Fixed
1.73100000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 4.500000% 04/01/2025
444859BM3
10000.00000000
PA
USD
9851.51000000
0.005333883171
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
CARLISLE COMPANIES INCORPORATED
XR64VGX1ZPX6G7ZN7Z11
CARLISLE COS INC 2.200000% 03/01/2032
142339AL4
407000.00000000
PA
USD
320315.91000000
0.173427996501
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
2.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA6562
3133KNJF1
86005.49000000
PA
USD
72339.60000000
0.039166683589
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
NIKE, INC.
787RXPR0UX0O0XUXPZ81
NIKE INC 3.250000% 03/27/2040
654106AL7
10000.00000000
PA
USD
8053.56000000
0.004360422732
Long
DBT
CORP
US
N
2
2040-03-27
Fixed
3.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7794
3140XBUU2
363778.74000000
PA
USD
340947.70000000
0.184598624910
Long
DBT
USGA
US
N
2
2050-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q42618
3132WF4C0
170222.32000000
PA
USD
149383.06000000
0.080880168603
Long
DBT
USGA
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 4.705000% 01/10/2025
09659W2G8
200000.00000000
PA
USD
198885.76000000
0.107682315528
Long
DBT
NUSS
FR
N
2
2025-01-10
Fixed
4.70500000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC TRUST 2018-J1 TRUST CSMC 2018-J1 A2
12653TAB7
124473.75000000
PA
USD
109295.76000000
0.059175782692
Long
ABS-MBS
US
N
2
2048-02-25
Floating
3.49999920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4540
31418EBJ8
89018.19000000
PA
USD
73925.97000000
0.040025588696
Long
DBT
USGA
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1 SCRT 2018-1 MA
35563PDZ9
172604.46000000
PA
USD
157081.99000000
0.085048584730
Long
ABS-MBS
US
N
2
2057-05-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786335
3622AB4U3
95477.62000000
PA
USD
91450.08000000
0.049513632196
Long
DBT
USGA
US
N
2
2052-09-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K124 X1
3137F9YZ8
2490546.25000000
PA
USD
101375.69000000
0.054887635180
Long
DBT
USGA
US
N
2
2030-12-25
Floating
99.99999999
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 3.300000% 04/13/2027
023135CF1
10000.00000000
PA
USD
9518.65000000
0.005153663453
Long
DBT
CORP
US
N
2
2027-04-13
Fixed
3.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9461
3140XDQP4
406233.44000000
PA
USD
364334.67000000
0.197260984864
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
3.50000000
N
N
N
N
N
N
Santander Holdings USA, Inc.
549300SMVCQN2P0O6I58
SANTANDER HOLDINGS USA INC 4.500000% 07/17/2025
80282KAE6
10000.00000000
PA
USD
9758.03000000
0.005283270483
Long
DBT
CORP
US
N
2
2025-07-17
Fixed
4.50000000
N
N
N
N
N
N
BX TRUST
N/A
BXP TRUST 2017-CQHP BX 2017-CQHP A
12433QAA2
190000.00000000
PA
USD
181266.06000000
0.098142516928
Long
ABS-MBS
US
N
2
2034-11-15
Floating
6.20799840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.625000% 03/31/2028
91282CGT2
161000.00000000
PA
USD
156509.61000000
0.084738682182
Long
SN
UST
US
N
2
2028-03-31
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA2790
3133KJC34
411384.30000000
PA
USD
343437.60000000
0.185946726440
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1519 X1
3137F8TU7
2065544.36000000
PA
USD
94427.81000000
0.051125858538
Long
DBT
USGA
US
N
2
2035-12-25
Floating
0.69320160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QB4847
3133ABL40
152127.20000000
PA
USD
127185.80000000
0.068861950933
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.650000% 07/23/2048
172967MD0
180000.00000000
PA
USD
156233.14000000
0.084588993588
Long
DBT
CORP
US
N
2
2048-07-23
Fixed
4.65000000
N
N
N
N
N
N
Republica Argentina
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA 3.500000% 07/09/2041
040114HV5
20000.00000000
PA
USD
6173.96000000
0.003342754698
Long
DBT
NUSS
AR
N
2
2041-07-09
Fixed
3.50000000
N
N
N
N
N
N
CLOUDERA, INC.
N/A
CLOUDERA, INC. 10/8/2028
74339VAB4
21645.20000000
PA
USD
21171.82000000
0.011463015761
Long
LON
US
N
2
2028-10-08
Floating
9.16864920
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2015-CCRE26 MORTGAGE TRUST COMM 2015-CR26 A4
12593QBE9
417000.00000000
PA
USD
396455.20000000
0.214651938577
Long
ABS-MBS
US
N
2
2048-10-10
Fixed
3.63000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
DEERE & CO 3.750000% 04/15/2050
244199BK0
40000.00000000
PA
USD
34164.37000000
0.018497545878
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.75000000
N
N
N
N
N
N
COMPAGNIE DE CHEMIN DE FER CANADIEN PACIFIQUE
54930036474DURYNB481
CANADIAN PACIFIC RAILWAY CO 6.125000% 09/15/2115
13645RAX2
167000.00000000
PA
USD
173256.97000000
0.093806171498
Long
DBT
NUSS
CA
N
2
2115-09-15
Fixed
6.12500000
N
N
N
N
N
N
COMMSCOPE, INC.
549300Z6K4JXMFE8QY54
COMMSCOPE INC 144A 6.000000% 03/01/2026
20338QAD5
20000.00000000
PA
USD
18175.31000000
0.009840621401
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
6.00000000
N
N
N
N
N
N
MAGENTA BUYER LLC
N/A
MAGENTA BUYER LLC 7/27/2028
55910RAB9
71077.22000000
PA
USD
52930.49000000
0.028658048345
Long
LON
US
N
2
2028-07-27
Floating
10.63073160
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (SEPTEMBER)
21H062693
100000.00000000
PA
USD
101277.34000000
0.054834385738
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0458
3140QKQL5
158925.80000000
PA
USD
132557.48000000
0.071770328791
Long
DBT
USGA
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
MARS, INCORPORATED
54930073HKEO6GZBSS03
MARS INC 144A 2.700000% 04/01/2025
571676AA3
30000.00000000
PA
USD
28785.43000000
0.015585237253
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9910
3140XEAL8
89628.61000000
PA
USD
74471.58000000
0.040320997217
Long
DBT
USGA
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3773
3140X7FP9
19345.49000000
PA
USD
17609.08000000
0.009534048635
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.000000% 11/15/2052
912810TL2
100000.00000000
PA
USD
96488.28000000
0.052241454651
Long
DBT
UST
US
N
2
2052-11-15
Fixed
4.00000000
N
N
N
N
N
N
BRK - GOLDMAN SACHS
N/A
BRK - GOLDMAN SACHS PAY - USD-SOFR-OIS COMPOUND
N/A
3890000.00000000
NC
USD
28558.74000000
0.015462500944
N/A
DIR
XX
N
2
BRK - GOLDMAN SACHS
N/A
Y
2028-02-29
2984.63000000
USD
0.00000000
USD
-3890000.00000000
USD
25574.11000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM4897
3140J9NP2
35595.68000000
PA
USD
32782.04000000
0.017749113737
Long
DBT
USGA
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC VARIABLE RATE 06/12/2024
00206RGD8
462000.00000000
PA
USD
464077.71000000
0.251264657651
Long
DBT
CORP
US
N
2
2024-06-12
Floating
6.71970960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BN1623
3140JHYV9
26381.49000000
PA
USD
25457.35000000
0.013783321617
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.500000% 08/15/2029
674599CS2
20000.00000000
PA
USD
17273.60000000
0.009352410376
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.50000000
N
N
N
N
N
N
Ressources Teck Limitee
T8KI5SQ2JRWHL7XY0E11
TECK RESOURCES LTD 3.900000% 07/15/2030
878742BG9
30000.00000000
PA
USD
26682.14000000
0.014446457194
Long
DBT
NUSS
CA
N
2
2030-07-15
Fixed
3.90000000
N
N
N
N
N
N
BANK
N/A
BANK 2018-BNK10 BANK 2018-BN10 A5
065404BB0
160000.00000000
PA
USD
147882.40000000
0.080067669289
Long
ABS-MBS
US
N
2
2061-02-15
Fixed
3.68800000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2018-20B 1
83162CZF3
235833.73000000
PA
USD
214974.71000000
0.116393323247
Long
ABS-MBS
US
N
2
2038-02-01
Fixed
3.22000000
N
N
N
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE 6.136000% 08/24/2034
808513CH6
20000.00000000
PA
USD
20341.98000000
0.011013717165
Long
DBT
CORP
US
N
2
2034-08-24
Fixed
6.13600000
N
N
N
N
N
N
TARGET CORPORATION
8WDDFXB5T1Z6J0XC1L66
TARGET CORP 2.250000% 04/15/2025
87612EBL9
40000.00000000
PA
USD
38185.06000000
0.020674459948
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2040
3140XHHS9
93119.78000000
PA
USD
74254.11000000
0.040203252874
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
JAPANESE YEN
N/A
FX Forward Contract: JPY/USD SETTLE 2023-10-20
N/A
1.00000000
NC
-62294.50000000
-0.03372798537
N/A
DFE
JP
N
2
CITIGROUP GLOBAL MARKETS
N/A
1587388.23000000
USD
220193289.00000000
JPY
2023-10-20
-62294.50000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM8700
3138L9U26
37550.71000000
PA
USD
33740.21000000
0.018267893786
Long
DBT
USGA
US
N
2
2030-06-01
Fixed
2.93000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QB5443
3133ACBL1
288292.95000000
PA
USD
244287.70000000
0.132264196246
Long
DBT
USGA
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB2857
3140QNE73
288125.31000000
PA
USD
240847.17000000
0.130401397034
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3645
3140X7BP3
129931.53000000
PA
USD
122764.12000000
0.066467929657
Long
DBT
USGA
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Republica Federativa do Brasil
254900ZFY40OYEADAP90
FED REPUBLIC OF BRAZIL 4.625000% 01/13/2028
105756BZ2
290000.00000000
PA
USD
281266.47000000
0.152285537035
Long
DBT
NUSS
BR
N
2
2028-01-13
Fixed
4.62500000
N
N
N
N
N
N
EQT CORPORATION
4NT01YGM4X7ZX86ISY52
EQT CORP 144A 3.625000% 05/15/2031
26884LAN9
20000.00000000
PA
USD
17283.20000000
0.009357608084
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
3.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4306
31418DYC0
76116.47000000
PA
USD
63313.62000000
0.034279765459
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2018-20A 1
83162CZC0
161402.92000000
PA
USD
145446.19000000
0.078748637026
Long
ABS-MBS
US
N
2
2038-01-01
Fixed
2.92000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1100
3132DNGH0
686743.74000000
PA
USD
575083.22000000
0.311366146834
Long
DBT
USGA
US
N
2
2052-05-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (SEPTEMBER)
01F050692
400000.00000000
PA
USD
387851.56000000
0.209993687141
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
5.00000000
N
N
N
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 4.375000% 01/15/2028
212015AS0
30000.00000000
PA
USD
28239.10000000
0.015289438904
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.37500000
N
N
N
N
N
N
FIRSTKEY HOMES TRUST
N/A
FIRSTKEY HOMES 2021-SFR3 TRUST FKH 2021-SFR3 A
33768JAA9
266778.99000000
PA
USD
237566.05000000
0.128624906856
Long
ABS-MBS
US
Y
2
2038-12-17
Fixed
2.13500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 1.750000% 01/20/2031
92343VFR0
130000.00000000
PA
USD
101185.99000000
0.054784926292
Long
DBT
CORP
US
N
2
2031-01-20
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-34 SA
38378D2U8
66629.23000000
PA
USD
6419.69000000
0.003475799796
Long
DBT
USGA
US
N
2
2042-03-20
Floating
0.62154000
N
N
N
N
N
N
KINDER MORGAN, INC.
549300WR7IX8XE0TBO16
KINDER MORGAN INC 5.300000% 12/01/2034
49456BAG6
20000.00000000
PA
USD
19022.25000000
0.010299178415
Long
DBT
CORP
US
N
2
2034-12-01
Fixed
5.30000000
N
N
N
N
N
N
EURO
N/A
FX Forward Contract: EUR/USD SETTLE 2023-10-20
N/A
1.00000000
NC
-4915.83000000
-0.00266156791
N/A
DFE
XX
N
2
CITIGROUP GLOBAL MARKETS
N/A
322905.18000000
USD
292310.50000000
EUR
2023-10-20
-4915.83000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (SEPTEMBER)
01F032690
200000.00000000
PA
USD
178757.81000000
0.096784480194
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2021-1A A
05377REH3
130000.00000000
PA
USD
114963.17000000
0.062244277047
Long
ABS-MBS
US
Y
2
2027-08-20
Fixed
1.38000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-10-20
N/A
1.00000000
NC
USD
6169.49000000
0.003340334515
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
169178.00000000
GBP
220532.32000000
USD
2023-10-20
6169.49000000
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 3.845000% 06/14/2025
46647PDE3
100000.00000000
PA
USD
98200.54000000
0.053168520126
Long
DBT
CORP
US
N
2
2025-06-14
Fixed
3.84500000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2013-CCRE6 MORTGAGE TRUST COMM 2013-CR6 B
12624XAP3
46878.70000000
PA
USD
39378.11000000
0.021320410601
Long
ABS-MBS
US
N
2
2046-03-10
Fixed
3.39700000
N
N
N
N
N
N
N/A
N/A
US BOND FUTR OPTN Oct23C 128 SHORT
N/A
-6.00000000
NC
USD
-562.50000000
-0.00030455323
N/A
DIR
US
N
1
ADVANTAGE CAPITAL CORPORATION
N/A
Call
Written
N/A
Call Option 128 Sep 2023 on US Long Bond (CBT) Dec 2023
-6000.00000000
128.00000000
USD
2023-09-25
XXXX
2520.87000000
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.200000% 08/15/2026
674599CR4
30000.00000000
PA
USD
27412.50000000
0.014841894535
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BX9419
3140NEPD1
194791.37000000
PA
USD
188953.82000000
0.102304885305
Long
DBT
USGA
US
N
2
2053-03-01
Fixed
5.00000000
N
N
N
N
N
N
MICHIGAN FIN AUTH REV
N/A
MICHIGAN ST FIN AUTH REVENUE MICHIGAN FINANCE AUTHORITY
59447TXA6
220000.00000000
PA
USD
220000.00000000
0.119114155867
Long
DBT
MUN
US
N
2
2049-09-01
Fixed
2.36600000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.250000% 05/15/2042
912810TH1
110000.00000000
PA
USD
93933.98000000
0.050858485158
Long
DBT
UST
US
N
1
2042-05-15
Fixed
3.25000000
N
N
N
N
N
N
DIGICERT HOLDINGS INC.
N/A
DIGICERT HOLDINGS INC. 10/16/2026
24022KAB5
106755.17720000
PA
USD
106286.52000000
0.057546495953
Long
LON
US
N
2
2026-10-16
Floating
9.26373960
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25D 1
83162CP23
326587.47000000
PA
USD
294917.53000000
0.159676602892
Long
ABS-MBS
US
N
2
2047-04-01
Fixed
3.50000000
N
N
N
N
N
N
EQUATE Petrochemical B.V.
635400Y3Z5R4NJSMQ630
MEGLOBAL BV MTN 4.250000% 11/03/2026
29441WAC9
200000.00000000
PA
USD
191500.00000000
0.103683458402
Long
DBT
NUSS
KW
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5817
36179UPA4
32346.45000000
PA
USD
30459.76000000
0.016491766365
Long
DBT
USGA
US
N
2
2049-03-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0499
3132DMRU1
631509.58000000
PA
USD
552373.90000000
0.299070685552
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G30943
3132J4HV4
127001.97000000
PA
USD
116764.50000000
0.063219567512
Long
DBT
USGA
US
N
2
2036-09-01
Fixed
3.00000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT A
05609VAA3
287000.00000000
PA
USD
279255.74000000
0.151196871550
Long
ABS-MBS
US
Y
2
2036-09-15
Floating
6.12496080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5475
3140X9CM5
21068.03000000
PA
USD
20321.96000000
0.011002877777
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.625000% 08/15/2026
92343VDD3
10000.00000000
PA
USD
9311.87000000
0.005041706975
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.62500000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 3.450000% 04/13/2029
023135CG9
20000.00000000
PA
USD
18820.56000000
0.010189977806
Long
DBT
CORP
US
N
2
2029-04-13
Fixed
3.45000000
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 4.279000% 03/15/2032
55903VBC6
90000.00000000
PA
USD
79419.56000000
0.042999972039
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.27900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1496
3140X4UW4
107161.83000000
PA
USD
97200.74000000
0.052627200430
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C28 WFCM 2015-C28 AS
94989JBB1
270000.00000000
PA
USD
253238.48000000
0.137110398992
Long
ABS-MBS
US
N
2
2048-05-15
Fixed
3.87200000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.250000% 11/15/2031
87264ABX2
10000.00000000
PA
USD
7947.20000000
0.004302836452
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
2.25000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.400000% 07/15/2046
20030NBU4
10000.00000000
PA
USD
7314.96000000
0.003960524025
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
3.40000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 5.250000% 02/01/2050
958667AA5
20000.00000000
PA
USD
16186.40000000
0.008763769875
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
5.25000000
N
N
N
N
N
N
Spirit Airlines Pass Through Trusts
N/A
SPIRIT AIRLINES PASS THROUGH TRUST 2017-1AA 3.375000% 02/15/2030
84858WAA4
143575.62000000
PA
USD
126479.88000000
0.068479746092
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
COLLEGE AVE STUDENT LOANS LLC
N/A
COLLEGE AVE STUDENT LOANS 2021-C LLC CASL 2021-C C
19424WAD9
150000.00000000
PA
USD
128327.24000000
0.069479958487
Long
ABS-MBS
US
Y
2
2055-07-26
Fixed
3.06000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U99045
3132H7BP8
19552.40000000
PA
USD
17892.66000000
0.009687586782
Long
DBT
USGA
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.125000% 07/31/2028
91282CHQ7
40000.00000000
PA
USD
39765.62000000
0.021530219358
Long
SN
UST
US
N
2
2028-07-31
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4223
3140XKVR8
452704.47000000
PA
USD
440653.66000000
0.238582221548
Long
DBT
USGA
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0546
3140FXTC6
262335.15000000
PA
USD
210833.23000000
0.114151010091
Long
DBT
USGA
US
N
2
2061-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (SEPTEMBER)
21H060697
100000.00000000
PA
USD
100324.22000000
0.054318339901
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
6.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-10-20
N/A
1.00000000
NC
USD
2982.60000000
0.001614863096
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
169000.00000000
GBP
217119.88000000
USD
2023-10-20
2982.60000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2023
3140XHG92
94954.27000000
PA
USD
88284.22000000
0.047799547007
Long
DBT
USGA
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.572000% 06/03/2031
172967MS7
10000.00000000
PA
USD
8258.41000000
0.004471334254
Long
DBT
CORP
US
N
2
2031-06-03
Fixed
2.57200000
N
N
N
N
N
N
FIRST FRANKLIN MORTGAGE LOAN TRUST
N/A
FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF15 FFML 2006-FF15 A5
32028GAE5
48419.32000000
PA
USD
47275.10000000
0.025596061954
Long
ABS-MBS
US
N
2
2036-11-25
Floating
5.58942840
N
N
N
N
N
N
ACRISURE, LLC
N/A
ACRISURE, LLC 2/15/2027
00488PAP0
29924.24000000
PA
USD
29774.62000000
0.016120812398
Long
LON
US
N
2
2027-02-15
Floating
9.68312880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2832
31418CEE0
46587.29000000
PA
USD
42736.90000000
0.023138953490
Long
DBT
USGA
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 10/03/2023
912797GV3
810000.00000000
PA
USD
806198.40000000
0.436498372169
Long
DBT
UST
US
N
2
2023-10-03
None
0.00000000
N
N
N
N
N
N
BANK
N/A
BANK 2019-BNK21 BANK 2019-BN21 XA
06540BBE8
4042679.29000000
PA
USD
154730.72000000
0.083775541361
Long
DBT
USGA
US
N
2
2052-10-17
Floating
0.95890320
N
N
N
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 2.050000% 04/15/2030
92826CAM4
20000.00000000
PA
USD
16971.19000000
0.009188677140
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.05000000
N
N
N
N
N
N
CASTLELAKE AVIATION ONE
N/A
CASTLELAKE AVIATION ONE 10/22/2026
14855NAB2
48852.51380000
PA
USD
48770.93000000
0.026405946171
Long
LON
US
N
2
2026-10-22
Floating
8.30199960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0301
3140FXKP6
36622.96000000
PA
USD
34905.14000000
0.018898619484
Long
DBT
USGA
US
N
2
2058-08-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 05/31/2025
912828ZT0
90000.00000000
PA
USD
82933.59000000
0.044902566208
Long
SN
UST
US
N
1
2025-05-31
Fixed
0.25000000
N
N
N
N
N
N
BRK: UBS
N/A
BRK: UBS PAY: 1.5%
N/A
175000.00000000
NC
USD
58400.02000000
0.031619404931
N/A
DIR
XX
N
2
BRK: UBS
N/A
Y
2047-02-15
1333.59000000
USD
0.00000000
USD
-175000.00000000
USD
57066.43000000
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.500000% 04/15/2038
55336VAM2
10000.00000000
PA
USD
8472.14000000
0.004587053656
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0206
3132D9GP3
85391.43000000
PA
USD
71559.53000000
0.038744331864
Long
DBT
USGA
US
N
2
2041-11-01
Fixed
2.00000000
N
N
N
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 144A 5.750000% 01/15/2031
212015AT8
40000.00000000
PA
USD
38232.10000000
0.020699928720
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.750000% 04/15/2027
87264ABD6
10000.00000000
PA
USD
9477.94000000
0.005131621920
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 2.188000% 04/28/2026
6174468Q5
100000.00000000
PA
USD
94244.82000000
0.051026782632
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2 SCRT 2020-2 MA
35563PQP7
135410.53000000
PA
USD
119354.47000000
0.064621849740
Long
ABS-MBS
US
N
2
2059-11-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BO8911
3140K43V0
190084.59000000
PA
USD
173700.91000000
0.094046533036
Long
DBT
USGA
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
CCO HOLDINGS, LLC
N/A
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 144A 4.500000% 06/01/2033
1248EPCL5
20000.00000000
PA
USD
15787.40000000
0.008547740110
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA7502
3140QFKQ1
143775.01000000
PA
USD
133228.39000000
0.072133578238
Long
DBT
USGA
US
N
2
2035-10-01
Fixed
3.00000000
N
N
N
N
N
N
VERTIV GROUP CORPORATION
549300ZT8RQ5VK10E643
VERTIV GROUP CORP 144A 4.125000% 11/15/2028
92535UAB0
10000.00000000
PA
USD
8977.62000000
0.004860734672
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QA8518
3133A3PB8
142420.43000000
PA
USD
123794.45000000
0.067025779148
Long
DBT
USGA
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0338
3140FXLU4
43757.74000000
PA
USD
41705.20000000
0.022580362242
Long
DBT
USGA
US
N
2
2059-01-01
Fixed
4.50000000
N
N
N
N
N
N
REYNOLDS CONSUMER PRODUCTS LLC
N/A
REYNOLDS CONSUMER PRODUCTS LLC 2/4/2027
76171JAB7
0.02450000
PA
USD
0.02000000
0.000000010828
Long
LON
US
N
2
2027-02-04
Floating
7.16865120
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.700000% 04/15/2048
55336VAN0
60000.00000000
PA
USD
48149.35000000
0.026069405367
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
AIR CANADA
N/A
AIR CANADA 8/11/2028
C0102MAP0
29700.00000000
PA
USD
29694.65000000
0.016077514402
Long
LON
US
N
2
2028-08-11
Floating
9.12839040
N
N
N
N
N
N
MACQUARIE GROUP LIMITED.
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP LTD MTN 5.033000% 01/15/2030
55608JAP3
280000.00000000
PA
USD
272852.97000000
0.147730232715
Long
DBT
NUSS
AU
N
2
2030-01-15
Fixed
5.03300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.875000% 05/15/2043
912810TS7
550000.00000000
PA
USD
511585.94000000
0.276986942711
Long
DBT
UST
US
N
2
2043-05-15
Fixed
3.87500000
N
N
N
N
N
N
LAM RESEARCH CORPORATION
549300I4GMO6D34U1T02
LAM RESEARCH CORP 2.875000% 06/15/2050
512807AW8
92000.00000000
PA
USD
61461.75000000
0.033277111224
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.87500000
N
N
N
N
N
N
ENERGIZER HOLDINGS
N/A
ENERGIZER HOLDINGS 12/22/2027
29267YAS1
16565.90000000
PA
USD
16517.53000000
0.008943052922
Long
LON
US
N
2
2027-12-22
Floating
7.67874960
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 5.375000% 04/01/2038
161175BM5
10000.00000000
PA
USD
8468.47000000
0.004585066616
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.37500000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL HOLDINGS, INC.
UMI46YPGBLUE4VGNNT48
NEXTERA ENERGY CAPITAL HOLDINGS INC 3.550000% 05/01/2027
65339KAT7
292000.00000000
PA
USD
275218.91000000
0.149011218833
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.55000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC 144A 4.750000% 04/10/2027
034863AR1
200000.00000000
PA
USD
193951.90000000
0.105010985669
Long
DBT
NUSS
ZA
N
2
2027-04-10
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Opt Sep24C 97 SHORT
N/A
-28.00000000
NC
USD
-12250.00000000
-0.00663249276
N/A
DIR
US
N
1
ADVANTAGE CAPITAL CORPORATION
N/A
Call
Written
N/A
Call Option 97 Sep 2024 on CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Sep 2024
-70000.00000000
97.00000000
USD
2024-09-16
XXXX
9741.20000000
N
N
N
AMERICAN INTERNATIONAL GROUP, INC.
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GROUP INC 2.500000% 06/30/2025
026874DQ7
296000.00000000
PA
USD
280186.59000000
0.151700859786
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
2.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 5.375000% 02/15/2078
29379VBR3
10000.00000000
PA
USD
8298.96000000
0.004493289158
Long
DBT
CORP
US
N
2
2078-02-15
Fixed
5.37500000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS, L.P.
549300PDHUGWPWGOT525
KINDER MORGAN ENERGY PARTNERS LP 4.250000% 09/01/2024
494550BV7
40000.00000000
PA
USD
39346.22000000
0.021303144462
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SB0378
3132CWM35
230505.36000000
PA
USD
220326.88000000
0.119291137845
Long
DBT
USGA
US
N
2
2034-04-01
Fixed
3.50000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-10-20
N/A
1.00000000
NC
USD
2121.19000000
0.001148471619
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
801857.00000000
CNY
112599.44000000
USD
2023-10-20
2121.19000000
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 4.456000% 06/08/2032
89115A2E1
70000.00000000
PA
USD
65203.48000000
0.035302988544
Long
DBT
NUSS
CA
N
2
2032-06-08
Fixed
4.45600000
N
N
N
N
N
N
HILTON DOMESTIC OPERATING COMPANY INC.
5493003EG7H0N1E4XV50
HILTON DOMESTIC OPERATING CO INC 144A 5.375000% 05/01/2025
432833AG6
30000.00000000
PA
USD
29673.03000000
0.016065808729
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.37500000
N
N
N
N
N
N
GENERAL MOTORS COMPANY
54930070NSV60J38I987
GENERAL MOTORS CO 5.150000% 04/01/2038
37045VAP5
20000.00000000
PA
USD
17453.20000000
0.009449650841
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.15000000
N
N
N
N
N
N
CHEVRON CORPORATION
N/A
CHEVRON CORP 2.954000% 05/16/2026
166764BL3
30000.00000000
PA
USD
28591.41000000
0.015480189396
Long
DBT
CORP
US
N
2
2026-05-16
Fixed
2.95400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (SEPTEMBER)
01F030694
100000.00000000
PA
USD
86152.34000000
0.046645287523
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2066
3140XHJL2
276513.87000000
PA
USD
257261.07000000
0.139288341774
Long
DBT
USGA
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 3.772000% 01/24/2029
61744YAP3
90000.00000000
PA
USD
83477.88000000
0.045197260044
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
3.77200000
N
N
N
N
N
N
CIT MORTGAGE LOAN TRUST
N/A
CIT MORTGAGE LOAN TRUST 2007-1 CITM 2007-1 1M1
12559QAF9
120000.00000000
PA
USD
116517.02000000
0.063085574915
Long
ABS-MBS
US
N
2
2037-10-25
Floating
6.92943120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.750000% 07/31/2025
91282CHN4
490000.00000000
PA
USD
488679.30000000
0.264584646859
Long
SN
UST
US
N
2
2025-07-31
Fixed
4.75000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 6.312000% 06/08/2029
14040HCZ6
311000.00000000
PA
USD
310829.79000000
0.168291945700
Long
DBT
CORP
US
N
2
2029-06-08
Fixed
6.31200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8216
3140XCDW5
358543.14000000
PA
USD
335741.53000000
0.181779858797
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 3.300000% 08/01/2040
694308JH1
10000.00000000
PA
USD
6701.81000000
0.003628547458
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
N
MICHIGAN ST UNIV REVS
N/A
MICHIGAN ST UNIV REVENUES MICHIGAN STATE UNIVERSITY
594712WY3
83000.00000000
PA
USD
62632.06000000
0.033910749805
Long
DBT
MUN
US
N
2
2122-08-15
Fixed
4.16500000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 2.100000% 05/12/2031
023135BZ8
20000.00000000
PA
USD
16584.78000000
0.008979463954
Long
DBT
CORP
US
N
2
2031-05-12
Fixed
2.10000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.750000% 08/15/2032
91282CFF3
1569000.00000000
PA
USD
1408361.37000000
0.762526253378
Long
SN
UST
US
N
1
2032-08-15
Fixed
2.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.625000% 05/15/2053
912810TR9
920000.00000000
PA
USD
829725.00000000
0.449236331712
Long
DBT
UST
US
N
2
2053-05-15
Fixed
3.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4622
3140X8D46
240115.37000000
PA
USD
211489.16000000
0.114506148947
Long
DBT
USGA
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.908000% 07/23/2025
161175AY0
30000.00000000
PA
USD
29461.85000000
0.015951469968
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
ASPLUNDH TREE EXPERT, LLC
N/A
ASPLUNDH TREE EXPERT, LLC 9/7/2027
04538FAD1
9428.81000000
PA
USD
9414.10000000
0.005097057157
Long
LON
US
N
2
2027-09-07
Floating
7.16865120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.250000% 02/15/2052
912810TD0
147000.00000000
PA
USD
99167.58000000
0.053692102641
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.250000% 04/15/2032
437076CP5
100000.00000000
PA
USD
88857.27000000
0.048109812312
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
3.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM6898
3140JBUY0
79588.80000000
PA
USD
64977.71000000
0.035180750349
Long
DBT
USGA
US
N
2
2032-02-01
Floating
2.14999920
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.980000% 03/20/2030
172967ME8
110000.00000000
PA
USD
101303.48000000
0.054848538666
Long
DBT
CORP
US
N
2
2030-03-20
Fixed
3.98000000
N
N
N
N
N
N
LOWE'S COMPANIES, INC.
WAFCR4OKGSC504WU3E95
LOWE'S COS INC 3.700000% 04/15/2046
548661DN4
96000.00000000
PA
USD
71966.66000000
0.038964763438
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
3.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2868
31418CFJ8
268749.02000000
PA
USD
247393.54000000
0.133945784927
Long
DBT
USGA
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 3.150000% 08/22/2027
023135BC9
50000.00000000
PA
USD
47017.12000000
0.025456384364
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.875000% 02/15/2031
87264ABT1
20000.00000000
PA
USD
16815.54000000
0.009104403875
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3614
3140QPAQ0
91183.13000000
PA
USD
84783.96000000
0.045904408302
Long
DBT
USGA
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
SOFR 1yr MidCurve Dec23P 95.88
N/A
SOFR 1yr MidCurve Dec23P 95.88 LONG
019R2XSC4
14.00000000
NC
USD
12337.50000000
0.006679867718
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Put
Purchased
N/A
N/A
35000.00000000
95.87500000
USD
2023-12-18
XXXX
-266.90000000
N
N
N
KINDER MORGAN, INC.
549300WR7IX8XE0TBO16
KINDER MORGAN INC 4.300000% 06/01/2025
49456BAF8
30000.00000000
PA
USD
29331.73000000
0.015881019359
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.30000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.550000% 02/15/2031
87264ACB9
20000.00000000
PA
USD
16480.41000000
0.008922955115
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
Coterra Energy Inc.
FCNMH6O7VWU7LHXMK351
COTERRA ENERGY INC 3.900000% 05/15/2027
127097AG8
80000.00000000
PA
USD
76060.34000000
0.041181196336
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
CHEVY CHASE FUNDING LLC
N/A
CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICAT CCMFC 2004-2A A1
16678RBC0
39991.45000000
PA
USD
37657.19000000
0.020388656359
Long
ABS-MBS
US
N
2
2035-05-25
Floating
5.69943000
N
N
N
N
N
N
BRK: UBS
N/A
BRK: UBS PAY: 3.27
N/A
482000.00000000
NC
USD
16960.22000000
0.009182737675
N/A
DIR
XX
N
2
BRK: UBS
N/A
Y
2029-04-30
7213.72000000
USD
0.00000000
USD
-482000.00000000
USD
9746.50000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.375000% 08/15/2025
20030NBN0
60000.00000000
PA
USD
57952.26000000
0.031376975138
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8268
36179XFH4
96028.22000000
PA
USD
91562.65000000
0.049574580744
Long
DBT
USGA
US
N
2
2052-09-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5018 MI
3137FXC89
83462.72000000
PA
USD
10965.62000000
0.005937093499
Long
DBT
USGA
US
N
2
2050-10-25
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5399
36179T7L3
30716.43000000
PA
USD
29636.47000000
0.016046014122
Long
DBT
USGA
US
N
2
2048-08-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2384
3132DPUH9
93413.65000000
PA
USD
95220.23000000
0.051554896899
Long
DBT
USGA
US
N
2
2053-02-01
Fixed
6.50000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
DEERE & CO 3.100000% 04/15/2030
244199BJ3
10000.00000000
PA
USD
9062.83000000
0.004906869750
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.10000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2023-25G 1
83162CT94
471000.00000000
PA
USD
472617.98000000
0.255888598796
Long
ABS-MBS
US
N
2
2048-07-01
Fixed
5.18000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 AX3815
36196FGY4
105454.57000000
PA
USD
97161.63000000
0.052606025182
Long
DBT
USGA
US
N
2
2047-01-20
Fixed
3.50000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 4.400000% 08/14/2028
09659W2F0
400000.00000000
PA
USD
378098.62000000
0.204713172526
Long
DBT
NUSS
FR
N
2
2028-08-14
Fixed
4.40000000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 5.775000% 06/12/2029
91159HJM3
40000.00000000
PA
USD
39912.63000000
0.021609814685
Long
DBT
CORP
US
N
2
2029-06-12
Fixed
5.77500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 2.592000% 04/29/2031
06051GJB6
90000.00000000
PA
USD
74862.69000000
0.040532755114
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8264
36179XFD3
92820.40000000
PA
USD
79008.85000000
0.042777602153
Long
DBT
USGA
US
N
2
2052-09-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1248
3140XGL64
84109.64000000
PA
USD
74451.38000000
0.040310060371
Long
DBT
USGA
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 5.125000% 07/20/2045
126650CN8
60000.00000000
PA
USD
53448.92000000
0.028938740853
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.12500000
N
N
N
N
N
N
HALLIBURTON COMPANY
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO 5.000000% 11/15/2045
406216BK6
40000.00000000
PA
USD
36002.55000000
0.019492787965
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
5.00000000
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES INC
N/A
BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2004- BSABS 2004-HE7 M1
073879EU8
136996.56000000
PA
USD
131040.21000000
0.070948836358
Long
ABS-MBS
US
N
2
2034-08-25
Floating
6.32943000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
N/A
CHARTER COMMUNICATIONS OPERATING, LLC 4/30/2025
16117LBW8
73608.73270000
PA
USD
73616.09000000
0.039857810993
Long
LON
US
N
2
2025-04-30
Floating
7.11559080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRIPS FHS 328 S4
31352DC24
20287.05000000
PA
USD
962.65000000
0.000521205646
Long
DBT
USGA
US
N
2
2038-02-15
Floating
0.07386120
N
N
N
N
N
N
VERISK ANALYTICS, INC.
549300I1YSWNIRKBWP67
VERISK ANALYTICS INC 3.625000% 05/15/2050
92345YAG1
202000.00000000
PA
USD
143632.51000000
0.077766659925
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.62500000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.049000% 11/01/2052
20030NCG4
150000.00000000
PA
USD
119981.85000000
0.064961530827
Long
DBT
CORP
US
N
2
2052-11-01
Fixed
4.04900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7521
3132DVLA1
67064.63000000
PA
USD
56435.12000000
0.030555553091
Long
DBT
USGA
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
ATHENAHEALTH GROUP INC.
N/A
ATHENAHEALTH GROUP INC. 2/15/2029
04686RAC7
13038.82000000
PA
USD
12647.66000000
0.006847797020
Long
LON
US
N
2
2029-02-15
Floating
3.49999920
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 784985
3622AANA8
120953.92000000
PA
USD
110856.61000000
0.060020870556
Long
DBT
USGA
US
N
2
2048-09-20
Fixed
3.50000000
N
N
N
N
N
N
AQUARION COMPANY
N/A
AQUARION CO 144A 4.000000% 08/15/2024
03838WAA9
192000.00000000
PA
USD
187651.71000000
0.101599886516
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
4.00000000
N
N
N
N
N
N
FLAGSTAR MORTGAGE TRUST
N/A
FLAGSTAR MORTGAGE TRUST 2021-8INV FSMT 2021-8INV A3
33852HAB8
234978.45000000
PA
USD
185449.46000000
0.100407526744
Long
ABS-MBS
US
Y
2
2051-09-25
Floating
2.49999840
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.125000% 08/15/2046
92343VDC5
30000.00000000
PA
USD
23848.68000000
0.012912342667
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM4951
3140J9QD6
21852.15000000
PA
USD
21151.36000000
0.011451938144
Long
DBT
USGA
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
PALMER SQUARE CLO
N/A
PALMER SQUARE CLO 2022-2 LTD PLMRS 2022-2A A1
69688NAA1
250000.00000000
PA
USD
248744.25000000
0.134677097116
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-20
Floating
6.89613840
N
N
N
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 5.354000% 12/02/2028
693475BK0
470000.00000000
PA
USD
463075.85000000
0.250722222614
Long
DBT
CORP
US
N
2
2028-12-02
Fixed
5.35400000
N
N
N
N
N
N
BRK:CITIGROUP
N/A
BRK:CITIGROUP PAY:10.2375
N/A
7070000.00000000
NC
-27707.58000000
-0.01500165910
N/A
DIR
XX
N
2
BRK:CITIGROUP
N/A
Y
2029-01-02
0.00000000
BRL
0.00000000
BRL
-7070000.00000000
BRL
-27707.58000000
N
N
N
ASURION, LLC
N/A
ASURION, LLC 12/23/2026
04649VAX8
43506.80030000
PA
USD
42255.98000000
0.022878569945
Long
LON
US
N
2
2026-12-23
Floating
8.78785920
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2022-RPL4 TRUST CSMC 2022-RPL4 A1
12663TAA7
208738.30000000
PA
USD
194077.19000000
0.105078821181
Long
ABS-MBS
US
Y
2
2062-04-25
Floating
3.90435120
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP ZERO COUPON 10/10/2036
674599DG7
665000.00000000
PA
USD
346032.75000000
0.187351813266
Long
DBT
CORP
US
N
2
2036-10-10
Fixed
0.00000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2016-C32 ASB
61691GAQ3
195273.52000000
PA
USD
187101.25000000
0.101301852070
Long
ABS-MBS
US
N
2
2049-12-15
Fixed
3.51400000
N
N
N
N
N
N
AMSR TRUST
N/A
AMSR 2023-SFR1 TRUST AMSR 2023-SFR1 A
66981XAA9
410000.00000000
PA
USD
381628.49000000
0.206624342914
Long
ABS-MBS
US
Y
2
2040-04-17
Fixed
4.00000000
N
N
N
N
N
N
KINDER MORGAN, INC.
549300WR7IX8XE0TBO16
KINDER MORGAN INC 4.300000% 03/01/2028
49456BAP6
80000.00000000
PA
USD
76259.15000000
0.041288837633
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5130
3133KYVX4
139137.55000000
PA
USD
111586.81000000
0.060416221268
Long
DBT
USGA
US
N
2
2041-10-01
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)
783965593
905998.38000000
NS
USD
905998.38000000
0.490532873866
Long
STIV
RF
US
N
2
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8429
36179XLJ3
95709.32000000
PA
USD
94742.66000000
0.051296327138
Long
DBT
USGA
US
N
2
2052-11-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G06496
3128M8RR7
46497.15000000
PA
USD
46048.06000000
0.024931708164
Long
DBT
USGA
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
NISSAN MOTOR CO., LTD.
353800DRBDH1LUTNAY26
NISSAN MOTOR CO LTD 144A 3.522000% 09/17/2025
654744AB7
200000.00000000
PA
USD
189312.29000000
0.102498970993
Long
DBT
NUSS
JP
N
2
2025-09-17
Fixed
3.52200000
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 1.950000% 01/30/2026
05369AAK7
301000.00000000
PA
USD
271412.46000000
0.146950300294
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
1.95000000
N
N
N
N
N
N
GENERAL MOTORS COMPANY
54930070NSV60J38I987
GENERAL MOTORS CO 6.125000% 10/01/2025
37045VAV2
50000.00000000
PA
USD
50195.46000000
0.027177226573
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
WIND RIVER CLO LTD.
N/A
WIND RIVER 2021-3 CLO LTD WINDR 2021-3A A
97316DAA4
250000.00000000
PA
USD
245375.25000000
0.132853026247
Long
ABS-CBDO
CORP
KY
Y
2
2033-07-20
Floating
6.73774920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR6523
3140L5G91
197493.56000000
PA
USD
167073.32000000
0.090458170362
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST
N/A
RESIDENTIAL MORTGAGE LOAN TRUST 2019-3 RMLT 2019-3 A1
76119NAA5
6946.62000000
PA
USD
6718.66000000
0.003637670520
Long
ABS-MBS
US
N
2
2059-09-25
Floating
2.63300040
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 995243
31416BS82
35304.82000000
PA
USD
34393.76000000
0.018621744043
Long
DBT
USGA
US
N
2
2038-08-01
Fixed
4.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH COMPANIES, LLC
5493002J2SVENP0PVK27
ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORL 3.650000% 02/01/2026
03522AAG5
20000.00000000
PA
USD
19321.69000000
0.010461303610
Long
DBT
CORP
BE
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-188 PA
38383CRU6
290581.81000000
PA
USD
240422.74000000
0.130171598756
Long
DBT
USGA
US
N
2
2051-10-20
Fixed
2.00000000
N
N
N
N
N
N
APACHE CORPORATION
72ZZ1XRHOOU9P9X16K08
APACHE CORP 4.750000% 04/15/2043
037411BA2
10000.00000000
PA
USD
7640.97000000
0.004137034961
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.75000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 5.304000% 08/09/2026
06738EBZ7
200000.00000000
PA
USD
197047.40000000
0.106686975985
Long
DBT
NUSS
GB
N
2
2026-08-09
Fixed
5.30400000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 3.500000% 06/01/2041
00206RJZ6
151000.00000000
PA
USD
110748.39000000
0.059962277220
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.800000% 02/15/2029
55336VAS9
80000.00000000
PA
USD
77084.05000000
0.041735461575
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
APPLE INC.
HWUPKR0MPOU8FGXBT394
APPLE INC 3.850000% 08/04/2046
037833CD0
156000.00000000
PA
USD
132208.38000000
0.071581316282
Long
DBT
CORP
US
N
2
2046-08-04
Fixed
3.85000000
N
N
N
N
N
N
EXELON CORPORATION
3SOUA6IRML7435B56G12
EXELON CORP 4.700000% 04/15/2050
30161NAY7
69000.00000000
PA
USD
58541.86000000
0.031696201076
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.70000000
N
N
N
N
N
N
NIKE, INC.
787RXPR0UX0O0XUXPZ81
NIKE INC 3.375000% 03/27/2050
654106AM5
50000.00000000
PA
USD
38603.86000000
0.020901209986
Long
DBT
CORP
US
N
2
2050-03-27
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD8209
3132DWDN0
93693.21000000
PA
USD
70697.40000000
0.038277550559
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
1.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 5.000000% 01/21/2044
06051GFC8
20000.00000000
PA
USD
19022.32000000
0.010299216315
Long
DBT
CORP
US
N
2
2044-01-21
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.375000% 08/15/2042
912810TK4
639000.00000000
PA
USD
554507.23000000
0.300225730107
Long
DBT
UST
US
N
2
2042-08-15
Fixed
3.37500000
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2003-10 SLMA 2003-10A A4
78442GJH0
99718.19000000
PA
USD
98867.76000000
0.053529771703
Long
ABS-MBS
US
N
2
2068-12-17
Floating
6.22199880
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25E 1
83162CP56
331379.31000000
PA
USD
307245.49000000
0.166351305387
Long
ABS-MBS
US
N
2
2047-05-01
Fixed
3.94000000
N
N
N
N
N
N
NXP B.V.
724500RKKW4NOJ9YQF60
NXP BV / NXP FUNDING LLC / NXP USA INC 2.700000% 05/01/2025
62954HAW8
30000.00000000
PA
USD
28535.12000000
0.015449712415
Long
DBT
NUSS
CN
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 08/15/2051
912810SZ2
450000.00000000
PA
USD
285697.26000000
0.154684490720
Long
DBT
UST
US
N
1
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CNY SETTLE 2023-10-20
N/A
1.00000000
NC
USD
6123.43000000
0.003315396343
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
3032906.00000000
CNY
423991.12000000
USD
2023-10-20
6123.43000000
N
N
N
NATIONAL SECURITIES CLEARING CORPORATION
549300RYC9NELN2ICA34
NATIONAL SECURITIES CLEARING CORP 144A 5.000000% 05/30/2028
637639AK1
351000.00000000
PA
USD
348807.96000000
0.188854389614
Long
DBT
CORP
US
N
2
2028-05-30
Fixed
5.00000000
N
N
N
N
N
N
UNITED RENTALS (NORTH AMERICA), INC.
NGIZXNT70J2LYT3FBI09
UNITED RENTALS NORTH AMERICA INC 3.750000% 01/15/2032
911365BP8
20000.00000000
PA
USD
16819.10000000
0.009106331358
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0857
3132DM5S0
182121.79000000
PA
USD
151864.54000000
0.082223711310
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA6799
3140QERV6
127336.02000000
PA
USD
102420.36000000
0.055453248749
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
SIMON PROPERTY GROUP, L.P.
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 1.750000% 02/01/2028
828807DL8
501000.00000000
PA
USD
429939.90000000
0.232781492100
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.75000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.875000% 04/15/2030
87264ABF1
130000.00000000
PA
USD
118654.27000000
0.064242741868
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Federal Republic of Nigeria
549300GSBZD84TNEQ285
NIGERIA GOVERNMENT INTERNATIONAL BOND MTN 6.500000% 11/28/2027
65412JAC7
200000.00000000
PA
USD
171180.00000000
0.092681641824
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 2.522000% 04/22/2031
46647PBL9
130000.00000000
PA
USD
109034.81000000
0.059034497060
Long
DBT
CORP
US
N
2
2031-04-22
Fixed
2.52200000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7589
36179WNE4
83776.28000000
PA
USD
71322.48000000
0.038615986361
Long
DBT
USGA
US
N
2
2051-09-20
Fixed
2.50000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST STATE OF CALIFORNIA
13063A5E0
280000.00000000
PA
USD
336189.34000000
0.182022315661
Long
DBT
MUN
US
N
2
2034-04-01
Fixed
7.50000000
N
N
N
N
N
N
BLACKSTONE HOLDINGS FINANCE CO. L.L.C.
549300D2L6J4NC1QVZ22
BLACKSTONE HOLDINGS FINANCE CO LLC 144A 6.250000% 08/15/2042
09256BAE7
118000.00000000
PA
USD
112705.55000000
0.061021938408
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
6.25000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.658000% 05/24/2028
172967NS6
20000.00000000
PA
USD
19476.33000000
0.010545030033
Long
DBT
CORP
US
N
2
2028-05-24
Fixed
4.65800000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.450000% 09/29/2027
172967KA8
90000.00000000
PA
USD
86027.57000000
0.046577733553
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
4.45000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC.
549300IRDTHJQ1PVET45
FREEPORT-MCMORAN INC 5.400000% 11/14/2034
35671DBJ3
20000.00000000
PA
USD
18952.71000000
0.010261527513
Long
DBT
CORP
US
N
2
2034-11-14
Fixed
5.40000000
N
N
N
N
N
N
CSAIL COMMERCIAL MORTGAGE TRUST
N/A
CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST CSAIL 2015-C2 AS
12634NAX6
210000.00000000
PA
USD
197472.14000000
0.106916942106
Long
ABS-MBS
US
N
2
2057-06-15
Fixed
3.84900000
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CORPORATION
N/A
STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRU SASC 2007-WF1 A1
86358BAA0
123742.46000000
PA
USD
119033.68000000
0.064448165058
Long
ABS-MBS
US
N
2
2037-02-25
Floating
5.84943120
N
N
N
N
N
N
COREVEST AMERICAN FINANCE
N/A
COREVEST AMERICAN FINANCE 2021-1 TRUST CAFL 2021-1 A
21873LAA1
303053.20000000
PA
USD
271002.57000000
0.146728374378
Long
ABS-MBS
US
Y
2
2053-04-15
Fixed
1.56900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA7928
3133KPYZ5
371350.18000000
PA
USD
352166.09000000
0.190672575160
Long
DBT
USGA
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING, LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM OPERATING LP 144A 6.450000% 11/03/2036
26439XAH6
10000.00000000
PA
USD
10188.09000000
0.005516117001
Long
DBT
CORP
US
Y
2
2036-11-03
Fixed
6.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7525
3132DVLE3
70215.12000000
PA
USD
59081.62000000
0.031988442243
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2020-INV1 GSMBS 2020-INV1 A14
36258KAS7
125408.97000000
PA
USD
103624.05000000
0.056104960196
Long
ABS-MBS
US
N
2
2050-10-25
Floating
2.92637880
N
N
N
N
N
N
Ferguson Finance Plc
2138003A7ZEU931DZL61
FERGUSON FINANCE PLC 144A 4.500000% 10/24/2028
314890AA2
394000.00000000
PA
USD
374058.48000000
0.202525727682
Long
DBT
NUSS
US
N
2
2028-10-24
Fixed
4.50000000
N
N
N
N
N
N
PRKCM TRUST
N/A
PRKCM 2022-AFC1 TRUST PRKCM 2022-AFC1 A1A
69377CAA1
89848.09000000
PA
USD
84147.95000000
0.045560054691
Long
ABS-MBS
US
Y
2
2057-04-25
Floating
4.10000040
N
N
N
N
N
N
SPRINT SPECTRUM CO LLC
N/A
SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC 4.738000% 03/20/2025
85208NAD2
100626.72000000
PA
USD
99600.02000000
0.053926237757
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.73800000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 5.250000% 03/16/2037
92343VDU5
20000.00000000
PA
USD
19482.90000000
0.010548587215
Long
DBT
CORP
US
N
2
2037-03-16
Fixed
5.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.500000% 01/31/2027
912828Z78
1840000.00000000
PA
USD
1669009.37000000
0.903648373825
Long
SN
UST
US
N
2
2027-01-31
Fixed
1.50000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.300000% 04/15/2040
437076CC4
188000.00000000
PA
USD
148166.52000000
0.080221499807
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
3.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 4.125000% 08/31/2030
91282CHW4
820000.00000000
PA
USD
816540.63000000
0.442097944879
Long
SN
UST
US
N
2
2030-08-31
Fixed
4.12500000
N
N
N
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE 5.875000% 08/24/2026
808513CG8
100000.00000000
PA
USD
100578.06000000
0.054455775980
Long
DBT
CORP
US
N
2
2026-08-24
Fixed
5.87500000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 NRZT 2019-6A B1
64828GAS9
194257.58000000
PA
USD
176571.01000000
0.095600485485
Long
ABS-MBS
US
N
2
2059-09-25
Floating
3.99999960
N
N
N
N
N
N
UNITED AIRLINES, INC.
K1OQBWM7XEOO08LDNP29
UNITED AIRLINES INC 144A 4.625000% 04/15/2029
90932LAH0
130000.00000000
PA
USD
115589.62000000
0.062583454605
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 2.572000% 10/20/2032
06051GKD0
90000.00000000
PA
USD
72141.02000000
0.039059166821
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
N
NORWEIGAN KRONE
N/A
FX Forward Contract: NOK/EUR SETTLE 2023-10-20
N/A
1.00000000
NC
-3373.38000000
-0.00182644232
N/A
DFE
NO
N
2
CITIGROUP GLOBAL MARKETS
N/A
344540.07000000
EUR
3943592.19000000
NOK
2023-10-20
-3373.38000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 3.419000% 12/20/2028
06051GHD4
42000.00000000
PA
USD
38514.26000000
0.020852698039
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Z40125
3132FCD69
166328.93000000
PA
USD
171526.56000000
0.092869279105
Long
DBT
USGA
US
N
2
2035-03-01
Fixed
6.00000000
N
N
N
N
N
N
THE CIGNA GROUP
549300VIWYMSIGT1U456
CIGNA GROUP/THE 4.800000% 08/15/2038
125523AJ9
100000.00000000
PA
USD
92181.82000000
0.049909816707
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
4.80000000
N
N
N
N
N
N
FIRSTENERGY CORP.
549300SVYJS666PQJH88
FIRSTENERGY CORP 4.150000% 07/15/2027
337932AH0
50000.00000000
PA
USD
47162.86000000
0.025535292078
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.15000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/GBP SETTLE 2023-10-20
N/A
1.00000000
NC
USD
710.24000000
0.000384543809
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
31999.19000000
GBP
41255.92000000
USD
2023-10-20
710.24000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K109 A2
3137FTFY8
100000.00000000
PA
USD
81888.68000000
0.044336822696
Long
DBT
USGA
US
N
2
2030-04-25
Fixed
1.55800000
N
N
N
N
N
N
VFH PARENT LLC
N/A
VFH PARENT LLC 1/13/2029
91820UAS9
29700.00000000
PA
USD
29462.40000000
0.015951767753
Long
LON
US
N
2
2029-01-13
Floating
8.42024160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA8779
3140QGXH5
81224.42000000
PA
USD
64913.84000000
0.035146169344
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 4.054000% 03/15/2029
55903VBB8
20000.00000000
PA
USD
18391.93000000
0.009957905530
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.05400000
N
N
N
N
N
N
UNITED AIRLINES, INC.
K1OQBWM7XEOO08LDNP29
UNITED AIRLINES INC 144A 4.375000% 04/15/2026
90932LAG2
20000.00000000
PA
USD
18848.64000000
0.010205181103
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.650000% 11/20/2040
92343VFT6
30000.00000000
PA
USD
20031.86000000
0.010845809519
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BV8546
3140MNP83
89586.72000000
PA
USD
81068.13000000
0.043892553966
Long
DBT
USGA
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
UNITED RENTALS (NORTH AMERICA), INC.
NGIZXNT70J2LYT3FBI09
UNITED RENTALS NORTH AMERICA INC 3.875000% 02/15/2031
911363AM1
100000.00000000
PA
USD
85536.38000000
0.046311789543
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.87500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 6.250000% 04/15/2049
29279FAA7
190000.00000000
PA
USD
181888.06000000
0.098479285132
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 5.300000% 02/01/2028
00914AAU6
40000.00000000
PA
USD
39293.79000000
0.021274757393
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-55 IO
3136APB68
81427.15000000
PA
USD
3193.46000000
0.001729028600
Long
DBT
USGA
US
N
2
2055-08-25
Floating
0.30917520
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 3.350000% 03/02/2033
95000U2U6
20000.00000000
PA
USD
16842.28000000
0.009118881659
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR3290
3140L1UQ6
81999.89000000
PA
USD
65509.91000000
0.035468898320
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
TARGA RESOURCES CORP.
5493003QENHHS261UR94
TARGA RESOURCES CORP 4.200000% 02/01/2033
87612GAA9
20000.00000000
PA
USD
17635.10000000
0.009548136591
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
4.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4325
31418DYX4
168002.14000000
PA
USD
133823.24000000
0.072455646672
Long
DBT
USGA
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
EOG RESOURCES, INC.
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC 4.950000% 04/15/2050
26875PAT8
70000.00000000
PA
USD
66187.85000000
0.035835954006
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-103 AD
38380PXV1
117087.95000000
PA
USD
88922.68000000
0.048145227116
Long
DBT
USGA
US
N
2
2063-01-16
Fixed
1.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL4597
3138EMDB4
48756.28000000
PA
USD
46318.65000000
0.025078213162
Long
DBT
USGA
US
N
2
2044-01-01
Fixed
4.00000000
N
N
N
N
N
N
SPIRIT IP CAYMAN LTD.
N/A
SPIRIT LOYALTY CAYMAN LTD / SPIRIT IP CAYMAN LTD 1 8.000000% 09/20/2025
84859BAA9
23936.00000000
PA
USD
23962.09000000
0.012973746014
Long
DBT
NUSS
US
N
2
2025-09-20
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G08859
3128MJ5V8
12072.46000000
PA
USD
11946.50000000
0.006468169377
Long
DBT
USGA
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
UNITED AIRLINES INC.
N/A
UNITED AIRLINES INC. 4/21/2028
90932RAJ3
54460.71000000
PA
USD
54528.79000000
0.029523412687
Long
LON
US
N
2
2028-04-21
Floating
9.29185920
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2022-NQM3 BRAVO 2022-NQM3 A1
10569JAA8
167097.41000000
PA
USD
162219.47000000
0.087830160155
Long
ABS-MBS
US
Y
2
2062-07-25
Floating
5.10800040
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-43 SN
38375CWH9
54102.04000000
PA
USD
6345.47000000
0.003435615011
Long
DBT
USGA
US
N
2
2042-04-16
Floating
1.17290880
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-160 YI
38382KQ97
78322.44000000
PA
USD
10380.52000000
0.005620303987
Long
DBT
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0671
3140QKW95
467078.82000000
PA
USD
393107.32000000
0.212839302667
Long
DBT
USGA
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.625000% 05/31/2028
91282CHE4
4366000.00000000
PA
USD
4246276.07000000
2.299052680256
Long
SN
UST
US
N
2
2028-05-31
Fixed
3.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7100
3140XA3J9
115087.93000000
PA
USD
104655.88000000
0.056663621830
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 4.500000% 03/09/2048
00206RDJ8
39000.00000000
PA
USD
31128.67000000
0.016853932955
Long
DBT
CORP
US
N
2
2048-03-09
Fixed
4.50000000
N
N
N
N
N
N
AMSR TRUST
N/A
AMSR 2022-SFR3 TRUST AMSR 2022-SFR3 A
66981YAA7
236000.00000000
PA
USD
220653.04000000
0.119467729995
Long
ABS-MBS
US
Y
2
2039-10-17
Fixed
4.00000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.000000% 10/29/2028
00774MAW5
150000.00000000
PA
USD
129984.33000000
0.070377153381
Long
DBT
NUSS
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
DLLAA LLC
N/A
DLLAA 2021-1 LLC DLLAA 2021-1A A3
23291YAC9
351703.26000000
PA
USD
338243.79000000
0.183134652377
Long
ABS-MBS
US
Y
2
2026-04-17
Fixed
0.67000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4838
36179TLT0
14307.59000000
PA
USD
13524.91000000
0.007322764717
Long
DBT
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
Coterra Energy Inc.
FCNMH6O7VWU7LHXMK351
COTERRA ENERGY INC 4.375000% 03/15/2029
127097AK9
180000.00000000
PA
USD
169294.01000000
0.091660514065
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.948000% 07/22/2028
06051GKW8
221000.00000000
PA
USD
216381.60000000
0.117155052859
Long
DBT
CORP
US
N
2
2028-07-22
Fixed
4.94800000
N
N
N
N
N
N
COX COMMUNICATIONS, INC.
5493001NEDZNIFRP2R92
COX COMMUNICATIONS INC 144A 3.350000% 09/15/2026
224044CG0
231000.00000000
PA
USD
217317.88000000
0.117661981050
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.35000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS LP
6OQWTZ1SPC04IFT4T704
TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PART 5.000000% 01/15/2028
87612BBG6
10000.00000000
PA
USD
9622.74000000
0.005210020691
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB2563
3140QMZ56
269243.31000000
PA
USD
223657.25000000
0.121094293351
Long
DBT
USGA
US
N
2
2042-01-01
Fixed
2.00000000
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC 4.950000% 05/28/2027
345397C27
230000.00000000
PA
USD
215820.89000000
0.116851468776
Long
DBT
CORP
US
N
2
2027-05-28
Fixed
4.95000000
N
N
N
N
N
N
PRUDENTIAL FUNDING (ASIA) PLC
2549005TNASWKLR0XC37
PRUDENTIAL FUNDING ASIA PLC 3.125000% 04/14/2030
744330AA9
315000.00000000
PA
USD
277582.97000000
0.150291187066
Long
DBT
NUSS
HK
N
2
2030-04-14
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1936
3132DPEH7
94778.26000000
PA
USD
84751.70000000
0.045886941835
Long
DBT
USGA
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
ALLSPRING BUYER LLC
N/A
ALLSPRING BUYER LLC 11/1/2028
98922AAC0
30612.50000000
PA
USD
30541.48000000
0.016536011859
Long
LON
US
N
2
2028-11-01
Floating
8.75347920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K748 A2
3137H5YC5
100000.00000000
PA
USD
88031.06000000
0.047662479099
Long
DBT
USGA
US
N
2
2029-01-25
Floating
2.26000080
N
N
N
N
N
N
AMWINS GROUP, INC.
N/A
AMWINS GROUP, INC. 2/19/2028
03234TAZ1
9975.00000000
PA
USD
9958.34000000
0.005391723922
Long
LON
US
N
2
2028-02-19
Floating
8.18313120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.625000% 05/15/2026
91282CHB0
1693000.00000000
PA
USD
1651204.06000000
0.894008080777
Long
SN
UST
US
N
2
2026-05-15
Fixed
3.62500000
N
N
N
N
N
N
N/A
N/A
SOFR 1yr MidCurve Dec23P 95.25 SHORT
019R2XQS1
-28.00000000
NC
USD
-7175.00000000
-0.00388474576
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Put
Written
N/A
Put Option 95.25 Dec 2023 on CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Dec 2024 (1 Year Mid-Curve)
-70000.00000000
95.25000000
USD
2023-12-18
XXXX
3966.20000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.450000% 03/03/2026
06051GFU8
10000.00000000
PA
USD
9723.68000000
0.005264672432
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
4.45000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-57 BI
38382QCY4
358668.52000000
PA
USD
52840.34000000
0.028609238612
Long
DBT
USGA
US
N
2
2051-03-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS3368
3140XJW66
95200.48000000
PA
USD
79396.49000000
0.042987481296
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0133
3140FXEF5
209845.57000000
PA
USD
194074.73000000
0.105077489268
Long
DBT
USGA
US
N
2
2056-08-01
Fixed
4.00000000
N
N
N
N
N
N
Kraft Heinz Foods Company
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 5.500000% 06/01/2050
50077LBJ4
10000.00000000
PA
USD
9653.39000000
0.005226615459
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-97 AI
3136BDEF1
527188.74000000
PA
USD
69338.71000000
0.037541917775
Long
DBT
USGA
US
N
2
2051-01-25
Fixed
2.00000000
N
N
N
N
N
N
LENNAR CORPORATION
529900G61XVRLX5TJX09
LENNAR CORP 4.500000% 04/30/2024
526057BZ6
20000.00000000
PA
USD
19840.01000000
0.010741936561
Long
DBT
CORP
US
N
2
2024-04-30
Fixed
4.50000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 5.050000% 03/25/2048
126650CZ1
220000.00000000
PA
USD
192964.42000000
0.104476336366
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC.
549300IRDTHJQ1PVET45
FREEPORT-MCMORAN INC 4.550000% 11/14/2024
35671DBL8
10000.00000000
PA
USD
9830.60000000
0.005322561912
Long
DBT
CORP
US
N
2
2024-11-14
Fixed
4.55000000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2022-DNA6 STACR 2022-DNA6 M1A
35564KH36
92186.18000000
PA
USD
92998.74000000
0.050352120053
Long
DBT
USGA
US
N
2
2042-09-25
Floating
7.43757840
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 4.375000% 03/22/2028
539439AR0
200000.00000000
PA
USD
189538.19000000
0.102621279574
Long
DBT
NUSS
GB
N
2
2028-03-22
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS5059
3140XLTR9
97892.78000000
PA
USD
89167.43000000
0.048277741614
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2061
3140XHJF5
94060.80000000
PA
USD
87132.79000000
0.047176130587
Long
DBT
USGA
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
SOFR 1yr MidCurve Sep23C 96.75 LONG
0184KB633
84.00000000
NC
USD
525.00000000
0.000284249690
N/A
DIR
US
N
1
ADVANTAGE CAPITAL CORPORATION
N/A
Call
Purchased
N/A
Call Option 96.75 Sep 2023 on CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Sep 2024 (1 Year Mid-Curve)
210000.00000000
96.75000000
USD
2023-09-18
XXXX
-19076.40000000
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.875000% 02/15/2051
912810SU3
1193000.00000000
PA
USD
735978.47000000
0.398479337228
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.87500000
N
N
N
N
N
N
TARGA RESOURCES CORP.
5493003QENHHS261UR94
TARGA RESOURCES CORP 5.200000% 07/01/2027
87612KAA0
50000.00000000
PA
USD
49502.68000000
0.026802136097
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
5.20000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.400000% 04/15/2046
674599CJ2
10000.00000000
PA
USD
7673.20000000
0.004154485185
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4280
31418DXJ6
76230.48000000
PA
USD
57546.27000000
0.031157160792
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
1.50000000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 7.750000% 06/15/2031
969457BD1
140000.00000000
PA
USD
153437.17000000
0.083075177196
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7255
36179WBY3
136592.39000000
PA
USD
116296.81000000
0.062966347059
Long
DBT
USGA
US
N
2
2051-03-20
Fixed
2.50000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 1.900000% 08/15/2030
723787AQ0
20000.00000000
PA
USD
16136.07000000
0.008736519804
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.90000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORPORATION TRUST
N/A
GS MORTGAGE SECURITIES CORP TRUST 2018-SRP5 GSMS 2018-SRP5 B
36255TAJ1
170741.28000000
PA
USD
89719.49000000
0.048576642346
Long
ABS-MBS
US
N
2
2031-09-15
Floating
8.42547960
N
N
N
N
N
N
GLOBAL MEDICAL RESPONSE, INC.
N/A
GLOBAL MEDICAL RESPONSE, INC. 10/2/2025
00169QAF6
85948.45000000
PA
USD
60120.94000000
0.032551159172
Long
LON
US
N
2
2025-10-02
Floating
9.78035040
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2017-20H 1
83162CYU1
161690.17000000
PA
USD
145365.59000000
0.078704997931
Long
ABS-MBS
US
N
2
2037-08-01
Fixed
2.75000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1 SCRT 2021-1 MA
35563PUV9
186338.02000000
PA
USD
161365.71000000
0.087367910602
Long
ABS-MBS
US
N
2
2060-09-25
Fixed
2.00000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
FORD MOTOR CO 6.100000% 08/19/2032
345370DB3
30000.00000000
PA
USD
28665.89000000
0.015520514952
Long
DBT
CORP
US
N
2
2032-08-19
Fixed
6.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ4840
3140KQLW9
95574.04000000
PA
USD
83703.32000000
0.045319319568
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
3.00000000
N
N
N
N
N
N
HUNTER DOUGLAS HOLDING B.V.
N/A
HUNTER DOUGLAS HOLDING B.V. 2/26/2029
N8137FAB6
64925.19000000
PA
USD
63018.33000000
0.034119887191
Long
LON
US
N
2
2029-02-26
Floating
9.72105120
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 4.114000% 03/01/2046
30231GAW2
90000.00000000
PA
USD
76511.64000000
0.041425542784
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.11400000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2011-20H 1
83162CUE1
64389.12000000
PA
USD
60242.84000000
0.032617159243
Long
ABS-MBS
US
N
2
2031-08-01
Fixed
3.29000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 5.476000% 01/25/2039
35137LAJ4
70000.00000000
PA
USD
63528.33000000
0.034396015461
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
5.47600000
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 4.750000% 04/15/2029
11135FBA8
253000.00000000
PA
USD
243991.97000000
0.132104079749
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 2.972000% 02/04/2033
06051GKK4
40000.00000000
PA
USD
32888.61000000
0.017806813717
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 2.875000% 05/10/2026
822582BT8
80000.00000000
PA
USD
75866.18000000
0.041076072679
Long
DBT
NUSS
NL
N
2
2026-05-10
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U99126
3132H7D84
100957.01000000
PA
USD
89676.39000000
0.048553306800
Long
DBT
USGA
US
N
2
2043-11-01
Fixed
3.00000000
N
N
N
N
N
N
OAK STREET INVESTMENT GRADE NET LEASE FUND LLC.
N/A
OAK STREET INVESTMENT GRADE NET LEASE FUND SERIES OAKIG 2020-1A A1
67181DAA9
209449.25000000
PA
USD
186819.66000000
0.101149391364
Long
ABS-MBS
US
Y
2
2050-11-20
Fixed
1.85000000
N
N
N
N
N
N
FIRST EAGLE HOLDINGS, INC.
N/A
FIRST EAGLE HOLDINGS, INC. 2/1/2027
05554JAH0
18620.39000000
PA
USD
18232.53000000
0.009871601910
Long
LON
US
N
2
2027-02-01
Floating
8.03786040
N
N
N
N
N
N
SMRT COMMERCIAL MORTGAGE TRUST
N/A
SMRT 2022-MINI SMRT 2022-MINI D
78457JAL6
110000.00000000
PA
USD
105032.82000000
0.056867707693
Long
ABS-MBS
US
Y
2
2039-01-15
Floating
7.26099840
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.250000% 02/15/2026
87264ABR5
10000.00000000
PA
USD
9246.87000000
0.005006514156
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-118 HS
38379EHN5
111838.03000000
PA
USD
11374.04000000
0.006158223515
Long
DBT
USGA
US
N
2
2044-08-20
Floating
0.77154120
N
N
N
N
N
N
DTE ELECTRIC SECURITIZATION FUNDING I LLC
N/A
DTE ELECTRIC SECURITIZATION FUNDING I LLC 2.640000% 12/01/2026
23345GAA8
229935.68000000
PA
USD
217678.42000000
0.117857187494
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
2.64000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 10/24/2023
912797HC4
670000.00000000
PA
USD
664796.80000000
0.359939589341
Long
DBT
UST
US
N
2
2023-10-24
None
0.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.750000% 11/15/2043
912810RD2
90000.00000000
PA
USD
81868.36000000
0.044325820880
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-4 SCRT 2018-4 MA
35563PHF9
219269.89000000
PA
USD
204530.68000000
0.110738633168
Long
ABS-MBS
US
N
2
2058-03-25
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 08/15/2051
912810SZ2
299000.00000000
PA
USD
189829.96000000
0.102779252016
Long
DBT
UST
US
N
1
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
SALESFORCE, INC.
RCGZFPDMRW58VJ54VR07
SALESFORCE INC 2.700000% 07/15/2041
79466LAK0
40000.00000000
PA
USD
28563.52000000
0.015465088969
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
2.70000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.400000% 08/15/2049
674599CY9
70000.00000000
PA
USD
49881.36000000
0.027007164044
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.40000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 2.900000% 05/15/2025
29278NAP8
10000.00000000
PA
USD
9504.03000000
0.005145747776
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U99054
3132H7BY9
145677.41000000
PA
USD
137964.64000000
0.074697916514
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 7.390000% 11/03/2028
404280DR7
230000.00000000
PA
USD
241643.20000000
0.130832389950
Long
DBT
NUSS
GB
N
2
2028-11-03
Fixed
7.39000000
N
N
N
N
N
N
EOG RESOURCES, INC.
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC 3.900000% 04/01/2035
26875PAN1
40000.00000000
PA
USD
35356.89000000
0.019143209574
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
3.90000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 2.992000% 03/19/2025
30231GBH4
50000.00000000
PA
USD
48408.44000000
0.026209683942
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QC9443
3133AUP44
89046.36000000
PA
USD
73893.93000000
0.040008241343
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
FOCUS FINANCIAL PARTNERS, LLC
N/A
FOCUS FINANCIAL PARTNERS, LLC 6/30/2028
34416DAW8
78015.43480000
PA
USD
77749.40000000
0.042095700682
Long
LON
US
N
2
2028-06-30
Floating
8.56865160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 09/21/2023
912796CR8
610000.00000000
PA
USD
608214.05000000
0.329304105237
Long
DBT
UST
US
N
2
2023-09-21
None
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5875
3140X9Q57
119465.99000000
PA
USD
115013.27000000
0.062271402588
Long
DBT
USGA
US
N
2
2050-04-01
Fixed
4.50000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING III LLC
N/A
HERTZ VEHICLE FINANCING LLC HERTZ 2022-5A B
42806MBL2
250000.00000000
PA
USD
231965.83000000
0.125592791047
Long
ABS-MBS
US
Y
2
2028-09-25
Fixed
4.28000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0470
3140QKQY7
81838.84000000
PA
USD
70739.11000000
0.038300133520
Long
DBT
USGA
US
N
2
2041-05-01
Fixed
2.50000000
N
N
N
N
N
N
SPRINT CAPITAL CORPORATION
549300L17W0GQBR1PO80
SPRINT CAPITAL CORP 8.750000% 03/15/2032
852060AT9
10000.00000000
PA
USD
11918.60000000
0.006453063536
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8642
36179XS72
96171.46000000
PA
USD
81891.14000000
0.044338154609
Long
DBT
USGA
US
N
2
2053-02-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SC0093
3132D9C69
72818.37000000
PA
USD
61149.40000000
0.033107996194
Long
DBT
USGA
US
N
2
2040-10-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3031
3140QNLM2
89926.50000000
PA
USD
74522.74000000
0.040348696672
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
KKR APPLE BIDCO, LLC
N/A
KKR APPLE BIDCO, LLC 9/22/2028
48254EAB7
29924.24000000
PA
USD
29555.57000000
0.016002212598
Long
LON
US
N
2
2028-09-22
Floating
8.18313120
N
N
N
N
N
N
BRK: UBS
N/A
BRK: UBS PAY: 3.15
N/A
849000.00000000
NC
USD
67387.27000000
0.036485353555
N/A
DIR
XX
N
2
BRK: UBS
N/A
Y
2048-05-15
8745.60000000
USD
0.00000000
USD
-849000.00000000
USD
58641.67000000
N
N
N
WENDYS FUNDING LLC
N/A
WENDY'S FUNDING LLC WEN 2019-1A A2I
95058XAG3
138465.00000000
PA
USD
129168.74000000
0.069935570134
Long
ABS-MBS
US
N
2
2049-06-15
Fixed
3.78300000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.150000% 03/01/2026
20030NBS9
20000.00000000
PA
USD
19101.30000000
0.010341978297
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
TAKE-TWO INTERACTIVE SOFTWARE, INC.
BOMSTHHJK882EWYX3334
TAKE-TWO INTERACTIVE SOFTWARE INC 3.700000% 04/14/2027
874054AG4
290000.00000000
PA
USD
274809.85000000
0.148789742303
Long
DBT
CORP
US
N
2
2027-04-14
Fixed
3.70000000
N
N
N
N
N
N
DIAMONDBACK ENERGY, INC.
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 3.500000% 12/01/2029
25278XAN9
30000.00000000
PA
USD
27134.24000000
0.014691236784
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
COSTCO WHOLESALE CORPORATION
29DX7H14B9S6O3FD6V18
COSTCO WHOLESALE CORP 1.375000% 06/20/2027
22160KAN5
70000.00000000
PA
USD
61884.46000000
0.033505978246
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
1.37500000
N
N
N
N
N
N
HOME PARTNERS OF AMERICA TRUST
N/A
HOME PARTNERS OF AMERICA 2021-2 TRUST HPA 2021-2 A
43732VAT3
293202.90000000
PA
USD
258941.32000000
0.140198076140
Long
ABS-MBS
US
Y
2
2026-12-17
Fixed
1.90100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QB9290
3133AGKB4
82788.05000000
PA
USD
66890.41000000
0.036216339648
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2688
3132DP6Z6
97213.99000000
PA
USD
96246.91000000
0.052110770179
Long
DBT
USGA
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
CF HIPPOLYTA ISSUER LLC
N/A
CF HIPPOLYTA ISSUER LLC SORT 2020-1 A1
12530MAA3
167298.07000000
PA
USD
151267.40000000
0.081900403005
Long
ABS-MBS
US
N
2
2060-07-15
Fixed
1.69000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.400000% 04/01/2030
20030NDG3
20000.00000000
PA
USD
18238.42000000
0.009874790921
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR6524
3140L5HA7
194248.74000000
PA
USD
163902.02000000
0.088741139805
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
DELTA AIR LINES, INC.
Q2CCMS6R0AS67HJMBN42
DELTA AIR LINES INC 7.375000% 01/15/2026
247361ZZ4
30000.00000000
PA
USD
30865.42000000
0.016711402039
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.37500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.000000% 02/15/2027
674599CM5
20000.00000000
PA
USD
17959.18000000
0.009723602571
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5134
3133KYV30
17564.02000000
PA
USD
14086.12000000
0.007626619514
Long
DBT
USGA
US
N
2
2041-11-01
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0331
3140XFLM1
89108.92000000
PA
USD
77010.15000000
0.041695450047
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
PCI GAMING AUTHORITY
N/A
PCI GAMING AUTHORITY 5/29/2026
70455DAG9
22361.54000000
PA
USD
22357.51000000
0.012104981504
Long
LON
US
N
2
2026-05-29
Floating
7.93312920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AN4927
3138LHPM0
18930.83000000
PA
USD
17722.66000000
0.009595544025
Long
DBT
USGA
US
N
2
2029-03-01
Fixed
3.45000000
N
N
N
N
N
N
Asurion 2/23 B11 TLB
N/A
Asurion 2/23 B11 TLB 8/19/2028
04649VBC3
48111.20000000
PA
USD
46404.70000000
0.025124803039
Long
LON
US
N
2
2028-08-19
Floating
9.66864960
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.000000% 08/15/2052
912810TJ7
310000.00000000
PA
USD
247043.36000000
0.133756187677
Long
DBT
UST
US
N
1
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.300000% 06/01/2027
00206RJX1
60000.00000000
PA
USD
53724.26000000
0.029087817634
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECURITIES INC
N/A
BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2004- BSABS 2004-AC6 A1
073879LN6
46142.32000000
PA
USD
39189.34000000
0.021218205241
Long
ABS-MBS
US
N
2
2034-11-25
Fixed
5.75000000
N
N
N
N
N
N
Xcel Energy Inc.
LGJNMI9GH8XIDG5RCM61
XCEL ENERGY INC 3.400000% 06/01/2030
98389BAY6
188000.00000000
PA
USD
166647.64000000
0.090227695299
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.40000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.875000% 08/15/2045
912810RN0
480000.00000000
PA
USD
375581.25000000
0.203350197969
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.87500000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25K 1
83162CR47
257098.34000000
PA
USD
257103.66000000
0.139203115596
Long
ABS-MBS
US
N
2
2047-11-01
Fixed
5.13000000
N
N
N
N
N
N
Genpact Luxembourg S.a.r.l.
549300875ZJZQ1PBR343
GENPACT LUXEMBOURG SARL/GENPACT USA INC 1.750000% 04/10/2026
37190AAA7
292000.00000000
PA
USD
264169.26000000
0.143028629140
Long
DBT
NUSS
US
N
2
2026-04-10
Fixed
1.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2110
31418BKY1
13458.43000000
PA
USD
12791.84000000
0.006925860107
Long
DBT
USGA
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0958
3132DNB36
124624.16000000
PA
USD
112745.11000000
0.061043357299
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 1.150000% 06/10/2025
78015K7H1
40000.00000000
PA
USD
37042.43000000
0.020055808094
Long
DBT
NUSS
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2981
3132DQJ23
190888.80000000
PA
USD
194009.44000000
0.105042139435
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8045
36179W5E4
93885.84000000
PA
USD
87460.00000000
0.047353291236
Long
DBT
USGA
US
N
2
2052-05-20
Fixed
4.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WORLDWIDE INC.
549300CRGMZK3K53BF92
ANHEUSER-BUSCH INBEV WORLDWIDE INC 3.500000% 06/01/2030
035240AV2
20000.00000000
PA
USD
18394.20000000
0.009959134572
Long
DBT
CORP
BE
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G07697
3128M93E0
70111.82000000
PA
USD
68263.23000000
0.036959622810
Long
DBT
USGA
US
N
2
2038-06-01
Fixed
4.50000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.550000% 12/01/2033
00206RMM1
289000.00000000
PA
USD
220514.57000000
0.119392758463
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA2853
3133KJE24
122753.05000000
PA
USD
102624.61000000
0.055563835415
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5842
3140X9P41
340331.75000000
PA
USD
328947.00000000
0.178101110136
Long
DBT
USGA
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.250000% 05/15/2050
912810SN9
520000.00000000
PA
USD
271801.56000000
0.147160969921
Long
DBT
UST
US
N
1
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
CSX Corporation
549300JVQR4N1MMP3Q88
CSX CORP 3.800000% 04/15/2050
126408HS5
331000.00000000
PA
USD
256173.33000000
0.138699408902
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA8046
36179W5F1
93144.83000000
PA
USD
88760.72000000
0.048057537440
Long
DBT
USGA
US
N
2
2052-05-20
Fixed
4.50000000
N
N
N
N
N
N
GENERAL MOTORS COMPANY
54930070NSV60J38I987
GENERAL MOTORS CO 5.600000% 10/15/2032
37045VAZ3
10000.00000000
PA
USD
9625.24000000
0.005211374261
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
5.60000000
N
N
N
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 2.875000% 10/15/2049
713448EP9
20000.00000000
PA
USD
14139.99000000
0.007655786240
Long
DBT
CORP
US
N
2
2049-10-15
Fixed
2.87500000
N
N
N
N
N
N
CONSOLIDATED EDISON COMPANY OF NEW YORK, INC.
VZFZPMWDHTQCFKYOBP05
CONSOLIDATED EDISON CO OF NEW YORK INC 3.350000% 04/01/2030
209111FX6
20000.00000000
PA
USD
18034.30000000
0.009764274641
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BO2977
3140JXJX7
85992.15000000
PA
USD
78020.16000000
0.042242297722
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.593000% 07/21/2028
06051GGR4
90000.00000000
PA
USD
83769.97000000
0.045355405743
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
3.59300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5084
3133KYUH0
74633.89000000
PA
USD
60416.96000000
0.032711432683
Long
DBT
USGA
US
N
2
2040-11-01
Fixed
1.50000000
N
N
N
N
N
N
KKR GROUP FINANCE CO. VIII LLC
N/A
KKR GROUP FINANCE CO VIII LLC 144A 3.500000% 08/25/2050
48252MAA3
137000.00000000
PA
USD
90488.05000000
0.048992762235
Long
DBT
CORP
US
N
2
2050-08-25
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MORGAN STANLEY CAPITAL I TRUST 2019-BPR MSC 2019-BPR A
61769GAA5
110066.44000000
PA
USD
105433.24000000
0.057084506286
Long
ABS-MBS
US
N
2
2036-05-15
Floating
7.31099880
N
N
N
N
N
N
BLACKSTONE HOLDINGS FINANCE CO. L.L.C.
549300D2L6J4NC1QVZ22
BLACKSTONE HOLDINGS FINANCE CO LLC 144A 5.000000% 06/15/2044
09256BAG2
200000.00000000
PA
USD
170323.59000000
0.092217957486
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
5.00000000
N
N
N
N
N
N
PILOT TRAVEL CENTERS LLC
N/A
PILOT TRAVEL CENTERS LLC 8/4/2028
72165NBH1
47910.99000000
PA
USD
47739.95000000
0.025847744751
Long
LON
US
N
2
2028-08-04
Floating
7.41864960
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 1.364000% 01/30/2027
902613AC2
200000.00000000
PA
USD
178723.19000000
0.096765735957
Long
DBT
NUSS
CH
N
2
2027-01-30
Fixed
1.36400000
N
N
N
N
N
N
ELEVANCE HEALTH, INC.
8MYN82XMYQH89CTMTH67
ELEVANCE HEALTH INC 3.350000% 12/01/2024
036752AC7
20000.00000000
PA
USD
19454.72000000
0.010533329774
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5071 IH
3137F9R37
82928.24000000
PA
USD
10978.45000000
0.005944040020
Long
DBT
USGA
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BW0045
3140MRBP1
380730.75000000
PA
USD
371958.94000000
0.201388977978
Long
DBT
USGA
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7368
36179WFH6
66681.77000000
PA
USD
58937.18000000
0.031910238385
Long
DBT
USGA
US
N
2
2051-05-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5940
3140X9S63
83518.14000000
PA
USD
66793.85000000
0.036164059362
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
NVIDIA CORPORATION
549300S4KLFTLO7GSQ80
NVIDIA CORP 2.850000% 04/01/2030
67066GAF1
20000.00000000
PA
USD
17949.88000000
0.009718567291
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.85000000
N
N
N
N
N
N
METROPOLITAN LIFE GLOBAL FUNDING I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLOBAL FUNDING I MTN 3.300000% 03/21/2029
59217GEZ8
361000.00000000
PA
USD
325937.76000000
0.176471823398
Long
DBT
CORP
US
N
2
2029-03-21
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1517 X1
3137FWHG8
234701.45000000
PA
USD
24559.72000000
0.013297319618
Long
DBT
USGA
US
N
2
2035-07-25
Floating
1.43614800
N
N
N
N
N
N
PEACEHEALTH
PLDU35L52IYZUL5SMS69
PEACEHEALTH OBLIGATED GROUP 1.375000% 11/15/2025
70462GAB4
430000.00000000
PA
USD
391828.36000000
0.212146837937
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
1.37500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 3.311000% 04/22/2042
06051GJW0
467000.00000000
PA
USD
349106.20000000
0.189015865095
Long
DBT
CORP
US
N
2
2042-04-22
Fixed
3.31100000
N
N
N
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC25 FINANCIAL COMMODITY FUTURE.
N/A
7.00000000
NC
USD
1687087.50000000
0.913436379255
N/A
DO
US
N
1
RJ O'BRIEN
N/A
Long
Interest Rate Futures
CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Dec 2025
2026-03-20
1683152.20000000
USD
3935.30000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1549
3132DNWJ8
94154.41000000
PA
USD
84231.04000000
0.045605041942
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
BROWN GROUP HOLDINGS, LLC
N/A
BROWN GROUP HOLDINGS, LLC 6/7/2028
11565HAB2
39357.85720000
PA
USD
38865.88000000
0.021043074946
Long
LON
US
N
2
2028-06-07
Floating
7.91865000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841081
31288QFW5
66904.63000000
PA
USD
63363.32000000
0.034306674430
Long
DBT
USGA
US
N
2
2050-02-01
Floating
3.09899880
N
N
N
N
N
N
THE PNC FINANCIAL SERVICES GROUP, INC.
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GROUP INC/THE 5.812000% 06/12/2026
693475BQ7
20000.00000000
PA
USD
19980.76000000
0.010818142549
Long
DBT
CORP
US
N
2
2026-06-12
Fixed
5.81200000
N
N
N
N
N
N
PAYPAL HOLDINGS, INC.
5493005X2GO78EFZ3E94
PAYPAL HOLDINGS INC 1.650000% 06/01/2025
70450YAG8
30000.00000000
PA
USD
28104.75000000
0.015216698055
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (SEPTEMBER)
01F020695
100000.00000000
PA
USD
79621.09000000
0.043109086020
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.000000% 08/15/2052
912810TJ7
1758000.00000000
PA
USD
1400974.92000000
0.758527022666
Long
DBT
UST
US
N
1
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 5.088000% 06/20/2030
06738EBK0
200000.00000000
PA
USD
183242.10000000
0.099212400276
Long
DBT
NUSS
GB
N
2
2030-06-20
Fixed
5.08800000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST
N/A
FREDDIE MAC STACR REMIC TRUST 2020-DNA1 STACR 2020-DNA1 M2
35565HAH8
33302.74000000
PA
USD
33302.65000000
0.018030986558
Long
DBT
USGA
US
N
2
2050-01-25
Floating
7.10205840
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 3.622000% 04/01/2031
6174468P7
140000.00000000
PA
USD
124407.85000000
0.067357891072
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BJ2544
3140H3ZJ8
24053.80000000
PA
USD
21767.52000000
0.011785544409
Long
DBT
USGA
US
N
2
2037-12-01
Fixed
3.00000000
N
N
N
N
N
N
MILEAGE PLUS HOLDINGS, LLC
N/A
MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECT 6.500000% 06/20/2027
599191AA1
32000.00000000
PA
USD
31888.34000000
0.017265239550
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
INTERSTATE POWER AND LIGHT COMPANY
EF9UQIIO4KY2BWOK3P26
INTERSTATE POWER AND LIGHT CO 2.300000% 06/01/2030
461070AS3
295000.00000000
PA
USD
241966.24000000
0.131007292845
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.30000000
N
N
N
N
N
N
TIME WARNER CABLE, LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC 6.550000% 05/01/2037
88732JAJ7
10000.00000000
PA
USD
9501.83000000
0.005144556634
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
6.55000000
N
N
N
N
N
N
EOG RESOURCES, INC.
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC 4.150000% 01/15/2026
26875PAP6
20000.00000000
PA
USD
19580.15000000
0.010601241086
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.15000000
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2020-B17 MORTGAGE TRUST BMARK 2020-B17 A2
08162MAV0
395000.00000000
PA
USD
368135.93000000
0.199319093392
Long
ABS-MBS
US
N
2
2053-03-15
Fixed
2.21080000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD3283
3132DQUG9
458282.97000000
PA
USD
448407.60000000
0.242780421628
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-57 TA
3136BBEM0
50874.31000000
PA
USD
43309.88000000
0.023449180895
Long
DBT
USGA
US
N
2
2050-04-25
Fixed
2.00000000
N
N
N
N
N
N
FLAGSTAR MORTGAGE TRUST
N/A
FLAGSTAR MORTGAGE TRUST 2021-6INV FSMT 2021-6INV A4
33851GAD7
523096.42000000
PA
USD
412837.63000000
0.223521844579
Long
ABS-MBS
US
Y
2
2051-08-25
Floating
2.49999840
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE B.V.
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 5.750000% 02/01/2029
71647NAZ2
50000.00000000
PA
USD
48793.74000000
0.026418296144
Long
DBT
NUSS
BR
N
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
3 MONTH SOFR FUT DEC24 FINANCIAL COMMODITY FUTURE.
N/A
9.00000000
NC
USD
2156175.00000000
1.167413477393
N/A
DO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Interest Rate Futures
CME Chicago Mercantile Exchange Three-Month SOFR Composite Interest Rate Future Dec 2024
2025-03-21
2160750.78000000
USD
-4575.78000000
N
N
N
United States of America
N/A
US ULTRA BOND CBT DEC23 FINANCIAL COMMODITY FUTURE.
N/A
37.00000000
NC
USD
4790343.75000000
2.593626145882
N/A
DIR
US
N
1
RJ O'BRIEN
N/A
Long
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Dec 2023
2023-12-22
4692507.69000000
USD
97836.06000000
N
N
N
THE HERSHEY COMPANY
21X2CX66SU2BR6QTAD08
HERSHEY CO/THE 0.900000% 06/01/2025
427866BF4
10000.00000000
PA
USD
9279.51000000
0.005024186365
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.90000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.375000% 04/15/2029
87264ABV6
20000.00000000
PA
USD
17927.24000000
0.009706309361
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7554
3132DVMB8
453644.64000000
PA
USD
379847.04000000
0.205659816037
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
BRK: UBS
N/A
BRK: UBS PAY: 1.52%
N/A
268000.00000000
NC
USD
89435.45000000
0.048422855142
N/A
DIR
XX
N
2
BRK: UBS
N/A
Y
2047-02-15
0.00000000
USD
-8756.84000000
USD
-268000.00000000
USD
98192.29000000
N
N
N
KKR GROUP FINANCE CO. III LLC
N/A
KKR GROUP FINANCE CO III LLC 144A 5.125000% 06/01/2044
48250AAA1
215000.00000000
PA
USD
185839.19000000
0.100618537472
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
5.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS4533
3140XLBB3
97806.19000000
PA
USD
81282.15000000
0.044008430383
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A
056054AA7
545763.23000000
PA
USD
544382.18000000
0.294743744726
Long
ABS-MBS
US
N
2
2036-10-15
Floating
6.34496040
N
N
N
N
N
N
METROPOLITAN LIFE INSURANCE COMPANY
549300H7EXFMRS487544
METROPOLITAN LIFE INSURANCE CO 144A 7.800000% 11/01/2025
592173AE8
267000.00000000
PA
USD
275445.87000000
0.149134101327
Long
DBT
CORP
US
Y
2
2025-11-01
Fixed
7.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5125
3133KYVS5
168716.79000000
PA
USD
140735.82000000
0.076198310907
Long
DBT
USGA
US
N
2
2041-09-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.625000% 05/15/2053
912810TR9
1409000.00000000
PA
USD
1270741.88000000
0.688015210732
Long
DBT
UST
US
N
2
2053-05-15
Fixed
3.62500000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST
N/A
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT 2023-2 A
361886CW2
468000.00000000
PA
USD
470081.48000000
0.254515266722
Long
ABS-MBS
US
Y
2
2030-06-15
Fixed
5.34000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.520000% 10/27/2028
172967LS8
148000.00000000
PA
USD
136585.27000000
0.073951086999
Long
DBT
CORP
US
N
2
2028-10-27
Fixed
3.52000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 2.887000% 11/01/2051
20030NDS7
30000.00000000
PA
USD
19237.54000000
0.010415742445
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5529
36179UEA6
19772.42000000
PA
USD
19090.72000000
0.010336249989
Long
DBT
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
ATHENAHEALTH GROUP INC.
N/A
ATHENAHEALTH GROUP INC. 2/15/2029
04686RAB9
97007.07150000
PA
USD
95753.74000000
0.051843754141
Long
LON
US
N
2
2029-02-15
Floating
8.82024120
N
N
N
N
N
N
Virginia Electric and Power Company
CQKUMNNZVDJLRYV2PT43
VIRGINIA ELECTRIC AND POWER CO 3.150000% 01/15/2026
927804FU3
124000.00000000
PA
USD
117960.22000000
0.063866963778
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.15000000
N
N
N
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV MTN 3.061000% 07/13/2031
74365PAF5
200000.00000000
PA
USD
151903.51000000
0.082244810758
Long
DBT
NUSS
CN
N
2
2031-07-13
Fixed
3.06100000
N
N
N
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 5.550000% 11/01/2026
682680BH5
10000.00000000
PA
USD
10003.42000000
0.005416131495
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
5.55000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.400000% 04/01/2033
161175CJ1
210000.00000000
PA
USD
184905.41000000
0.100112962851
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
4.40000000
N
N
N
N
N
N
STATE STREET CORPORATION
549300ZFEEJ2IP5VME73
STATE STREET CORP 3.152000% 03/30/2031
857477BN2
80000.00000000
PA
USD
70314.24000000
0.038070097013
Long
DBT
CORP
US
N
2
2031-03-30
Fixed
3.15200000
N
N
N
N
N
N
TEXAS INSTRUMENTS INCORPORATED
WDJNR2L6D8RWOEB8T652
TEXAS INSTRUMENTS INC 1.750000% 05/04/2030
882508BJ2
20000.00000000
PA
USD
16668.17000000
0.009024613633
Long
DBT
CORP
US
N
2
2030-05-04
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2756
3132DQBZ8
97831.52000000
PA
USD
97138.97000000
0.052593756424
Long
DBT
USGA
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
PALMER SQUARE CLO
N/A
PALMER SQUARE CLO 2013-2 LTD PLMRS 2013-2A A1A3
69688AAL5
330000.00000000
PA
USD
328695.18000000
0.177964767742
Long
ABS-CBDO
CORP
KY
Y
2
2031-10-17
Floating
6.56957160
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 7.500000% 05/01/2031
674599DD4
60000.00000000
PA
USD
65010.09000000
0.035198281787
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
7.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8839
3140XCZD3
557937.76000000
PA
USD
450370.31000000
0.243843087741
Long
DBT
USGA
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-118 VZ
3136A92R8
133253.74000000
PA
USD
118584.74000000
0.064205096380
Long
DBT
USGA
US
N
2
2042-11-25
Fixed
3.00000000
N
N
N
N
N
N
CCO HOLDINGS, LLC
N/A
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 144A 4.750000% 02/01/2032
1248EPCQ4
100000.00000000
PA
USD
82750.00000000
0.044803165445
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
PHILLIPS 66 COMPANY
RVJMT2IZVVSKIRJJBH76
PHILLIPS 66 CO 3.605000% 02/15/2025
718547AD4
95000.00000000
PA
USD
92348.20000000
0.049999899494
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.60500000
N
N
N
N
N
N
APTIV PLC
N/A
APTIV PLC / APTIV CORP 3.250000% 03/01/2032
00217GAB9
430000.00000000
PA
USD
364629.62000000
0.197420679047
Long
DBT
NUSS
US
N
2
2032-03-01
Fixed
3.25000000
N
N
N
N
N
N
NEXTGEAR FLOORPLAN MASTER OWNER TRUST
N/A
NEXTGEAR FLOORPLAN MASTER OWNER TRUST NFMOT 2022-1A A2
65341KBT2
489000.00000000
PA
USD
466663.90000000
0.252664893282
Long
ABS-MBS
US
Y
2
2027-03-15
Fixed
2.80000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BW9915
3140N3AR0
465145.77000000
PA
USD
452855.74000000
0.245188769089
Long
DBT
USGA
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
GUARDIAN LIFE GLOBAL FUNDING
635400NHILJ5JEKILC36
GUARDIAN LIFE GLOBAL FUNDING 144A 1.100000% 06/23/2025
40139LAG8
10000.00000000
PA
USD
9199.10000000
0.004980650141
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA6872
3140QET69
332514.20000000
PA
USD
299822.43000000
0.162332252997
Long
DBT
USGA
US
N
2
2035-08-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1112
3140XGGW3
181896.14000000
PA
USD
147366.27000000
0.079788222065
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
UBS AG LONDON BRANCH
N/A
UBS AG/LONDON MTN 4.500000% 06/26/2048
902674XN5
400000.00000000
PA
USD
355835.02000000
0.192659036523
Long
DBT
NUSS
CH
N
2
2048-06-26
Fixed
4.50000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 3.750000% 04/01/2030
126650DJ6
30000.00000000
PA
USD
27290.70000000
0.014775948606
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.625000% 06/15/2045
674599CF0
20000.00000000
PA
USD
15217.80000000
0.008239342732
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.62500000
N
N
N
N
N
N
CVS LEASE BACKED PASS THROUGH SERIES TRUST
N/A
CVS PASS-THROUGH TRUST 6.036000% 12/10/2028
126650BP4
141272.53000000
PA
USD
141866.97000000
0.076810747168
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
6.03600000
N
N
N
N
N
N
LENNAR CORPORATION
529900G61XVRLX5TJX09
LENNAR CORP 5.000000% 06/15/2027
526057CV4
10000.00000000
PA
USD
9847.76000000
0.005331852816
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.150000% 03/22/2030
92343VFE9
30000.00000000
PA
USD
26312.83000000
0.014246502426
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ3136
3140KNPW2
177812.12000000
PA
USD
150700.07000000
0.081593234668
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 890843
31410LWC2
38996.23000000
PA
USD
34189.55000000
0.018511179035
Long
DBT
USGA
US
N
2
2047-09-01
Fixed
3.00000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.500000% 04/15/2031
87264ABW4
80000.00000000
PA
USD
69848.60000000
0.037817986488
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.875000% 08/15/2033
91282CHT1
110000.00000000
PA
USD
108040.63000000
0.058496220189
Long
SN
UST
US
N
2
2033-08-15
Fixed
3.87500000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 4.350000% 06/15/2045
00206RBK7
20000.00000000
PA
USD
15803.47000000
0.008556440858
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.35000000
N
N
N
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 3.150000% 12/14/2025
92826CAD4
70000.00000000
PA
USD
67130.30000000
0.036346222807
Long
DBT
CORP
US
N
2
2025-12-14
Fixed
3.15000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-178 IO
38380RFZ8
1125233.86000000
PA
USD
100226.83000000
0.054265610230
Long
DBT
USGA
US
N
2
2060-10-16
Floating
1.42238160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB1878
3140QMCQ5
85631.90000000
PA
USD
74113.86000000
0.040127317599
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 4.600000% 02/10/2048
91087BAD2
430000.00000000
PA
USD
344834.96000000
0.186703296244
Long
DBT
NUSS
MX
N
2
2048-02-10
Fixed
4.60000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC.
549300FYK4MBXWIVZU26
GFL ENVIRONMENTAL INC 144A 4.250000% 06/01/2025
36168QAJ3
20000.00000000
PA
USD
19344.40000000
0.010473599439
Long
DBT
NUSS
CA
N
2
2025-06-01
Fixed
4.25000000
N
N
N
N
N
N
TIME WARNER CABLE, LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC 7.300000% 07/01/2038
88732JAN8
90000.00000000
PA
USD
91174.38000000
0.049364360501
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8576
3140XCQ68
148764.42000000
PA
USD
130885.47000000
0.070865055792
Long
DBT
USGA
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 4.927000% 05/10/2028
14040HCS2
42000.00000000
PA
USD
40402.56000000
0.021875076496
Long
DBT
CORP
US
N
2
2028-05-10
Fixed
4.92700000
N
N
N
N
N
N
Kraft Heinz Foods Company
5493003STKEZ2S0RNU91
KRAFT HEINZ FOODS CO 4.250000% 03/01/2031
50077LBF2
10000.00000000
PA
USD
9367.06000000
0.005071588385
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SYSTEMS, INCORPORATED
N/A
AMERICAN TRANSMISSION SYSTEMS INC 144A 2.650000% 01/15/2032
030288AC8
30000.00000000
PA
USD
24568.05000000
0.013301829713
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0189
3140QKF78
220031.10000000
PA
USD
190709.82000000
0.103255632840
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
3.00000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C02 1M2
30711XAF1
82657.17000000
PA
USD
83277.10000000
0.045088552134
Long
DBT
USGA
US
N
2
2024-05-25
Floating
8.00205840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA5969
3140QDT38
334105.56000000
PA
USD
279664.32000000
0.151418088195
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G30892
3132J4GA1
61621.80000000
PA
USD
61735.39000000
0.033425267577
Long
DBT
USGA
US
N
2
2030-04-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN AB2892
36178NF95
10311.00000000
PA
USD
9283.86000000
0.005026541577
Long
DBT
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA6135
3133KMY82
87184.28000000
PA
USD
72348.39000000
0.039171442741
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1305
3132DNNW9
129758.01000000
PA
USD
126035.34000000
0.068239059697
Long
DBT
USGA
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WORLDWIDE INC.
549300CRGMZK3K53BF92
ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.600000% 04/15/2048
035240AN0
8000.00000000
PA
USD
7204.86000000
0.003900912804
Long
DBT
CORP
BE
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
ALTERRA MOUNTAIN COMPANY
N/A
ALTERRA MOUNTAIN COMPANY 8/17/2028
46124CAJ6
38307.58020000
PA
USD
38331.71000000
0.020753860361
Long
LON
US
N
2
2028-08-17
Floating
8.93313000
N
N
N
N
N
N
SOFR 1yr MidCurve Dec23P 95.38
N/A
SOFR 1yr MidCurve Dec23P 95.38 SHORT
019R2XR36
-66.00000000
NC
USD
-22275.00000000
-0.01206030828
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Put
Written
N/A
N/A
-165000.00000000
95.37500000
USD
2023-12-18
XXXX
5286.40000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7534
3132DVLP8
74561.43000000
PA
USD
63186.22000000
0.034210787535
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-3 SCRT 2018-3 MA
35563PGG8
157540.85000000
PA
USD
147320.20000000
0.079763278478
Long
ABS-MBS
US
N
2
2057-08-25
Floating
3.34886040
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 4.850000% 03/15/2044
29379VBA0
50000.00000000
PA
USD
44635.85000000
0.024167098155
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
4.85000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.493000% 03/24/2031
46647PBJ4
298000.00000000
PA
USD
282476.33000000
0.152940589092
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
4.49300000
N
N
N
N
N
N
N/A
N/A
Credit Default Swap
CDS126887
166000.00000000
NC
USD
-4687.44000000
-0.00253791117
N/A
DCR
XX
N
2
BRK: BNP PARIBAS
N/A
Y
2028-06-20
558.24000000
USD
0.00000000
USD
166000.00000000
USD
-5245.68000000
N
N
N
CINTAS CORP NO 2
549300QVUQTTKMTE0G41
CINTAS CORP NO 2 3.700000% 04/01/2027
17252MAN0
30000.00000000
PA
USD
28797.01000000
0.015591506989
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.70000000
N
N
N
N
N
N
CSC HOLDINGS, LLC
3HG2WD2W22M120IUNG49
CSC HOLDINGS LLC 144A 4.500000% 11/15/2031
126307BH9
200000.00000000
PA
USD
142213.34000000
0.076998281577
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
SABEY DATA CENTER ISSUER, LLC
N/A
SABEY DATA CENTER ISSUER LLC SDCP 2021-1 A2
78520EAB2
466000.00000000
PA
USD
405094.31000000
0.219329394464
Long
ABS-MBS
US
Y
2
2046-06-20
Fixed
1.88100000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 2.511000% 10/20/2032
61747YEH4
180000.00000000
PA
USD
143334.75000000
0.077605444330
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.51100000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 3.125000% 01/15/2032
86964WAK8
20000.00000000
PA
USD
15801.07000000
0.008555141431
Long
DBT
NUSS
BR
N
2
2032-01-15
Fixed
3.12500000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVIENT STUDENT LOAN TRUST 2016-3 NAVSL 2016-3A A3
63940HAC7
117094.92000000
PA
USD
117943.58000000
0.063857954416
Long
ABS-MBS
US
N
2
2065-06-25
Floating
6.75205920
N
N
N
N
N
N
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C7 JPMDB 2017-C7 XA
46648KAW6
1322085.95000000
PA
USD
33933.98000000
0.018372806285
Long
DBT
USGA
US
N
2
2050-10-15
Floating
0.96877080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM6373
3140JBCK0
124200.95000000
PA
USD
123299.75000000
0.066757934726
Long
DBT
USGA
US
N
2
2047-04-01
Floating
4.56900120
N
N
N
N
N
N
EATON CORPORATION
0NZWDMRCE180888QQE14
EATON CORP 4.150000% 11/02/2042
278062AE4
70000.00000000
PA
USD
60764.99000000
0.032899865864
Long
DBT
CORP
US
N
2
2042-11-02
Fixed
4.15000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.750000% 04/01/2040
20030NDH1
20000.00000000
PA
USD
16449.43000000
0.008906181677
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA5624
3140QDHA5
453758.02000000
PA
USD
410096.37000000
0.222037649712
Long
DBT
USGA
US
N
2
2035-04-01
Fixed
2.50000000
N
N
N
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 4.300000% 12/14/2045
92826CAF9
70000.00000000
PA
USD
63283.38000000
0.034263392677
Long
DBT
CORP
US
N
2
2045-12-14
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5818
36179UPB2
77525.43000000
PA
USD
74836.09000000
0.040518353130
Long
DBT
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
COMPAGNIE DE CHEMIN DE FER CANADIEN PACIFIQUE
54930036474DURYNB481
CANADIAN PACIFIC RAILWAY CO 3.100000% 12/02/2051
13645RBH6
40000.00000000
PA
USD
27153.21000000
0.014701507673
Long
DBT
NUSS
CA
N
2
2051-12-02
Fixed
3.10000000
N
N
N
N
N
N
DUNKIN BRANDS
N/A
DB MASTER FINANCE LLC DNKN 2021-1A A23
233046AS0
469635.00000000
PA
USD
371917.58000000
0.201366584517
Long
ABS-MBS
US
Y
2
2051-11-20
Fixed
2.79100000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.950000% 06/01/2045
46625HLL2
100000.00000000
PA
USD
91913.88000000
0.049764746493
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
4.95000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.150000% 09/15/2029
292480AM2
20000.00000000
PA
USD
18392.02000000
0.009957954259
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
4.15000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 5.625000% 11/18/2050
715638BM3
70000.00000000
PA
USD
69557.51000000
0.037660382217
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1556
3140XGWS4
91278.06000000
PA
USD
82580.47000000
0.044711377159
Long
DBT
USGA
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST
N/A
FORD CREDIT AUTO OWNER TRUST 2021-REV1 FORDR 2021-1 A
345340AA1
254000.00000000
PA
USD
228441.50000000
0.123684620170
Long
ABS-MBS
US
Y
2
2033-10-17
Fixed
1.37000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1092
3140XGGA1
89173.60000000
PA
USD
80086.34000000
0.043360985388
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
US BOND FUTR OPTN Oct23C 121 LONG
N/A
2.00000000
NC
USD
3625.00000000
0.001962676431
N/A
DIR
US
N
1
RJ O'BRIEN
N/A
Call
Purchased
N/A
Call Option 121 Sep 2023 on US Long Bond (CBT) Dec 2023
2000.00000000
121.00000000
USD
2023-09-25
XXXX
684.04000000
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5467
36179UCC4
39164.69000000
PA
USD
37816.61000000
0.020474970808
Long
DBT
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4451
36179S5L7
15447.17000000
PA
USD
14282.08000000
0.007732717741
Long
DBT
USGA
US
N
2
2047-05-20
Fixed
3.50000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
FORD MOTOR CO 4.750000% 01/15/2043
345370CQ1
20000.00000000
PA
USD
14952.08000000
0.008095474489
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.100000% 03/22/2028
92343VGH1
30000.00000000
PA
USD
26216.75000000
0.014194482026
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (SEPTEMBER)
21H052694
300000.00000000
PA
USD
296953.13000000
0.160778733691
Long
DBT
USGA
US
N
2
2053-09-15
Fixed
5.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 5.500000% 02/15/2049
55336VAT7
30000.00000000
PA
USD
26730.52000000
0.014472651480
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1626
3140XGYY9
92316.62000000
PA
USD
76939.00000000
0.041656927446
Long
DBT
USGA
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT COMPANY LLC
UDSQCVRUX5BONN0VY111
FORD MOTOR CREDIT CO LLC 4.000000% 11/13/2030
345397B36
200000.00000000
PA
USD
169229.84000000
0.091625770632
Long
DBT
CORP
US
N
2
2030-11-13
Fixed
4.00000000
N
N
N
N
N
N
LOWE'S COMPANIES, INC.
WAFCR4OKGSC504WU3E95
LOWE'S COS INC 4.500000% 04/15/2030
548661DU8
20000.00000000
PA
USD
19271.41000000
0.010434080611
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS2496
3140XHX28
18830.17000000
PA
USD
17871.06000000
0.009675891937
Long
DBT
USGA
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
US BOND FUTR OPTN Nov23P 113 SHORT
N/A
-9.00000000
NC
USD
-2390.63000000
-0.00129435397
N/A
DIR
US
N
1
ADVANTAGE CAPITAL CORPORATION
N/A
Put
Written
N/A
Put Option 113 Oct 2023 on US Long Bond (CBT) Dec 2023
-9000.00000000
113.00000000
USD
2023-10-30
XXXX
3500.05000000
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
EVERSOURCE ENERGY 3.150000% 01/15/2025
664397AM8
111000.00000000
PA
USD
107115.35000000
0.057995247707
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.15000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.083000% 03/20/2051
06051GJA8
110000.00000000
PA
USD
88398.33000000
0.047861329354
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08300000
N
N
N
N
N
N
DEERFIELD DAKOTA HOLDING LLC
N/A
DEERFIELD DAKOTA HOLDING LLC 4/9/2027
24440EAB3
52664.58990000
PA
USD
50762.87000000
0.027484438224
Long
LON
US
N
2
2027-04-09
Floating
8.99187120
N
N
N
N
N
N
REPUBLIC SERVICES, INC.
NKNQHM6BLECKVOQP7O46
REPUBLIC SERVICES INC 2.500000% 08/15/2024
760759AU4
20000.00000000
PA
USD
19388.42000000
0.010497433099
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 5.050000% 03/15/2042
55903VBD4
10000.00000000
PA
USD
8220.32000000
0.004450711262
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
U.S. DOLLARS
N/A
FX Forward Contract: USD/CAD SETTLE 2023-10-20
N/A
1.00000000
NC
USD
4243.46000000
0.002297527981
N/A
DFE
US
N
2
CITIGROUP GLOBAL MARKETS
N/A
288490.00000000
CAD
217657.01000000
USD
2023-10-20
4243.46000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD1775
3132DN6L2
95038.53000000
PA
USD
90459.62000000
0.048977369437
Long
DBT
USGA
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786843
3622ACP46
100000.00000000
PA
USD
87263.73000000
0.047247025167
Long
DBT
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
BANKAMERICA MANUFACTURED HOUSING CONTRACT TRUST
N/A
BANKAMERICA MANUFACTURED HOUSING CONTRACT TRUST BAMH 1996-1 B1
065910AH4
510000.00000000
PA
USD
15650.06000000
0.008473380391
Long
ABS-MBS
US
N
2
2026-10-10
Fixed
7.87500000
N
N
N
N
N
N
SREIT COMMERCIAL MORTGAGE TRUST
N/A
SREIT TRUST 2021-MFP2 SREIT 2021-MFP2 A
85236WCE4
110000.00000000
PA
USD
108033.12000000
0.058492154065
Long
ABS-MBS
US
Y
2
2036-11-15
Floating
6.24628080
N
N
N
N
N
N
AIA Group Limited
ZP5ILWVSYE4LJGMMVD57
AIA GROUP LTD MTN 3.200000% 03/11/2025
00131LAB1
270000.00000000
PA
USD
260713.32000000
0.141157486523
Long
DBT
NUSS
HK
N
2
2025-03-11
Fixed
3.20000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
FORD MOTOR CO 3.250000% 02/12/2032
345370DA5
30000.00000000
PA
USD
23418.26000000
0.012679301235
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM1972
3140J6FN2
61510.26000000
PA
USD
57130.62000000
0.030932116252
Long
DBT
USGA
US
N
2
2037-10-01
Fixed
3.50000000
N
N
N
N
N
N
WEA FINANCE LLC
3CYEJKBUJZO3UW777J80
WEA FINANCE LLC / WESTFIELD UK & EUROPE FINANCE PL 3.750000% 09/17/2024
92890HAC6
200000.00000000
PA
USD
190650.38000000
0.103223450361
Long
DBT
CORP
FR
N
2
2024-09-17
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD2284
3132DPRD2
93421.50000000
PA
USD
94012.85000000
0.050901187583
Long
DBT
USGA
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-96 VI
38382UG39
260505.42000000
PA
USD
35275.38000000
0.019099077779
Long
DBT
USGA
US
N
2
2051-06-20
Fixed
2.50000000
N
N
N
N
N
N
CENT TRUST
N/A
CENT TRUST 2023-CITY CENT 2023-CITY A
12516WAA9
130000.00000000
PA
USD
130285.23000000
0.070540069060
Long
ABS-MBS
US
Y
2
2028-09-15
Floating
7.86999960
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.950000% 07/01/2024
674599DB8
4000.00000000
PA
USD
4022.72000000
0.002178013168
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
6.95000000
N
N
N
N
N
N
WarnerMedia Holdings, Inc.
549300DXR29GD4N0A520
WARNERMEDIA HOLDINGS INC 3.755000% 03/15/2027
55903VBA0
20000.00000000
PA
USD
18758.35000000
0.010156295571
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-63 LM
38383REY9
100000.00000000
PA
USD
82911.69000000
0.044890708935
Long
DBT
USGA
US
N
2
2050-10-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SB0833
3132CW4S0
489386.88000000
PA
USD
461867.07000000
0.250067755299
Long
DBT
USGA
US
N
2
2034-06-01
Fixed
3.00000000
N
N
N
N
N
N
Compagnie des chemins de fer nationaux du Canada
3SU7BEP7TH9YEQOZCS77
CANADIAN NATIONAL RAILWAY CO 3.650000% 02/03/2048
136375CP5
151000.00000000
PA
USD
118429.13000000
0.064120844772
Long
DBT
NUSS
CA
N
2
2048-02-03
Fixed
3.65000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 5.000000% 06/15/2045
25179MAU7
240000.00000000
PA
USD
205337.29000000
0.111175354392
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
TENNESSEE GAS PIPELINE COMPANY, L.L.C.
N/A
TENNESSEE GAS PIPELINE CO LLC 144A 2.900000% 03/01/2030
880451AZ2
60000.00000000
PA
USD
51361.71000000
0.027808666956
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.90000000
N
N
N
N
N
N
NIKE, INC.
787RXPR0UX0O0XUXPZ81
NIKE INC 2.400000% 03/27/2025
654106AH6
30000.00000000
PA
USD
28701.98000000
0.015540055088
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
2.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2773
31418CCK8
111565.85000000
PA
USD
102436.88000000
0.055462193140
Long
DBT
USGA
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.100000% 02/15/2047
674599CL7
70000.00000000
PA
USD
48174.00000000
0.026082751566
Long
DBT
CORP
US
N
2
2047-02-15
Fixed
4.10000000
N
N
N
N
N
N
CCO HOLDINGS, LLC
N/A
CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP 4.500000% 05/01/2032
1248EPCN1
100000.00000000
PA
USD
81069.49000000
0.043893290308
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.50000000
N
N
N
N
N
N
TRITON WATER HOLDINGS, INC.
N/A
TRITON WATER HOLDINGS, INC. 3/31/2028
89678QAB2
58800.11000000
PA
USD
57730.54000000
0.031256929726
Long
LON
US
N
2
2028-03-31
Floating
8.49187080
N
N
N
N
N
N
BURLINGTON NORTHERN SANTA FE, LLC
N/A
BURLINGTON NORTHERN SANTA FE LLC 2.875000% 06/15/2052
12189LBH3
30000.00000000
PA
USD
19801.43000000
0.010721048270
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5038 PJ
3137FXP77
314807.61000000
PA
USD
221509.18000000
0.119931268147
Long
DBT
USGA
US
N
2
2050-10-25
Fixed
0.75000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.969000% 11/01/2047
20030NCC3
90000.00000000
PA
USD
72158.68000000
0.039068728439
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
3.96900000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 3.900000% 03/12/2024
53944YAH6
536000.00000000
PA
USD
530021.24000000
0.286968329973
Long
DBT
NUSS
GB
N
2
2024-03-12
Fixed
3.90000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 786134
3622ABV33
83662.65000000
PA
USD
72227.89000000
0.039106200670
Long
DBT
USGA
US
N
2
2052-04-20
Fixed
3.00000000
N
N
N
N
N
N
STATE STREET CORPORATION
549300ZFEEJ2IP5VME73
STATE STREET CORP 2.901000% 03/30/2026
857477BM4
95000.00000000
PA
USD
90974.41000000
0.049256091148
Long
DBT
CORP
US
N
2
2026-03-30
Fixed
2.90100000
N
N
N
N
N
N
MILANO ACQUISITION
N/A
MILANO ACQUISITION 10/1/2027
59909TAC8
58122.99440000
PA
USD
57160.48000000
0.030948283291
Long
LON
US
N
2
2027-10-01
Floating
9.34187040
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 3.750000% 01/15/2031
86964WAJ1
90000.00000000
PA
USD
76191.93000000
0.041252442844
Long
DBT
NUSS
BR
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
ANHEUSER-BUSCH COMPANIES, LLC
5493002J2SVENP0PVK27
ANHEUSER-BUSCH COS LLC / ANHEUSER-BUSCH INBEV WORL 4.900000% 02/01/2046
03522AAJ9
180000.00000000
PA
USD
167444.82000000
0.090659310857
Long
DBT
CORP
BE
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
BP CAPITAL MARKETS AMERICA INC.
5493009NTB34VXE1T760
BP CAPITAL MARKETS AMERICA INC 3.633000% 04/06/2030
10373QBL3
20000.00000000
PA
USD
18465.31000000
0.009997635515
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.125000% 07/25/2028
172967KU4
90000.00000000
PA
USD
83911.01000000
0.045431768745
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.12500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6287
36179U6Y3
17032.03000000
PA
USD
16822.69000000
0.009108275085
Long
DBT
USGA
US
N
2
2049-11-20
Fixed
5.00000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 5.375000% 05/01/2047
161175BL7
10000.00000000
PA
USD
7990.74000000
0.004326410226
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BO5384
3140K06W3
214993.52000000
PA
USD
195332.02000000
0.105758221255
Long
DBT
USGA
US
N
2
2049-12-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS3339
3140XJV91
95054.25000000
PA
USD
85023.77000000
0.046034248146
Long
DBT
USGA
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7649
36179WQA9
255690.45000000
PA
USD
217696.98000000
0.117867236397
Long
DBT
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.550000% 12/01/2033
00206RMM1
50000.00000000
PA
USD
38151.31000000
0.020656186753
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB2664
3140QM6A7
179512.73000000
PA
USD
155003.56000000
0.083923264571
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 4.050000% 02/01/2030
958667AC1
100000.00000000
PA
USD
89200.56000000
0.048295679123
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841076
31288QFR6
50058.82000000
PA
USD
46842.94000000
0.025362078438
Long
DBT
USGA
US
N
2
2048-11-01
Floating
3.00800160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1289
3140XGNF2
88350.38000000
PA
USD
77657.00000000
0.042045672737
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7883
36179WXL7
89918.56000000
PA
USD
81644.99000000
0.044204882111
Long
DBT
USGA
US
N
2
2052-02-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7590
36179WNF1
314553.02000000
PA
USD
277630.85000000
0.150317110638
Long
DBT
USGA
US
N
2
2051-09-20
Fixed
3.00000000
N
N
N
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 6.625000% 09/01/2053
682680BN2
90000.00000000
PA
USD
90766.50000000
0.049143522856
Long
DBT
CORP
US
N
2
2053-09-01
Fixed
6.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG C91987
3128P8F48
19834.48000000
PA
USD
17923.79000000
0.009704441435
Long
DBT
USGA
US
N
2
2038-04-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 02/15/2050
912810SL3
20000.00000000
PA
USD
12807.03000000
0.006934084398
Long
DBT
UST
US
N
1
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2022-NQM7 TRUST OBX 2022-NQM7 A1
67117DAA8
160098.30000000
PA
USD
156175.09000000
0.084557563694
Long
ABS-MBS
US
Y
2
2062-08-25
Fixed
5.11000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 5.125000% 07/01/2049
161175BS2
10000.00000000
PA
USD
7694.73000000
0.004166142129
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7900
3140XBX62
81105.58000000
PA
USD
67986.51000000
0.036809798859
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
BRK - MORGAN STANLEY
N/A
BRK - MORGAN STANLEY PAY - 3.4% FIXED
N/A
1490000.00000000
NC
USD
35879.51000000
0.019426170666
N/A
DIR
XX
N
2
BRK - MORGAN STANLEY
N/A
Y
2034-03-10
0.00000000
USD
-24213.81000000
USD
-1490000.00000000
USD
60093.32000000
N
N
N
CHEVRON CORPORATION
N/A
CHEVRON CORP 1.554000% 05/11/2025
166764BW9
50000.00000000
PA
USD
47033.33000000
0.025465160911
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.55400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS9760
3138WKZ24
16965.44000000
PA
USD
16418.41000000
0.008889386581
Long
DBT
USGA
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
SETANTA AIRCRAFT LEASING DAC
N/A
SETANTA AIRCRAFT LEASING DAC 11/5/2028
G8057JAB2
80000.00000000
PA
USD
79924.80000000
0.043273523112
Long
LON
US
N
2
2028-11-05
Floating
7.53786000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.023000% 12/05/2024
46647PAY2
200000.00000000
PA
USD
198957.09000000
0.107720935586
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02300000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA MTN 5.017000% 06/26/2024
46115HAT4
200000.00000000
PA
USD
195554.60000000
0.105878732295
Long
DBT
NUSS
IT
N
2
2024-06-26
Fixed
5.01700000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 5.750000% 04/01/2048
161175BN3
90000.00000000
PA
USD
75823.52000000
0.041052975362
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4632
31418EEE6
92457.76000000
PA
USD
81289.54000000
0.044012431535
Long
DBT
USGA
US
N
2
2042-06-01
Fixed
3.00000000
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2018-B1 MORTGAGE TRUST BMARK 2018-B1 A5
08162PAX9
190000.00000000
PA
USD
173592.04000000
0.093987587771
Long
ABS-MBS
US
N
2
2051-01-15
Fixed
3.66600000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 5.574000% 07/25/2029
95000U3E1
40000.00000000
PA
USD
39834.34000000
0.021567426289
Long
DBT
CORP
US
N
2
2029-07-25
Fixed
5.57400000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5712
36179UKZ4
14955.34000000
PA
USD
14729.58000000
0.007975006763
Long
DBT
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.000000% 03/22/2050
92343VFD1
30000.00000000
PA
USD
22979.91000000
0.012441966279
Long
DBT
CORP
US
N
2
2050-03-22
Fixed
4.00000000
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 4.588000% 05/04/2037
06417XAG6
40000.00000000
PA
USD
34533.05000000
0.018697159546
Long
DBT
NUSS
CA
N
2
2037-05-04
Fixed
4.58800000
N
N
N
Y
Y
THE BANK OF NOVA SCOTIA
BNS 4.588 05/04/2037
CAD
XXXX
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 1.625000% 05/01/2030
713448EZ7
20000.00000000
PA
USD
16453.97000000
0.008908639760
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
1.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA4175
3133KKT82
65877.25000000
PA
USD
55262.38000000
0.029920598840
Long
DBT
USGA
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 7.125000% MATURITY: PERPETUAL
29273VAM2
50000.00000000
PA
USD
44244.00000000
0.023954939600
Long
DBT
CORP
US
N
2
2172-05-15
Fixed
7.12500000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS LP
6OQWTZ1SPC04IFT4T704
TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PART 5.500000% 03/01/2030
87612BBQ4
20000.00000000
PA
USD
19172.30000000
0.010380419684
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.50000000
N
N
N
N
N
N
SkyMiles IP Ltd.
2549008L7P4I8VB90936
DELTA AIR LINES INC / SKYMILES IP LTD 144A 4.500000% 10/20/2025
830867AA5
22494.00000000
PA
USD
21985.44000000
0.011903532395
Long
DBT
NUSS
US
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
PHOENIX GUARANTOR INC.
N/A
PHOENIX GUARANTOR INC. 3/5/2026
71913BAE2
57610.51000000
PA
USD
57193.41000000
0.030966112515
Long
LON
US
N
2
2026-03-05
Floating
8.68313160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0349
3140XFL74
90415.62000000
PA
USD
72464.00000000
0.039234037230
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA2894
36179RGB9
239733.00000000
PA
USD
234669.31000000
0.127056530766
Long
DBT
USGA
US
N
2
2045-06-20
Fixed
4.50000000
N
N
N
N
N
N
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
R6ZXK5P01NP6HXSY1S07
MASSACHUSETTS MUTUAL LIFE INSURANCE CO 144A 3.375000% 04/15/2050
575767AQ1
144000.00000000
PA
USD
99560.66000000
0.053904927152
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6134
3140X9Y82
49086.89000000
PA
USD
44547.37000000
0.024119192607
Long
DBT
USGA
US
N
2
2040-03-01
Fixed
3.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.750000% 02/15/2033
29273VAQ3
270000.00000000
PA
USD
268442.94000000
0.145342519075
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
5.75000000
N
N
N
N
N
N
UBS COMMERCIAL MORTGAGE TRUST
N/A
UBS COMMERCIAL MORTGAGE TRUST 2018-C13 UBSCM 2018-C13 ASB
90353KAW9
532000.00000000
PA
USD
507047.23000000
0.274529558118
Long
ABS-MBS
US
N
2
2051-10-15
Fixed
4.24100000
N
N
N
N
N
N
COSTCO WHOLESALE CORPORATION
29DX7H14B9S6O3FD6V18
COSTCO WHOLESALE CORP 1.600000% 04/20/2030
22160KAP0
40000.00000000
PA
USD
32999.16000000
0.017866668580
Long
DBT
CORP
US
N
2
2030-04-20
Fixed
1.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2014-6 Z
3136AH6K1
127040.28000000
PA
USD
106085.11000000
0.057437446944
Long
DBT
USGA
US
N
2
2044-02-25
Fixed
2.50000000
N
N
N
N
N
N
PG&E WILDFIRE RECOVERY FUNDING LLC
N/A
PG&E WILDFIRE RECOVERY FUNDING LLC 4.722000% 06/01/2037
693342AG2
456000.00000000
PA
USD
440877.30000000
0.238703306501
Long
DBT
CORP
US
N
2
2037-06-01
Fixed
4.72200000
N
N
N
N
N
N
EVERBANK MORTGAGE LOAN TRUST
N/A
EVERBANK MORTGAGE LOAN TRUST 18-1 EVER 2018-1 A22
29978CAX8
36111.30000000
PA
USD
31541.28000000
0.017077331555
Long
ABS-MBS
US
N
2
2048-02-25
Floating
3.49999920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6184
3140X92S3
73896.32000000
PA
USD
59916.60000000
0.032440523779
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
CONSOLIDATED EDISON COMPANY OF NEW YORK, INC.
VZFZPMWDHTQCFKYOBP05
CONSOLIDATED EDISON CO OF NEW YORK INC 3.950000% 04/01/2050
209111FY4
20000.00000000
PA
USD
15831.98000000
0.008571876970
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.95000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5078
36179TUB9
94716.07000000
PA
USD
89512.03000000
0.048464317697
Long
DBT
USGA
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.125000% 01/15/2025
91282CDS7
1310000.00000000
PA
USD
1240457.42000000
0.671618356692
Long
SN
UST
US
N
1
2025-01-15
Fixed
1.12500000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE B.V.
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 6.850000% 06/05/2115
71647NAN9
50000.00000000
PA
USD
43866.44000000
0.023750518052
Long
DBT
NUSS
BR
N
2
2115-06-05
Fixed
6.85000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 3.043000% 03/01/2026
30231GAT9
40000.00000000
PA
USD
38217.02000000
0.020691763986
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.04300000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 3.125000% 07/27/2026
61761J3R8
450000.00000000
PA
USD
421104.56000000
0.227997791800
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AT5860
3138WTQN9
165374.75000000
PA
USD
152296.36000000
0.082457510741
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.000000% 10/29/2028
00774MAW5
267000.00000000
PA
USD
231372.10000000
0.125271329012
Long
DBT
NUSS
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 4.926000% 05/15/2037
11135FBV2
20000.00000000
PA
USD
18016.57000000
0.009754675123
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
4.92600000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.625000% 02/15/2029
87264ABS3
30000.00000000
PA
USD
25977.65000000
0.014065026596
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA5731
3133KMLL7
85656.14000000
PA
USD
68428.10000000
0.037048888041
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.375000% 08/15/2050
912810SP4
790000.00000000
PA
USD
427001.17000000
0.231190381449
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.875000% 02/15/2051
912810SU3
3250000.00000000
PA
USD
2004970.70000000
1.085547238493
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 1.125% 01/15/2033
91282CGK1
960000.00000000
PA
USD
916781.81000000
0.496371324601
Long
DBT
USGA
US
N
2
2033-01-15
Fixed
1.12500000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 4.327000% 03/19/2050
30231GBG6
30000.00000000
PA
USD
25996.05000000
0.014074988871
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-139 AL
38383M3M8
100000.00000000
PA
USD
89964.34000000
0.048709210987
Long
DBT
USGA
US
N
2
2051-07-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-123 NI
38382HM98
76286.66000000
PA
USD
10548.25000000
0.005711117702
Long
DBT
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
HARBOR FREIGHT TOOLS USA, INC.
N/A
HARBOR FREIGHT TOOLS USA, INC. 10/19/2027
41151PAP0
49074.42000000
PA
USD
48802.55000000
0.026423066124
Long
LON
US
N
2
2027-10-19
Floating
8.18313120
N
N
N
N
N
N
MASTERCARD INCORPORATED.
AR5L2ODV9HN37376R084
MASTERCARD INC 3.850000% 03/26/2050
57636QAQ7
10000.00000000
PA
USD
8306.00000000
0.004497100811
Long
DBT
CORP
US
N
2
2050-03-26
Fixed
3.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q36815
3132QTSD9
75931.05000000
PA
USD
71651.69000000
0.038794229867
Long
DBT
USGA
US
N
2
2045-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5652
36179UH54
25976.40000000
PA
USD
25078.67000000
0.013578293669
Long
DBT
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.875000% 06/01/2025
55336VAJ9
140000.00000000
PA
USD
137727.89000000
0.074569733439
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
THE COCA-COLA COMPANY
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE 2.600000% 06/01/2050
191216CX6
20000.00000000
PA
USD
13306.15000000
0.007204321932
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.60000000
N
N
N
N
N
N
DENVER COLO CITY & CNTY ARPT REV
N/A
DENVER CITY & CNTY CO ARPT REV CITY & COUNTY OF DENVER CO AIRPORT SYSTEM REVENUE
249182PP5
190000.00000000
PA
USD
167341.63000000
0.090603440903
Long
DBT
MUN
US
N
2
2027-11-15
Fixed
1.72200000
N
N
N
N
N
N
DISH DBS Corporation
N/A
DISH DBS CORP 144A 5.250000% 12/01/2026
25470XBE4
40000.00000000
PA
USD
33717.82000000
0.018255771213
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 4.950000% 06/08/2025
694308KE6
40000.00000000
PA
USD
39123.75000000
0.021182692980
Long
DBT
CORP
US
N
2
2025-06-08
Fixed
4.95000000
N
N
N
N
N
N
LINCOLN NATIONAL CORPORATION
EFQMQROEDSNBRIP7LE47
LINCOLN NATIONAL CORP 3.400000% 01/15/2031
534187BK4
209000.00000000
PA
USD
176420.56000000
0.095519027645
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.40000000
N
N
N
N
N
N
NAVIENT PRIVATE EDUCATION LOAN TRUST
N/A
NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-D NAVSL 2020-DA A
63941HAA0
136822.47000000
PA
USD
123234.40000000
0.066722552408
Long
ABS-MBS
US
N
2
2069-05-15
Fixed
1.69000000
N
N
N
N
N
N
LOWE'S COMPANIES, INC.
WAFCR4OKGSC504WU3E95
LOWE'S COS INC 5.000000% 04/15/2040
548661DV6
53000.00000000
PA
USD
49080.04000000
0.026573306975
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
5.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2023-25C 1
83162CS61
255000.00000000
PA
USD
253299.28000000
0.137143317813
Long
ABS-MBS
US
N
2
2048-03-01
Fixed
4.93000000
N
N
N
N
N
N
OAK STREET INVESTMENT GRADE NET LEASE FUND LLC.
N/A
OAK STREET INVESTMENT GRADE NET LEASE FUND SERIES OAKIG 2021-1A A2
67190AAB2
441594.88000000
PA
USD
363163.04000000
0.196626631598
Long
ABS-MBS
US
Y
2
2051-01-20
Fixed
1.93000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-3 NRZT 2017-3A A1
64828MAA5
108173.84000000
PA
USD
101514.84000000
0.054962974884
Long
ABS-MBS
US
N
2
2057-04-25
Floating
3.99999960
N
N
N
N
N
N
LENNAR CORPORATION
529900G61XVRLX5TJX09
LENNAR CORP 4.750000% 11/29/2027
526057CD4
20000.00000000
PA
USD
19392.46000000
0.010499620468
Long
DBT
CORP
US
N
2
2027-11-29
Fixed
4.75000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) DEC23 FINANCIAL COMMODITY FUTURE.
N/A
-135.00000000
NC
USD
-14434453.13000000
-7.81521681810
N/A
DIR
US
N
1
RJ O'BRIEN
N/A
Short
U.S. Treasury Futures
US 5-Year Note (consolidated) Dec 2023
2024-01-01
-14336407.14000000
USD
-98045.99000000
N
N
N
PEACHTREE CORNERS FUNDING TRUST
N/A
PEACHTREE CORNERS FUNDING TRUST 144A 3.976000% 02/15/2025
70466WAA7
225000.00000000
PA
USD
217332.82000000
0.117670069984
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.97600000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 4.500000% 03/01/2028
958254AH7
10000.00000000
PA
USD
9410.24000000
0.005094967245
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
BRK: UBS
N/A
BRK: UBS PAY: 2.6
N/A
1170000.00000000
NC
USD
195765.78000000
0.105993071056
N/A
DIR
XX
N
2
BRK: UBS
N/A
Y
2048-02-15
109302.91000000
USD
0.00000000
USD
-1170000.00000000
USD
86462.87000000
N
N
N
ANHEUSER-BUSCH INBEV WORLDWIDE INC.
549300CRGMZK3K53BF92
ANHEUSER-BUSCH INBEV WORLDWIDE INC 4.000000% 04/13/2028
035240AL4
20000.00000000
PA
USD
19259.63000000
0.010427702589
Long
DBT
CORP
BE
N
2
2028-04-13
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6711
36179VN48
95070.84000000
PA
USD
86875.11000000
0.047036615425
Long
DBT
USGA
US
N
2
2050-06-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8786
3140XCXQ6
85891.11000000
PA
USD
71961.24000000
0.038961828898
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
ONEOK, INC.
2T3D6M0JSY48PSZI1Q41
ONEOK INC 6.050000% 09/01/2033
682680BL6
60000.00000000
PA
USD
60462.76000000
0.032736230085
Long
DBT
CORP
US
N
2
2033-09-01
Fixed
6.05000000
N
N
N
N
N
N
COLUMBIA PIPELINES OPERATING COMPANY LLC
N/A
COLUMBIA PIPELINES OPERATING CO LLC 144A 6.036000% 11/15/2033
19828TAB2
100000.00000000
PA
USD
101025.03000000
0.054697778044
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
6.03600000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 4.950000% 12/05/2044
023135AQ9
30000.00000000
PA
USD
29663.06000000
0.016060410692
Long
DBT
CORP
US
N
2
2044-12-05
Fixed
4.95000000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 4.050000% 05/03/2029
025816CW7
70000.00000000
PA
USD
66498.38000000
0.036004083637
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
4.05000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 2.887000% 11/01/2051
20030NDS7
224000.00000000
PA
USD
143640.32000000
0.077770888478
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.800000% 03/01/2050
161175BT0
30000.00000000
PA
USD
22226.62000000
0.012034113995
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 2.500000% 04/15/2027
437076CA8
30000.00000000
PA
USD
27725.94000000
0.015011599721
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BW6304
3140MYAE2
402847.80000000
PA
USD
395792.30000000
0.214293025968
Long
DBT
USGA
US
N
2
2052-08-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q45819
3132WKPD4
42566.54000000
PA
USD
37346.41000000
0.020220391371
Long
DBT
USGA
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
CREDIT AGRICOLE SA 144A 8.125000% MATURITY: PERPETUAL
225313AJ4
260000.00000000
PA
USD
259060.88000000
0.140262809269
Long
DBT
NUSS
FR
N
2
2172-03-23
Fixed
8.12500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 7.875000% 09/15/2031
674599DE2
10000.00000000
PA
USD
11075.62000000
0.005996650577
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
7.87500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 3.622000% 04/01/2031
6174468P7
244000.00000000
PA
USD
216825.11000000
0.117395181583
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62200000
N
N
N
N
N
N
THE CIGNA GROUP
549300VIWYMSIGT1U456
CIGNA GROUP/THE 4.375000% 10/15/2028
125523AH3
210000.00000000
PA
USD
202238.48000000
0.109497571950
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.375000% 02/15/2042
912810TF5
526000.00000000
PA
USD
391315.23000000
0.211869014997
Long
DBT
UST
US
N
2
2042-02-15
Fixed
2.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7552
3132DVL94
89143.04000000
PA
USD
74404.22000000
0.040284526628
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 3.500000% 01/31/2028
91282CGH8
224000.00000000
PA
USD
216606.25000000
0.117276684655
Long
SN
UST
US
N
2
2028-01-31
Fixed
3.50000000
N
N
N
N
N
N
CHENIERE ENERGY, INC.
MIHC87W9WTYSYZWV1J40
CHENIERE ENERGY INC 4.625000% 10/15/2028
16411RAK5
20000.00000000
PA
USD
18826.15000000
0.010193004388
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.62500000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FINANCIAL GROUP INC 3.837000% 04/17/2026
606822CF9
200000.00000000
PA
USD
193581.66000000
0.104810527373
Long
DBT
NUSS
JP
N
2
2026-04-17
Fixed
3.83700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA3205
3133KJR20
344918.79000000
PA
USD
276690.87000000
0.149808179164
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
US BOND FUTR OPTN Oct23C 124 SHORT
N/A
-4.00000000
NC
USD
-2250.00000000
-0.00121821295
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Call
Written
N/A
Call Option 124 Sep 2023 on US Long Bond (CBT) Dec 2023
-4000.00000000
124.00000000
USD
2023-09-25
XXXX
1618.08000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA2472
3140Q9XA6
29255.70000000
PA
USD
27427.62000000
0.014850080926
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 5.450000% 06/15/2027
694308KF3
120000.00000000
PA
USD
117323.36000000
0.063522149954
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.45000000
N
N
N
N
N
N
CSMC TRUST
N/A
CSMC 2017-TIME CSMC 2017-TIME A
12652XAA1
100000.00000000
PA
USD
84614.59000000
0.045812706644
Long
ABS-MBS
US
N
2
2039-11-13
Fixed
3.64630000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA2482
3140Q9XL2
21408.47000000
PA
USD
20701.61000000
0.011208430910
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4116
3140X7SE0
80267.90000000
PA
USD
77433.67000000
0.041924755626
Long
DBT
USGA
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
AUSTRALIAN DOLLAR
N/A
FX Forward Contract: AUD/USD SETTLE 2023-10-20
N/A
1.00000000
NC
-15120.16000000
-0.00818647770
N/A
DFE
AU
N
2
CITIGROUP GLOBAL MARKETS
N/A
538562.48000000
USD
806921.00000000
AUD
2023-10-20
-15120.16000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7785
3140XBUK4
138381.87000000
PA
USD
130087.12000000
0.070432806763
Long
DBT
USGA
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (SEPTEMBER)
01F052698
700000.00000000
PA
USD
691140.63000000
0.374202876035
Long
DBT
USGA
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
THE CIGNA GROUP
549300VIWYMSIGT1U456
CIGNA GROUP/THE 4.125000% 11/15/2025
125523AG5
327000.00000000
PA
USD
318632.10000000
0.172516334652
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 1.950000% 02/15/2028
11135FBE0
139000.00000000
PA
USD
120542.57000000
0.065265120325
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
1.95000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.875000% 11/15/2051
912810TB4
572000.00000000
PA
USD
351467.18000000
0.190294165730
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
2023-08-31
SEI CATHOLIC VALUES TRUST
Glenn Kurdziel
Glenn Kurdziel
CFO