0001752724-21-039989.txt : 20210225
0001752724-21-039989.hdr.sgml : 20210225
20210225113848
ACCESSION NUMBER: 0001752724-21-039989
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201231
FILED AS OF DATE: 20210225
PERIOD START: 20201231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Master Investment Portfolio II
CENTRAL INDEX KEY: 0001738077
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23343
FILM NUMBER: 21678055
BUSINESS ADDRESS:
STREET 1: 100 BELLEVUE PARKWAY
CITY: WILMINGTON
STATE: DE
ZIP: 19809
BUSINESS PHONE: 800-441-7762
MAIL ADDRESS:
STREET 1: 100 BELLEVUE PARKWAY
CITY: WILMINGTON
STATE: DE
ZIP: 19809
0001738077
S000062381
CoreAlpha Bond Master Portfolio
C000202350
CoreAlpha Bond Master Portfolio
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001738077
XXXXXXXX
S000062381
C000202350
Master Investment Portfolio II
811-23343
0001738077
549300RCV7V0VQXTCW11
100 Bellevue Parkway
Wilmington
19809
800-441-7762
CoreAlpha Bond Master Portfolio
S000062381
0I7UWC3FB187VDB5KB30
2020-12-31
2020-12-31
N
2169900332.02
341416655.10
1828483676.92
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
26934149.09000000
0.00000000
0.00000000
22019623.48000000
USD
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAC5
1000000.00000000
PA
USD
1126893.66000000
0.061629954602
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M6UT3
94243.45000000
PA
USD
110791.11000000
0.006059179603
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
Baidu Inc
254900AL64IANZYI1E02
Baidu Inc
056752AL2
3035000.00000000
PA
USD
3493095.31000000
0.191037817514
Long
DBT
CORP
KY
N
2
2028-03-29
Fixed
4.38000000
N
N
N
N
N
AMERICAN WATER CAPITAL C
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp
03040WAW5
270000.00000000
PA
USD
298048.05000000
0.016300284971
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.80000000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XXHD4
283130.73000000
PA
USD
300407.41000000
0.016429318663
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132KESL0
762281.38000000
PA
USD
818286.03000000
0.044752164885
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
3.00000000
N
N
N
N
N
N
Conseco Financial Corp
11XPYHB76MPM4Y4P2897
Conseco Finance Corp
393505QZ8
36328.24000000
PA
USD
38695.81000000
0.002116278667
Long
ABS-O
CORP
US
N
2
2027-08-15
Variable
7.63000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2017-3
80284YAG9
8000000.00000000
PA
USD
8139468.80000000
0.445148562316
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
3.20000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2017-6 LLC
83405QAB5
156574.00000000
PA
USD
157299.05000000
0.008602704633
Long
ABS-O
CORP
US
N
2
2026-11-25
Fixed
2.82000000
N
N
N
N
N
N
EVERGY INC
549300PGTHDQY6PSUI61
Evergy Inc
30034WAB2
50000.00000000
PA
USD
54806.63000000
0.002997381420
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.90000000
N
N
N
N
N
N
FIRST REPUBLIC BANK
YWC0TIKBQM2JV8L4IV08
First Republic Bank/CA
33616CHQ6
2500000.00000000
PA
USD
2572566.33000000
0.140693972960
Long
DBT
CORP
US
N
2
2024-02-12
Fixed
1.91000000
N
N
N
N
N
N
ENTERGY CORP
4XM3TW50JULSLG8BNC79
Entergy Corp
29364GAM5
285000.00000000
PA
USD
284903.27000000
0.015581395316
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
0.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VQT0
6217325.01000000
PA
USD
6524450.86000000
0.356823030052
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
3.00000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCT6
200000.00000000
PA
USD
240754.88000000
0.013166914369
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EVJC2
1026137.41000000
PA
USD
1099652.90000000
0.060140154045
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31335AYT9
87216.60000000
PA
USD
93891.48000000
0.005134936733
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: PLN 0.818000 17-MAR-2026
000000000
6990000.00000000
OU
Notional Amount
15398.89000000
0.000842167211
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
129.70000000
PLN
0.00000000
PLN
6990000.00000000
PLN
15363.38000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJJJ0
9363.57000000
PA
USD
11026.96000000
0.000603065815
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
6.00000000
N
N
N
N
N
N
Ford Credit Auto Owner Trust/Ford Credit
N/A
Ford Credit Auto Owner Trust 2018-REV1
34532RAA4
2870000.00000000
PA
USD
3153647.27000000
0.172473361934
Long
ABS-O
CORP
US
N
2
2031-07-15
Fixed
3.19000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BN44
1192127.40000000
PA
USD
1265356.97000000
0.069202530269
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.280500 17-MAR-2026
000000000
1090000.00000000
OU
Notional Amount
-5438.55000000
-0.00029743497
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-22.24000000
GBP
1090000.00000000
GBP
-5408.94000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128Q0DK0
25098.34000000
PA
USD
26667.92000000
0.001458471865
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
3.00000000
N
N
N
N
N
N
Avant Loans Funding Trust
N/A
Avant Loans Funding Trust 2020-REV1
05355MAA9
8630000.00000000
PA
USD
8664951.50000000
0.473887276620
Long
ABS-O
CORP
US
N
2
2029-05-15
Fixed
2.17000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2020-1
91679UAA0
4695068.71000000
PA
USD
4731875.23000000
0.258786845610
Long
ABS-O
CORP
US
N
2
2030-04-22
Fixed
2.32000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBK8
215000.00000000
PA
USD
254179.27000000
0.013901095930
Long
DBT
CORP
US
N
2
2050-05-06
Fixed
4.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UXV9
293661.71000000
PA
USD
316635.48000000
0.017316833833
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
4.50000000
N
N
N
N
N
N
OMEGA HLTHCARE INVESTORS
549300OJ7ENK42CZ8E73
Omega Healthcare Investors Inc
681936BF6
2010000.00000000
PA
USD
2260782.03000000
0.123642450765
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LAR3
114249.95000000
PA
USD
121424.01000000
0.006640694228
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31288JBX3
128001.99000000
PA
USD
144847.86000000
0.007921747501
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7NZ6
250583.61000000
PA
USD
265540.38000000
0.014522436451
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
549300QHIJYOHPACPG31
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAA8
311250.00000000
PA
USD
314175.75000000
0.017182310893
Long
DBT
CORP
US
N
2
2021-09-20
Fixed
3.36000000
N
N
N
N
N
N
FEDERAL REALTY INVESTMEN
549300LI6XZ51GOCJ427
Federal Realty Investment Trust
313747BA4
210000.00000000
PA
USD
232523.29000000
0.012716727687
Long
DBT
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BU7
2420000.00000000
PA
USD
2528561.22000000
0.138287328014
Long
DBT
CORP
JP
N
2
2030-07-17
Fixed
2.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032613
869750.00000000
PA
USD
921799.10000000
0.050413307574
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBZF8
145000.04000000
PA
USD
152278.15000000
0.008328110987
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MAQJ0
17951.29000000
PA
USD
19372.86000000
0.001059504125
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: HKD 0.580000 17-MAR-2026
000000000
14910000.00000000
OU
Notional Amount
6682.47000000
0.000365465116
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
304.16000000
HKD
0.00000000
HKD
14910000.00000000
HKD
6643.23000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31296XUG8
2570.04000000
PA
USD
2883.09000000
0.000157676551
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: SGD 0.552500 17-MAR-2026
000000000
943200.00000000
OU
Notional Amount
-2729.05000000
-0.00014925208
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
0.00000000
SGD
-17.50000000
SGD
943200.00000000
SGD
-2716.07000000
N
N
N
DIAGEO CAPITAL PLC
213800L23DJLALFC4O95
Diageo Capital PLC
25243YBA6
4280000.00000000
PA
USD
4517363.71000000
0.247055183867
Long
DBT
CORP
GB
N
2
2024-10-24
Fixed
2.13000000
N
N
N
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
85771PAV4
2480000.00000000
PA
USD
2529944.03000000
0.138362954065
Long
DBT
CORP
NO
N
2
2021-11-10
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDG1
3823.17000000
PA
USD
4592.48000000
0.000251163303
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
UNIVERSITY OF CHICAGO
54930099Y7GU6182V326
University of Chicago/The
91412NBD1
148000.00000000
PA
USD
153983.38000000
0.008421370228
Long
DBT
CORP
US
N
2
2045-04-01
Fixed
2.76000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAN4
360000.00000000
PA
USD
380938.61000000
0.020833580020
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.24000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: SGD 0.591000 17-MAR-2026
000000000
3985000.00000000
OU
Notional Amount
-17332.56000000
-0.00094791986
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
0.00000000
SGD
-73.22000000
SGD
3985000.00000000
SGD
-17279.11000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M7T48
91815.87000000
PA
USD
107912.71000000
0.005901759548
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7C2
1750000.00000000
PA
USD
1861663.09000000
0.101814586233
Long
DBT
CORP
CA
N
2
2024-11-01
Fixed
2.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.446000 17-MAR-2026
000000000
2870000.00000000
OU
Notional Amount
-1818.02000000
-0.00009942774
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-58.55000000
EUR
2870000.00000000
EUR
-1746.29000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BQS8
126012.92000000
PA
USD
140479.52000000
0.007682842443
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335CC36
88818.64000000
PA
USD
96297.35000000
0.005266514063
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XQE0
3660.01000000
PA
USD
3674.20000000
0.000200942455
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Floating
1.29000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 0.122000 17-MAR-2026
000000000
29280000.00000000
OU
Notional Amount
5277.31000000
0.000288616741
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
SEK
-597.32000000
SEK
29280000.00000000
SEK
5346.50000000
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust 2014-A
17322GAA7
60192.46000000
PA
USD
63637.46000000
0.003480340612
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
4.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEA8
2600000.00000000
PA
USD
3280706.16000000
0.179422228451
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo Inc
74736KAJ0
250000.00000000
PA
USD
258125.00000000
0.014116888395
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.38000000
N
N
N
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC Inc
747262AZ6
1700000.00000000
PA
USD
1761455.00000000
0.096334193311
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
4.38000000
N
N
N
N
N
N
ATHENE HOLDING LTD
549300H316CT32FQXI76
Athene Holding Ltd
04686JAC5
1727000.00000000
PA
USD
1825108.68000000
0.099815420998
Long
DBT
CORP
BM
N
2
2031-01-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WEWJ7
51636.92000000
PA
USD
54344.30000000
0.002972096534
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.00000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAY6
190000.00000000
PA
USD
215889.35000000
0.011807015437
Long
DBT
US
N
2
2049-10-15
Fixed
3.70000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AP4
140000.00000000
PA
USD
151900.00000000
0.008307429916
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
8.38000000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L9V69
705533.61000000
PA
USD
746990.57000000
0.040853007299
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BF2
400000.00000000
PA
USD
457502.26000000
0.025020855574
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.95000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BP3
195000.00000000
PA
USD
204582.96000000
0.011188667560
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.85000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M7CK9
21554.47000000
PA
USD
23539.78000000
0.001287393499
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.50000000
N
N
N
N
N
N
Banc of America Commercial Mortgage Trust
N/A
Banc of America Commercial Mortgage Trust 2015-UBS7
06054ABC2
360000.00000000
PA
USD
368681.58000000
0.020163241523
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Variable
4.36000000
N
N
N
N
N
N
Marlette Funding Trust
N/A
Marlette Funding Trust 2019-4
57110AAA2
2381651.28000000
PA
USD
2400264.60000000
0.131270769889
Long
ABS-O
CORP
US
N
2
2029-12-17
Fixed
2.39000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300L45M7638EL0H21
GS Mortgage Securities Trust 2015-GC30
36250GAU9
300000.00000000
PA
USD
319780.80000000
0.017488851775
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
4.03000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418VWV0
5143.99000000
PA
USD
5943.65000000
0.000325058958
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 0.479500 17-MAR-2026
000000000
2980000.00000000
OU
Notional Amount
USD
-3261.32000000
-0.00017836199
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
USD
-60.79000000
USD
2980000.00000000
USD
-3200.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGJ40
325000.00000000
PA
USD
342155.17000000
0.018712508857
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ3K4
662810.28000000
PA
USD
709432.90000000
0.038798973649
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
CC HOLDINGS GS V LLC/CRO
54930012H97VSM0I2R19
CC Holdings GS V LLC / Crown Castle GS III Corp
14987BAE3
1270000.00000000
PA
USD
1363069.08000000
0.074546417734
Long
DBT
US
N
2
2023-04-15
Fixed
3.85000000
N
N
N
N
N
N
Brookfield Finance Inc
C6J3FGIWG6MBDGTE8F80
Brookfield Finance Inc
11271LAB8
5000.00000000
PA
USD
6327.21000000
0.000346035902
Long
DBT
CORP
CA
N
2
2047-09-20
Fixed
4.70000000
N
N
N
N
N
N
Eli Lilly & Co
FRDRIPF3EKNDJ2CQJL29
Eli Lilly and Co
532457BH0
378000.00000000
PA
USD
411420.83000000
0.022500656428
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
2.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FPCG2
534632.45000000
PA
USD
567387.27000000
0.031030480455
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAC6
800000.00000000
PA
USD
862886.81000000
0.047191387098
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.18000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ASAG4
137907.78000000
PA
USD
152030.49000000
0.008314566431
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LVU50
86236.09000000
PA
USD
93235.74000000
0.005099074231
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2020-C56
95002RAX6
2880000.00000000
PA
USD
3092585.76000000
0.169133900347
Long
ABS-MBS
CORP
US
N
2
2053-06-15
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XCR49
875998.52000000
PA
USD
965266.54000000
0.052790547281
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJMT4
133502.34000000
PA
USD
155234.47000000
0.008489792496
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407X4T5
89735.72000000
PA
USD
105009.73000000
0.005742995211
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EVPN1
66642.74000000
PA
USD
70071.28000000
0.003832207029
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
3.00000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAH5
900000.00000000
PA
USD
967858.19000000
0.052932284942
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.386000 17-MAR-2026
000000000
1150000.00000000
OU
Notional Amount
-1688.19000000
-0.00009232732
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
23.46000000
AUD
0.00000000
AUD
1150000.00000000
AUD
-1705.41000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
320000.00000000
PA
USD
401222.77000000
0.021942923257
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBL4
1590000.00000000
PA
USD
1757942.67000000
0.096142103546
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SYS0
713781.00000000
PA
USD
766186.59000000
0.041902840023
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
3.50000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK23
06541RBB8
2230000.00000000
PA
USD
2481005.90000000
0.135686521641
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
2.92000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295QGR5
2043.96000000
PA
USD
2327.05000000
0.000127266654
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KKLQ0
1578024.80000000
PA
USD
1667220.05000000
0.091180472160
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCY5
255000.00000000
PA
USD
289523.41000000
0.015834071348
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
3.25000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BT5
490000.00000000
PA
USD
506482.03000000
0.027699565295
Long
DBT
CORP
US
N
2
2022-06-06
Fixed
2.89000000
N
N
N
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAN3
5000.00000000
PA
USD
5890.55000000
0.000322154913
Long
DBT
CORP
US
N
2
2028-08-20
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8CA9
129580.79000000
PA
USD
138020.80000000
0.007548374740
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
3.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B15 Mortgage Trust
08160KAE4
2050000.00000000
PA
USD
2274901.81000000
0.124414663292
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
2.93000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.447500 17-MAR-2026
000000000
1190000.00000000
OU
Notional Amount
-642.56000000
-0.00003514168
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-24.28000000
EUR
1190000.00000000
EUR
-612.86000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132M7JN9
388578.04000000
PA
USD
425159.25000000
0.023252012329
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 0.136000 17-MAR-2026
000000000
12770000.00000000
OU
Notional Amount
1209.13000000
0.000066127470
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
SEK
-260.51000000
SEK
12770000.00000000
SEK
1239.27000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9XX6
285639.52000000
PA
USD
310266.62000000
0.016968520086
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AK9
2290000.00000000
PA
USD
2515843.17000000
0.137591776276
Long
DBT
CORP
NL
N
2
2023-10-02
Fixed
4.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XKD1
333602.94000000
PA
USD
364827.83000000
0.019952479456
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CS2
1475000.00000000
PA
USD
1594227.57000000
0.087188504339
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.51000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAH9
600000.00000000
PA
USD
646995.97000000
0.035384290172
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
3.22000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
549300O5GNH0TNJ6B119
WFRBS Commercial Mortgage Trust 2013-C18
96221QAE3
620000.00000000
PA
USD
679325.51000000
0.037152396741
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Variable
4.16000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBJ4
510000.00000000
PA
USD
516463.74000000
0.028245466258
Long
DBT
US
N
2
2050-07-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8D77
626076.63000000
PA
USD
681858.89000000
0.037290947609
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.50000000
N
N
N
N
N
N
FORD FOUNDATION/THE
54930013YZ3DULPNNT44
Ford Foundation/The
34531XAC8
30000.00000000
PA
USD
32121.36000000
0.001756721178
Long
DBT
CORP
US
N
2
2070-06-01
Fixed
2.82000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RGE5
277193.14000000
PA
USD
322315.88000000
0.017627495616
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178DVB4
20423.73000000
PA
USD
22363.21000000
0.001223046739
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.221750 08-MAR-2031
000000000
134410000.00000000
OU
Notional Amount
601164.56000000
0.032877764652
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-10
0.00000000
EUR
-25825.07000000
EUR
134410000.00000000
EUR
632513.20000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXJ8
2470000.00000000
PA
USD
2744144.56000000
0.150077607726
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128KRWU4
46928.26000000
PA
USD
55182.47000000
0.003017936156
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
5.50000000
N
N
N
N
N
N
COMM Mortgage Trust
549300BCCWSDWINK2593
COMM 2013-CCRE11 Mortgage Trust
12626LBP6
380000.00000000
PA
USD
412911.46000000
0.022582179169
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Variable
5.11000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAL4
70000.00000000
PA
USD
85153.26000000
0.004657042393
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
5.20000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGH7
800000.00000000
PA
USD
869715.25000000
0.047564835332
Long
DBT
CORP
US
N
2
2025-02-19
Fixed
3.00000000
N
N
N
N
N
N
Berkshire Hathaway Inc
5493000C01ZX7D35SD85
Berkshire Hathaway Inc
084670BS6
355000.00000000
PA
USD
396643.23000000
0.021692467644
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8VZ5
51517.36000000
PA
USD
57102.06000000
0.003122918772
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4QW9
1587827.91000000
PA
USD
1668349.17000000
0.091242223874
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
NATIONAL BANK OF CANADA
BSGEFEIOM18Y80CKCV46
National Bank of Canada
63307A2J3
1180000.00000000
PA
USD
1219990.27000000
0.066721419797
Long
DBT
CORP
CA
N
2
2023-02-01
Fixed
2.10000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5
46636VAC0
52473.75000000
PA
USD
53153.57000000
0.002906975362
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Fixed
4.17000000
N
N
N
N
N
N
MASCO CORP
5GCSNMQXHEYA1JO8QN11
Masco Corp
574599BP0
160000.00000000
PA
USD
162899.89000000
0.008909015270
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.00000000
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFF6
290000.00000000
PA
USD
338993.21000000
0.018539580871
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2B6
1280000.00000000
PA
USD
1321409.86000000
0.072268069804
Long
DBT
CORP
CH
N
2
2022-04-08
Fixed
2.80000000
N
N
N
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAG2
1244000.00000000
PA
USD
1352601.20000000
0.073973928073
Long
DBT
CORP
BM
N
2
2023-08-01
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BYT7
138478.96000000
PA
USD
145846.42000000
0.007976358872
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBPV4
153782.01000000
PA
USD
166725.46000000
0.009118236170
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KKWK1
1150000.00000000
PA
USD
1196515.55000000
0.065437584436
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JPN35
83505.05000000
PA
USD
92573.65000000
0.005062864447
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAJ1
1065000.00000000
PA
USD
1334779.25000000
0.072999243408
Long
DBT
CORP
US
N
2
2047-09-15
Fixed
3.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VFP0
996348.91000000
PA
USD
1042276.36000000
0.057002223927
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CU67
73902.93000000
PA
USD
85351.69000000
0.004667894555
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LR84
43321.50000000
PA
USD
52061.31000000
0.002847239527
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAC4
1145000.00000000
PA
USD
1325337.50000000
0.072482872925
Long
DBT
NUSS
MX
N
2
2027-03-28
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8LN1
7750636.55000000
PA
USD
8269959.74000000
0.452285128075
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 0.140000 17-MAR-2026
000000000
14590000.00000000
OU
Notional Amount
-6.91000000
-0.00000037790
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
SEK
-4743.90000000
SEK
14590000.00000000
SEK
543.38000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132QWP29
106369.60000000
PA
USD
115182.02000000
0.006299319017
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.00000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS Commercial Mortgage Trust 2014-C23
92939HBA2
1140000.00000000
PA
USD
1258226.44000000
0.068812560696
Long
ABS-MBS
CORP
US
N
2
2057-10-15
Variable
4.21000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132XUJV8
30432.00000000
PA
USD
32679.67000000
0.001787255222
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GKN5
46113.21000000
PA
USD
50010.00000000
0.002735053127
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.00000000
N
N
N
N
N
N
J2 GLOBAL
5493008OJYGLHD7MXA18
J2 Global Inc
48123VAF9
1250000.00000000
PA
USD
1318750.00000000
0.072122601729
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.63000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R01
20754FBT8
4860880.42000000
PA
USD
4736526.95000000
0.259041248756
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Floating
1.30000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C33
46645JAD4
2360000.00000000
PA
USD
2673835.63000000
0.146232403589
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Fixed
3.77000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WK3C7
305553.52000000
PA
USD
334643.44000000
0.018301691408
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
549300PFVBG5704L7K74
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9
61762DAW1
2270000.00000000
PA
USD
2381000.50000000
0.130217213861
Long
ABS-MBS
CORP
US
N
2
2046-05-15
Fixed
3.10000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 1.441500 08-MAR-2051
000000000
800000.00000000
OU
Notional Amount
USD
-6662.33000000
-0.00036436365
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-03-08
0.00000000
USD
-26.40000000
USD
800000.00000000
USD
-6635.93000000
N
N
N
Marlette Funding Trust
N/A
Marlette Funding Trust 2020-2
57108RAA9
5621825.88000000
PA
USD
5631290.22000000
0.307975963421
Long
ABS-O
CORP
US
N
2
2030-09-16
Fixed
1.02000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390QJD8
37595.49000000
PA
USD
43755.84000000
0.002393012338
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
5.50000000
N
N
N
N
N
N
Bank of America NA
B4TYDEB6GKMZO031MB27
Bank of America NA
06050TMJ8
605000.00000000
PA
USD
624652.18000000
0.034162305514
Long
DBT
CORP
US
N
2
2023-01-25
Fixed
3.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJNJ3
776801.56000000
PA
USD
858026.40000000
0.046925570669
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEY6
1000000.00000000
PA
USD
1139087.77000000
0.062296851996
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
3.70000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.304500 17-MAR-2026
000000000
1510000.00000000
OU
Notional Amount
-10015.78000000
-0.00054776425
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-30.80000000
GBP
1510000.00000000
GBP
-9974.61000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YWB9
134110.92000000
PA
USD
144486.55000000
0.007901987413
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DWAX1
2050000.00000000
PA
USD
2162885.81000000
0.118288494302
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460DAD1
1640000.00000000
PA
USD
1876906.59000000
0.102648255146
Long
DBT
US
N
2
2029-05-01
Fixed
3.39000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 0.467500 17-MAR-2026
000000000
2080000.00000000
OU
Notional Amount
USD
-1034.81000000
-0.00005659388
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
USD
-42.43000000
USD
2080000.00000000
USD
-992.38000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296Q2T5
201202.00000000
PA
USD
227790.72000000
0.012457902844
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
4.50000000
N
N
N
N
N
N
ENTERGY TEXAS INC
LWXX58X12AJXISQ28573
Entergy Texas Inc
29365TAJ3
520000.00000000
PA
USD
599849.81000000
0.032805860810
Long
DBT
CORP
US
N
2
2049-09-30
Fixed
3.55000000
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAC0
1410000.00000000
PA
USD
1442643.28000000
0.078898340642
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
1.35000000
N
N
N
N
N
N
Unilever Capital Corp
MYF1DAS6G5WY7PRWCU78
Unilever Capital Corp
904764AU1
800000.00000000
PA
USD
853145.22000000
0.046658618327
Long
DBT
CORP
US
N
2
2026-07-28
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AHPM2
29136.64000000
PA
USD
30337.78000000
0.001659176966
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Floating
2.56000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412RNG8
18304.02000000
PA
USD
20225.74000000
0.001106148239
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406YFF2
5232.52000000
PA
USD
5942.52000000
0.000324997158
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.50000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BK1
710000.00000000
PA
USD
855823.03000000
0.046805068090
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.80000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2020-2
30167YAA9
6570522.32000000
PA
USD
6589030.82000000
0.360354916107
Long
ABS-O
CORP
US
N
2
2023-08-15
Fixed
1.13000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132WH6K6
12918.90000000
PA
USD
13745.30000000
0.000751732168
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230UCL1
64517.73000000
PA
USD
72758.67000000
0.003979180723
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCL8
1155000.00000000
PA
USD
1242573.51000000
0.067956500005
Long
DBT
CORP
US
N
2
2023-06-19
Fixed
4.15000000
N
N
N
N
N
N
Avid Automobile Receivables Trust
N/A
Avid Automobile Receivables Trust 2019-1
05369DAA3
939774.12000000
PA
USD
948427.47000000
0.051869616446
Long
ABS-O
CORP
US
N
2
2024-02-15
Fixed
2.62000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CWU4
49818.50000000
PA
USD
53966.78000000
0.002951449918
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QWE7
99224.88000000
PA
USD
107099.31000000
0.005857274601
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WLBG7
124083.06000000
PA
USD
136967.22000000
0.007490754318
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
Stryker Corp
5493002F0SC4JTBU5137
Stryker Corp
863667AM3
245000.00000000
PA
USD
245451.31000000
0.013423762711
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
2.63000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKQY4
211414.26000000
PA
USD
234475.58000000
0.012823498670
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31296UFG1
6478.23000000
PA
USD
7240.83000000
0.000396001894
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225A3W8
9851.22000000
PA
USD
11274.76000000
0.000616618028
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LYAC1
16424.32000000
PA
USD
17936.63000000
0.000980956528
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: SGD 0.541000 17-MAR-2026
000000000
1775000.00000000
OU
Notional Amount
-4362.96000000
-0.00023861082
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
0.00000000
SGD
-32.94000000
SGD
1775000.00000000
SGD
-4338.76000000
N
N
N
Verisk Analytics Inc
549300I1YSWNIRKBWP67
Verisk Analytics Inc
92345YAD8
1400000.00000000
PA
USD
1585922.60000000
0.086734304496
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
4.00000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179CJA1
500027.50000000
PA
USD
559378.13000000
0.030592459591
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128L0EE8
461.32000000
PA
USD
515.50000000
0.000028192759
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust 2013-A
17320XAA2
8605.19000000
PA
USD
8621.56000000
0.000471514190
Long
ABS-MBS
CORP
US
N
2
2042-05-25
Variable
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV6V2
25633570.56000000
PA
USD
26898688.26000000
1.471092610753
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCP9
1500000.00000000
PA
USD
1546075.71000000
0.084555073119
Long
DBT
CORP
US
N
2
2021-11-06
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9DC4
237865.89000000
PA
USD
264274.89000000
0.014453226645
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UCE7
500000.00000000
PA
USD
568087.42000000
0.031068771746
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128E6JK4
22722.22000000
PA
USD
24822.78000000
0.001357560929
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
3.50000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YBH1
4655000.00000000
PA
USD
4826265.88000000
0.263949082013
Long
DBT
CORP
JP
N
2
2031-07-10
Fixed
2.20000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HKC3
800000.00000000
PA
USD
876207.18000000
0.047919879792
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
3.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376JSZ3
3170.75000000
PA
USD
3510.24000000
0.000191975462
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JQAP3
42332.82000000
PA
USD
43928.83000000
0.002402473183
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Floating
3.75000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2019-2
26208RAF2
8500000.00000000
PA
USD
8732399.35000000
0.477576007936
Long
ABS-O
CORP
US
N
2
2025-06-16
Fixed
3.42000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FHY5
147225.71000000
PA
USD
168356.41000000
0.009207433029
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHT44
79993.40000000
PA
USD
88073.65000000
0.004816758886
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.50000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199BH7
215000.00000000
PA
USD
234329.98000000
0.012815535788
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408H5Q4
16678.34000000
PA
USD
19417.95000000
0.001061970103
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F012619
3000000.00000000
PA
USD
3031054.68000000
0.165768757919
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
1.50000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BN0
290000.00000000
PA
USD
301756.73000000
0.016503113142
Long
DBT
CORP
GB
N
2
2024-05-22
Fixed
2.36000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91086QAV0
100000.00000000
PA
USD
134031.25000000
0.007330185754
Long
DBT
NUSS
MX
N
2
2040-01-11
Fixed
6.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TG41
63694.82000000
PA
USD
68751.27000000
0.003760015518
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
XCEL ENERGY INC
LGJNMI9GH8XIDG5RCM61
Xcel Energy Inc
98389BAX8
50000.00000000
PA
USD
58451.20000000
0.003196703407
Long
DBT
CORP
US
N
2
2049-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TCY9
1427414.85000000
PA
USD
1537298.26000000
0.084075033286
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31334YPK7
2449619.97000000
PA
USD
2579393.95000000
0.141067376348
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.00000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Credit Trust
N/A
CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2019-HP1
21055MAA9
4188427.71000000
PA
USD
4235156.32000000
0.231621226563
Long
ABS-O
CORP
US
N
2
2026-12-15
Fixed
2.59000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620C0Y44
195707.95000000
PA
USD
227526.94000000
0.012443476683
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
5.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust
26208KAF7
590660.05000000
PA
USD
593460.13000000
0.032456408415
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
3.72000000
N
N
N
N
N
N
CSX Corp
549300JVQR4N1MMP3Q88
CSX Corp
126408HB2
800000.00000000
PA
USD
873946.67000000
0.047796252218
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389DHV2
10930.89000000
PA
USD
12246.66000000
0.000669771360
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132CWM68
3039391.79000000
PA
USD
3242433.74000000
0.177329105035
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
2.50000000
N
N
N
N
N
N
JOHN DEERE CAPITAL CORP
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422EUX5
750000.00000000
PA
USD
802984.95000000
0.043915346914
Long
DBT
CORP
US
N
2
2024-03-07
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9Q53
288020.48000000
PA
USD
315586.03000000
0.017259439282
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38143U8H7
1900000.00000000
PA
USD
2158300.25000000
0.118037709455
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36197EFP6
323657.81000000
PA
USD
358182.12000000
0.019589024748
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FSWP: KRW 0.985000 17-MAR-2026
000000000
1726660000.00000000
OU
Notional Amount
-12205.96000000
-0.00066754547
N/A
DIR
KR
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2026-03-17
0.00000000
KRW
0.00000000
KRW
1726660000.00000000
KRW
-12205.96000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJMS6
63675.29000000
PA
USD
71467.03000000
0.003908540770
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EW54
25812.14000000
PA
USD
29948.46000000
0.001637885007
Long
ABS-MBS
USGA
US
N
2
2038-10-20
Fixed
6.00000000
N
N
N
N
N
N
Marlette Funding Trust
549300ICATMFOKQ20083
Marlette Funding Trust 2018-3
57109FAB2
640559.71000000
PA
USD
642550.57000000
0.035141170692
Long
ABS-O
CORP
US
N
2
2028-09-15
Fixed
3.86000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7RP4
780639.69000000
PA
USD
836969.38000000
0.045773959623
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407KQK8
24143.51000000
PA
USD
27884.24000000
0.001524992558
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5HX6
843347.82000000
PA
USD
883351.73000000
0.048310616121
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UZS4
329790.13000000
PA
USD
344979.97000000
0.018866997521
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
3.00000000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp
89236THM0
1935000.00000000
PA
USD
1940245.94000000
0.106112292086
Long
DBT
CORP
US
N
2
2022-10-14
Fixed
0.35000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE22 Mortgage Trust
12592XAZ9
1717347.50000000
PA
USD
1716869.56000000
0.093895810045
Long
ABS-MBS
CORP
US
N
2
2048-03-10
Fixed
2.86000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJZM5
438578.32000000
PA
USD
463889.92000000
0.025370197495
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
KIMBERLY-CLARK CORP
MP3J6QPYPGN75NVW2S34
Kimberly-Clark Corp
494368CA9
670000.00000000
PA
USD
754908.12000000
0.041286019094
Long
DBT
CORP
US
N
2
2050-02-07
Fixed
2.88000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31335ANR5
45424.96000000
PA
USD
50915.65000000
0.002784583239
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413UKP3
20796.26000000
PA
USD
24631.40000000
0.001347094333
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KYG65
275000.00000000
PA
USD
287643.85000000
0.015731277978
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.00000000
N
N
N
N
N
N
GOLDMAN SACHS BDC INC
6D01AGSGBNZIJSN77043
Goldman Sachs BDC Inc
38147UAD9
1795000.00000000
PA
USD
1831573.05000000
0.100168958198
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9JK0
466258.34000000
PA
USD
522432.13000000
0.028571878250
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.379000 17-MAR-2026
000000000
3040000.00000000
OU
Notional Amount
-5280.26000000
-0.00028877807
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
62.02000000
AUD
0.00000000
AUD
3040000.00000000
AUD
-5325.71000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XQDL2
103129.62000000
PA
USD
115750.63000000
0.006330416369
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.00000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BB1
1590000.00000000
PA
USD
1636684.53000000
0.089510480769
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
4.20000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AC5
1590000.00000000
PA
USD
1660397.82000000
0.090807363552
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
3.20000000
N
N
N
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BT5
1075000.00000000
PA
USD
1095782.09000000
0.059928458964
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV77
752642.73000000
PA
USD
814460.75000000
0.044542959845
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.50000000
N
N
N
N
N
N
BALTIMORE GAS & ELECTRIC
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co
059165EF3
2390000.00000000
PA
USD
2547852.64000000
0.139342378177
Long
DBT
CORP
US
N
2
2023-07-01
Fixed
3.35000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBD9
700000.00000000
PA
USD
820257.81000000
0.044860001779
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
4.50000000
N
N
N
N
N
N
DIAGEO CAPITAL PLC
213800L23DJLALFC4O95
Diageo Capital PLC
25243YBE8
750000.00000000
PA
USD
792273.69000000
0.043329546771
Long
DBT
CORP
GB
N
2
2032-04-29
Fixed
2.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292G2S4
5068.75000000
PA
USD
5680.45000000
0.000310664517
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BLL8
63316.16000000
PA
USD
68338.60000000
0.003737446544
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
3.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAZ4
1120000.00000000
PA
USD
1282664.97000000
0.070149106945
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
Halliburton Co
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BK6
140000.00000000
PA
USD
166428.40000000
0.009101989922
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
5.00000000
N
N
N
N
N
N
Commonwealth Edison Co
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co
202795JH4
800000.00000000
PA
USD
875539.34000000
0.047883355539
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
2.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5MC4
308275.57000000
PA
USD
327178.21000000
0.017893417049
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DVC3
5254825.10000000
PA
USD
5544188.61000000
0.303212365523
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E9N55
1314903.98000000
PA
USD
1377419.05000000
0.075331219380
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.520970 08-MAR-2031
000000000
72760000.00000000
OU
Notional Amount
-607959.22000000
-0.03324936545
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-10
189111.81000000
GBP
0.00000000
GBP
72760000.00000000
GBP
-863374.89000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0JU4
1742893.41000000
PA
USD
1813463.34000000
0.099178535903
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Floating
4.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MPGQ2
31382.87000000
PA
USD
33305.66000000
0.001821490693
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
3.00000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BM7
520000.00000000
PA
USD
574889.81000000
0.031440795302
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132WFEV7
8875.79000000
PA
USD
9803.49000000
0.000536154088
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.50000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2020-3
30166NAD8
4340000.00000000
PA
USD
4349423.01000000
0.237870486069
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
0.79000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ4W7
250680.99000000
PA
USD
267324.35000000
0.014620001992
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W1VC8
50545.69000000
PA
USD
54435.88000000
0.002977105056
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.50000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Credit Trust
N/A
Consumer Loan Underlying Bond Credit Trust 2018-P2
21052NAA0
13108.47000000
PA
USD
13116.77000000
0.000717357784
Long
ABS-O
CORP
US
N
2
2025-10-15
Fixed
3.47000000
N
N
N
N
N
N
Kimberly-Clark Corp
MP3J6QPYPGN75NVW2S34
Kimberly-Clark Corp
494368BJ1
800000.00000000
PA
USD
840453.54000000
0.045964508768
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
2.40000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZQ9
1200000.00000000
PA
USD
1294380.00000000
0.070789803394
Long
DBT
CORP
US
N
2
2024-03-18
Fixed
5.58000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Credit Trust
N/A
Consumer Loan Underlying Bond Credit Trust 2018-P3
21053NAA9
604347.82000000
PA
USD
606672.69000000
0.033179004967
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
3.82000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
312938Z48
64268.66000000
PA
USD
72181.34000000
0.003947606473
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
SOUTHERN CALIF GAS CO
XY0N0J73VHV5F4CUJV89
Southern California Gas Co
842434CM2
800000.00000000
PA
USD
874956.59000000
0.047851484869
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
3.15000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JN8
400000.00000000
PA
USD
476645.48000000
0.026067800659
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.235500 17-MAR-2026
000000000
980000.00000000
OU
Notional Amount
-1869.21000000
-0.00010222732
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-19.99000000
GBP
980000.00000000
GBP
-1843.09000000
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KC4
330000.00000000
PA
USD
433334.06000000
0.023699093706
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
4.25000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR21 XCBT 20210322
000000000
57.00000000
NC
USD
78804.91000000
0.004309850341
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Long Bond
USH1 Comdty
2021-03-22
9792882.59000000
USD
78804.91000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ6P8
133235.75000000
PA
USD
144878.73000000
0.007923435786
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416J7C9
52288.97000000
PA
USD
58709.34000000
0.003210821115
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 0.273600 08-MAR-2023
000000000
169960000.00000000
OU
Notional Amount
USD
-274331.00000000
-0.01500319655
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-08
6540.25000000
USD
0.00000000
USD
169960000.00000000
USD
-280871.25000000
N
N
N
WISCONSIN ELECTRIC POWER
AENKIFMULUAWOUU8Q584
Wisconsin Electric Power Co
976656CH9
800000.00000000
PA
USD
874165.26000000
0.047808206933
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.10000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HAFL9
171889.33000000
PA
USD
190832.14000000
0.010436633501
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CDL5
73008.37000000
PA
USD
77101.06000000
0.004216666573
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406BBF6
95291.50000000
PA
USD
111815.85000000
0.006115222761
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAY1
5085000.00000000
PA
USD
5142425.97000000
0.281239916708
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
0.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335APZ5
87431.46000000
PA
USD
94912.34000000
0.005190767694
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 0.894000 17-MAR-2026
000000000
3830000.00000000
OU
Notional Amount
7932.18000000
0.000433811912
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
78.13000000
CAD
0.00000000
CAD
3830000.00000000
CAD
7872.17000000
N
N
N
PSEG Power LLC
PUSS41EMO3E6XXNV3U28
PSEG Power LLC
69362BAY8
350000.00000000
PA
USD
355178.14000000
0.019424736708
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
4.15000000
N
N
N
N
N
N
XEROX HOLDINGS CORP
5493000Y33XDVO2CXC18
Xerox Holdings Corp
98421MAB2
700000.00000000
PA
USD
742805.00000000
0.040624097954
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132GFFX0
4628.82000000
PA
USD
5199.04000000
0.000284336145
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ALVD3
32715.20000000
PA
USD
36879.01000000
0.002016917649
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8X57
4912013.11000000
PA
USD
5153853.37000000
0.281864882637
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.00000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CC1
1710000.00000000
PA
USD
1759143.23000000
0.096207762322
Long
DBT
CORP
DE
N
2
2024-09-18
Fixed
2.22000000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
Analog Devices Inc
032654AS4
225000.00000000
PA
USD
245575.03000000
0.013430528973
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QVG3
15307.74000000
PA
USD
18382.14000000
0.001005321525
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
6.00000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7H1
8410000.00000000
PA
USD
8593956.22000000
0.470004535915
Long
DBT
CORP
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
N
HP INC
WHKXQACZ14C5XRO8LW03
HP Inc
40434LAA3
1030000.00000000
PA
USD
1090501.13000000
0.059639642604
Long
DBT
CORP
US
N
2
2025-06-17
Fixed
2.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T4Q5
499774.35000000
PA
USD
540820.00000000
0.029577513150
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
4.50000000
N
N
N
N
N
N
Aetna Inc
549300QKBENKLBXQ8968
Aetna Inc
008117AP8
1000000.00000000
PA
USD
1037064.34000000
0.056717177904
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.430500 17-MAR-2026
000000000
2620000.00000000
OU
Notional Amount
-4184.24000000
-0.00022883660
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-53.45000000
EUR
2620000.00000000
EUR
-4121.00000000
N
N
N
UMBS, TBA
254900HROIFWPRGM1V77
Uniform Mortgage-Backed Security, TBA
01F042616
4595081.00000000
PA
USD
4979919.03000000
0.272352391922
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BL71
24487.96000000
PA
USD
29280.96000000
0.001601379348
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABE4
510000.00000000
PA
USD
590682.00000000
0.032304472140
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E0E76
7342.01000000
PA
USD
8053.14000000
0.000440427229
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CM9
1760000.00000000
PA
USD
1789774.25000000
0.097882976621
Long
DBT
CORP
GB
N
2
2027-05-24
Fixed
1.59000000
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2020-3
96042QAG5
3480000.00000000
PA
USD
3487441.98000000
0.190728636192
Long
ABS-O
CORP
US
N
2
2025-11-17
Fixed
0.78000000
N
N
N
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
85771PAX0
400000.00000000
PA
USD
440739.90000000
0.024104120018
Long
DBT
CORP
NO
N
2
2024-11-10
Fixed
3.25000000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31336SBZ0
2322.54000000
PA
USD
2328.88000000
0.000127366737
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Floating
2.67000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAQ4
2105000.00000000
PA
USD
2437089.45000000
0.133284725522
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD63
406987.26000000
PA
USD
435185.99000000
0.023800375988
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.00000000
N
N
N
N
N
N
MCKESSON CORP
549300WZWOM80UCFSF54
McKesson Corp
581557BQ7
1465000.00000000
PA
USD
1472322.82000000
0.080521518380
Long
DBT
CORP
US
N
2
2025-12-03
Fixed
0.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FRMZ5
242830.04000000
PA
USD
255678.32000000
0.013983079161
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJ6R4
11961.60000000
PA
USD
13266.38000000
0.000725539974
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.50000000
N
N
N
N
N
N
FS KKR CAPITAL CORP
549300TYRSI1T21B1360
FS KKR Capital Corp
302635AD9
950000.00000000
PA
USD
1000895.17000000
0.054739081493
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.63000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE3 Mortgage Trust
12624PAJ4
1680000.00000000
PA
USD
1703867.59000000
0.093184730687
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
3.42000000
N
N
N
N
N
N
ROCKEFELLER FOUNDATION
549300JU3NX0IK5I9038
Rockefeller Foundation/The
77310VAA2
72000.00000000
PA
USD
74995.04000000
0.004101488077
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
2.49000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHL6
3400000.00000000
PA
USD
3686285.10000000
0.201603391188
Long
DBT
CORP
US
N
2
2024-07-23
Fixed
3.86000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VS21
35767.66000000
PA
USD
42784.31000000
0.002339879242
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5NM7
286851.77000000
PA
USD
317694.62000000
0.017374758331
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
AMERISOURCEBERGEN CORP
AI8GXW8LG5WK7E9UD086
AmerisourceBergen Corp
03073EAR6
1855000.00000000
PA
USD
2016774.68000000
0.110297658407
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J96V8
182782.74000000
PA
USD
203002.59000000
0.011102236927
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7VQ9
761199.31000000
PA
USD
817733.03000000
0.044721921246
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6GA3
1243426.66000000
PA
USD
1326289.82000000
0.072534955424
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
LB BADEN-WUERTTEMBERG
B81CK4ESI35472RHJ606
Landesbank Baden-Wuerttemberg
514886AC4
2974000.00000000
PA
USD
3403717.84000000
0.186149752549
Long
DBT
CORP
DE
N
2
2023-02-01
Fixed
7.63000000
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LBC7
160000.00000000
PA
USD
177217.47000000
0.009692045503
Long
DBT
CORP
LU
N
2
2029-07-16
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GVE4
66436.28000000
PA
USD
74763.10000000
0.004088803249
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BLD8
94806.69000000
PA
USD
111323.09000000
0.006088273655
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
312939CK5
24304.01000000
PA
USD
27296.15000000
0.001492829842
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389SVS0
5994.67000000
PA
USD
6742.17000000
0.000368730116
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBD7
1200000.00000000
PA
USD
1338069.16000000
0.073179168996
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
Texas Transportation Commission State Highway Fund
N/A
TEXAS ST TRANSPRTN COMMISSIONST HIGHWAY FUND REVENUE
88283LKV7
690000.00000000
PA
USD
868647.90000000
0.047506461827
Long
DBT
MUN
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CW9
1990000.00000000
PA
USD
2015937.94000000
0.110251896992
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.45000000
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFN9
2797000.00000000
PA
USD
2785683.56000000
0.152349380810
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
1.68000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.252000 17-MAR-2026
000000000
2280000.00000000
OU
Notional Amount
-6928.09000000
-0.00037889810
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-46.51000000
GBP
2280000.00000000
GBP
-6865.57000000
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAF4
2105000.00000000
PA
USD
2592370.65000000
0.141777073688
Long
DBT
CORP
BM
N
2
2028-08-01
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XYAB3
223947.59000000
PA
USD
249810.07000000
0.013662143838
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
5.00000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AQ2
4068000.00000000
PA
USD
4439082.96000000
0.242773999901
Long
DBT
US
N
2
2031-01-15
Fixed
4.00000000
N
N
N
N
N
N
SAN DIEGO G & E
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co
797440BR4
1590000.00000000
PA
USD
1709638.12000000
0.093500321691
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
3.60000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804FN9
1250000.00000000
PA
USD
1308710.15000000
0.071573521083
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.290500 17-MAR-2026
000000000
3640000.00000000
OU
Notional Amount
-20653.72000000
-0.00112955451
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-74.26000000
GBP
3640000.00000000
GBP
-20555.01000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M8EN9
32271.62000000
PA
USD
34246.01000000
0.001872918551
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERHL7
60675.65000000
PA
USD
67020.15000000
0.003665340349
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F022410
5273250.00000000
PA
USD
5499834.96000000
0.300786658881
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5MS5
1039670.02000000
PA
USD
1135766.45000000
0.062115208592
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162BY5
800000.00000000
PA
USD
881411.26000000
0.048204491575
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
3.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409VDU4
32835.41000000
PA
USD
38502.26000000
0.002105693394
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XZC1
1088865.68000000
PA
USD
1055550.97000000
0.057728214001
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
0.60000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063DGC6
500000.00000000
PA
USD
584515.00000000
0.031967198142
Long
DBT
MUN
US
N
2
2028-04-01
Fixed
3.50000000
N
N
N
N
N
N
MAXIM INTEGRATED PRODUCT
SO0H5YEO14Y4PVKQH532
Maxim Integrated Products Inc
57772KAB7
1000000.00000000
PA
USD
1052745.27000000
0.057574769919
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.38000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M9KW1
304477.85000000
PA
USD
341965.59000000
0.018702140703
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCA6
6129000.00000000
PA
USD
6276953.39000000
0.343287362596
Long
DBT
CORP
JP
N
2
2025-07-08
Fixed
1.47000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAJ2
320000.00000000
PA
USD
369143.33000000
0.020188494688
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJVB3
513439.68000000
PA
USD
550462.83000000
0.030104880724
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 0.520500 17-MAR-2026
000000000
2240000.00000000
OU
Notional Amount
USD
-7019.73000000
-0.00038390990
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
USD
-45.70000000
USD
2240000.00000000
USD
-6974.03000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 0.890180 08-MAR-2031
000000000
68190000.00000000
OU
Notional Amount
USD
-397250.79000000
-0.02172569517
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-10
0.00000000
USD
-94945.96000000
USD
68190000.00000000
USD
-302304.83000000
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BR3
940000.00000000
PA
USD
979496.75000000
0.053568799238
Long
DBT
CORP
US
N
2
2023-04-24
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WTWW2
28740.51000000
PA
USD
29713.49000000
0.001625034468
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Floating
2.84000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413HHS0
16082.44000000
PA
USD
18859.04000000
0.001031403246
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MCXP4
21767.35000000
PA
USD
23205.99000000
0.001269138483
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128E6AD9
60468.59000000
PA
USD
65308.46000000
0.003571727810
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EL6H1
120549.47000000
PA
USD
133960.73000000
0.007326329006
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A23R1
184105.28000000
PA
USD
197906.71000000
0.010823542616
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMG4
238000.00000000
PA
USD
248694.97000000
0.013601158880
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
3.80000000
N
N
N
N
N
N
Santander Revolving Auto Loan Trust
N/A
Santander Revolving Auto Loan Trust 2019-A
80286JAA3
4790000.00000000
PA
USD
5092192.96000000
0.278492667135
Long
ABS-O
CORP
US
N
2
2032-01-26
Fixed
2.51000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JM4A7
635767.90000000
PA
USD
690389.91000000
0.037757510155
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MT5
8880000.00000000
PA
USD
8937606.42000000
0.488798808149
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
0.78000000
N
N
N
N
N
DEUTSCHE TELEKOM INT FIN
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PAC7
5000.00000000
PA
USD
7910.87000000
0.000432646465
Long
DBT
CORP
NL
N
2
2030-06-15
Fixed
8.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9F65
23171.15000000
PA
USD
25178.62000000
0.001377021863
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EQ2
120000.00000000
PA
USD
127784.88000000
0.006988571000
Long
DBT
CORP
AU
N
2
2040-11-16
Fixed
2.96000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128PE2F4
3330.15000000
PA
USD
3350.53000000
0.000183240902
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
6.00000000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFB5
278000.00000000
PA
USD
318148.87000000
0.017399601320
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2020-3
96042QAJ9
4250000.00000000
PA
USD
4273602.80000000
0.233723869342
Long
ABS-O
CORP
US
N
2
2025-11-17
Fixed
1.24000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FEBQ2
1190000.00000000
PA
USD
1383060.72000000
0.075639763015
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Fixed
3.44000000
N
N
N
N
N
N
ARIZONA PUBLIC SERVICE
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co
040555DB7
120000.00000000
PA
USD
139343.31000000
0.007620702976
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EH44
68255.72000000
PA
USD
79966.92000000
0.004373400813
Long
ABS-MBS
USGA
US
N
2
2036-05-20
Fixed
5.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BY9
255000.00000000
PA
USD
257077.58000000
0.014059604865
Long
DBT
CORP
US
N
2
2061-04-01
Fixed
3.85000000
N
N
N
N
N
N
GEORGETOWN UNIVERSITY
549300GCL3B0KVXSX752
Georgetown University/The
37310PAD3
27000.00000000
PA
USD
27183.35000000
0.001486660796
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
2.94000000
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDA6
125000.00000000
PA
USD
136747.83000000
0.007478755852
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.65000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2020-4
80286WAF3
5750000.00000000
PA
USD
5775056.20000000
0.315838542771
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
1.01000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31293EAT7
2813.89000000
PA
USD
3173.73000000
0.000173571688
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
6.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCA5
890000.00000000
PA
USD
1077099.95000000
0.058906730401
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2020-2
26208VAE6
2950000.00000000
PA
USD
2989073.34000000
0.163472793207
Long
ABS-O
CORP
US
N
2
2025-03-17
Fixed
1.42000000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VAP9
965000.00000000
PA
USD
1052518.97000000
0.057562393544
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
2.50000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
FSWP: KRW 0.992500 17-MAR-2026
000000000
1180820000.00000000
OU
Notional Amount
-7950.75000000
-0.00043482750
N/A
DIR
KR
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2026-03-17
0.00000000
KRW
0.00000000
KRW
1180820000.00000000
KRW
-7950.75000000
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CR8
2670000.00000000
PA
USD
2681092.68000000
0.146629292557
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.88000000
N
N
N
N
N
N
PSEG Power LLC
N/A
PSEG Power LLC
69362BBC5
1300000.00000000
PA
USD
1398660.41000000
0.076492912004
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.85000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128CUUA2
146487.15000000
PA
USD
160025.75000000
0.008751828196
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
3.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBF2
900000.00000000
PA
USD
902213.08000000
0.049342145701
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
4.20000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 0.159500 17-MAR-2026
000000000
18580000.00000000
OU
Notional Amount
-909.22000000
-0.00004972535
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
SEK
-379.03000000
SEK
18580000.00000000
SEK
-865.31000000
N
N
N
BALTIMORE GAS & ELECTRIC
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co
059165EK2
225000.00000000
PA
USD
293555.01000000
0.016054560054
Long
DBT
CORP
US
N
2
2048-09-15
Fixed
4.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.372500 17-MAR-2026
000000000
1950000.00000000
OU
Notional Amount
-3873.99000000
-0.00021186899
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
39.78000000
AUD
0.00000000
AUD
1950000.00000000
AUD
-3903.04000000
N
N
N
PPL ELECTRIC UTILITIES
9N3UAJSNOUXFKQLF3V18
PPL Electric Utilities Corp
69351UAQ6
400000.00000000
PA
USD
411403.64000000
0.022499716305
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
2.50000000
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.416000 17-MAR-2026
000000000
2000000.00000000
OU
Notional Amount
-630.80000000
-0.00003449853
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
40.80000000
AUD
0.00000000
AUD
2000000.00000000
AUD
-660.87000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CUA0
1120999.89000000
PA
USD
1189514.39000000
0.065054690124
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AS7
2035000.00000000
PA
USD
2060563.67000000
0.112692483723
Long
DBT
CORP
KY
N
2
2026-04-09
Fixed
1.72000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403APE9
40402.00000000
PA
USD
46519.78000000
0.002544172561
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KHZ7
6850.98000000
PA
USD
8088.22000000
0.000442345759
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
7.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABQ7
170000.00000000
PA
USD
180444.80000000
0.009868548583
Long
DBT
CORP
US
N
2
2060-11-15
Fixed
3.60000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GFD1
500000.00000000
PA
USD
765080.53000000
0.041842349464
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
6.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179DJ76
34233.17000000
PA
USD
36991.54000000
0.002023071929
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
3.50000000
N
N
N
N
N
N
WISCONSIN POWER & LIGHT
JWBYHVQVMY66CVCOSO49
Wisconsin Power and Light Co
976826BL0
1090000.00000000
PA
USD
1207724.12000000
0.066050582526
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
3.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R4F3
208837.72000000
PA
USD
229141.56000000
0.012531780452
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R05
20754HAE8
6150835.42000000
PA
USD
6145379.63000000
0.336091577276
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Floating
2.15000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBE2
1127000.00000000
PA
USD
1484905.38000000
0.081209660154
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
Regents of the University of California Medical Center Pooled Revenue
N/A
UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE
913366KD1
85000.00000000
PA
USD
91216.05000000
0.004988617134
Long
DBT
MUN
US
N
2
2120-05-15
Fixed
3.71000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2ZU9
118308.69000000
PA
USD
127418.54000000
0.006968535820
Long
ABS-MBS
USGA
US
N
2
2046-12-15
Fixed
4.00000000
N
N
N
N
N
N
BLOCK FINANCIAL LLC
N/A
Block Financial LLC
093662AH7
100000.00000000
PA
USD
108027.96000000
0.005908062585
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
3.88000000
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BXQY1
2790000.00000000
PA
USD
3179467.54000000
0.173885475715
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Fixed
3.22000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ASL75
30451.52000000
PA
USD
31631.35000000
0.001729922470
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Floating
2.32000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KAT7
645000.00000000
PA
USD
734396.48000000
0.040164234948
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLS2
559597.62000000
PA
USD
599356.26000000
0.032778868499
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCWN2
946185.69000000
PA
USD
999147.31000000
0.054643490812
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VAR5
1310000.00000000
PA
USD
1246773.52000000
0.068186199075
Long
DBT
CORP
US
N
2
2060-08-15
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7VU0
4279722.58000000
PA
USD
4529767.98000000
0.247733574938
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AJL3
185171.28000000
PA
USD
200171.56000000
0.010947407544
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C30
46644UBA5
1780000.00000000
PA
USD
2009887.18000000
0.109920980174
Long
ABS-MBS
CORP
US
N
2
2048-07-15
Fixed
3.82000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAFC7
408705.34000000
PA
USD
450089.03000000
0.024615425102
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB71
138512.29000000
PA
USD
147590.46000000
0.008071740637
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.00000000
N
N
N
N
N
N
PUBLIC SERVICE COLORADO
5BANEF6PGSEK0SNMQF44
Public Service Co of Colorado
744448CP4
1800000.00000000
PA
USD
2098975.86000000
0.114793251178
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.70000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348AX4
770000.00000000
PA
USD
1029971.37000000
0.056329262492
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2012-GCJ7
36192KAV9
280000.00000000
PA
USD
288760.14000000
0.015792328017
Long
ABS-MBS
CORP
US
N
2
2045-05-10
Fixed
4.09000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-LC6 Mortgage Trust
20048EBA8
400000.00000000
PA
USD
416073.60000000
0.022755116999
Long
ABS-MBS
CORP
US
N
2
2046-01-10
Fixed
3.28000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2013-C17
46640UAC6
1224443.37000000
PA
USD
1299779.09000000
0.071085080299
Long
ABS-MBS
CORP
US
N
2
2047-01-15
Fixed
3.93000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136BBN73
4980000.00000000
PA
USD
5006978.65000000
0.273832285909
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Fixed
1.27000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A25U2
90690.65000000
PA
USD
95011.69000000
0.005196201158
Long
ABS-MBS
USGA
US
N
2
2046-12-15
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: HKD 0.570000 17-MAR-2026
000000000
15240000.00000000
OU
Notional Amount
5852.02000000
0.000320047702
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
310.90000000
HKD
0.00000000
HKD
15240000.00000000
HKD
5811.92000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MLBA1
43383.57000000
PA
USD
46040.78000000
0.002517975991
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
3.00000000
N
N
N
N
N
N
NORTHERN STATES PWR-MINN
3S1GHB0TEH85KX44SB51
Northern States Power Co/MN
665772CS6
305000.00000000
PA
USD
323087.77000000
0.017669710376
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
2.60000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M1NN5
2616.76000000
PA
USD
2639.57000000
0.000144358412
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137ATRW4
7960000.00000000
PA
USD
8142432.85000000
0.445310666580
Long
ABS-MBS
USGSE
US
N
2
2022-05-25
Fixed
2.37000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AE7
2535000.00000000
PA
USD
2712688.90000000
0.148357293764
Long
DBT
CORP
US
N
2
2026-08-18
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GNV4
53576.86000000
PA
USD
56813.65000000
0.003107145593
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407YR68
12584.99000000
PA
USD
14600.77000000
0.000798517929
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAW5
2345000.00000000
PA
USD
2861767.65000000
0.156510429167
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
4.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCB6
2157697.07000000
PA
USD
2323297.45000000
0.127061426871
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.00000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
420000.00000000
PA
USD
537075.23000000
0.029372711213
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
American Home Mortgage Investment Trust
N/A
American Home Mortgage Investment Trust 2004-3
02660TBN2
35014.82000000
PA
USD
35471.20000000
0.001939924345
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
1.74000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RQZ5
44035.90000000
PA
USD
46881.83000000
0.002563973121
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VN30
4808647.45000000
PA
USD
5032833.76000000
0.275246305095
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
3.00000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F040610
3250000.00000000
PA
USD
3470898.44000000
0.189823867930
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
4.00000000
N
N
N
N
N
N
Kellogg Co
LONOZNOJYIBXOHXWDB86
Kellogg Co
487836BS6
918000.00000000
PA
USD
979574.89000000
0.053573072724
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
2.65000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ4E7
620184.09000000
PA
USD
674151.73000000
0.036869442068
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAB2
405000.00000000
PA
USD
410083.98000000
0.022427543935
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.95000000
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: OIS 0.903825 SOFR 20-OCT-20
000000000
500000.00000000
OU
Notional Amount
USD
32033.57000000
0.001751919932
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-10-20
0.00000000
USD
0.00000000
USD
500000.00000000
USD
32033.57000000
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650DC1
2492000.00000000
PA
USD
2505664.58000000
0.137035107921
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XDK7
301219.88000000
PA
USD
313654.03000000
0.017153777961
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Floating
4.60000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31287YYC2
64755.97000000
PA
USD
78076.42000000
0.004270009133
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
IGJSJL3JD5P30I6NJZ34
Morgan Stanley Capital I Trust 2015-MS1
61765DAU2
550000.00000000
PA
USD
615011.76000000
0.033635069744
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
3.78000000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAD8
1415000.00000000
PA
USD
1452926.12000000
0.079460710442
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
1.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F9WA9
377642.80000000
PA
USD
401921.06000000
0.021981112824
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAC1
800000.00000000
PA
USD
857778.54000000
0.046912015175
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128P7Q63
12526.44000000
PA
USD
13847.07000000
0.000757297982
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FPG5
64264.34000000
PA
USD
72538.71000000
0.003967151083
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
4.50000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162BV1
800000.00000000
PA
USD
878130.66000000
0.048025075152
Long
DBT
CORP
US
N
2
2024-05-22
Fixed
3.63000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBR0
1070000.00000000
PA
USD
1121804.78000000
0.061351643121
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.25000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BP4
4490000.00000000
PA
USD
4993176.25000000
0.273077430935
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8SQ1
1624999.63000000
PA
USD
1690529.76000000
0.092455283103
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5VE0
183395.17000000
PA
USD
196193.53000000
0.010729848588
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617NWHS4
1728566.92000000
PA
USD
1831028.74000000
0.100139189816
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36180DMG9
43732.61000000
PA
USD
46853.76000000
0.002562437969
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
3.50000000
N
N
N
N
N
N
VERISK ANALYTICS INC
549300I1YSWNIRKBWP67
Verisk Analytics Inc
92345YAG1
185000.00000000
PA
USD
215617.04000000
0.011792122769
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.282590 08-MAR-2026
000000000
28700000.00000000
OU
Notional Amount
149486.61000000
0.008175441317
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-09
70237.92000000
GBP
0.00000000
GBP
28700000.00000000
GBP
54675.95000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132Y1GL6
54970.07000000
PA
USD
60217.94000000
0.003293326637
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AL3
2545000.00000000
PA
USD
2944437.75000000
0.161031667231
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SEH6
2208948.64000000
PA
USD
2403402.48000000
0.131442380937
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QNA2
810000.00000000
PA
USD
966772.28000000
0.052872896389
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.42000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GNKS1
22306.79000000
PA
USD
24349.79000000
0.001331693047
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7RM9
11573.46000000
PA
USD
12444.09000000
0.000680568831
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.00000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DBB6
230000.00000000
PA
USD
276187.81000000
0.015104745723
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.85000000
N
N
N
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAJ6
40000.00000000
PA
USD
48594.40000000
0.002657633787
Long
DBT
CORP
BM
N
2
2029-05-01
Fixed
4.25000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2016-GC36
17324TAE9
550000.00000000
PA
USD
618137.58000000
0.033806021229
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
3.62000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DKQ4
564867.23000000
PA
USD
595972.35000000
0.032593802040
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F012411
2400000.00000000
PA
USD
2469375.00000000
0.135050426272
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LQ21
179020.60000000
PA
USD
188010.44000000
0.010282314377
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.00000000
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAP8
2000000.00000000
PA
USD
2274754.78000000
0.124406622203
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
4.90000000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAA6
3598080.07000000
PA
USD
3601524.51000000
0.196967823965
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Floating
0.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJUS5
264379.07000000
PA
USD
281631.63000000
0.015402468917
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
SOUTHERN CALIF GAS CO
XY0N0J73VHV5F4CUJV89
Southern California Gas Co
842434CU4
730000.00000000
PA
USD
790834.47000000
0.043250835650
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.55000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBM2
1710000.00000000
PA
USD
1857254.79000000
0.101573495757
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7K5
1267441.33000000
PA
USD
1364443.20000000
0.074621568528
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
4.00000000
N
N
N
N
N
N
SAN DIEGO G & E
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co
797440BU7
400000.00000000
PA
USD
433861.79000000
0.023727955325
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FLP9
122574.64000000
PA
USD
136556.60000000
0.007468297460
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.50000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
2549005PXW31DRW8EC44
GLP Capital LP / GLP Financing II Inc
361841AH2
380000.00000000
PA
USD
436114.60000000
0.023851161785
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FBKZ2
57085.06000000
PA
USD
61580.86000000
0.003367864902
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAC9
600000.00000000
PA
USD
623072.29000000
0.034075901134
Long
DBT
CORP
ES
N
2
2022-04-11
Fixed
3.50000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BM0
1000000.00000000
PA
USD
1031766.32000000
0.056427428531
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR 0.016950 08-MAR-2051
000000000
15320000.00000000
OU
Notional Amount
-319658.64000000
-0.01748217083
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-03-08
0.00000000
EUR
-18534.43000000
EUR
15320000.00000000
EUR
-297149.50000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7RH2
276486.34000000
PA
USD
292695.95000000
0.016007577956
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JF5
65000.00000000
PA
USD
66145.36000000
0.003617497975
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296GJF9
24112.69000000
PA
USD
26701.49000000
0.001460307813
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416W5B4
33705.57000000
PA
USD
36860.57000000
0.002015909163
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 0.892500 17-MAR-2026
000000000
1960000.00000000
OU
Notional Amount
3945.06000000
0.000215755822
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
39.98000000
CAD
0.00000000
CAD
1960000.00000000
CAD
3914.53000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SQV2
326373.53000000
PA
USD
347820.31000000
0.019022336069
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.00000000
N
N
N
N
N
N
ACTIVISION BLIZZARD
549300TPQQDBP9GNOF40
Activision Blizzard Inc
00507VAQ2
645000.00000000
PA
USD
630420.65000000
0.034477783857
Long
DBT
CORP
US
N
2
2050-09-15
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.415500 17-MAR-2026
000000000
1160000.00000000
OU
Notional Amount
-2937.72000000
-0.00016066427
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-23.66000000
EUR
1160000.00000000
EUR
-2908.95000000
N
N
N
SOFI CONSUMER LOAN PROGRAM TRUST
N/A
Sofi Consumer Loan Program 2017-3 LLC
83404JAA4
91785.33000000
PA
USD
92054.29000000
0.005034460584
Long
ABS-O
CORP
US
N
2
2026-05-25
Fixed
2.77000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MMLD3
45202.08000000
PA
USD
47791.68000000
0.002613732930
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36178WS67
61729.23000000
PA
USD
66773.30000000
0.003651840092
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EQN2
52203.26000000
PA
USD
60271.94000000
0.003296279904
Long
ABS-MBS
USGA
US
N
2
2037-12-20
Fixed
6.50000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BD3
50000.00000000
PA
USD
69437.50000000
0.003797545522
Long
DBT
NUSS
UY
N
2
2055-04-20
Fixed
4.98000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-L3
61691UBH1
970000.00000000
PA
USD
1079947.17000000
0.059062445217
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.49000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MJF20
26152.45000000
PA
USD
27753.77000000
0.001517857137
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
3.00000000
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J6A0
1010000.00000000
PA
USD
1021545.65000000
0.055868458816
Long
DBT
CORP
US
N
2
2022-09-09
Fixed
2.08000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407YAR0
99696.79000000
PA
USD
117198.18000000
0.006409583059
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R7J2
1362524.21000000
PA
USD
1472310.21000000
0.080520828738
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBZ1
3520000.00000000
PA
USD
3772721.15000000
0.206330589527
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAG0
3800000.00000000
PA
USD
4286072.06000000
0.234405814725
Long
DBT
CORP
GB
N
2
2028-11-03
Fixed
3.82000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MJWD7
17345.73000000
PA
USD
18943.91000000
0.001036044797
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSG1
351257.75000000
PA
USD
376894.26000000
0.020612394015
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.704290 08-MAR-2051
000000000
330000.00000000
OU
Notional Amount
-26560.90000000
-0.00145261892
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-03-08
0.00000000
GBP
-3664.23000000
GBP
330000.00000000
GBP
-21631.41000000
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAT5
285000.00000000
PA
USD
289377.60000000
0.015826096981
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
GLAXOSMITHKLINE CAP INC
5493007Q8VD7Q3ZYZS59
GlaxoSmithKline Capital Inc
377372AJ6
253000.00000000
PA
USD
327269.94000000
0.017898433774
Long
DBT
CORP
US
N
2
2043-03-18
Fixed
4.20000000
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.221500 17-MAR-2026
000000000
1100000.00000000
OU
Notional Amount
-1045.39000000
-0.00005717250
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-22.44000000
GBP
1100000.00000000
GBP
-1015.21000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QAXL9
1128685.79000000
PA
USD
1274876.01000000
0.069723127752
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
5.00000000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAK6
110000.00000000
PA
USD
123568.71000000
0.006757988138
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
3.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A26Q0
350364.88000000
PA
USD
376659.40000000
0.020599549493
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.50000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
2549005PXW31DRW8EC44
GLP Capital LP / GLP Financing II Inc
361841AK5
1145000.00000000
PA
USD
1356206.70000000
0.074171113317
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.75000000
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AT6
500000.00000000
PA
USD
518182.40000000
0.028339459987
Long
DBT
CORP
US
N
2
2022-08-22
Fixed
2.50000000
N
N
N
N
N
N
ESSENTIAL UTILITIES INC
549300ILTEOF3E3QY357
Essential Utilities Inc
03836WAB9
1030000.00000000
PA
USD
1183060.31000000
0.064701715685
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
3.57000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4EZ5
66728.79000000
PA
USD
72399.95000000
0.003959562281
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ER5J5
81770.31000000
PA
USD
85851.57000000
0.004695233054
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
LIFE STORAGE LP
X0MIGH67XZCB7HL1A534
Life Storage LP
53227JAC8
735000.00000000
PA
USD
750266.38000000
0.041032161756
Long
DBT
US
N
2
2030-10-15
Fixed
2.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELBU6
173087.01000000
PA
USD
199790.49000000
0.010926566778
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HJJL6
595226.15000000
PA
USD
659256.40000000
0.036054814616
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131XVS48
277731.10000000
PA
USD
295370.89000000
0.016153870757
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAY2
925000.00000000
PA
USD
1079126.57000000
0.059017566501
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.88000000
N
N
N
N
N
N
FS KKR CAPITAL CORP
549300TYRSI1T21B1360
FS KKR Capital Corp
302635AE7
680000.00000000
PA
USD
707832.42000000
0.038711443199
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
4.13000000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ADPE2
311655.07000000
PA
USD
337941.93000000
0.018482086237
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MLUW2
64291.86000000
PA
USD
68229.38000000
0.003731473289
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - STACR
549300TCRXCIFPAC3B85
Freddie Mac STACR REMIC Trust 2020-HQA1
35565JAA9
769336.70000000
PA
USD
769092.82000000
0.042061782104
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
0.90000000
N
N
N
N
N
N
Marlette Funding Trust
549300W2612MGSLICQ35
Marlette Funding Trust 2019-3
57109MAA9
1614871.82000000
PA
USD
1625763.32000000
0.088913198434
Long
ABS-O
CORP
US
N
2
2029-09-17
Fixed
2.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401NJY6
56081.62000000
PA
USD
64710.04000000
0.003539000146
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.00000000
N
N
N
N
N
N
MCCORMICK & CO
549300JQQA6MQ4OJP259
McCormick & Co Inc/MD
579780AQ0
425000.00000000
PA
USD
455111.45000000
0.024890101877
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417V4V2
45115.40000000
PA
USD
47864.94000000
0.002617739529
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS47
1360854.60000000
PA
USD
1442992.93000000
0.078917463044
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FAS7
3855000.00000000
PA
USD
4214059.36000000
0.230467431194
Long
DBT
CORP
US
N
2
2024-01-23
Fixed
3.65000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WDL2
900000.00000000
PA
USD
921017.27000000
0.050370549194
Long
DBT
CORP
US
N
2
2025-07-08
Fixed
1.20000000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
44644MAA9
2330000.00000000
PA
USD
2393983.01000000
0.130927228950
Long
DBT
CORP
US
N
2
2023-02-03
Fixed
1.80000000
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAG2
335000.00000000
PA
USD
323934.46000000
0.017716015958
Long
DBT
CORP
US
N
2
2060-08-15
Fixed
2.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.428000 17-MAR-2026
000000000
2410000.00000000
OU
Notional Amount
351.00000000
0.000019196233
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
49.16000000
AUD
0.00000000
AUD
2410000.00000000
AUD
314.51000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S2R7
46958.35000000
PA
USD
51245.75000000
0.002802636449
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022614
8786000.00000000
PA
USD
9300804.69000000
0.508662166766
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2018-R07
20753QAE9
7536797.54000000
PA
USD
7530920.35000000
0.411866971800
Long
ABS-MBS
USGSE
US
N
2
2031-04-25
Floating
2.55000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR 2019-HQA3
35564XAH4
5211394.53000000
PA
USD
5145334.89000000
0.281399005905
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Floating
2.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: PLN 0.767000 17-MAR-2026
000000000
7520000.00000000
OU
Notional Amount
11484.13000000
0.000628068499
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
139.53000000
PLN
0.00000000
PLN
7520000.00000000
PLN
11445.93000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQAH5
251859.41000000
PA
USD
282273.26000000
0.015437559742
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
4.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B20 Mortgage Trust
08162XBG8
3190000.00000000
PA
USD
3320635.60000000
0.181605974497
Long
ABS-MBS
CORP
US
N
2
2053-10-15
Fixed
2.03000000
N
N
N
N
N
N
WISCONSIN PUBLIC SERVICE
549300BJRHJVYNUMQZ30
Wisconsin Public Service Corp
976843BM3
85000.00000000
PA
USD
97814.02000000
0.005349460935
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.30000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FEZU7
2390000.00000000
PA
USD
2856835.12000000
0.156240668487
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKCU7
190958.88000000
PA
USD
214948.86000000
0.011755579921
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.50000000
N
N
N
N
N
N
Conn Funding II, L.P
N/A
Conn's Receivables Funding 2019-B LLC
20824LAA3
817629.58000000
PA
USD
818235.36000000
0.044749393736
Long
ABS-O
CORP
US
N
2
2024-06-17
Fixed
2.66000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818ED6
400000.00000000
PA
USD
443080.94000000
0.024232151787
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.25000000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XCSD8
395012.56000000
PA
USD
439770.26000000
0.024051090285
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2020-L4
61770KAX3
3070000.00000000
PA
USD
3352451.05000000
0.183345965420
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.70000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QBC9
400000.00000000
PA
USD
417864.11000000
0.022853040214
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
2.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXV2
716964.26000000
PA
USD
771224.70000000
0.042178374887
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414RNV3
1231.29000000
PA
USD
1293.91000000
0.000070764099
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
4.50000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
Intel Corp
458140AJ9
560000.00000000
PA
USD
572431.55000000
0.031306352756
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
3.30000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CKK1
224205.86000000
PA
USD
251193.84000000
0.013737822391
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJA32
56475.26000000
PA
USD
61099.98000000
0.003341565515
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P8FX4
476555.05000000
PA
USD
505772.91000000
0.027660783434
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
3.50000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2019-2
26208RAE5
357582.94000000
PA
USD
359938.30000000
0.019685070451
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
3.17000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31294MAC5
56293.24000000
PA
USD
59745.65000000
0.003267497038
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.432500 17-MAR-2026
000000000
1610000.00000000
OU
Notional Amount
-2370.82000000
-0.00012966044
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-32.84000000
EUR
1610000.00000000
EUR
-2331.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7TF4
178947.44000000
PA
USD
191313.57000000
0.010462962968
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.373500 17-MAR-2026
000000000
1070000.00000000
OU
Notional Amount
-2084.62000000
-0.00011400812
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
21.83000000
AUD
0.00000000
AUD
1070000.00000000
AUD
-2100.52000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CU77
150902.96000000
PA
USD
159899.93000000
0.008744947084
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335CB78
333740.70000000
PA
USD
357123.18000000
0.019531111188
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SWZ6
34882.63000000
PA
USD
38262.34000000
0.002092572139
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J93T6
191811.23000000
PA
USD
203261.86000000
0.011116416436
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV6K6
2639093.51000000
PA
USD
2770925.52000000
0.151542261764
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390A6R6
17450.62000000
PA
USD
19551.18000000
0.001069256468
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7XX0
414586.03000000
PA
USD
439568.53000000
0.024040057647
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAL9
610000.00000000
PA
USD
606947.71000000
0.033194045845
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31323AB35
362361.62000000
PA
USD
377093.13000000
0.020623270240
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAT0
1130000.00000000
PA
USD
1245831.20000000
0.068134663476
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A9TL5
100019.40000000
PA
USD
113482.13000000
0.006206351822
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
228227BD5
1000000.00000000
PA
USD
1094253.35000000
0.059844851983
Long
DBT
US
N
2
2023-01-15
Fixed
5.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617QG3N2
1018773.14000000
PA
USD
1079259.90000000
0.059024858336
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128P7SJ3
1051435.41000000
PA
USD
1101709.85000000
0.060252648897
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJX39
3322331.43000000
PA
USD
3497209.82000000
0.191262840578
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EW6D2
69145.89000000
PA
USD
74847.83000000
0.004093437143
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4.00000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QCE4
915000.00000000
PA
USD
860042.31000000
0.047035821038
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
2.05000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RHK1
1185000.00000000
PA
USD
1475866.45000000
0.080715319946
Long
DBT
CORP
US
N
2
2039-03-01
Fixed
4.85000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJZB9
3847894.07000000
PA
USD
4055130.02000000
0.221775565797
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GK3
370000.00000000
PA
USD
440955.67000000
0.024115920506
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GML7
128164.25000000
PA
USD
140140.40000000
0.007664295928
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
Florida Power & Light Co
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081FL6
500000.00000000
PA
USD
641385.02000000
0.035077426618
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
4.05000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AU0
1887000.00000000
PA
USD
2163705.91000000
0.118333345673
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.20000000
N
N
N
N
N
N
Motorola Solutions Inc
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BL2
939000.00000000
PA
USD
1132836.46000000
0.061954967074
Long
DBT
CORP
US
N
2
2028-02-23
Fixed
4.60000000
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
FSWP: KRW 1.060000 17-MAR-2026
000000000
1160940000.00000000
OU
Notional Amount
-4307.60000000
-0.00023558318
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
2026-03-17
0.00000000
KRW
0.00000000
KRW
1160940000.00000000
KRW
-4307.60000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NTP6
66014.31000000
PA
USD
77425.43000000
0.004234406408
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
5.50000000
N
N
N
N
N
N
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-6155.80000000
-0.00033666146
N/A
DFE
US
N
2
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
970000.00000000
EUR
1180771.30000000
USD
2021-03-17
-6155.80000000
N
N
N
Santander UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAV5
1340000.00000000
PA
USD
1378955.58000000
0.075415252397
Long
DBT
CORP
GB
N
2
2021-11-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176HTH7
13128.07000000
PA
USD
13857.32000000
0.000757858556
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BLS3
15998.99000000
PA
USD
17264.03000000
0.000944171950
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348AW6
4710000.00000000
PA
USD
5321068.57000000
0.291009902749
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CMF8
2788999.84000000
PA
USD
2959074.11000000
0.161832131582
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BTUM1
1590000.00000000
PA
USD
1814984.36000000
0.099261720676
Long
ABS-MBS
USGSE
US
N
2
2026-11-25
Variable
3.35000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJX9
400000.00000000
PA
USD
442266.10000000
0.024187588086
Long
DBT
CORP
US
N
2
2024-05-13
Fixed
3.63000000
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BZ2
70000.00000000
PA
USD
77495.11000000
0.004238217216
Long
DBT
CORP
US
N
2
2040-05-11
Fixed
2.98000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AQ2
600000.00000000
PA
USD
835516.72000000
0.045694513467
Long
DBT
CORP
GB
N
2
2044-03-14
Fixed
5.25000000
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348AV8
265000.00000000
PA
USD
287445.98000000
0.015720456443
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QACR9
13367.37000000
PA
USD
14747.32000000
0.000806532767
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833CX6
925000.00000000
PA
USD
1036179.69000000
0.056668796286
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406XLV2
6594.66000000
PA
USD
7760.16000000
0.000424404116
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SWW3
51679.11000000
PA
USD
55014.31000000
0.003008739465
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XJM3
82092.16000000
PA
USD
89779.26000000
0.004910038910
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
3.50000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QBU9
800000.00000000
PA
USD
928621.44000000
0.050786422198
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.70000000
N
N
N
N
N
N
AstraZeneca PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353AR9
1200000.00000000
PA
USD
1292632.28000000
0.070694220370
Long
DBT
CORP
GB
N
2
2023-08-17
Fixed
3.50000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AC3
2010000.00000000
PA
USD
3066759.69000000
0.167721469363
Long
DBT
CORP
US
N
2
2038-05-16
Fixed
6.38000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
312939JD4
10111.88000000
PA
USD
11355.22000000
0.000621018395
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAJ4
219474.93000000
PA
USD
233213.33000000
0.012754466060
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
3.00000000
N
N
N
N
N
N
Florida Power & Light Co
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081FK8
800000.00000000
PA
USD
861305.89000000
0.047104926386
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.25000000
N
N
N
N
N
N
ALLEGION US HOLDING CO
5493002B66JX7J7SXI33
Allegion US Holding Co Inc
01748NAE4
125000.00000000
PA
USD
136707.89000000
0.007476571528
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390CTF3
12750.09000000
PA
USD
14553.21000000
0.000795916867
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
6.50000000
N
N
N
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BF5
255000.00000000
PA
USD
267538.83000000
0.014631731930
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
2.90000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2020-C58
95002UAJ0
2430000.00000000
PA
USD
2531762.81000000
0.138462423370
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Fixed
2.09000000
N
N
N
N
N
N
Ameriquest Mortgage Securities Inc.
N/A
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R4
03072SRF4
13891.68000000
PA
USD
14269.60000000
0.000780406201
Long
ABS-O
CORP
US
N
2
2034-06-25
Floating
0.97000000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAR8
750000.00000000
PA
USD
780090.00000000
0.042663219248
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.95000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2016-C1
46645LAY3
810000.00000000
PA
USD
911662.94000000
0.049858959722
Long
ABS-MBS
CORP
US
N
2
2049-03-15
Fixed
3.58000000
N
N
N
N
N
N
BlackRock Funds III
5493008LW2651I1QB503
BlackRock Cash Funds: Institutional, SL Agency Shares
066922519
44505476.58300000
NS
USD
44532179.87000000
2.435470462881
Long
STIV
RF
US
N
1
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050615
350000.00000000
PA
USD
382087.89000000
0.020896434287
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
5.00000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2019-3
91678WAA7
1061198.67000000
PA
USD
1070618.08000000
0.058552236124
Long
ABS-O
CORP
US
N
2
2030-01-21
Fixed
2.68000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AC1
1150000.00000000
PA
USD
1287781.50000000
0.070428930608
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
5.05000000
N
N
N
N
N
N
PacifiCorp
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114CQ9
800000.00000000
PA
USD
843832.25000000
0.046149290838
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
2.95000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371PBT6
34288.82000000
PA
USD
36002.84000000
0.001968999803
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.00000000
N
N
N
N
N
N
SENSATA TECH INC
N/A
Sensata Technologies Inc
81728UAA2
800000.00000000
PA
USD
861000.00000000
0.047088197224
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.38000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUD5
150194.55000000
PA
USD
166186.03000000
0.009088734676
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
5.00000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063BJC7
500000.00000000
PA
USD
909495.00000000
0.049740394813
Long
DBT
MUN
US
N
2
2040-11-01
Fixed
7.60000000
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAJ4
60000.00000000
PA
USD
69430.42000000
0.003797158316
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.60000000
N
N
N
N
N
Marlette Funding Trust
N/A
Marlette Funding Trust 2020-1
57109JAA6
1300977.14000000
PA
USD
1308819.56000000
0.071579504729
Long
ABS-O
CORP
US
N
2
2030-03-15
Fixed
2.24000000
N
N
N
N
N
N
ESSENTIAL UTILITIES INC
549300ILTEOF3E3QY357
Essential Utilities Inc
29670GAD4
380000.00000000
PA
USD
411953.88000000
0.022529808999
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: OIS 0.5545 FED 20-OCT-2030
000000000
1250000.00000000
OU
Notional Amount
USD
20154.93000000
0.001102275631
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-10-21
0.00000000
USD
0.00000000
USD
1250000.00000000
USD
20154.93000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31335HP31
3.20000000
PA
USD
3.22000000
0.000000176102
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YL2D2
82709.45000000
PA
USD
88393.73000000
0.004834264101
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31326FRD2
77061.84000000
PA
USD
79656.70000000
0.004356434843
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Floating
2.44000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
0J0XRGZE3PBRFEZ7MV65
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
1350000.00000000
PA
USD
1567954.75000000
0.085751640541
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.91000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412AQB3
2424.59000000
PA
USD
2854.16000000
0.000156094365
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7EF0
16161.95000000
PA
USD
17353.89000000
0.000949086405
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Avangrid Inc
549300OX0Q38NLSKPB49
Avangrid Inc
05351WAB9
600000.00000000
PA
USD
688137.82000000
0.037634343072
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.80000000
N
N
N
N
N
N
BALTIMORE GAS & ELECTRIC
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co
059165EG1
800000.00000000
PA
USD
865600.37000000
0.047339792032
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.40000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 0.504110 08-MAR-2026
000000000
80440000.00000000
OU
Notional Amount
USD
-90088.29000000
-0.00492693979
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-09
54019.55000000
USD
0.00000000
USD
80440000.00000000
USD
-144107.84000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR21 XCBT 20210322
000000000
351.00000000
NC
USD
-1065794.31000000
-0.05828842354
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNH1 Comdty
2021-03-22
76026231.81000000
USD
-1065794.31000000
N
N
N
VF CORP
CWAJJ9DJ5Z7P057HV541
VF Corp
918204AZ1
4725000.00000000
PA
USD
4826493.19000000
0.263961513625
Long
DBT
CORP
US
N
2
2022-04-23
Fixed
2.05000000
N
N
N
N
N
N
BALTIMORE GAS & ELECTRIC
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co
059165EM8
170000.00000000
PA
USD
183036.59000000
0.010010293901
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.90000000
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0MD8
999772.84000000
PA
USD
1023471.36000000
0.055973776135
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Floating
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CXX7
86791.17000000
PA
USD
92184.51000000
0.005041582332
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
4.00000000
N
N
N
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAW5
330000.00000000
PA
USD
435543.39000000
0.023819922239
Long
DBT
CORP
US
N
2
2049-03-07
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X3CP1
393140.88000000
PA
USD
418836.32000000
0.022906210500
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CQ2
1045000.00000000
PA
USD
1379957.54000000
0.075470049714
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DUM3
50791.10000000
PA
USD
53897.93000000
0.002947684503
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36241LLT1
99789.78000000
PA
USD
114393.55000000
0.006256197495
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
5.50000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BA9
1200000.00000000
PA
USD
1679250.00000000
0.091838391624
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE Electric Co
23338VAB2
1590000.00000000
PA
USD
1731517.70000000
0.094696918646
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.65000000
N
N
N
N
N
ALIBABA GROUP HOLDING
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609WAV4
2530000.00000000
PA
USD
3157756.25000000
0.172698082562
Long
DBT
CORP
KY
N
2
2047-12-06
Fixed
4.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SSN8
595413.04000000
PA
USD
633968.86000000
0.034671835904
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDZ6
200000.00000000
PA
USD
229414.79000000
0.012546723435
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
3.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: SGD 0.528000 17-MAR-2026
000000000
1775000.00000000
OU
Notional Amount
-3489.86000000
-0.00019086087
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
0.00000000
SGD
-32.94000000
SGD
1775000.00000000
SGD
-3465.66000000
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
1360698A2
350000.00000000
PA
USD
362060.43000000
0.019801130005
Long
DBT
CORP
CA
N
2
2023-07-22
Fixed
2.61000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404QAL3
87298.44000000
PA
USD
102073.69000000
0.005582422817
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.439000 17-MAR-2026
000000000
2890000.00000000
OU
Notional Amount
1642.27000000
0.000089815950
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
58.96000000
AUD
0.00000000
AUD
2890000.00000000
AUD
1598.58000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJC3
149014.67000000
PA
USD
174577.89000000
0.009547686545
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05367AAD5
300000.00000000
PA
USD
304016.10000000
0.016626678369
Long
DBT
CORP
US
N
2
2021-04-06
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LSZ78
35378.24000000
PA
USD
38250.05000000
0.002091899997
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
3.50000000
N
N
N
N
N
N
Bay Area Toll Authority
5493001FUZGUQMIP5D78
BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE
072024ND0
500000.00000000
PA
USD
863205.00000000
0.047208788948
Long
DBT
MUN
US
N
2
2049-04-01
Fixed
6.26000000
N
N
N
N
N
S&P Global Inc
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VAM6
685000.00000000
PA
USD
758025.04000000
0.041456483837
Long
DBT
CORP
US
N
2
2027-01-22
Fixed
2.95000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEA6
730000.00000000
PA
USD
847416.82000000
0.046345331418
Long
DBT
CORP
US
N
2
2060-05-15
Fixed
3.13000000
N
N
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAA2
17006.12000000
PA
USD
17006.12000000
0.000930066820
Long
ABS-MBS
USGSE
US
N
2
2048-09-25
Floating
0.90000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBC9
900000.00000000
PA
USD
962117.26000000
0.052618312766
Long
DBT
US
N
2
2024-11-18
Fixed
2.63000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AS0
1200000.00000000
PA
USD
1230240.00000000
0.067281978807
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.38000000
N
N
N
N
N
Madison Avenue Trust
N/A
Eleven Madison Trust 2015-11MD Mortgage Trust
556227AA4
150000.00000000
PA
USD
164941.79000000
0.009020687036
Long
ABS-MBS
CORP
US
N
2
2035-09-10
Variable
3.55000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31292SAV2
117283.74000000
PA
USD
127510.08000000
0.006973542154
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKD3
1445000.00000000
PA
USD
1466629.08000000
0.080210127031
Long
DBT
CORP
US
N
2
2043-02-01
Fixed
3.10000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31326FRA8
2381.57000000
PA
USD
2415.92000000
0.000132126965
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Floating
2.37000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136A6JA3
1118281.80000000
PA
USD
1134514.55000000
0.062046742025
Long
ABS-MBS
USGSE
US
N
2
2022-02-25
Fixed
2.72000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SGM3
65297.71000000
PA
USD
71276.47000000
0.003898119020
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
4.00000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DM9
940000.00000000
PA
USD
986486.18000000
0.053951052035
Long
DBT
CORP
US
N
2
2024-09-11
Fixed
1.80000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
818000.00000000
PA
USD
884315.43000000
0.048363320994
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
OMEGA HLTHCARE INVESTORS
549300OJ7ENK42CZ8E73
Omega Healthcare Investors Inc
681936BB5
1400000.00000000
PA
USD
1524092.53000000
0.083352810267
Long
DBT
US
N
2
2024-04-01
Fixed
4.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36178DSS1
99138.25000000
PA
USD
110897.65000000
0.006065006289
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132GUJW5
19224.45000000
PA
USD
21167.66000000
0.001157661961
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.258000 17-MAR-2026
000000000
1100000.00000000
OU
Notional Amount
-3794.03000000
-0.00020749597
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-22.44000000
GBP
1100000.00000000
GBP
-3764.05000000
N
N
N
PIEDMONT NATURAL GAS CO
VXB4M3BDPKF3I2AZ3G89
Piedmont Natural Gas Co Inc
720186AL9
1500000.00000000
PA
USD
1721911.16000000
0.094171535777
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31329PZC0
291499.28000000
PA
USD
315480.49000000
0.017253667286
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BA9
175000.00000000
PA
USD
185273.95000000
0.010132655398
Long
DBT
CORP
US
N
2
2023-03-14
Fixed
3.30000000
N
N
N
N
N
N
ENVA 2019-A LLC
N/A
ENVA 2019-A LLC
294021AA8
319762.61000000
PA
USD
320409.75000000
0.017523249129
Long
ABS-O
CORP
US
N
2
2026-06-22
Fixed
3.96000000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEC4
310000.00000000
PA
USD
466815.83000000
0.025530215877
Long
DBT
CORP
US
N
2
2037-10-15
Fixed
6.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 1.258660 08-MAR-2051
000000000
30890000.00000000
OU
Notional Amount
USD
771016.56000000
0.042166991684
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-03-08
0.00000000
USD
-208134.08000000
USD
30890000.00000000
USD
979150.64000000
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081FX0
40000.00000000
PA
USD
46101.66000000
0.002521305526
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.15000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
GG5LRZV04I3KOUQCND87
Dell International LLC / EMC Corp
25272KAN3
235000.00000000
PA
USD
347536.90000000
0.019006836341
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
8.10000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128UGY27
24732.99000000
PA
USD
25554.52000000
0.001397579881
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Floating
2.75000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MBV1
1325000.00000000
PA
USD
1405958.31000000
0.076892035064
Long
DBT
CORP
JP
N
2
2025-01-15
Fixed
2.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MBWR3
258382.97000000
PA
USD
274225.92000000
0.014997449715
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
3.00000000
N
N
N
N
N
N
TEXAS INSTRUMENTS INC
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508BJ2
730000.00000000
PA
USD
757067.12000000
0.041404095073
Long
DBT
CORP
US
N
2
2030-05-04
Fixed
1.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: OIS 0.9775 FED 20-OCT-2050
000000000
500000.00000000
OU
Notional Amount
USD
-31459.50000000
-0.00172052397
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-10-20
0.00000000
USD
0.00000000
USD
500000.00000000
USD
-31459.50000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2015-UBS8
61691ABK8
3010000.00000000
PA
USD
3256197.53000000
0.178081848424
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Fixed
3.54000000
N
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859BE1
1430000.00000000
PA
USD
1927297.89000000
0.105404161619
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
4.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: OIS 0.74005 SOFR 20-OCT-203
000000000
500000.00000000
OU
Notional Amount
USD
14195.64000000
0.000776361319
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2035-10-22
0.00000000
USD
0.00000000
USD
500000.00000000
USD
14195.64000000
N
N
N
EDCON HOLDCO 1
213800QFMH6S1TYEKJ66
EDCON HOLDCO 1
000000000
1643590.00000000
NS
1.12000000
0.000000061252
Long
EC
CORP
ZA
N
3
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAK1
179379.55000000
PA
USD
191869.40000000
0.010493361380
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409CE76
7737.55000000
PA
USD
9272.54000000
0.000507116367
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXA7
2120000.00000000
PA
USD
2710193.33000000
0.148220810730
Long
DBT
CORP
US
N
2
2039-04-23
Fixed
4.41000000
N
N
N
N
N
N
INDIANA MICHIGAN POWER
JHR9V15J0ZRG02MIRD06
Indiana Michigan Power Co
454889AP1
1190000.00000000
PA
USD
1251741.35000000
0.068457890316
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.20000000
N
N
N
N
N
Thomson Reuters Corp
549300561UZND4C7B569
Thomson Reuters Corp
884903BT1
800000.00000000
PA
USD
878486.77000000
0.048044550853
Long
DBT
CORP
CA
N
2
2024-09-29
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8KW6
1041405.38000000
PA
USD
1098751.67000000
0.060090865664
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180NAD7
67584.26000000
PA
USD
74136.27000000
0.004054521838
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDC3
1280000.00000000
PA
USD
1429479.46000000
0.078178409686
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.45000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCU8
3345000.00000000
PA
USD
3488717.09000000
0.190798372117
Long
DBT
CORP
US
N
2
2022-07-08
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETU61
9374560.04000000
PA
USD
10254431.03000000
0.560816110060
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CL6
1340000.00000000
PA
USD
1485781.52000000
0.081257576359
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E24G3
17229.67000000
PA
USD
18903.58000000
0.001033839144
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAR6
800000.00000000
PA
USD
869054.04000000
0.047528673674
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8GN7
294191.23000000
PA
USD
319559.30000000
0.017476737913
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RQ36
11259.34000000
PA
USD
12381.61000000
0.000677151792
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: OIS 0.1815 FED 20-OCT-2025
000000000
2500000.00000000
OU
Notional Amount
USD
7672.26000000
0.000419596854
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-10-20
0.00000000
USD
0.00000000
USD
2500000.00000000
USD
7672.26000000
N
N
N
PacifiCorp
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114CT3
280000.00000000
PA
USD
360007.51000000
0.019688855555
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.13000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R02
20754WAA3
3214184.42000000
PA
USD
3214184.42000000
0.175784146206
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Floating
0.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8VQ3
67117.18000000
PA
USD
71486.06000000
0.003909581523
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: SGD 0.602500 17-MAR-2026
000000000
783255.00000000
OU
Notional Amount
-3748.08000000
-0.00020498296
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
0.00000000
SGD
-14.53000000
SGD
783255.00000000
SGD
-3737.31000000
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AS4
470000.00000000
PA
USD
488164.34000000
0.026697768547
Long
DBT
CORP
US
N
2
2023-04-13
Fixed
2.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KJXK3
1543677.59000000
PA
USD
1644951.79000000
0.089962618248
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
AMEREN CORP
XRZQ5S7HYJFPHJ78L959
Ameren Corp
023608AH5
65000.00000000
PA
USD
69279.47000000
0.003788902841
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.50000000
N
N
N
N
N
N
SUTTER HEALTH
549300MJCC12LU768G81
Sutter Health
86944BAJ2
54000.00000000
PA
USD
58781.00000000
0.003214740210
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
3.36000000
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXG4
6060000.00000000
PA
USD
6518449.48000000
0.356494813832
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
2.60000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31296J3K0
149958.78000000
PA
USD
169722.17000000
0.009282126613
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSNW8
25460.40000000
PA
USD
27313.94000000
0.001493802780
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 0.496420 08-MAR-2026
000000000
41150000.00000000
OU
Notional Amount
USD
85604.02000000
0.004681694514
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-09
0.00000000
USD
-2530.60000000
USD
41150000.00000000
USD
88134.62000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SWX1
495488.06000000
PA
USD
532348.34000000
0.029114197010
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
3.50000000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560AT2
760000.00000000
PA
USD
759438.76000000
0.041533800360
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.50000000
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBD4
1500000.00000000
PA
USD
1797145.11000000
0.098286089872
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
4.80000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DVLA1
1009799.67000000
PA
USD
1084110.26000000
0.059290125128
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XJR2
427220.89000000
PA
USD
460087.41000000
0.025162237749
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
3.50000000
N
N
N
N
N
N
NETAPP INC
QTX3D84DZDD5JYOCYH15
NetApp Inc
64110DAJ3
165000.00000000
PA
USD
176364.83000000
0.009645414516
Long
DBT
CORP
US
N
2
2027-06-22
Fixed
2.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GQ6T8
578999.82000000
PA
USD
614239.50000000
0.033592834748
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: ZAR 5.450000 17-MAR-2026
000000000
16610000.00000000
OU
Notional Amount
28511.73000000
0.001559310064
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
305.21000000
ZAR
0.00000000
ZAR
16610000.00000000
ZAR
28493.82000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128PLLG5
6582.79000000
PA
USD
6912.41000000
0.000378040563
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
5.00000000
N
N
N
N
N
N
WILLIS NORTH AMERICA INC
5493004KVU1HWZCP0C66
Willis North America Inc
970648AJ0
940000.00000000
PA
USD
1028470.68000000
0.056247189569
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABC8
90000.00000000
PA
USD
102492.00000000
0.005605300243
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607GLZ5
1960000.00000000
PA
USD
2081946.63000000
0.113861920468
Long
DBT
CORP
CA
N
2
2025-01-28
Fixed
2.25000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAB8
205000.00000000
PA
USD
226840.65000000
0.012405943397
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F0JL9
90476.76000000
PA
USD
99693.07000000
0.005452226413
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5CH4
103505.48000000
PA
USD
113066.27000000
0.006183608386
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.00000000
N
N
N
N
N
N
PACCAR FINANCIAL CORP
PH3S12DWZBHHQKVYZ297
PACCAR Financial Corp
69371RQ82
170000.00000000
PA
USD
171820.82000000
0.009396902043
Long
DBT
CORP
US
N
2
2023-06-08
Fixed
0.80000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2020-2
80285RAE8
1520000.00000000
PA
USD
1529369.89000000
0.083641429743
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
0.96000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QCA4
3300000.00000000
PA
USD
3536020.55000000
0.193385404235
Long
DBT
CORP
CA
N
2
2024-06-12
Fixed
2.65000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBH4
2170000.00000000
PA
USD
2375074.63000000
0.129893127293
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F032617
8031200.00000000
PA
USD
8489229.38000000
0.464277011993
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJG5
950000.00000000
PA
USD
960334.96000000
0.052520838557
Long
DBT
CORP
US
N
2
2025-09-25
Fixed
0.98000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: OIS 0.175625 SOFR 20-OCT-20
000000000
2500000.00000000
OU
Notional Amount
USD
-5473.91000000
-0.00029936881
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-10-20
0.00000000
USD
0.00000000
USD
2500000.00000000
USD
-5473.91000000
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
Equifax Inc
294429AS4
530000.00000000
PA
USD
589543.95000000
0.032242232044
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.10000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QBR6
800000.00000000
PA
USD
864075.89000000
0.047256418031
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
2.25000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KP88
10269.47000000
PA
USD
12169.72000000
0.000665563502
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
7.00000000
N
N
N
N
N
N
AIRCASTLE LTD
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAS0
1985000.00000000
PA
USD
2090515.67000000
0.114330562333
Long
DBT
CORP
BM
N
2
2026-06-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8LY9
137635.83000000
PA
USD
152555.45000000
0.008343276558
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNQ4
1471575.41000000
PA
USD
1555274.38000000
0.085058149527
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415RPD0
7048.83000000
PA
USD
7921.48000000
0.000433226727
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411WXC6
10611.10000000
PA
USD
11763.68000000
0.000643357124
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297GD64
228736.34000000
PA
USD
265840.62000000
0.014538856614
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPZJ6
92657.66000000
PA
USD
101285.68000000
0.005539326452
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
3.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JH1
90000.00000000
PA
USD
89825.62000000
0.004912574344
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8AM5
476116.80000000
PA
USD
519595.19000000
0.028416725648
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607GRK2
2020000.00000000
PA
USD
2046709.29000000
0.111934785955
Long
DBT
CORP
CA
N
2
2023-06-23
Fixed
0.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WUD2
9986.01000000
PA
USD
11611.90000000
0.000635056257
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR21 XCBT 20210331
000000000
2299.00000000
NC
USD
641898.14000000
0.035105489215
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVH1 Comdty
2021-03-31
289409282.70000000
USD
641898.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417Y7H4
71140.04000000
PA
USD
75827.22000000
0.004147000104
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XAA8
5053786.14000000
PA
USD
5063629.90000000
0.276930549827
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Floating
1.65000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2020-C8
05552ABC1
2970000.00000000
PA
USD
3087084.23000000
0.168833020987
Long
ABS-MBS
CORP
US
N
2
2053-10-15
Fixed
2.04000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
105000.00000000
PA
USD
138265.35000000
0.007561749210
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132XS6Q8
69398.87000000
PA
USD
77742.16000000
0.004251728411
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
5.00000000
N
N
N
N
N
N
HERSHEY COMPANY
21X2CX66SU2BR6QTAD08
Hershey Co/The
427866BG2
105000.00000000
PA
USD
111242.99000000
0.006083892976
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.65000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWQ3
2200000.00000000
PA
USD
2409935.99000000
0.131799699413
Long
DBT
CORP
US
N
2
2025-09-29
Fixed
3.27000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.310000 17-MAR-2026
000000000
1100000.00000000
OU
Notional Amount
-7710.77000000
-0.00042170297
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-22.44000000
GBP
1100000.00000000
GBP
-7680.64000000
N
N
N
Wells Fargo Commercial Mortgage Trust
5493007CD1Q2V06I4172
Wells Fargo Commercial Mortgage Trust 2014-LC18
94989AAW5
510000.00000000
PA
USD
561268.11000000
0.030695822833
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M5GF0
29533.68000000
PA
USD
32194.69000000
0.001760731605
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
3.50000000
N
N
N
N
N
N
DIAGEO CAPITAL PLC
213800L23DJLALFC4O95
Diageo Capital PLC
25243YBD0
1255000.00000000
PA
USD
1308726.20000000
0.071574398859
Long
DBT
CORP
GB
N
2
2030-04-29
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DUL5
27080.16000000
PA
USD
28771.38000000
0.001573510355
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747WAF6
2220000.00000000
PA
USD
2226624.39000000
0.121774365180
Long
DBT
CORP
US
N
2
2021-01-25
Fixed
5.75000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCR1
800000.00000000
PA
USD
1125534.40000000
0.061555616503
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132QL4T7
18974.91000000
PA
USD
20902.50000000
0.001143160328
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230SMC5
20296.13000000
PA
USD
22120.22000000
0.001209757586
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416YLQ9
128563.15000000
PA
USD
149483.99000000
0.008175298029
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAQ5
1420000.00000000
PA
USD
1356176.21000000
0.074169445815
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
1095000.00000000
PA
USD
1152498.45000000
0.063030283756
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAB9
80000.00000000
PA
USD
81338.19000000
0.004448395740
Long
DBT
CORP
GB
N
2
2025-09-02
Fixed
1.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAND6
465349.85000000
PA
USD
501970.42000000
0.027452824782
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAY1
2330000.00000000
PA
USD
2873787.05000000
0.157167771650
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DJA0
2919.42000000
PA
USD
3521.36000000
0.000192583616
Long
ABS-MBS
USGA
US
N
2
2030-08-20
Fixed
7.50000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CC1
1715000.00000000
PA
USD
1980396.35000000
0.108308123009
Long
DBT
CORP
GB
N
2
2030-05-22
Fixed
3.97000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335B7C4
283895.55000000
PA
USD
312098.16000000
0.017068687237
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: OIS 0.781 FED 20-OCT-2035
000000000
500000.00000000
OU
Notional Amount
USD
-15125.84000000
-0.00082723407
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2035-10-22
0.00000000
USD
0.00000000
USD
500000.00000000
USD
-15125.84000000
N
N
N
CPS Auto Trust
N/A
CPS Auto Receivables Trust 2020-B
12656CAA3
1291932.27000000
PA
USD
1295758.71000000
0.070865205216
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
1.15000000
N
N
N
N
N
N
EVERGY METRO
1128SIJQ26096WL7IO82
Evergy Metro Inc
485134BN9
1590000.00000000
PA
USD
1674452.36000000
0.091576008095
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJX52
40152.06000000
PA
USD
44942.32000000
0.002457901077
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300DT2BKPLXAJ4C66
Wells Fargo Commercial Mortgage Trust 2015-C26
94989CAZ4
1380000.00000000
PA
USD
1490270.69000000
0.081503089626
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.58000000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAE8
1000000.00000000
PA
USD
1122177.94000000
0.061372051288
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180UHF9
27442.66000000
PA
USD
30048.34000000
0.001643347456
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
3.50000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EM6
955000.00000000
PA
USD
1158823.28000000
0.063376189496
Long
DBT
CORP
US
N
2
2049-07-29
Fixed
3.38000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAV3
800000.00000000
PA
USD
876765.97000000
0.047950440086
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31373KHT9
128828.57000000
PA
USD
129477.57000000
0.007081144427
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
1.80000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2005-5
36242DR88
11897.73000000
PA
USD
12116.18000000
0.000662635393
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
1.09000000
N
N
N
N
N
N
INTERSTATE POWER & LIGHT
EF9UQIIO4KY2BWOK3P26
Interstate Power and Light Co
461070AS3
530000.00000000
PA
USD
560454.19000000
0.030651309446
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.30000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132HMVZ1
127320.63000000
PA
USD
138500.63000000
0.007574616702
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452151LF8
255000.00000000
PA
USD
272375.70000000
0.014896260953
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.10000000
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.281000 17-MAR-2026
000000000
1280000.00000000
OU
Notional Amount
-6431.00000000
-0.00035171219
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-26.11000000
GBP
1280000.00000000
GBP
-6395.92000000
N
N
N
Texas Transportation Commission
5493006JSGNPGVJS7691
TEXAS ST TRANSPRTN COMMISSION
882830BH4
465000.00000000
PA
USD
466297.35000000
0.025501860141
Long
DBT
MUN
US
N
2
2044-10-01
Fixed
2.47000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
549300KR7NUJOX0UJ040
Exeter Automobile Receivables Trust 2019-1
30167DAB3
1027423.61000000
PA
USD
1028942.24000000
0.056272979244
Long
ABS-O
CORP
US
N
2
2023-02-15
Fixed
3.45000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2020-1
30167HAC2
9560000.00000000
PA
USD
9691775.04000000
0.530044383897
Long
ABS-O
CORP
US
N
2
2024-04-15
Fixed
2.26000000
N
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AH4
670000.00000000
PA
USD
707647.31000000
0.038701319510
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
4473704.40000000
PA
USD
4458959.97000000
0.243861076053
Long
ABS-MBS
USGSE
US
N
2
2039-10-25
Floating
2.25000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAG5
590000.00000000
PA
USD
689931.25000000
0.037732425982
Long
DBT
NUSS
MX
N
2
2050-01-31
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133A36A1
2621475.97000000
PA
USD
2749567.32000000
0.150374179146
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BZ4
1240000.00000000
PA
USD
1430612.37000000
0.078240368675
Long
DBT
CORP
US
N
2
2049-12-15
Fixed
3.13000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2020-2
96042PAD4
1310000.00000000
PA
USD
1325964.05000000
0.072517139022
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
1.32000000
N
N
N
N
N
N
Citicorp Mortgage Securities, Inc.
549300ISEJNGWSXAKR30
Citicorp Mortgage Securities Trust Series 2006-1
1729735F2
2452.74000000
PA
USD
2474.88000000
0.000135351495
Long
ABS-MBS
CORP
US
N
2
2021-02-25
Fixed
5.00000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556BY7
1350000.00000000
PA
USD
1810175.19000000
0.098998706570
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.10000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M6AP3
26365.83000000
PA
USD
31005.65000000
0.001695702859
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620C0XW3
189042.11000000
PA
USD
219754.72000000
0.012018413003
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8LM3
450645.96000000
PA
USD
479983.53000000
0.026250359030
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.00000000
N
N
N
N
N
N
AIR PRODUCTS & CHEMICALS
7QEON6Y1RL5XR3R1W237
Air Products and Chemicals Inc
009158AZ9
187000.00000000
PA
USD
201536.55000000
0.011022059017
Long
DBT
CORP
US
N
2
2040-05-15
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M7ME3
1858.39000000
PA
USD
2087.23000000
0.000114150868
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKQD0
335780.56000000
PA
USD
356098.04000000
0.019475046154
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
0J0XRGZE3PBRFEZ7MV65
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BM5
1900000.00000000
PA
USD
2372990.39000000
0.129779139948
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJQ27
387793.12000000
PA
USD
412781.04000000
0.022575046483
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AQ9
1800000.00000000
PA
USD
1852044.41000000
0.101288539426
Long
DBT
CORP
JP
N
2
2021-11-26
Fixed
4.00000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
5493006QMFDDMYWIAM13
Santander Drive Auto Receivables Trust 2017-2
80285LAF8
4580542.58000000
PA
USD
4635968.98000000
0.253541720854
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
3.49000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818DN5
1590000.00000000
PA
USD
1664520.71000000
0.091032844920
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
2.75000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111FV0
50000.00000000
PA
USD
61796.05000000
0.003379633670
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
4.13000000
N
N
N
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
Waste Management Inc
94106LBD0
1000000.00000000
PA
USD
1044306.41000000
0.057113247615
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
2.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042612
188000.00000000
PA
USD
201306.88000000
0.011009498336
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
4.50000000
N
N
N
N
N
N
ALABAMA POWER CO
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392FT0
370000.00000000
PA
USD
434103.45000000
0.023741171741
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DCB6
23396.70000000
PA
USD
25385.60000000
0.001388341625
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: HKD 0.532500 17-MAR-2026
000000000
18830000.00000000
OU
Notional Amount
2697.53000000
0.000147528251
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
384.13000000
HKD
0.00000000
HKD
18830000.00000000
HKD
2647.98000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGM5
2550000.00000000
PA
USD
3141386.67000000
0.171802828193
Long
DBT
CORP
US
N
2
2038-04-24
Fixed
4.24000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2020-2
23343RAA6
2052122.11000000
PA
USD
2061332.85000000
0.112734550273
Long
ABS-O
CORP
US
N
2
2024-01-16
Fixed
1.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YPAX0
47847.27000000
PA
USD
50482.04000000
0.002760869054
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
2.50000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
GG5LRZV04I3KOUQCND87
Dell International LLC / EMC Corp
25272KAR4
2960000.00000000
PA
USD
4477938.79000000
0.244899030082
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
8.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AVB0
224374.52000000
PA
USD
261786.51000000
0.014317136833
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-1897.28000000
-0.00010376247
N/A
DFE
US
N
2
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
70000.00000000
GBP
93870.74000000
USD
2021-03-17
-1897.28000000
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables Trust 2017-1
03065FAF9
1255865.40000000
PA
USD
1263212.97000000
0.069085274642
Long
ABS-O
CORP
US
N
2
2022-08-18
Fixed
2.71000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E4YL9
1180.01000000
PA
USD
1211.31000000
0.000066246694
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Floating
3.81000000
N
N
N
N
N
N
Drive Auto Receivables Trust
549300I6T32I4NYWF543
Drive Auto Receivables Trust 2017-A
26208CAN8
817991.06000000
PA
USD
829323.43000000
0.045355801666
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
4.16000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7L3
622368.68000000
PA
USD
674466.99000000
0.036886683677
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV93
25024.39000000
PA
USD
27806.19000000
0.001520723993
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
5.50000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBY0
740000.00000000
PA
USD
745496.59000000
0.040771301347
Long
DBT
CORP
US
N
2
2021-04-30
Fixed
3.45000000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855RAK6
800000.00000000
PA
USD
858000.00000000
0.046924126850
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
3.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RXE4
56810.82000000
PA
USD
62195.50000000
0.003401479640
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RVB2
150959.88000000
PA
USD
162534.72000000
0.008889044077
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F032419
5562880.00000000
PA
USD
5898814.31000000
0.322606889219
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 0.099000 17-MAR-2026
000000000
15730000.00000000
OU
Notional Amount
5045.16000000
0.000275920428
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
SEK
-320.89000000
SEK
15730000.00000000
SEK
5082.80000000
N
N
N
Citrix Systems Inc
HCTKJGUQOPZ5NBK7NP58
Citrix Systems Inc
177376AE0
1300000.00000000
PA
USD
1528700.39000000
0.083604814704
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HJ2A8
162519.23000000
PA
USD
183485.58000000
0.010034849220
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230UGQ6
109309.87000000
PA
USD
123280.77000000
0.006742240664
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
4.00000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111FM0
800000.00000000
PA
USD
894638.61000000
0.048927896994
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.13000000
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX
46637WAF0
350000.00000000
PA
USD
364301.84000000
0.019923712997
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Fixed
4.27000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A5J75
7323.47000000
PA
USD
7791.15000000
0.000426098963
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GVG97
125677.65000000
PA
USD
138355.91000000
0.007566701947
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FS3Z4
24104.64000000
PA
USD
26584.92000000
0.001453932585
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SYR2
14576.95000000
PA
USD
15531.94000000
0.000849443732
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBHB7
38042.52000000
PA
USD
42265.53000000
0.002311507099
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
PORT AUTH OF NEW YORK & NEW JERSEY NY
73358WX90
1000000.00000000
PA
USD
1214130.00000000
0.066400920901
Long
DBT
MUN
US
N
2
2048-09-01
Fixed
4.03000000
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128CUWF9
93826.34000000
PA
USD
99498.11000000
0.005441564026
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AG4
567000.00000000
PA
USD
821180.72000000
0.044910475842
Long
DBT
CORP
GB
N
2
2036-05-02
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLMV3
2935000.00000000
PA
USD
3448337.08000000
0.188589984342
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Fixed
3.42000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31288BLZ4
7886.96000000
PA
USD
9390.08000000
0.000513544644
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.00000000
N
N
N
N
N
N
KEYSIGHT TECHNOLOGIES
549300GLKVIO8YRCYN02
Keysight Technologies Inc
49338LAE3
1225000.00000000
PA
USD
1460070.91000000
0.079851459897
Long
DBT
CORP
US
N
2
2027-04-06
Fixed
4.60000000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HAA3
831335.30000000
PA
USD
831826.29000000
0.045492683391
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
0.85000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L93U7
463127.27000000
PA
USD
495570.36000000
0.027102804703
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFL3
375000.00000000
PA
USD
388877.31000000
0.021267748512
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
1.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KZC5
76632.45000000
PA
USD
90260.46000000
0.004936355797
Long
ABS-MBS
USGA
US
N
2
2038-11-15
Fixed
5.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHU6
70000.00000000
PA
USD
86188.46000000
0.004713657610
Long
DBT
CORP
US
N
2
2040-04-23
Fixed
4.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ABZZ5
67847.82000000
PA
USD
76184.68000000
0.004166549636
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
FIFTH THIRD BANK
QFROUN1UWUYU0DVIWD51
Fifth Third Bank NA
31677QBS7
485000.00000000
PA
USD
498789.68000000
0.027278869715
Long
DBT
CORP
US
N
2
2023-01-30
Fixed
1.80000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CS7
1200000.00000000
PA
USD
1254000.00000000
0.068581416166
Long
DBT
CORP
US
N
2
2046-12-08
Fixed
5.29000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ER2G4
483248.61000000
PA
USD
535751.74000000
0.029300329380
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCF1
1200000.00000000
PA
USD
1258330.13000000
0.068818231515
Long
DBT
CORP
US
N
2
2023-01-05
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJZP8
186330.69000000
PA
USD
200569.99000000
0.010969197730
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.00000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BW8
1500000.00000000
PA
USD
1624333.34000000
0.088834992650
Long
DBT
CORP
US
N
2
2023-08-03
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFFJ3
1590850.66000000
PA
USD
1679317.34000000
0.091842074457
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXGQ9
911025.84000000
PA
USD
985221.11000000
0.053881865199
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SEG8
157090.85000000
PA
USD
167405.98000000
0.009155453894
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.00000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AW6
2563000.00000000
PA
USD
3037866.28000000
0.166141285172
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.365000 17-MAR-2026
000000000
758200.00000000
OU
Notional Amount
-1724.76000000
-0.00009432733
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
15.46000000
AUD
0.00000000
AUD
758200.00000000
AUD
-1736.08000000
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
Evergy Kansas Central Inc
95709TAN0
800000.00000000
PA
USD
867574.26000000
0.047447744322
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
2.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJTD0
77214.17000000
PA
USD
83328.28000000
0.004557234010
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.434500 17-MAR-2026
000000000
1830000.00000000
OU
Notional Amount
-2466.95000000
-0.00013491780
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-37.33000000
EUR
1830000.00000000
EUR
-2422.66000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2017-P8
17326DAF9
2090000.00000000
PA
USD
2375419.39000000
0.129911982260
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Variable
3.79000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FZZ2
14559.62000000
PA
USD
16489.55000000
0.000901815543
Long
ABS-MBS
USGA
US
N
2
2041-12-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJEV8
35714.52000000
PA
USD
41032.62000000
0.002244079097
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
Willis Towers Watson PLC
549300WHC56FF48KL350
Willis Towers Watson PLC
97063PAB0
350000.00000000
PA
USD
353524.46000000
0.019334296743
Long
DBT
CORP
IE
N
2
2021-03-15
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ4F4
306203.45000000
PA
USD
339852.85000000
0.018586594689
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
5.00000000
N
N
N
N
N
N
Ford Credit Auto Owner Trust/Ford Credit
N/A
Ford Credit Auto Owner Trust 2019-REV1
34532PAA8
450000.00000000
PA
USD
490779.09000000
0.026840769551
Long
ABS-O
CORP
US
N
2
2030-07-15
Fixed
3.52000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKTU9
15772.09000000
PA
USD
16588.84000000
0.000907245725
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.00000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAK9
57000.00000000
PA
USD
84716.25000000
0.004633142262
Long
DBT
CORP
KY
N
2
2039-11-10
Fixed
6.88000000
N
N
N
N
N
N
Novartis Capital Corp
5493002KF87V5RSRQS84
Novartis Capital Corp
66989HAN8
1620000.00000000
PA
USD
1820253.38000000
0.099549884036
Long
DBT
CORP
US
N
2
2027-05-17
Fixed
3.10000000
N
N
N
N
N
N
NOVARTIS CAPITAL CORP
5493002KF87V5RSRQS84
Novartis Capital Corp
66989HAS7
1086000.00000000
PA
USD
1190111.55000000
0.065087348879
Long
DBT
CORP
US
N
2
2050-08-14
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132D6NW6
5940643.60000000
PA
USD
6262664.38000000
0.342505894859
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLT0
573727.38000000
PA
USD
619559.60000000
0.033883791680
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CJ7
800000.00000000
PA
USD
873373.76000000
0.047764919699
Long
DBT
CORP
US
N
2
2026-08-19
Fixed
2.60000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.228500 17-MAR-2026
000000000
1240000.00000000
OU
Notional Amount
-1770.43000000
-0.00009682503
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-25.30000000
GBP
1240000.00000000
GBP
-1737.57000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VDN7
1878637.72000000
PA
USD
1970696.68000000
0.107777646848
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXFM9
566289.48000000
PA
USD
631302.46000000
0.034526010156
Long
ABS-MBS
USGSE
US
N
2
2057-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2VH9
106747.79000000
PA
USD
115004.38000000
0.006289603864
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJYD6
328683.51000000
PA
USD
356270.76000000
0.019484492232
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210BBZ7
11945.36000000
PA
USD
13773.92000000
0.000753297400
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.448000 17-MAR-2026
000000000
1900000.00000000
OU
Notional Amount
-964.02000000
-0.00005272237
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-38.76000000
EUR
1900000.00000000
EUR
-917.98000000
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
Ares Capital Corp
04010LAX1
4815000.00000000
PA
USD
5197487.37000000
0.284251231531
Long
DBT
CORP
US
N
2
2024-06-10
Fixed
4.20000000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT MAR21 XMOD 20210322
000000000
-322.00000000
NC
-207756.37000000
-0.01136222174
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
10 Year Canadian Bond
CNH1 Comdty
2021-03-22
-47745746.92000000
CAD
-207756.37000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDC5
430000.00000000
PA
USD
527589.05000000
0.028853910847
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
4.13000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7XS1
217637.81000000
PA
USD
235815.08000000
0.012896756092
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
549300TCRXCIFPAC3B85
Freddie Mac STACR REMIC Trust 2020-HQA1
35565JAH4
8170000.00000000
PA
USD
8131598.55000000
0.444718137363
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
2.05000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AL7
2075000.00000000
PA
USD
2413613.15000000
0.132000803751
Long
DBT
CORP
US
N
2
2040-03-27
Fixed
3.25000000
N
N
N
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
400000.00000000
PA
USD
498000.00000000
0.027235682018
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BH4
111000.00000000
PA
USD
149403.11000000
0.008170874691
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
4.75000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136ACGJ4
3572345.09000000
PA
USD
3664450.86000000
0.200409273883
Long
ABS-MBS
USGSE
US
N
2
2022-11-25
Variable
2.51000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300WF5YRKNHB1FX69
GS Mortgage Securities Trust 2013-GC13
36198EAE5
170000.00000000
PA
USD
181899.51000000
0.009948106854
Long
ABS-MBS
CORP
US
N
2
2046-07-10
Variable
4.05000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2018-1 Trust
83405RAB3
276624.07000000
PA
USD
277614.94000000
0.015182795641
Long
ABS-O
CORP
US
N
2
2027-02-25
Fixed
3.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EVS81
518864.73000000
PA
USD
554115.35000000
0.030304637497
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.721090 08-MAR-2051
000000000
13870000.00000000
OU
Notional Amount
-760712.84000000
-0.04160347995
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-03-08
12425.32000000
GBP
0.00000000
GBP
13870000.00000000
GBP
-777260.90000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.306000 17-MAR-2026
000000000
1910000.00000000
OU
Notional Amount
-12863.47000000
-0.00070350477
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-38.96000000
GBP
1910000.00000000
GBP
-12812.22000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132GF5X1
12553.77000000
PA
USD
14100.17000000
0.000771140053
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR21 XEUR 20210308
000000000
-313.00000000
NC
-151424.14000000
-0.00828140507
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bund (FGBL)
RXH1 Comdty
2021-03-08
-55477369.50000000
EUR
-151424.14000000
N
N
N
LITHIA MOTORS INC
SE8N1EZEHPZQBCBVKD53
Lithia Motors Inc
536797AF0
55000.00000000
PA
USD
58987.50000000
0.003226033720
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
4.38000000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJCV0
7676.72000000
PA
USD
8505.18000000
0.000465149353
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJYM6
248051.24000000
PA
USD
260902.87000000
0.014268810451
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M8HY2
45830.06000000
PA
USD
48762.76000000
0.002666841417
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36294UU67
15134.85000000
PA
USD
16571.03000000
0.000906271694
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNR2
308361.61000000
PA
USD
329889.24000000
0.018041683618
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132WDY24
1600.30000000
PA
USD
1739.22000000
0.000095118158
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.50000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YBF5
2845000.00000000
PA
USD
2892206.66000000
0.158175142414
Long
DBT
CORP
JP
N
2
2024-07-10
Fixed
1.24000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
312940EP0
17980.17000000
PA
USD
20194.09000000
0.001104417296
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust
26209BAG4
1420000.00000000
PA
USD
1474609.51000000
0.080646577741
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
4.09000000
N
N
N
N
N
N
SOUTHWEST GAS CORP
OQQR1IQTGBKH0UR88X59
Southwest Gas Corp
845011AC9
85000.00000000
PA
USD
89688.81000000
0.004905092188
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.20000000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31295NJW9
26377.21000000
PA
USD
26596.36000000
0.001454558240
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Floating
3.84000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBL3
565000.00000000
PA
USD
576762.78000000
0.031543228265
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
1.45000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2018-5
80286AAG9
5190000.00000000
PA
USD
5402018.77000000
0.295437079268
Long
ABS-O
CORP
US
N
2
2024-12-16
Fixed
4.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKUB9
97690.21000000
PA
USD
107224.38000000
0.005864114695
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31296MF20
28791.58000000
PA
USD
33332.53000000
0.001822960216
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJ2T6
70926.89000000
PA
USD
76052.87000000
0.004159340931
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Roper Technologies Inc
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AE6
1800000.00000000
PA
USD
1953077.54000000
0.106814053888
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
3.65000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: PLN 0.820000 17-MAR-2026
000000000
6420000.00000000
OU
Notional Amount
14313.33000000
0.000782797800
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
119.12000000
PLN
0.00000000
PLN
6420000.00000000
PLN
14280.62000000
N
N
N
DOLLAR GENERAL CORP
OPX52SQVOZI8IVSWYU66
Dollar General Corp
256677AG0
3035000.00000000
PA
USD
3484096.26000000
0.190545658349
Long
DBT
CORP
US
N
2
2030-04-03
Fixed
3.50000000
N
N
N
N
N
N
NiSource Inc
549300D8GOWWH0SJB189
NiSource Inc
65473QBG7
310000.00000000
PA
USD
380803.50000000
0.020826190838
Long
DBT
CORP
US
N
2
2048-03-30
Fixed
3.95000000
N
N
N
N
N
N
AstraZeneca PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353AN8
1490000.00000000
PA
USD
1676272.89000000
0.091675573107
Long
DBT
CORP
GB
N
2
2027-06-12
Fixed
3.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.517910 08-MAR-2031
000000000
14530000.00000000
OU
Notional Amount
78853.52000000
0.004312508828
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-10
109718.41000000
GBP
0.00000000
GBP
14530000.00000000
GBP
-69249.89000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407YDC0
37178.76000000
PA
USD
42240.55000000
0.002310140939
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31326FW61
23626.49000000
PA
USD
24427.83000000
0.001335961064
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Floating
2.34000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86960BAX0
2700000.00000000
PA
USD
2972290.06000000
0.162554913533
Long
DBT
CORP
SE
N
2
2023-11-20
Fixed
3.90000000
N
N
N
N
N
N
ALIBABA GROUP HOLDING
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609WAU6
3200000.00000000
PA
USD
3768584.00000000
0.206104328278
Long
DBT
CORP
KY
N
2
2037-12-06
Fixed
4.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2020-2
26208VAD8
1150000.00000000
PA
USD
1155736.66000000
0.063207381864
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
0.83000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HEXQ0
442138.03000000
PA
USD
491052.35000000
0.026855714174
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAG4
800000.00000000
PA
USD
824581.54000000
0.045096467111
Long
DBT
CORP
ES
N
2
2030-12-03
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XJX3
4848173.35000000
PA
USD
4902289.63000000
0.268106830368
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
3.15000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558AZ6
400000.00000000
PA
USD
441868.91000000
0.024165865715
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.407500 17-MAR-2026
000000000
1880000.00000000
OU
Notional Amount
-1206.90000000
-0.00006600551
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
38.35000000
AUD
0.00000000
AUD
1880000.00000000
AUD
-1235.30000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YDY8
1380000.00000000
PA
USD
1843836.46000000
0.100839645618
Long
DBT
CORP
US
N
2
2045-01-27
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJTG3
239956.09000000
PA
USD
252147.86000000
0.013789997864
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WECQ0
99759.12000000
PA
USD
111989.76000000
0.006124733920
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.513860 08-MAR-2031
000000000
410000.00000000
OU
Notional Amount
-9913.05000000
-0.00054214593
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-10
0.00000000
GBP
-1489.06000000
GBP
410000.00000000
GBP
-7909.82000000
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448DF2
800000.00000000
PA
USD
885753.42000000
0.048441964846
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
2.85000000
N
N
N
N
N
California State University
N/A
CALIFORNIA ST UNIV REVENUE
13077DKU5
995000.00000000
PA
USD
1087176.80000000
0.059457834582
Long
DBT
MUN
US
N
2
2051-11-01
Fixed
2.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDDQ4
949390.54000000
PA
USD
1006529.13000000
0.055047203467
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128K8FX9
18995.05000000
PA
USD
22098.57000000
0.001208573545
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M6NC8
80106.42000000
PA
USD
94203.75000000
0.005152014819
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128LXUP3
158710.17000000
PA
USD
189543.67000000
0.010366166917
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468U6
2505000.00000000
PA
USD
2522910.95000000
0.137978314044
Long
DBT
CORP
US
N
2
2032-02-13
Fixed
1.79000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388PR52
5549.33000000
PA
USD
6232.82000000
0.000340873702
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
6.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.522310 08-MAR-2023
000000000
114580000.00000000
OU
Notional Amount
22058.14000000
0.001206362423
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-08
7716.52000000
EUR
0.00000000
EUR
114580000.00000000
EUR
12686.81000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
1540000.00000000
PA
USD
1681201.92000000
0.091945142372
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAP40
9189169.86000000
PA
USD
9679722.30000000
0.529385218046
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
3.00000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAS0
2205000.00000000
PA
USD
2250818.84000000
0.123097562664
Long
DBT
US
N
2
2025-07-15
Fixed
1.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFMW6
2117346.03000000
PA
USD
2256343.44000000
0.123399703726
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WRP20
18698.56000000
PA
USD
19889.82000000
0.001087776732
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QP7
258063.38000000
PA
USD
258408.46000000
0.014132390858
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Floating
0.90000000
N
N
N
N
N
N
Verisk Analytics Inc
549300I1YSWNIRKBWP67
Verisk Analytics Inc
92345YAF3
3526000.00000000
PA
USD
4237267.86000000
0.231736706949
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.434000 17-MAR-2026
000000000
2490000.00000000
OU
Notional Amount
936.64000000
0.000051224958
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
50.80000000
AUD
0.00000000
AUD
2490000.00000000
AUD
898.83000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620ARSQ5
390995.95000000
PA
USD
443201.03000000
0.024238719524
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 0.922960 08-MAR-2031
000000000
41400000.00000000
OU
Notional Amount
USD
-108884.92000000
-0.00595492983
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-10
53991.33000000
USD
0.00000000
USD
41400000.00000000
USD
-162876.25000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A2SG8
186489.15000000
PA
USD
198915.91000000
0.010878735889
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
3.00000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAR5
1980000.00000000
PA
USD
2172115.32000000
0.118793257354
Long
DBT
CORP
US
N
2
2040-04-05
Fixed
3.38000000
N
N
N
N
N
N
WASTE CONNECTIONS INC
549300HDLRTPBQU69P29
Waste Connections Inc
94106BAA9
305000.00000000
PA
USD
328290.25000000
0.017954234655
Long
DBT
CORP
CA
N
2
2030-02-01
Fixed
2.60000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AR4
95000.00000000
PA
USD
107452.72000000
0.005876602638
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR97
55860.33000000
PA
USD
60004.31000000
0.003281643186
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VSH4
542209.23000000
PA
USD
570083.24000000
0.031177923390
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
3.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C25
46643PBJ8
2180000.00000000
PA
USD
2395616.61000000
0.131016570737
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
4.07000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.470000 17-MAR-2026
000000000
2160000.00000000
OU
Notional Amount
1864.89000000
0.000101991066
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-44.06000000
EUR
2160000.00000000
EUR
1916.52000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2FW7
266205.21000000
PA
USD
286108.85000000
0.015647328636
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
3.50000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBF7
990000.00000000
PA
USD
1127465.50000000
0.061661228603
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.05000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFV1
430000.00000000
PA
USD
434318.43000000
0.023752929024
Long
DBT
CORP
US
N
2
2060-11-20
Fixed
3.00000000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31300LQK4
26802.10000000
PA
USD
27920.50000000
0.001526975622
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Floating
2.66000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MCRS6
61175.45000000
PA
USD
65053.89000000
0.003557805345
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.50000000
N
N
N
N
N
N
ARIZONA PUBLIC SERVICE
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co
040555CS1
400000.00000000
PA
USD
438917.46000000
0.024004450547
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.15000000
N
N
N
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
NEW YORK ST DORM AUTH REVENUES NON ST SUPPORTED DEBT
64990GWW8
255000.00000000
PA
USD
268331.40000000
0.014675077682
Long
DBT
MUN
US
N
2
2043-07-01
Fixed
3.14000000
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.380000 17-MAR-2026
000000000
990000.00000000
OU
Notional Amount
-1681.53000000
-0.00009196308
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
20.20000000
AUD
0.00000000
AUD
990000.00000000
AUD
-1696.28000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLR4
92037.75000000
PA
USD
97608.64000000
0.005338228677
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.00000000
N
N
N
N
N
N
WMG ACQUISITION CORP
549300NAS11NXI33CP80
WMG Acquisition Corp
92933BAR5
1030000.00000000
PA
USD
1009400.00000000
0.055204211705
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128CUWB8
54021.13000000
PA
USD
57296.22000000
0.003133537407
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
105000.00000000
PA
USD
124517.38000000
0.006809871018
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
Aptiv Corp
N/A
Aptiv Corp
247126AJ4
1625000.00000000
PA
USD
1788095.64000000
0.097791173231
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DGZ6
40621.60000000
PA
USD
47746.92000000
0.002611285000
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHS37
13368.95000000
PA
USD
13880.45000000
0.000759123539
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Floating
3.62000000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BC0
800000.00000000
PA
USD
889796.44000000
0.048663078113
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A82U6
53806.25000000
PA
USD
60293.82000000
0.003297476524
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
4.50000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857LAR9
315000.00000000
PA
USD
391412.43000000
0.021406394541
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
4.63000000
N
N
N
N
N
N
AEP TRANSMISSION CO LLC
549300X123Z1I0LA3Y84
AEP Transmission Co LLC
00115AAL3
30000.00000000
PA
USD
33434.59000000
0.001828541890
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.15000000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAB8
1300000.00000000
PA
USD
1455051.00000000
0.079576920394
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.50000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EUQ51
39832.82000000
PA
USD
42642.26000000
0.002332110509
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VZR4
1371000.00000000
PA
USD
1452612.22000000
0.079443543212
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.435500 17-MAR-2026
000000000
2060000.00000000
OU
Notional Amount
-2648.24000000
-0.00014483257
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-42.02000000
EUR
2060000.00000000
EUR
-2598.62000000
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AUZC8
800000.00000000
PA
USD
870621.36000000
0.047614390600
Long
ABS-MBS
USGSE
US
N
2
2026-09-25
Variable
2.48000000
N
N
N
N
N
N
Bank
N/A
BANK 2020-BNK29
06541TBF5
1740000.00000000
PA
USD
1802515.07000000
0.098579773653
Long
ABS-MBS
CORP
US
N
2
2053-11-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389MY27
59473.24000000
PA
USD
68780.70000000
0.003761625048
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: MXN 5.085000 11-MAR-2026
000000000
25570000.00000000
OU
Notional Amount
18662.25000000
0.001020640776
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-11
474.45000000
MXN
0.00000000
MXN
25570000.00000000
MXN
18639.68000000
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587CV7
2400000.00000000
PA
USD
2692282.75000000
0.147241278879
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DA85
113010.39000000
PA
USD
124895.69000000
0.006830560839
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.390000 17-MAR-2026
000000000
1150000.00000000
OU
Notional Amount
-1511.46000000
-0.00008266193
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
23.46000000
AUD
0.00000000
AUD
1150000.00000000
AUD
-1528.68000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TQN8
2088589.19000000
PA
USD
2213818.22000000
0.121073994148
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FRUT6
4510000.00000000
PA
USD
4857843.22000000
0.265676050670
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Fixed
2.07000000
N
N
N
N
N
N
Drive Auto Receivables Trust
549300I6T32I4NYWF543
Drive Auto Receivables Trust 2016-C
26208BAN0
531638.96000000
PA
USD
536843.81000000
0.029360054824
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
4.18000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AWS92
55489.04000000
PA
USD
62125.54000000
0.003397653519
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WSRC4
467.24000000
PA
USD
465.29000000
0.000025446768
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Floating
3.28000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: HKD 0.565000 17-MAR-2026
000000000
14930000.00000000
OU
Notional Amount
5253.76000000
0.000287328788
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
304.57000000
HKD
0.00000000
HKD
14930000.00000000
HKD
5214.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.291700 08-MAR-2026
000000000
384300000.00000000
OU
Notional Amount
2241502.59000000
0.122588055791
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-09
0.00000000
GBP
-13063.80000000
GBP
384300000.00000000
GBP
2258934.83000000
N
N
N
Westlake Automobile Receivables Trust
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust 2018-3
96042GAL6
1140000.00000000
PA
USD
1174443.28000000
0.064230449241
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391XH93
13272.65000000
PA
USD
13367.57000000
0.000731074068
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Floating
2.19000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128PQBL4
87170.46000000
PA
USD
92539.18000000
0.005060979278
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MVS6
22913.41000000
PA
USD
24948.02000000
0.001364410320
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DDX4
71296.27000000
PA
USD
83793.19000000
0.004582659996
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RBN1
800000.00000000
PA
USD
829856.24000000
0.045384941111
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.63000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TAA7
2835000.00000000
PA
USD
2841501.79000000
0.155402086760
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Floating
1.18000000
N
N
N
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAJ0
780000.00000000
PA
USD
797550.91000000
0.043618158590
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.75000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDR0
1035000.00000000
PA
USD
1103204.31000000
0.060334381100
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.38000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAH7
1640000.00000000
PA
USD
2078819.72000000
0.113690909371
Long
DBT
CORP
US
N
2
2048-09-21
Fixed
4.25000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412GHA6
165000.00000000
PA
USD
236309.70000000
0.012923806921
Long
DBT
MUN
US
N
2
2112-05-15
Fixed
4.86000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Credit Trust
N/A
Consumer Loan Underlying Bond Credit Trust 2019-P1
21054AAA6
1520245.26000000
PA
USD
1529530.77000000
0.083650228290
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
2.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J92F7
1095477.69000000
PA
USD
1174603.65000000
0.064239219897
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020620
23625000.00000000
PA
USD
24499966.05000000
1.339906194364
Long
ABS-MBS
USGSE
US
N
2
2051-02-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EWE5
138540.19000000
PA
USD
160739.66000000
0.008790872023
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Fixed
6.00000000
N
N
N
N
N
N
Regents of the University of California Medical Center Pooled Revenue
N/A
UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE
913366KB5
320000.00000000
PA
USD
343260.80000000
0.018772975899
Long
DBT
MUN
US
N
2
2050-05-15
Fixed
3.01000000
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAP0
1015000.00000000
PA
USD
1100485.90000000
0.060185710919
Long
DBT
CORP
IE
N
2
2023-09-15
Fixed
4.50000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111EL3
1000000.00000000
PA
USD
1389437.27000000
0.075988497329
Long
DBT
CORP
US
N
2
2036-03-15
Fixed
5.85000000
N
N
N
N
N
N
KENTUCKY UTILITIES CO
AGX0G2MXE54NFNNICD28
Kentucky Utilities Co
491674BM8
320000.00000000
PA
USD
362615.31000000
0.019831476462
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D2W0
25196.09000000
PA
USD
29401.30000000
0.001607960758
Long
ABS-MBS
USGA
US
N
2
2033-12-20
Fixed
6.00000000
N
N
N
N
N
N
KANSAS CITY POWER & LT
1128SIJQ26096WL7IO82
Evergy Metro Inc
485134BP4
300000.00000000
PA
USD
337985.28000000
0.018484457054
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.65000000
N
N
N
N
N
N
Drive Auto Receivables Trust
549300I6T32I4NYWF543
Drive Auto Receivables Trust 2017-B
26208DAF3
221898.47000000
PA
USD
222345.40000000
0.012160097615
Long
ABS-O
CORP
US
N
2
2022-10-17
Fixed
3.72000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
1600000.00000000
PA
USD
1708039.54000000
0.093412895152
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.75000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063A5G5
1025000.00000000
PA
USD
1805230.00000000
0.098728253513
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
7.55000000
N
N
N
N
N
CNOOC FINANCE 2015 US
549300Q3CTIH31RFPO82
CNOOC Finance 2015 USA LLC
12634MAB6
600000.00000000
PA
USD
645375.00000000
0.035295639121
Long
DBT
CORP
US
N
2
2025-05-05
Fixed
3.50000000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448DP0
15000.00000000
PA
USD
18137.11000000
0.000991920804
Long
DBT
CORP
US
N
2
2046-10-06
Fixed
3.45000000
N
N
N
N
N
N
Union Electric Co
QMPJLLDULY5C1M8PNY21
Union Electric Co
906548CN0
500000.00000000
PA
USD
630178.36000000
0.034464532987
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPUP7
209961.19000000
PA
USD
235467.31000000
0.012877736507
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JE8
500000.00000000
PA
USD
501411.06000000
0.027422233314
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
1.75000000
N
N
N
N
N
N
BAKER HUGHES LLC/CO-OBL
N/A
Baker Hughes a GE Co LLC / Baker Hughes Co-Obligor Inc
05723KAF7
600000.00000000
PA
USD
677958.59000000
0.037077639716
Long
DBT
CORP
US
N
2
2047-12-15
Fixed
4.08000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KKLM9
894796.57000000
PA
USD
956259.22000000
0.052297935829
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
TRANSCANADA PIPELINES
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd
89352HAK5
800000.00000000
PA
USD
864509.10000000
0.047280110340
Long
DBT
CORP
CA
N
2
2023-10-16
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ70
193176.88000000
PA
USD
211568.77000000
0.011570722378
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
5.00000000
N
N
N
N
N
N
Oglethorpe Power Corp
3EERXCUSWMS9GV5D9M98
Oglethorpe Power Corp
677050AN6
130000.00000000
PA
USD
165075.57000000
0.009028003480
Long
DBT
CORP
US
N
2
2048-10-01
Fixed
5.05000000
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460DAC3
2500000.00000000
PA
USD
2794471.60000000
0.152829999812
Long
DBT
US
N
2
2027-09-15
Fixed
3.09000000
N
N
N
N
N
N
EDCON HOLDCO 2
213800QFMH6S1TYEKJ66
EDCON HOLDCO 2
000000000
163560.00000000
NS
0.11000000
0.000000006015
Long
EC
CORP
ZA
N
3
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAL2
1840000.00000000
PA
USD
2267760.79000000
0.124024120019
Long
DBT
CORP
US
N
2
2038-07-22
Fixed
3.97000000
N
N
N
N
N
N
Wells Fargo Bank NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J5X1
250000.00000000
PA
USD
252538.62000000
0.013811368577
Long
DBT
CORP
US
N
2
2022-05-27
Fixed
2.90000000
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160BV5
1329000.00000000
PA
USD
1694853.30000000
0.092691738044
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
3.70000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CE7
1330000.00000000
PA
USD
1361172.83000000
0.074442711585
Long
DBT
CORP
DE
N
2
2026-11-24
Fixed
2.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407FFW5
50493.25000000
PA
USD
59280.57000000
0.003242061755
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390MVH4
1899.38000000
PA
USD
2128.01000000
0.000116381131
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
6.50000000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAN1
350000.00000000
PA
USD
366625.00000000
0.020050766907
Long
DBT
US
N
2
2031-02-15
Fixed
4.50000000
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 0.503000 17-MAR-2026
000000000
2130000.00000000
OU
Notional Amount
USD
-4820.89000000
-0.00026365507
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
USD
-43.45000000
USD
2130000.00000000
USD
-4777.44000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWC4
2000000.00000000
PA
USD
2016228.58000000
0.110267792130
Long
DBT
CORP
US
N
2
2022-04-26
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYJ26
781303.18000000
PA
USD
853508.45000000
0.046678483421
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BJ3
825000.00000000
PA
USD
874500.00000000
0.047826513905
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
4.88000000
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BP7
280000.00000000
PA
USD
327755.48000000
0.017924988018
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AQAW6
13021.00000000
PA
USD
13948.13000000
0.000762824966
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2020-2
26208VAF3
1890000.00000000
PA
USD
1951189.13000000
0.106710776510
Long
ABS-O
CORP
US
N
2
2026-08-17
Fixed
2.28000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERX39
109927.32000000
PA
USD
119083.10000000
0.006512669568
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
780153AZ5
1350000.00000000
PA
USD
1578217.50000000
0.086312911617
Long
DBT
CORP
LR
N
2
2025-06-01
Fixed
11.50000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6E94
321390.03000000
PA
USD
354760.32000000
0.019401886080
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
Board of Regents of the University of Texas System
TEHUYFNKZR6XVWLGEU86
UNIV OF TEXAS TX UNIV REVENUES
91514AKD6
405000.00000000
PA
USD
403165.35000000
0.022049163199
Long
DBT
MUN
US
N
2
2049-08-15
Fixed
2.44000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YBL2
475000.00000000
PA
USD
483440.98000000
0.026439447401
Long
DBT
CORP
JP
N
2
2031-09-08
Fixed
1.98000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BV0
2092000.00000000
PA
USD
2794307.20000000
0.152821008755
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
5.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.367000 17-MAR-2026
000000000
1471800.00000000
OU
Notional Amount
-3234.97000000
-0.00017692091
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
30.03000000
AUD
0.00000000
AUD
1471800.00000000
AUD
-3256.95000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128PUYA4
103483.45000000
PA
USD
109743.54000000
0.006001887869
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31296XKQ7
10224.51000000
PA
USD
11687.65000000
0.000639199034
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8KB0
143566.71000000
PA
USD
152390.09000000
0.008334232999
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
PRES & FELLOWS OF HARVAR
6S3X7J22E861RNTJSA74
President and Fellows of Harvard College
740816AP8
54000.00000000
PA
USD
57549.69000000
0.003147399713
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
2.52000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAN0
735000.00000000
PA
USD
764216.25000000
0.041795081883
Long
DBT
NUSS
MX
N
2
2061-05-24
Fixed
3.77000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV5Y7
1176994.05000000
PA
USD
1242991.08000000
0.067979336960
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAA1
80000.00000000
PA
USD
80382.38000000
0.004396122372
Long
DBT
CORP
GB
N
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BW9
550000.00000000
PA
USD
571988.81000000
0.031282139251
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2N81
193375.68000000
PA
USD
204086.53000000
0.011161517741
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
3.00000000
N
N
N
N
N
N
RPM International Inc
549300TJCKW4BRXPJ474
RPM International Inc
749685AV5
1000000.00000000
PA
USD
1109532.96000000
0.060680495757
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2020-2
26208VAB2
1170803.93000000
PA
USD
1173201.85000000
0.064162555280
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
0.85000000
N
N
N
N
N
N
Regents of the University of California Medical Center Pooled Revenue
N/A
UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE
913366KC3
230000.00000000
PA
USD
258156.60000000
0.014118616603
Long
DBT
MUN
US
N
2
2060-05-15
Fixed
3.26000000
N
N
N
N
N
N
UNIVERSAL HEALTH SVCS
549300YGMGQDO0NMJD09
Universal Health Services Inc
913903AV2
1630000.00000000
PA
USD
1692125.01000000
0.092542527524
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HAFM7
953247.27000000
PA
USD
1046132.09000000
0.057213094281
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409GKK1
20740.59000000
PA
USD
24674.18000000
0.001349433976
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERJH4
30429.84000000
PA
USD
32817.01000000
0.001794766363
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CG5
120000.00000000
PA
USD
149972.64000000
0.008202022358
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
4.50000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBB5
680000.00000000
PA
USD
694333.97000000
0.037973211287
Long
DBT
US
N
2
2025-09-15
Fixed
1.30000000
N
N
N
N
N
N
Appalachian Power Co
3SCHO1ABYYIG382BEI70
Appalachian Power Co
037735CW5
1190000.00000000
PA
USD
1328629.20000000
0.072662896408
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8WQ6
775000.00000000
PA
USD
809714.35000000
0.044283378638
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
AMN HEALTHCARE INC
549300H27NUKBFFQEE84
AMN Healthcare Inc
00175PAB9
130000.00000000
PA
USD
136184.10000000
0.007447925388
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.63000000
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AM3
2030000.00000000
PA
USD
2048603.87000000
0.112038400772
Long
DBT
CORP
GG
N
2
2021-04-16
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WE3W7
20597.08000000
PA
USD
22363.28000000
0.001223050568
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
3.50000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2012-C10
92890NAW9
460000.00000000
PA
USD
456619.09000000
0.024972554896
Long
ABS-MBS
CORP
US
N
2
2045-12-15
Fixed
3.24000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400SHP7
30187.04000000
PA
USD
33910.65000000
0.001854577671
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
6.00000000
N
N
N
N
N
N
Southwest Gas Corp
OQQR1IQTGBKH0UR88X59
Southwest Gas Corp
845011AA3
230000.00000000
PA
USD
263620.97000000
0.014417463679
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.70000000
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859BJ0
915000.00000000
PA
USD
956641.21000000
0.052318826909
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.90000000
N
N
N
N
N
N
ORIX Corp
35380016EMHNBOVYE123
ORIX Corp
686330AH4
405000.00000000
PA
USD
419734.98000000
0.022955358327
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.90000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AF4
1460000.00000000
PA
USD
1570146.52000000
0.085871508716
Long
DBT
CORP
US
N
2
2029-08-08
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R01
20754FAK8
5395448.15000000
PA
USD
5392029.05000000
0.294890740237
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Floating
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406M3E4
50731.58000000
PA
USD
50895.83000000
0.002783499280
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Floating
3.41000000
N
N
N
N
N
N
Baxter International Inc
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813BR9
800000.00000000
PA
USD
805605.38000000
0.044058658557
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
1.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5AD5
31946.33000000
PA
USD
33611.87000000
0.001838237356
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
OMEGA HLTHCARE INVESTORS
549300OJ7ENK42CZ8E73
Omega Healthcare Investors Inc
681936BM1
775000.00000000
PA
USD
812450.36000000
0.044433011366
Long
DBT
US
N
2
2031-02-01
Fixed
3.38000000
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
503000.00000000
PA
USD
700969.88000000
0.038336130032
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CY4
1050000.00000000
PA
USD
1330329.68000000
0.072755895871
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
4.78000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CP2
1220000.00000000
PA
USD
1272395.23000000
0.069587453585
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418VWW8
15615.85000000
PA
USD
18158.42000000
0.000993086251
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956PAT9
310000.00000000
PA
USD
351038.52000000
0.019198340375
Long
DBT
CORP
US
N
2
2030-03-20
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGLT2
1425000.00000000
PA
USD
1490967.24000000
0.081541184032
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.346000 17-MAR-2026
000000000
2070000.00000000
OU
Notional Amount
-6219.90000000
-0.00034016710
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
42.23000000
AUD
0.00000000
AUD
2070000.00000000
AUD
-6250.61000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DZ5
630000.00000000
PA
USD
727051.50000000
0.039762537077
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
8.50000000
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDZ2
410000.00000000
PA
USD
453931.42000000
0.024825565889
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MNH9
27121.83000000
PA
USD
29533.65000000
0.001615198996
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DL96
8878.06000000
PA
USD
9347.76000000
0.000511230158
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UWA6
495057.12000000
PA
USD
535256.40000000
0.029273239173
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
4.50000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BE9
910000.00000000
PA
USD
986699.30000000
0.053962707595
Long
DBT
CORP
US
N
2
2023-11-30
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5GA7
2282175.39000000
PA
USD
2404562.89000000
0.131505843905
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132WNJK9
17724.33000000
PA
USD
19374.56000000
0.001059597099
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ER5K2
423033.09000000
PA
USD
458300.18000000
0.025064493918
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.116180 08-MAR-2023
000000000
459160000.00000000
OU
Notional Amount
-859007.87000000
-0.04697924738
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-08
4467.01000000
GBP
0.00000000
GBP
459160000.00000000
GBP
-864957.04000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSF3
167201.37000000
PA
USD
174965.25000000
0.009568871311
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FETN0
1610000.00000000
PA
USD
1862655.21000000
0.101868845399
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Fixed
3.35000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
5493006QMFDDMYWIAM13
Santander Drive Auto Receivables Trust 2016-3
80284RAG4
2283850.68000000
PA
USD
2292021.84000000
0.125350959865
Long
ABS-O
CORP
US
N
2
2022-08-15
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J75K7
34478.97000000
PA
USD
37233.90000000
0.002036326627
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGB86
19234.27000000
PA
USD
21135.16000000
0.001155884532
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.50000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAL8
2260000.00000000
PA
USD
2395333.32000000
0.131001077572
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
3.00000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZZ4
900000.00000000
PA
USD
1028072.66000000
0.056225421805
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.38000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36180DLH8
134678.93000000
PA
USD
144747.06000000
0.007916234737
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KKLP2
448101.85000000
PA
USD
476427.22000000
0.026055863993
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CS1
320000.00000000
PA
USD
321430.80000000
0.017579090481
Long
DBT
CORP
US
N
2
2050-09-01
Fixed
2.25000000
N
N
N
N
N
N
Chase Funding Mortgage Loan Asset-Backed CTFS
N/A
Chase Funding Trust Series 2004-2
161546JS6
119491.63000000
PA
USD
114893.10000000
0.006283517947
Long
ABS-O
CORP
US
N
2
2035-02-26
Floating
0.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8PJ6
129624.68000000
PA
USD
143675.62000000
0.007857637550
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust 2018-3
96042GAG7
227342.33000000
PA
USD
227604.34000000
0.012447709699
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
3.32000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13
61763BAU8
460000.00000000
PA
USD
500064.39000000
0.027348583764
Long
ABS-MBS
CORP
US
N
2
2046-11-15
Fixed
4.04000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2012-C8
92936YAE1
640000.00000000
PA
USD
663182.08000000
0.036269510544
Long
ABS-MBS
CORP
US
N
2
2045-08-15
Fixed
3.66000000
N
N
N
N
N
N
Duke Energy Ohio Inc
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAG5
100000.00000000
PA
USD
129333.06000000
0.007073241157
Long
DBT
CORP
US
N
2
2049-02-01
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A26S6
612888.19000000
PA
USD
678746.46000000
0.037120728424
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617HP7D0
214424.14000000
PA
USD
228763.30000000
0.012511093365
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
4.00000000
N
N
N
N
N
N
Aon PLC
635400FALWQYX5E6QC64
Aon PLC
00185AAK0
3400000.00000000
PA
USD
3876200.80000000
0.211989904472
Long
DBT
CORP
IE
N
2
2025-12-15
Fixed
3.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230QTD0
13732.42000000
PA
USD
14997.85000000
0.000820234284
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M6AR9
38857.82000000
PA
USD
45662.11000000
0.002497266482
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9SE1
48077.86000000
PA
USD
51295.49000000
0.002805356736
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
EBAY INC
OML71K8X303XQONU6T67
eBay Inc
278642AW3
1210000.00000000
PA
USD
1301644.53000000
0.071187101445
Long
DBT
CORP
US
N
2
2030-03-11
Fixed
2.70000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F022618
7601000.00000000
PA
USD
8012522.85000000
0.438205872501
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230SME1
12704.24000000
PA
USD
13894.49000000
0.000759891388
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.215000 17-MAR-2026
000000000
2020000.00000000
OU
Notional Amount
-1016.41000000
-0.00005558758
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-41.21000000
GBP
2020000.00000000
GBP
-963.14000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ3J7
296014.83000000
PA
USD
314016.76000000
0.017173615710
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWG79
4940000.00000000
PA
USD
5031885.98000000
0.275194470889
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Fixed
1.38000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132HNRA9
66588.67000000
PA
USD
73419.61000000
0.004015327614
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BKPT2
193394.91000000
PA
USD
211323.42000000
0.011557304156
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.292240 17-MAR-2026
000000000
1280000.00000000
OU
Notional Amount
-11070.90000000
-0.00060546889
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
GBP
-1384.44000000
GBP
1280000.00000000
GBP
-9208.41000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B19 Mortgage Trust
08162WBC9
4550000.00000000
PA
USD
4669059.40000000
0.255351440044
Long
ABS-MBS
CORP
US
N
2
2053-09-15
Fixed
1.85000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBK1
2850000.00000000
PA
USD
3020758.49000000
0.165205658006
Long
DBT
CORP
US
N
2
2023-05-09
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128CUJL1
55716.32000000
PA
USD
61578.87000000
0.003367756068
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
5.00000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RCG5
195000.00000000
PA
USD
243506.26000000
0.013317387684
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.80000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust 2019-2
68269BAA6
5690000.00000000
PA
USD
6144507.53000000
0.336043882018
Long
ABS-O
CORP
US
N
2
2036-10-14
Fixed
3.14000000
N
N
N
N
N
N
PPL ELECTRIC UTILITIES
N/A
PPL Electric Utilities Corp
69351UAW3
275000.00000000
PA
USD
300248.93000000
0.016420651373
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AR2
500000.00000000
PA
USD
665173.78000000
0.036378436865
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.45000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBX6
2265000.00000000
PA
USD
2538375.56000000
0.138824075491
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAE5
500000.00000000
PA
USD
527815.00000000
0.028866268081
Long
DBT
US
N
2
2030-08-15
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac - STACR
549300NKHCH87PYOHD44
Freddie Mac STACR Trust 2019-HQA2
35564MAH8
1279752.44000000
PA
USD
1262088.53000000
0.069023778879
Long
ABS-MBS
USGSE
US
N
2
2049-04-25
Floating
2.20000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAH1
900000.00000000
PA
USD
929451.37000000
0.050831811174
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
2.75000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468R3
3410000.00000000
PA
USD
3438026.14000000
0.188026077749
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
0.86000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CVV1
235383.77000000
PA
USD
281666.59000000
0.015404380884
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
6.00000000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
Camden Property Trust
133131AZ5
240000.00000000
PA
USD
266534.16000000
0.014576786403
Long
DBT
US
N
2
2030-05-15
Fixed
2.80000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F030611
3200000.00000000
PA
USD
3352749.98000000
0.183362313939
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128L5LD1
22269.88000000
PA
USD
25350.69000000
0.001386432393
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
CLEARWATER PAPER CORP
549300HCVV19GXN4P292
Clearwater Paper Corp
18538RAJ2
150000.00000000
PA
USD
155250.00000000
0.008490641833
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385H7M8
1222.59000000
PA
USD
1454.26000000
0.000079533660
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 0.119000 17-MAR-2026
000000000
14230000.00000000
OU
Notional Amount
2825.54000000
0.000154529134
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
SEK
-290.29000000
SEK
14230000.00000000
SEK
2859.22000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148YAA6
500000.00000000
PA
USD
610169.50000000
0.033370245942
Long
DBT
CORP
US
N
2
2038-10-31
Fixed
4.02000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAL9
698161.29000000
PA
USD
753483.00000000
0.041208079104
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA3
35565MAA2
5832216.74000000
PA
USD
5837412.66000000
0.319248825334
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Floating
1.70000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKE1
765000.00000000
PA
USD
758483.33000000
0.041481547775
Long
DBT
CORP
US
N
2
2052-02-01
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390UXE1
31774.95000000
PA
USD
36363.02000000
0.001988698092
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJQH6
353841.00000000
PA
USD
385850.16000000
0.021102193302
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.00000000
N
N
N
N
N
N
EQUIFAX INC
5493004MCF8JDC86VS77
Equifax Inc
294429AR6
275000.00000000
PA
USD
296832.17000000
0.016233788343
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
2.60000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31287YYB4
106036.54000000
PA
USD
128830.95000000
0.007045780699
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
BANNER HEALTH
PLD0E0WJKFN8IZJ2WD85
Banner Health
06654DAC1
119000.00000000
PA
USD
131830.36000000
0.007209818805
Long
DBT
CORP
US
N
2
2050-01-01
Fixed
3.18000000
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132GFUJ4
12541.64000000
PA
USD
14086.54000000
0.000770394626
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
Ares Capital Corp
04010LAY9
3070000.00000000
PA
USD
3253572.43000000
0.177938281378
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SAQ3
57460.94000000
PA
USD
60376.37000000
0.003301991194
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
5.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JJ7
340000.00000000
PA
USD
337929.76000000
0.018481420658
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FKM7
373042.05000000
PA
USD
412654.64000000
0.022568133651
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ4T4
545385.74000000
PA
USD
605193.45000000
0.033098105147
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXGM8
111998.45000000
PA
USD
117962.95000000
0.006451408425
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
VMware Inc
549300BUDHS3LRWBE814
VMware Inc
928563AB1
3800000.00000000
PA
USD
3941941.70000000
0.215585282480
Long
DBT
CORP
US
N
2
2022-08-21
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4DF0
277477.12000000
PA
USD
293424.46000000
0.016047420258
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHH5
1395000.00000000
PA
USD
1411529.90000000
0.077196746015
Long
DBT
CORP
US
N
2
2022-05-17
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132WDDB7
1765.18000000
PA
USD
1919.76000000
0.000104991913
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
4.50000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBA0
570000.00000000
PA
USD
589584.04000000
0.032244424571
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.49000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M9R79
101004.03000000
PA
USD
110947.84000000
0.006067751186
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CYZ1
53960.86000000
PA
USD
57308.95000000
0.003134233612
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XNT7
443118.33000000
PA
USD
444793.41000000
0.024325806985
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Floating
2.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UUL4
1928369.83000000
PA
USD
2085087.54000000
0.114033697227
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
4.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR21 XCBT 20210322
000000000
-370.00000000
NC
USD
188598.42000000
0.010314471076
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYH1 Comdty
2021-03-22
-58041567.17000000
USD
188598.42000000
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AT6
1140000.00000000
PA
USD
1326618.54000000
0.072552933162
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.55000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: OIS 0.842775 SOFR 20-OCT-20
000000000
1000000.00000000
OU
Notional Amount
USD
40827.22000000
0.002232845746
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2040-10-22
0.00000000
USD
0.00000000
USD
1000000.00000000
USD
40827.22000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABA2
25000.00000000
PA
USD
27624.50000000
0.001510787345
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
PECO ENERGY CO
YH65D4JBECK76IFEJ279
PECO Energy Co
693304AY3
355000.00000000
PA
USD
377665.08000000
0.020654550257
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.80000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
Sofi Consumer Loan Program 2016-1 LLC
78471DAA5
389709.46000000
PA
USD
390417.68000000
0.021351991539
Long
ABS-O
CORP
US
N
2
2025-08-25
Fixed
3.26000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.282590 08-MAR-2026
000000000
28700000.00000000
OU
Notional Amount
149486.61000000
0.008175441317
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-09
30145.66000000
GBP
0.00000000
GBP
28700000.00000000
GBP
108768.88000000
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F030413
8248357.00000000
PA
USD
8656188.19000000
0.473408010104
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Fixed
3.00000000
N
N
N
N
N
N
New Jersey Turnpike Authority
5493005YN67D71KSMI84
NEW JERSEY ST TURNPIKE AUTH
646139X83
550000.00000000
PA
USD
898777.00000000
0.049154226058
Long
DBT
MUN
US
N
2
2041-01-01
Fixed
7.10000000
N
N
N
N
N
N
TEGNA INC
549300YC5EDBGX85AO10
TEGNA Inc
87901JAF2
480000.00000000
PA
USD
512544.00000000
0.028031095189
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7RS8
313750.75000000
PA
USD
348710.40000000
0.019071015202
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQLB6
61060.92000000
PA
USD
70277.34000000
0.003843476476
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
1693000.00000000
PA
USD
1770375.38000000
0.096822050004
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B1K86
1590000.00000000
PA
USD
1813546.05000000
0.099183059323
Long
ABS-MBS
USGSE
US
N
2
2028-03-25
Variable
3.05000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AH6
245000.00000000
PA
USD
264034.76000000
0.014440093905
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
2.40000000
N
N
N
N
N
N
Conn Funding II, L.P
N/A
Conn's Receivables Funding 2019-A LLC
20827DAA8
510807.54000000
PA
USD
513166.45000000
0.028065137057
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R05
20754HBX5
3333333.00000000
PA
USD
3286889.00000000
0.179760368740
Long
ABS-MBS
USGSE
US
N
2
2039-07-25
Variable
3.12000000
N
N
N
N
N
N
SOUTHERN CALIF GAS CO
XY0N0J73VHV5F4CUJV89
Southern California Gas Co
842434CQ3
800000.00000000
PA
USD
869038.28000000
0.047527811758
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
2.60000000
N
N
N
N
N
N
VISTRA CORP
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAF9
1250000.00000000
PA
USD
1325000.00000000
0.072464415008
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
5.00000000
N
N
N
N
N
Marlette Funding Trust
549300Y3KZXU3NUCX480
Marlette Funding Trust 2019-2
57109HAA0
1015660.73000000
PA
USD
1024410.85000000
0.056025156960
Long
ABS-O
CORP
US
N
2
2029-07-16
Fixed
3.13000000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAG8
339000.00000000
PA
USD
377919.95000000
0.020668489129
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
3.91000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31297FFY4
78299.35000000
PA
USD
88107.30000000
0.004818599209
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179DJ84
53183.33000000
PA
USD
57587.78000000
0.003149482859
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.290050 08-MAR-2026
000000000
5010000.00000000
OU
Notional Amount
28655.46000000
0.001567170675
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-09
0.00000000
GBP
-4030.82000000
GBP
5010000.00000000
GBP
34074.75000000
N
N
N
CITRIX SYSTEMS INC
HCTKJGUQOPZ5NBK7NP58
Citrix Systems Inc
177376AF7
2150000.00000000
PA
USD
2375309.16000000
0.129905953768
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.30000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432NS0
1600000.00000000
PA
USD
1870919.70000000
0.102320831386
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AVGL3
332463.05000000
PA
USD
364730.90000000
0.019947178342
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RJD2
232727.77000000
PA
USD
248088.80000000
0.013568007367
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
3.00000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAH6
395000.00000000
PA
USD
578923.85000000
0.031661417452
Long
DBT
CORP
KY
N
2
2036-11-21
Fixed
6.88000000
N
N
N
N
N
N
ARIZONA PUBLIC SERVICE
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co
040555DA9
240000.00000000
PA
USD
286207.42000000
0.015652719442
Long
DBT
CORP
US
N
2
2049-12-01
Fixed
3.50000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust
26208KAG5
4840000.00000000
PA
USD
5009979.83000000
0.273996420817
Long
ABS-O
CORP
US
N
2
2024-09-16
Fixed
4.30000000
N
N
N
N
N
N
BLACKROCK CASH FUNDS BCF INSTITUTIONAL SL AGENCY
N/A
BlackRock Cash Funds: Treasury, SL Agency Shares
066922477
59435951.91100000
NS
USD
59471613.48000000
3.252509947487
Long
STIV
RF
US
N
1
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFU3
170000.00000000
PA
USD
171292.60000000
0.009368013625
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413YMN8
7020.94000000
PA
USD
8145.35000000
0.000445470205
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 0.908500 17-MAR-2026
000000000
2560000.00000000
OU
Notional Amount
6744.06000000
0.000368833481
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
52.22000000
CAD
0.00000000
CAD
2560000.00000000
CAD
6704.32000000
N
N
N
AMEREN ILLINOIS CO
RC71E2BZ6UOMFPDJSE79
Ameren Illinois Co
02361DAU4
130000.00000000
PA
USD
151926.85000000
0.008308898346
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622AADU5
74511.18000000
PA
USD
78880.20000000
0.004313967961
Long
ABS-MBS
USGA
US
N
2
2048-05-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31297P2C4
68247.58000000
PA
USD
79398.62000000
0.004342320415
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.00000000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAD0
1530000.00000000
PA
USD
1651173.03000000
0.090302858638
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BMN5
51653.16000000
PA
USD
60039.36000000
0.003283560075
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B21 Mortgage Trust
08163LAG4
3020000.00000000
PA
USD
3121094.20000000
0.170693030481
Long
ABS-MBS
CORP
US
N
2
2053-12-17
Fixed
1.98000000
N
N
N
N
N
N
UNIVERSITY OF CHICAGO
54930099Y7GU6182V326
University of Chicago/The
91412NBE9
157000.00000000
PA
USD
157364.03000000
0.008606258397
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
2.55000000
N
N
N
N
N
N
NASDAQ INC
549300L8X1Q78ERXFD06
Nasdaq Inc
63111XAB7
195000.00000000
PA
USD
214268.77000000
0.011718385715
Long
DBT
CORP
US
N
2
2050-04-28
Fixed
3.25000000
N
N
N
N
N
N
NORTHWESTERN UNIVERSITY
OBWWNZE695DUK77DTI34
Northwestern University
668444AS1
266000.00000000
PA
USD
283478.25000000
0.015503460795
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
2.64000000
N
N
N
N
N
WEEKLEY HOMES LLC/ FINAN
N/A
Weekley Homes LLC / Weekley Finance Corp
948565AD8
200000.00000000
PA
USD
209000.00000000
0.011430236027
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.88000000
N
N
N
N
N
SWITCH LTD
N/A
Switch Ltd
87105NAA8
865000.00000000
PA
USD
877975.00000000
0.048016562088
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
3.75000000
N
N
N
N
N
GS Mortgage Securities Trust
549300WZ62L3Y22NOZ64
GS Mortgage Securities Trust 2015-GS1
36252AAC0
2030000.00000000
PA
USD
2264526.51000000
0.123847236843
Long
ABS-MBS
CORP
US
N
2
2048-11-10
Fixed
3.73000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FBL1
162523.81000000
PA
USD
188667.07000000
0.010318225553
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
5.00000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300PXR5FKNXF0OH19
Credit Suisse Group AG
225433AT8
300000.00000000
PA
USD
323097.20000000
0.017670226104
Long
DBT
CORP
CH
N
2
2023-06-09
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac - STACR
549300D2VO9JVX6KU482
STACR Trust 2018-HRP1
3137G0VC0
4865476.77000000
PA
USD
4785876.60000000
0.261740187260
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Floating
1.80000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.419500 17-MAR-2026
000000000
3880000.00000000
OU
Notional Amount
-701.99000000
-0.00003839192
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
79.15000000
AUD
0.00000000
AUD
3880000.00000000
AUD
-760.88000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128PYAM6
841679.99000000
PA
USD
887074.78000000
0.048514230189
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31329PNA7
598624.52000000
PA
USD
647822.97000000
0.035429518905
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HAH8
6930000.00000000
PA
USD
6877867.00000000
0.376151402761
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
1.85000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M9SS2
329127.06000000
PA
USD
359907.24000000
0.019683371776
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0KX6
17143.37000000
PA
USD
17143.37000000
0.000937573040
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Floating
1.50000000
N
N
N
N
N
N
Chicago O'Hare International Airport
N/A
CHICAGO IL O'HARE INTERNATIONAL ARPT REVENUE
167593H62
310000.00000000
PA
USD
380100.30000000
0.020787732742
Long
DBT
MUN
US
N
2
2049-01-01
Fixed
4.47000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230QTP3
59758.53000000
PA
USD
67353.75000000
0.003683584975
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AVV7
385070.32000000
PA
USD
408804.55000000
0.022357571749
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
3.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2013-C14
46640LAD4
430000.00000000
PA
USD
463490.29000000
0.025348341680
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.13000000
N
N
N
N
N
N
TUCSON ELECTRIC POWER CO
YLF139GXSRKPBBTNZL03
Tucson Electric Power Co
898813AS9
190000.00000000
PA
USD
188154.83000000
0.010290211084
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
1.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABK0
310000.00000000
PA
USD
321383.20000000
0.017576487231
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
3.00000000
N
N
N
N
N
N
Baxter International Inc
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813BQ1
1702000.00000000
PA
USD
1858146.35000000
0.101622255284
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CAF1
159532.28000000
PA
USD
167856.93000000
0.009180116405
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PBG2
350000.00000000
PA
USD
412106.61000000
0.022538161822
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.75000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2020-2
80285RAF5
3030000.00000000
PA
USD
3070151.74000000
0.167906981000
Long
ABS-O
CORP
US
N
2
2025-09-15
Fixed
1.46000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8RR0
874999.86000000
PA
USD
911489.68000000
0.049849484111
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FE4G6
805869.91000000
PA
USD
867012.62000000
0.047417028160
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GNU6
117838.34000000
PA
USD
127041.69000000
0.006947925847
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.00000000
N
N
N
N
N
N
INTERSTATE POWER & LIGHT
EF9UQIIO4KY2BWOK3P26
Interstate Power and Light Co
461070AL8
800000.00000000
PA
USD
876396.19000000
0.047930216772
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335CBP8
7371.55000000
PA
USD
7867.39000000
0.000430268538
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M7MH6
44445.75000000
PA
USD
52259.73000000
0.002858091141
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBW0
400000.00000000
PA
USD
430403.78000000
0.023538836328
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.35000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV85
86206.34000000
PA
USD
94288.61000000
0.005156655823
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
5.00000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAK3
90000.00000000
PA
USD
96644.64000000
0.005285507397
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.57000000
N
N
N
N
N
N
FMC CORP
CKDHZ2X64EEBQCSP7013
FMC Corp
302491AT2
2098000.00000000
PA
USD
2336578.27000000
0.127787756570
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400HVV2
8866.24000000
PA
USD
10326.31000000
0.000564747179
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
5.50000000
N
N
N
N
N
N
Mastercard Inc
AR5L2ODV9HN37376R084
Mastercard Inc
57636QAB0
900000.00000000
PA
USD
986195.07000000
0.053935131193
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.38000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJD2
2030000.00000000
PA
USD
2073301.87000000
0.113389137467
Long
DBT
CORP
US
N
2
2026-06-19
Fixed
1.32000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SGK7
220476.63000000
PA
USD
234927.23000000
0.012848199465
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2019-1
26208NAE4
1542020.28000000
PA
USD
1544221.82000000
0.084453683644
Long
ABS-O
CORP
US
N
2
2023-06-15
Fixed
3.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9SN2
1196995.83000000
PA
USD
1253525.32000000
0.068555455857
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
US CONCRETE INC
549300J94Q38BL8BMH45
US Concrete Inc
90333LAT9
80000.00000000
PA
USD
82400.00000000
0.004506466261
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
5.13000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9FE6
180866.22000000
PA
USD
201108.38000000
0.010998642347
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXF23
637403.41000000
PA
USD
710580.85000000
0.038861755178
Long
ABS-MBS
USGSE
US
N
2
2057-02-01
Fixed
4.00000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBB1
510000.00000000
PA
USD
556973.30000000
0.030460939139
Long
DBT
CORP
US
N
2
2025-06-02
Fixed
3.45000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BJ0
5185000.00000000
PA
USD
7516141.93000000
0.411058738170
Long
DBT
CORP
US
N
2
2049-03-15
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CA63
105775.77000000
PA
USD
120417.98000000
0.006585674322
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.50000000
N
N
N
N
N
N
Marlette Funding Trust
549300FK0U6W6777SM18
Marlette Funding Trust 2019-1
57109XAA5
1294875.01000000
PA
USD
1305189.60000000
0.071380981765
Long
ABS-O
CORP
US
N
2
2029-04-16
Fixed
3.44000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M5ED8
39211.36000000
PA
USD
46110.77000000
0.002521803753
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
NEWMONT CORP
549300VSP3RIX7FGDZ51
Newmont Corp
651639AY2
4785000.00000000
PA
USD
5035869.65000000
0.275412338297
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.25000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599EA9
975000.00000000
PA
USD
1144406.25000000
0.062587720330
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
8.88000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556BR2
400000.00000000
PA
USD
445908.57000000
0.024386795224
Long
DBT
CORP
US
N
2
2026-09-19
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132J2SY0
21245.46000000
PA
USD
22910.82000000
0.001252995598
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
3.00000000
N
N
N
N
N
N
SERVICENOW INC
549300HJTQM36M0E1G39
ServiceNow Inc
81762PAE2
5872000.00000000
PA
USD
5728354.97000000
0.313284446686
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
1.40000000
N
N
N
N
N
N
ACTIVISION BLIZZARD
549300TPQQDBP9GNOF40
Activision Blizzard Inc
00507VAP4
365000.00000000
PA
USD
358327.23000000
0.019596960832
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.35000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BJ4
1330000.00000000
PA
USD
1463446.92000000
0.080036094304
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405SKY9
49317.70000000
PA
USD
56670.86000000
0.003099336390
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCR0
1750000.00000000
PA
USD
1925364.82000000
0.105298441780
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.70000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAM6
2920000.00000000
PA
USD
2940223.92000000
0.160801212344
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.70000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJL65
102801.72000000
PA
USD
119444.32000000
0.006532424735
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MAJZ2
371051.73000000
PA
USD
403539.75000000
0.022069639182
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387WTS6
486.38000000
PA
USD
553.74000000
0.000030284109
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
6.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAH3
365000.00000000
PA
USD
409764.80000000
0.022410087941
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TZ65
968635.60000000
PA
USD
1048167.13000000
0.057324390872
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT MAR21 XSFE 20210315
000000000
806.00000000
NC
185262.50000000
0.010132029196
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
10 Year Commonwealth Treasury Bond
XMH1 Comdty
2021-03-15
118427140.30000000
AUD
185262.50000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181FM81
41036.97000000
PA
USD
44336.34000000
0.002424759956
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3129332E3
60190.24000000
PA
USD
67602.53000000
0.003697190784
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
Noble Energy Inc
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AG0
530000.00000000
PA
USD
761318.18000000
0.041636586074
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414BWQ9
33020.64000000
PA
USD
38334.35000000
0.002096510375
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7XJ1
160246.17000000
PA
USD
176885.66000000
0.009673898773
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RNX3
428603.82000000
PA
USD
470068.61000000
0.025708110820
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FTM8
259115.27000000
PA
USD
296309.66000000
0.016205212206
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEN0
1000000.00000000
PA
USD
1110635.11000000
0.060740772478
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
326641.77000000
PA
USD
357183.12000000
0.019534389314
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR Trust 2019-DNA4
35565AAH3
8733822.85000000
PA
USD
8719965.77000000
0.476896013897
Long
ABS-MBS
USGSE
US
N
2
2049-10-25
Floating
2.10000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
312940RE1
3412.80000000
PA
USD
3829.64000000
0.000209443488
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36181GDE6
220881.22000000
PA
USD
247139.97000000
0.013516115736
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620ARST9
122977.79000000
PA
USD
139459.23000000
0.007627042656
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJM96
157979.28000000
PA
USD
166707.76000000
0.009117268155
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132GMAK8
13101.30000000
PA
USD
14209.42000000
0.000777114949
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7NJ2
445059.59000000
PA
USD
476656.27000000
0.026068390766
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132CWM84
2058916.53000000
PA
USD
2194331.28000000
0.120008250973
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128LLDM5
1019.12000000
PA
USD
1033.31000000
0.000056511852
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Floating
3.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230QTQ1
57593.33000000
PA
USD
64900.35000000
0.003549408223
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31287YYD0
95367.74000000
PA
USD
115566.37000000
0.006320339167
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Prosper Marketplace Issuance Trust
N/A
Prosper Marketplace Issuance Trust Series 2019-4
74362GAA9
776434.69000000
PA
USD
779059.27000000
0.042606848496
Long
ABS-O
CORP
US
N
2
2026-02-17
Fixed
2.48000000
N
N
N
N
N
N
Commonwealth of Massachusetts
5493001N1YCXNI1O7K10
MASSACHUSETTS ST
57582RYY6
545000.00000000
PA
USD
582070.90000000
0.031833530008
Long
DBT
MUN
US
N
2
2049-09-01
Fixed
2.90000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGA2
1590000.00000000
PA
USD
1741387.92000000
0.095236722207
Long
DBT
CORP
US
N
2
2024-09-09
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180MXS1
220638.79000000
PA
USD
240691.95000000
0.013163472719
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV3Y9
159855.63000000
PA
USD
168658.28000000
0.009223942336
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
2.50000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BQ1
60000.00000000
PA
USD
64870.88000000
0.003547796505
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.80000000
N
N
N
N
N
N
Bay Area Toll Authority
5493001FUZGUQMIP5D78
BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE
072024NU2
50000.00000000
PA
USD
78060.00000000
0.004269111121
Long
DBT
MUN
US
N
2
2040-04-01
Fixed
6.92000000
N
N
N
N
N
N
PUGET SOUND ENERGY INC
8MNFJR7KOMBQ7X62LK44
Puget Sound Energy Inc
745332CJ3
390000.00000000
PA
USD
433244.19000000
0.023694178704
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36178DZF1
142500.97000000
PA
USD
156138.31000000
0.008539223618
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
3.50000000
N
N
N
N
N
N
Roper Technologies Inc
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AD8
1000000.00000000
PA
USD
1155321.50000000
0.063184676712
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R04
20753TAB9
8095157.62000000
PA
USD
8076920.85000000
0.441727807141
Long
ABS-MBS
USGSE
US
N
2
2039-06-25
Floating
2.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: OIS 0.9025 FED 20-OCT-2040
000000000
1000000.00000000
OU
Notional Amount
USD
-41255.28000000
-0.00225625640
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2040-10-22
0.00000000
USD
0.00000000
USD
1000000.00000000
USD
-41255.28000000
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BK3
1130000.00000000
PA
USD
1247729.84000000
0.068238500334
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BRK4
265302.41000000
PA
USD
279367.91000000
0.015278665788
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.110330 08-MAR-2023
000000000
5990000.00000000
OU
Notional Amount
-10887.99000000
-0.00059546552
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-08
0.00000000
GBP
-180.39000000
GBP
5990000.00000000
GBP
-10645.31000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.438500 17-MAR-2026
000000000
1560000.00000000
OU
Notional Amount
-1714.45000000
-0.00009376348
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-31.82000000
EUR
1560000.00000000
EUR
-1676.65000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGKE3
171689.89000000
PA
USD
198113.18000000
0.010834834486
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31335AY69
113616.93000000
PA
USD
126366.01000000
0.006910972823
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHTS1
415129.29000000
PA
USD
454033.67000000
0.024831157955
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
AmeriCredit Automobile Receivables Trust
N/A
AmeriCredit Automobile Receivables Trust 2017-3
03065HAG3
1270000.00000000
PA
USD
1308561.26000000
0.071565378270
Long
ABS-O
CORP
US
N
2
2023-07-18
Fixed
3.18000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABM6
220000.00000000
PA
USD
226342.60000000
0.012378704981
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296QME6
72954.94000000
PA
USD
81463.82000000
0.004455266460
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QYH8
257743.77000000
PA
USD
298491.63000000
0.016324544417
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177YC95
4020.76000000
PA
USD
4221.97000000
0.000230900065
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JLMJ0
500868.12000000
PA
USD
543381.56000000
0.029717605186
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06739GCR8
330000.00000000
PA
USD
335836.10000000
0.018366918132
Long
DBT
CORP
GB
N
2
2022-05-12
Fixed
1.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHKC5
55349.81000000
PA
USD
60182.94000000
0.003291412483
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407SPQ9
37780.67000000
PA
USD
44411.23000000
0.002428855699
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A24E9
298848.79000000
PA
USD
321254.16000000
0.017569430017
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y4PH6
548705.97000000
PA
USD
609708.30000000
0.033345022856
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400FQM2
14152.68000000
PA
USD
15904.01000000
0.000869792287
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV69
643454.78000000
PA
USD
690574.27000000
0.037767592826
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAE3
1520000.00000000
PA
USD
1688421.59000000
0.092339987023
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
2.85000000
N
N
N
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851AY5
200000.00000000
PA
USD
226064.19000000
0.012363478703
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132JAEZ4
388448.18000000
PA
USD
418114.30000000
0.022866723136
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MAET2
73733.67000000
PA
USD
80646.28000000
0.004410555096
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CL9
200000.00000000
PA
USD
201500.00000000
0.011020060093
Long
DBT
NUSS
PH
N
2
2045-12-10
Fixed
2.65000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BW2
495000.00000000
PA
USD
565729.08000000
0.030939793837
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.63000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418UCL6
18727.85000000
PA
USD
21742.17000000
0.001189081984
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.00000000
N
N
N
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAL7
1800000.00000000
PA
USD
2014177.36000000
0.110155610652
Long
DBT
CORP
US
N
2
2027-09-12
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132LAV82
41860.47000000
PA
USD
45329.59000000
0.002479080922
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
DTE Energy Co
549300IX8SD6XXD71I78
DTE Energy Co
233331BA4
835000.00000000
PA
USD
901742.00000000
0.049316382277
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XEL4
257155.31000000
PA
USD
259222.84000000
0.014176929401
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Floating
3.70000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NW5
255475.49000000
PA
USD
255475.59000000
0.013971991832
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
1.35000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAJ2
130000.00000000
PA
USD
149210.67000000
0.008160350124
Long
DBT
US
N
2
2030-07-01
Fixed
4.05000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2020-1
26208QAF4
7240000.00000000
PA
USD
7409001.87000000
0.405199234946
Long
ABS-O
CORP
US
N
2
2026-03-16
Fixed
2.36000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
2400000.00000000
PA
USD
2534980.75000000
0.138638412909
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.19000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE17 Mortgage Trust
12631DBB8
670000.00000000
PA
USD
738732.42000000
0.040401368047
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Fixed
3.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8GK3
263730.74000000
PA
USD
276731.79000000
0.015134496057
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ER5V8
495928.07000000
PA
USD
520610.32000000
0.028472243234
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
JD.COM INC
549300HVTWB0GJZ16V92
JD.com Inc
47215PAF3
2350000.00000000
PA
USD
2564437.50000000
0.140249406235
Long
DBT
CORP
KY
N
2
2050-01-14
Fixed
4.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TJZ9
43295.65000000
PA
USD
47031.90000000
0.002572180468
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128PMWR7
15080.68000000
PA
USD
15874.59000000
0.000868183304
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: SGD 0.545000 17-MAR-2026
000000000
1676800.00000000
OU
Notional Amount
-4375.81000000
-0.00023931359
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
0.00000000
SGD
-31.11000000
SGD
1676800.00000000
SGD
-4352.73000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WG6H2
63669.06000000
PA
USD
67856.13000000
0.003711060200
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HAFK1
438146.01000000
PA
USD
486856.52000000
0.026626243709
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NX3
1370000.00000000
PA
USD
1414917.37000000
0.077382007171
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
3.60000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31288DKG3
5876.20000000
PA
USD
7034.97000000
0.000384743385
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
6.00000000
N
N
N
N
N
N
CSX Corp
549300JVQR4N1MMP3Q88
CSX Corp
126408HE6
800000.00000000
PA
USD
874707.22000000
0.047837846792
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
2.60000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAJ1
860000.00000000
PA
USD
909995.31000000
0.049767756829
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.88000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2006-C5
17310MAH3
25075.57000000
PA
USD
21780.64000000
0.001191185914
Long
ABS-MBS
CORP
US
N
2
2049-10-15
Fixed
5.48000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 0.882500 17-MAR-2026
000000000
2570000.00000000
OU
Notional Amount
4174.40000000
0.000228298455
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
52.43000000
CAD
0.00000000
CAD
2570000.00000000
CAD
4134.36000000
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBT1
4025000.00000000
PA
USD
4325903.04000000
0.236584175981
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - STACR
549300Y6KOVOWQ8OJC33
Freddie Mac STACR Trust 2019-DNA2
35564LAH0
1638627.87000000
PA
USD
1634459.69000000
0.089388803992
Long
ABS-MBS
USGSE
US
N
2
2049-03-25
Floating
2.60000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31292HK94
924.99000000
PA
USD
1038.51000000
0.000056796241
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6.50000000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448DY1
1190000.00000000
PA
USD
1342364.35000000
0.073414073472
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493005LAQ76UDHPEE03
Freddie Mac Stacr Remic Trust 2019-Hqa4
35565CAH9
9907710.68000000
PA
USD
9878494.82000000
0.540256111918
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Floating
2.20000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JQ1
240000.00000000
PA
USD
268257.82000000
0.014671053583
Long
DBT
CORP
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
CNX Resources Corp
549300JK3KH8PWM3B226
CNX Resources Corp
12653CAC2
750000.00000000
PA
USD
802500.00000000
0.043888824938
Long
DBT
CORP
US
N
2
2027-03-14
Fixed
7.25000000
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LV1
1600000.00000000
PA
USD
1645260.74000000
0.089979514762
Long
DBT
CORP
US
N
2
2023-01-24
Fixed
3.14000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335CAQ7
173989.72000000
PA
USD
188783.75000000
0.010324606797
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.00000000
N
N
N
N
N
N
District of Columbia Water & Sewer Authority
549300OT2FIJQJ5PSH71
DIST OF COLUMBIA WTR & SWR AUTH PUBLIC UTILITY REVENUE
254845RM4
200000.00000000
PA
USD
214120.00000000
0.011710249465
Long
DBT
MUN
US
N
2
2048-10-01
Fixed
3.21000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WRWL0
58108.10000000
PA
USD
59885.77000000
0.003275160219
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Floating
2.42000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JPLG3
94034.48000000
PA
USD
95825.97000000
0.005240734232
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Floating
3.54000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHQ5
175000.00000000
PA
USD
206120.65000000
0.011272764017
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
3.97000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622AAEU4
267809.70000000
PA
USD
283902.58000000
0.015526667455
Long
ABS-MBS
USGA
US
N
2
2048-05-15
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HQW3
600000.00000000
PA
USD
671531.46000000
0.036726139176
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.30000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2018-C46
95001QAX9
2670000.00000000
PA
USD
3148200.20000000
0.172175460997
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
4.38000000
N
N
N
N
N
N
PUBLIC SERVICE COLORADO
5BANEF6PGSEK0SNMQF44
Public Service Co of Colorado
744448CR0
20000.00000000
PA
USD
26021.98000000
0.001423145326
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
4.05000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2020-2
96042PAE2
5920000.00000000
PA
USD
6041415.65000000
0.330405774262
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
2.01000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132L7LF4
23087.07000000
PA
USD
25360.90000000
0.001386990779
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
HACKENSACK MERIDIAN HLTH
5493001CB3OCWTEJY668
Hackensack Meridian Health Inc
404530AD9
58000.00000000
PA
USD
59841.75000000
0.003272752759
Long
DBT
CORP
US
N
2
2050-09-01
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKQV0
35480.25000000
PA
USD
38537.34000000
0.002107611923
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AJLC8
1812389.02000000
PA
USD
1956778.61000000
0.107016465867
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ3X6
146946.64000000
PA
USD
155225.15000000
0.008489282784
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AG8
415000.00000000
PA
USD
429188.06000000
0.023472348450
Long
DBT
CORP
NL
N
2
2022-03-29
Fixed
3.15000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CT0
1080000.00000000
PA
USD
1231100.26000000
0.067329026533
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.88000000
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAG8
75000.00000000
PA
USD
90124.82000000
0.004928937629
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
6.13000000
N
N
N
N
N
N
GE Commercial Mortgage Corporation Trust
549300MEP395QRNT3X34
GE Commercial Mortgage Corp Series 2007-C1 Trust
36159XAH3
17455.06000000
PA
USD
8552.98000000
0.000467763541
Long
ABS-MBS
CORP
US
N
2
2049-12-10
Variable
5.61000000
Y
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFFK0
1387904.97000000
PA
USD
1465086.55000000
0.080125765873
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBK5
290000.00000000
PA
USD
305776.20000000
0.016722938457
Long
DBT
CORP
US
N
2
2023-06-05
Fixed
3.05000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
CWABS Inc Asset-Backed Certificates Series 2004-1
126671Z25
14043.63000000
PA
USD
13992.90000000
0.000765273443
Long
ABS-O
CORP
US
N
2
2034-03-25
Floating
0.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGKL7
106521.85000000
PA
USD
113378.18000000
0.006200666783
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: SGD 0.560000 17-MAR-2026
000000000
2060000.00000000
OU
Notional Amount
-6544.49000000
-0.00035791897
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
0.00000000
SGD
-38.22000000
SGD
2060000.00000000
SGD
-6516.39000000
N
N
N
QUANTA SERVICES INC
SHVRXXEACT60MMH07S24
Quanta Services Inc
74762EAF9
2290000.00000000
PA
USD
2455238.41000000
0.134277294404
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.90000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D2D2
68669.04000000
PA
USD
78264.91000000
0.004280317674
Long
ABS-MBS
USGA
US
N
2
2033-11-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132WFDH9
98290.13000000
PA
USD
105153.94000000
0.005750882073
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FCQ7
266272.28000000
PA
USD
310448.34000000
0.016978458376
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
5.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DD7
557000.00000000
PA
USD
642516.68000000
0.035139317244
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.45000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAB9
4580000.00000000
PA
USD
4732251.02000000
0.258807397612
Long
DBT
CORP
US
N
2
2022-09-26
Fixed
2.20000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.381500 17-MAR-2026
000000000
1070000.00000000
OU
Notional Amount
-1755.74000000
-0.00009602163
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
21.83000000
AUD
0.00000000
AUD
1070000.00000000
AUD
-1771.64000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CBT3
44094.00000000
PA
USD
51282.43000000
0.002804642483
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BTAC5
1190000.00000000
PA
USD
1354664.47000000
0.074086768566
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Fixed
3.30000000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAJ4
394000.00000000
PA
USD
438625.83000000
0.023988501266
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.70000000
N
N
N
N
N
N
CHOICE HOTELS INTL INC
5493003CYRY5RFGTIR97
Choice Hotels International Inc
169905AF3
1065000.00000000
PA
USD
1161552.90000000
0.063525472754
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.70000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAA0
5850000.00000000
PA
USD
6004660.55000000
0.328395633266
Long
DBT
CORP
US
N
2
2025-08-05
Fixed
1.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TQQ1
4014061.00000000
PA
USD
4334701.74000000
0.237065377980
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
4.00000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAE0
3015000.00000000
PA
USD
3052603.38000000
0.166947259006
Long
DBT
CORP
US
N
2
2021-05-25
Fixed
3.55000000
N
N
N
N
N
N
Atmos Energy Corp
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560AN5
400000.00000000
PA
USD
442613.24000000
0.024206573216
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564AAK7
1591537.64000000
PA
USD
1589388.43000000
0.086923851170
Long
ABS-MBS
USGSE
US
N
2
2047-02-25
Floating
1.40000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
549300ECVPNB3VQOQ826
Credit Suisse First Boston Mortgage Securities Corp
2254W0HE8
7140.33000000
PA
USD
6022.78000000
0.000329386588
Long
ABS-MBS
CORP
US
N
2
2019-09-25
Fixed
5.00000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE MAR21 IFLL 20210329
000000000
-92.00000000
NC
-134027.24000000
-0.00732996644
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Short
United Kingdom Gilt
G H1 Comdty
2021-03-29
-12371671.11000000
GBP
-134027.24000000
N
N
N
NATIONAL OILWELL VARCO I
549300EHF3IW1AR6U008
National Oilwell Varco Inc
637071AM3
99000.00000000
PA
USD
103523.78000000
0.005661728420
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.60000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBT1
165000.00000000
PA
USD
172101.68000000
0.009412262311
Long
DBT
CORP
US
N
2
2040-09-25
Fixed
3.73000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7G3
940000.00000000
PA
USD
966648.82000000
0.052866144346
Long
DBT
CORP
CA
N
2
2023-04-17
Fixed
1.60000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F040412
1066000.00000000
PA
USD
1131292.50000000
0.061870527709
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MD0
160000.00000000
PA
USD
220869.24000000
0.012079366241
Long
DBT
CORP
US
N
2
2048-07-23
Fixed
4.65000000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAH3
350000.00000000
PA
USD
366563.91000000
0.020047425887
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.13000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
550000.00000000
PA
USD
652499.71000000
0.035685290398
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7XH3
105569.13000000
PA
USD
113836.66000000
0.006225741111
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CXA7
202455.93000000
PA
USD
215466.27000000
0.011783877139
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
4.00000000
N
N
N
N
N
N
CHENIERE ENERGY INC
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411RAJ8
1250000.00000000
PA
USD
1312500.00000000
0.071780788451
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.63000000
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CY4
850000.00000000
PA
USD
904604.05000000
0.049472908148
Long
DBT
CORP
US
N
2
2025-01-28
Fixed
2.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.517910 08-MAR-2031
000000000
14530000.00000000
OU
Notional Amount
-48633.72000000
-0.00265978420
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-10
62456.36000000
GBP
0.00000000
GBP
14530000.00000000
GBP
-132993.51000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJY1
77070.07000000
PA
USD
91051.08000000
0.004979594904
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
REGENERON PHARMACEUTICAL
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals Inc
75886FAE7
4995000.00000000
PA
USD
4918763.96000000
0.269007813528
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPZH0
164662.21000000
PA
USD
179795.70000000
0.009833049223
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
3.50000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BY5
165000.00000000
PA
USD
176864.83000000
0.009672759578
Long
DBT
CORP
US
N
2
2030-05-11
Fixed
2.24000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R06
20754JBH6
5955273.50000000
PA
USD
5667470.20000000
0.309954651033
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
1.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JGLW3
324075.29000000
PA
USD
351429.43000000
0.019219719291
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2019-2
96041LAD4
1200000.00000000
PA
USD
1214992.80000000
0.066448107540
Long
ABS-O
CORP
US
N
2
2024-07-15
Fixed
2.62000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAF3
205000.00000000
PA
USD
203462.50000000
0.011127389463
Long
DBT
CORP
US
N
2
2027-08-31
Fixed
3.38000000
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.415000 17-MAR-2026
000000000
1830000.00000000
OU
Notional Amount
-647.49000000
-0.00003541130
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
37.33000000
AUD
0.00000000
AUD
1830000.00000000
AUD
-674.97000000
N
N
N
Nasdaq Inc
549300L8X1Q78ERXFD06
Nasdaq Inc
631103AG3
32000.00000000
PA
USD
36728.81000000
0.002008703192
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
3.85000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MYN6
146927.20000000
PA
USD
168611.94000000
0.009221407996
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
6.50000000
N
N
N
N
N
N
SPIRIT LOYALTY KY LTD/IP
N/A
Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd
84859BAA9
1200000.00000000
PA
USD
1344000.00000000
0.073503527374
Long
DBT
CORP
KY
N
2
2025-09-20
Fixed
8.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8DV4
897882.18000000
PA
USD
963788.12000000
0.052709692307
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QAXR6
67830.95000000
PA
USD
74651.61000000
0.004082705847
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAL1
70000.00000000
PA
USD
76015.75000000
0.004157310834
Long
DBT
CORP
US
N
2
2040-02-15
Fixed
3.11000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AWSY7
47992.35000000
PA
USD
52408.35000000
0.002866219188
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
4.00000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CB0
500000.00000000
PA
USD
625468.75000000
0.034206963829
Long
DBT
NUSS
ID
N
2
2047-07-18
Fixed
4.75000000
N
N
N
N
N
N
HP INC
WHKXQACZ14C5XRO8LW03
HP Inc
40434LAC9
365000.00000000
PA
USD
406191.49000000
0.022214663172
Long
DBT
CORP
US
N
2
2030-06-17
Fixed
3.40000000
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
Barclays Commercial Mortgage Trust 2019-C4
07335CAF1
1400000.00000000
PA
USD
1552858.86000000
0.084926044437
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
2.92000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XTY3
160102.69000000
PA
USD
186424.14000000
0.010195559432
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLR6
275184.50000000
PA
USD
293264.52000000
0.016038673120
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2017-2
26208FAK7
615158.29000000
PA
USD
621130.55000000
0.033969707131
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
3.49000000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAE1
1365000.00000000
PA
USD
1602132.11000000
0.087620804616
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
3.80000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHUV2
189830.81000000
PA
USD
205103.29000000
0.011217124472
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M5QD5
36625.14000000
PA
USD
42941.11000000
0.002348454653
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJYJ3
1705293.53000000
PA
USD
1846572.53000000
0.100989281627
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAA7
3672187.47000000
PA
USD
3675099.15000000
0.200991630190
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Floating
0.95000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16
46629GAM0
210000.00000000
PA
USD
10822.90000000
0.000591905748
Long
ABS-MBS
CORP
US
N
2
2045-05-12
Variable
5.67000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022626
2400000.00000000
PA
USD
2525729.18000000
0.138132443394
Long
ABS-MBS
USGSE
US
N
2
2051-02-15
Fixed
2.50000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BD7
800000.00000000
PA
USD
867426.50000000
0.047439663309
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CND2
305885.13000000
PA
USD
324509.31000000
0.017747454576
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
795000.00000000
PA
USD
962149.91000000
0.052620098398
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XCR98
185948.24000000
PA
USD
208143.12000000
0.011383373153
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L9KW4
1055068.42000000
PA
USD
1132669.03000000
0.061945810307
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAM6
215000.00000000
PA
USD
221486.55000000
0.012113127002
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
1.92000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DQF4
50755.36000000
PA
USD
58986.10000000
0.003225957154
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KJLB6
691090.36000000
PA
USD
734774.80000000
0.040184925316
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415VKS3
579.31000000
PA
USD
658.64000000
0.000036021103
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M7S64
9053.68000000
PA
USD
10168.57000000
0.000556120359
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622AAQ23
413862.20000000
PA
USD
440202.68000000
0.024074739389
Long
ABS-MBS
USGA
US
N
2
2049-09-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LVEV1
414572.98000000
PA
USD
450880.56000000
0.024658713976
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 0.467000 17-MAR-2026
000000000
1310000.00000000
OU
Notional Amount
USD
-619.15000000
-0.00003386139
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
USD
-26.72000000
USD
1310000.00000000
USD
-592.43000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAE6
2300000.00000000
PA
USD
2582326.04000000
0.141227732716
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
3.75000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807CV7
1065000.00000000
PA
USD
1182695.75000000
0.064681777853
Long
DBT
US
N
2
2025-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJW71
1412560.85000000
PA
USD
1533873.09000000
0.083887710312
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020612
91125000.00000000
PA
USD
94659653.09000000
5.176948215881
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
2.00000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764CA6
60000.00000000
PA
USD
66977.01000000
0.003662981017
Long
DBT
CORP
US
N
2
2050-05-11
Fixed
3.08000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBG3
3690000.00000000
PA
USD
4059311.07000000
0.222004227942
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH54
257527.89000000
PA
USD
278688.02000000
0.015241482520
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
METHANEX CORP
549300TSJHRXT9QXRD13
Methanex Corp
59151KAL2
725000.00000000
PA
USD
785697.00000000
0.042969866776
Long
DBT
CORP
CA
N
2
2029-12-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132QWMN6
17436.76000000
PA
USD
19152.91000000
0.001047475033
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FSWP: KRW 0.920000 17-MAR-2026
000000000
1429950000.00000000
OU
Notional Amount
-14270.86000000
-0.00078047511
N/A
DIR
KR
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2026-03-17
0.00000000
KRW
0.00000000
KRW
1429950000.00000000
KRW
-14270.86000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31334YPW1
2465949.89000000
PA
USD
2592892.50000000
0.141805613729
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BV5
2245000.00000000
PA
USD
2331330.91000000
0.127500777798
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.70000000
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132HNH51
2083324.55000000
PA
USD
2265849.20000000
0.123919574924
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Security, TBA
01F020414
7375000.00000000
PA
USD
7710332.03000000
0.421679018922
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A26R8
529897.44000000
PA
USD
569665.91000000
0.031155099560
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136A8G61
2230645.09000000
PA
USD
2277991.65000000
0.124583647026
Long
ABS-MBS
USGSE
US
N
2
2022-05-25
Fixed
2.38000000
N
N
N
N
N
N
DTE ENERGY CO
549300IX8SD6XXD71I78
DTE Energy Co
233331BB2
495000.00000000
PA
USD
510495.62000000
0.027919069032
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GQ3F1
235530.61000000
PA
USD
252793.29000000
0.013825296511
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.447500 17-MAR-2026
000000000
1950000.00000000
OU
Notional Amount
1744.91000000
0.000095429345
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
39.78000000
AUD
0.00000000
AUD
1950000.00000000
AUD
1714.83000000
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136A72D3
3413072.88000000
PA
USD
3471853.16000000
0.189876081685
Long
ABS-MBS
USGSE
US
N
2
2022-04-25
Fixed
2.48000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36180DR33
83716.09000000
PA
USD
90768.08000000
0.004964117598
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213ESA5
5189.75000000
PA
USD
6144.37000000
0.000336036360
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
6.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DF4
75000.00000000
PA
USD
82988.09000000
0.004538628976
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BL5
1105000.00000000
PA
USD
1350835.28000000
0.073877349688
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.95000000
N
N
N
N
N
N
NEVADA POWER CO
MJZFGXRJ52U8U4MKJ519
Nevada Power Co
641423CD8
440000.00000000
PA
USD
473516.59000000
0.025896681276
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.40000000
N
N
N
N
N
N
Upgrade Receivables Trust
5493009DX1Z3IUWYTS52
Upgrade Receivables Trust 2019-2
91532MAA5
658681.46000000
PA
USD
659661.58000000
0.036076973960
Long
ABS-O
CORP
US
N
2
2025-10-15
Fixed
2.77000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412Q2X6
50233.23000000
PA
USD
56404.79000000
0.003084784989
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2018-2
26208JAF0
118455.15000000
PA
USD
118595.58000000
0.006486007039
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
3.63000000
N
N
N
N
N
N
MCCORMICK & CO
549300JQQA6MQ4OJP259
McCormick & Co Inc/MD
579780AL1
880000.00000000
PA
USD
911028.06000000
0.049824238055
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.70000000
N
N
N
N
N
N
Xcel Energy Inc
LGJNMI9GH8XIDG5RCM61
Xcel Energy Inc
98389BAV2
900000.00000000
PA
USD
1059558.91000000
0.057947408739
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TEZ4
533168.39000000
PA
USD
571378.71000000
0.031248772806
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
3.50000000
N
N
N
N
N
N
Southern Copper Corp
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAH8
922000.00000000
PA
USD
1022843.75000000
0.055939452066
Long
DBT
CORP
US
N
2
2025-04-23
Fixed
3.88000000
N
N
N
N
N
N
CLOROX COMPANY
54930044KVSC06Z79I06
Clorox Co/The
189054AU3
800000.00000000
PA
USD
885735.88000000
0.048441005581
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493008J93RJW7PJFN93
Freddie Mac STACR Trust 2019-FTR2
35564WAA1
2462208.45000000
PA
USD
2459314.12000000
0.134500195492
Long
ABS-MBS
USGSE
US
N
2
2048-11-25
Floating
1.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419HEL2
36364.32000000
PA
USD
42285.16000000
0.002312580666
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
5.00000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AZ6
330000.00000000
PA
USD
347099.38000000
0.018982908318
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FPDG1
260051.71000000
PA
USD
280390.01000000
0.015334564565
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
ON SEMICONDUCTOR CORP
ZV20P4CNJVT8V1ZGJ064
ON Semiconductor Corp
682189AQ8
1500000.00000000
PA
USD
1552500.00000000
0.084906418339
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.88000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7R23
228403.70000000
PA
USD
252116.13000000
0.013788262546
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJN38
20503.01000000
PA
USD
22309.17000000
0.001220091285
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A25T5
1062999.87000000
PA
USD
1191577.25000000
0.065167508194
Long
ABS-MBS
USGA
US
N
2
2047-12-15
Fixed
3.50000000
N
N
N
N
N
N
ONEOK Partners LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAJ2
1000000.00000000
PA
USD
1040784.95000000
0.056920658529
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
3.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAM7
100460.74000000
PA
USD
109294.70000000
0.005977340753
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128P7QT3
23481.48000000
PA
USD
25959.11000000
0.001419706958
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36183FLQ0
44793.17000000
PA
USD
49569.57000000
0.002710965956
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MCDX0
35810.81000000
PA
USD
37718.93000000
0.002062852979
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.50000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DT1
420000.00000000
PA
USD
477208.20000000
0.026098575886
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.00000000
N
N
N
N
N
N
AmerisourceBergen Corp
AI8GXW8LG5WK7E9UD086
AmerisourceBergen Corp
03073EAP0
1427000.00000000
PA
USD
1626068.53000000
0.088929890407
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.45000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXH2
2010000.00000000
PA
USD
2365082.26000000
0.129346643333
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
3.80000000
N
N
N
N
N
N
ALLEGION PLC
N/A
Allegion PLC
01748TAB7
630000.00000000
PA
USD
699141.74000000
0.038236148827
Long
DBT
CORP
IE
N
2
2029-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335CEA8
229166.42000000
PA
USD
243163.12000000
0.013298621314
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407FN97
60847.63000000
PA
USD
68610.17000000
0.003752298741
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GR8
260000.00000000
PA
USD
343110.84000000
0.018764774568
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
4.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 0.873000 17-MAR-2026
000000000
3190000.00000000
OU
Notional Amount
4004.09000000
0.000218984180
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
65.08000000
CAD
0.00000000
CAD
3190000.00000000
CAD
3954.26000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLU9
13201.75000000
PA
USD
14706.90000000
0.000804322192
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AABZ6
501193.01000000
PA
USD
537567.45000000
0.029399630786
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BPW21
1590000.00000000
PA
USD
1745052.98000000
0.095437164795
Long
ABS-MBS
USGSE
US
N
2
2026-03-25
Fixed
2.67000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FB47
71890.83000000
PA
USD
82162.30000000
0.004493466419
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KR1
1080000.00000000
PA
USD
1442899.90000000
0.078912375221
Long
DBT
CORP
US
N
2
2046-05-18
Fixed
4.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR21 XCBT 20210322
000000000
280.00000000
NC
USD
64858.29000000
0.003547107957
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYH1 Comdty
2021-03-22
38597016.71000000
USD
64858.29000000
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
891906AE9
1400000.00000000
PA
USD
1514068.51000000
0.082804595365
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
4.00000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAL4
305000.00000000
PA
USD
439425.07000000
0.024032211801
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
6.75000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAC9
920000.00000000
PA
USD
1137079.61000000
0.062187025476
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
5.10000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CF7
275000.00000000
PA
USD
312685.30000000
0.017100797997
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
4.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXGJ5
6042545.51000000
PA
USD
6614613.05000000
0.361754011451
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R03
20753MAF5
4687008.41000000
PA
USD
4681315.57000000
0.256021731508
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Floating
2.30000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
PORT AUTH OF NEW YORK & NEW JERSEY NY
73358WXP4
200000.00000000
PA
USD
226502.00000000
0.012387422587
Long
DBT
MUN
US
N
2
2045-06-01
Fixed
4.82000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ER2P4
482534.92000000
PA
USD
537388.44000000
0.029389840706
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MS7
1100000.00000000
PA
USD
1172446.19000000
0.064121228141
Long
DBT
CORP
US
N
2
2031-06-03
Fixed
2.57000000
N
N
N
N
N
N
FLEX LTD
549300EAQH74YHD07T53
Flex Ltd
33938XAC9
230000.00000000
PA
USD
255875.00000000
0.013993835615
Long
DBT
CORP
SG
N
2
2026-02-01
Fixed
3.75000000
N
N
N
N
N
N
CENTERPOINT ENER HOUSTON
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC
15189XAQ1
800000.00000000
PA
USD
865026.15000000
0.047308387869
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.40000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JBP8
320000.00000000
PA
USD
397501.48000000
0.021739405443
Long
DBT
CORP
US
N
2
2049-06-01
Fixed
3.80000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513ECE9
275000.00000000
PA
USD
282819.60000000
0.015467439144
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac - STACR
549300D2VO9JVX6KU482
STACR Trust 2018-HRP1
3137G0UZ0
1685013.60000000
PA
USD
1662703.18000000
0.090933443978
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Floating
1.80000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GT4
330000.00000000
PA
USD
374818.09000000
0.020498848019
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.65000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132Y1GK8
59184.54000000
PA
USD
64818.20000000
0.003544915430
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAL0
2605000.00000000
PA
USD
3278471.46000000
0.179300012430
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
3.96000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122AW8
400000.00000000
PA
USD
433711.12000000
0.023719715164
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
3.25000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QTS0
53005.16000000
PA
USD
63703.84000000
0.003483970942
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
Consumer Loan Underlying Bond Credit Trust
N/A
Consumer Loan Underlying Bond CLUB Credit Trust 2020-P1
21055JAA6
4798442.27000000
PA
USD
4833442.59000000
0.264341577177
Long
ABS-O
CORP
US
N
2
2028-03-15
Fixed
2.26000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 0.506000 17-MAR-2026
000000000
1540000.00000000
OU
Notional Amount
USD
-3715.34000000
-0.00020319240
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
USD
-31.42000000
USD
1540000.00000000
USD
-3683.92000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H23H9
405964.71000000
PA
USD
446140.02000000
0.024399453253
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
Commonwealth Edison Co
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co
202795JP6
90000.00000000
PA
USD
115211.03000000
0.006300905578
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132L74A4
65517.26000000
PA
USD
71073.56000000
0.003887021847
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR21 XCBT 20210331
000000000
249.00000000
NC
USD
47583.00000000
0.002602320195
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUH1 Comdty
2021-03-31
54975580.94000000
USD
47583.00000000
N
N
N
Morgan Stanley Capital I Trust
5493005SNWQW3UUOQX45
Morgan Stanley Capital I Trust 2012-C4
61760VAP8
680000.00000000
PA
USD
690583.79000000
0.037768113476
Long
ABS-MBS
CORP
US
N
2
2045-03-15
Fixed
3.24000000
N
N
N
N
N
N
Maryland Health & Higher Educational Facilities Authority
N/A
MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE
57421CAW4
80000.00000000
PA
USD
82500.80000000
0.004511979026
Long
DBT
MUN
US
N
2
2050-07-01
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CZ64
73895.80000000
PA
USD
78326.78000000
0.004283701352
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
3.50000000
N
N
N
N
N
N
New York City Transitional Finance Authority Future Tax Secured Revenue
5493003476LG35QAKM08
NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
64971M4P4
110000.00000000
PA
USD
151303.90000000
0.008274829133
Long
DBT
MUN
US
N
2
2037-08-01
Fixed
5.51000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJNE4
47178.44000000
PA
USD
51109.88000000
0.002795205702
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JRH82
70035.78000000
PA
USD
70214.52000000
0.003840040842
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Floating
1.77000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132D56Q0
774999.54000000
PA
USD
810475.48000000
0.044325004933
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493005RUXPCBST1N217
Freddie Mac Stacr Trust 2018-HQA2
35563XAH5
8400000.00000000
PA
USD
8315026.44000000
0.454749831511
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Floating
2.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SQW0
69158.75000000
PA
USD
74585.43000000
0.004079086455
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: SGD 0.607500 17-MAR-2026
000000000
1566745.00000000
OU
Notional Amount
-7793.70000000
-0.00042623842
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
0.00000000
SGD
-29.07000000
SGD
1566745.00000000
SGD
-7772.15000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DQF7
46447.10000000
PA
USD
50144.52000000
0.002742410043
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GZB5
77173.38000000
PA
USD
82602.16000000
0.004517522417
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
2.50000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BD3
1715000.00000000
PA
USD
2256149.99000000
0.123389123921
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418V5T5
8849.09000000
PA
USD
10289.92000000
0.000562757006
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9RH5
29913.89000000
PA
USD
31661.01000000
0.001731544579
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
2.50000000
N
N
N
N
N
N
FORD FOUNDATION/THE
54930013YZ3DULPNNT44
Ford Foundation/The
34531XAB0
5000.00000000
PA
USD
5094.94000000
0.000278642903
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.42000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
91533BAB6
180000.00000000
PA
USD
186172.79000000
0.010181813070
Long
DBT
CORP
US
N
2
2025-06-22
Fixed
1.65000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: USD 0.973500 08-MAR-2031
000000000
2140000.00000000
OU
Notional Amount
USD
4915.25000000
0.000268815634
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-10
49.43000000
USD
0.00000000
USD
2140000.00000000
USD
4865.82000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUB9
986748.12000000
PA
USD
1063077.95000000
0.058139865475
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
State Board of Administration Finance Corp
549300S34SOJ0RULXM35
FLORIDA ST BRD OF ADMIN FIN CORP REVENUE
341271AF1
119000.00000000
PA
USD
124980.94000000
0.006835223173
Long
DBT
MUN
US
N
2
2030-07-01
Fixed
2.15000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
FSWP: KRW 1.052500 17-MAR-2026
000000000
1160940000.00000000
OU
Notional Amount
-4697.52000000
-0.00025690795
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2026-03-17
0.00000000
KRW
0.00000000
KRW
1160940000.00000000
KRW
-4697.52000000
N
N
N
Appalachian Power Co
3SCHO1ABYYIG382BEI70
Appalachian Power Co
037735CU9
800000.00000000
PA
USD
888579.06000000
0.048596499450
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.40000000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
00440EAR8
660000.00000000
PA
USD
720536.43000000
0.039406227088
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.35000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWB6
1090000.00000000
PA
USD
1243902.18000000
0.068029165132
Long
DBT
CORP
US
N
2
2027-01-26
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416SKW0
28515.80000000
PA
USD
30245.92000000
0.001654153131
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
4.00000000
N
N
N
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial Inc
03076CAK2
930000.00000000
PA
USD
1012460.57000000
0.055371594659
Long
DBT
CORP
US
N
2
2025-04-02
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MQP8
574908.20000000
PA
USD
625989.20000000
0.034235427305
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
3.50000000
N
N
N
N
N
N
BLACKROCK CASH FUNDS TREASURY SL AGENCY SHARES
5493008LW2651I1QB503
BlackRock Cash Funds: Treasury, SL Agency Shares
066922477
100000.00000000
NS
USD
100000.00000000
0.005469012453
Long
STIV
RF
US
N
1
N
N
N
Bank
N/A
BANK 2020-BNK28
06540YAH2
2100000.00000000
PA
USD
2148513.15000000
0.117502451737
Long
ABS-MBS
CORP
US
N
2
2063-03-15
Fixed
1.84000000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust 2019-3
80286HAE9
5330000.00000000
PA
USD
5371830.91000000
0.293786101446
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
2.28000000
N
N
N
N
N
N
YALE UNIVERSITY
9SFB6DIM0FRWV0EV8S84
Yale University
98459LAC7
272000.00000000
PA
USD
282098.13000000
0.015427981860
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
2.40000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: OIS 0.537125 SOFR 20-OCT-20
000000000
1250000.00000000
OU
Notional Amount
USD
-17316.68000000
-0.00094705138
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-10-21
0.00000000
USD
0.00000000
USD
1250000.00000000
USD
-17316.68000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MQ1
1630000.00000000
PA
USD
1780876.17000000
0.097396339517
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.11000000
N
N
N
N
N
N
DT Auto Owner Trust
N/A
DT Auto Owner Trust 2019-3
26253KAC8
3050000.00000000
PA
USD
3110692.87000000
0.170124180448
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
2.74000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31335AUF3
176186.45000000
PA
USD
191621.41000000
0.010479798776
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFHS8
581713.27000000
PA
USD
632483.37000000
0.034590594271
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132WKQ84
28727.87000000
PA
USD
30151.07000000
0.001648965773
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
SoFi Consumer Loan Program Trust
N/A
SoFi Consumer Loan Program 2017-4 LLC
83405JAA3
37575.77000000
PA
USD
37715.75000000
0.002062679064
Long
ABS-O
CORP
US
N
2
2026-05-26
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SX39
39501.71000000
PA
USD
41805.43000000
0.002286344172
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
4.50000000
N
N
N
N
N
N
Georgia Power Co
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KE0
800000.00000000
PA
USD
894886.70000000
0.048941465067
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.25000000
N
N
N
N
N
N
NOMURA HOLDINGS INC
549300B3CEAHYG7K8164
Nomura Holdings Inc
65535HAP4
2940000.00000000
PA
USD
3139828.27000000
0.171717599103
Long
DBT
CORP
JP
N
2
2025-01-16
Fixed
2.65000000
N
N
N
N
N
N
Prosper Marketplace Issuance Trust
N/A
Prosper Marketplace Issuance Trust Series 2019-3
74362DAA6
890788.14000000
PA
USD
893803.81000000
0.048882241678
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
3.19000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804GC2
610000.00000000
PA
USD
719774.59000000
0.039364561963
Long
DBT
CORP
US
N
2
2049-12-01
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R06
20754JAB0
8533461.81000000
PA
USD
8517696.24000000
0.465833868112
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
2.25000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31292KZV2
99290.46000000
PA
USD
115488.46000000
0.006316078259
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
5.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE MAR21 XEUR 20210308
000000000
-12.00000000
NC
-2277.63000000
-0.00012456386
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Long-Term Euro-BTP (FBTP)
IKH1 Comdty
2021-03-08
-1822255.61000000
EUR
-2277.63000000
N
N
N
Drive Auto Receivables Trust
549300I6T32I4NYWF543
Drive Auto Receivables Trust 2017-1
26208EAG9
1513869.12000000
PA
USD
1531976.96000000
0.083784010726
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
3.84000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DTN2
1360011.72000000
PA
USD
1423710.64000000
0.077862912202
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBHW1
379275.15000000
PA
USD
411019.85000000
0.022478726782
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C3D4
177815.82000000
PA
USD
189837.25000000
0.010382222843
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: GBP 0.267220 17-MAR-2026
000000000
2070000.00000000
OU
Notional Amount
-7515.87000000
-0.00041104386
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
313.43000000
GBP
0.00000000
GBP
2070000.00000000
GBP
-7924.74000000
N
N
N
MIDAMERICAN ENERGY CO
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co
595620AV7
490000.00000000
PA
USD
563310.40000000
0.030807515927
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.15000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R7H6
192196.84000000
PA
USD
204643.93000000
0.011192002016
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.00000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAM9
970000.00000000
PA
USD
1122095.66000000
0.061367551384
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
3.36000000
N
N
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
Evergy Kansas Central Inc
30036FAA9
130000.00000000
PA
USD
153059.11000000
0.008370821787
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.45000000
N
N
N
N
N
N
MidAmerican Energy Co
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co
595620AQ8
800000.00000000
PA
USD
896803.58000000
0.049046299473
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.10000000
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081CY7
80000.00000000
PA
USD
138292.58000000
0.007563238422
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
7.20000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AX1
1475000.00000000
PA
USD
1556328.79000000
0.085115815341
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XDA9
3167428.95000000
PA
USD
3296810.82000000
0.180302994312
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Floating
4.40000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128M5NN6
20373.70000000
PA
USD
24189.59000000
0.001322931689
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBE5
610000.00000000
PA
USD
663273.06000000
0.036274486251
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.74000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBR75
628326.18000000
PA
USD
679784.76000000
0.037177513181
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAG0
1040000.00000000
PA
USD
1145397.53000000
0.062641933557
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
4.03000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TCW3
92596.33000000
PA
USD
98319.51000000
0.005377106246
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419DL74
75071.89000000
PA
USD
83984.29000000
0.004593111279
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
State of Israel
46513JXN6
390000.00000000
PA
USD
430462.50000000
0.023542047732
Long
DBT
NUSS
IL
N
2
2050-01-15
Fixed
3.38000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAG6
1625000.00000000
PA
USD
1765448.30000000
0.096552587386
Long
DBT
US
N
2
2024-09-01
Fixed
3.20000000
N
N
N
N
N
N
BOISE CASCADE COMPANY
549300Z8B8LSRHC7XA55
Boise Cascade Co
09739DAD2
1250000.00000000
PA
USD
1353125.00000000
0.074002574760
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.88000000
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKF8
655000.00000000
PA
USD
652366.75000000
0.035678018799
Long
DBT
CORP
US
N
2
2061-02-01
Fixed
3.50000000
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412GXY6
150000.00000000
PA
USD
183558.00000000
0.010038809879
Long
DBT
MUN
US
N
2
2045-05-15
Fixed
4.13000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
PORT AUTH OF NEW YORK & NEW JERSEY NY
73358WXQ2
50000.00000000
PA
USD
69462.00000000
0.003798885430
Long
DBT
MUN
US
N
2
2065-10-15
Fixed
4.81000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBD6
670000.00000000
PA
USD
752620.82000000
0.041160926373
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.39000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617NWHH8
1892345.94000000
PA
USD
2004610.93000000
0.109632421404
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
Toyota Auto Loan Extended Note Trust 2020-1
549300XP7ILZSI1BWP36
Toyota Auto Loan Extended Note Trust 2020-1
89237JAA4
5680000.00000000
PA
USD
5848622.73000000
0.319861905458
Long
ABS-O
CORP
US
N
2
2033-05-25
Fixed
1.35000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132LA2L5
1318581.45000000
PA
USD
1423264.63000000
0.077838519860
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: SGD 0.507000 17-MAR-2026
000000000
2910000.00000000
OU
Notional Amount
-3409.82000000
-0.00018648348
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
0.00000000
SGD
-54.00000000
SGD
2910000.00000000
SGD
-3369.81000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0HW2
1749638.77000000
PA
USD
1825757.68000000
0.099850914888
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Floating
5.70000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCV2
150000.00000000
PA
USD
168097.77000000
0.009193287975
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.10000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CT9
250000.00000000
PA
USD
260048.67000000
0.014222094147
Long
DBT
CORP
US
N
2
2060-09-01
Fixed
2.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RTB5
65632.47000000
PA
USD
73256.53000000
0.004006408748
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
4.50000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2014-C23
92939HAX3
300916.03000000
PA
USD
329802.64000000
0.018036947453
Long
ABS-MBS
CORP
US
N
2
2057-10-15
Fixed
3.65000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust 2018-3
96042GAJ1
2980000.00000000
PA
USD
3008810.64000000
0.164552228602
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
3.61000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QA2X7
108958.53000000
PA
USD
119914.63000000
0.006558146048
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BA6
800000.00000000
PA
USD
817735.63000000
0.044722063440
Long
DBT
CORP
US
N
2
2021-11-08
Fixed
3.13000000
N
N
N
N
N
N
Freddie Mac - STACR
54930047IR7X5WWFY307
Freddie Mac Stacr Trust 2019-HQA1
35563MAH9
7537454.44000000
PA
USD
7518247.50000000
0.411173892055
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Floating
2.50000000
N
N
N
N
N
N
WASHINGTON GAS LIGHT CO
DL22T1SB4DUBS063O841
Washington Gas Light Co
93884PDY3
30000.00000000
PA
USD
36012.66000000
0.001969536860
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.65000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31298D3G0
666.78000000
PA
USD
694.73000000
0.000037994870
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CEF7
652014.76000000
PA
USD
685500.19000000
0.037490090759
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBE5
9590000.00000000
PA
USD
10527584.00000000
0.575754880007
Long
DBT
US
N
2
2029-11-18
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BNL6
704987.33000000
PA
USD
773778.20000000
0.042318026120
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJBY3
53498.00000000
PA
USD
58626.98000000
0.003206316837
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297FSM5
96795.34000000
PA
USD
107896.92000000
0.005900895991
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AEB39
1066328.51000000
PA
USD
1171404.28000000
0.064064245953
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.50000000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co
202795JR2
500000.00000000
PA
USD
535121.85000000
0.029265880617
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.20000000
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJA8
1361000.00000000
PA
USD
1718764.03000000
0.093999418846
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEKL5
1121004.12000000
PA
USD
1191179.49000000
0.065145754651
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HFFN4
129196.91000000
PA
USD
142387.39000000
0.007787184091
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31329QCR0
381862.05000000
PA
USD
407419.83000000
0.022281841240
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE
59259YGF0
355000.00000000
PA
USD
462923.55000000
0.025317346599
Long
DBT
MUN
US
N
2
2040-11-15
Fixed
6.81000000
N
N
N
N
N
N
FMC CORP
CKDHZ2X64EEBQCSP7013
FMC Corp
302491AU9
1882000.00000000
PA
USD
2142531.56000000
0.117175317835
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
3.45000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B3NX2
281000.00000000
PA
USD
298671.25000000
0.016334367857
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Variable
3.30000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BW2
405000.00000000
PA
USD
406230.81000000
0.022216813588
Long
DBT
CORP
US
N
2
2023-09-29
Fixed
0.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36295NPG6
68677.67000000
PA
USD
76001.30000000
0.004156520561
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Fixed
3.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAS0
3395000.00000000
PA
USD
4024735.26000000
0.220113272587
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36180DLG0
144642.20000000
PA
USD
156827.46000000
0.008576913317
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: HKD 0.567500 17-MAR-2026
000000000
10000000.00000000
OU
Notional Amount
3679.42000000
0.000201227938
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
204.00000000
HKD
0.00000000
HKD
10000000.00000000
HKD
3653.11000000
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AW6
320000.00000000
PA
USD
319200.00000000
0.017457087751
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SUV7
8669714.49000000
PA
USD
9318640.54000000
0.509637611624
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36181FM99
43175.34000000
PA
USD
47463.48000000
0.002595783632
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FVVS2
63493.56000000
PA
USD
69354.45000000
0.003793003507
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAS1
800000.00000000
PA
USD
792000.00000000
0.043314578631
Long
DBT
US
N
2
2024-03-15
Fixed
4.65000000
N
N
N
N
N
N
Thomson Reuters Corp
549300561UZND4C7B569
Thomson Reuters Corp
884903BV6
800000.00000000
PA
USD
897437.56000000
0.049080971918
Long
DBT
CORP
CA
N
2
2026-05-15
Fixed
3.35000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJJ0
5400000.00000000
PA
USD
5771523.19000000
0.315645322014
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
3.38000000
N
N
N
N
N
ADOBE INC
FU4LY2G4933NH2E1CP29
Adobe Inc
00724PAB5
745000.00000000
PA
USD
787834.18000000
0.043086749416
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
1.90000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MAD63
122383.42000000
PA
USD
137423.10000000
0.007515686452
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QBS4
500000.00000000
PA
USD
556190.02000000
0.030418101458
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7VZ9
3044146.18000000
PA
USD
3211775.89000000
0.175652423400
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L8T31
397778.39000000
PA
USD
422032.25000000
0.023080996310
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton Inc
09951LAA1
140000.00000000
PA
USD
144200.00000000
0.007886315957
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.88000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAW6
1780000.00000000
PA
USD
1830421.60000000
0.100105985254
Long
DBT
CORP
US
N
2
2022-04-10
Fixed
3.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SSP3
183867.85000000
PA
USD
195952.08000000
0.010716643657
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KWS3
39149.01000000
PA
USD
45842.92000000
0.002507155003
Long
ABS-MBS
USGA
US
N
2
2038-11-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SSQ1
691808.55000000
PA
USD
741877.56000000
0.040573376145
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7HS9
283844.67000000
PA
USD
300565.29000000
0.016437953140
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177QXM0
21987.97000000
PA
USD
23101.05000000
0.001263399301
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418Q4S9
3097.73000000
PA
USD
3198.76000000
0.000174940582
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Floating
3.46000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XW5W7
15129.27000000
PA
USD
16653.32000000
0.000910772144
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
RALPH LAUREN CORP
HO1QNWM0IXBZ0QSMMO20
Ralph Lauren Corp
731572AA1
1305000.00000000
PA
USD
1328739.69000000
0.072668939119
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
1.70000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BB9
800000.00000000
PA
USD
869073.24000000
0.047529723725
Long
DBT
CORP
US
N
2
2025-02-12
Fixed
2.70000000
N
N
N
N
N
College Loan Corporation Trust
254900HRAVYB2492C092
College Loan Corp Trust I
194262CE9
751109.29000000
PA
USD
748649.25000000
0.040943720715
Long
ABS-O
CORP
US
N
2
2024-04-25
Floating
0.40000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CR1
1250000.00000000
PA
USD
1286000.00000000
0.070331500151
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.63000000
N
N
N
N
N
Pennsylvania State University/The
549300QDK4O4XCJ47X56
PENNSYLVANIA ST UNIV
709235T88
80000.00000000
PA
USD
83709.60000000
0.004578088448
Long
DBT
MUN
US
N
2
2050-09-01
Fixed
2.84000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE MAR21 XEUR 20210308
000000000
-50.00000000
NC
-7815.54000000
-0.00042743285
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-OAT
OATH1 Comdty
2021-03-08
-8386602.47000000
EUR
-7815.54000000
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
FSWP: KRW 1.003800 17-MAR-2026
000000000
22333115000.00000000
OU
Notional Amount
-139072.92000000
-0.00760591531
N/A
DIR
KR
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2026-03-17
0.00000000
KRW
0.00000000
KRW
22333115000.00000000
KRW
-139072.92000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391NES6
9187.96000000
PA
USD
10416.87000000
0.000569699917
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.00000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCL3
1200000.00000000
PA
USD
1581391.58000000
0.086486502447
Long
DBT
CORP
US
N
2
2038-10-15
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7LA3
879678.56000000
PA
USD
960990.96000000
0.052556715278
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
CenterPoint Energy Inc
21TPXMRRHFKOBHDC8J74
CenterPoint Energy Inc
15189TAV9
730000.00000000
PA
USD
864953.85000000
0.047304433773
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFMX4
3104332.13000000
PA
USD
3302903.09000000
0.180636181317
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 0.897000 17-MAR-2026
000000000
3110000.00000000
OU
Notional Amount
6803.49000000
0.000372083715
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
63.44000000
CAD
0.00000000
CAD
3110000.00000000
CAD
6754.64000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ3Z1
82990.69000000
PA
USD
92615.34000000
0.005065144478
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJ2C3
412770.78000000
PA
USD
439460.26000000
0.024034136347
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAE8
190000.00000000
PA
USD
204497.00000000
0.011183966396
Long
DBT
CORP
XX
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAS8
1150000.00000000
PA
USD
1296567.55000000
0.070909440776
Long
DBT
CORP
CA
N
2
2025-07-15
Fixed
5.38000000
N
N
N
N
N
PROGRESSIVE CORP
529900TACNVLY9DCR586
Progressive Corp/The
743315AS2
2320000.00000000
PA
USD
3043317.68000000
0.166439422917
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
4.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJ6C7
6995.26000000
PA
USD
7526.01000000
0.000411598424
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKUL7
180715.49000000
PA
USD
199311.05000000
0.010900346145
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
KEY BANK NA
HUX2X73FUCYHUVH1BK78
KeyBank NA/Cleveland OH
49327M2Z6
1230000.00000000
PA
USD
1254093.41000000
0.068586524770
Long
DBT
CORP
US
N
2
2023-03-10
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566AAA7
310000.00000000
PA
USD
310604.16000000
0.016986980191
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Floating
1.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WQW5
24208.50000000
PA
USD
25688.68000000
0.001404917108
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JP3
510000.00000000
PA
USD
543355.47000000
0.029716178320
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJZR4
301132.52000000
PA
USD
320437.94000000
0.017524790844
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CAA3
5570000.00000000
PA
USD
5570876.16000000
0.304671910956
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Floating
0.98000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36178WS83
25049.29000000
PA
USD
26747.48000000
0.001462823012
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S2P1
210965.07000000
PA
USD
226316.85000000
0.012377296710
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
3.50000000
N
N
N
N
N
N
HP INC
WHKXQACZ14C5XRO8LW03
HP Inc
40434LAB1
1250000.00000000
PA
USD
1379259.21000000
0.075431857960
Long
DBT
CORP
US
N
2
2027-06-17
Fixed
3.00000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2D2
2170000.00000000
PA
USD
2202824.90000000
0.120472768108
Long
DBT
CORP
CH
N
2
2023-05-05
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JLL28
402885.93000000
PA
USD
436666.11000000
0.023881323935
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBB6
850000.00000000
PA
USD
928158.94000000
0.050761128016
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.15000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2019-1
96042JAG1
4000000.00000000
PA
USD
4023672.40000000
0.220055144641
Long
ABS-O
CORP
US
N
2
2022-10-17
Fixed
3.26000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BF9
330000.00000000
PA
USD
455745.67000000
0.024924787448
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
7.15000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617J3E56
70229.45000000
PA
USD
75854.06000000
0.004148467987
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV7D1
1237437.52000000
PA
USD
1300369.20000000
0.071117353488
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132LAS94
601766.59000000
PA
USD
651820.19000000
0.035648127365
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: SGD 0.540000 17-MAR-2026
000000000
2340000.00000000
OU
Notional Amount
-5663.72000000
-0.00030974955
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-17
0.00000000
SGD
-43.42000000
SGD
2340000.00000000
SGD
-5631.56000000
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBF1
700000.00000000
PA
USD
886461.44000000
0.048480686548
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
4.20000000
N
N
N
N
N
N
MEMORIAL SLOAN-KETTERING
549300IZ71UAMEHWL382
Memorial Sloan-Kettering Cancer Center
586054AD0
46000.00000000
PA
USD
48947.85000000
0.002676964012
Long
DBT
CORP
US
N
2
2050-01-01
Fixed
2.96000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X3EE8
71343.15000000
PA
USD
76262.62000000
0.004170812185
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USW3
186012.58000000
PA
USD
203695.70000000
0.011140143200
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6ME8
1545393.67000000
PA
USD
1646682.80000000
0.090057287400
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R4E6
1299967.67000000
PA
USD
1403458.58000000
0.076755324519
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QSW0
222936.12000000
PA
USD
259173.22000000
0.014174215677
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAE6
1000000.00000000
PA
USD
1032334.52000000
0.056458503460
Long
DBT
CORP
US
N
2
2023-04-25
Fixed
2.78000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DVC8
192791.24000000
PA
USD
208137.20000000
0.011383049388
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
617482V92
460000.00000000
PA
USD
751258.90000000
0.041086442798
Long
DBT
CORP
US
N
2
2042-07-24
Fixed
6.38000000
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W2
040104NC1
9136.93000000
PA
USD
9135.10000000
0.000499599756
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
0.87000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J75S0
228658.96000000
PA
USD
257584.52000000
0.014087329476
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MX39
99018.58000000
PA
USD
106121.50000000
0.005803798050
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8C52
732308.15000000
PA
USD
808349.07000000
0.044208711305
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAA2
1590000.00000000
PA
USD
1772420.80000000
0.096933914279
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E0SF7
13901.11000000
PA
USD
14611.43000000
0.000799100926
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DVLC7
342190.46000000
PA
USD
366388.36000000
0.020037825036
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
FIDELITY NATL FINANCIAL
549300CAZYIH39SYQ287
Fidelity National Financial Inc
31620RAF2
120000.00000000
PA
USD
129279.28000000
0.007070299922
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
5.50000000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516BW5
1050000.00000000
PA
USD
1118908.41000000
0.061193240285
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.30000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCK8
875000.00000000
PA
USD
1182507.25000000
0.064671468765
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DWY5
22237.17000000
PA
USD
24286.41000000
0.001328226787
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J92G5
203433.87000000
PA
USD
219411.32000000
0.011999632415
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XNX8
2078536.93000000
PA
USD
2075909.66000000
0.113531757827
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Floating
2.35000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
549300TPZNMN50BJ3745
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BB9
200000.00000000
PA
USD
210848.69000000
0.011531341114
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.46000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390CVL7
3088.24000000
PA
USD
3650.26000000
0.000199633173
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJYP9
1566539.78000000
PA
USD
1695345.77000000
0.092718671290
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J82T9
220181.87000000
PA
USD
246004.68000000
0.013454026585
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020618
1000000.00000000
PA
USD
1045742.19000000
0.057191770602
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
2.00000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
1630000.00000000
PA
USD
2152897.69000000
0.117742242776
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MR9
800000.00000000
PA
USD
824088.77000000
0.045069517458
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
1.68000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9EY3
119784.75000000
PA
USD
127379.44000000
0.006966397436
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
3.00000000
N
N
N
N
N
N
Grand Parkway Transportation Corp
N/A
GRAND PARKWAY TRANSPRTN CORP TX SYS TOLL REVENUE
38611TDL8
400000.00000000
PA
USD
415904.00000000
0.022745841554
Long
DBT
MUN
US
N
2
2052-10-01
Fixed
3.24000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132LAUF7
105151.46000000
PA
USD
113868.58000000
0.006227486820
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
New York City Water & Sewer System
549300Q2EHQ6RJPQKP05
NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE
64972FY34
500000.00000000
PA
USD
803880.00000000
0.043964297310
Long
DBT
MUN
US
N
2
2044-06-15
Fixed
5.88000000
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
7541753.09000000
PA
USD
7532158.47000000
0.411934684737
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Floating
2.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XF85
170868.25000000
PA
USD
198823.76000000
0.010873696194
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 0.431000 17-MAR-2026
000000000
2590000.00000000
OU
Notional Amount
675.73000000
0.000036955757
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
52.84000000
AUD
0.00000000
AUD
2590000.00000000
AUD
636.46000000
N
N
N
Commonwealth Edison Co
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co
202795JN1
2200000.00000000
PA
USD
2594908.98000000
0.141915895271
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405RRN8
10169.58000000
PA
USD
12191.68000000
0.000666764497
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJH3
2545000.00000000
PA
USD
2568781.01000000
0.140486953338
Long
DBT
CORP
US
N
2
2024-10-24
Fixed
0.81000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 0.113000 17-MAR-2026
000000000
12170000.00000000
OU
Notional Amount
2862.83000000
0.000156568529
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
SEK
-248.27000000
SEK
12170000.00000000
SEK
2891.59000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178EDX4
86107.09000000
PA
USD
94042.49000000
0.005143195489
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
METHODIST HOSPITAL/THE
549300Y1E42JLBRENF23
Methodist Hospital/The
591539AA9
87000.00000000
PA
USD
88746.13000000
0.004853536901
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
2.71000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412RND5
86057.42000000
PA
USD
95510.31000000
0.005223470748
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
3.50000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BN1
1040000.00000000
PA
USD
1299438.05000000
0.071066428779
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RBX6
517538.87000000
PA
USD
555696.49000000
0.030391110241
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
ARIZONA PUBLIC SERVICE
YG6VT0TPHRH4TFVAQV64
Arizona Public Service Co
040555CW2
800000.00000000
PA
USD
879177.26000000
0.048082313837
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
2.95000000
N
N
N
N
N
N
JD.COM INC
549300HVTWB0GJZ16V92
JD.com Inc
47215PAE6
3950000.00000000
PA
USD
4286048.62000000
0.234404532788
Long
DBT
CORP
KY
N
2
2030-01-14
Fixed
3.38000000
N
N
N
N
N
N
Maryland Health & Higher Educational Facilities Authority
N/A
MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE
57421CAV6
115000.00000000
PA
USD
119219.35000000
0.006520121098
Long
DBT
MUN
US
N
2
2040-07-01
Fixed
3.05000000
N
N
N
N
N
AEP TEXAS INC
5493001L78U618KXNZ75
AEP Texas Inc
00108WAM2
2830000.00000000
PA
USD
2958621.46000000
0.161807376097
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
2.10000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416W4V1
6251.32000000
PA
USD
6619.22000000
0.000362005966
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389VBN6
4240.90000000
PA
USD
4849.54000000
0.000265221946
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XQT4
193695.26000000
PA
USD
194851.62000000
0.010656459363
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Floating
2.80000000
N
N
N
N
N
N
Lear Corp
549300UPNBTXA1SYTQ33
Lear Corp
521865AZ8
1934000.00000000
PA
USD
2387462.06000000
0.130570597382
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5G78
58846.21000000
PA
USD
64297.13000000
0.003516418046
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FGY6
97453.77000000
PA
USD
111440.67000000
0.006094704120
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
5.00000000
N
N
N
N
N
N
ADOBE INC
FU4LY2G4933NH2E1CP29
Adobe Inc
00724PAC3
2090000.00000000
PA
USD
2242707.48000000
0.122653951375
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.15000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MF5
2805000.00000000
PA
USD
3049528.29000000
0.166779081951
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
3.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36230NHB4
31243.80000000
PA
USD
35188.67000000
0.001924472744
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W3F32
49303.80000000
PA
USD
52772.02000000
0.002886108345
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETGM2
21699.96000000
PA
USD
23107.76000000
0.001263766272
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
3.00000000
N
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160CE2
2530000.00000000
PA
USD
2847227.36000000
0.155715218896
Long
DBT
CORP
US
N
2
2027-03-03
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FCNG9
259067.27000000
PA
USD
276439.39000000
0.015118504665
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BL7
3220000.00000000
PA
USD
4018899.81000000
0.219794131100
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132D6NR7
3779268.29000000
PA
USD
4018132.29000000
0.219752155336
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XWX8
2994468.28000000
PA
USD
2992581.76000000
0.163664669133
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Floating
2.65000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XF82
5796893.18000000
PA
USD
5685429.94000000
0.310936871450
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Floating
1.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EUKZ1
5791.91000000
PA
USD
6349.38000000
0.000347248382
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.50000000
N
N
N
N
N
N
Baidu Inc
254900AL64IANZYI1E02
Baidu Inc
056752AN8
2500000.00000000
PA
USD
3005258.25000000
0.164357947950
Long
DBT
CORP
KY
N
2
2028-11-14
Fixed
4.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR -0.442860 08-MAR-2026
000000000
156810000.00000000
OU
Notional Amount
-91884.75000000
-0.00502518842
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-09
16702.70000000
EUR
0.00000000
EUR
156810000.00000000
EUR
-112140.96000000
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AY7L1
1590000.00000000
PA
USD
1779318.28000000
0.097311138319
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Variable
2.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8KW2
1474652.22000000
PA
USD
1730520.56000000
0.094642384935
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
5.50000000
N
N
N
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CAS4
1000000.00000000
PA
USD
1089597.58000000
0.059590227342
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GSP9
13459.03000000
PA
USD
13891.89000000
0.000759749194
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
6.00000000
N
N
N
N
N
N
COSTCO WHOLESALE CORP
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160KAQ8
3135000.00000000
PA
USD
3258283.72000000
0.178195942415
Long
DBT
CORP
US
N
2
2032-04-20
Fixed
1.75000000
N
N
N
N
N
Marlette Funding Trust
549300JRCMNFIBT50883
Marlette Funding Trust 2018-4
57109GAA2
270500.86000000
PA
USD
271572.21000000
0.014852317985
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
3.71000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31297M4D7
100412.46000000
PA
USD
113244.72000000
0.006193367839
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.50000000
N
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859BD3
1000000.00000000
PA
USD
1106736.12000000
0.060527536229
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
3.85000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132WNEK4
81055.11000000
PA
USD
88533.57000000
0.004841911968
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
Southern Copper Corp
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAJ4
313000.00000000
PA
USD
452089.38000000
0.024724824492
Long
DBT
CORP
US
N
2
2045-04-23
Fixed
5.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A27M8
69683.88000000
PA
USD
72958.63000000
0.003990116560
Long
ABS-MBS
USGA
US
N
2
2047-02-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KJQ39
1235246.52000000
PA
USD
1304140.02000000
0.071323580104
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KH2L9
812279.39000000
PA
USD
857746.46000000
0.046910260716
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.00000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBQ4
1100000.00000000
PA
USD
1194270.00000000
0.065314775027
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.50000000
N
N
N
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AC7
1395000.00000000
PA
USD
1537049.33000000
0.084061419273
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.35000000
N
N
N
N
N
N
Drive Auto Receivables Trust
549300RZ091I85JWZO63
Drive Auto Receivables Trust 2017-3
26207KAG6
4540733.05000000
PA
USD
4609007.97000000
0.252067219859
Long
ABS-O
CORP
US
N
2
2023-12-15
Fixed
3.53000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RHP0
400000.00000000
PA
USD
442560.30000000
0.024203677921
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
4.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179DK41
23249.63000000
PA
USD
25178.16000000
0.001376996705
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
3.50000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAP4
540000.00000000
PA
USD
583082.84000000
0.031888873133
Long
DBT
CORP
XX
N
2
2025-01-15
Fixed
3.13000000
N
N
N
N
N
N
Mastercard Inc
AR5L2ODV9HN37376R084
Mastercard Inc
57636QAL8
4360000.00000000
PA
USD
5416569.18000000
0.296232843003
Long
DBT
CORP
US
N
2
2049-06-01
Fixed
3.65000000
N
N
N
N
N
N
Alabama Power Co
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392FN3
800000.00000000
PA
USD
861786.65000000
0.047131219210
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31297F3M3
9750.09000000
PA
USD
10976.67000000
0.000600315449
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MKE85
32198.56000000
PA
USD
34150.99000000
0.001867721896
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128PUHH8
187287.12000000
PA
USD
199358.10000000
0.010902919315
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 16-C1 Mortgage Trust
23312LAU2
330000.00000000
PA
USD
347241.84000000
0.018990699473
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Variable
4.20000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBC8
800000.00000000
PA
USD
878608.59000000
0.048051213204
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.95000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC20
36252WAX6
730000.00000000
PA
USD
794587.77000000
0.043456104094
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QAXY1
221739.50000000
PA
USD
248536.24000000
0.013592477916
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
5.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDQ1
2140000.00000000
PA
USD
2142370.95000000
0.117166534054
Long
DBT
CORP
US
N
2
2062-08-15
Fixed
2.65000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132WFNV7
20010.80000000
PA
USD
21378.12000000
0.001169172045
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDF3
65667.50000000
PA
USD
78909.99000000
0.004315597180
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TE27
108802.73000000
PA
USD
117391.18000000
0.006420138253
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
4.00000000
N
N
N
N
N
N
DOLLAR GENERAL CORP
OPX52SQVOZI8IVSWYU66
Dollar General Corp
256677AH8
1000000.00000000
PA
USD
1265572.75000000
0.069214331304
Long
DBT
CORP
US
N
2
2050-04-03
Fixed
4.13000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAL8
325000.00000000
PA
USD
349187.10000000
0.019097085984
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.70000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJE0
1015000.00000000
PA
USD
1057525.00000000
0.057836173948
Long
DBT
CORP
US
N
2
2041-06-19
Fixed
2.68000000
N
N
N
N
N
N
ALIBABA GROUP HOLDING
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609WAR3
300000.00000000
PA
USD
369905.88000000
0.020230198643
Long
DBT
CORP
KY
N
2
2034-11-28
Fixed
4.50000000
N
N
N
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
29446MAC6
500000.00000000
PA
USD
555651.48000000
0.030388648638
Long
DBT
CORP
NO
N
2
2049-11-18
Fixed
3.25000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCV6
1335000.00000000
PA
USD
1425675.16000000
0.077970352046
Long
DBT
CORP
US
N
2
2025-02-26
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEY30
691925.54000000
PA
USD
743316.22000000
0.040652056640
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
AMPHENOL CORP
549300D3L3G0R4U4VT04
Amphenol Corp
032095AK7
300000.00000000
PA
USD
316921.01000000
0.017332449504
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
2.05000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAR4
450000.00000000
PA
USD
487301.99000000
0.026650606518
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622AADS0
190903.34000000
PA
USD
200268.61000000
0.010952715221
Long
ABS-MBS
USGA
US
N
2
2047-02-15
Fixed
3.00000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804FZ2
3300000.00000000
PA
USD
3862057.88000000
0.211216426416
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EUC64
68959.50000000
PA
USD
74174.89000000
0.004056633971
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137AYCE9
3980000.00000000
PA
USD
4115472.43000000
0.225075699714
Long
ABS-MBS
USGSE
US
N
2
2022-10-25
Fixed
2.68000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: SEK 0.115000 17-MAR-2026
000000000
13000000.00000000
OU
Notional Amount
2898.21000000
0.000158503465
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
SEK
-265.20000000
SEK
13000000.00000000
SEK
2929.42000000
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
125000.00000000
PA
USD
142976.82000000
0.007819420091
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5CD3
83808.51000000
PA
USD
88285.37000000
0.004828337879
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076AU6
200000.00000000
PA
USD
292483.75000000
0.015995972711
Long
DBT
CORP
US
N
2
2040-09-15
Fixed
5.40000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
N/A
Westlake Automobile Receivables Trust 2018-1
96042NAL1
2027915.98000000
PA
USD
2043271.56000000
0.111746776074
Long
ABS-O
CORP
US
N
2
2023-05-15
Fixed
3.41000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3132J4B40
72649.38000000
PA
USD
79347.52000000
0.004339525750
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
3.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGK9
3000000.00000000
PA
USD
3095748.78000000
0.169306886305
Long
DBT
CORP
US
N
2
2023-04-24
Fixed
2.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622AADT8
99199.51000000
PA
USD
104709.30000000
0.005726564656
Long
ABS-MBS
USGA
US
N
2
2044-01-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412PKK6
10322.10000000
PA
USD
11179.75000000
0.000611421919
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P8GW5
122855.84000000
PA
USD
130355.25000000
0.007129144856
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
3.50000000
N
N
N
N
N
N
INTERPUBLIC GROUP COS
5493008IUOJ5VWTRC333
Interpublic Group of Cos Inc/The
460690BN9
215000.00000000
PA
USD
220388.00000000
0.012053047165
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
3.75000000
N
N
N
N
N
2021-01-28
Master Investment Portfolio II
Ann Frechette
Ann Frechette
Assistant Treasurer