0001752724-22-038369.txt : 20220222
0001752724-22-038369.hdr.sgml : 20220222
20220222131135
ACCESSION NUMBER: 0001752724-22-038369
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220222
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Voya INTERMEDIATE BOND PORTFOLIO
CENTRAL INDEX KEY: 0000002646
IRS NUMBER: 060891902
STATE OF INCORPORATION: CT
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-02361
FILM NUMBER: 22657046
BUSINESS ADDRESS:
STREET 1: ING FUNDS SERVICES
STREET 2: 7337 E. DOUBLETREE RANCH ROAD, STE 100
CITY: SCOTTSDALE
STATE: AZ
ZIP: 85258
BUSINESS PHONE: 480-477-3000
MAIL ADDRESS:
STREET 1: 7337 E. DOUBLETREE RANCH ROAD, STE 100
CITY: SCOTTSDALE
STATE: AZ
ZIP: 85258
FORMER COMPANY:
FORMER CONFORMED NAME: ING INTERMEDIATE BOND PORTFOLIO
DATE OF NAME CHANGE: 20090508
FORMER COMPANY:
FORMER CONFORMED NAME: ING VP INTERMEDIATE BOND PORTFOLIO
DATE OF NAME CHANGE: 20041124
FORMER COMPANY:
FORMER CONFORMED NAME: ING VP BOND PORTFOLIO
DATE OF NAME CHANGE: 20020501
0000002646
S000008760
Voya Intermediate Bond Portfolio
C000023849
Class ADV
IIBPX
C000028784
Class I
IPIIX
C000028785
Class S
IPISX
C000074893
Class S2
IIBTX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000002646
XXXXXXXX
S000008760
C000028784
C000023849
C000028785
C000074893
Voya Intermediate Bond Portfolio
811-02361
0000002646
GP0L16R6Y5YV83C5QZ60
7337 East Doubletree Ranch Road
Suite 100
Scottsdale
85258
1-800-992-0180
VOYA INTERMEDIATE BOND PORTFOLIO
S000008760
GP0L16R6Y5YV83C5QZ60
2021-12-31
2021-12-31
N
3553885108.05
351875294.70
3202009813.35
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
213041961.85000000
0.00000000
8815277.03000000
USD
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
2590000.00000000
PA
USD
3392231.68000000
0.105940702175
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B8W94
8908077.74000000
PA
USD
1611775.03000000
0.050336355100
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Floating
6.04025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AEU47
5611355.00000000
PA
USD
880808.22000000
0.027507980029
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Floating
6.09812000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAZ7
10970.29000000
PA
USD
11001.73000000
0.000343588266
Long
ABS-MBS
CORP
US
N
2
2025-05-25
Floating
4.10275000
N
N
N
N
N
N
UBS AG STAMFORD CT
254900R882POXXVAK772
UBS AG/Stamford CT
90261AAB8
3500000.00000000
PA
USD
3635740.33000000
0.113545571123
Long
DBT
CORP
CH
N
2
2022-08-17
Fixed
7.62500000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-4
07386HSY8
264367.56000000
PA
USD
266391.77000000
0.008319517600
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
2.60336400
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBT1
866000.00000000
PA
USD
833558.66000000
0.026032358068
Long
DBT
CORP
US
N
2
2040-09-25
Fixed
3.73400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297AKJ1
51405.10000000
PA
USD
59396.47000000
0.001854974639
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
5.00000000
N
N
N
N
N
N
ANZ NEW ZEALAND INTL/LDN
213800VD256NU2D97H12
ANZ New Zealand Int'l Ltd/London
00182EBN8
875000.00000000
PA
USD
861100.41000000
0.026892497531
Long
DBT
CORP
NZ
N
2
2026-06-22
Fixed
1.25000000
N
N
N
N
N
SANTANDER UK PLC
N/A
SANTANDER UK PLC
000000000
500000.00000000
PA
USD
499552.50000000
0.015601217020
Long
DBT
CORP
US
N
2
2022-05-03
Fixed
0.29500000
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2005-17
863579VM7
36690.96000000
PA
USD
35378.20000000
0.001104874814
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.79174200
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEA8
208000.00000000
PA
USD
244895.84000000
0.007648191425
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
Wellman Park CLO Ltd
N/A
Wellman Park CLO Ltd
949723AA8
3950000.00000000
PA
USD
3943395.60000000
0.123153763725
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.22375000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A3
589929R26
49739.23000000
PA
USD
51091.92000000
0.001595620344
Long
ABS-MBS
CORP
US
N
2
2033-05-25
Variable
1.92633000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KGA6
9744.74000000
PA
USD
11311.23000000
0.000353254070
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCZ0
1700000.00000000
PA
USD
2083990.14000000
0.065083814899
Long
DBT
CORP
US
N
2
2042-10-01
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YWA1
71655.41000000
PA
USD
79018.96000000
0.002467792561
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AKGW3
161417.08000000
PA
USD
178662.56000000
0.005579700576
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
Sofi Consumer Loan Program 2018-2 Trust
78471WAD7
1500000.00000000
PA
USD
1513495.95000000
0.047267061571
Long
ABS-O
CORP
US
N
2
2027-04-26
Fixed
4.25000000
N
N
N
N
N
N
CANTOR FITZGERALD SECURITIES
549300DWZ3YOKJO5X179
CANTOR FITZGERALD SECURITIES
000000000
17315682.00000000
PA
USD
17315682.00000000
0.540775419482
Long
RA
CORP
US
N
2
Repurchase
Y
0.05000000
2022-01-03
15618.74516400
USD
15432.93014756
USD
ADAS
46050792.76895132
USD
17646562.71253636
USD
AMBS
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YTY8
291820.48000000
PA
USD
400772.15000000
0.012516268636
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
15.24530000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
220000.00000000
PA
USD
222476.24000000
0.006948018681
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419B3S2
33867.60000000
PA
USD
36993.50000000
0.001155321256
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31295MZJ2
5486.91000000
PA
USD
5512.19000000
0.000172147817
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Floating
2.34500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413BCR0
1308.05000000
PA
USD
1440.57000000
0.000044989556
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L3V78
1949.77000000
PA
USD
2160.31000000
0.000067467313
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R02
20754WAB1
1050845.21000000
PA
USD
1054350.51000000
0.032927772600
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
2.10275000
N
N
N
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO 2013-2 Ltd
69688AAS0
4000000.00000000
PA
USD
3983908.00000000
0.124418981584
Long
ABS-CBDO
CORP
KY
N
2
2031-10-17
Floating
1.97363000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ABBY4
385854.49000000
PA
USD
429191.08000000
0.013403802768
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-2 Ltd
26982AAC8
1500000.00000000
PA
USD
1503535.50000000
0.046955992880
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
3.49967000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396TA86
1253228.20000000
PA
USD
226898.22000000
0.007086118819
Long
ABS-MBS
USGSE
US
N
2
2033-09-15
Floating
6.49025000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DAU3
222995.90000000
PA
USD
224765.60000000
0.007019516275
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WJK9
3181.15000000
PA
USD
3517.16000000
0.000109842261
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XLT9
4911560.93000000
PA
USD
5039985.48000000
0.157400688123
Long
ABS-MBS
CORP
US
N
2
2029-11-25
Floating
2.95275000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L14P2
5603.66000000
PA
USD
6504.98000000
0.000203153031
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
GEORGIA POWER COMPANY
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334FS5
1310000.00000000
PA
USD
1388946.30000000
0.043377328020
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
5.75000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
4000000.00000000
PA
USD
4527738.16000000
0.141403006984
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397YZE4
5910905.17000000
PA
USD
1111026.15000000
0.034697774671
Long
ABS-MBS
USGSE
US
N
2
2037-08-15
Floating
5.97025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AAH81
5932394.97000000
PA
USD
982025.53000000
0.030669035613
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Floating
5.99812000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419KE92
222355.46000000
PA
USD
248813.32000000
0.007770535835
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389EZQ1
7686.95000000
PA
USD
7706.51000000
0.000240677276
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Floating
2.33500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XP53
70390.69000000
PA
USD
76013.19000000
0.002373921206
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
4.50000000
N
N
N
N
N
N
TSMC GLOBAL LTD
549300N2ZLI21P85T117
TSMC Global Ltd
872882AE5
1000000.00000000
PA
USD
966940.83000000
0.030197934621
Long
DBT
CORP
VG
N
2
2025-09-28
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414AAX0
118.47000000
PA
USD
119.11000000
0.000003719851
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412PJ44
40322.04000000
PA
USD
44562.15000000
0.001391693111
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CS7
798000.00000000
PA
USD
832327.14000000
0.025993897224
Long
DBT
CORP
US
N
2
2050-02-21
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415XXY2
1483.92000000
PA
USD
1705.59000000
0.000053266232
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
GILBERT PARK CLO LTD
N/A
Gilbert Park CLO Ltd
375415AA4
2100000.00000000
PA
USD
2100027.30000000
0.065584661584
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.31375000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JGD4
856.88000000
PA
USD
941.21000000
0.000029394350
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
6.00000000
N
N
N
N
N
N
Voya Emerging Markets Hard Cur
N/A
Voya Emerging Markets Hard Currency Debt Fund
92913M401
14931988.74700000
NS
USD
140062054.45000000
4.374191917402
Long
EC
RF
US
N
1
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLV2
2423000.00000000
PA
USD
2451723.31000000
0.076568263463
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ATWH3
7244844.43000000
PA
USD
1572789.07000000
0.049118808550
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Floating
5.89812000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402C7G1
67267.11000000
PA
USD
69164.49000000
0.002160033667
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Floating
1.99900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CNQ8
24589.77000000
PA
USD
27072.90000000
0.000845497096
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B1N26
268797.27000000
PA
USD
278659.44000000
0.008702641660
Long
ABS-MBS
USGSE
US
N
2
2048-05-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406J3J0
20281.14000000
PA
USD
20376.79000000
0.000636375001
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Floating
2.05000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAX7
1104000.00000000
PA
USD
1109245.15000000
0.034642153355
Long
DBT
CORP
CA
N
2
2052-02-15
Fixed
3.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412LEU0
5893.01000000
PA
USD
6827.74000000
0.000213232950
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QQ4G4
525181.06000000
PA
USD
560683.62000000
0.017510365448
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
3.50000000
N
N
N
N
N
N
WI TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond - When Issued
912810SS8
77000.00000000
PA
USD
71763.40000000
0.002241198627
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GFVW4
300286.22000000
PA
USD
332576.82000000
0.010386502209
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
BAXTER INTERNATIONAL INC
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813CT4
425000.00000000
PA
USD
438347.36000000
0.013689756919
Long
DBT
CORP
US
N
2
2051-12-01
Fixed
3.13200000
N
N
N
N
N
N
Popular ABS Mortgage Pass-Thro
N/A
Popular ABS Mortgage Pass-Through Trust 2005-D
73316PHP8
582799.39000000
PA
USD
582872.53000000
0.018203333655
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
3.53152000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANSB0
14059.51000000
PA
USD
15065.04000000
0.000470487002
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
Jay Park CLO, Ltd.
N/A
Jay Park CLO Ltd
47206VAN4
2000000.00000000
PA
USD
1998524.00000000
0.062414674423
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
2.13150000
N
N
N
N
N
N
SIERRA PACIFIC POWER CO
QB888G5GSVGE1LD1WV84
Sierra Pacific Power Co
826418BM6
2643000.00000000
PA
USD
2750822.27000000
0.085909239207
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
2.60000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2006-AR4 Trust
94983PAF5
203096.05000000
PA
USD
199007.75000000
0.006215088697
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
2.79255300
N
N
N
N
N
N
VENTAS REALTY LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAB3
163000.00000000
PA
USD
220179.39000000
0.006876287170
Long
DBT
CORP
US
N
2
2043-09-30
Fixed
5.70000000
N
N
N
N
N
N
SALESFORCE.COM INC
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466LAL8
165000.00000000
PA
USD
168346.31000000
0.005257520114
Long
DBT
CORP
US
N
2
2051-07-15
Fixed
2.90000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CR0
500000.00000000
PA
USD
615447.36000000
0.019220658145
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.25000000
N
N
N
N
N
N
CALIFORNIA ST UNIV REVENUE
N/A
California State University
13077CTM6
500000.00000000
PA
USD
640864.10000000
0.020014432726
Long
DBT
MUN
US
N
2
2030-11-01
Fixed
6.43400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GHN6
213769.88000000
PA
USD
247946.10000000
0.007743452220
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR2
45661EAF1
1886521.53000000
PA
USD
1515361.81000000
0.047325333098
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
0.52188000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213U2Q2
14455.87000000
PA
USD
16286.24000000
0.000508625549
Long
ABS-MBS
USGA
US
N
2
2037-06-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393GYQ1
200041.60000000
PA
USD
225665.99000000
0.007047635802
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
5.50000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AZ7
900000.00000000
PA
USD
919504.79000000
0.028716488817
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
2.67000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
5493007CD1Q2V06I4172
Wells Fargo Commercial Mortgage Trust 2014-LC18
94989AAX3
26329399.49000000
PA
USD
632890.31000000
0.019765408193
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
1.03424100
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378CCP0
28822.43000000
PA
USD
31310.41000000
0.000977836166
Long
ABS-MBS
USGA
US
N
2
2032-05-16
Fixed
7.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CD4
764000.00000000
PA
USD
746050.81000000
0.023299454201
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BNK0
32333.07000000
PA
USD
35595.80000000
0.001111670546
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
4.50000000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300PACXK2KP6J2T91
Palmer Square CLO 2015-2 Ltd
69689CAW6
5515000.00000000
PA
USD
5513378.59000000
0.172184937316
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.23150000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414RGY5
574.45000000
PA
USD
657.86000000
0.000020545221
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418VNK4
21707.12000000
PA
USD
23784.80000000
0.000742808466
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409GPE0
2333.19000000
PA
USD
2568.94000000
0.000080228985
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376LTT6
3243113.87000000
PA
USD
681567.95000000
0.021285629642
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Floating
6.56612000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407PL97
139638.87000000
PA
USD
139891.22000000
0.004368856691
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Floating
1.90800000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM 2021-WF1 LLC
36143UAA3
31548940.00000000
PA
USD
31548940.00000000
0.985285549983
Long
ABS-MBS
CORP
US
N
3
2026-12-30
Fixed
5.25000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
1000000.00000000
PA
USD
1250574.89000000
0.039055935581
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KA8
1000000.00000000
PA
USD
1086257.17000000
0.033924229884
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
3.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
Americredit Automobile Receivables Trust 2019-1
03066GAG4
1800000.00000000
PA
USD
1855080.72000000
0.057934885529
Long
ABS-O
CORP
US
N
2
2025-03-18
Fixed
3.62000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NHV0
37473.58000000
PA
USD
43165.11000000
0.001348063014
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBT6
880000.00000000
PA
USD
1161239.46000000
0.036265955686
Long
DBT
CORP
GB
N
2
2059-06-19
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410BDV3
11119.96000000
PA
USD
12593.74000000
0.000393307351
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.00000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BQ1
772000.00000000
PA
USD
854672.21000000
0.026691742368
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.25000000
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK)
N/A
CREDIT SUISSE AG (NEW YORK)
000000000
600000.00000000
PA
USD
599173.19000000
0.018712409546
Long
DBT
CORP
US
N
2
2022-06-09
Fixed
0.33000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGWU4
118725.73000000
PA
USD
130860.75000000
0.004086831634
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust
92922F4V7
1077157.19000000
PA
USD
1073156.95000000
0.033515104967
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
1.08188000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-12521.98000000
-0.00039106625
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-621498480.94000000
HUF
1899849.36000000
USD
2022-01-21
-12521.98000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129344N9
10277.33000000
PA
USD
11828.52000000
0.000369409236
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379BCY2
5660653.71000000
PA
USD
690739.57000000
0.021572062868
Long
ABS-MBS
USGA
US
N
2
2039-12-16
Floating
6.09250000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408B2M9
426.83000000
PA
USD
473.89000000
0.000014799767
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
HARTFORD FINL SVCS GRP
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group Inc/The
416515AS3
417000.00000000
PA
USD
561616.06000000
0.017539485908
Long
DBT
CORP
US
N
2
2036-10-15
Fixed
5.95000000
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2013-C17
46640UAN2
3720000.00000000
PA
USD
3645293.84000000
0.113843930921
Long
ABS-MBS
CORP
US
N
2
2047-01-15
Variable
4.88598200
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WF52
2345.33000000
PA
USD
2599.55000000
0.000081184947
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
570000.00000000
PA
USD
729614.47000000
0.022786140971
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AB3
793000.00000000
PA
USD
866575.94000000
0.027063500442
Long
DBT
CORP
N/A
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MCG0
9331.94000000
PA
USD
10809.61000000
0.000337588284
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
6.00000000
N
N
N
N
N
N
COMMONWEALTH BANK AUST
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
202712BL8
745000.00000000
PA
USD
799884.34000000
0.024980696082
Long
DBT
CORP
AU
N
2
2039-09-12
Fixed
3.74300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410XHV1
12731.54000000
PA
USD
14303.21000000
0.000446694758
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2017-C LLC
83405DAD0
2500000.00000000
PA
USD
2557951.25000000
0.079885802952
Long
ABS-O
CORP
US
N
2
2040-07-25
Variable
3.56000000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
31428XBA3
646000.00000000
PA
USD
722130.82000000
0.022552423699
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371PCM0
6224.51000000
PA
USD
6837.61000000
0.000213541194
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
5.50000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAB1
3804000.00000000
PA
USD
4113623.08000000
0.128470033503
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15
61763KAE4
1706000.00000000
PA
USD
1734936.83000000
0.054182745560
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Variable
4.89763600
N
N
N
N
N
N
SunRun Athena Issuer
5493001ZI15Y2FZFMI30
Sunrun Athena Issuer 2018-1 LLC
86772DAA4
1862923.56000000
PA
USD
2044967.71000000
0.063865129378
Long
ABS-O
CORP
US
N
2
2049-04-30
Fixed
5.31000000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AU0
2650000.00000000
PA
USD
2621599.55000000
0.081873563880
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
2.45000000
N
N
N
N
N
N
TOTALENERGIES CAP INTL
549300U37G2I8G4RUG09
TotalEnergies Capital International SA
89153VAX7
500000.00000000
PA
USD
507617.84000000
0.015853100695
Long
DBT
CORP
FR
N
2
2041-06-29
Fixed
2.98600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409CE76
32796.12000000
PA
USD
38023.85000000
0.001187499483
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 9 Ltd
67690AAJ0
1800000.00000000
PA
USD
1779237.00000000
0.055566256935
Long
ABS-CBDO
CORP
KY
N
2
2035-07-19
Floating
2.08360000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJHC7
10057.02000000
PA
USD
11534.47000000
0.000360225941
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
5.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DR8
1355000.00000000
PA
USD
1328403.55000000
0.041486554615
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.12500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ASQN5
21708.14000000
PA
USD
23267.79000000
0.000726662045
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBD6
1458000.00000000
PA
USD
1465785.84000000
0.045777056456
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
1.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YVZE2
931722.14000000
PA
USD
1017453.29000000
0.031775458206
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402EWA2
20081.95000000
PA
USD
22699.80000000
0.000708923498
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AS5
906000.00000000
PA
USD
1018288.15000000
0.031801531205
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CJM9
15607.26000000
PA
USD
17888.95000000
0.000558678799
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
5.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-2
12669GPT2
14790.24000000
PA
USD
13931.22000000
0.000435077367
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
0.78188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395N2N6
1869052.24000000
PA
USD
382165.11000000
0.011935163609
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
7.09812000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VDP6
261630.30000000
PA
USD
295628.83000000
0.009232602247
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QR5N6
1055505.81000000
PA
USD
1133952.54000000
0.035413774663
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417NB34
154241.49000000
PA
USD
170582.37000000
0.005327353129
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
ENTERGY CORP
4XM3TW50JULSLG8BNC79
Entergy Corp
29364GAP8
1333000.00000000
PA
USD
1314316.25000000
0.041046602809
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.40000000
N
N
N
N
N
N
OHA Loan Funding Ltd
25490072LQI0R2J4XC93
OHA Loan Funding 2015-1 Ltd
67109BDC5
8000000.00000000
PA
USD
8001592.00000000
0.249892800660
Long
ABS-CBDO
CORP
KY
N
2
2037-01-19
Floating
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FMKC5
21541275.02000000
PA
USD
3829622.95000000
0.119600600036
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
5.99812000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LBD3
63754.60000000
PA
USD
70289.87000000
0.002195179718
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CBM Mortgage Trust
20049AAJ7
3906000.00000000
PA
USD
3689090.45000000
0.115211715923
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
3.63268900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WKW7
599.38000000
PA
USD
685.79000000
0.000021417485
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31379CVN8
768.02000000
PA
USD
847.35000000
0.000026463066
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401ML33
83392.73000000
PA
USD
90954.25000000
0.002840536266
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.00000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB (NEW YORK)
N/A
SVENSKA HANDELSBANKEN AB (NEW YORK)
000000000
250000.00000000
PA
USD
249986.25000000
0.007807166891
Long
DBT
CORP
US
N
2
2022-04-20
Fixed
0.16500000
N
N
N
N
N
Newark BSL CLO 2 Ltd.
N/A
Newark BSL CLO 2 Ltd
65023PAS9
3700000.00000000
PA
USD
3687764.10000000
0.115170293502
Long
ABS-CBDO
CORP
KY
N
2
2030-07-25
Floating
1.87388000
N
N
N
N
N
N
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
CURRENCY CONTRACT - SGD
000000000
1.00000000
NC
USD
3634.06000000
0.000113493093
N/A
DFE
CORP
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
-222739.18000000
USD
305095.21000000
SGD
2022-01-21
3634.06000000
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BM0
1730000.00000000
PA
USD
1752960.32000000
0.054745626096
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJJJ0
1158.15000000
PA
USD
1344.88000000
0.000042001120
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0FW4
472743.21000000
PA
USD
475253.48000000
0.014842349265
Long
ABS-MBS
CORP
US
N
2
2027-12-25
Floating
4.00275000
N
N
N
N
N
N
ENTERGY ARKANSAS LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAB4
1241000.00000000
PA
USD
1156631.37000000
0.036122043261
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415TK33
23888.33000000
PA
USD
27694.84000000
0.000864920522
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
N/A
Benefit Street Partners CLO XIX Ltd
08182RAA1
5000000.00000000
PA
USD
5000435.00000000
0.156165511396
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
1.47375000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NET3
75118.39000000
PA
USD
83079.47000000
0.002594603853
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCK0
2030000.00000000
PA
USD
2011342.53000000
0.062815002053
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
0.96900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ASTY8
88928.02000000
PA
USD
95558.03000000
0.002984314089
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407HKP0
33577.68000000
PA
USD
37517.20000000
0.001171676608
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
31371KBU4
7484.23000000
PA
USD
8487.19000000
0.000265058213
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCD6
2326000.00000000
PA
USD
2432614.93000000
0.075971501394
Long
DBT
CORP
US
N
2
2042-04-22
Fixed
3.15700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GRN5
30911.55000000
PA
USD
35264.45000000
0.001101322358
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408FE47
2279.47000000
PA
USD
2509.96000000
0.000078387017
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4UM3
2525.34000000
PA
USD
2932.07000000
0.000091569675
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AUL54
236780.04000000
PA
USD
261875.20000000
0.008178463379
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312946T30
41700.11000000
PA
USD
45741.31000000
0.001428518732
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
MISSISSIPPI POWER CO
LNZ0J6YZ5SC6ILIRU850
Mississippi Power Co
605417BZ6
2745000.00000000
PA
USD
3157321.10000000
0.098604354266
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.25000000
N
N
N
N
N
N
OLD LINE FUNDING LLC
N/A
OLD LINE FUNDING LLC
000000000
525000.00000000
PA
USD
524542.74000000
0.016381671842
Long
DBT
CORP
US
N
2
2022-04-27
Fixed
0.25000000
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2012-C8
92936YAK7
14192131.96000000
PA
USD
48241.89000000
0.001506612809
Long
ABS-MBS
CORP
US
N
2
2045-08-15
Variable
1.76340400
N
N
N
N
N
N
RBSSP Resecuritization Trust
N/A
RBSSP Resecuritization Trust 2011-3
74930NAC3
157724.68710000
PA
USD
158203.10000000
0.004940743758
Long
ABS-MBS
CORP
US
N
2
2037-02-26
Floating
0.59200000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CA2
2340000.00000000
PA
USD
2434548.10000000
0.076031875038
Long
DBT
CORP
US
N
2
2041-05-12
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CVY5
55380.29000000
PA
USD
61308.63000000
0.001914692133
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.00000000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2018-C Trust
78490DAB0
1071686.51000000
PA
USD
1098503.11000000
0.034306675308
Long
ABS-O
CORP
US
N
2
2048-01-25
Fixed
3.59000000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579PM4
707390.99000000
PA
USD
708170.18000000
0.022116427533
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
2.64129000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BW9
470000.00000000
PA
USD
590614.30000000
0.018445112114
Long
DBT
CORP
US
N
2
2036-02-23
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AGP93
384759.41000000
PA
USD
424376.05000000
0.013253427526
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378JDF6
597590.46000000
PA
USD
602850.33000000
0.018827248045
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
1.50000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAY4
3754000.00000000
PA
USD
4693677.93000000
0.146585369927
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31375KZR1
1507.81000000
PA
USD
1512.74000000
0.000047243452
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
7.00000000
N
N
N
N
N
N
COLUMBIA PROPERTY TRUST
549300WBDIMT4TVGZ316
Columbia Property Trust Operating Partnership LP
19828JAA6
280000.00000000
PA
USD
303975.95000000
0.009493286020
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AAWP2
65856.34000000
PA
USD
72839.23000000
0.002274797213
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
PIEDMONT OPERATING PARTN
549300WKGDPAS39FBD10
Piedmont Operating Partnership LP
720198AE0
584000.00000000
PA
USD
598841.80000000
0.018702060109
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
3.15000000
N
N
N
N
N
N
MCKESSON CORP
549300WZWOM80UCFSF54
McKesson Corp
581557BR5
1595000.00000000
PA
USD
1558593.81000000
0.048675485112
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.30000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CF9
500000.00000000
PA
USD
575002.50000000
0.017957549586
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403TT46
623.00000000
PA
USD
697.90000000
0.000021795685
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413BTW1
24446.35000000
PA
USD
27973.58000000
0.000873625679
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJWR7
192733.41000000
PA
USD
210269.82000000
0.006566807482
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BP5
336000.00000000
PA
USD
349724.77000000
0.010922039293
Long
DBT
CORP
GB
N
2
2028-05-22
Fixed
3.07300000
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CM9
1355000.00000000
PA
USD
1325898.68000000
0.041408326560
Long
DBT
CORP
GB
N
2
2027-05-24
Fixed
1.58900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409TT73
475.32000000
PA
USD
541.75000000
0.000016919061
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KR32
817525.60000000
PA
USD
931762.65000000
0.029099306507
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFT34
7258.89000000
PA
USD
8026.95000000
0.000250684740
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411RBH0
18367.18000000
PA
USD
20972.68000000
0.000654984875
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RH69
25972.10000000
PA
USD
26575.22000000
0.000829954358
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Floating
1.28400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297HMY1
405.67000000
PA
USD
457.14000000
0.000014276658
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
5.00000000
N
N
N
N
N
N
COMMONWEALTH EDISON CO
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co
202795JL5
631000.00000000
PA
USD
713274.28000000
0.022275830543
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410PYY3
35685.74000000
PA
USD
41314.30000000
0.001290261504
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
STONEX FINANCIAL INC.
549300LNKU6K5TJCRG93
STONEX FINANCIAL INC
000000000
3517235.00000000
PA
USD
3517235.00000000
0.109844604015
Long
RA
CORP
US
N
2
Repurchase
Y
0.09000000
2022-01-03
88706.21579078
USD
88362.98490592
USD
UST
180836.12521428
USD
179204.63254578
USD
ADAS
14082565.30612479
USD
3344369.63173779
USD
AMBS
N
N
SALESFORCE.COM INC
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466LAK0
1173000.00000000
PA
USD
1173775.99000000
0.036657476348
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411LCU3
10939.92000000
PA
USD
12038.10000000
0.000375954500
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.00000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden Senior Loan Fund
26245EAQ2
5000000.00000000
PA
USD
5000100.00000000
0.156155049217
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
2.17375000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-P8
17326DAJ1
34942677.31000000
PA
USD
1471656.28000000
0.045960392559
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Variable
0.89028300
N
N
N
N
N
N
MEDTRONIC INC
D56MRZY2INAN94ZONZ37
Medtronic Inc
585055BT2
1436000.00000000
PA
USD
1769244.69000000
0.055254193245
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408AEG1
10636.72000000
PA
USD
12124.83000000
0.000378663111
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAZ4
1290000.00000000
PA
USD
1500542.10000000
0.046862507845
Long
DBT
CORP
US
N
2
2046-08-01
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5DD9
31524.79000000
PA
USD
36079.57000000
0.001126778870
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
Renaissance Home Equity Loan T
N/A
Renaissance Home Equity Loan Trust 2005-3
75970NBE6
1232834.66000000
PA
USD
1302535.43000000
0.040678683262
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
5.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BFEM1
23984414.22000000
PA
USD
3170917.04000000
0.099028960710
Long
ABS-MBS
USGSE
US
N
2
2051-03-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NAS3
5159711.80000000
PA
USD
1190683.99000000
0.037185519701
Long
ABS-MBS
USGSE
US
N
2
2040-09-25
Floating
6.49812000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448FG8
177000.00000000
PA
USD
181874.94000000
0.005680024440
Long
DBT
CORP
US
N
2
2051-10-21
Fixed
2.75000000
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAP6
1804000.00000000
PA
USD
1771388.57000000
0.055321147443
Long
DBT
CORP
KY
N
2
2028-02-21
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417KGA9
49095.49000000
PA
USD
54311.35000000
0.001696164383
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M55E6
6289.44000000
PA
USD
7202.61000000
0.000224940285
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.50000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAD4
1501000.00000000
PA
USD
1473457.99000000
0.046016660656
Long
DBT
CORP
US
N
2
2027-03-02
Fixed
1.26700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416Q6H3
72497.29000000
PA
USD
80155.28000000
0.002503280273
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
31417UTT2
6909.04000000
PA
USD
7409.49000000
0.000231401227
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408JBQ3
205960.07000000
PA
USD
227722.40000000
0.007111858278
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415LQ42
58255.63000000
PA
USD
67425.54000000
0.002105725588
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CLU8
138337.63000000
PA
USD
158552.14000000
0.004951644412
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.50000000
N
N
N
N
N
N
NATIONAL AUSTRALIA BANK
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd
632525AU5
1341000.00000000
PA
USD
1286180.24000000
0.040167904377
Long
DBT
CORP
AU
N
2
2030-08-21
Fixed
2.33200000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAM3
599000.00000000
PA
USD
588463.35000000
0.018377937117
Long
DBT
CORP
KY
N
2
2026-02-21
Fixed
2.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412FV59
87512.00000000
PA
USD
96465.86000000
0.003012665969
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AP5M6
501597.52000000
PA
USD
554984.38000000
0.017332375987
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394FFH3
166864.64000000
PA
USD
252375.34000000
0.007881779092
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
23.59261800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406K5J5
9475.77000000
PA
USD
10460.35000000
0.000326680760
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YV4A4
2199233.43000000
PA
USD
2411935.26000000
0.075325667333
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179M2T6
260693.52000000
PA
USD
294798.28000000
0.009206663851
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KPN0
28222.25000000
PA
USD
31160.42000000
0.000973151920
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406RFE0
61863.15000000
PA
USD
62414.22000000
0.001949220134
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
1.49800000
N
N
N
N
N
N
AUST & NZ BANKING GROUP
N/A
AUST & NZ BANKING GROUP
000000000
750000.00000000
PA
USD
749927.27000000
0.023420517540
Long
DBT
CORP
US
N
2
2022-02-10
Fixed
0.12000000
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QNA2
284000.00000000
PA
USD
339380.50000000
0.010598983756
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.41800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QPMQ4
127696.42000000
PA
USD
134523.58000000
0.004201223226
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137ATRY0
36470000.00000000
PA
USD
234808.45000000
0.007333158350
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Variable
1.87068100
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BH2
114000.00000000
PA
USD
156231.89000000
0.004879182110
Long
DBT
CORP
US
N
2
2046-11-30
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401HHE5
190417.10000000
PA
USD
215189.34000000
0.006720445986
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
REGENCY CENTERS LP
5493008PTR2GAOYBXW28
Regency Centers LP
75884RBA0
270000.00000000
PA
USD
295841.99000000
0.009239259316
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QPD27
2391626.00000000
PA
USD
2523287.52000000
0.078803241310
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MVQ7
4162.87000000
PA
USD
4558.76000000
0.000142371830
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GKHC3
805409.20000000
PA
USD
878308.45000000
0.027429911249
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.00000000
N
N
N
N
N
N
SWEDBANK AB
N/A
SWEDBANK AB
000000000
750000.00000000
PA
USD
749739.02000000
0.023414638420
Long
DBT
CORP
US
N
2
2022-03-24
Fixed
0.15000000
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
958102AQ8
80000.00000000
PA
USD
80900.40000000
0.002526550657
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
2.85000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAA1
955000.00000000
PA
USD
1027042.98000000
0.032074947919
Long
DBT
CORP
FR
N
2
2023-10-22
Fixed
5.70000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CE2
1065000.00000000
PA
USD
1034833.41000000
0.032318246049
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513ECG4
2365000.00000000
PA
USD
2462446.09000000
0.076903140013
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AUN47
4728614.24000000
PA
USD
1010505.81000000
0.031558485729
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Floating
6.49025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KT22
97224.57000000
PA
USD
110090.03000000
0.003438154047
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
COMM Mortgage Trust
549300YJIXJB9DCDOI21
COMM 2013-CCRE10 Mortgage Trust
12626BAY0
1910000.00000000
PA
USD
1860865.63000000
0.058115550497
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Variable
4.89999400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385WX38
454.76000000
PA
USD
499.52000000
0.000015600202
Long
ABS-MBS
USGSE
US
N
2
2023-01-01
Fixed
6.00000000
N
N
N
N
N
N
CF SECURED, LLC
254900OXTV81I73FAT50
CF SECURED LLC
000000000
5957016.00000000
PA
USD
5957016.00000000
0.186039904536
Long
RA
CORP
US
N
2
Repurchase
Y
0.05000000
2022-01-03
6819095.76885138
USD
4912560.08252884
USD
AMBS
911721.29880000
USD
836839.39071692
USD
ADAS
329005.03567268
USD
326757.64344555
USD
UST
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403KB77
820.28000000
PA
USD
915.46000000
0.000028590168
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GTF88
139337.42000000
PA
USD
150452.06000000
0.004698675793
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
391000.00000000
PA
USD
399707.71000000
0.012483025765
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417XAK5
38359.22170000
PA
USD
42237.88000000
0.001319105263
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
31412WEW2
13407.90000000
PA
USD
14757.88000000
0.000460894277
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAD5
490000.00000000
PA
USD
594651.85000000
0.018571206356
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
5.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6NG9
55887.56000000
PA
USD
63687.98000000
0.001989000150
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89832QAF6
700000.00000000
PA
USD
784000.00000000
0.024484622024
Long
DBT
CORP
US
N
2
N/A
Fixed
5.10000000
N
N
N
N
N
N
UNIV OF CALIFORNIA CA RGTS MED
N/A
Regents of the University of California Medical Center Pooled Revenue
913366EQ9
200000.00000000
PA
USD
255532.24000000
0.007980370295
Long
DBT
MUN
US
N
2
2031-05-15
Fixed
6.39800000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AU0
900000.00000000
PA
USD
986635.40000000
0.030813003629
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394VS50
3496181.92000000
PA
USD
554945.11000000
0.017331149570
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Floating
6.64812000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2003-S9 Trust
76111JZ72
1312.05000000
PA
USD
1380.89000000
0.000043125726
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417KWA1
161463.30000000
PA
USD
178570.25000000
0.005576817699
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416T3T4
14482.79000000
PA
USD
16018.19000000
0.000500254244
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJK6
1955000.00000000
PA
USD
1916960.82000000
0.059867424890
Long
DBT
CORP
US
N
2
2026-10-24
Fixed
1.19700000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
115099.24000000
0.003594593605
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-10683261692.88000000
COP
2732487.67000000
USD
2022-02-04
115099.24000000
N
N
N
OLD REPUBLIC INTL CORP
549300IV6O2YY2A1KH37
Old Republic International Corp
680223AL8
1096000.00000000
PA
USD
1181409.86000000
0.036895885049
Long
DBT
CORP
US
N
2
2051-06-11
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHFF4
3907.71000000
PA
USD
4314.38000000
0.000134739749
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.50000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017BT5
2066000.00000000
PA
USD
2559769.31000000
0.079942581666
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGC2
2940000.00000000
PA
USD
3194173.53000000
0.099755269852
Long
DBT
CORP
US
N
2
2061-03-22
Fixed
3.70000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB (NEW YORK)
N/A
SVENSKA HANDELSBANKEN AB (NEW YORK)
000000000
230000.00000000
PA
USD
230025.53000000
0.007183785915
Long
DBT
CORP
US
N
2
2022-02-10
Fixed
0.20000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377XVA7
1392587.44000000
PA
USD
66708.84000000
0.002083342771
Long
ABS-MBS
USGA
US
N
2
2026-08-16
Fixed
4.00000000
N
N
N
N
N
N
ASTRAZENECA PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353AV0
878000.00000000
PA
USD
850110.94000000
0.026549292149
Long
DBT
CORP
GB
N
2
2026-04-08
Fixed
0.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KLY8
1040.67000000
PA
USD
1207.91000000
0.000037723494
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-SBT1
20753VCZ9
500000.00000000
PA
USD
520463.50000000
0.016254275606
Long
ABS-MBS
CORP
US
N
2
2040-02-25
Floating
3.75275000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MR90
30490.97000000
PA
USD
33180.36000000
0.001036235425
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413K2V2
6177.64000000
PA
USD
6808.11000000
0.000212619898
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE3 Mortgage Trust
12624PAF2
23977427.51000000
PA
USD
200005.31000000
0.006246242880
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Variable
1.83150800
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GFD1
449000.00000000
PA
USD
637722.77000000
0.019916327780
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416M2B9
60047.45000000
PA
USD
66391.01000000
0.002073416818
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAL4
294750.00000000
PA
USD
311344.75000000
0.009723416483
Long
ABS-O
CORP
US
N
2
2049-10-25
Fixed
3.66800000
N
N
N
N
N
N
BAYERISCHE LANDESBANK (NEW YORK BRANCH)
N/A
BAYERISCHE LANDESBANK (NEW YORK BRANCH)
000000000
675000.00000000
PA
USD
674708.42000000
0.021071403878
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
0.16000000
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CL2
1075000.00000000
PA
USD
1156235.77000000
0.036109688520
Long
DBT
CORP
US
N
2
2025-07-20
Fixed
3.87500000
N
N
N
N
N
N
Sonic Capital LLC
N/A
Sonic Capital LLC
83546DAG3
1529333.44000000
PA
USD
1590353.84000000
0.049667363084
Long
ABS-O
CORP
US
N
2
2050-01-20
Fixed
3.84500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BHVB0
3054368.78000000
PA
USD
706052.16000000
0.022050280953
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312941US4
37212.01000000
PA
USD
40858.76000000
0.001276034815
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBD4
301000.00000000
PA
USD
339799.17000000
0.010612058981
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
4.80000000
N
N
N
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742AE5
1047000.00000000
PA
USD
1359054.10000000
0.042443783099
Long
DBT
CORP
CA
N
2
2035-10-01
Fixed
6.12500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DK3
1886000.00000000
PA
USD
2169690.31000000
0.067760264223
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P7JU8
19622.43000000
PA
USD
21390.56000000
0.000668035429
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31386TFM2
315.00000000
PA
USD
357.59000000
0.000011167673
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
6.00000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBN2
1691000.00000000
PA
USD
1579322.39000000
0.049322846651
Long
DBT
CORP
US
N
2
2051-02-04
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XEC4
213989.88000000
PA
USD
222368.70000000
0.006944660165
Long
ABS-MBS
CORP
US
N
2
2029-05-25
Floating
4.45275000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
Sofi Consumer Loan Program 2018-1 Trust
83405RAD9
4375000.00000000
PA
USD
4414287.50000000
0.137859899166
Long
ABS-O
CORP
US
N
2
2027-02-25
Fixed
3.97000000
N
N
N
N
N
N
INTERSTATE POWER & LIGHT
EF9UQIIO4KY2BWOK3P26
Interstate Power and Light Co
461070AT1
520000.00000000
PA
USD
518106.65000000
0.016180670272
Long
DBT
CORP
US
N
2
2051-11-30
Fixed
3.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L8QW0
902021.98000000
PA
USD
969804.50000000
0.030287368138
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377LJM1
1374268.08000000
PA
USD
232339.12000000
0.007256040222
Long
ABS-MBS
USGA
US
N
2
2040-09-16
Floating
6.54250000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN Co Ltd
62878U2D3
550000.00000000
PA
USD
539970.59000000
0.016863489541
Long
DBT
CORP
AU
N
2
2027-01-08
Fixed
1.62500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHG7
435000.00000000
PA
USD
476364.59000000
0.014877049658
Long
DBT
CORP
US
N
2
2029-03-05
Fixed
3.97000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFC24
24866.24000000
PA
USD
27507.57000000
0.000859072008
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM Re-REMIC Trust 2021-FRR1
364614AC1
6158000.00000000
PA
USD
4819927.56000000
0.150528194507
Long
ABS-MBS
CORP
US
N
2
2027-07-28
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412WVY9
5454.36000000
PA
USD
6227.39000000
0.000194483788
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B1JS2
563041.48000000
PA
USD
79163.46000000
0.002472305352
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412YCU4
32168.19000000
PA
USD
35465.00000000
0.001107585612
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M75R3
151261.48000000
PA
USD
173352.04000000
0.005413850990
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AV5M7
9774018.40000000
PA
USD
2271187.68000000
0.070930066189
Long
ABS-MBS
USGSE
US
N
2
2047-04-25
Fixed
6.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SN9
17000.00000000
PA
USD
14442.70000000
0.000451051084
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Y8
1093000.00000000
PA
USD
1075168.54000000
0.033577927697
Long
DBT
CORP
US
N
2
2052-01-25
Fixed
2.80200000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395GJR4
251381.32000000
PA
USD
289000.74000000
0.009025604443
Long
ABS-MBS
USGSE
US
N
2
2034-09-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XXMU0
259858.59000000
PA
USD
278413.18000000
0.008694950866
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412WPM2
5741.70000000
PA
USD
6327.77000000
0.000197618694
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31293KQ66
4911.90000000
PA
USD
5409.26000000
0.000168933273
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
6.00000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FV5
606000.00000000
PA
USD
670948.07000000
0.020953966699
Long
DBT
CORP
US
N
2
2061-05-20
Fixed
3.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296QH44
47092.10000000
PA
USD
53912.44000000
0.001683706270
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.00000000
N
N
N
N
N
N
SKANDINAVISKA ENSKILDA
N/A
SKANDINAVISKA ENSKILDA
000000000
800000.00000000
PA
USD
799573.61000000
0.024970991864
Long
DBT
CORP
US
N
2
2022-04-04
Fixed
0.14000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GJH77
1050492.24000000
PA
USD
1165177.68000000
0.036388947814
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAZ3
1070000.00000000
PA
USD
1038065.75000000
0.032419193272
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
1.57300000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2013-C12
92937FAJ0
26887669.64000000
PA
USD
245554.33000000
0.007668756322
Long
ABS-MBS
CORP
US
N
2
2048-03-15
Variable
1.09275200
N
N
N
N
N
N
Goldman Sachs Financial Square Government Fund
N/A
Goldman Sachs Financial Square Government Fund
38141W273
3529000.00000000
NS
USD
3529000.00000000
0.110212029497
Long
STIV
RF
US
N
1
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BW5
920000.00000000
PA
USD
1121836.53000000
0.035035387003
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
5.40000000
N
N
N
N
N
N
CNO GLOBAL FUNDING
6354008GTNR4833ULD48
CNO Global Funding
18977W2A7
1129000.00000000
PA
USD
1115996.10000000
0.034852988124
Long
DBT
CORP
US
N
2
2026-10-07
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VKN3
12795.01000000
PA
USD
14215.10000000
0.000443943049
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412LME7
349.61000000
PA
USD
351.56000000
0.000010979354
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418WJT8
86229.13000000
PA
USD
94175.69000000
0.002941143078
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QSK8
817.08000000
PA
USD
928.74000000
0.000029004907
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DY0
1155000.00000000
PA
USD
1098713.41000000
0.034313243058
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.70000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CKR6
1202776.31210000
PA
USD
1333573.47000000
0.041648013208
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
465000.00000000
PA
USD
636262.06000000
0.019870709244
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QPDN1
2602043.00000000
PA
USD
2750642.71000000
0.085903631479
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405RDJ2
141643.48000000
PA
USD
147932.53000000
0.004619989900
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Floating
2.06000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AZ3
445000.00000000
PA
USD
437337.43000000
0.013658216416
Long
DBT
CORP
GB
N
2
2028-03-17
Fixed
2.25000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5GM6
7824.36000000
PA
USD
9085.66000000
0.000283748661
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F020620
50513000.00000000
PA
USD
50248839.74000000
1.569290622736
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0PU7
670066.72000000
PA
USD
687757.89000000
0.021478943853
Long
ABS-MBS
CORP
US
N
2
2029-12-25
Floating
2.75275000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374CK47
324665.56000000
PA
USD
366402.37000000
0.011442887166
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHDC3
526534.50000000
PA
USD
577490.30000000
0.018035244538
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YDA2
5276.05000000
PA
USD
5651.51000000
0.000176498834
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
4.50000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BD2
79000.00000000
PA
USD
81587.18000000
0.002547999061
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403FSH8
5107.27000000
PA
USD
5722.86000000
0.000178727122
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TC2
72995000.00000000
PA
USD
73850410.16000000
2.306376759124
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297A3M3
93133.63000000
PA
USD
107572.50000000
0.003359530615
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6NA2
62661.64000000
PA
USD
71791.34000000
0.002242071204
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
CMS ENERGY CORP
549300IA9XFBAGNIBW29
CMS Energy Corp
125896BV1
1216000.00000000
PA
USD
1197760.00000000
0.037406506220
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ASW34
1685449.12000000
PA
USD
92315.76000000
0.002883056748
Long
ABS-MBS
USGSE
US
N
2
2040-04-15
Floating
6.59025000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2013-GC16
36248GAV2
3070000.00000000
PA
USD
1874837.95000000
0.058551911433
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377DAL0
1341468.15000000
PA
USD
123951.93000000
0.003871066524
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
5.00000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448FF0
474000.00000000
PA
USD
480534.36000000
0.015007273181
Long
DBT
CORP
US
N
2
2041-10-21
Fixed
2.62500000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LDA20
524.02000000
PA
USD
588.04000000
0.000018364715
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
Symphony CLO Ltd
5493001GRJRD2VIG9H40
California Street CLO IX LP
13079WDG0
1750000.00000000
PA
USD
1745709.00000000
0.054519164579
Long
ABS-CBDO
CORP
KY
N
2
2032-07-16
Floating
2.62225000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABQD8
14482814.04000000
PA
USD
2113894.16000000
0.066017728964
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
6.04812000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398RFN0
695657.05000000
PA
USD
760861.47000000
0.023761996819
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Fixed
5.50000000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN Co Ltd
62878U2A9
738000.00000000
PA
USD
727502.58000000
0.022720185833
Long
DBT
CORP
AU
N
2
2026-05-05
Fixed
1.45000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376TUC4
794030.52000000
PA
USD
60315.43000000
0.001883674114
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
5.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABN4
735000.00000000
PA
USD
719547.55000000
0.022471747182
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.30000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BY9
1148000.00000000
PA
USD
1128191.34000000
0.035233850167
Long
DBT
CORP
JP
N
2
2027-07-20
Fixed
1.53800000
N
N
N
N
N
N
Wind River CLO Ltd
N/A
THL Credit Wind River 2017-3 Clo Ltd
97316LAE8
7000000.00000000
PA
USD
6973883.00000000
0.217797052679
Long
ABS-CBDO
CORP
KY
N
2
2035-04-15
Floating
2.62375000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AV1
1125000.00000000
PA
USD
1147726.41000000
0.035843937929
Long
DBT
CORP
GB
N
2
2026-02-05
Fixed
2.43800000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DD4
517000.00000000
PA
USD
524528.70000000
0.016381233368
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
2.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411FRE6
21053.23000000
PA
USD
23216.37000000
0.000725056178
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELM75
21911.55000000
PA
USD
24210.60000000
0.000756106364
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0UD9
992319.83000000
PA
USD
1004608.32000000
0.031374304844
Long
ABS-MBS
CORP
US
N
2
2030-09-25
Floating
2.40275000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388JK53
1701.33000000
PA
USD
1701.99000000
0.000053153803
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Floating
2.31700000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
ISHARES IBOXX HIGH YIELD CORPORATE BOND ETF
000000000
-1465011.00000000
NC
USD
-195407.59000000
-0.00610265431
N/A
DE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Put
Written
iShares iBoxx High Yield Corporate Bond ETF
iShares iBoxx High Yield Corporate Bond ETF
1.00000000
85.25000000
USD
2022-01-21
XXXX
551748.02000000
N
N
N
BANK OF NOVA SCOTIA (HOUSTON)
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA (HOUSTON)
06417MNC5
375000.00000000
PA
USD
375037.48000000
0.011712564978
Long
DBT
CORP
US
N
2
2022-02-28
Floating
0.20971400
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375JRN7
252588.77000000
PA
USD
395700.01000000
0.012357863750
Long
ABS-MBS
USGA
US
N
2
2037-03-20
Floating
21.71170000
N
N
N
N
N
N
Homebanc Mortgage Trust
N/A
HomeBanc Mortgage Trust 2004-1
43739EAB3
147172.11000000
PA
USD
145687.92000000
0.004549889865
Long
ABS-MBS
CORP
US
N
2
2029-08-25
Floating
0.96188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419KBW4
20530.50000000
PA
USD
22222.25000000
0.000694009428
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 92 CLO Ltd
262488AA7
1600000.00000000
PA
USD
1600273.60000000
0.049977161010
Long
ABS-CBDO
CORP
KY
N
2
2034-11-20
Floating
1.28175000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EL0
955000.00000000
PA
USD
959786.58000000
0.029974504637
Long
DBT
CORP
US
N
2
2061-08-05
Fixed
2.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398CKN7
241590.62000000
PA
USD
254621.87000000
0.007951939089
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Variable
5.33734000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A94S4
3841990.32000000
PA
USD
719124.15000000
0.022458524236
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Floating
6.04812000
N
N
N
N
N
N
ALIBABA GROUP HOLDING
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609WAQ5
6026000.00000000
PA
USD
6342718.85000000
0.198085553128
Long
DBT
CORP
KY
N
2
2024-11-28
Fixed
3.60000000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300XC3G26BPOECZ28
BlueMountain Fuji US Clo I Ltd
09629CAS4
6300000.00000000
PA
USD
6279342.30000000
0.196106279056
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
2.38150000
N
N
N
N
N
N
CUBESMART LP
549300MPHKO3I3FJRA97
CubeSmart LP
22966RAH9
760000.00000000
PA
USD
760745.40000000
0.023758371908
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
2.25000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-CR28 Mortgage Trust
12593YBH5
74773525.85000000
PA
USD
1665527.95000000
0.052015079499
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Variable
0.71196700
N
N
N
N
N
N
XLIT LTD
635400XCGXK8NVDIVE95
XLIT Ltd
98420EAC9
2244000.00000000
PA
USD
2434782.25000000
0.076039187632
Long
DBT
CORP
KY
N
2
2025-03-31
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BWX2
36186.29000000
PA
USD
41463.69000000
0.001294927012
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJF7
384000.00000000
PA
USD
367929.59000000
0.011490582835
Long
DBT
CORP
US
N
2
2031-07-23
Fixed
1.89800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RHT1
541595.64000000
PA
USD
598994.89000000
0.018706841169
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383D3T3
29476560.00000000
PA
USD
4789941.00000000
0.149591702687
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410CF98
1251.43000000
PA
USD
1384.64000000
0.000043242840
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312929KW1
48336.87000000
PA
USD
55904.73000000
0.001745926254
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410MRV4
350.18000000
PA
USD
396.48000000
0.000012382223
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418UEE0
56363.54000000
PA
USD
62148.17000000
0.001940911290
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419JM70
54679.50000000
PA
USD
59891.21000000
0.001870425560
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412MGA0
972.46000000
PA
USD
1106.29000000
0.000034549862
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD1 Mortgage Trust
12514MBD6
17991283.56000000
PA
USD
921207.69000000
0.028769671040
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
1.38881200
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AB4
791000.00000000
PA
USD
788763.96000000
0.024633402330
Long
DBT
CORP
CH
N
2
2024-07-30
Fixed
1.00800000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659T2B6
455000.00000000
PA
USD
436407.02000000
0.013629159354
Long
DBT
CORP
FR
N
2
2035-08-12
Fixed
2.58800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B1EY6
5115709.56000000
PA
USD
5404530.24000000
0.168785561414
Long
ABS-MBS
USGSE
US
N
2
2047-12-25
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Structured Pass Through
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
31395HHV5
283555.95000000
PA
USD
290652.85000000
0.009077200475
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Floating
1.28203000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAC5
452000.00000000
PA
USD
465425.46000000
0.014535416414
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
3.87500000
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2005-8
17307GH35
1387571.12000000
PA
USD
1424444.71000000
0.044485957040
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Fixed
5.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE5 Mortgage Trust
12623SAF7
18911436.90000000
PA
USD
160253.63000000
0.005004782600
Long
ABS-MBS
CORP
US
N
2
2045-12-10
Variable
1.50030800
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACA1
527000.00000000
PA
USD
523488.18000000
0.016348737527
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAL3
1652000.00000000
PA
USD
1714960.78000000
0.053558885823
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307M4H6
836067.58000000
PA
USD
871014.64000000
0.027202122753
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGM0
3782000.00000000
PA
USD
3730786.46000000
0.116513898378
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AW0
476000.00000000
PA
USD
564453.75000000
0.017628108060
Long
DBT
CORP
GB
N
2
2030-04-01
Fixed
5.62500000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WHA3
10288915.73000000
PA
USD
1126653.76000000
0.035185830952
Long
ABS-MBS
USGSE
US
N
2
2044-01-15
Variable
3.00000000
N
N
N
N
N
N
FRETE 2021-ML08 TRUST
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily ML Certificates
30318LAK3
10538340.86000000
PA
USD
1927417.23000000
0.060193982603
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Variable
1.86164300
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKD3
1520000.00000000
PA
USD
1480774.55000000
0.046245159643
Long
DBT
CORP
US
N
2
2043-02-01
Fixed
3.10000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGB4
1950000.00000000
PA
USD
2104825.26000000
0.065734503724
Long
DBT
CORP
US
N
2
2051-03-22
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KLU1
2000000.00000000
PA
USD
2016192.00000000
0.062966452869
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
3.44967000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BY4
407000.00000000
PA
USD
502081.92000000
0.015680211781
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
5.12500000
N
N
N
N
N
N
CENTERPOINT ENER HOUSTON
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC
15189XAM0
750000.00000000
PA
USD
836428.94000000
0.026121998018
Long
DBT
CORP
US
N
2
2042-08-01
Fixed
3.55000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBQ7
1864000.00000000
PA
USD
1940061.68000000
0.060588873647
Long
DBT
CORP
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411GSQ6
702.21000000
PA
USD
772.52000000
0.000024126097
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AD3
2225000.00000000
PA
USD
2491018.42000000
0.077795464886
Long
DBT
CORP
JP
N
2
2030-09-17
Fixed
4.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEUR8
1943203.44000000
PA
USD
2018878.99000000
0.063050368602
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
Wells Fargo Alternative Loan T
N/A
Wells Fargo Alternative Loan 2007-PA2 Trust
94985FAG3
994246.57000000
PA
USD
799838.36000000
0.024979260109
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.53275000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BB9
750000.00000000
PA
USD
761147.33000000
0.023770924337
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.46400000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2002-AR9 Trust
9393357P4
15086.00000000
PA
USD
14995.75000000
0.000468323049
Long
ABS-MBS
CORP
US
N
2
2042-08-25
Floating
1.48203000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDV7
923000.00000000
PA
USD
999147.50000000
0.031203761332
Long
DBT
CORP
GB
N
2
N/A
Fixed
4.87500000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
5493005PJR3MYTKJFJ48
Commonbond Student Loan Trust 2018-A-GS
20269DAA3
416709.09000000
PA
USD
428039.24000000
0.013367830361
Long
ABS-O
CORP
US
N
2
2044-02-25
Fixed
3.21000000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
549300EJIXF1G1X7PN20
Commonbond Student Loan Trust 2018-BGS
20268MAC0
733899.55000000
PA
USD
748609.83000000
0.023379373382
Long
ABS-O
CORP
US
N
2
2045-09-25
Fixed
3.99000000
N
N
N
N
N
N
LB-UBS Commercial Mortgage Tru
N/A
LB-UBS Commercial Mortgage Trust 2006-C7
50180CAT7
293558.84000000
PA
USD
949.96000000
0.000029667616
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.44235000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
N/A
JP MORGAN SECURITIES LLC
000000000
725000.00000000
PA
USD
724667.96000000
0.022631659558
Long
DBT
CORP
US
N
2
2022-03-14
Fixed
0.22000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MP22
1205.49000000
PA
USD
1399.27000000
0.000043699741
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
6.00000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBJ0
1779000.00000000
PA
USD
1942039.19000000
0.060650632046
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.65000000
N
N
N
N
N
N
Carlyle Global Market Strategi
N/A
Carlyle Global Market Strategies CLO 2014-1 Ltd
14310MAY3
2400000.00000000
PA
USD
2400607.20000000
0.074971887656
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
1.25225000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LVC76
11737.58000000
PA
USD
12751.24000000
0.000398226137
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398RNT8
4929153.34000000
PA
USD
5508500.39000000
0.172032589251
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Fixed
5.00000000
N
N
N
N
N
N
KYNDRYL HOLDINGS INC
549300LQ4LWX2R8ZV130
Kyndryl Holdings Inc
50155QAC4
1563000.00000000
PA
USD
1513882.83000000
0.047279143982
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
2.70000000
N
N
N
N
N
ONEOK PARTNERS LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAM5
908000.00000000
PA
USD
1177815.97000000
0.036783646480
Long
DBT
CORP
US
N
2
2043-09-15
Fixed
6.20000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XDS0
5669215.01000000
PA
USD
5858567.93000000
0.182965333384
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
4.35275000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETKN5
929044.76000000
PA
USD
986507.16000000
0.030808998644
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NE59
3395434.39000000
PA
USD
697359.41000000
0.021778803022
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Fixed
6.00000000
N
N
N
N
N
N
DNB BANK ASA
N/A
DNB BANK ASA
000000000
575000.00000000
PA
USD
574804.52000000
0.017951366594
Long
DBT
CORP
US
N
2
2022-03-22
Fixed
0.14000000
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAL3
1000000.00000000
PA
USD
1002030.45000000
0.031293796971
Long
DBT
CORP
ES
N
2
2032-11-22
Fixed
3.22500000
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
Nordea Bank Abp
65557CAN3
2661000.00000000
PA
USD
2865750.65000000
0.089498496789
Long
DBT
CORP
FI
N
2
N/A
Fixed
6.12500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M65R4
165388.67000000
PA
USD
176047.44000000
0.005498029370
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2005-NC2
61744CPK6
1163235.19000000
PA
USD
1162997.89000000
0.036320872133
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
1.01688000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296GQP9
5340.32000000
PA
USD
6094.37000000
0.000190329522
Long
ABS-MBS
USGA
US
N
2
2038-06-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FDB62
2658746.92000000
PA
USD
2857144.37000000
0.089229719349
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
31412LND8
3719.21000000
PA
USD
4182.98000000
0.000130636076
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAF0
907000.00000000
PA
USD
910883.49000000
0.028447242297
Long
DBT
CORP
FR
N
2
2032-10-19
Fixed
3.11600000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE2 Mortgage Trust
12624KAE6
13372366.85000000
PA
USD
65995.30000000
0.002061058642
Long
ABS-MBS
CORP
US
N
2
2045-08-15
Variable
1.60930500
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417VDS9
3978.12000000
PA
USD
4400.21000000
0.000137420253
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGK4
779000.00000000
PA
USD
817022.70000000
0.025515933667
Long
DBT
CORP
US
N
2
2041-03-22
Fixed
3.40000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2005-4
81744FJG3
22230.38000000
PA
USD
23502.34000000
0.000733987132
Long
ABS-MBS
CORP
US
N
2
2035-04-20
Variable
2.57882800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396V4Q8
151263.21000000
PA
USD
148623.27000000
0.004641561977
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
0.14709700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LC26
50753.42000000
PA
USD
56067.69000000
0.001751015557
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
66000.00000000
PA
USD
71015.08000000
0.002217828305
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412WLH7
523.79000000
PA
USD
576.56000000
0.000018006190
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KNN0
38272.05000000
PA
USD
44365.10000000
0.001385539164
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RGS4
46490.83000000
PA
USD
51328.41000000
0.001603006017
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBW9
863000.00000000
PA
USD
854564.55000000
0.026688380105
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
1.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404WSB3
30511.21000000
PA
USD
34498.22000000
0.001077392700
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.00000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBZ2
600000.00000000
PA
USD
601860.88000000
0.018796347140
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.44000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2HT9
173098.18000000
PA
USD
191476.34000000
0.005979879861
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Oaktree CLO Ltd
N/A
Oaktree CLO 2020-1 Ltd
67402FAJ8
9880000.00000000
PA
USD
9868805.96000000
0.308206611948
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.27375000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2017-3
64828MBB2
1437284.61000000
PA
USD
1505660.84000000
0.047022368067
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
4.75000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX
46637WAE3
10363247.50000000
PA
USD
12382.01000000
0.000386694942
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Variable
0.86255700
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129324M5
12288.76000000
PA
USD
13921.98000000
0.000434788798
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
6.00000000
N
N
N
N
N
N
CIFC Funding Ltd
2549005S1LQJ8MBPXW05
CIFC Funding 2017-II Ltd
12550YAS3
3000000.00000000
PA
USD
3000069.00000000
0.093693310604
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
1.98150000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAJ4
1665000.00000000
PA
USD
1784877.14000000
0.055742400680
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.70000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AV2
2195000.00000000
PA
USD
2307169.59000000
0.072053795100
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.25000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
5493000F7E2NMQ4HIO61
WFRBS Commercial Mortgage Trust 2014-C21
92939FAY5
2500000.00000000
PA
USD
2490891.75000000
0.077791508933
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
4.23400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406NCF9
71764.74000000
PA
USD
72328.83000000
0.002258857224
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Floating
1.86900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409CZQ1
228.57000000
PA
USD
251.54000000
0.000007855691
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA3
35564KJP5
2550000.00000000
PA
USD
2552145.06000000
0.079704473401
Long
ABS-MBS
CORP
US
N
2
2041-09-25
Floating
2.14967000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137AWQJ7
41652352.70000000
PA
USD
219087.21000000
0.006842177968
Long
ABS-MBS
USGSE
US
N
2
2022-08-25
Variable
1.19887500
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AAS44
15320.29000000
PA
USD
16723.34000000
0.000522276350
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
MATCHPOINT FINANCE PLC
N/A
MATCHPOINT FINANCE PLC
000000000
725000.00000000
PA
USD
724968.08000000
0.022641032422
Long
DBT
CORP
US
N
2
2022-01-18
Fixed
0.13923058
N
N
N
N
N
AT&T INC 6/21/07 5.25%
N/A
AT&T INC 0% CP 01/19/22
000000000
2000000.00000000
PA
USD
1999750.88000000
0.062452990358
Long
DBT
CORP
US
N
2
2022-01-19
None
0.00000000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAY3
929000.00000000
PA
USD
916798.98000000
0.028631985329
Long
DBT
CORP
FR
N
2
2026-10-04
Fixed
1.60400000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2006-6
073868AV3
875639.29000000
PA
USD
642040.88000000
0.020051184019
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
3.07015300
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BZ2
1070000.00000000
PA
USD
1037202.22000000
0.032392224898
Long
DBT
CORP
GB
N
2
2027-01-14
Fixed
1.45600000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418UWW0
107633.92000000
PA
USD
118679.96000000
0.003706420870
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DR5
1509000.00000000
PA
USD
1633579.72000000
0.051017323969
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CCM6
3731.06000000
PA
USD
4120.98000000
0.000128699792
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCR98
1054306.09000000
PA
USD
1159476.80000000
0.036210907136
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBT2
1893000.00000000
PA
USD
2086774.37000000
0.065170767475
Long
DBT
CORP
US
N
2
2027-01-17
Fixed
4.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WXF0
768.27000000
PA
USD
890.70000000
0.000027816904
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410M3L2
2353.38000000
PA
USD
2673.64000000
0.000083498807
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-1
46648RBA8
1919136.30000000
PA
USD
1937285.57000000
0.060502174663
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.68936300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407JED0
80.15000000
PA
USD
88.19000000
0.000002754207
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
HARTFORD FINL SVCS GRP
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group Inc/The
416515BC7
1153000.00000000
PA
USD
1101371.22000000
0.034396247488
Long
DBT
CORP
US
N
2
2047-02-12
Floating
2.28100000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
1074000.00000000
PA
USD
1095894.41000000
0.034225204602
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
UBS-Barclays Commercial Mortga
N/A
UBS-Barclays Commercial Mortgage Trust 2012-C4
90270RAL8
2060000.00000000
PA
USD
1863083.36000000
0.058184811059
Long
ABS-MBS
CORP
US
N
2
2045-12-10
Variable
4.46083800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LYWE3
474467.00000000
PA
USD
512310.04000000
0.015999639909
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
MITSUBISHI UFJ TRUST AND BANKING CORP (NEW YORK)
N/A
MITSUBISHI UFJ TRUST AND BANKING CORP (NEW YORK)
000000000
725000.00000000
PA
USD
724841.25000000
0.022637071472
Long
DBT
CORP
US
N
2
2022-04-06
Fixed
0.16000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412PPU9
780294.03000000
PA
USD
863126.88000000
0.026955784969
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDR9
1574000.00000000
PA
USD
1526466.90000000
0.047672149336
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AR2
950000.00000000
PA
USD
966415.14000000
0.030181517119
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
3.26800000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AQ4
580000.00000000
PA
USD
643730.40000000
0.020103948380
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391LAN5
573.43000000
PA
USD
659.07000000
0.000020583009
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296QL23
61058.13000000
PA
USD
70579.04000000
0.002204210608
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FSS5
33411.39000000
PA
USD
38758.31000000
0.001210436952
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
CMS ENERGY CORP
549300IA9XFBAGNIBW29
CMS Energy Corp
125896BU3
600000.00000000
PA
USD
654000.00000000
0.020424671944
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BTB4
61119.01000000
PA
USD
69126.80000000
0.002158856594
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307NG73
974576.59000000
PA
USD
1014977.20000000
0.031698128961
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AB0
1377000.00000000
PA
USD
1771237.41000000
0.055316426658
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418UDJ0
9457.82000000
PA
USD
10217.96000000
0.000319110827
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416TX79
20079.60000000
PA
USD
22201.60000000
0.000693364520
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GNLK7
127072.41000000
PA
USD
137272.76000000
0.004287081177
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296QH51
23080.82000000
PA
USD
26593.56000000
0.000830527123
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.00000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BM5
1661000.00000000
PA
USD
1643555.70000000
0.051328877667
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
1.70000000
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KND7
1000000.00000000
PA
USD
1017481.60000000
0.031776342338
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
3.69967000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B12F0
4539176.58000000
PA
USD
852342.52000000
0.026618985252
Long
ABS-MBS
USGSE
US
N
2
2038-09-25
Floating
6.14812000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
4000000.00000000
PA
USD
4201724.60000000
0.131221477913
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
SUMITOMO MITSUI TRUST BANK, LTD. (SINGAPORE)
N/A
SUMITOMO MIT/SINGAPORE -- SUMTSG CP
000000000
425000.00000000
PA
USD
424742.03000000
0.013264857222
Long
DBT
CORP
US
N
2
2022-04-08
None
0.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NYW9
4584.42000000
PA
USD
5036.00000000
0.000157276220
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9N23
412845.68000000
PA
USD
431432.41000000
0.013473800367
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FYT6
12493.64000000
PA
USD
14490.87000000
0.000452555452
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
3138EKB61
6374.37000000
PA
USD
7049.12000000
0.000220146733
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409WAE1
31823.08000000
PA
USD
36864.41000000
0.001151289725
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A3S88
44055.68000000
PA
USD
50586.52000000
0.001579836507
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493005RUXPCBST1N217
Freddie Mac Stacr Trust 2018-HQA2
35563XAH5
3900000.00000000
PA
USD
3949680.54000000
0.123350044822
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Floating
2.40275000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A7FZ6
21716.94000000
PA
USD
23947.87000000
0.000747901205
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QHN2
97950.41000000
PA
USD
108322.45000000
0.003382951843
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
NARRAGANSETT ELECTRIC
VAI0KZ806W8MCH0BCZ61
Narragansett Electric Co/The
631005BJ3
231000.00000000
PA
USD
246350.67000000
0.007693626327
Long
DBT
CORP
US
N
2
2030-04-09
Fixed
3.39500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395MPZ6
527299.42000000
PA
USD
587193.46000000
0.018338277963
Long
ABS-MBS
USGSE
US
N
2
2035-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413ETX3
8934.03000000
PA
USD
9835.94000000
0.000307180195
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
ECOLAB INC
82DYEISM090VG8LTLS26
Ecolab Inc
278865BJ8
1590000.00000000
PA
USD
1564911.55000000
0.048872790566
Long
DBT
CORP
US
N
2
2055-08-18
Fixed
2.75000000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BK4
1315000.00000000
PA
USD
1411363.20000000
0.044077416443
Long
DBT
CORP
US
N
2
N/A
Fixed
4.87500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBW5
1184000.00000000
PA
USD
1146477.43000000
0.035804931803
Long
DBT
CORP
US
N
2
2027-02-04
Fixed
1.04000000
N
N
N
N
N
N
MSILF Government Portfolio
549300BI6Y5SI6BYPB26
MSILF Government Portfolio
61747C707
3614000.00000000
NS
USD
3614000.00000000
0.112866612242
Long
STIV
RF
US
N
1
N
N
Structured Asset Mortgage Inve
N/A
Structured Asset Mortgage Investments II Trust 2005-AR5
86359LPE3
127991.06000000
PA
USD
124609.78000000
0.003891611433
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
0.60388000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFP9
1645000.00000000
PA
USD
1759726.66000000
0.054956941501
Long
DBT
CORP
US
N
2
2025-04-21
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A4UC7
59494.22000000
PA
USD
63901.27000000
0.001995661279
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABQK2
5969413.28000000
PA
USD
1383712.39000000
0.043213870995
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Floating
6.04812000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375KRD6
7465108.09540000
PA
USD
1441482.51000000
0.045018054098
Long
ABS-MBS
USGA
US
N
2
2037-06-16
Floating
6.34250000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403J7H3
2946.50000000
PA
USD
3234.09000000
0.000101001876
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NA5
806000.00000000
PA
USD
792590.26000000
0.024752899154
Long
DBT
CORP
US
N
2
2027-06-09
Fixed
1.46200000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
771.00000000
NC
USD
153598.35000000
0.004796935642
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
93119331.72000000
USD
153598.35000000
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BD6
1358000.00000000
PA
USD
1483615.00000000
0.046333867991
Long
DBT
CORP
US
N
2
N/A
Fixed
5.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B4Q66
26372095.70000000
PA
USD
28548017.76000000
0.891565592365
Long
ABS-MBS
USGSE
US
N
2
2041-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414U3H9
159875.38000000
PA
USD
183004.47000000
0.005715300097
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHY8
225000.00000000
PA
USD
228057.78000000
0.007122332325
Long
DBT
CORP
US
N
2
2026-02-13
Fixed
2.01500000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BQ4
616000.00000000
PA
USD
718083.21000000
0.022426015279
Long
DBT
CORP
NL
N
2
2046-05-10
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GRVU5
20879.18000000
PA
USD
22359.58000000
0.000698298297
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BK6
398000.00000000
PA
USD
421354.08000000
0.013159050239
Long
DBT
CORP
GB
N
2
2025-03-22
Fixed
4.26900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416LA22
25141.96000000
PA
USD
27534.52000000
0.000859913666
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A5CU4
214262.58000000
PA
USD
236936.79000000
0.007399627228
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
MIRAE ASSET SECURITIES (USA) INC.
25490087B4GFZLJZE912
MIRAE ASSET SECURITIES USA INC
000000000
7797557.00000000
PA
USD
7797557.00000000
0.243520709008
Long
RA
CORP
US
N
2
Repurchase
Y
0.06000000
2022-01-03
10995293.66018661
USD
7470281.38320005
USD
AMBS
492547.41893725
USD
483266.53391841
USD
ADAS
N
N
BANK OF MONTREAL CHICAGO
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal/Chicago IL
06367C5T0
675000.00000000
PA
USD
675014.99000000
0.021080978177
Long
DBT
CORP
US
N
2
2022-01-05
Floating
0.24866700
N
N
N
N
N
AMER AIRLINE 16-2 AA PTT
N/A
American Airlines 2016-2 Class AA Pass Through Trust
023765AA8
2187234.50000000
PA
USD
2204488.72000000
0.068847031973
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408JHF1
15639.43000000
PA
USD
17331.56000000
0.000541271295
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
Renaissance Home Equity Loan T
N/A
Renaissance Home Equity Loan Trust 2003-2
759950AW8
50613.04000000
PA
USD
49988.27000000
0.001561152929
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
0.97200000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBU1
1260000.00000000
PA
USD
1651985.36000000
0.051592139196
Long
DBT
CORP
US
N
2
2039-01-23
Fixed
5.45000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296P6K2
12417.83000000
PA
USD
14315.01000000
0.000447063276
Long
ABS-MBS
USGA
US
N
2
2038-11-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711X5R1
2414119.56000000
PA
USD
2435512.04000000
0.076061979255
Long
ABS-MBS
CORP
US
N
2
2031-03-25
Floating
2.20275000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
5493002BNZCV0YE1MG83
Benefit Street Partners CLO IV Ltd
08180FBL4
2250000.00000000
PA
USD
2240829.00000000
0.069981952917
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
2.28150000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ED55
89417.25000000
PA
USD
98961.38000000
0.003090602020
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417CJ63
240670.20000000
PA
USD
264479.00000000
0.008259781056
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378G2A5
164735.76000000
PA
USD
165539.28000000
0.005169855486
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LTG1
44198.18000000
PA
USD
50600.64000000
0.001580277480
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GDBW1
92616.71000000
PA
USD
103184.97000000
0.003222506363
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NNX9
3943.59000000
PA
USD
4321.88000000
0.000134973977
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2007-13
61756HBN9
1371565.68000000
PA
USD
1064392.57000000
0.033241390003
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Fixed
6.00000000
N
N
N
N
N
N
CORNING INC
549300X2937PB0CJ7I56
Corning Inc
219350BQ7
765000.00000000
PA
USD
1013233.82000000
0.031643682532
Long
DBT
CORP
US
N
2
2079-11-15
Fixed
5.45000000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13645RBH6
750000.00000000
PA
USD
772728.83000000
0.024132619043
Long
DBT
CORP
CA
N
2
2051-12-02
Fixed
3.10000000
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAG6
1201000.00000000
PA
USD
1191680.24000000
0.037216632973
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.95000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAM5
2702000.00000000
PA
USD
2685293.34000000
0.083862745479
Long
DBT
CORP
GB
N
2
2050-09-02
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MH83
23198.73000000
PA
USD
24821.53000000
0.000775185944
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4.50000000
N
N
N
N
N
N
PECO ENERGY CO
YH65D4JBECK76IFEJ279
PECO Energy Co
693304AS6
465000.00000000
PA
USD
554688.24000000
0.017323127421
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
4.15000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBC5
2131000.00000000
PA
USD
2086518.49000000
0.065162776244
Long
DBT
CORP
FR
N
2
2027-06-09
Fixed
1.79200000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAL5
789000.00000000
PA
USD
767161.21000000
0.023958740126
Long
DBT
CORP
US
N
2
2026-09-20
Fixed
1.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QYY1
1081697.64000000
PA
USD
1230108.75000000
0.038416770144
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AMJR9
1205651.66000000
PA
USD
1439890.13000000
0.044968323457
Long
ABS-MBS
USGSE
US
N
2
2042-03-15
Fixed
6.50000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YAD1
315000.00000000
PA
USD
336254.73000000
0.010501364755
Long
DBT
CORP
JP
N
2
2026-04-12
Fixed
3.47700000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAH1
1233000.00000000
PA
USD
1301249.77000000
0.040638531605
Long
DBT
CORP
US
N
2
2050-01-15
Fixed
3.45000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9TD0
1907085.94000000
PA
USD
144090.07000000
0.004499988394
Long
ABS-MBS
USGSE
US
N
2
2032-10-25
Fixed
3.00000000
N
N
N
N
N
N
Navient Student Loan Trust
54930094LU45XF2CP718
Navient Private Education Loan Trust 2014-A
63939CAD9
750000.00000000
PA
USD
762608.25000000
0.023816549431
Long
ABS-O
CORP
US
N
2
2031-10-15
Floating
1.70975000
N
N
N
N
N
N
BLACK HILLS CORP
3MGELCRSTNSAMJ962671
Black Hills Corp
092113AR0
1045000.00000000
PA
USD
1087702.49000000
0.033969367784
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.05000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-J1
12559YBJ3
1454807.72000000
PA
USD
1457363.24000000
0.045514015413
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Variable
3.45871600
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
1000000.00000000
PA
USD
1303551.64000000
0.040710419892
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBG9
1055000.00000000
PA
USD
1097200.00000000
0.034265978680
Long
DBT
CORP
US
N
2
N/A
Fixed
4.87500000
N
N
N
N
N
Citimortgage Alternative Loan
N/A
CitiMortgage Alternative Loan Trust Series 2007-A2
12566UAE4
215401.50000000
PA
USD
216146.40000000
0.006750335339
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
TRITON CONTAINER
549300O4LZFLCX53XZ54
Triton Container International Ltd
89680YAC9
862000.00000000
PA
USD
870238.44000000
0.027177881728
Long
DBT
CORP
BM
N
2
2031-06-15
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AQBR6
36456.03000000
PA
USD
40343.33000000
0.001259937737
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAB5
883549.23000000
PA
USD
887717.82000000
0.027723769499
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
2.15275000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFCY4
3110.37000000
PA
USD
3441.94000000
0.000107493112
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4CZ9
21780424.43000000
PA
USD
3576842.29000000
0.111706162644
Long
ABS-MBS
USGSE
US
N
2
2038-09-25
Floating
5.99812000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAZ4
1870000.00000000
PA
USD
1843964.93000000
0.057587735125
Long
DBT
CORP
DK
N
2
2026-09-11
Fixed
1.62100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413MA23
896.10000000
PA
USD
995.35000000
0.000031085163
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
ONE GAS INC
549300HXDWI0LATTX840
ONE Gas Inc
68235PAL2
2495000.00000000
PA
USD
2482624.75000000
0.077533327338
Long
DBT
CORP
US
N
2
2024-03-11
Fixed
1.10000000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AU5
775000.00000000
PA
USD
787226.55000000
0.024585388424
Long
DBT
CORP
US
N
2
2062-02-15
Fixed
3.87500000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296XUD4
70023.08000000
PA
USD
80885.12000000
0.002526073457
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407PLG1
377.79000000
PA
USD
415.86000000
0.000012987468
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.00000000
N
N
N
N
N
N
Bluemountain CLO Ltd
5493001GLQHON6UV2U40
BlueMountain CLO XXVIII Ltd
09630PAG8
1450000.00000000
PA
USD
1439198.95000000
0.044946737639
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
2.12375000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAE3
1102000.00000000
PA
USD
1160904.27000000
0.036255487574
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHW65
11344.49000000
PA
USD
12537.80000000
0.000391560324
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2015-A
17323MAD7
887448.74000000
PA
USD
914876.76000000
0.028571953658
Long
ABS-MBS
CORP
US
N
2
2058-06-25
Variable
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AAE8
281141.35000000
PA
USD
311208.58000000
0.009719163842
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC40
36257HBE5
5310000.00000000
PA
USD
5210726.36000000
0.162732991581
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Variable
3.54969000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415BE88
426.80000000
PA
USD
430.02000000
0.000013429690
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YN27
1844294.57000000
PA
USD
1945364.86000000
0.060754494002
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414AQH8
1070.82000000
PA
USD
1242.22000000
0.000038795009
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416JFN6
117.92000000
PA
USD
130.81000000
0.000004085246
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AHXV3
13121.51000000
PA
USD
14511.47000000
0.000453198798
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
17544.11000000
0.000547909313
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-1551286349.00000000
CLP
1830318.39000000
USD
2022-02-04
17544.11000000
N
N
N
Carlyle Global Market Strategi
N/A
Carlyle US CLO 2020-2 Ltd
14315GAN5
4000000.00000000
PA
USD
3992888.00000000
0.124699430443
Long
ABS-CBDO
CORP
KY
N
2
2035-01-25
Floating
1.30400000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KG01 Mortgage Trust
30298CAU5
5200000.00000000
PA
USD
3238168.44000000
0.101129247839
Long
ABS-MBS
CORP
US
N
2
2029-05-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418M5H1
232692.99000000
PA
USD
265971.46000000
0.008306391157
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.50000000
N
N
N
N
N
N
Winwater Mortgage Loan Trust
N/A
WinWater Mortgage Loan Trust 2015-5
97654DCC8
667554.92000000
PA
USD
662187.64000000
0.020680375095
Long
ABS-MBS
CORP
US
N
2
2045-08-20
Variable
3.77380900
N
N
N
N
N
N
STATE OF WISCONSIN INVESTMENT BOARD
VY0GIYI3352UC4XOP168
STATE OF WISCONSIN INVESTMENT BOARD
000000000
14725252.00000000
PA
USD
14725252.00000000
0.459875292655
Long
RA
CORP
US
N
2
Repurchase
N
0.07000000
2022-01-03
9646827.06060477
USD
15019833.90360120
USD
UST
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
3000000.00000000
PA
USD
3800539.23000000
0.118692304256
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AAV99
11634.35000000
PA
USD
12471.15000000
0.000389478818
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAW0
1147000.00000000
PA
USD
1147929.95000000
0.035850294562
Long
DBT
CORP
NL
N
2
2029-12-13
Fixed
2.47000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MWJ2
15570.56000000
PA
USD
18051.13000000
0.000563743743
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
31417Y4F1
15331.48000000
PA
USD
16826.74000000
0.000525505572
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
FRR Re-Remic Trust
N/A
FRR Re-REMIC Trust 2018-C1
30307WBC9
1000000.00000000
PA
USD
992385.90000000
0.030992593959
Long
ABS-MBS
CORP
US
N
2
2050-02-27
Variable
2.97338700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YXX0
34675.47000000
PA
USD
38361.48000000
0.001198043798
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
COLUMBIA PROPERTY TRUST
549300WBDIMT4TVGZ316
Columbia Property Trust Operating Partnership LP
19828JAB4
525000.00000000
PA
USD
571312.58000000
0.017842311963
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.65000000
N
N
N
N
N
N
Carbone CLO, LTD
5493005I53NEC017LN87
Carbone Clo Ltd
141312AA6
4000000.00000000
PA
USD
4000012.00000000
0.124921915708
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.27150000
N
N
N
N
N
N
TORONTO-DOMINION BANK (NEW YORK)
N/A
TORONTO-DOMINION BANK (NEW YORK)
000000000
275000.00000000
PA
USD
274989.82000000
0.008588038014
Long
DBT
CORP
US
N
2
2022-05-10
Fixed
0.23000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403RXA1
1055.11000000
PA
USD
1193.88000000
0.000037285332
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAL5
1565000.00000000
PA
USD
1660065.22000000
0.051844476337
Long
DBT
CORP
KY
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296FAQ6
360.67000000
PA
USD
406.27000000
0.000012687968
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
5.00000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAE5
2000000.00000000
PA
USD
2047621.06000000
0.063947994520
Long
DBT
CORP
ES
N
2
2023-02-23
Fixed
3.12500000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
25675.49000000
0.000801855443
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-11065390.55000000
TRY
849517.85000000
USD
2022-01-21
25675.49000000
N
N
N
LANDESBANK BADEN-WURTTEMBERG (NEW YORK)
N/A
LANDESBANK BADEN-WURTTEMBERG (NEW YORK)
000000000
250000.00000000
PA
USD
249994.51000000
0.007807424854
Long
DBT
CORP
US
N
2
2022-03-21
Fixed
0.16000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415TFV7
1027.38000000
PA
USD
1191.26000000
0.000037203508
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CE8
1110000.00000000
PA
USD
1109369.29000000
0.034646030295
Long
DBT
CORP
GB
N
2
2025-11-23
Fixed
1.82200000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BA0
770000.00000000
PA
USD
778518.02000000
0.024313417677
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
2.20000000
N
N
N
N
N
N
CHEVRON USA INC
VA8TZDWPEZYU430RZ444
Chevron USA Inc
166756AS5
117000.00000000
PA
USD
126528.03000000
0.003951519120
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEH4
1123000.00000000
PA
USD
1123127.11000000
0.035075692314
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.51100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378PJM1
6175398.22000000
PA
USD
1295885.70000000
0.040471009632
Long
ABS-MBS
USGA
US
N
2
2043-12-16
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410EA57
177768.46000000
PA
USD
201664.01000000
0.006298044720
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
31418UWQ3
244295.43000000
PA
USD
270079.32000000
0.008434681207
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAS5
2140000.00000000
PA
USD
1829449.19000000
0.057134402973
Long
ABS-MBS
CORP
US
N
2
2028-10-27
None
0.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CC1
1497000.00000000
PA
USD
1625371.73000000
0.050760985279
Long
DBT
CORP
GB
N
2
2030-05-22
Fixed
3.97300000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2020-3
81748ACE2
2026156.47000000
PA
USD
1970275.68000000
0.061532468507
Long
ABS-MBS
CORP
US
N
2
2050-04-25
Variable
3.33563700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GE90
46893.23000000
PA
USD
53671.91000000
0.001676194425
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WE4G1
1181348.05000000
PA
USD
1227396.12000000
0.038332053664
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
INDUSTRIAL AND COMMERCIAL BANK OF CHINA FINANCIAL SERVICES LLC
5493003O0P1GJ0O8CI80
IND & COM BK CHINA FIN SVCS LLC
000000000
2475530.00000000
PA
USD
2475530.00000000
0.077311755562
Long
RA
CORP
US
N
2
Repurchase
Y
0.05000000
2022-01-03
10001328.44201625
USD
274770.70070836
USD
AMBS
2136194.24972000
USD
2066597.54573274
USD
UST
172438.34685714
USD
183672.38651880
USD
ADAS
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WS82
5663.32000000
PA
USD
6567.71000000
0.000205112113
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411JNM4
7893.89000000
PA
USD
8748.08000000
0.000273205908
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
31410F4T9
26318.49000000
PA
USD
30214.32000000
0.000943604853
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417TNK0
327584.22000000
PA
USD
361577.20000000
0.011292195248
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403JLJ3
12436.18000000
PA
USD
13650.59000000
0.000426313184
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
NETAPP INC
QTX3D84DZDD5JYOCYH15
NetApp Inc
64110DAL8
450000.00000000
PA
USD
453759.02000000
0.014171068998
Long
DBT
CORP
US
N
2
2025-06-22
Fixed
1.87500000
N
N
N
N
N
N
WESTPAC BANKING CORP
N/A
WESTPAC BANKING CORP
000000000
725000.00000000
PA
USD
724725.92000000
0.022633469672
Long
DBT
CORP
US
N
2
2022-03-25
Fixed
0.13000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BAEB4
656584.38000000
PA
USD
15789.67000000
0.000493117476
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411KEQ2
13436.60000000
PA
USD
15008.92000000
0.000468734353
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411JT30
87868.41000000
PA
USD
101850.24000000
0.003180822231
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CQ9
1757000.00000000
PA
USD
2082049.99000000
0.065023223268
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
4.12500000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2020-C19 Commercial Mortgage Trust
12597NAE3
750000.00000000
PA
USD
656775.30000000
0.020511345632
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-1
03067DAG0
1650000.00000000
PA
USD
1665080.67000000
0.052001110772
Long
ABS-O
CORP
US
N
2
2025-12-18
Fixed
1.80000000
N
N
N
N
N
N
CANADIAN NATL RESOURCES
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd
136385AP6
205000.00000000
PA
USD
283333.66000000
0.008848619352
Long
DBT
CORP
CA
N
2
2039-02-01
Fixed
6.75000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAD0
255000.00000000
PA
USD
272057.40000000
0.008496457408
Long
DBT
CORP
N/A
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412YEC2
1353.06000000
PA
USD
1542.33000000
0.000048167560
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAV1
2250000.00000000
PA
USD
2656980.18000000
0.082978514585
Long
DBT
CORP
US
N
2
2036-05-14
Fixed
4.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6PE2
6714.35000000
PA
USD
7664.54000000
0.000239366536
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDP3
5560900.00000000
PA
USD
5537439.95000000
0.172936382859
Long
DBT
UST
US
N
2
2028-12-31
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9HT8
958455.01000000
PA
USD
996794.36000000
0.031130271863
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382TKU7
13926001.04000000
PA
USD
1521911.38000000
0.047529878692
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DKX0
600096.32000000
PA
USD
648289.38000000
0.020246327081
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CV9
2303000.00000000
PA
USD
2260131.87000000
0.070584788983
Long
DBT
CORP
GB
N
2
2029-08-17
Fixed
2.20600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6SS8
34194.18000000
PA
USD
39172.52000000
0.001223372890
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BC2C1
9072578.30000000
PA
USD
9835761.77000000
0.307174629165
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Fixed
4.25000000
N
N
N
N
N
N
FRESENIUS MED CARE III
5299006ZHLMXOOUVTU44
Fresenius Medical Care US Finance III Inc
35805BAC2
1237000.00000000
PA
USD
1224440.85000000
0.038239759444
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
1.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397FLC4
6318749.76000000
PA
USD
1177580.53000000
0.036776293598
Long
ABS-MBS
USGSE
US
N
2
2037-03-15
Floating
6.01025000
N
N
N
N
N
N
Social Professional Loan Progr
5493002WMPR84WZ75V46
Sofi Professional Loan Program 2018-A LLC
83406EAD7
2200000.00000000
PA
USD
2264936.08000000
0.070734826313
Long
ABS-O
CORP
US
N
2
2042-02-25
Fixed
3.61000000
N
N
N
N
N
N
METROPOLITAN EDISON CO
N/A
Metropolitan Edison Co
591894CB4
411000.00000000
PA
USD
435713.91000000
0.013607513261
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.00000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AP4
2177000.00000000
PA
USD
2212517.23000000
0.069097765433
Long
DBT
CORP
GB
N
2
2023-11-07
Fixed
2.90700000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BQ4
1115000.00000000
PA
USD
1084739.90000000
0.033876844957
Long
DBT
CORP
US
N
2
2027-02-03
Fixed
1.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCRW7
5833303.17000000
PA
USD
6167280.54000000
0.192606547121
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-13T1
12668BZK2
1157234.54000000
PA
USD
773260.30000000
0.024149217056
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
373000.00000000
PA
USD
431378.20000000
0.013472107368
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAD8
1000000.00000000
PA
USD
1156998.33000000
0.036133503563
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411WXZ5
43800.24000000
PA
USD
50790.80000000
0.001586216250
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BRY6
948967.12000000
PA
USD
1071763.43000000
0.033471584800
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAH4
786000.00000000
PA
USD
995999.70000000
0.031105454325
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CQ0
1673000.00000000
PA
USD
1677182.52000000
0.052379056210
Long
DBT
CORP
GB
N
2
N/A
Fixed
4.70000000
N
N
N
N
N
NSTAR ELECTRIC CO
54930080R72Y2Z31UR68
NSTAR Electric Co
67021CAR8
646000.00000000
PA
USD
629933.25000000
0.019673058070
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
1.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418VWS7
107241.19000000
PA
USD
118614.58000000
0.003704379027
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.50000000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587DF1
1280000.00000000
PA
USD
1312000.00000000
0.040974265429
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHV4
1000000.00000000
PA
USD
1055608.81000000
0.032967069794
Long
DBT
CORP
US
N
2
2030-07-23
Fixed
3.19400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LHE2
358.97000000
PA
USD
390.39000000
0.000012192030
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.00000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TBC9
2164000.00000000
PA
USD
1944667.13000000
0.060732703625
Long
ABS-MBS
CORP
US
N
2
2028-10-27
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413HHE1
19266.44000000
PA
USD
22337.94000000
0.000697622471
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2021-C59
95003CBU3
25023441.06000000
PA
USD
2788347.02000000
0.087081151605
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Variable
1.55098000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AF4
2203000.00000000
PA
USD
2293873.75000000
0.071638560894
Long
DBT
CORP
US
N
2
2023-03-15
Variable
4.75000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713AZ9
624000.00000000
PA
USD
766824.45000000
0.023948222981
Long
DBT
CORP
US
N
2
2043-09-15
Fixed
6.15000000
N
N
N
N
N
N
Chase Funding Mortgage Loan As
N/A
Chase Funding Trust Series 2002-4
161546DQ6
44247.04000000
PA
USD
44076.83000000
0.001376536380
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Floating
0.84188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSZZ8
104730.57000000
PA
USD
113067.62000000
0.003531145330
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
Thornburg Mortgage Securities
N/A
Thornburg Mortgage Securities Trust 2006-5
88522RAA2
171383.74000000
PA
USD
173903.12000000
0.005431061431
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Variable
2.54061600
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473QAX1
764000.00000000
PA
USD
1051069.58000000
0.032825307893
Long
DBT
CORP
US
N
2
2041-06-15
Fixed
5.95000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419DM24
78977.06000000
PA
USD
86486.50000000
0.002701006712
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WRH7
10209695.84000000
PA
USD
734566.18000000
0.022940784782
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
2.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308GZ4
583000.00000000
PA
USD
593833.87000000
0.018545660526
Long
DBT
CORP
US
N
2
2042-04-15
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416QGX7
69816.42000000
PA
USD
77200.92000000
0.002411014472
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M74F0
22272.03000000
PA
USD
25412.90000000
0.000793654656
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31373UDJ3
528.43000000
PA
USD
558.62000000
0.000017445917
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414LZT8
1897.17000000
PA
USD
2049.57000000
0.000064008860
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
4.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
818000.00000000
PA
USD
886222.13000000
0.027677058524
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R01
20754FAK8
476587.30000000
PA
USD
479001.45000000
0.014959399812
Long
ABS-MBS
CORP
US
N
2
2031-07-25
Floating
2.55275000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325URK4
5316160.76000000
PA
USD
839310.14000000
0.026211979004
Long
ABS-MBS
USGSE
US
N
2
2043-08-15
Floating
5.84025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413AJE4
19062.07000000
PA
USD
21307.04000000
0.000665427067
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCC8
1366000.00000000
PA
USD
1385011.41000000
0.043254439890
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.58000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EC98
364013.83000000
PA
USD
401202.34000000
0.012529703635
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M86L3
11869.30000000
PA
USD
13539.33000000
0.000422838491
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A2K6
519000.00000000
PA
USD
542903.90000000
0.016955097943
Long
DBT
CORP
US
N
2
2026-11-12
Fixed
2.95000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402Q2V2
259921.48000000
PA
USD
293551.03000000
0.009167711753
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414PZS1
3940.68000000
PA
USD
4341.53000000
0.000135587654
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389G4V9
252.28000000
PA
USD
277.71000000
0.000008672990
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6E87
152876.10000000
PA
USD
174233.90000000
0.005441391818
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YGJ0
1565.00000000
PA
USD
1676.33000000
0.000052352431
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CEK8
23364.18000000
PA
USD
26781.89000000
0.000836408742
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QNKW8
3266945.96000000
PA
USD
3453443.10000000
0.107852358403
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.00000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DD9
2765000.00000000
PA
USD
3240771.39000000
0.101210538971
Long
DBT
CORP
US
N
2
2047-09-12
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412GWD9
13562.13000000
PA
USD
14960.37000000
0.000467218118
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-93573.64000000
-0.00292234082
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-25054440.25000000
BRL
4370733.01000000
USD
2022-02-04
-93573.64000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407EH48
6897.00000000
PA
USD
7809.81000000
0.000243903374
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129354X4
1704.77000000
PA
USD
1878.90000000
0.000058678770
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJY1
2953.85000000
PA
USD
3428.71000000
0.000107079934
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394EKV9
2623147.29470000
PA
USD
513260.21000000
0.016029314084
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
6.59812000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296DGJ1
2300.05000000
PA
USD
2640.94000000
0.000082477573
Long
ABS-MBS
USGA
US
N
2
2038-09-15
Fixed
5.00000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAP9
1059000.00000000
PA
USD
1019041.18000000
0.031825048622
Long
DBT
CORP
US
N
2
2040-09-15
Fixed
2.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QSEF1
677907.54000000
PA
USD
726397.32000000
0.022685668137
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AJ4
1795000.00000000
PA
USD
1765963.06000000
0.055151706676
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AA57
689677.67000000
PA
USD
763606.87000000
0.023847736718
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HMQ3
61968.21000000
PA
USD
70693.33000000
0.002207779929
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-1
46648RAY7
1551897.31000000
PA
USD
1568101.91000000
0.048972426738
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.68936300
N
N
N
N
N
N
UNITED AIR 2014-1 A PTT
N/A
United Airlines 2014-1 Class A Pass Through Trust
90932PAA6
559626.85000000
PA
USD
586771.10000000
0.018325087498
Long
DBT
CORP
US
N
2
2026-04-11
Fixed
4.00000000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DC6
2802000.00000000
PA
USD
3041338.41000000
0.094982170176
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414EQZ0
43274.35000000
PA
USD
48879.51000000
0.001526525927
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413LZ93
64104.29000000
PA
USD
73218.36000000
0.002286637589
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXB5
4669.21000000
PA
USD
5242.98000000
0.000163740285
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
NORTHWESTERN MUTUAL LIFE
1DU7IM20QESYGDO4HO54
Northwestern Mutual Life Insurance Co/The
668138AC4
174000.00000000
PA
USD
192193.98000000
0.006002292035
Long
DBT
CORP
US
N
2
2059-09-30
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417JFE5
57504.38000000
PA
USD
63614.01000000
0.001986690038
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JRGY6
331524.96000000
PA
USD
348646.84000000
0.010888375124
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Floating
1.98000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396HWV7
2050986.44000000
PA
USD
2309679.41000000
0.072132177745
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAP6
25000.00000000
PA
USD
24754.39000000
0.000773089135
Long
DBT
UST
US
N
2
2023-10-15
Fixed
0.12500000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDD8
2155000.00000000
PA
USD
2251975.00000000
0.070330046791
Long
DBT
CORP
US
N
2
N/A
Fixed
4.65000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B5KY8
10700000.00000000
PA
USD
290966.17000000
0.009086985579
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Variable
1.78804400
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374KA37
546349.15000000
PA
USD
93744.44000000
0.002927674974
Long
ABS-MBS
USGA
US
N
2
2035-02-16
Floating
6.66250000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QQ2Q4
626750.16000000
PA
USD
671601.86000000
0.020974384812
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NQJ6
1590127.86000000
PA
USD
315176.54000000
0.009843084761
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Floating
6.49812000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374UNM9
988720.91000000
PA
USD
1094349.92000000
0.034176969584
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
4.75000000
N
N
N
N
N
N
Taco Bell Funding, LLC
N/A
Taco Bell Funding LLC
87342RAJ3
1500000.00000000
PA
USD
1471309.35000000
0.045949557801
Long
ABS-O
CORP
US
N
2
2051-08-25
Fixed
2.54200000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558AZ6
557000.00000000
PA
USD
589229.13000000
0.018401852722
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.50000000
N
N
N
N
N
N
WISCONSIN ELECTRIC POWER
AENKIFMULUAWOUU8Q584
Wisconsin Electric Power Co
976656CM8
861000.00000000
PA
USD
844587.76000000
0.026376801110
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
1.70000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4ZD3
6820830.75000000
PA
USD
1309431.03000000
0.040894035506
Long
ABS-MBS
USGSE
US
N
2
2049-06-25
Floating
5.94812000
N
N
N
N
N
N
DOW CHEMICAL CO/THE
ZQUIP1CSZO8LXRBSOU78
Dow Chemical Co/The
260543CK7
1506000.00000000
PA
USD
1741063.38000000
0.054374080077
Long
DBT
CORP
US
N
2
2034-10-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AEZH9
42974.88000000
PA
USD
47316.22000000
0.001477703778
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413A6M0
11022.55000000
PA
USD
12138.70000000
0.000379096277
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
1888000.00000000
PA
USD
1900721.27000000
0.059360257488
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.54500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133THQB6
135534.03000000
PA
USD
149437.35000000
0.004666986009
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAN4
1017000.00000000
PA
USD
1267590.98000000
0.039587354626
Long
DBT
CORP
US
N
2
2044-03-04
Fixed
5.40000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVR2
2500000.00000000
PA
USD
2728927.63000000
0.085225461165
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375A3E2
3281750.35000000
PA
USD
703432.36000000
0.021968463590
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
5.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCG4
16997000.00000000
PA
USD
16748684.37000000
0.523067865069
Long
DBT
UST
US
N
2
2024-06-15
Fixed
0.25000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust
93363NAA3
503295.69000000
PA
USD
507101.86000000
0.015836986441
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
2.95634300
N
N
N
N
N
N
SMB Private Education Loan Tru
5493000RGRVHYZAIY180
SMB Private Education Loan Trust 2017-A
78448WAD7
1500000.00000000
PA
USD
1540659.00000000
0.048115374087
Long
ABS-O
CORP
US
N
2
2041-06-17
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414BS50
524.55000000
PA
USD
600.80000000
0.000018763215
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
3138ABBZ1
200468.29000000
PA
USD
221737.81000000
0.006924957227
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBH4
500000.00000000
PA
USD
543858.72000000
0.016984917339
Long
DBT
CORP
US
N
2
2045-02-15
Fixed
4.90000000
N
N
N
N
N
N
BURLINGTON RESOURCES LLC
0FJ5X7MVCTSE8OEPQE56
Burlington Resources LLC
20825VAB8
408000.00000000
PA
USD
556689.50000000
0.017385627541
Long
DBT
CORP
US
N
2
2036-10-15
Fixed
5.95000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBE8
275000.00000000
PA
USD
311626.11000000
0.009732203464
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.90000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAP5
1393000.00000000
PA
USD
1428942.05000000
0.044626410701
Long
ABS-O
CORP
US
N
2
2051-04-25
Fixed
3.15100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QS2P2
2437927.76000000
PA
USD
2646073.81000000
0.082637904448
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
CONTL AIRLINES 2012-2 A
N/A
Continental Airlines 2012-2 Class A Pass Through Trust
210795QB9
22845.35000000
PA
USD
23712.13000000
0.000740538954
Long
DBT
CORP
US
N
2
2024-10-29
Fixed
4.00000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2004-AR3
23332UBF0
131552.32000000
PA
USD
130104.13000000
0.004063202100
Long
ABS-MBS
CORP
US
N
2
2044-07-19
Variable
2.48713900
N
N
N
N
N
N
WASTE MGMT INC 03/03/2022
N/A
WASTE MGMT INC 03/03/2022
000000000
6000000.00000000
PA
USD
5996341.98000000
0.187268070041
Long
DBT
CORP
US
N
2
2022-03-03
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417WKM2
449872.08000000
PA
USD
506557.50000000
0.015819985869
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B22X9
761283.65000000
PA
USD
786270.50000000
0.024555530614
Long
ABS-MBS
USGSE
US
N
2
2048-09-25
Fixed
3.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1090.62000000
-0.00003406048
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-350169973.74000000
RUB
4655543.93000000
USD
2022-01-21
-1090.62000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411LXX4
14870.59000000
PA
USD
16705.72000000
0.000521726071
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
BlackRock Liquidity FedFund
549300T8K043VZEOVK74
BlackRock Liquidity FedFund
09248U700
11155000.00000000
NS
USD
11155000.00000000
0.348374947306
Long
STIV
RF
US
N
1
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAF8
808000.00000000
PA
USD
847949.52000000
0.026481790170
Long
DBT
CORP
US
N
2
2024-01-30
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A1KE4
13227387.40000000
PA
USD
14566976.51000000
0.454932288129
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WWF5
28049.92000000
PA
USD
31026.49000000
0.000968969235
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412SY41
51831.30000000
PA
USD
58629.12000000
0.001831010003
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YAR6
1666626.88000000
PA
USD
1762126.43000000
0.055031887243
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418WGZ7
70467.54000000
PA
USD
77695.04000000
0.002426446030
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
31428XBZ8
874000.00000000
PA
USD
994897.92000000
0.031071045311
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022626
19000000.00000000
PA
USD
19337786.94000000
0.603926535745
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4WW9
46349.52000000
PA
USD
53087.95000000
0.001657957129
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379BSP4
6395175.99000000
PA
USD
1000548.95000000
0.031247529155
Long
ABS-MBS
USGA
US
N
2
2044-04-16
Floating
5.49250000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B2BP4
3879656.78000000
PA
USD
4086054.91000000
0.127609068934
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
3.00000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AY0
510000.00000000
PA
USD
506465.65000000
0.015817117358
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.90000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BK72
1371009.72000000
PA
USD
1568845.98000000
0.048995664331
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAM7
800000.00000000
PA
USD
817037.45000000
0.025516394315
Long
DBT
CORP
ES
N
2
2031-03-25
Fixed
2.95800000
N
N
N
N
N
FHLMC-GNMA
S6XOOCT0IEG5ABCC6L87
FHLMC-GNMA
3133T4GF7
15722.15000000
PA
USD
15840.62000000
0.000494708664
Long
ABS-MBS
USGSE
US
N
2
2024-03-25
Floating
1.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CPL7
3791.65000000
PA
USD
4181.47000000
0.000130588918
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
SUMITOMO MITSUI BANKING CORP (NEWYORK)
549300MS3WYYVQ4HXM15
SUMITOMO MITSUI BANKING CORP (NEWYORK)
86565C7K9
600000.00000000
PA
USD
599991.35000000
0.018737960998
Long
DBT
CORP
US
N
2
2022-04-14
Floating
0.15952400
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AGZ4
4694218.62000000
PA
USD
5151813.87000000
0.160893131823
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.00000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
227000.00000000
PA
USD
237778.59000000
0.007425916966
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
INTERSTATE POWER & LIGHT
EF9UQIIO4KY2BWOK3P26
Interstate Power and Light Co
461070AL8
3640000.00000000
PA
USD
3824177.92000000
0.119430549652
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413Y7J4
29673.98000000
PA
USD
34393.84000000
0.001074132872
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418P3T0
45105.18000000
PA
USD
49138.07000000
0.001534600855
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.33.V1
000000000
1.00000000
NC
USD
-6759737.78000000
-0.21110921496
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.33.V1
Y
Default Event
2024-12-20
0.00000000
USD
-6412316.90000000
USD
81704670.00000000
USD
-347420.88000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBP9
932000.00000000
PA
USD
955609.09000000
0.029844040015
Long
DBT
CORP
GB
N
2
2035-09-23
Fixed
3.56400000
N
N
N
N
N
N
Babson CLO Ltd
549300TE5WUQQTRVZ282
Barings CLO Ltd 2017-I
06760BAC6
3470000.00000000
PA
USD
3470093.69000000
0.108372362743
Long
ABS-CBDO
CORP
KY
N
2
2029-07-18
Floating
1.47225000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AL5
928625.00000000
PA
USD
997874.89000000
0.031164017231
Long
ABS-O
CORP
US
N
2
2049-05-20
Fixed
4.35200000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION
N/A
United States Small Business Administration
83162CRL9
133856.05000000
PA
USD
145551.37000000
0.004545625356
Long
ABS-O
USGA
US
N
2
2027-12-01
Fixed
5.29000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ASLL4
13857.87000000
PA
USD
15328.85000000
0.000478725890
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBP4
928000.00000000
PA
USD
1129860.62000000
0.035285982425
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
5.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419DZ38
67303.89000000
PA
USD
74435.81000000
0.002324659021
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Beechwood Park CLO Ltd.
N/A
Beechwood Park CLO Ltd
07355TAA0
3200000.00000000
PA
USD
3200585.60000000
0.099955521268
Long
ABS-CBDO
CORP
KY
N
2
2033-01-17
Floating
1.45225000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128NHK36
44784.54000000
PA
USD
46523.27000000
0.001452939644
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
1.59500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ACX4
25489.44000000
PA
USD
28214.38000000
0.000881145956
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DC1
415000.00000000
PA
USD
403683.94000000
0.012607204959
Long
DBT
CORP
US
N
2
2052-01-15
Fixed
3.00000000
N
N
N
N
N
NATIONAL AUSTRALIA BANK LTD
N/A
NATIONAL AUSTRALIA BANK LTD
000000000
725000.00000000
PA
USD
724889.82000000
0.022638588332
Long
DBT
CORP
US
N
2
2022-02-18
Fixed
0.12000000
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
1035000.00000000
PA
USD
1128988.84000000
0.035258756400
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62200000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAQ5
990000.00000000
PA
USD
869659.14000000
0.027159789966
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296XJ88
541102.37000000
PA
USD
620621.46000000
0.019382247281
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
5.00000000
N
N
N
N
N
N
NORINCHUKIN BANK (NEW YORK)
N/A
NORINCHUKIN BANK (NEW YORK)
000000000
300000.00000000
PA
USD
300037.19000000
0.009370277028
Long
DBT
CORP
US
N
2
2022-03-14
Fixed
0.24000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6PL6
7335.82000000
PA
USD
8231.95000000
0.000257086969
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QNKH1
2159045.00000000
PA
USD
2319597.20000000
0.072441914148
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406RN68
7358.81000000
PA
USD
8273.04000000
0.000258370226
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6.00000000
N
N
N
N
N
N
BLACKSTONE HOLDINGS FINA
549300D2L6J4NC1QVZ22
Blackstone Holdings Finance Co LLC
09261BAF7
1658000.00000000
PA
USD
1617999.09000000
0.050530734892
Long
DBT
CORP
US
N
2
2051-08-05
Fixed
2.85000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414HJX6
72038.71000000
PA
USD
82657.70000000
0.002581431813
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8A87
94318.05000000
PA
USD
108093.73000000
0.003375808829
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
5.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBL2
2000000.00000000
PA
USD
2323019.84000000
0.072548804513
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
5.30000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBE4
600000.00000000
PA
USD
602171.11000000
0.018806035743
Long
DBT
CORP
US
N
2
2031-12-10
Fixed
2.15000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-1
33850TBA5
1916641.14000000
PA
USD
1922908.17000000
0.060053162922
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
3.98438900
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
673.00000000
NC
USD
278220.66000000
0.008688938392
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
87527248.09000000
USD
278220.66000000
N
N
N
SCENTRE GROUP TRUST 1/2
N/A
Scentre Group Trust 1 / Scentre Group Trust 2
80622GAD6
760000.00000000
PA
USD
812017.97000000
0.025359634021
Long
DBT
CORP
AU
N
2
2026-01-28
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANSU8
593970.78000000
PA
USD
646371.37000000
0.020186426890
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2JF7
194529.09000000
PA
USD
215240.77000000
0.006722052165
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377MY42
5097523.61000000
PA
USD
444584.09000000
0.013884532400
Long
ABS-MBS
USGA
US
N
2
2040-05-16
Floating
5.99250000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAB8
928000.00000000
PA
USD
918657.51000000
0.028690027937
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2MD2
1000000.00000000
PA
USD
1137335.60000000
0.035519428930
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Fixed
4.50000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432NV3
1830000.00000000
PA
USD
1847126.09000000
0.057686459369
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.40000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374TWL4
1131508.34000000
PA
USD
1243157.55000000
0.038824289195
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
4.50000000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
31428XBN5
1250000.00000000
PA
USD
1475891.60000000
0.046092663234
Long
DBT
CORP
US
N
2
2047-01-15
Fixed
4.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129265E4
7687.78000000
PA
USD
8817.27000000
0.000275366738
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
639057AB4
890000.00000000
PA
USD
879216.98000000
0.027458284991
Long
DBT
CORP
GB
N
2
2035-11-28
Fixed
3.03200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WT51
25290.77000000
PA
USD
27965.45000000
0.000873371776
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413JJ88
2109.83000000
PA
USD
2427.32000000
0.000075806138
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2CN0
20096.08000000
PA
USD
23196.92000000
0.000724448747
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
5.00000000
N
N
N
N
N
N
HP INC
WHKXQACZ14C5XRO8LW03
HP Inc
40434LAG0
1200000.00000000
PA
USD
1184325.46000000
0.036986940360
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416PPC5
376.40000000
PA
USD
416.17000000
0.000012997149
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XSX3
2885283.99000000
PA
USD
2949818.56000000
0.092123970004
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
2.90275000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBZ7
998000.00000000
PA
USD
1010490.18000000
0.031557997598
Long
DBT
CORP
US
N
2
2041-03-25
Fixed
3.65000000
N
N
N
N
N
PARTNERRE FINANCE B LLC
549300O0FAGHK2F79881
PartnerRe Finance B LLC
70213BAC5
1870000.00000000
PA
USD
1969786.29000000
0.061517184669
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M0LF5
907323.85000000
PA
USD
996669.79000000
0.031126381494
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
Five Guys Funding, LLC
549300LV8X8T05G1H175
Five Guys Funding LLC
33830JAA3
3662325.00000000
PA
USD
3799421.94000000
0.118657410859
Long
ABS-O
CORP
US
N
2
2047-07-25
Fixed
4.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288VRT8
462.40000000
PA
USD
464.14000000
0.000014495271
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Floating
2.36600000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63859UBH5
820000.00000000
PA
USD
805078.06000000
0.025142897958
Long
DBT
CORP
GB
N
2
2026-10-13
Fixed
1.50000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312945D47
194624.08000000
PA
USD
219235.84000000
0.006846819740
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
5.00000000
N
N
N
N
N
N
LANDESBANK BADEN-WURTTEMBERG (NEW YORK)
N/A
LANDESBANK BADEN-WURTTEMBERG (NEW YORK)
000000000
725000.00000000
PA
USD
724926.05000000
0.022639719809
Long
DBT
CORP
US
N
2
2022-04-12
Fixed
0.17000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QUFD0
1110252.59000000
PA
USD
1192736.79000000
0.037249629436
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CV1
608000.00000000
PA
USD
600743.36000000
0.018761446560
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
2.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377GTD1
1348209.70000000
PA
USD
215269.45000000
0.006722947853
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Floating
5.74612000
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585ABH4
751000.00000000
PA
USD
819920.25000000
0.025606425270
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.70000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAM0
525000.00000000
PA
USD
525967.64000000
0.016426172018
Long
DBT
CORP
N/A
N
2
2051-11-30
Fixed
3.25000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300QGM7D5K3CV2643
WFRBS Commercial Mortgage Trust 2014-LC14
96221TAL1
8510000.00000000
PA
USD
8785705.28000000
0.274380960463
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
4.34400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KME1
33534.91000000
PA
USD
36950.30000000
0.001153972103
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADJQ9
74765.29000000
PA
USD
80159.13000000
0.002503400510
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DC8
1165000.00000000
PA
USD
1290097.49000000
0.040290241604
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.87500000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22552G2V1
750000.00000000
PA
USD
750106.09000000
0.023426102158
Long
DBT
CORP
US
N
2
2022-04-08
Floating
0.26960000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GXH53
63129.50000000
PA
USD
68306.76000000
0.002133246429
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
1000000.00000000
PA
USD
1034420.40000000
0.032305347587
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.74600000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
Analog Devices Inc
032654AW5
456000.00000000
PA
USD
462120.09000000
0.014432188435
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
2.80000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCK5
3655000.00000000
PA
USD
4220502.44000000
0.131807917090
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
ECOLAB INC
82DYEISM090VG8LTLS26
Ecolab Inc
278865BM1
1115000.00000000
PA
USD
1107014.27000000
0.034572482113
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.12500000
N
N
N
N
N
N
TD SYNNEX CORP
5493004HI6PFLF46NS53
TD SYNNEX Corp
87162WAE0
390000.00000000
PA
USD
380475.03000000
0.011882381759
Long
DBT
CORP
US
N
2
2026-08-09
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396EU46
265632.33000000
PA
USD
347839.61000000
0.010863165020
Long
ABS-MBS
USGSE
US
N
2
2035-03-15
Floating
19.53075000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400UTM6
42788.54000000
PA
USD
47205.22000000
0.001474237205
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAF3
1500000.00000000
PA
USD
1517756.40000000
0.047400117066
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
3.14967000
N
N
N
N
N
N
AEP TRANSMISSION CO LLC
549300X123Z1I0LA3Y84
AEP Transmission Co LLC
00115AAN9
855000.00000000
PA
USD
815505.47000000
0.025468549990
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406L3C0
63267.95000000
PA
USD
63547.31000000
0.001984606972
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Floating
2.30000000
N
N
N
N
N
N
MLCC Mortgage Investors Inc
N/A
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3
59020UL78
21490.18000000
PA
USD
21431.94000000
0.000669327742
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.60188000
N
N
N
N
N
N
SUMITOMO MITSUI BANKING CORP (NEWYORK)
549300MS3WYYVQ4HXM15
SUMITOMO MITSUI BANKING CORP (NEWYORK)
86565C7D5
725000.00000000
PA
USD
724981.69000000
0.022641457467
Long
DBT
CORP
US
N
2
2022-04-01
Floating
0.15000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411LK26
43834.31000000
PA
USD
50060.02000000
0.001563393709
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGHE7
611.00000000
PA
USD
615.75000000
0.000019230109
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
5.50000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BG2
2195000.00000000
PA
USD
2135341.52000000
0.066687538279
Long
DBT
CORP
US
N
2
2031-09-23
Fixed
2.62500000
N
N
N
N
N
STARBIRD FUNDING CORP
N/A
STARBIRD FUNDING CORP
000000000
625000.00000000
PA
USD
624676.23000000
0.019508879310
Long
DBT
CORP
US
N
2
2022-03-21
Fixed
0.25000000
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DB8
1213000.00000000
PA
USD
1264975.63000000
0.039505676238
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.25000000
N
N
N
N
N
N
Wind River CLO Ltd
254900CL04BC1Q11T078
Wind River 2016-2 CLO Ltd
88433BAQ0
9500000.00000000
PA
USD
9496969.50000000
0.296594016058
Long
ABS-CBDO
CORP
KY
N
2
2031-11-01
Floating
1.32163000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X1L38
1429782.07000000
PA
USD
1558480.34000000
0.048671941400
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
4030000.00000000
PA
USD
3945934.76000000
0.123233062670
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.23900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395GPB2
731911.32000000
PA
USD
824136.25000000
0.025738092574
Long
ABS-MBS
USGSE
US
N
2
2034-10-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419FMT0
27387.46000000
PA
USD
29958.00000000
0.000935599880
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBN5
283000.00000000
PA
USD
293184.88000000
0.009156276747
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.10900000
N
N
N
N
N
N
LOS ANGELES CNTY CA PUBLIC WKS
N/A
Los Angeles County Public Works Financing Authority
54473ENS9
300000.00000000
PA
USD
495761.88000000
0.015482834497
Long
DBT
MUN
US
N
2
2040-08-01
Fixed
7.61800000
N
N
N
N
N
N
DZ BANK AG (NEW YORK)
N/A
DZ BANK AG (NEW YORK)
000000000
725000.00000000
PA
USD
725006.53000000
0.022642233230
Long
DBT
CORP
US
N
2
2022-01-12
Fixed
0.10000000
N
N
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2018-B Trust
83404RAC2
5000000.00000000
PA
USD
5149786.50000000
0.160829816277
Long
ABS-O
CORP
US
N
2
2047-08-25
Fixed
3.83000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4M67
8752.05000000
PA
USD
10035.34000000
0.000313407534
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QS6V5
1556310.71000000
PA
USD
1701324.40000000
0.053133016423
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A1T92
83213.37000000
PA
USD
91755.79000000
0.002865568669
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
OCP CLO Ltd
254900PS626FB00CVF06
OCP CLO 2021-22 Ltd
67117TAA3
2350000.00000000
PA
USD
2350467.65000000
0.073406010193
Long
ABS-CBDO
CORP
KY
N
2
2034-12-02
Floating
1.29589000
N
N
N
N
N
N
TTX CO
549300I8CNSYS1OGX775
TTX Co
87305QCH2
2250000.00000000
PA
USD
2397826.46000000
0.074885044074
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9ME7
2534923.56000000
PA
USD
2785666.59000000
0.086997440744
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.00000000
N
N
N
N
N
N
TSMC GLOBAL LTD
549300N2ZLI21P85T117
TSMC Global Ltd
872882AF2
1060000.00000000
PA
USD
1001788.70000000
0.031286247025
Long
DBT
CORP
VG
N
2
2027-09-28
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413FHY1
11498.16000000
PA
USD
12836.97000000
0.000400903518
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
BLACKSTONE HOLDINGS FINA
549300D2L6J4NC1QVZ22
Blackstone Holdings Finance Co LLC
09261BAD2
1250000.00000000
PA
USD
1204755.53000000
0.037624979316
Long
DBT
CORP
US
N
2
2032-01-30
Fixed
2.00000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAD8
990000.00000000
PA
USD
994448.64000000
0.031057014124
Long
DBT
CORP
US
N
2
2030-06-22
Fixed
2.70000000
N
N
N
N
N
N
UNITED AIR 2020-1 A PTT
N/A
United Airlines 2020-1 Class A Pass Through Trust
90931GAA7
59617.80000000
PA
USD
65416.50000000
0.002042982495
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RSN0
120070.36000000
PA
USD
135816.53000000
0.004241602553
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
FLORIDA POWER LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081GE1
750000.00000000
PA
USD
762562.67000000
0.023815125950
Long
DBT
CORP
US
N
2
2051-12-04
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENY86
1611536.86000000
PA
USD
1700234.32000000
0.053098972804
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
Triton Container Finance LLC
N/A
Triton Container Finance VIII LLC
89680HAE2
1310750.03000000
PA
USD
1286610.34000000
0.040181336566
Long
ABS-O
CORP
US
N
2
2046-03-20
Fixed
1.86000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBF0
1539732.57000000
PA
USD
1624049.87000000
0.050719703082
Long
ABS-MBS
CORP
US
N
2
2028-04-25
Floating
5.80275000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2004-4
542514HN7
58753.09000000
PA
USD
57433.65000000
0.001793675015
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
0.66188000
N
N
N
N
N
N
PIEDMONT OPERATING PARTN
549300WKGDPAS39FBD10
Piedmont Operating Partnership LP
720198AD2
1130000.00000000
PA
USD
1192147.55000000
0.037231227244
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
4.45000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust
92925GAC7
877643.74000000
PA
USD
840678.26000000
0.026254705919
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
2.38086500
N
N
N
N
N
N
RENESAS ELECTRONICS CORP
5299000EPC47VJQOFB81
Renesas Electronics Corp
75972BAB7
525000.00000000
PA
USD
523549.34000000
0.016350647578
Long
DBT
CORP
JP
N
2
2026-11-25
Fixed
2.17000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412TWY5
14775.25000000
PA
USD
16366.87000000
0.000511143655
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XJ70
2287839.68000000
PA
USD
2317685.23000000
0.072382202588
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
2.25275000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403NCM7
6015.36000000
PA
USD
6635.85000000
0.000207240151
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
Rockland Park CLO Ltd
N/A
Rockland Park CLO Ltd
773663AE9
2450000.00000000
PA
USD
2422194.95000000
0.075646081404
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
2.03150000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409D6Q1
14945.33000000
PA
USD
17313.69000000
0.000540713208
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419A4K0
15402.04000000
PA
USD
17854.19000000
0.000557593231
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411EE45
1226.53000000
PA
USD
1403.80000000
0.000043841214
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YH59
57955.85000000
PA
USD
63637.53000000
0.001987424577
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411H6U9
4764.24000000
PA
USD
5530.31000000
0.000172713711
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNE4
3946175.92000000
PA
USD
4047382.98000000
0.126401329662
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
2.50000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DA2
1106000.00000000
PA
USD
1365308.89000000
0.042639122600
Long
DBT
CORP
US
N
2
2044-07-16
Fixed
4.50000000
N
N
N
N
N
N
MID-AMERICA APARTMENTS
549300FXWGE3QSYCUJ38
Mid-America Apartments LP
59523UAU1
500000.00000000
PA
USD
493981.04000000
0.015427218178
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
2.87500000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJJP6
6408.80000000
PA
USD
7351.92000000
0.000229603293
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
DOW CHEMICAL CO/THE
ZQUIP1CSZO8LXRBSOU78
Dow Chemical Co/The
260543CL5
500000.00000000
PA
USD
605828.98000000
0.018920272432
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
4.62500000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2018-2-GS
61946LAB8
971890.58000000
PA
USD
1021329.68000000
0.031896519359
Long
ABS-O
CORP
US
N
2
2044-02-22
Fixed
4.74000000
N
N
N
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119BN9
1147000.00000000
PA
USD
1123154.23000000
0.035076539282
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.65000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AA3F6
23175.42000000
PA
USD
25630.45000000
0.000800448827
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405T3S9
5133.69000000
PA
USD
5629.06000000
0.000175797712
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403K5F6
7696.62000000
PA
USD
8442.87000000
0.000263674082
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SYQ7
9486.83000000
PA
USD
10491.71000000
0.000327660145
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFW9
542000.00000000
PA
USD
514259.17000000
0.016060511990
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.98700000
N
N
N
N
N
N
SUMITOMO MITSUI BANKING CORP (NEWYORK)
N/A
SUMITOMO MITSUI BANKING CORP (NEWYORK)
000000000
525000.00000000
PA
USD
524895.54000000
0.016392689922
Long
DBT
CORP
US
N
2
2022-04-08
Fixed
0.16000000
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-53T2
12668AKU8
778950.97000000
PA
USD
420636.25000000
0.013136632131
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.60188000
N
N
N
N
N
N
Bear Stearns Structured Produc
N/A
Bear Stearns Structured Products Inc Trust 2007-R6
07402FAA3
99373.02200000
PA
USD
82608.81000000
0.002579904960
Long
ABS-MBS
CORP
US
N
2
2036-01-26
Variable
2.69726000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413E2C8
17428.85000000
PA
USD
19183.28000000
0.000599101224
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
874000.00000000
PA
USD
891139.57000000
0.027830632070
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A8VW3
49959.65000000
PA
USD
53548.97000000
0.001672354962
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413DL39
26075.63000000
PA
USD
29833.76000000
0.000931719817
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017DB2
118000.00000000
PA
USD
122724.78000000
0.003832742157
Long
DBT
CORP
US
N
2
2023-08-16
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406FT76
23511.80000000
PA
USD
25822.59000000
0.000806449433
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
AMER AIRLN 15-2 AA PTT
N/A
American Airlines 2015-2 Class AA Pass Through Trust
02377BAB2
40671.31000000
PA
USD
42031.63000000
0.001312663996
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393KBY0
112245.73490000
PA
USD
127945.01000000
0.003995771951
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
5.50000000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
N/A
Benefit Street Partners CLO XVIII Ltd
08186PAJ2
2000000.00000000
PA
USD
1999996.00000000
0.062460645550
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
1.32500000
N
N
N
N
N
N
ALASKA AIRLINES 2020 TR
N/A
Alaska Airlines 2020-1 Class A Pass Through Trust
01166VAA7
717013.92000000
PA
USD
785104.43000000
0.024519113799
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.80000000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AG0
631000.00000000
PA
USD
792265.66000000
0.024742761770
Long
DBT
CORP
US
N
2
2054-04-01
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411JF50
7672.61000000
PA
USD
8886.99000000
0.000277544121
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.00000000
N
N
N
N
N
N
UNITED AIR 2016-2 A PTT
N/A
United Airlines 2016-2 Class A Pass Through Trust
90932DAA3
977804.71000000
PA
USD
970048.67000000
0.030294993661
Long
DBT
CORP
US
N
2
2028-10-07
Fixed
3.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUTJ0
1496855.31000000
PA
USD
1538208.63000000
0.048038848088
Long
ABS-MBS
USGSE
US
N
2
2045-01-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31375JFS4
4994.42000000
PA
USD
5319.40000000
0.000166126911
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4YR8
37476.68000000
PA
USD
43496.83000000
0.001358422757
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
31410WKM9
20169.60000000
PA
USD
22347.76000000
0.000697929153
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-8
46652TCG3
1405851.19000000
PA
USD
1429452.90000000
0.044642364743
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
3.53782500
N
N
N
N
N
N
UNIV OF CALIFORNIA CA RGTS MED
N/A
Regents of the University of California Medical Center Pooled Revenue
913366EP1
300000.00000000
PA
USD
464803.29000000
0.014515985805
Long
DBT
MUN
US
N
2
2048-05-15
Fixed
6.54800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BTY2
281384.18000000
PA
USD
300858.63000000
0.009395930916
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.00000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBS3
866000.00000000
PA
USD
841427.49000000
0.026278104660
Long
DBT
CORP
US
N
2
2031-03-25
Fixed
2.72600000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AMHP3
2609.68000000
PA
USD
2887.60000000
0.000090180860
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2011-LC2 Mortgage Trust
23305XAL5
4284186.35000000
PA
USD
4002501.10000000
0.124999651260
Long
ABS-MBS
CORP
US
N
3
2044-07-10
Floating
3.74925000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SZ2
39269100.00000000
PA
USD
40042210.41000000
1.250533656800
Long
DBT
UST
US
N
2
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EJT7
159013.24000000
PA
USD
175778.62000000
0.005489634018
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGU8
739000.00000000
PA
USD
924496.85000000
0.028872392774
Long
DBT
CORP
US
N
2
2046-12-07
Fixed
4.75000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432MT9
1507000.00000000
PA
USD
1541744.08000000
0.048149261553
Long
DBT
CORP
US
N
2
2043-04-30
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411AEE1
43406.54000000
PA
USD
48059.79000000
0.001500925756
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDM8
2095000.00000000
PA
USD
2168325.00000000
0.067717625066
Long
DBT
CORP
US
N
2
N/A
Fixed
4.35000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HJE3
24074.72000000
PA
USD
25746.21000000
0.000804064056
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
4.02700000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM 30 Ltd
50200YAU2
2450000.00000000
PA
USD
2450061.25000000
0.076516356689
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
2.13150000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBQ2
1000000.00000000
PA
USD
1030221.10000000
0.032174201831
Long
DBT
CORP
US
N
2
2061-02-08
Fixed
3.37900000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDY5
485000.00000000
PA
USD
493382.25000000
0.015408517736
Long
DBT
CORP
US
N
2
2040-05-15
Fixed
2.75000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK18
065402AJ8
2600000.00000000
PA
USD
2394514.20000000
0.074781600918
Long
ABS-MBS
CORP
US
N
2
2062-05-15
Fixed
3.00000000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DB1
250000.00000000
PA
USD
292525.81000000
0.009135693737
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.10000000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAE6
2630000.00000000
PA
USD
2674213.59000000
0.083516720618
Long
DBT
CORP
KY
N
2
2023-01-19
Fixed
2.98500000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AH1
2008000.00000000
PA
USD
1987735.14000000
0.062077734169
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25000000
N
N
N
N
N
N
HORMEL FOODS CORP
MSD54751OJP1FS2ND863
Hormel Foods Corp
440452AJ9
1400000.00000000
PA
USD
1490696.76000000
0.046555034084
Long
DBT
CORP
US
N
2
2051-06-03
Fixed
3.05000000
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AX5
1652000.00000000
PA
USD
1720337.14000000
0.053726791617
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAL0
947000.00000000
PA
USD
1113385.82000000
0.034771468074
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
3.96400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409FLW6
53126.87000000
PA
USD
59416.22000000
0.001855591439
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396LH86
4507349.25000000
PA
USD
438387.49000000
0.013691010195
Long
ABS-MBS
USGSE
US
N
2
2036-10-25
Floating
4.59812000
N
N
N
N
N
N
NIEUW AMSTERDAM RECEIVABLES CORPORATION B.V.
N/A
NIEUW AMSTERDAM RECEIVABLES CORPORATION B.V.
000000000
725000.00000000
PA
USD
724981.86000000
0.022641462776
Long
DBT
CORP
US
N
2
2022-01-11
Fixed
0.10000000
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-J3
12667GDJ9
282565.11020000
PA
USD
34239.60000000
0.001069315898
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
4.89812000
N
N
N
N
N
N
Carlyle Global Market Strategi
549300N3CJKPCWZ7KX23
Carlyle Global Market Strategies CLO 2016-1 Ltd
14312HAY2
5500000.00000000
PA
USD
5475211.50000000
0.170992964392
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
2.18150000
N
N
N
N
N
N
Structured Asset Mortgage Inve
N/A
Structured Asset Mortgage Investments II Trust 2005-AR5
86359LPF0
61229.07000000
PA
USD
59740.30000000
0.001865712583
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
0.60388000
N
N
N
N
N
N
TORONTO-DOMINION BANK
N/A
TORONTO-DOMINION BANK
000000000
700000.00000000
PA
USD
699587.71000000
0.021848393689
Long
DBT
CORP
US
N
2
2022-04-14
Fixed
0.16000000
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AJ3
350000.00000000
PA
USD
364398.66000000
0.011380310531
Long
DBT
CORP
JP
N
2
2026-09-13
Fixed
2.75700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A1HA4
8722765.02000000
PA
USD
1131008.54000000
0.035321832409
Long
ABS-MBS
USGSE
US
N
2
2040-08-15
Floating
4.39025000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H0TR9
22143723.03000000
PA
USD
2498022.32000000
0.078014199381
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Fixed
3.00000000
N
N
N
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain CLO XXXI Ltd
09631BAG8
5000000.00000000
PA
USD
4962720.00000000
0.154987657417
Long
ABS-CBDO
CORP
KY
N
2
2034-04-19
Floating
2.12363000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374UJR3
10722080.20000000
PA
USD
11419047.58000000
0.356621254950
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F032625
2700000.00000000
PA
USD
2838558.71000000
0.088649282027
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.50000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-2
41161PLR2
41446.04000000
PA
USD
40055.71000000
0.001250955254
Long
ABS-MBS
CORP
US
N
2
2035-05-19
Floating
0.54388000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AMTT6
14650828.38000000
PA
USD
3175676.93000000
0.099177613908
Long
ABS-MBS
USGSE
US
N
2
2045-03-25
Fixed
5.50000000
N
N
N
N
N
N
MISSISSIPPI POWER CO
LNZ0J6YZ5SC6ILIRU850
Mississippi Power Co
605417BY9
266000.00000000
PA
USD
306329.65000000
0.009566792978
Long
DBT
CORP
US
N
2
2041-10-15
Fixed
4.75000000
N
N
N
N
N
N
CREDIT AGRICOLE CIB NY
N/A
CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK/NEW YORK
000000000
575000.00000000
PA
USD
575077.03000000
0.017959877187
Long
DBT
CORP
US
N
2
2022-03-09
Fixed
0.23000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NML6
1156.07000000
PA
USD
1168.82000000
0.000036502698
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
5.50000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2019-3
80286HAF6
375051.52000000
PA
USD
376709.47000000
0.011764781870
Long
ABS-O
CORP
US
N
2
2025-10-15
Fixed
2.49000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
000000000
2470000.00000000
PA
USD
2648032.66000000
0.082699080089
Long
DBT
CORP
CH
N
2
2024-05-15
Fixed
5.12500000
N
N
N
N
N
N
LB-UBS Commercial Mortgage Tru
N/A
LB-UBS Commercial Mortgage Trust 2006-C7
50180CAU4
1533718.19000000
PA
USD
4963.11000000
0.000154999837
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.44235000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A84H3
9239.94000000
PA
USD
10681.57000000
0.000333589546
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GJJU4
205906.69000000
PA
USD
227880.61000000
0.007116799238
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGLD4
3765269.72000000
PA
USD
4100733.94000000
0.128067500696
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B2HQ6
22000000.00000000
PA
USD
423170.00000000
0.013215762120
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Variable
1.66137700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHS86
15953378.55000000
PA
USD
17180989.27000000
0.536568913635
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
3138A2BX6
22436.15000000
PA
USD
24815.05000000
0.000774983571
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GBA0
36963.61000000
PA
USD
42870.95000000
0.001338876283
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
DEPOSITORY TRUST & CLEAR
MLDY5N6PZ58ZE60QU102
Depository Trust & Clearing Corp/The
249670AB6
813000.00000000
PA
USD
821638.13000000
0.025660075324
Long
DBT
CORP
US
N
2
N/A
Fixed
3.37500000
N
N
N
N
N
N
BMD2 Re-REMIC Trust
N/A
BMD2 Re-Remic Trust 2019-FRR1
055631EU5
3537000.00000000
PA
USD
2724400.07000000
0.085084063722
Long
ABS-MBS
CORP
US
N
2
2052-05-25
None
0.00000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216DQ0
1443000.00000000
PA
USD
1504945.32000000
0.047000022102
Long
DBT
CORP
US
N
2
2041-05-05
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M76Q4
33513.23000000
PA
USD
38411.16000000
0.001199595324
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413YL41
19168.21000000
PA
USD
21857.80000000
0.000682627514
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TDX2
31270.94000000
PA
USD
34470.07000000
0.001076513565
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.50000000
N
N
N
N
N
N
CUBESMART LP
549300MPHKO3I3FJRA97
CubeSmart LP
22966RAJ5
470000.00000000
PA
USD
468469.74000000
0.014630490451
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
2.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TBY1
2845000.00000000
PA
USD
2596677.59000000
0.081095241469
Long
ABS-MBS
CORP
US
N
2
2028-10-27
Fixed
2.43500000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2011-C5
92936JAN4
738835.78000000
PA
USD
737799.49000000
0.023041762299
Long
ABS-MBS
CORP
US
N
2
2044-11-15
Variable
5.52002400
N
N
N
N
N
N
Voya Emerging Markets Corporat
5493007WQXO53JSF1B65
Voya Emerging Markets Corporate Debt Fund
92913M302
10024686.97200000
NS
USD
99043907.28000000
3.093179379621
Long
EC
RF
US
N
1
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4
46645UAV9
38857616.30000000
PA
USD
922075.69000000
0.028796779015
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
0.59259300
N
N
N
N
N
N
TRITON CONTAINER
549300O4LZFLCX53XZ54
Triton Container International Ltd
89680YAA3
830000.00000000
PA
USD
824293.09000000
0.025742990747
Long
DBT
CORP
BM
N
2
2026-04-15
Fixed
2.05000000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust
93934FCF7
161234.59000000
PA
USD
162053.42000000
0.005060990735
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Fixed
5.50000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MBT6
1430000.00000000
PA
USD
1471632.19000000
0.045959640219
Long
DBT
CORP
JP
N
2
2024-09-27
Fixed
2.44800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413AJH7
3014.33000000
PA
USD
3440.77000000
0.000107456572
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413AH63
20318.13000000
PA
USD
23153.81000000
0.000723102405
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
549300AT2084FJB5UN46
Morgan Stanley Mortgage Loan Trust 2005-5AR
61748HLP4
2000000.00000000
PA
USD
2009274.80000000
0.062750426048
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
1.90188000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BU2
1604000.00000000
PA
USD
1767926.68000000
0.055213031285
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.50000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412VPZ5
15895.09000000
PA
USD
17590.02000000
0.000549343100
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414F4V0
361.17000000
PA
USD
397.56000000
0.000012415951
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CJ5
503000.00000000
PA
USD
572463.61000000
0.017878259073
Long
DBT
CORP
US
N
2
2121-05-15
Fixed
4.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BN53
742857.16000000
PA
USD
845181.69000000
0.026395349773
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.50000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2013-C11
92937EAN4
9020000.00000000
PA
USD
7545617.86000000
0.235652552610
Long
ABS-MBS
CORP
US
N
2
2045-03-15
Variable
4.23902400
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AZ3
500000.00000000
PA
USD
471779.82000000
0.014733865525
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
1.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-1
46648RAZ4
1551897.31000000
PA
USD
1564726.22000000
0.048867002639
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.68936300
N
N
N
N
N
N
SANTOS FINANCE LTD
213800BKUBSWG53XNS94
Santos Finance Ltd
803014AA7
1046000.00000000
PA
USD
1066106.54000000
0.033294917946
Long
DBT
CORP
AU
N
2
2031-04-29
Fixed
3.64900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GGR8
76548.30000000
PA
USD
88767.55000000
0.002772244782
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
UNITED STATES ULTRA BOND
000000000
530.00000000
NC
USD
2504618.30000000
0.078220194377
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
101971631.70000000
USD
2504618.30000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404ABG8
13330.28000000
PA
USD
15000.54000000
0.000468472642
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409VNM1
16600.11000000
PA
USD
18495.80000000
0.000577630959
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
6.00000000
N
N
N
N
N
N
NORTHERN NATURAL GAS CO
5493007M02M6CT9EXE41
Northern Natural Gas Co
665501AM4
679000.00000000
PA
USD
699332.28000000
0.021840416512
Long
DBT
CORP
US
N
2
2051-10-16
Fixed
3.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
383742Y31
1537551.08000000
PA
USD
237686.49000000
0.007423040648
Long
ABS-MBS
USGA
US
N
2
2038-04-20
Floating
6.29612000
N
N
N
N
N
N
SUMITOMO MITSUI TRUST BANK, LTD. (SINGAPORE)
N/A
SUMITOMO MITSUI TRUST BANK, LTD. (SINGAPORE)
000000000
750000.00000000
PA
USD
749979.00000000
0.023422133088
Long
DBT
CORP
US
N
2
2022-01-13
Fixed
0.14000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L1WN6
25022.51000000
PA
USD
28699.53000000
0.000896297377
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296P6M8
32896.31000000
PA
USD
38025.23000000
0.001187542581
Long
ABS-MBS
USGA
US
N
2
2038-11-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EC56
792955.16000000
PA
USD
874362.36000000
0.027306673338
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA (NEW YORK)
N/A
COMMONWEALTH BANK OF AUSTRALIA (NEW YORK)
000000000
625000.00000000
PA
USD
624892.52000000
0.019515634130
Long
DBT
CORP
US
N
2
2022-04-08
Fixed
0.13000000
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
462000.00000000
PA
USD
505763.50000000
0.015795188943
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CA4
2171000.00000000
PA
USD
2323993.15000000
0.072579201360
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.65000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAV3
589000.00000000
PA
USD
569404.15000000
0.017782710959
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
1.05000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375QLL1
810062.53000000
PA
USD
137138.81000000
0.004282897867
Long
ABS-MBS
USGA
US
N
2
2038-05-16
Floating
6.39250000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13645RBG8
1640000.00000000
PA
USD
1680210.72000000
0.052473628063
Long
DBT
CORP
CA
N
2
2041-12-02
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A83P3
5758031.11000000
PA
USD
1099398.73000000
0.034334645865
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Floating
5.99812000
N
N
N
N
N
N
ARES CLO Ltd
N/A
ARES XLVI CLO Ltd
04016UAE7
8000000.00000000
PA
USD
7966872.00000000
0.248808481684
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.35375000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468U6
1615000.00000000
PA
USD
1530502.63000000
0.047798186739
Long
DBT
CORP
US
N
2
2032-02-13
Fixed
1.79400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TCJ4
204332.56000000
PA
USD
221794.21000000
0.006926718621
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AMM44
71429.03000000
PA
USD
78368.74000000
0.002447485940
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
222000.00000000
PA
USD
237319.11000000
0.007411567229
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QRSU5
575996.54000000
PA
USD
614412.39000000
0.019188335633
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-LTV2
46651AAT9
114432.76000000
PA
USD
114959.72000000
0.003590236342
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
4.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
2500000.00000000
PA
USD
2755001.00000000
0.086039742555
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31383HWV2
13.41000000
PA
USD
14.80000000
0.000000462209
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VGS7
37851.29000000
PA
USD
43297.19000000
0.001352187923
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DS59
11326.38000000
PA
USD
13133.78000000
0.000410173009
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393F4B9
50438.25000000
PA
USD
51129.62000000
0.001596797729
Long
ABS-MBS
USGSE
US
N
2
2022-11-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371FW65
2999.97000000
PA
USD
3311.52000000
0.000103420045
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132FCAR6
659772.34000000
PA
USD
745099.37000000
0.023269740364
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HFJB6
550456.22000000
PA
USD
588879.34000000
0.018390928645
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Voya High Yield Bond Fund
OTPD0VW0B2EUAT57PE57
Voya High Yield Bond Fund
92913L593
17147682.31100000
NS
USD
137695888.96000000
4.300295657618
Long
EC
RF
US
N
1
N
N
N
DNB BANK ASA
N/A
DNB BANK ASA
000000000
250000.00000000
PA
USD
249924.51000000
0.007805238727
Long
DBT
CORP
US
N
2
2022-03-16
Fixed
0.14000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4A45
6255.93000000
PA
USD
7145.96000000
0.000223171083
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WET82
1309582.34000000
PA
USD
1363009.95000000
0.042567325818
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCY3
522000.00000000
PA
USD
628603.39000000
0.019631526030
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412WKY1
7836.90000000
PA
USD
8624.30000000
0.000269340211
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
31411ABC8
30912.47000000
PA
USD
35828.36000000
0.001118933485
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAT8
803000.00000000
PA
USD
809403.82000000
0.025277993109
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371M3X3
3013.60000000
PA
USD
3497.90000000
0.000109240764
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFGS5
665261.73000000
PA
USD
36105.08000000
0.001127575557
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Floating
5.94025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416SSK8
44986.85000000
PA
USD
49589.72000000
0.001548706059
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ARBU1
20110106.49000000
PA
USD
3621884.48000000
0.113112847590
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
Fixed
5.50000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
5500000.00000000
PA
USD
5962686.95000000
0.186217010489
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEF5
1250000.00000000
PA
USD
1355041.04000000
0.042318453689
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AEB93
17250.38000000
PA
USD
18481.26000000
0.000577176869
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YBD1
635000.00000000
PA
USD
632404.61000000
0.019750239595
Long
DBT
CORP
US
N
2
2051-12-01
Fixed
3.65000000
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BA3
690000.00000000
PA
USD
819544.18000000
0.025594680459
Long
DBT
CORP
US
N
2
2035-08-15
Fixed
5.70000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAE6
2631000.00000000
PA
USD
2311276.14000000
0.072182044238
Long
ABS-MBS
CORP
US
N
2
2028-10-27
None
0.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-151803.13000000
-0.00474087022
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-122418536.85000000
MXN
5794884.06000000
USD
2022-02-04
-151803.13000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCE9
1000000.00000000
PA
USD
1161649.54000000
0.036278762643
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.99900000
N
N
N
N
N
N
OAKTREE SPECIALTY LEND
549300J6MGCEU5928620
Oaktree Specialty Lending Corp
67401PAC2
1186000.00000000
PA
USD
1177542.37000000
0.036775101846
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.70000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-8
46591KBU6
1917079.41000000
PA
USD
1939523.43000000
0.060572063892
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.45287200
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust
93363CAC3
257549.17000000
PA
USD
253181.34000000
0.007906950782
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
1.72500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ALU47
44736.40000000
PA
USD
47965.34000000
0.001497976046
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
N/A
Benefit Street Partners CLO XVIII Ltd
08186PAL7
1950000.00000000
PA
USD
1949996.10000000
0.060899129411
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
1.60500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L4R71
205312.82000000
PA
USD
234754.16000000
0.007331462852
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DN4
1434000.00000000
PA
USD
1640124.29000000
0.051221713411
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.25000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413KH79
28255.59000000
PA
USD
32744.45000000
0.001022621787
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.00000000
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAJ1
1000000.00000000
PA
USD
1192216.37000000
0.037233376519
Long
DBT
CORP
US
N
2
2054-09-15
Fixed
5.00000000
N
N
N
N
N
N
REGENERON PHARMACEUTICAL
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals Inc
75886FAE7
1480000.00000000
PA
USD
1401276.06000000
0.043762391175
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411AGB5
37613.90000000
PA
USD
43608.96000000
0.001361924620
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.00000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ2
36257LAA5
403456.76000000
PA
USD
404264.96000000
0.012625350438
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419DP70
15410.25000000
PA
USD
16883.34000000
0.000527273212
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B36L7
27650000.00000000
PA
USD
566534.68000000
0.017693096305
Long
ABS-MBS
USGSE
US
N
2
2041-05-25
Variable
1.59118500
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2005-A1
16162WPB9
187945.36000000
PA
USD
179837.00000000
0.005616378789
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
2.77648300
N
N
N
N
N
N
American Money Management Corp
549300I1YCI83LUUYL82
AMMC CLO 16 Ltd
00176JAX4
650000.00000000
PA
USD
644561.45000000
0.020129902391
Long
ABS-CBDO
CORP
KY
N
2
2029-04-14
Floating
2.07675000
N
N
N
N
N
N
Navient Student Loan Trust
549300ZUZB9UCBWEBN39
Navient Private Education Refi Loan Trust 2019-A
63941BAB1
1250935.63000000
PA
USD
1277420.44000000
0.039894332449
Long
ABS-O
CORP
US
N
2
2043-01-15
Fixed
3.42000000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
064159TF3
1545000.00000000
PA
USD
1581655.87000000
0.049395722130
Long
DBT
CORP
CA
N
2
2025-02-03
Fixed
2.20000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2B6
475000.00000000
PA
USD
477878.80000000
0.014924339020
Long
DBT
CORP
CH
N
2
2022-04-08
Fixed
2.80000000
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCE4
1273000.00000000
PA
USD
1365473.08000000
0.042644250317
Long
DBT
CORP
US
N
2
2052-04-22
Fixed
3.32800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXK5
151044.98000000
PA
USD
173084.45000000
0.005405494051
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.50000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAR5
481000.00000000
PA
USD
543708.41000000
0.016980223100
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312926Z43
22417.16000000
PA
USD
25026.52000000
0.000781587860
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
UNITED AIR 2013-1 A PTT
N/A
United Airlines 2013-1 Class A Pass Through Trust
909319AA3
130591.72000000
PA
USD
136736.37000000
0.004270329510
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411UV81
320.80000000
PA
USD
353.01000000
0.000011024638
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-64001.05000000
-0.00199877744
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-81522390850.23000000
IDR
5661316.46000000
USD
2022-01-21
-64001.05000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2007-A1
46630GAV7
62277.43000000
PA
USD
63806.38000000
0.001992697827
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
2.41873000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Triangle Re 2021-3 Ltd
89600HAC3
6500000.00000000
PA
USD
6457755.85000000
0.201678202954
Long
ABS-MBS
CORP
BM
N
2
2034-02-25
Floating
2.94967000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36212URW3
13409.30000000
PA
USD
15211.06000000
0.000475047263
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398EKB9
55957.09000000
PA
USD
56609.46000000
0.001767935243
Long
ABS-MBS
USGSE
US
N
2
2038-03-15
Floating
3.20975000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXV Ltd
83614DAC9
2060000.00000000
PA
USD
2060158.62000000
0.064339547349
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
1.52375000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA (NEW YORK)
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA (NEW YORK)
21684LCK6
725000.00000000
PA
USD
724889.21000000
0.022638569281
Long
DBT
CORP
US
N
2
2022-06-21
Floating
0.19923100
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WT44
15281.17000000
PA
USD
16902.41000000
0.000527868775
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 8 Ltd
67707GAJ8
1500000.00000000
PA
USD
1483632.00000000
0.046334398908
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
2.02225000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust
92922F2Q0
37707285.34000000
PA
USD
1449226.72000000
0.045259908759
Long
ABS-MBS
CORP
US
N
2
2045-08-25
Variable
1.79966800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404VFS2
5219.86000000
PA
USD
5932.62000000
0.000185278008
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.50000000
N
N
N
N
N
N
INDIANA MICHIGAN POWER
JHR9V15J0ZRG02MIRD06
Indiana Michigan Power Co
454889AU0
1799000.00000000
PA
USD
1853876.10000000
0.057897264782
Long
DBT
CORP
US
N
2
2051-05-01
Fixed
3.25000000
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJG5
3375000.00000000
PA
USD
3336124.83000000
0.104188463635
Long
DBT
CORP
US
N
2
2025-09-25
Fixed
0.98100000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EF3
930000.00000000
PA
USD
916757.09000000
0.028630677088
Long
DBT
CORP
US
N
2
2051-02-08
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392CRC0
15692.40000000
PA
USD
15870.86000000
0.000495653071
Long
ABS-MBS
USGSE
US
N
2
2032-04-25
Floating
1.00188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A7ZJ0
49069.48000000
PA
USD
54280.80000000
0.001695210294
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDQ1
17214200.00000000
PA
USD
17198061.69000000
0.537102091889
Long
DBT
UST
US
N
2
2026-12-31
Fixed
1.25000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-17436.75000000
-0.00054455641
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-6364323.12000000
RON
1444601.12000000
USD
2022-01-21
-17436.75000000
N
N
N
OCTAGON INVESTMENT PARTNERS 30
549300CDNDWWERRAUA43
Octagon Investment Partners 30 Ltd
675920AN2
3950000.00000000
PA
USD
3931391.55000000
0.122778872619
Long
ABS-CBDO
CORP
KY
N
2
2030-03-17
Floating
2.08150000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415PM96
66397.64000000
PA
USD
76037.64000000
0.002374684789
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust
93362FAD5
1629391.13000000
PA
USD
1629302.17000000
0.050883734434
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Variable
2.84702400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YY84
48382.52000000
PA
USD
52320.54000000
0.001633990619
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJQ76
2341352.03000000
PA
USD
2572952.63000000
0.080354301828
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
EMPOWER FINANCE 2020 LP
N/A
Empower Finance 2020 LP
29248HAA1
928000.00000000
PA
USD
900996.82000000
0.028138477784
Long
DBT
CORP
US
N
2
2027-09-17
Fixed
1.35700000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4PJ1
8140843.94000000
PA
USD
1535684.73000000
0.047960025718
Long
ABS-MBS
USGSE
US
N
2
2049-05-25
Floating
5.94812000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398KAH3
4378263.42000000
PA
USD
886861.04000000
0.027697011929
Long
ABS-MBS
USGSE
US
N
2
2039-10-15
Floating
6.09025000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WHB1
9252146.83000000
PA
USD
1173607.99000000
0.036652229643
Long
ABS-MBS
USGSE
US
N
2
2044-02-15
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411XMB8
758.94000000
PA
USD
835.94000000
0.000026106728
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
IDAHO POWER CO
TN0LL73P2C8X3W6KM391
Idaho Power Co
45138LBF9
656000.00000000
PA
USD
808925.80000000
0.025263064361
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUAV3
18707531.50000000
PA
USD
3680192.37000000
0.114933825457
Long
ABS-MBS
USGSE
US
N
2
2046-11-25
Floating
5.94812000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EXEW9
348565.76000000
PA
USD
366069.59000000
0.011432494318
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393EAA7
574355.48000000
PA
USD
118435.49000000
0.003698785978
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Fixed
6.00000000
N
N
N
N
N
N
COLLAT CP V CO LLC
N/A
COLLAT CP V CO LLC
000000000
600000.00000000
PA
USD
599098.80000000
0.018710086318
Long
DBT
CORP
US
N
2
2022-06-08
Fixed
0.36000000
N
N
N
N
N
Octagon Investment Partners XV
549300VYCI9AZ4NZBX86
Octagon Investment Partners XV Ltd
67590EAS3
4000000.00000000
PA
USD
3996896.00000000
0.124824601827
Long
ABS-CBDO
CORP
KY
N
2
2030-07-19
Floating
1.47363000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A1
466247LZ4
5135.90000000
PA
USD
5166.25000000
0.000161343977
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
2.57681800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417WUE9
148508.92000000
PA
USD
163726.64000000
0.005113246040
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
31410LDQ2
3897.99000000
PA
USD
4292.96000000
0.000134070794
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJA8
323000.00000000
PA
USD
389506.44000000
0.012164436173
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08300000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13645RBF0
400000.00000000
PA
USD
408281.54000000
0.012750789778
Long
DBT
CORP
CA
N
2
2031-12-02
Fixed
2.45000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YWB9
12579.73000000
PA
USD
13476.76000000
0.000420884406
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J86J7
7423969.63000000
PA
USD
7984965.16000000
0.249373538041
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410UHR6
21013.31000000
PA
USD
24062.48000000
0.000751480520
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
NEWCREST FINANCE PTY LTD
549300I0XDZ4K7PDSS04
Newcrest Finance Pty Ltd
65120FAD6
702000.00000000
PA
USD
736038.20000000
0.022986756534
Long
DBT
CORP
AU
N
2
2030-05-13
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411FKX1
1421.91000000
PA
USD
1616.56000000
0.000050485791
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296QDB2
7765.39000000
PA
USD
8744.21000000
0.000273085046
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AHX27
997119.28000000
PA
USD
1126730.19000000
0.035188217890
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A74E5
22528.36000000
PA
USD
24910.51000000
0.000777964823
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407F7B0
4721.85000000
PA
USD
5200.44000000
0.000162411744
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
6.00000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BV7
1000000.00000000
PA
USD
1066770.46000000
0.033315652424
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411JCP9
483856.98000000
PA
USD
595874.18000000
0.018609380193
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416NHN5
12995.78000000
PA
USD
13916.43000000
0.000434615470
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419FXQ4
102512.68000000
PA
USD
110056.22000000
0.003437098148
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411AY33
26375.76000000
PA
USD
30566.01000000
0.000954588267
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAH6
537000.00000000
PA
USD
526155.95000000
0.016432053012
Long
DBT
CORP
GB
N
2
2025-09-02
Fixed
1.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410CED0
5319.33000000
PA
USD
5854.75000000
0.000182846097
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2002-AR2 Trust
929227LE4
4803.59000000
PA
USD
4922.85000000
0.000153742501
Long
ABS-MBS
CORP
US
N
2
2034-02-27
Floating
1.47500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GAQ6
1215216.53000000
PA
USD
1373480.13000000
0.042894313573
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.00000000
N
N
N
N
N
N
ENTERGY CORP
4XM3TW50JULSLG8BNC79
Entergy Corp
29364GAM5
1626000.00000000
PA
USD
1576265.36000000
0.049227374426
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
0.90000000
N
N
N
N
N
N
VITERRA FINANCE BV
213800HBZGEIZLKJBI17
Viterra Finance BV
92852LAA7
1065000.00000000
PA
USD
1059236.59000000
0.033080366761
Long
DBT
CORP
NL
N
2
2026-04-21
Fixed
2.00000000
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
1160000.00000000
PA
USD
1224211.50000000
0.038232596755
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CDB0
36165.99000000
PA
USD
36398.89000000
0.001136751356
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
1.63700000
N
N
N
N
N
N
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1263.40000000
0.000039456468
N/A
DFE
CORP
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
-4202365.45000000
PHP
83230.81000000
USD
2022-01-21
1263.40000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAP4
1625000.00000000
PA
USD
1864840.35000000
0.058239682533
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHM4
1000000.00000000
PA
USD
1115658.31000000
0.034842438812
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.27100000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CT0
768000.00000000
PA
USD
840898.85000000
0.026261595029
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5GQ7
28403.63000000
PA
USD
32974.48000000
0.001029805713
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2016-K60 Mortgage Trust
302947AJ5
8285000.00000000
PA
USD
6169901.64000000
0.192688405084
Long
ABS-MBS
CORP
US
N
2
2049-12-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2JJ9
2662.96000000
PA
USD
2944.16000000
0.000091947250
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBM3
1380000.00000000
PA
USD
1431082.18000000
0.044693247785
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
3.55000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAX3
851000.00000000
PA
USD
974435.07000000
0.030431982623
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
4.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR UNITED STATES ULTRA BOND
000000000
-197.00000000
NC
USD
-396452.69000000
-0.01238137023
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
-28451734.81000000
USD
-396452.69000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2MZ9
36331.74000000
PA
USD
40159.04000000
0.001254182289
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F3B9
12529.23000000
PA
USD
14534.64000000
0.000453922406
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Symphony CLO Ltd
5493006CLZCEH6WYKR81
Symphony CLO XXV Ltd
87167WAG0
8200000.00000000
PA
USD
8199950.80000000
0.256087622399
Long
ABS-CBDO
CORP
KY
N
2
2034-04-19
Floating
2.17363000
N
N
N
N
N
N
OVERSEA-CHINESE BANKING CORP LTD. (NEW YORK)
N/A
OVERSEA-CHINESE BANKING CORP LTD. (NEW YORK)
000000000
425000.00000000
PA
USD
425058.24000000
0.013274732582
Long
DBT
CORP
US
N
2
2022-03-17
Fixed
0.25000000
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
1166000.00000000
PA
USD
1284270.12000000
0.040108250594
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KYP7
56510.49000000
PA
USD
65312.90000000
0.002039747027
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
5.00000000
N
N
N
N
N
N
BBCCRE Trust
N/A
BBCCRE Trust 2015-GTP
05490TAN2
22800000.00000000
PA
USD
481380.96000000
0.015033712826
Long
ABS-MBS
CORP
US
N
2
2033-08-10
Variable
0.59660000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DP79
38134.21000000
PA
USD
43283.03000000
0.001351745701
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388W5H5
5208.72000000
PA
USD
5753.40000000
0.000179680898
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EG6F6
64130.58000000
PA
USD
68683.15000000
0.002145001233
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
4.50000000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DZ4
1875000.00000000
PA
USD
1911357.99000000
0.059692446351
Long
DBT
CORP
US
N
2
2025-03-10
Fixed
2.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022614
16000000.00000000
PA
USD
16386232.32000000
0.511748347918
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
2.50000000
N
N
N
N
N
N
BLACKSTONE SECURED LEND
549300KM7KWQHVBNH962
Blackstone Secured Lending Fund
09261XAF9
940000.00000000
PA
USD
917127.87000000
0.028642256690
Long
DBT
CORP
US
N
2
2028-09-30
Fixed
2.85000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBM1
450000.00000000
PA
USD
433226.17000000
0.013529820183
Long
DBT
CORP
US
N
2
2030-08-10
Fixed
1.74900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411JCE4
198182.26000000
PA
USD
233153.56000000
0.007281475497
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HGR74
240930.08000000
PA
USD
256980.53000000
0.008025600950
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAF3
536000.00000000
PA
USD
572144.23000000
0.017868284713
Long
DBT
CORP
US
N
2
2050-06-22
Fixed
4.00000000
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCC7
1576000.00000000
PA
USD
1682104.20000000
0.052532762172
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M44X8
8614.56000000
PA
USD
9806.48000000
0.000306260148
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
AEP TEXAS INC
5493001L78U618KXNZ75
AEP Texas Inc
0010EPAN8
1198000.00000000
PA
USD
1279828.79000000
0.039969546147
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
3.85000000
N
N
N
N
N
N
ROCHE HOLDINGS INC
PVJRP0EQNV6OGDPZGY95
Roche Holdings Inc
771196BY7
480000.00000000
PA
USD
472290.28000000
0.014749807387
Long
DBT
CORP
US
N
2
2051-12-13
Fixed
2.60700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ALY45
518053.57000000
PA
USD
566892.97000000
0.017704285840
Long
ABS-MBS
USGSE
US
N
2
2042-01-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7ZR0
54144.16000000
PA
USD
62032.47000000
0.001937297935
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
5.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAH3
2462000.00000000
PA
USD
2975878.27000000
0.092937824787
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
AGL CLO 1 Ltd.
54930005OE1IFBESDA27
AGL CLO 12 Ltd
00120BAG5
2000000.00000000
PA
USD
1969726.00000000
0.061515301789
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.98010000
N
N
N
N
N
N
UNION ELECTRIC CO
QMPJLLDULY5C1M8PNY21
Union Electric Co
906548CJ9
998000.00000000
PA
USD
1131123.05000000
0.035325408600
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292LDE2
380218.43000000
PA
USD
420798.80000000
0.013141708630
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2015-3
81746LCD2
774636.04000000
PA
USD
786773.58000000
0.024571241996
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Variable
3.72325700
N
N
N
N
N
N
UNITED AIRLINES 2012-1 A
N/A
United Airlines 2012-1 Class A Pass Through Trust
210795PZ7
917829.34000000
PA
USD
952567.16000000
0.029749039369
Long
DBT
CORP
US
N
2
2024-04-11
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410PZ30
57890.61910000
PA
USD
63723.11000000
0.001990097273
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AF3C2
11577.65000000
PA
USD
12408.60000000
0.000387525358
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QSYY8
114501.73000000
PA
USD
124711.89000000
0.003894800368
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
UNITED AIR 2019-2 A PTT
N/A
United Airlines 2019-2 Class A Pass Through Trust
90932MAA3
376683.78000000
PA
USD
374447.03000000
0.011694124997
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
2.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193BMR4
937982.65000000
PA
USD
1010244.75000000
0.031550332725
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DRS5
93268.03000000
PA
USD
105454.67000000
0.003293389969
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A8HP6
883181.01000000
PA
USD
938582.07000000
0.029312279621
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Fixed
4.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR1 Trust
939336X40
21734.45000000
PA
USD
21743.71000000
0.000679064439
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
0.74188000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335HXD0
2036.41000000
PA
USD
2229.27000000
0.000069620960
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.50000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFP4
550000.00000000
PA
USD
596897.50000000
0.018641338871
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.50000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404FWY5
9671.59000000
PA
USD
10966.20000000
0.000342478650
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295PZ70
102297.90000000
PA
USD
118162.40000000
0.003690257272
Long
ABS-MBS
USGA
US
N
2
2038-03-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AULV7
233472.90000000
PA
USD
258837.82000000
0.008083604832
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AC2
750000.00000000
PA
USD
733416.97000000
0.022904894511
Long
DBT
CORP
CH
N
2
2027-01-30
Fixed
1.36400000
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DB0
245000.00000000
PA
USD
301375.68000000
0.009412078587
Long
DBT
CORP
US
N
2
2055-01-15
Fixed
4.37500000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust
93935YAA8
1346134.41000000
PA
USD
851380.07000000
0.026588927568
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.30188000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAQ2
31000.00000000
PA
USD
35613.17000000
0.001112213018
Long
DBT
CORP
US
N
2
2051-03-24
Fixed
4.40000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AE8
1000000.00000000
PA
USD
968774.58000000
0.030255203340
Long
DBT
CORP
CH
N
2
2032-02-11
Fixed
2.09500000
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
Nordea Bank Abp
65559CAD3
1470000.00000000
PA
USD
1397235.00000000
0.043636187315
Long
DBT
CORP
FI
N
2
N/A
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403C6L0
139294.92000000
PA
USD
157614.61000000
0.004922364989
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-53634.65000000
-0.00167503078
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-13034344.01000000
MYR
3076023.98000000
USD
2022-01-21
-53634.65000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398WQQ0
4557292.59000000
PA
USD
5172371.23000000
0.161535146095
Long
ABS-MBS
USGSE
US
N
2
2034-12-15
Fixed
5.50000000
N
N
N
N
N
N
MOSAIC CO
2YD5STGSJNMUB7H76907
Mosaic Co/The
61945CAD5
2445000.00000000
PA
USD
3036364.33000000
0.094826827742
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
5.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QSMA3
579379.69000000
PA
USD
617636.83000000
0.019289036136
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GCH4
45820.07000000
PA
USD
53180.35000000
0.001660842817
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410QR94
11574.25000000
PA
USD
13411.37000000
0.000418842251
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AHVA3
8531373.45000000
PA
USD
1702889.44000000
0.053181893225
Long
ABS-MBS
USGSE
US
N
2
2041-11-15
Floating
6.44025000
N
N
N
N
N
N
KILROY REALTY LP
5493008CT3N3JR7P1552
Kilroy Realty LP
49427RAR3
400000.00000000
PA
USD
389315.32000000
0.012158467421
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
2.65000000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VII Ltd
67389JAC2
2900000.00000000
PA
USD
2858942.96000000
0.089285890008
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
3.39967000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KCB4
1275000.00000000
PA
USD
1297889.79000000
0.040533598135
Long
DBT
CORP
US
N
2
2082-03-15
Fixed
3.80000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407RY99
4036.10000000
PA
USD
4448.66000000
0.000138933365
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415MY33
1032.55000000
PA
USD
1136.91000000
0.000035506137
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BX7
1612000.00000000
PA
USD
1655724.23000000
0.051708905547
Long
DBT
CORP
US
N
2
2061-08-12
Fixed
3.20000000
N
N
N
N
N
US AIRWAYS 2012-1A PTT
N/A
US Airways 2012-1 Class A Pass Through Trust
90345WAA2
772023.18000000
PA
USD
810117.43000000
0.025300279425
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395PBA9
619575.82250000
PA
USD
692487.13000000
0.021626639840
Long
ABS-MBS
USGSE
US
N
2
2035-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138APZN1
166912.77000000
PA
USD
183285.35000000
0.005724072088
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VBG8
2000000.00000000
PA
USD
2239324.90000000
0.069934979295
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
3.85000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AL7
1416000.00000000
PA
USD
1483438.56000000
0.046328357702
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.87500000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBF1
450000.00000000
PA
USD
446130.46000000
0.013932826131
Long
DBT
CORP
US
N
2
2051-12-10
Fixed
2.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810ST6
920000.00000000
PA
USD
838709.37000000
0.026193216726
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-3
46649TAY2
1376465.96000000
PA
USD
1408803.27000000
0.043997468843
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Variable
3.73913700
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2006-6
073868BE0
984235.69000000
PA
USD
640451.51000000
0.020001547382
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
2.88944300
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC42
36257UAN7
105351680.21000000
PA
USD
5439317.78000000
0.169871989689
Long
ABS-MBS
CORP
US
N
2
2052-09-01
Variable
0.80832900
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GK2F2
1101134.24000000
PA
USD
1206308.03000000
0.037673464490
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WRU8
9222753.79000000
PA
USD
1036442.93000000
0.032368511978
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
4.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B18 Mortgage Trust
08163ABP7
3160000.00000000
PA
USD
3168632.49000000
0.098957613333
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Fixed
3.75900000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2017-6
46649HBA9
1006918.48000000
PA
USD
1026406.18000000
0.032055060409
Long
ABS-MBS
CORP
US
N
2
2048-12-25
Variable
3.79522900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410EZ76
14837.56000000
PA
USD
16375.22000000
0.000511404428
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
523.00000000
NC
USD
70358.73000000
0.002197330242
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
83838453.77000000
USD
70358.73000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KHA5
35680.17000000
PA
USD
40353.93000000
0.001260268779
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.00000000
N
N
N
N
N
N
MITSUBISHI UFJ TRUST AND BANKING CORP (NEW YORK)
N/A
MITSUBISHI UFJ TRUST AND BANKING CORP (NEW YORK)
000000000
400000.00000000
PA
USD
399896.79000000
0.012488930806
Long
DBT
CORP
US
N
2
2022-04-18
Fixed
0.18000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BN61
37139.29000000
PA
USD
42178.66000000
0.001317255800
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DC6
611000.00000000
PA
USD
652313.95000000
0.020372015953
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
3.62500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411WZQ3
1576.16000000
PA
USD
1748.49000000
0.000054606016
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BS2
1020000.00000000
PA
USD
1006544.48000000
0.031434771867
Long
DBT
CORP
US
N
2
2031-11-10
Fixed
2.12500000
N
N
N
N
N
N
CBRE SERVICES INC
549300CTE3HOMEUMM603
CBRE Services Inc
12505BAE0
1379000.00000000
PA
USD
1388414.41000000
0.043360716891
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QRUP3
429767.87000000
PA
USD
455405.63000000
0.014222493263
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AE3
4243000.00000000
PA
USD
4562717.01000000
0.142495409944
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QSWF1
693030.15000000
PA
USD
742670.61000000
0.023193889253
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
Unum Group
91529YAR7
908000.00000000
PA
USD
923680.69000000
0.028846903783
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
4.12500000
N
N
N
N
N
N
Octagon Investment Partners XV
54930007Y57X4ONHQV20
Octagon Investment Partners XVII Ltd
67590GBG3
4250000.00000000
PA
USD
4251024.25000000
0.132761124974
Long
ABS-CBDO
CORP
KY
N
2
2031-01-25
Floating
1.12388000
N
N
N
N
N
N
Dryden Senior Loan Fund
549300K4FV16ICO2FF98
Dryden XXVIII Senior Loan Fund
26251BAL0
7460000.00000000
PA
USD
7461402.48000000
0.233022473850
Long
ABS-CBDO
CORP
KY
N
2
2030-08-15
Floating
1.35600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A4KC2
1222473.47000000
PA
USD
42350.52000000
0.001322623054
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Floating
6.51812000
N
N
N
N
N
N
BAXTER INTERNATIONAL INC
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813CM9
1150000.00000000
PA
USD
1159256.49000000
0.036204026769
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
2.27200000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CFD1
4916732.67000000
PA
USD
5159891.01000000
0.161145384017
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31395QJ76
278201.13000000
PA
USD
38294.00000000
0.001195936372
Long
ABS-MBS
USGSE
US
N
2
2043-08-25
Fixed
3.50000000
N
N
N
N
N
N
LLOYDS BANK CORPORATE MARKETS PLC N 0.24% CP 22/02/2022
N/A
LLOYDS BANK CORPORATE MARKETS PLC N 0.24% CP 22/02/2022
000000000
750000.00000000
PA
USD
750131.26000000
0.023426888227
Long
DBT
CORP
US
N
2
2022-02-22
Fixed
0.24000000
N
N
N
N
N
NATIONAL AUSTRALIA BANK
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd
632525AS0
1575000.00000000
PA
USD
1671338.66000000
0.052196550211
Long
DBT
CORP
AU
N
2
2034-08-02
Fixed
3.93300000
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AW9
1250000.00000000
PA
USD
1371062.23000000
0.042818801625
Long
DBT
CORP
GB
N
2
2026-03-08
Fixed
4.30000000
N
N
N
N
N
N
MAIN STREET CAPITAL CORP
5493001FS9QJLJNF3E20
Main Street Capital Corp
56035LAE4
3310000.00000000
PA
USD
3323176.41000000
0.103784079491
Long
DBT
CORP
US
N
2
2026-07-14
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296DP28
717250.76000000
PA
USD
828494.69000000
0.025874208334
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
5.00000000
N
N
N
N
N
N
BRITISH AIR 20-1 A PTT
N/A
British Airways 2020-1 Class A Pass Through Trust
11044MAA4
511602.07000000
PA
USD
546167.75000000
0.017057029235
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.25000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-3
46650QAC2
55770.91000000
PA
USD
56195.98000000
0.001755022104
Long
ABS-MBS
CORP
US
N
2
2049-09-25
Variable
4.00000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CW7
1423000.00000000
PA
USD
1718504.75000000
0.053669565372
Long
DBT
CORP
US
N
2
2038-11-16
Fixed
4.45000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412P4D0
67039.99000000
PA
USD
71823.52000000
0.002243076198
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411G6F4
13444.11000000
PA
USD
15375.10000000
0.000480170296
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJQN3
141244.27000000
PA
USD
156407.49000000
0.004884666166
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WDQ6
2162155.00000000
PA
USD
448785.54000000
0.014015745302
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
5.99812000
N
N
N
N
N
N
ECOLAB INC
82DYEISM090VG8LTLS26
Ecolab Inc
278865BN9
580000.00000000
PA
USD
570861.97000000
0.017828239239
Long
DBT
CORP
US
N
2
2051-12-15
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397NUJ2
1466269.54000000
PA
USD
1611568.64000000
0.050329909461
Long
ABS-MBS
USGSE
US
N
2
2036-10-25
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W93Z1
84923.35000000
PA
USD
92967.43000000
0.002903408653
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BMS4
10575.35620000
PA
USD
12275.63000000
0.000383372653
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJE0
1000000.00000000
PA
USD
964245.87000000
0.030113769982
Long
DBT
CORP
US
N
2
2041-06-19
Fixed
2.67600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36176SAL4
47445.98000000
PA
USD
53418.40000000
0.001668277210
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
5.00000000
N
N
N
N
N
N
Cedar Funding Ltd
549300PTCF9P2JDL1E69
Cedar Funding VIII Clo Ltd
15032EAN9
3000000.00000000
PA
USD
2995728.00000000
0.093557739501
Long
ABS-CBDO
CORP
KY
N
2
2034-10-17
Floating
1.57225000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6JS4
1182715.61000000
PA
USD
160015.04000000
0.004997331342
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Fixed
5.00000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AU3
1500000.00000000
PA
USD
1616884.28000000
0.050495918946
Long
DBT
CORP
US
N
2
2042-08-21
Fixed
3.87500000
N
N
N
N
N
N
MYLAN INC
30ZMPDNA1RHIBH89C294
Mylan Inc
628530BJ5
1627000.00000000
PA
USD
2018990.26000000
0.063053843607
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
5.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403VRB7
358.31000000
PA
USD
398.02000000
0.000012430317
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398RKF1
2418581.99000000
PA
USD
468948.29000000
0.014645435752
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Floating
6.31812000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDR9
39983700.00000000
PA
USD
39994633.14000000
1.249047800330
Long
DBT
UST
US
N
2
2023-12-31
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411REN4
28836.84000000
PA
USD
31769.42000000
0.000992171225
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407VTH8
2497.46000000
PA
USD
2753.51000000
0.000085993178
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414PU64
19380.69000000
PA
USD
22460.22000000
0.000701441323
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAG1
396000.00000000
PA
USD
395752.25000000
0.012359495225
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
2.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398SWY5
11969185.37000000
PA
USD
2307783.42000000
0.072072965247
Long
ABS-MBS
USGSE
US
N
2
2040-12-25
Floating
5.92812000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXIX Ltd
83614VAG0
2600000.00000000
PA
USD
2602355.60000000
0.081272567908
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Floating
2.42388000
N
N
N
N
N
N
CONOCOPHILLIPS
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825CAZ7
1334000.00000000
PA
USD
1339650.00000000
0.041837785581
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.40000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QPHT4
363139.65000000
PA
USD
384054.75000000
0.011994177794
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.50000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBD1
500000.00000000
PA
USD
587552.95000000
0.018349504974
Long
DBT
CORP
GB
N
2
2043-02-19
Fixed
4.37500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412N3V6
28528.26000000
PA
USD
31553.08000000
0.000985414843
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307M2M7
461504.44000000
PA
USD
481045.32000000
0.015023230659
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AHX8
56593.04000000
PA
USD
65667.77000000
0.002050829754
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397QPY8
654653.86000000
PA
USD
730342.12000000
0.022808865761
Long
ABS-MBS
USGSE
US
N
2
2041-02-25
Fixed
5.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2012-K17 Mortgage Trust
30263SAA5
102687002.00000000
PA
USD
102.69000000
0.000003207048
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Fixed
0.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402V4E7
222175.44000000
PA
USD
246459.53000000
0.007697026066
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F2G9
10999.47000000
PA
USD
12485.98000000
0.000389941965
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415LCG0
54768.67000000
PA
USD
60355.56000000
0.001884927389
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.00000000
N
N
N
N
N
N
Cedar Funding Ltd
549300PPJP6KEORGHQ85
Cedar Funding IV CLO Ltd
150323BE2
3250000.00000000
PA
USD
3229807.75000000
0.100868140270
Long
ABS-CBDO
CORP
KY
N
2
2034-07-23
Floating
2.12388000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FL5
539000.00000000
PA
USD
536696.43000000
0.016761236263
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
2.00000000
N
N
N
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2006-WM4
81377XAB8
52981.78000000
PA
USD
19783.85000000
0.000617857256
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.26188000
N
N
N
N
N
N
BLACK HILLS CORP
3MGELCRSTNSAMJ962671
Black Hills Corp
092113AT6
705000.00000000
PA
USD
698029.81000000
0.021799739872
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.50000000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL
000000000
10245308.00000000
PA
USD
10245308.00000000
0.319964915700
Long
RA
CORP
US
N
2
Repurchase
Y
0.05000000
2022-01-03
10467860.78095228
USD
10450214.08674603
USD
AMBS
5.12265400
USD
5.12470306
USD
UST
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBF8
755000.00000000
PA
USD
892941.70000000
0.027886913284
Long
DBT
CORP
US
N
2
2040-03-19
Fixed
4.22700000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAH4
863000.00000000
PA
USD
944848.36000000
0.029507978272
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
5.50000000
N
N
N
N
N
N
First Horizon Mortgage Pass-Th
N/A
First Horizon Mortgage Pass-Through Trust 2005-AR3
32051GQL2
24149.29000000
PA
USD
19159.46000000
0.000598357316
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.77305500
N
N
N
N
N
N
PERKINELMER INC
549300IKL1SDPFI7N655
PerkinElmer Inc
714046AM1
237000.00000000
PA
USD
231689.95000000
0.007235766393
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
1.90000000
N
N
N
N
N
N
SCHLUMBERGER INVESTMENT
529900EZ29I5KXPV2J32
Schlumberger Investment SA
806854AD7
1500000.00000000
PA
USD
1509596.90000000
0.047145292737
Long
DBT
CORP
LU
N
2
2022-08-01
Fixed
2.40000000
N
N
N
N
N
KYNDRYL HOLDINGS INC
549300LQ4LWX2R8ZV130
Kyndryl Holdings Inc
50155QAE0
505000.00000000
PA
USD
490382.56000000
0.015314836261
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
3.15000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NTU9
12312.75000000
PA
USD
13411.96000000
0.000418860677
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBR6
381000.00000000
PA
USD
384387.17000000
0.012004559398
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.18200000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
560000.00000000
PA
USD
681899.75000000
0.021295991884
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F5Y7
13447.21000000
PA
USD
15593.88000000
0.000487002879
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
DUQUESNE LIGHT HOLDINGS
4CUJ1D8WDXK9X7QI6B93
Duquesne Light Holdings Inc
266233AH8
868000.00000000
PA
USD
850474.08000000
0.026560633151
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.53200000
N
N
N
N
N
N
Voya Emerging Markets Local Cu
549300ZQOPFIB5V6CL41
Voya Emerging Markets Local Currency Debt Fund
92913M500
8761396.63900000
NS
USD
53882589.33000000
1.682774022282
Long
EC
RF
US
N
1
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587DJ3
2295000.00000000
PA
USD
2300737.50000000
0.071852918451
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
3.75000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K97D0
1655.04000000
PA
USD
1827.15000000
0.000057062598
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111EH2
491000.00000000
PA
USD
612679.85000000
0.019134227741
Long
DBT
CORP
US
N
2
2035-03-01
Fixed
5.30000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAA0
1000000.00000000
PA
USD
1028416.13000000
0.032117831922
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.65000000
N
N
N
N
N
N
Citicorp Mortgage Securities,
N/A
Citicorp Mortgage Securities Trust Series 2007-1
173105AA5
522660.85000000
PA
USD
526375.35000000
0.016438904959
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XM87
35542.46000000
PA
USD
39167.65000000
0.001223220798
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.50000000
N
N
N
N
N
N
LABORATORY CORP OF AMER
OZ7UA8IXAIFILY2VZH07
Laboratory Corp of America Holdings
50540RAT9
969000.00000000
PA
USD
1015126.15000000
0.031702780727
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
3.25000000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
549300KDXV3I7WKXA522
Commonbond Student Loan Trust 2017-B-GS
20268KAC4
585170.72000000
PA
USD
595337.59000000
0.018592622281
Long
ABS-O
CORP
US
N
2
2042-09-25
Fixed
3.26000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419LC92
35160.59000000
PA
USD
38885.94000000
0.001214422886
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414NDD3
1146.12000000
PA
USD
1263.47000000
0.000039458654
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MTJ6
43687.79000000
PA
USD
47535.92000000
0.001484565094
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGS70
28020.51000000
PA
USD
30746.74000000
0.000960232534
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CR7
1085000.00000000
PA
USD
1344154.89000000
0.041978475031
Long
DBT
CORP
US
N
2
2049-10-26
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416PF36
95114.49000000
PA
USD
105164.04000000
0.003284313482
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AJ9
3900000.00000000
PA
USD
4805636.12000000
0.150081867331
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
4.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NJK2
32491.60000000
PA
USD
35351.17000000
0.001104030657
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
5.00000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CB0
813000.00000000
PA
USD
870139.05000000
0.027174777740
Long
DBT
CORP
US
N
2
2051-05-12
Fixed
3.10000000
N
N
N
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KK6
1505000.00000000
PA
USD
1541068.53000000
0.048128163866
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.20000000
N
N
N
N
N
N
MIZUHO FIN GRP CAYMAN 2
5493005X5HKEZQSVVC05
Mizuho Financial Group Cayman 2 Ltd
000000000
5870000.00000000
PA
USD
5977168.59000000
0.186669277685
Long
DBT
CORP
KY
N
2
2022-07-18
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391DRP0
8646.51000000
PA
USD
9550.41000000
0.000298262983
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AABP9
847924.25000000
PA
USD
866308.52000000
0.027055148812
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Floating
5.28090000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAR3
1394000.00000000
PA
USD
1421762.61000000
0.044402194024
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
2.72600000
N
N
N
N
N
XLIT LTD
635400XCGXK8NVDIVE95
XLIT Ltd
98420EAD7
1668000.00000000
PA
USD
2290359.59000000
0.071528812324
Long
DBT
CORP
KY
N
2
2045-03-31
Fixed
5.50000000
N
N
N
N
N
N
HERO Funding Trust
N/A
HERO Funding Trust 2015-2
42770UAA1
1236307.28710000
PA
USD
1284338.07000000
0.040110372699
Long
ABS-O
CORP
US
N
2
2040-09-20
Fixed
3.99000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBH6
3789232.67000000
PA
USD
3951929.82000000
0.123420290703
Long
ABS-MBS
CORP
US
N
2
2028-04-25
Floating
5.65275000
N
N
N
N
N
N
SOUTHWESTERN ELEC POWER
R64UBJHEC74EB3HGQ410
Southwestern Electric Power Co
845437BS0
1499000.00000000
PA
USD
1488174.01000000
0.046476247630
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396CBT6
4060638.16000000
PA
USD
778382.51000000
0.024309185648
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Floating
6.62025000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
1790000.00000000
PA
USD
1818445.93000000
0.056790766924
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.68700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ4B1
154766.66000000
PA
USD
179405.24000000
0.005602894758
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
6.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCP9
1435000.00000000
PA
USD
1407262.05000000
0.043949335949
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
1.47000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAY6
392000.00000000
PA
USD
406366.37000000
0.012690978282
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
BETHESDA SECURITIES, LLC
254900O3C3TARG6WQ048
BETHESDA SECURITIES LLC
000000000
3036800.00000000
PA
USD
3036800.00000000
0.094840433884
Long
RA
CORP
US
N
2
Repurchase
Y
0.09000000
2022-01-03
11842250.21674240
USD
3097536.00157913
USD
AMBS
N
N
OGLETHORPE POWER CORP
3EERXCUSWMS9GV5D9M98
Oglethorpe Power Corp
677050AQ9
842000.00000000
PA
USD
903194.01000000
0.028207096875
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.75000000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAC1
826000.00000000
PA
USD
810969.86000000
0.025326901142
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.37500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396PCB5
1875527.98000000
PA
USD
394587.27000000
0.012323112451
Long
ABS-MBS
USGSE
US
N
2
2037-01-25
Floating
6.63812000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-22
12669F6Z1
1427600.09000000
PA
USD
1440141.84000000
0.044976184457
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Variable
2.67306300
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EQ2
1553000.00000000
PA
USD
1526583.77000000
0.047675799231
Long
DBT
CORP
AU
N
2
2040-11-16
Fixed
2.96300000
N
N
N
N
N
BARCLAYS BANK PLC (NEW YORK)
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC (NEW YORK)
06742TA48
725000.00000000
PA
USD
724981.91000000
0.022641464338
Long
DBT
CORP
US
N
2
2022-03-22
Floating
0.15883500
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-30636.11000000
-0.00095677751
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-6295765.68000000
PEN
1544404.68000000
USD
2022-02-04
-30636.11000000
N
N
N
OVERSEA-CHINESE BANKING CORP LTD. (NEW YORK)
N/A
OVERSEA-CHINESE BANKING CORP LTD. (NEW YORK)
000000000
700000.00000000
PA
USD
700069.32000000
0.021863434555
Long
DBT
CORP
US
N
2
2022-03-24
Fixed
0.26000000
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCY5
8250800.00000000
PA
USD
8156689.31000000
0.254736549400
Long
DBT
UST
US
N
2
2028-09-30
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396ERS7
804350.44000000
PA
USD
32280.67000000
0.001008137759
Long
ABS-MBS
USGSE
US
N
2
2035-03-15
Floating
6.49025000
N
N
N
N
N
N
UNITED AIR 2016-2 AA PTT
N/A
United Airlines 2016-2 Class AA Pass Through Trust
90932EAA1
3704618.13000000
PA
USD
3782847.07000000
0.118139771284
Long
DBT
CORP
US
N
2
2028-10-07
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411AGT6
13242.61000000
PA
USD
14673.93000000
0.000458272486
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LAP87
48857.31000000
PA
USD
54666.85000000
0.001707266785
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411YGG2
21396.98000000
PA
USD
24274.44000000
0.000758100112
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MG48
23351.41000000
PA
USD
26828.51000000
0.000837864702
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AP8
257000.00000000
PA
USD
271184.05000000
0.008469182351
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.25000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKE1
990000.00000000
PA
USD
972296.73000000
0.030365201441
Long
DBT
CORP
US
N
2
2052-02-01
Fixed
3.30000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYG3
1608000.00000000
PA
USD
1576324.65000000
0.049229226076
Long
DBT
CORP
US
N
2
2027-09-10
Fixed
1.54200000
N
N
N
N
N
N
SKANDIN ENS BANKEN AG
N/A
SKANDINAVISKA 04/12/2022
83050UDC9
300000.00000000
PA
USD
299819.71000000
0.009363485044
Long
DBT
CORP
SE
N
2
2022-04-12
None
0.00000000
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAM1
1964000.00000000
PA
USD
2348805.01000000
0.073354085306
Long
DBT
CORP
US
N
2
2042-11-06
Fixed
4.40000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBX3
1349000.00000000
PA
USD
1300674.22000000
0.040620556956
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
1.95300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KML2
6426.74000000
PA
USD
7355.72000000
0.000229721969
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
6.50000000
N
N
N
N
N
N
Driven Brands Funding, LLC
N/A
DRIVEN BRANDS FUNDING LLC
26208LAD0
1361500.00000000
PA
USD
1441931.97000000
0.045032090907
Long
ABS-O
CORP
US
N
2
2049-04-20
Fixed
4.64100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BXNY4
8896764.84000000
PA
USD
1645186.20000000
0.051379798810
Long
ABS-MBS
USGSE
US
N
2
2047-04-15
Floating
5.89025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NWX9
31560.63000000
PA
USD
36188.03000000
0.001130166117
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AP2V9
128597.08000000
PA
USD
137828.36000000
0.004304432779
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
PIEDMONT NATURAL GAS CO
VXB4M3BDPKF3I2AZ3G89
Piedmont Natural Gas Co Inc
720186AM7
349000.00000000
PA
USD
359385.68000000
0.011223753234
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
3.35000000
N
N
N
N
N
N
ELEMENT FLEET MANAGEMENT
5493000PGBS1C22ELQ16
Element Fleet Management Corp
286181AD4
1400000.00000000
PA
USD
1489908.08000000
0.046530403304
Long
DBT
CORP
CA
N
2
2025-06-15
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410G2H5
253342.64000000
PA
USD
290294.51000000
0.009066009379
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
DXC TECHNOLOGY CO
549300DOVZ3EDJB7O259
DXC Technology Co
23355LAL0
775000.00000000
PA
USD
766643.27000000
0.023942564660
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
1.80000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCA5
732000.00000000
PA
USD
841494.33000000
0.026280192099
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
SOCIETE GENERALE
N/A
SOCIETE GENERALE
000000000
750000.00000000
PA
USD
749737.47000000
0.023414590013
Long
DBT
CORP
US
N
2
2022-03-31
Fixed
0.16500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXL3
12470.84000000
PA
USD
14294.91000000
0.000446435546
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AG2
2558000.00000000
PA
USD
2569127.30000000
0.080234835299
Long
DBT
CORP
US
N
2
2022-07-15
Variable
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412M4W5
366.62000000
PA
USD
416.36000000
0.000013003083
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BQ2
54785.77990000
PA
USD
64943.50000000
0.002028210523
Long
DBT
CORP
US
N
2
2030-01-10
Fixed
6.94300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396LFD7
171620.64000000
PA
USD
197317.91000000
0.006162314343
Long
ABS-MBS
USGSE
US
N
2
2036-10-25
Fixed
6.25000000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
Hess Corp
42809HAD9
2306000.00000000
PA
USD
2852599.16000000
0.089087770690
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
5.60000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BL1
1067000.00000000
PA
USD
1162377.64000000
0.036301501486
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-25433.51000000
-0.00079429831
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-36684320.28000000
CNY
5730050.06000000
USD
2022-01-21
-25433.51000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407N6V0
2707.49000000
PA
USD
3035.08000000
0.000094786717
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
Bojangles Issuer, LLC
N/A
Bojangles Issuer LLC
09748RAA6
2350000.00000000
PA
USD
2412940.52000000
0.075357061990
Long
ABS-O
CORP
US
N
2
2050-10-20
Fixed
3.83200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GU4Z7
331594.22000000
PA
USD
357983.22000000
0.011179953868
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-IRON
05608JAJ2
4000000.00000000
PA
USD
4016606.80000000
0.125440177705
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
2.46000000
N
N
N
N
N
N
NEWMONT CORP
549300VSP3RIX7FGDZ51
Newmont Corp
651639AY2
747000.00000000
PA
USD
737390.75000000
0.023028997191
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.25000000
N
N
N
N
N
DZ BANK AG (NEW YORK)
N/A
DZ BANK AG (NEW YORK)
000000000
375000.00000000
PA
USD
375006.75000000
0.011711605268
Long
DBT
CORP
US
N
2
2022-01-19
Fixed
0.11000000
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546BA1
523000.00000000
PA
USD
523402.42000000
0.016346059209
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.30000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NZ32
2827.50000000
PA
USD
2894.01000000
0.000090381047
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31375KZT7
6439.15000000
PA
USD
6508.14000000
0.000203251719
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
7.00000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAJ2
796000.00000000
PA
USD
782593.28000000
0.024440689617
Long
DBT
CORP
GB
N
2
2027-09-02
Fixed
1.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400TYM3
17063.23000000
PA
USD
18733.76000000
0.000585062541
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A6JS0
125246.42000000
PA
USD
137220.03000000
0.004285434398
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417UFL4
70483.25000000
PA
USD
77942.32000000
0.002434168679
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FELR9
15284146.13000000
PA
USD
16280756.52000000
0.508454298051
Long
ABS-MBS
USGSE
US
N
2
2048-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415RL36
3362.11000000
PA
USD
3720.40000000
0.000116189525
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KVTV7
16093.93000000
PA
USD
17672.75000000
0.000551926790
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
5.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAY1
2321000.00000000
PA
USD
2365938.51000000
0.073889171111
Long
DBT
CORP
IE
N
2
2033-10-29
Fixed
3.40000000
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TCA2
1817000.00000000
PA
USD
1316517.53000000
0.041115349631
Long
ABS-MBS
CORP
US
N
2
2028-10-27
None
0.00000000
N
N
N
N
N
N
SOUTH JERSEY INDUSTRIES
549300DJYWYT5VXLFA46
South Jersey Industries Inc
838518AA6
3107000.00000000
PA
USD
3372085.33000000
0.105311523904
Long
DBT
CORP
US
N
2
2031-04-15
Variable
5.02000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBL5
1180000.00000000
PA
USD
1296288.79000000
0.040483598288
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.50000000
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXI Ltd
55820JBE9
1650000.00000000
PA
USD
1649990.10000000
0.051529826458
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Floating
1.51765000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BJ8
3201000.00000000
PA
USD
3387311.74000000
0.105787050554
Long
DBT
CORP
US
N
2
2049-11-15
Fixed
3.25000000
N
N
N
N
N
N
CITADEL SECURITIES LLC
12UUJYTN7D3SW8KCSG25
CITADEL SECURITIES LLC
000000000
6952842.00000000
PA
USD
6952842.00000000
0.217139934144
Long
RA
CORP
US
N
2
Repurchase
Y
0.07000000
2022-01-03
6261702.80628672
USD
7097525.01639211
USD
UST
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AJG97
81138.83000000
PA
USD
89747.65000000
0.002802853683
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411S6E1
1627.22000000
PA
USD
1884.83000000
0.000058863967
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HU59
2505.15000000
PA
USD
2607.43000000
0.000081431043
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Floating
3.18400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADT39
278647.19000000
PA
USD
305254.43000000
0.009533213443
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
KYNDRYL HOLDINGS INC
549300LQ4LWX2R8ZV130
Kyndryl Holdings Inc
50155QAA8
564000.00000000
PA
USD
549475.78000000
0.017160340287
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
2.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411CTY7
9339.80000000
PA
USD
10474.68000000
0.000327128291
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833AL4
2000000.00000000
PA
USD
2360519.00000000
0.073719917726
Long
DBT
CORP
US
N
2
2043-05-04
Fixed
3.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128E2RS7
7603.21000000
PA
USD
8323.27000000
0.000259938928
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411JJY3
42412.49000000
PA
USD
46719.06000000
0.001459054241
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
MAIN STREET CAPITAL CORP
5493001FS9QJLJNF3E20
Main Street Capital Corp
56035LAD6
684000.00000000
PA
USD
729591.94000000
0.022785437351
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
5.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJKN9
3331.65000000
PA
USD
3821.15000000
0.000119335986
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGC7
3641000.00000000
PA
USD
3986443.37000000
0.124498162166
Long
DBT
CORP
US
N
2
2027-11-25
Fixed
4.18300000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDA6
1250000.00000000
PA
USD
1297682.73000000
0.040527131571
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414QAH0
9493.20000000
PA
USD
10424.98000000
0.000325576141
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YWH6
111529.64000000
PA
USD
123293.31000000
0.003850497568
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANG31
56351.85000000
PA
USD
61726.14000000
0.001927731131
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
LMA AMERICAS LLC
N/A
LMA AMERICAS LLC
000000000
500000.00000000
PA
USD
499528.01000000
0.015600452188
Long
DBT
CORP
US
N
2
2022-05-04
Fixed
0.15924994
N
N
N
N
N
NORINCHUKIN BANK (NEW YORK)
N/A
NORINCHUKIN BANK (NEW YORK)
000000000
725000.00000000
PA
USD
725003.65000000
0.022642143286
Long
DBT
CORP
US
N
2
2022-02-04
Fixed
0.12000000
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XEP5
3216748.43000000
PA
USD
3297024.96000000
0.102967359633
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
3.65275000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
1755000.00000000
PA
USD
2046425.24000000
0.063910648601
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31339D4L9
64497.92000000
PA
USD
64602.38000000
0.002017557214
Long
ABS-MBS
USGSE
US
N
2
2029-12-15
Floating
0.45975000
N
N
N
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
8426EPAC2
1750000.00000000
PA
USD
2039978.17000000
0.063709304121
Long
DBT
CORP
US
N
2
2047-05-30
Fixed
4.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407UEQ6
507.12000000
PA
USD
568.44000000
0.000017752600
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBM4
2400000.00000000
PA
USD
2250062.23000000
0.070270310247
Long
DBT
CORP
US
N
2
2077-08-16
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31392PPQ2
83383.59000000
PA
USD
92695.80000000
0.002894925543
Long
ABS-MBS
USGSE
US
N
2
2032-06-15
Fixed
6.00000000
N
N
N
N
N
N
BMD2 Re-REMIC Trust
N/A
BMD2 Re-Remic Trust 2019-FRR1
055631HH1
1348000.00000000
PA
USD
1233439.01000000
0.038520775447
Long
ABS-MBS
CORP
US
N
2
2052-05-25
Variable
2.52229100
N
N
N
N
N
N
OCP CLO Ltd
2549000M7NBNQ7XU2038
OCP CLO 2021-21 Ltd
671000AG2
5050000.00000000
PA
USD
4991460.40000000
0.155885231181
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
2.03150000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LC75
81018.34000000
PA
USD
92653.69000000
0.002893610432
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AC8
900000.00000000
PA
USD
909365.57000000
0.028399837071
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BU3
1801000.00000000
PA
USD
1779183.75000000
0.055564593917
Long
DBT
CORP
GB
N
2
2036-02-18
Fixed
3.26500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RRN1
2460.79000000
PA
USD
2782.89000000
0.000086910726
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBV7
949000.00000000
PA
USD
904328.20000000
0.028242518065
Long
DBT
CORP
US
N
2
2041-11-19
Fixed
2.52500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412WXR2
8198.82000000
PA
USD
9314.25000000
0.000290887615
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194U2W2
2560059.27000000
PA
USD
2691422.18000000
0.084054151513
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
PACIFIC LIFE GF II
6354003EUPCHXTWUU869
Pacific Life Global Funding II
6944PL2E8
1665000.00000000
PA
USD
1657925.70000000
0.051777658303
Long
DBT
CORP
US
N
2
2026-04-14
Fixed
1.37500000
N
N
N
N
N
Nomura Asset Acceptance Corpor
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2001-R1A
65535VAA6
14852.63000000
PA
USD
15122.87000000
0.000472293055
Long
ABS-MBS
CORP
US
N
2
2030-02-19
Variable
7.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDJ7
22502600.00000000
PA
USD
22224833.53000000
0.694090112945
Long
DBT
UST
US
N
2
2031-11-15
Fixed
1.37500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EX2M4
3831087.18000000
PA
USD
4126018.91000000
0.128857160049
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GUJL2
68958.05000000
PA
USD
73918.72000000
0.002308510101
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KFH2
2357.90000000
PA
USD
2703.33000000
0.000084426037
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACN3
865000.00000000
PA
USD
859163.21000000
0.026831998028
Long
DBT
CORP
US
N
2
2060-11-15
Fixed
3.60000000
N
N
N
N
N
N
LIFE STORAGE LP
X0MIGH67XZCB7HL1A534
Life Storage LP
53227JAD6
955000.00000000
PA
USD
939761.15000000
0.029349102744
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
2.40000000
N
N
N
N
N
N
VERISIGN INC
LMPL4N8ZOJRMF0KOF759
VeriSign Inc
92343EAM4
806000.00000000
PA
USD
811186.61000000
0.025333670328
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.70000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAN9
582000.00000000
PA
USD
611333.10000000
0.019092168220
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.25000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BN3
750000.00000000
PA
USD
765422.52000000
0.023904440167
Long
DBT
CORP
JP
N
2
2025-02-25
Fixed
2.19300000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WRJ3
10595549.64000000
PA
USD
912951.76000000
0.028511835166
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
3.00000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAN4
1265000.00000000
PA
USD
1455233.52000000
0.045447503437
Long
DBT
CORP
US
N
2
2042-09-30
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXAT7
77246.29000000
PA
USD
85945.90000000
0.002684123566
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.00000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EX7
1040000.00000000
PA
USD
1029205.61000000
0.032142487687
Long
DBT
CORP
AU
N
2
2036-11-18
Fixed
3.02000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC22
36253BAW3
38984951.80000000
PA
USD
640546.15000000
0.020004503025
Long
ABS-MBS
CORP
US
N
2
2047-06-10
Variable
0.94602300
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31295MNX4
111791.02000000
PA
USD
112388.01000000
0.003509920848
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Floating
2.53600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398JUG6
2735377.24000000
PA
USD
531342.11000000
0.016594018787
Long
ABS-MBS
USGSE
US
N
2
2039-04-15
Floating
6.49025000
N
N
N
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
Public Storage
74460DAH2
365000.00000000
PA
USD
364021.72000000
0.011368538549
Long
DBT
CORP
US
N
2
2028-11-09
Fixed
1.95000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJS9
1971000.00000000
PA
USD
1957731.48000000
0.061140708308
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73400000
N
N
N
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
Public Storage
74460DAJ8
365000.00000000
PA
USD
367255.08000000
0.011469517628
Long
DBT
CORP
US
N
2
2031-11-09
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6SU3
74491.22000000
PA
USD
85369.06000000
0.002666108631
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KPN3
5000000.00000000
PA
USD
5039280.00000000
0.157378655711
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
3.80000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300XC4C7GRVLU6076
SMB Private Education Loan Trust 2014-A
784456AF2
1550000.00000000
PA
USD
1513138.06000000
0.047255884528
Long
ABS-O
CORP
US
N
2
2045-09-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213CYP9
5653.39000000
PA
USD
6528.99000000
0.000203902872
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MWK4
8738.85000000
PA
USD
9970.47000000
0.000311381619
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6N61
610.25000000
PA
USD
707.48000000
0.000022094872
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
31412XZK3
6808.50000000
PA
USD
7486.59000000
0.000233809089
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396H5W5
426182.66000000
PA
USD
232235.07000000
0.007252790701
Long
ABS-MBS
USGSE
US
N
2
2036-01-15
Floating
24.16425000
N
N
N
N
N
N
LANDESBANK BADEN-WURTTEMBERG (NEW YORK)
N/A
LANDESBANK BADEN-WURTTEMBERG (NEW YORK)
000000000
725000.00000000
PA
USD
724923.17000000
0.022639629865
Long
DBT
CORP
US
N
2
2022-04-19
Fixed
0.18000000
N
N
N
N
N
Voya Securitized Credit Fund
549300IRVV55AI1KRN67
Voya Securitized Credit Fund
92913M757
19739468.99400000
NS
USD
192854612.07000000
6.022923829462
Long
EC
RF
US
N
1
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDM0
4476400.00000000
PA
USD
4459613.50000000
0.139275447608
Long
DBT
UST
US
N
2
2023-11-30
Fixed
0.50000000
N
N
N
N
N
AVANGRID INC
549300OX0Q38NLSKPB49
Avangrid Inc
05351WAC7
323000.00000000
PA
USD
339702.29000000
0.010609033382
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.20000000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560AW5
532000.00000000
PA
USD
518342.26000000
0.016188028463
Long
DBT
CORP
US
N
2
2052-02-15
Fixed
2.85000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WT93
180372.47000000
PA
USD
199448.81000000
0.006228863171
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAZ7
1000000.00000000
PA
USD
1037768.63000000
0.032409914100
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411XMC6
29873.31000000
PA
USD
32954.13000000
0.001029170175
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295GSG8
33348.30000000
PA
USD
38543.58000000
0.001203730851
Long
ABS-MBS
USGA
US
N
2
2038-03-15
Fixed
5.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BY9
820000.00000000
PA
USD
775598.77000000
0.024222248375
Long
DBT
CORP
US
N
2
2061-04-01
Fixed
3.85000000
N
N
N
N
N
N
ASSURANT INC
H3F39CAXWQRVWURFXL38
Assurant Inc
04621XAN8
1628000.00000000
PA
USD
1598828.78000000
0.049932038725
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-2
33851HBA0
1661074.33000000
PA
USD
1650539.63000000
0.051546988491
Long
ABS-MBS
CORP
US
N
2
2048-04-25
Variable
4.04326500
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A8ZR4
214676.46000000
PA
USD
215788.42000000
0.006739155486
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B8W86
5813922.21000000
PA
USD
1024360.77000000
0.031991181467
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Floating
6.04025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEUG2
445219.75000000
PA
USD
487140.88000000
0.015213597346
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.00000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XLVIII Ltd
55821UAE4
2090000.00000000
PA
USD
2085086.41000000
0.065118051834
Long
ABS-CBDO
CORP
KY
N
2
2033-04-19
Floating
2.12363000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKW35
227394.97000000
PA
USD
262740.32000000
0.008205481410
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUTH4
29906570.97000000
PA
USD
5645843.22000000
0.176321858742
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Floating
5.94812000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393PYL2
208987.81000000
PA
USD
41195.15000000
0.001286540404
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAR0
1037000.00000000
PA
USD
1242469.27000000
0.038802793945
Long
DBT
CORP
US
N
2
2035-05-14
Fixed
4.50000000
N
N
N
N
N
N
BLACKSTONE HOLDINGS FINA
549300D2L6J4NC1QVZ22
Blackstone Holdings Finance Co LLC
09261BAC4
798000.00000000
PA
USD
775633.99000000
0.024223348309
Long
DBT
CORP
US
N
2
2028-08-05
Fixed
1.62500000
N
N
N
N
N
Broad River BSL Funding CLO Lt
5493000KEEYM16WOW109
Broad River Bsl Funding Clo Ltd 2020-1
11124TAN4
3000000.00000000
PA
USD
2967651.00000000
0.092680883975
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
2.13150000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413YUB5
207.22000000
PA
USD
208.43000000
0.000006509349
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419JWZ7
12847.79000000
PA
USD
13988.74000000
0.000436873739
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396TUX9
622471.82000000
PA
USD
96984.28000000
0.003028856426
Long
ABS-MBS
USGSE
US
N
2
2036-06-15
Floating
6.37525000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A3ZG9
403053.52000000
PA
USD
68439.05000000
0.002137377896
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
6.34812000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407KHM4
19757.25000000
PA
USD
21656.32000000
0.000676335216
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2007-10
17313QAL2
806459.99000000
PA
USD
802739.23000000
0.025069855396
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
3.15259500
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-51.69000000
-0.00000161429
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-11094.00000000
ILS
3516.96000000
USD
2022-01-21
-51.69000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RCV9
7440.04000000
PA
USD
8402.50000000
0.000262413311
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B9 Mortgage Trust
08160JAG2
19525775.13000000
PA
USD
1218595.82000000
0.038057216905
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
1.03864600
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DP2
798000.00000000
PA
USD
770311.16000000
0.024057114278
Long
DBT
CORP
US
N
2
2040-08-21
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413RLS3
7225.50000000
PA
USD
7966.60000000
0.000248799987
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Cedar Funding Ltd
549300PTCF9P2JDL1E69
Cedar Funding VIII Clo Ltd
15032EAL3
3350000.00000000
PA
USD
3348046.95000000
0.104560796036
Long
ABS-CBDO
CORP
KY
N
2
2034-10-17
Floating
1.27225000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396LMM9
581129.87000000
PA
USD
1112811.52000000
0.034753532464
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
32.94060000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-4
46649CBE2
1240855.76700000
PA
USD
1262460.06000000
0.039427114018
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.73795400
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395ADQ5
3522473.02000000
PA
USD
605435.62000000
0.018907987648
Long
ABS-MBS
USGSE
US
N
2
2034-03-15
Floating
5.89025000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCE3
1068000.00000000
PA
USD
1037869.98000000
0.032413079300
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ANT39
229437.85000000
PA
USD
1230.20000000
0.000038419619
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAK4
1155000.00000000
PA
USD
1246136.63000000
0.038917327011
Long
DBT
CORP
US
N
2
2028-07-22
Fixed
3.59100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8Y24
30882.95000000
PA
USD
35302.52000000
0.001102511299
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.50000000
N
N
N
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO 2021-2 Ltd
69701XAE4
7000000.00000000
PA
USD
6881693.00000000
0.214917923465
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.92375000
N
N
N
N
N
N
DXC TECHNOLOGY CO
549300DOVZ3EDJB7O259
DXC Technology Co
23355LAM8
775000.00000000
PA
USD
758206.69000000
0.023679087017
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
2.37500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400JYB9
66376.33000000
PA
USD
67136.51000000
0.002096699070
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Floating
1.59000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAB9
1919000.00000000
PA
USD
1901095.50000000
0.059371944835
Long
DBT
CORP
US
N
2
2027-05-04
Fixed
1.59300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BL71
13682.42000000
PA
USD
15874.71000000
0.000495773308
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BAA44
910147.09000000
PA
USD
148017.95000000
0.004622657600
Long
ABS-MBS
USGSE
US
N
2
2043-12-15
Fixed
5.00000000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA1
32051GGD1
144837.54000000
PA
USD
110822.66000000
0.003461034364
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Variable
2.91798000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBW2
283000.00000000
PA
USD
318067.07000000
0.009933357126
Long
DBT
CORP
US
N
2
2050-01-31
Fixed
4.20000000
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAH5
1336000.00000000
PA
USD
1575922.33000000
0.049216661467
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297DAD9
1718.04000000
PA
USD
1986.08000000
0.000062026043
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
5.00000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DH7
1248000.00000000
PA
USD
1353919.22000000
0.042283418818
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407JZK1
12305.21000000
PA
USD
12402.42000000
0.000387332354
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
1.71000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFR69
18721.94000000
PA
USD
20702.49000000
0.000646546738
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHU6
1355000.00000000
PA
USD
1559539.49000000
0.048705019063
Long
DBT
CORP
US
N
2
2040-04-23
Fixed
4.07800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TCX1
394033.20000000
PA
USD
414018.25000000
0.012929949442
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDZ6
538000.00000000
PA
USD
582312.46000000
0.018185842453
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
3.87500000
N
N
N
N
N
N
DOMINION ENERGY SOUTH
3QRVFYR22IUIEOORTK28
Dominion Energy South Carolina Inc
25731VAA2
600000.00000000
PA
USD
605627.65000000
0.018913984819
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
2.30000000
N
N
N
N
N
N
Prime Mortgage Trust
N/A
Prime Mortgage Trust 2007-1
74162FAD7
421286.31000000
PA
USD
400934.94000000
0.012521352630
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
5.50000000
N
N
N
N
N
N
First Horizon Mortgage Pass-Th
N/A
First Horizon Asset Securities Inc
32051GJ89
123476.38000000
PA
USD
115981.43000000
0.003622144739
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
2.37211200
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QRZE3
553172.32000000
PA
USD
591897.26000000
0.018485179449
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
BLACK HILLS CORP
3MGELCRSTNSAMJ962671
Black Hills Corp
092113AQ2
487000.00000000
PA
USD
555516.93000000
0.017349007728
Long
DBT
CORP
US
N
2
2033-05-01
Fixed
4.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QST99
268040.00000000
PA
USD
282627.67000000
0.008826571012
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NF4
461000.00000000
PA
USD
457324.52000000
0.014282420937
Long
DBT
CORP
US
N
2
2042-11-03
Fixed
2.90400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409AVN6
430.76000000
PA
USD
472.55000000
0.000014757918
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.50000000
N
N
N
N
N
N
SABRA HEALTH CARE LP
549300OVKLRFSIQG0H81
Sabra Health Care LP
78574MAA1
802000.00000000
PA
USD
784620.63000000
0.024504004538
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
3.20000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31375DCW1
346.03000000
PA
USD
346.98000000
0.000010836319
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
7.00000000
N
N
N
N
N
N
ROCHE HOLDINGS INC
PVJRP0EQNV6OGDPZGY95
Roche Holdings Inc
771196BX9
1200000.00000000
PA
USD
1197475.01000000
0.037397605872
Long
DBT
CORP
US
N
2
2031-12-13
Fixed
2.07600000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2007-8 Trust
05953LAJ8
92132.19000000
PA
USD
88836.56000000
0.002774399991
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Fixed
6.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C28
46644FAF8
2028900.21000000
PA
USD
47808.80000000
0.001493087241
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
0.96425200
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BW2
557000.00000000
PA
USD
554878.47000000
0.017329068377
Long
DBT
CORP
US
N
2
2023-09-29
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LM58
281053.03000000
PA
USD
320356.33000000
0.010004851598
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAQ2
845000.00000000
PA
USD
973676.49000000
0.030408291877
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
5.35000000
N
N
N
N
N
N
Chase Funding Mortgage Loan As
N/A
Chase Funding Trust Series 2003-5
161546GR1
106707.98000000
PA
USD
103028.45000000
0.003217618183
Long
ABS-MBS
CORP
US
N
2
2033-07-25
Floating
0.70188000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-23CB
02151EAC6
1640671.98000000
PA
USD
787074.48000000
0.024580639219
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
0.60188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359HA87
3252.63000000
PA
USD
3286.17000000
0.000102628355
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Floating
1.60188000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-53362.20000000
-0.00166652206
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-158691496.61000000
THB
4696584.85000000
USD
2022-01-21
-53362.20000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31372K5S5
55.03000000
PA
USD
60.45000000
0.000001887876
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QS6F0
1229697.61000000
PA
USD
1314724.62000000
0.041059356361
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416SQL8
4641.63000000
PA
USD
5135.53000000
0.000160384580
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E64L3
2130921.20000000
PA
USD
2295092.97000000
0.071676637605
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418XMM7
24389.17000000
PA
USD
26964.56000000
0.000842113596
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7AX4
26745.47000000
PA
USD
30641.17000000
0.000956935543
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HN2J0
3691721.77000000
PA
USD
3984322.14000000
0.124431915336
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
31417YCJ4
3083.02000000
PA
USD
3278.91000000
0.000102401622
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
4.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HL4
629000.00000000
PA
USD
637426.61000000
0.019907078589
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.30000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78016EYH4
976000.00000000
PA
USD
981645.31000000
0.030657161196
Long
DBT
CORP
CA
N
2
2031-11-03
Fixed
2.30000000
N
N
N
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742AZ8
362000.00000000
PA
USD
442368.59000000
0.013815341481
Long
DBT
CORP
CA
N
2
2043-02-01
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUQS3
1487617.17000000
PA
USD
1521586.02000000
0.047519717574
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128CUME3
313619.07000000
PA
USD
345290.39000000
0.010783551897
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
6.00000000
N
N
N
N
N
N
TELEDYNE TECHNOLOGIES IN
549300VSMO9KYQWDND94
Teledyne Technologies Inc
879360AC9
2105000.00000000
PA
USD
2086481.01000000
0.065161605729
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
1.60000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QNKY4
2336739.26000000
PA
USD
2465259.38000000
0.076991000143
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2005-AR7 Trust
94982PAA7
72891.18000000
PA
USD
72137.38000000
0.002252878167
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
2.86158900
N
N
N
N
N
N
SOCIETE GENERALE SA (NEW YORK)
N/A
SOCIETE GENERALE SA (NEW YORK)
000000000
250000.00000000
PA
USD
249983.50000000
0.007807081007
Long
DBT
CORP
US
N
2
2022-04-18
Fixed
0.17000000
N
N
N
N
N
SUMITOMO MITSUI TRUST BANK, LTD. (NEW YORK)
5493006GGLR4BTEL8O61
SUMITOMO MITSUI TRUST BANK, LTD. (NEW YORK)
86564GV99
675000.00000000
PA
USD
674998.51000000
0.021080463500
Long
DBT
CORP
US
N
2
2022-03-22
Floating
0.15000000
N
N
N
N
N
LOS ANGELES CNTY CA PUBLIC WKS
N/A
Los Angeles County Public Works Financing Authority
54473ENT7
200000.00000000
PA
USD
275541.00000000
0.008605251578
Long
DBT
MUN
US
N
2
2033-08-01
Fixed
7.48800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31295NJR0
2914.48000000
PA
USD
2933.82000000
0.000091624328
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Floating
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411WBS5
30145.79000000
PA
USD
33827.72000000
0.001056452727
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0TH2
4759161.01000000
PA
USD
4789249.85000000
0.149570117806
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
1.90275000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MNT0
29520.98000000
PA
USD
34223.80000000
0.001068822458
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC40
36257HBC9
6930000.00000000
PA
USD
6923708.95000000
0.216230097769
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Variable
3.54969000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292K4A2
13848.73000000
PA
USD
15327.61000000
0.000478687165
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A3FN6
2248339.10310000
PA
USD
199975.82000000
0.006245321896
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Floating
5.89812000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CE2
4000000.00000000
PA
USD
4257869.24000000
0.132974896649
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
2.92100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416KGR3
2022.92000000
PA
USD
2168.47000000
0.000067722153
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFL8
4336000.00000000
PA
USD
4787510.46000000
0.149515795986
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
4.25000000
N
N
N
N
N
N
BAKER HUGHES LLC/CO-OBL
N/A
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc
05724BAD1
277000.00000000
PA
USD
279651.32000000
0.008733618455
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
2.06100000
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAN8
925000.00000000
PA
USD
907561.58000000
0.028343497768
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.40000000
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXVI Ltd
83614XAU5
2800000.00000000
PA
USD
2795688.00000000
0.087310413239
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
2.33150000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCE3
452000.00000000
PA
USD
487258.34000000
0.015217265667
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
3.65000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAS0
600000.00000000
PA
USD
600534.37000000
0.018754919722
Long
DBT
CORP
DK
N
2
2022-01-12
Fixed
5.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412LGP9
95615.43000000
PA
USD
110771.14000000
0.003459425375
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QSYA0
1175168.34000000
PA
USD
1273528.59000000
0.039772788474
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEWE5
2643757.45000000
PA
USD
2746688.87000000
0.085780151533
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAK0
1195000.00000000
PA
USD
1167212.74000000
0.036452503522
Long
DBT
CORP
US
N
2
2026-08-05
Fixed
1.40000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortga
N/A
UBS-Barclays Commercial Mortgage Trust 2012-C4
90270RAN4
3520000.00000000
PA
USD
2466931.46000000
0.077043219846
Long
ABS-MBS
CORP
US
N
2
2045-12-10
Variable
4.46083800
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2017-4
46648UAZ7
1553840.88000000
PA
USD
1583004.45000000
0.049437838803
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
3.90611100
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BL7
1295000.00000000
PA
USD
1262941.46000000
0.039442148326
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
1.20000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
94973VBJ5
1000000.00000000
PA
USD
1056581.18000000
0.032997437284
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403U7A3
34383.99000000
PA
USD
39071.66000000
0.001220222993
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJJ4
11542.20000000
PA
USD
13153.26000000
0.000410781376
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KG01 Mortgage Trust
30298CAN1
66341540.05000000
PA
USD
283158.96000000
0.008843163403
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Fixed
0.10000000
N
N
N
N
N
N
BALTIMORE GAS & ELECTRIC
88V8C2WYSOD1SPSSLH72
Baltimore Gas and Electric Co
059165EN6
1120000.00000000
PA
USD
1122108.20000000
0.035043871362
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.25000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAV2
935000.00000000
PA
USD
1074978.94000000
0.033572006416
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
LUNDIN ENERGY FI
549300JSNI1KL271GM17
Lundin Energy Finance BV
55037AAA6
647000.00000000
PA
USD
643126.57000000
0.020085090536
Long
DBT
CORP
NL
N
2
2026-07-15
Fixed
2.00000000
N
N
N
N
N
N
Voya Investment Grade Credit F
5493007IKJE2N4RJF070
Voya Investment Grade Credit Fund
92913M708
16085718.05400000
NS
USD
178712327.58000000
5.581254836724
Long
EC
RF
US
N
1
N
N
N
Voya Floating Rate Fund
54930033N6GOK9FB2919
Voya Floating Rate Fund
92913L619
93266.04800000
NS
USD
842192.41000000
0.026301993407
Long
EC
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GZC0
220832.72000000
PA
USD
247600.24000000
0.007732650879
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378YYW3
5927061.61000000
PA
USD
6144774.44000000
0.191903672948
Long
ABS-MBS
USGA
US
N
2
2043-02-16
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust 2017-4
35563PCS6
1939276.42000000
PA
USD
2096312.43000000
0.065468644763
Long
ABS-MBS
USGSE
US
N
2
2057-06-25
Fixed
4.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2014-3
81746CBC5
563250.65000000
PA
USD
567005.79000000
0.017707809252
Long
ABS-MBS
CORP
US
N
2
2044-10-25
Variable
4.00274200
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414QWC7
17951.37000000
PA
USD
20488.41000000
0.000639860937
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
6.00000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAN9
2000000.00000000
PA
USD
2122997.76000000
0.066302037899
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCH6
1100000.00000000
PA
USD
1095027.12000000
0.034198118801
Long
DBT
CORP
US
N
2
2027-11-02
Fixed
1.87800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NBF1
15310.17000000
PA
USD
17746.03000000
0.000554215353
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BJ9
1766000.00000000
PA
USD
1848086.21000000
0.057716444287
Long
DBT
CORP
GB
N
2
2024-06-25
Fixed
4.51900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384LXE9
63822.36000000
PA
USD
70216.76000000
0.002192896464
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412YFP2
60670.23000000
PA
USD
68832.33000000
0.002149660182
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.50000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBB9
498000.00000000
PA
USD
511736.46000000
0.015981726785
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.55000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFD1
240000.00000000
PA
USD
276314.33000000
0.008629402972
Long
DBT
CORP
US
N
2
2050-03-22
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAE59
3392294.36000000
PA
USD
3631427.60000000
0.113410882904
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
3.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2003-4
81743PBW5
45848.35000000
PA
USD
46057.69000000
0.001438399401
Long
ABS-MBS
CORP
US
N
2
2033-07-20
Floating
0.80388000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBJ3
140000.00000000
PA
USD
145850.22000000
0.004554958557
Long
DBT
CORP
US
N
2
2026-09-06
Fixed
3.21500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371K5Z0
18737.58000000
PA
USD
20504.93000000
0.000640376863
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414HTG2
57763.79000000
PA
USD
67007.60000000
0.002092673161
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAR0
266000.00000000
PA
USD
274430.07000000
0.008570556806
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
3.12500000
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AU2
2000000.00000000
PA
USD
2152993.04000000
0.067238802049
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAT1
1940000.00000000
PA
USD
2162644.72000000
0.067540227733
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
3.70000000
N
N
N
N
N
N
SHEFFIELD RECEIVABLES COMPANY LLC
N/A
SHEFFIELD RECEIVABLES COMPANY LLC
000000000
375000.00000000
PA
USD
374828.25000000
0.011706030644
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.24000000
N
N
N
N
N
OCP CLO Ltd
254900ZMV4RGFPV8TK42
OCP CLO 2020-19 Ltd
670881AM3
8400000.00000000
PA
USD
8390222.40000000
0.262029877766
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
1.28150000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6VK1
29839.39000000
PA
USD
34201.51000000
0.001068126332
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2005-3
17307GTJ7
27147.52000000
PA
USD
28190.17000000
0.000880389868
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.76770000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419DJQ5
5892.25000000
PA
USD
6338.12000000
0.000197941929
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFGT3
3019274.90000000
PA
USD
131418.77000000
0.004104258814
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Floating
5.94025000
N
N
N
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
29446MAF9
826000.00000000
PA
USD
888293.20000000
0.027741738838
Long
DBT
CORP
NO
N
2
2030-04-06
Fixed
3.12500000
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAF8
1472000.00000000
PA
USD
1440315.20000000
0.044981598557
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.65000000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2019-VI Ltd
12555XAA9
4000000.00000000
PA
USD
4000200.00000000
0.124927787020
Long
ABS-CBDO
CORP
KY
N
2
2033-01-16
Floating
1.45225000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CL1
985000.00000000
PA
USD
964953.72000000
0.030135876410
Long
DBT
CORP
GB
N
2
2028-09-22
Fixed
2.01300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6NC8
30196.68000000
PA
USD
34596.02000000
0.001080447032
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2018-D Trust
83401AAC2
1000000.00000000
PA
USD
1031192.60000000
0.032204542150
Long
ABS-O
CORP
US
N
2
2048-02-25
Fixed
4.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409WGR6
354471.29000000
PA
USD
411044.43000000
0.012837075897
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2020-1
80287AAE3
2650000.00000000
PA
USD
2668088.37000000
0.083325427638
Long
ABS-O
CORP
US
N
2
2024-11-15
Fixed
3.03000000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAD8
1683000.00000000
PA
USD
1624255.42000000
0.050726122488
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.37500000
N
N
N
N
N
N
ASSURANT INC
H3F39CAXWQRVWURFXL38
Assurant Inc
04621XAM0
1679000.00000000
PA
USD
1783881.94000000
0.055711320201
Long
DBT
CORP
US
N
2
2030-02-22
Fixed
3.70000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust
93364FAD3
1556488.68000000
PA
USD
1570157.45000000
0.049036622044
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Variable
2.92989400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411XDX0
686.46000000
PA
USD
795.52000000
0.000024844396
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413A6W8
49113.48000000
PA
USD
55755.67000000
0.001741271053
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-8
46652TCK4
1866053.80000000
PA
USD
1892570.42000000
0.059105703302
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
3.53782500
N
N
N
N
N
N
PPG INDUSTRIES INC
549300BKPEP01R3V6C59
PPG Industries Inc
693506BU0
1333000.00000000
PA
USD
1305050.64000000
0.040757234239
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417VRU9
3523.33000000
PA
USD
3796.73000000
0.000118573340
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AK7
488750.00000000
PA
USD
508293.26000000
0.015874194322
Long
ABS-O
CORP
US
N
2
2049-05-20
Fixed
4.02100000
N
N
N
N
N
N
BLACKSTONE PRIVATE CRE
549300ORP3TTCNXSYO43
Blackstone Private Credit Fund
09261HAC1
1181000.00000000
PA
USD
1152050.42000000
0.035978978427
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405ULC1
8450.86000000
PA
USD
9557.57000000
0.000298486593
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAG2
1235000.00000000
PA
USD
1238391.43000000
0.038675441431
Long
DBT
CORP
FR
N
2
2026-06-16
Fixed
1.90700000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BJ2
2000000.00000000
PA
USD
2412851.06000000
0.075354268120
Long
DBT
CORP
US
N
2
2049-05-23
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CK22
5860.73000000
PA
USD
6480.24000000
0.000202380391
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A1Z30
782702.71000000
PA
USD
879356.16000000
0.027462631636
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
Fixed
5.50000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EW9
472000.00000000
PA
USD
470499.55000000
0.014693882199
Long
DBT
CORP
AU
N
2
2028-11-20
Fixed
1.95300000
N
N
N
N
N
N
EMERSON ELECTRIC CO
FGLT0EWZSUIRRITFOA30
Emerson Electric Co
291011BR4
1100000.00000000
PA
USD
1096037.84000000
0.034229683976
Long
DBT
CORP
US
N
2
2031-12-21
Fixed
2.20000000
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KBF3 Mortgage Trust
30311TAE7
1500000.00000000
PA
USD
1513621.95000000
0.047270996599
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Floating
4.84400000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade RE 2021-3 Ltd
078777AD1
3300000.00000000
PA
USD
3278466.51000000
0.102387772090
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
1.59967000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407H5Y8
2765.72000000
PA
USD
3156.58000000
0.000098581209
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
31378C2T8
538.32000000
PA
USD
544.72000000
0.000017011815
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CLH5
775485.79000000
PA
USD
830273.99000000
0.025929776559
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAA3
1128000.00000000
PA
USD
1129022.95000000
0.035259821668
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.60000000
N
N
N
N
N
N
SCHLUMBERGER HLDGS CORP
529900IKZG65COT1D505
Schlumberger Holdings Corp
806851AJ0
500000.00000000
PA
USD
524830.83000000
0.016390669004
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MDTS1
403531.48000000
PA
USD
435944.34000000
0.013614709679
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBC8
979000.00000000
PA
USD
1089137.50000000
0.034014183699
Long
DBT
CORP
CA
N
2
2080-07-15
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F57L7
1088723.78000000
PA
USD
1145035.62000000
0.035759903521
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
4.00000000
N
N
N
N
N
N
Bank
N/A
Bank 2019-BNK19
06540WBH5
50800371.03000000
PA
USD
3160047.24000000
0.098689492668
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Variable
0.95601200
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412PMN8
11901.15000000
PA
USD
13162.87000000
0.000411081500
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
31417YTV9
23137.59000000
PA
USD
24785.92000000
0.000774073830
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AXDT9
1486198.19000000
PA
USD
1541699.67000000
0.048147874612
Long
ABS-MBS
USGSE
US
N
2
2047-07-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EZG7
149532.41000000
PA
USD
165363.69000000
0.005164371742
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding
N/A
Bear Stearns Mortgage Funding Trust 2006-AR5
07401NAP4
2027912.90000000
PA
USD
1910391.49000000
0.059662262184
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.29188000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDK4
1757900.00000000
PA
USD
1757075.98000000
0.054874159744
Long
DBT
UST
US
N
2
2026-11-30
Fixed
1.25000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312933MW1
5431.51000000
PA
USD
6011.53000000
0.000187742397
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
SUMITOMO MITSUI TR BK LT
5493006GGLR4BTEL8O61
Sumitomo Mitsui Trust Bank Ltd
86563VAT6
1234000.00000000
PA
USD
1205938.14000000
0.037661912682
Long
DBT
CORP
JP
N
2
2025-09-12
Fixed
1.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ADXM4
1229551.06000000
PA
USD
1351893.85000000
0.042220165733
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
4.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV FIN
5493000EYEKDT0FBSQ91
Anheuser-Busch InBev Finance Inc
035242AB2
1909000.00000000
PA
USD
2128975.81000000
0.066488734704
Long
DBT
CORP
US
N
2
2043-01-17
Fixed
4.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CE7
1331000.00000000
PA
USD
1366070.29000000
0.042662901415
Long
DBT
CORP
GB
N
2
2025-11-07
Fixed
2.63300000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2018-C5
17291DAU7
51600119.14000000
PA
USD
1845075.78000000
0.057622427398
Long
ABS-MBS
CORP
US
N
2
2051-06-10
Variable
0.53553900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BSA7
57682.15000000
PA
USD
66433.40000000
0.002074740674
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.00000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659BD2
1413000.00000000
PA
USD
1343731.08000000
0.041965239281
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
1.65000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7HN9
7620.22000000
PA
USD
8740.62000000
0.000272972929
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYK4
802000.00000000
PA
USD
798870.32000000
0.024949027847
Long
DBT
CORP
US
N
2
2042-07-21
Fixed
2.90800000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-94552.07000000
-0.00295289757
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-53820783.06000000
CZK
2364764.34000000
USD
2022-01-21
-94552.07000000
N
N
N
Social Professional Loan Progr
N/A
SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC
83401BAC0
2100000.00000000
PA
USD
2167765.32000000
0.067700146044
Long
ABS-O
CORP
US
N
2
2041-01-25
Fixed
3.62000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414EBJ2
20101.83000000
PA
USD
22870.17000000
0.000714244219
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAV2
730000.00000000
PA
USD
730175.57000000
0.022803664340
Long
DBT
CORP
NL
N
2
2037-03-13
Fixed
3.32400000
N
N
N
N
N
N
OVERSEA-CHINESE BANKING CORP LTD. (NEW YORK)
N/A
OVERSEA-CHINESE BANKING CORP LTD. (NEW YORK)
000000000
725000.00000000
PA
USD
724794.84000000
0.022635622070
Long
DBT
CORP
US
N
2
2022-04-07
Fixed
0.15000000
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDB2
2000000.00000000
PA
USD
2038556.20000000
0.063664895450
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
2.34967000
N
N
N
N
N
N
WASHINGTON GAS LIGHT CO
DL22T1SB4DUBS063O841
Washington Gas Light Co
93884PDY3
790000.00000000
PA
USD
888598.38000000
0.027751269727
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2VA8
64606.48000000
PA
USD
66854.80000000
0.002087901158
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Fixed
3.50000000
N
N
N
N
N
N
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-163663.48000000
-0.00511127352
N/A
DFE
CORP
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
-19482975.10000000
PLN
4666132.69000000
USD
2022-01-21
-163663.48000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GTWR7
2668435.17000000
PA
USD
2821527.30000000
0.088117384532
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394VKD1
292834.11000000
PA
USD
332784.47000000
0.010392987198
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FV94
728888.61000000
PA
USD
807584.80000000
0.025221184414
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
4.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WRV6
6428484.74000000
PA
USD
551193.07000000
0.017213971915
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417WKY6
1136268.84000000
PA
USD
1260246.86000000
0.039357994930
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AK1
780000.00000000
PA
USD
759668.97000000
0.023724754584
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
1.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EDT3
36037.86000000
PA
USD
39551.73000000
0.001235215764
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WXP2
267075.91000000
PA
USD
288719.22000000
0.009016812465
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
4.50000000
N
N
N
N
N
N
NEWCREST FINANCE PTY LTD
549300I0XDZ4K7PDSS04
Newcrest Finance Pty Ltd
65120FAE4
561000.00000000
PA
USD
638252.46000000
0.019932870203
Long
DBT
CORP
AU
N
2
2050-05-13
Fixed
4.20000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AQ7G2
1331.91000000
PA
USD
1535.51000000
0.000047954568
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
5.00000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities Trust 2006-SD4
07389NAA3
686673.48000000
PA
USD
690756.58000000
0.021572594097
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
3.01054600
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QLP96
11140.07000000
PA
USD
11670.13000000
0.000364462655
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
2.37500000
N
N
N
N
N
N
APPALACHIAN POWER CO
3SCHO1ABYYIG382BEI70
Appalachian Power Co
037735CY1
200000.00000000
PA
USD
215823.95000000
0.006740265101
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJSM4
4529777.42000000
PA
USD
4848575.86000000
0.151422891953
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBY5
1750000.00000000
PA
USD
1761446.73000000
0.055010659950
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.87500000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2021-3
80287EAF2
1200000.00000000
PA
USD
1185492.48000000
0.037023386844
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
1.33000000
N
N
N
N
N
N
PERKINELMER INC
549300IKL1SDPFI7N655
PerkinElmer Inc
714046AG4
2449000.00000000
PA
USD
2594692.09000000
0.081033233539
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
3.30000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FVY8
79671.82000000
PA
USD
91022.76000000
0.002842675860
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DDX4
9310.89000000
PA
USD
10504.93000000
0.000328073010
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8AV6
14377.42000000
PA
USD
16478.83000000
0.000514640209
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.50000000
N
N
N
N
N
N
Taco Bell Funding, LLC
N/A
Taco Bell Funding LLC
87342RAE4
1746000.00000000
PA
USD
1901450.92000000
0.059383044738
Long
ABS-O
CORP
US
N
2
2048-11-25
Fixed
4.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415R3A0
12015.01000000
PA
USD
13233.60000000
0.000413290426
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 Multifamily Housing Mortgage Loan Trust
55282XAJ9
3151000.00000000
PA
USD
3133547.56000000
0.097861897453
Long
ABS-MBS
CORP
KY
N
2
2036-07-15
Floating
2.66448000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GHP1
81066.85000000
PA
USD
92710.74000000
0.002895392125
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBL4
773500.00000000
PA
USD
750869.08000000
0.023449930630
Long
DBT
UST
US
N
2
2031-02-15
Fixed
1.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133THLK1
134515.99000000
PA
USD
149280.63000000
0.004662091583
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398WRX4
630531.60000000
PA
USD
83461.95000000
0.002606548851
Long
ABS-MBS
USGSE
US
N
2
2040-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412NMF0
118464.79000000
PA
USD
132656.77000000
0.004142922031
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BK4
2000000.00000000
PA
USD
2163414.78000000
0.067564277004
Long
DBT
CORP
GB
N
2
2028-03-13
Fixed
4.04100000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJL4
1396000.00000000
PA
USD
1338150.39000000
0.041790952183
Long
DBT
CORP
US
N
2
2031-10-24
Fixed
1.92200000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAY1
873000.00000000
PA
USD
915325.69000000
0.028585973915
Long
DBT
CORP
US
N
2
2025-06-08
Fixed
3.35000000
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BE1
1550000.00000000
PA
USD
1811652.90000000
0.056578617980
Long
DBT
CORP
NL
N
2
2035-05-11
Fixed
4.12500000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM Re-REMIC Trust 2021-FRR1
364614AQ0
8097000.00000000
PA
USD
6213509.06000000
0.194050281610
Long
ABS-MBS
CORP
US
N
2
2027-12-29
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RH77
17262.63000000
PA
USD
17649.14000000
0.000551189441
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Floating
1.28400000
N
N
N
N
N
N
DBS BANK LTD
N/A
DBS BANK LTD
000000000
250000.00000000
PA
USD
249986.97000000
0.007807189377
Long
DBT
CORP
US
N
2
2022-03-16
Floating
0.14000000
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JZ5
4132000.00000000
PA
USD
4421729.48000000
0.138092315069
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.30000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CA0
829000.00000000
PA
USD
832903.53000000
0.026011898106
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
MONONGAHELA POWER CO
N/A
Monongahela Power Co
610202BR3
830000.00000000
PA
USD
888360.54000000
0.027743841892
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.55000000
N
N
N
N
N
N
DUKE ENERGY INDIANA LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
26443TAB2
1485000.00000000
PA
USD
1542248.34000000
0.048165009787
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.25000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAJ1
500000.00000000
PA
USD
482272.79000000
0.015061565020
Long
DBT
CORP
FR
N
2
2032-01-20
Fixed
2.27700000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CK6
330000.00000000
PA
USD
330927.89000000
0.010335005489
Long
DBT
CORP
NL
N
2
2041-11-26
Fixed
2.87500000
N
N
N
N
N
N
APPALACHIAN POWER CO
3SCHO1ABYYIG382BEI70
Appalachian Power Co
037735CZ8
947000.00000000
PA
USD
971713.04000000
0.030346972577
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.70000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405R5C6
24160.21000000
PA
USD
27235.30000000
0.000850568911
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MK76
276843.94000000
PA
USD
312109.97000000
0.009747314599
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AR2F0
49202.65000000
PA
USD
53065.02000000
0.001657241017
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359WKH3
204357.25000000
PA
USD
222777.07000000
0.006957413717
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Fixed
6.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK16
065405AJ1
12400106.38000000
PA
USD
685449.36000000
0.021406847572
Long
ABS-MBS
CORP
US
N
2
2052-02-15
Variable
0.94560700
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 55 CLO Ltd
26245MAC5
1200000.00000000
PA
USD
1200189.60000000
0.037482383564
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.14375000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WC75
419647.44000000
PA
USD
73709.31000000
0.002301970146
Long
ABS-MBS
USGSE
US
N
2
2044-02-15
Variable
4.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-LC4 Mortgage Trust
126192AH6
8016802.60000000
PA
USD
424.89000000
0.000013269478
Long
ABS-MBS
CORP
US
N
2
2044-12-10
Variable
1.75874600
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBL6
848000.00000000
PA
USD
806011.47000000
0.025172048712
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
2.45000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403YXV0
73691.44000000
PA
USD
82371.92000000
0.002572506794
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WHC9
3542813.88000000
PA
USD
580775.61000000
0.018137846035
Long
ABS-MBS
USGSE
US
N
2
2044-02-15
Variable
4.00000000
N
N
N
N
N
N
Trinitas CLO Ltd
549300F3XEPDOX3FOP69
Trinitas Clo VII Ltd
89641CAK7
7000000.00000000
PA
USD
6999986.00000000
0.218612259425
Long
ABS-CBDO
CORP
KY
N
2
2035-01-25
Floating
1.20000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDL2
1600500.00000000
PA
USD
1607252.11000000
0.050195102566
Long
DBT
UST
US
N
2
2028-11-30
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379B3W6
8437990.56000000
PA
USD
1784813.05000000
0.055740399125
Long
ABS-MBS
USGA
US
N
2
2044-05-16
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AFZ7
129356.98000000
PA
USD
138607.88000000
0.004328777489
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
4.50000000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BM3
278000.00000000
PA
USD
289788.08000000
0.009050193375
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.93000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
800000.00000000
PA
USD
807437.86000000
0.025216595421
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2GJ2
23708.91000000
PA
USD
25976.99000000
0.000811271404
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AXET4
188790.81000000
PA
USD
208699.42000000
0.006517763285
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AD0
3000000.00000000
PA
USD
3049068.12000000
0.095223571998
Long
DBT
CORP
CH
N
2
2023-12-14
Fixed
2.99700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410ET73
74887.01000000
PA
USD
82395.68000000
0.002573248828
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NXG5
4005.66000000
PA
USD
4085.59000000
0.000127594549
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
5.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKD0
990000.00000000
PA
USD
995476.13000000
0.031089103033
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2H5
2100000.00000000
PA
USD
2153821.38000000
0.067264671426
Long
DBT
CORP
US
N
2
2025-10-30
Fixed
2.40600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQB84
2725125.95000000
PA
USD
2871474.72000000
0.089677261700
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Apidos CLO
549300CXPXW83QGWOL98
Apidos CLO XXXII
03768RAC0
9500000.00000000
PA
USD
9500817.00000000
0.296714174965
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
1.45150000
N
N
N
N
N
N
MIZUHO BANK LTD (SINGAPORE)
N/A
MIZUHO BANK LTD (SINGAPORE)
000000000
750000.00000000
PA
USD
749951.99000000
0.023421289556
Long
DBT
CORP
US
N
2
2022-01-21
Fixed
0.13500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415THV5
19968.88000000
PA
USD
22836.18000000
0.000713182698
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2015-SFR1
02666AAG3
2431123.82510000
PA
USD
0.00000000
0.000000
Long
ABS-O
CORP
US
N
3
2052-04-17
Variable
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405E6P5
4146.15000000
PA
USD
4798.65000000
0.000149863688
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
6.00000000
N
N
N
N
N
N
RIO TINTO FIN USA LTD
213800RX94ZKEZXPKH58
Rio Tinto Finance USA Ltd
767201AT3
1168000.00000000
PA
USD
1160142.85000000
0.036231708134
Long
DBT
CORP
AU
N
2
2051-11-02
Fixed
2.75000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378DZV0
104931.78000000
PA
USD
5499.02000000
0.000171736513
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
4.50000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-4 Ltd
07876UAA7
122640.13000000
PA
USD
122650.48000000
0.003830421739
Long
ABS-MBS
CORP
BM
N
2
2030-06-25
Floating
2.70188000
N
N
N
N
N
N
COLLAT CP V CO LLC
N/A
COLLAT CP V CO LLC
000000000
325000.00000000
PA
USD
324765.68000000
0.010142557297
Long
DBT
CORP
US
N
2
2022-04-11
Fixed
0.17000000
N
N
N
N
N
BARCLAYS BANK PLC (NEW YORK)
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC (NEW YORK)
06742TA89
725000.00000000
PA
USD
724978.15000000
0.022641346912
Long
DBT
CORP
US
N
2
2022-03-24
Floating
0.15881200
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296QZG7
38971.42000000
PA
USD
45053.04000000
0.001407023795
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
5.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CY4
3000000.00000000
PA
USD
3658197.84000000
0.114246927812
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
4.78000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391PEW2
529.48000000
PA
USD
583.47000000
0.000018221992
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296QK32
110102.74000000
PA
USD
126977.30000000
0.003965549995
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419CQN6
21230.46000000
PA
USD
23478.33000000
0.000733237290
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJY7
3320000.00000000
PA
USD
3523572.74000000
0.110042534076
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.87500000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBZ5
589000.00000000
PA
USD
637899.55000000
0.019921848688
Long
DBT
CORP
US
N
2
2060-01-31
Fixed
3.95000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468C6
4000000.00000000
PA
USD
4338620.04000000
0.135496775241
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BK7
1815000.00000000
PA
USD
1903581.84000000
0.059449594191
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398VSY3
1551945.22970000
PA
USD
1773471.44000000
0.055386196276
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Fixed
5.50000000
N
N
N
N
N
N
AUST & NZ BANKING GROUP
N/A
AUST & NZ BANKING GROUP
000000000
975000.00000000
PA
USD
974930.15000000
0.030447444162
Long
DBT
CORP
US
N
2
2022-03-30
Floating
0.13000000
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060BD7
600000.00000000
PA
USD
623323.20000000
0.019466623662
Long
DBT
CORP
JP
N
2
2060-07-09
Fixed
3.37500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ALZF1
135866.94000000
PA
USD
23.15000000
0.000000722983
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RHT9
28812.76000000
PA
USD
29389.41000000
0.000917842596
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Floating
1.28400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411CDR9
92513.34000000
PA
USD
105632.00000000
0.003298928053
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138APTB4
6699.23000000
PA
USD
7205.76000000
0.000225038660
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NP25
296835.39000000
PA
USD
339984.21000000
0.010617837852
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416H5W1
19544.25000000
PA
USD
21417.62000000
0.000668880523
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
4.50000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust 2005-2
437084JU1
270987.37000000
PA
USD
271406.86000000
0.008476140793
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
1.19688000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L75E5
4574393.96000000
PA
USD
4813348.27000000
0.150322720746
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6NU8
87935.51000000
PA
USD
100826.23000000
0.003148842004
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
5.50000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BA0
566000.00000000
PA
USD
691562.54000000
0.021597764538
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
4.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B12 Mortgage Trust
08162FAK9
27663488.02000000
PA
USD
1575015.16000000
0.049188330199
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
1.06215700
N
N
N
N
N
N
LIBERTY STREET FDG LLC
N/A
LIBERTY STREET FDG LLC
000000000
600000.00000000
PA
USD
599712.62000000
0.018729256153
Long
DBT
CORP
US
N
2
2022-03-17
Fixed
0.22000000
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-65CB
12668AZ40
1174823.43000000
PA
USD
1060795.30000000
0.033129045875
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-COR1 Mortgage Trust
12594MBF4
910000.00000000
PA
USD
957164.39000000
0.029892612633
Long
ABS-MBS
CORP
US
N
2
2049-10-10
Variable
4.33274300
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KV3T0
209163.10000000
PA
USD
242835.01000000
0.007583830911
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAC8
533000.00000000
PA
USD
596651.87000000
0.018633667751
Long
DBT
CORP
US
N
2
2046-10-15
Fixed
3.70000000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAF9
1320000.00000000
PA
USD
1664623.37000000
0.051986829117
Long
DBT
CORP
US
N
2
2045-12-14
Fixed
4.30000000
N
N
N
N
N
N
AMER AIRLINE 17-1 A PTT
N/A
American Airlines 2017-1 Class A Pass Through Trust
02378AAA5
386718.75000000
PA
USD
387018.23000000
0.012086728416
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MLB1
611.13000000
PA
USD
697.62000000
0.000021786941
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
SWEDBANK AB
N/A
SWEDBANK AB
000000000
725000.00000000
PA
USD
724754.24000000
0.022634354116
Long
DBT
CORP
US
N
2
2022-03-23
Fixed
0.14500000
N
N
N
N
N
ROCHE HOLDINGS INC
PVJRP0EQNV6OGDPZGY95
Roche Holdings Inc
771196BW1
1130000.00000000
PA
USD
1137664.99000000
0.035529715907
Long
DBT
CORP
US
N
2
2028-12-13
Fixed
1.93000000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAB0
1029000.00000000
PA
USD
1227449.89000000
0.038333732922
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A0A72
1596557.19000000
PA
USD
1743959.49000000
0.054464526708
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Fixed
5.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378TQB9
220774.75000000
PA
USD
216819.53000000
0.006771357448
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
1.25000000
N
N
N
N
N
N
Beacon Container Finance II LL
N/A
Beacon Container Finance II LLC
07359BAA5
934166.67000000
PA
USD
932361.67000000
0.029118014133
Long
ABS-O
CORP
US
N
2
2046-10-22
Fixed
2.25000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBZ1
2554000.00000000
PA
USD
2651668.02000000
0.082812613782
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B18 Mortgage Trust
08163ABR3
2258000.00000000
PA
USD
2249544.47000000
0.070254140403
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Fixed
4.13900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BE6Q2
2682777.01000000
PA
USD
445962.58000000
0.013927583174
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Floating
5.99025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KW67
916.43000000
PA
USD
1045.41000000
0.000032648557
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDN8
24423700.00000000
PA
USD
24453275.64000000
0.763685218516
Long
DBT
UST
US
N
2
2024-12-15
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A9LB8
42037.61000000
PA
USD
46474.21000000
0.001451407481
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415Y4Y2
21829.34000000
PA
USD
25310.77000000
0.000790465097
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M1ZP6
4199.10000000
PA
USD
4500.15000000
0.000140541418
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.50000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAE6
1500000.00000000
PA
USD
1591312.82000000
0.049697312399
Long
DBT
CORP
US
N
2
2040-06-22
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGSJ4
13477.88000000
PA
USD
15433.78000000
0.000482002895
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ALLZ8
105575.92000000
PA
USD
116837.17000000
0.003648869828
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBG9
450000.00000000
PA
USD
448662.97000000
0.014011917394
Long
DBT
CORP
US
N
2
2061-12-10
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411E2C0
53005.82000000
PA
USD
60486.03000000
0.001889002018
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.50000000
N
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AH4
750000.00000000
PA
USD
766323.01000000
0.023932562817
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
3.80000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAG8
786000.00000000
PA
USD
804482.13000000
0.025124286835
Long
DBT
CORP
FR
N
2
2042-10-19
Fixed
3.58200000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEE8
245000.00000000
PA
USD
256776.43000000
0.008019226828
Long
DBT
CORP
US
N
2
2041-05-15
Fixed
3.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416LHE9
12696.86000000
PA
USD
14039.70000000
0.000438465239
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FMA1
469249.90000000
PA
USD
508539.05000000
0.015881870438
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
4.00000000
N
N
N
N
N
N
Mello Warehouse Securitization
N/A
Mello Warehouse Securitization Trust 2021-1
58550LAC9
700000.00000000
PA
USD
697855.34000000
0.021794291107
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Floating
1.18925000
N
N
N
N
N
N
FLEX INTERMEDIATE HOLDCO
549300290TQIGM30A243
Flex Intermediate Holdco LLC
33939HAA7
1472000.00000000
PA
USD
1479915.16000000
0.046218320563
Long
DBT
CORP
US
N
2
2031-06-30
Fixed
3.36300000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BD2
3858000.00000000
PA
USD
4024587.09000000
0.125689405236
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BAPA4
7958412.08000000
PA
USD
8713015.18000000
0.272110820637
Long
ABS-MBS
USGSE
US
N
2
2044-05-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411E2K2
815.94000000
PA
USD
915.60000000
0.000028594540
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.00000000
N
N
N
N
N
N
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
Credit Suisse AG
22546DAA4
6000000.00000000
PA
USD
6471930.00000000
0.202120867119
Long
DBT
CORP
CH
N
2
2023-08-08
Fixed
6.50000000
N
N
N
N
N
N
TCW Gem Ltd
N/A
TCW CLO 2020-1 Ltd
87190CBC3
6000000.00000000
PA
USD
5995446.00000000
0.187240088240
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
2.22374000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 Trust
93934FHV7
1821334.93000000
PA
USD
1745341.73000000
0.054507694596
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.75000000
N
N
N
N
N
N
ENTERGY CORP
4XM3TW50JULSLG8BNC79
Entergy Corp
29364GAL7
747000.00000000
PA
USD
761063.40000000
0.023768303170
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.80000000
N
N
N
N
N
N
DZ BANK AG (NEW YORK)
N/A
DZ BANK AG (NEW YORK)
000000000
725000.00000000
PA
USD
725004.37000000
0.022642165772
Long
DBT
CORP
US
N
2
2022-01-07
Fixed
0.10000000
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109BJ2
2118000.00000000
PA
USD
2139477.88000000
0.066816718396
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
2.20000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LA48
48698.65000000
PA
USD
56037.88000000
0.001750084580
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413BLR0
7021.24000000
PA
USD
8136.86000000
0.000254117272
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDR2
2750000.00000000
PA
USD
3454687.94000000
0.107891235235
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
4.81200000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Mortgage Loan Trust Series 2007-D1
00083BAB1
1242178.43000000
PA
USD
1187783.31000000
0.037094930348
Long
ABS-MBS
CORP
US
N
2
2038-02-25
Variable
6.33600000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578AAN8
1960000.00000000
PA
USD
2003412.37000000
0.062567340101
Long
DBT
CORP
FR
N
2
2029-10-01
Fixed
2.70000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
531000.00000000
PA
USD
720411.24000000
0.022498720553
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
CONOCOPHILLIPS
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825CAV6
647000.00000000
PA
USD
709707.75000000
0.022164446437
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CU67
113840.96000000
PA
USD
128347.92000000
0.004008354985
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132FCAG0
265047.45000000
PA
USD
307761.40000000
0.009611507082
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBR5
3079000.00000000
PA
USD
3002931.12000000
0.093782695714
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.25900000
N
N
N
N
N
N
AMER AIRLINE 17-2 A PTT
N/A
American Airlines 2017-2 Class A Pass Through Trust
02377CAA2
704386.25000000
PA
USD
687199.37000000
0.021461501058
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.60000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I 2017-HR2
61691NAN5
1900000.00000000
PA
USD
1723528.19000000
0.053826449338
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
2.73000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412MTG3
6135.93000000
PA
USD
7019.27000000
0.000219214506
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
LSTAR Commercial Mortgage Trus
549300MAI3U5Y4VL8H37
LSTAR Commercial Mortgage Trust 2015-3
54910JAW4
4447000.00000000
PA
USD
4201054.22000000
0.131200541687
Long
ABS-MBS
CORP
US
N
2
2048-04-20
Variable
3.16565900
N
N
N
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
171239AJ5
288000.00000000
PA
USD
294717.53000000
0.009204141997
Long
DBT
CORP
US
N
2
2061-12-15
Fixed
3.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DA41
26500.35800000
PA
USD
30187.11000000
0.000942755074
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374XQG3
2122475.84000000
PA
USD
405062.20000000
0.012650248550
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Floating
6.09612000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAGA6
6086036.65000000
PA
USD
6489362.19000000
0.202665281128
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-1
33850TAY4
1369029.42000000
PA
USD
1376482.69000000
0.042988084679
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
3.98438900
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-9
52521HBJ1
6690601.89370000
PA
USD
1433898.35000000
0.044781197859
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
6.51725000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R03
20754AAF0
1500000.00000000
PA
USD
1501411.35000000
0.046889654858
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A9XL3
268341.22000000
PA
USD
296725.65000000
0.009266856358
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
AT&T INC 6/21/07 5.25%
N/A
AT&T INC 0% CP 04/12/2022
000000000
7000000.00000000
PA
USD
6991392.31000000
0.218343875176
Long
DBT
CORP
US
N
2
2022-04-12
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413N6V2
1020.70000000
PA
USD
1153.96000000
0.000036038615
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
31412T3G6
1355.85000000
PA
USD
1512.39000000
0.000047232522
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
171239AH9
406000.00000000
PA
USD
408051.64000000
0.012743609913
Long
DBT
CORP
US
N
2
2051-12-15
Fixed
2.85000000
N
N
N
N
N
N
HP INC
WHKXQACZ14C5XRO8LW03
HP Inc
428236BX0
1840000.00000000
PA
USD
1879367.22000000
0.058693362280
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
4.05000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NAX9
270000.00000000
PA
USD
300304.19000000
0.009378615541
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.05000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4XA6
85509.13000000
PA
USD
97252.11000000
0.003037220860
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412BFT4
111124.08000000
PA
USD
127113.50000000
0.003969803573
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292HSS3
1840.31000000
PA
USD
2069.85000000
0.000064642212
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Structured Pass Through
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
31393LFK4
286331.94000000
PA
USD
336153.93000000
0.010498216732
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
6.50000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86959LAH6
1137000.00000000
PA
USD
1119064.06000000
0.034948801697
Long
DBT
CORP
SE
N
2
2027-06-11
Fixed
1.41800000
N
N
N
N
N
N
BLACK HILLS CORP
3MGELCRSTNSAMJ962671
Black Hills Corp
092113AH2
1800000.00000000
PA
USD
1891071.45000000
0.059058889892
Long
DBT
CORP
US
N
2
2023-11-30
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WDZP9
4744053.03000000
PA
USD
5273105.32000000
0.164681110532
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412TGT4
109835.87000000
PA
USD
126401.94000000
0.003947581280
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377FZV6
1963740.00000000
PA
USD
2162608.74000000
0.067539104064
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412FM26
662.22000000
PA
USD
728.82000000
0.000022761329
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
CI FINANCIAL CORP
549300M9W7JJQSVCEM78
CI Financial Corp
125491AP5
1035000.00000000
PA
USD
1124294.98000000
0.035112165344
Long
DBT
CORP
CA
N
2
2051-06-15
Fixed
4.10000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBE2
730000.00000000
PA
USD
878725.51000000
0.027442936193
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2021-4
36263DAC1
350000.00000000
PA
USD
350233.80000000
0.010937936496
Long
ABS-O
CORP
US
N
2
2027-10-15
Fixed
1.94000000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAT4
1535000.00000000
PA
USD
1574173.84000000
0.049162055451
Long
DBT
CORP
FR
N
2
2024-11-21
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407EYE7
342206.65000000
PA
USD
344749.75000000
0.010766667502
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Floating
1.82500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417BTN7
27832.18000000
PA
USD
29816.02000000
0.000931165790
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.50000000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAJ4
462000.00000000
PA
USD
498492.07000000
0.015568099383
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394F2W4
3069411.52000000
PA
USD
597805.03000000
0.018669681382
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Floating
6.57812000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBE2
1385000.00000000
PA
USD
1472722.29000000
0.045993684462
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.75000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BAL42
2901986.78000000
PA
USD
310982.42000000
0.009712100778
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Floating
6.09025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418XE38
1778.51000000
PA
USD
1951.52000000
0.000060946721
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCJ3
2071000.00000000
PA
USD
2055281.09000000
0.064187220208
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
2.06900000
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBH7
209000.00000000
PA
USD
221191.18000000
0.006907885762
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
3.85000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NAY7
410000.00000000
PA
USD
516048.52000000
0.016116394080
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.70000000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAN0
2636284.97000000
PA
USD
2645908.46000000
0.082632740504
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
3.81000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAQ9
2140000.00000000
PA
USD
1974074.24000000
0.061651098999
Long
ABS-MBS
CORP
US
N
2
2028-10-27
Fixed
1.07930000
N
N
N
N
N
N
TES LLC
N/A
TES 2017-1 LLC
88159DAB1
5500000.00000000
PA
USD
5289523.25000000
0.165193848811
Long
ABS-O
CORP
US
N
2
2047-10-20
Fixed
7.74000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDJ0
1358000.00000000
PA
USD
1322123.68000000
0.041290431855
Long
DBT
CORP
NL
N
2
2026-09-24
Fixed
1.00400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W4QC8
256609.53000000
PA
USD
277131.88000000
0.008654935373
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AL70
15177.70000000
PA
USD
17617.93000000
0.000550214740
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QPTX2
982331.23000000
PA
USD
1054656.21000000
0.032937319729
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377YTY6
184028.11000000
PA
USD
3942.05000000
0.000123111740
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
5.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BR2
1229000.00000000
PA
USD
1189776.71000000
0.037157184997
Long
DBT
CORP
US
N
2
2032-02-03
Fixed
2.15000000
N
N
N
N
N
N
L Street Securities
N/A
PMTT4
693458AG6
2299183145.39100000
PA
USD
2416211.57000000
0.075459218142
Long
ABS-MBS
CORP
US
N
2
2048-10-25
None
0.00000000
N
N
N
N
N
N
Babson CLO Ltd
5493000D71NBEM2WZE67
Barings CLO Ltd 2018-III
06760PAE1
4393000.00000000
PA
USD
4393061.50000000
0.137197003009
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
1.43150000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2018-1
61946FAA3
1648974.04000000
PA
USD
1743389.02000000
0.054446710710
Long
ABS-O
CORP
US
N
2
2043-06-22
Fixed
4.01000000
N
N
N
N
N
N
TOTALENERGIES CAPITAL
5299005IX98ZZ9LSGK46
TotalEnergies Capital Canada Ltd
89153UAF8
2000000.00000000
PA
USD
2055662.04000000
0.064199117423
Long
DBT
CORP
CA
N
2
2023-07-15
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397JR97
945377.56000000
PA
USD
1055161.33000000
0.032953094821
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Fixed
5.50000000
N
N
N
N
N
N
AUTODESK INC
FRKKVKAIQEF3FCSTPG55
Autodesk Inc
052769AH9
785000.00000000
PA
USD
783602.46000000
0.024472206697
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5R93
85811.37000000
PA
USD
98439.67000000
0.003074308816
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BWWW0
16435.65000000
PA
USD
16465.66000000
0.000514228904
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283HZ65
8363.02000000
PA
USD
9479.18000000
0.000296038443
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LKK1
9904.01000000
PA
USD
11411.57000000
0.000356387727
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
5.00000000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AD7
1870000.00000000
PA
USD
2166745.59000000
0.067668299483
Long
DBT
CORP
US
N
2
2039-04-01
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378YAT6
7241638.87000000
PA
USD
1245049.18000000
0.038883365529
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LCD86
46786.35000000
PA
USD
53538.79000000
0.001672037036
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AWQ4
30061409.90000000
PA
USD
1634679.35000000
0.051051665837
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Floating
2.72612000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417WKH3
175490.14000000
PA
USD
198993.03000000
0.006214628986
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AGPR3
192940.95000000
PA
USD
213466.05000000
0.006666626976
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111FN8
500000.00000000
PA
USD
568348.28000000
0.017749735732
Long
DBT
CORP
US
N
2
2057-11-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414R4E2
36155.95000000
PA
USD
41562.78000000
0.001298021630
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WDZ2
35643.07000000
PA
USD
38406.84000000
0.001199460408
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANQA4
160733.28000000
PA
USD
172954.67000000
0.005401440972
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHSR4
3672507.59000000
PA
USD
3880471.38000000
0.121188616094
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AK6
935000.00000000
PA
USD
1211146.40000000
0.037824568649
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.90000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2007-FM1
3622MAAB7
108404.99000000
PA
USD
68991.84000000
0.002154641741
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.17188000
N
N
N
N
N
N
KITE REALTY GROUP LP
549300X6R2GYI8Y3OD81
Kite Realty Group LP
49803XAA1
891000.00000000
PA
USD
946263.71000000
0.029552180198
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.00000000
N
N
N
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAK7
975000.00000000
PA
USD
987929.67000000
0.030853424180
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.40000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31395QJ27
293475.02000000
PA
USD
41898.64000000
0.001308510668
Long
ABS-MBS
USGSE
US
N
2
2043-08-25
Fixed
4.00000000
N
N
N
N
N
N
NORTHWESTERN MUTUAL GLBL
635400LZXFVELZDVP257
Northwestern Mutual Global Funding
66815L2D0
1611000.00000000
PA
USD
1596050.13000000
0.049845260415
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
1.70000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBN9
357000.00000000
PA
USD
337232.54000000
0.010531902138
Long
DBT
CORP
US
N
2
2050-11-10
Fixed
2.77200000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup COmmercial Mortgage Trust 2018-C6
17327GAA2
2101000.00000000
PA
USD
2206285.73000000
0.068903153288
Long
ABS-MBS
CORP
US
N
2
2051-11-10
Variable
5.06542200
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2J2
4115000.00000000
PA
USD
4237285.21000000
0.132332049462
Long
DBT
CORP
FR
N
2
2025-11-19
Fixed
2.81900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296QMF3
59753.43000000
PA
USD
68898.71000000
0.002151733255
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KNS4
1700000.00000000
PA
USD
1706950.62000000
0.053308725441
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
2.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XB5W0
175818.79000000
PA
USD
192141.95000000
0.006000667118
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WRT1
7142370.27000000
PA
USD
703924.87000000
0.021983844867
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
3.50000000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AA5
840000.00000000
PA
USD
883370.75000000
0.027588008828
Long
DBT
CORP
N/A
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409YBW6
18102.48000000
PA
USD
20736.00000000
0.000647593268
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAC0
2532000.00000000
PA
USD
2436134.94000000
0.076081432662
Long
ABS-MBS
CORP
US
N
2
2028-10-27
Fixed
2.07100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378YA25
5535400.05000000
PA
USD
946644.74000000
0.029564079911
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Floating
5.94612000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413Y2K6
592.13000000
PA
USD
677.99000000
0.000021173888
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0BK4
267382.29000000
PA
USD
272430.90000000
0.008508121957
Long
ABS-MBS
CORP
US
N
2
2024-08-25
Floating
4.10275000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393T7H3
31236.34000000
PA
USD
31123.18000000
0.000971988901
Long
ABS-MBS
USGSE
US
N
2
2034-03-25
Floating
0.22188000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-HYB9
12669GHG9
15954.87000000
PA
USD
16113.91000000
0.000503243616
Long
ABS-MBS
CORP
US
N
2
2035-02-20
Variable
2.50986600
N
N
N
N
N
N
FED CAISSES DESJARDINS
549300B2Q47IR0CR5B54
Federation des Caisses Desjardins du Quebec
31429KAD5
1925000.00000000
PA
USD
1950356.04000000
0.060910370476
Long
DBT
CORP
CA
N
2
2025-02-10
Fixed
2.05000000
N
N
N
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO 2021-3 Ltd
69688FAC4
2000000.00000000
PA
USD
1998548.00000000
0.062415423952
Long
ABS-CBDO
CORP
KY
N
2
2035-01-15
Floating
1.63249000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXZ2
68381.79000000
PA
USD
78325.66000000
0.002446140535
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A7ZK7
76863.69000000
PA
USD
82594.73000000
0.002579465236
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 YEAR US TREASURY NOTE
000000000
5.00000000
NC
USD
-126.53000000
-0.00000395158
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
1090985.91000000
USD
-126.53000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376TZ47
1891042.86000000
PA
USD
168675.73000000
0.005267808027
Long
ABS-MBS
USGA
US
N
2
2039-01-16
Floating
6.39250000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413Y6V8
44139.48000000
PA
USD
51131.52000000
0.001596857067
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408AE30
8712.27000000
PA
USD
9926.86000000
0.000310019661
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLJ9
4606000.00000000
PA
USD
4630495.81000000
0.144612167979
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BK5
760000.00000000
PA
USD
761930.31000000
0.023795377104
Long
DBT
CORP
US
N
2
2060-02-15
Fixed
3.10000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-74693.83000000
-0.00233271708
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-63520811.15000000
ZAR
3901574.41000000
USD
2022-01-21
-74693.83000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CJW7
5440.69000000
PA
USD
6312.63000000
0.000197145866
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416PXM4
75596.49000000
PA
USD
83576.18000000
0.002610116297
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAT6
3500000.00000000
PA
USD
4348587.15000000
0.135808051926
Long
DBT
CORP
US
N
2
2047-09-20
Fixed
5.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QLRW3
1885.51000000
PA
USD
2009.90000000
0.000062769951
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
2.37500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CB9
220000.00000000
PA
USD
229689.37000000
0.007173287509
Long
DBT
CORP
US
N
2
2048-11-01
Fixed
3.85000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
ISHARES IBOXX HIGH YIELD CORPORATE BOND ETF
000000000
2706099.00000000
NC
USD
765411.63000000
0.023904100068
N/A
DE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Put
Purchased
iShares iBoxx High Yield Corporate Bond ETF
iShares iBoxx High Yield Corporate Bond ETF
1.00000000
80.50000000
USD
2022-03-18
XXXX
-629190.02000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
500000.00000000
PA
USD
643370.96000000
0.020092722930
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
Evergy Kansas Central Inc
95709TAQ3
1944000.00000000
PA
USD
2025553.52000000
0.063258816745
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.25000000
N
N
N
N
N
N
STARBIRD FUNDING CORP
N/A
STARBIRD FUNDING CORP
000000000
500000.00000000
PA
USD
499482.99000000
0.015599046196
Long
DBT
CORP
US
N
2
2022-05-12
Fixed
0.30000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ASSE3
4566.27000000
PA
USD
5051.18000000
0.000157750297
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412EE36
107840.63000000
PA
USD
121041.54000000
0.003780173923
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396KKA9
346838.40840000
PA
USD
34942.51000000
0.001091268048
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Floating
6.59812000
N
N
N
N
N
N
Allegany Park CLO, Ltd.
N/A
Allegany Park CLO Ltd
017154AA3
8750000.00000000
PA
USD
8751391.25000000
0.273309320087
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
1.46150000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379DCX0
3070869.80000000
PA
USD
555607.25000000
0.017351828457
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Floating
5.49612000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SUX3
360845.91000000
PA
USD
394452.16000000
0.012318892913
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
4.50000000
N
N
N
N
N
N
ENRGY TRANS LP/REG FIN
N/A
Energy Transfer LP / Regency Energy Finance Corp
75886AAJ7
1067000.00000000
PA
USD
1118143.41000000
0.034920049443
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
4.50000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
SoFi Consumer Loan Program 2019-2 Trust
83406CAD1
1000000.00000000
PA
USD
1019974.40000000
0.031854193442
Long
ABS-O
CORP
US
N
2
2028-04-25
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410XHX7
13155.91000000
PA
USD
15012.89000000
0.000468858338
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416A4X5
483.59000000
PA
USD
556.06000000
0.000017365968
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414CFW3
4720.97000000
PA
USD
5312.04000000
0.000165897055
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KG01 Mortgage Trust
30298CAQ4
7380000.00000000
PA
USD
38821.75000000
0.001212418208
Long
ABS-MBS
CORP
US
N
2
2029-05-25
Fixed
0.10000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2015-2
81733YEG0
735511.00000000
PA
USD
739151.19000000
0.023083976411
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Variable
3.77312700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417Y2Y2
12154.22000000
PA
USD
13385.54000000
0.000418035570
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
KNDL Mortgage Trust
N/A
KNDL 2019-KNSQ Mortgage Trust
482598AQ2
1000000.00000000
PA
USD
992677.50000000
0.031001700739
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.11000000
N
N
N
N
N
N
VICTORY RECEIVABLES CORPORATION
N/A
VICTORY RECEIVABLES CORPORATION
000000000
725000.00000000
PA
USD
724990.60000000
0.022641735730
Long
DBT
CORP
US
N
2
2022-01-06
Fixed
0.12000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KZ35
77725.57000000
PA
USD
89782.72000000
0.002803948933
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC
466330AN7
100000.00000000
PA
USD
100065.66000000
0.003125089110
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
2.56000000
N
N
N
N
N
N
CSX CORP
549300JVQR4N1MMP3Q88
CSX Corp
126408HL0
1750000.00000000
PA
USD
2286467.10000000
0.071407248362
Long
DBT
CORP
US
N
2
2068-03-01
Fixed
4.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EBZN8
34224.26000000
PA
USD
36779.35000000
0.001148633269
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4.50000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loans 2017-2 LLC
61946GAA1
1970883.03000000
PA
USD
2054048.58000000
0.064148728446
Long
ABS-O
CORP
US
N
2
2043-06-22
Fixed
3.82000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411UAU5
5532.73000000
PA
USD
6268.36000000
0.000195763297
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5WX4
57858.55000000
PA
USD
66300.53000000
0.002070591093
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
TAMPA ELECTRIC CO
WS423EPRKJIIJUITXD73
Tampa Electric Co
875127BC5
580000.00000000
PA
USD
696361.91000000
0.021747650712
Long
DBT
CORP
US
N
2
2044-05-15
Fixed
4.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8NA8
65381.43000000
PA
USD
74896.89000000
0.002339058727
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411DY78
4038.08000000
PA
USD
4506.62000000
0.000140743478
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BXB7
6318271.31000000
PA
USD
6643473.56000000
0.207478238583
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2018-A
63940PAD7
2000000.00000000
PA
USD
2032251.20000000
0.063467987872
Long
ABS-O
CORP
US
N
2
2042-02-18
Fixed
3.68000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EE3
595000.00000000
PA
USD
581528.36000000
0.018161354708
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
2.80000000
N
N
N
N
N
N
ORIX CORP
35380016EMHNBOVYE123
ORIX Corp
686330AK7
5000000.00000000
PA
USD
5271921.00000000
0.164644123763
Long
DBT
CORP
JP
N
2
2024-12-04
Fixed
3.25000000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM 26 Ltd
50200FAL3
10000000.00000000
PA
USD
9984080.00000000
0.311806664625
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.38150000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416RFA6
16973.06000000
PA
USD
18707.03000000
0.000584227753
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411X5P6
25936.64000000
PA
USD
28561.03000000
0.000891971969
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EG1
2117000.00000000
PA
USD
2107378.51000000
0.065814242705
Long
DBT
CORP
US
N
2
2061-02-08
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XKS8
419716.39000000
PA
USD
462715.44000000
0.014450781445
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-SBT1
20753VBE7
800000.00000000
PA
USD
831996.32000000
0.025983565588
Long
ABS-MBS
CORP
US
N
2
2040-02-25
Floating
3.75275000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QHQ5
177567.40000000
PA
USD
195727.92000000
0.006112658343
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711X3H5
4754080.71000000
PA
USD
4795217.77000000
0.149756498247
Long
ABS-MBS
CORP
US
N
2
2031-03-25
Floating
2.10275000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBW5
1000000.00000000
PA
USD
1052796.61000000
0.032879243705
Long
DBT
CORP
US
N
2
2024-04-13
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJYS1
117.24000000
PA
USD
118.25000000
0.000003692993
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BCW3
69393.52000000
PA
USD
76467.29000000
0.002388102924
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2019-3
80286HAG4
1900000.00000000
PA
USD
1925548.35000000
0.060135616760
Long
ABS-O
CORP
US
N
2
2025-10-15
Fixed
2.68000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410S7M3
2786.69000000
PA
USD
3147.76000000
0.000098305757
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
NIEUW AMSTERDAM RECEIVABLES CORPORATION B.V.
N/A
NIEUW AMSTERDAM RECEIVABLES CORPORATION B.V.
000000000
250000.00000000
PA
USD
249995.99000000
0.007807471075
Long
DBT
CORP
US
N
2
2022-01-07
Fixed
0.10000000
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-10
07386HZE4
547397.67000000
PA
USD
543070.49000000
0.016960300612
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Variable
2.64331600
N
N
N
N
N
N
MIZUHO BANK LTD (NEW YORK)
N/A
MIZUHO BANK LTD (NEW YORK)
000000000
725000.00000000
PA
USD
724834.72000000
0.022636867537
Long
DBT
CORP
US
N
2
2022-04-14
Fixed
0.16000000
N
N
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
001192AH6
1775000.00000000
PA
USD
2420681.65000000
0.075598820462
Long
DBT
CORP
US
N
2
2041-03-15
Fixed
5.87500000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WRP9
8824853.82000000
PA
USD
756874.18000000
0.023637472216
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GFYY7
398922.73000000
PA
USD
441436.46000000
0.013786230702
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
ONEOK PARTNERS LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAG8
718000.00000000
PA
USD
907780.56000000
0.028350336598
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
6.12500000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAB8
3000000.00000000
PA
USD
3127813.47000000
0.097682819614
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.20000000
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE4 Mortgage Trust
12624QAA1
65166000.00000000
PA
USD
311734.59000000
0.009735591337
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Variable
0.61408400
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AS9
1250000.00000000
PA
USD
1312964.20000000
0.041004377766
Long
DBT
CORP
GB
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
FRR Re-Remic Trust
N/A
FRR Re-REMIC Trust 2018-C1
30307WBE5
3000000.00000000
PA
USD
2759350.20000000
0.086175569746
Long
ABS-MBS
CORP
US
N
2
2050-02-27
Variable
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397H6V5
2681656.95000000
PA
USD
506529.06000000
0.015819097676
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Floating
6.30025000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397QRC4
2169895.87000000
PA
USD
236012.85000000
0.007370772226
Long
ABS-MBS
USGSE
US
N
2
2041-01-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418A3J5
6576.13000000
PA
USD
7224.52000000
0.000225624542
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCJ8
170000.00000000
PA
USD
167323.83000000
0.005225587670
Long
DBT
UST
US
N
2
2026-06-30
Fixed
0.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406RQ65
3882.78000000
PA
USD
4303.02000000
0.000134384972
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.00000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WRQ7
9248897.53000000
PA
USD
962713.12000000
0.030065901609
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410X3E4
515.55000000
PA
USD
594.53000000
0.000018567400
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JBW7
110.13000000
PA
USD
109.94000000
0.000003433468
Long
ABS-MBS
USGSE
US
N
2
2022-04-01
Fixed
6.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2013-GC16
36248GAF7
28633083.42000000
PA
USD
424946.45000000
0.013271241338
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
1.00927600
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust 2019-OC11
05606FAN3
2280000.00000000
PA
USD
2268089.51000000
0.070833309146
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Variable
4.07545700
N
N
N
N
N
N
AETNA INC
549300QKBENKLBXQ8968
Aetna Inc
00817YAJ7
2403000.00000000
PA
USD
2851774.04000000
0.089062001874
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.50000000
N
N
N
N
N
N
NESTLE HOLDINGS INC
549300EAEU8YV8MQXP30
Nestle Holdings Inc
641062AW4
1537000.00000000
PA
USD
1498588.79000000
0.046801505221
Long
DBT
CORP
US
N
2
2028-09-14
Fixed
1.50000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391BHQ3
12314.51000000
PA
USD
13592.22000000
0.000424490266
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A4MK2
9860230.29000000
PA
USD
1788992.85000000
0.055870935889
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
5.84812000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414UZ92
104574.27000000
PA
USD
120934.56000000
0.003776832897
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36296QZD4
111736.61000000
PA
USD
129141.42000000
0.004033136296
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
5.00000000
N
N
N
N
N
N
LMA AMERICAS LLC
N/A
LMA AMERICAS LLC
000000000
747000.00000000
PA
USD
746939.47000000
0.023327207395
Long
DBT
CORP
US
N
2
2022-01-26
Fixed
0.10000000
N
N
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
171239AG1
1090000.00000000
PA
USD
1027852.40000000
0.032100226417
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.37500000
N
N
N
N
N
New Century Home Equity Loan T
N/A
New Century Home Equity Loan Trust 2005-2
64352VKV2
196316.62000000
PA
USD
196515.69000000
0.006137260703
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.83688000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2020-1
85573AAD7
698000.00000000
PA
USD
700768.90000000
0.021885282708
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
2.87800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AH6U5
17967.88000000
PA
USD
19252.28000000
0.000601256121
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Marlette Funding Trust
549300Y3KZXU3NUCX480
Marlette Funding Trust 2019-2
57109HAC6
1750000.00000000
PA
USD
1766379.65000000
0.055164716942
Long
ABS-O
CORP
US
N
2
2029-07-16
Fixed
4.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NNZ4
13.82000000
PA
USD
13.91000000
0.000000434414
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
5.50000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCA1
1107000.00000000
PA
USD
1151148.20000000
0.035950801749
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HN0
436000.00000000
PA
USD
436333.62000000
0.013626867043
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398N2X1
4510687.55000000
PA
USD
727670.88000000
0.022725441907
Long
ABS-MBS
USGSE
US
N
2
2040-11-25
Floating
5.96812000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415LR82
2385.60000000
PA
USD
2652.44000000
0.000082836723
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
6.00000000
N
N
N
N
N
N
COMMONWEALTH BANK AUST
N/A
COMMONWEALTH BANK AUST
000000000
250000.00000000
PA
USD
249841.75000000
0.007802654100
Long
DBT
CORP
US
N
2
2022-04-19
Fixed
0.16000000
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAL3
830000.00000000
PA
USD
845449.18000000
0.026403703588
Long
DBT
CORP
US
N
2
2022-11-06
Fixed
2.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292JRE1
5013.72000000
PA
USD
5644.70000000
0.000176286155
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HLMN0
817694.70000000
PA
USD
879991.12000000
0.027482461681
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBD6
750000.00000000
PA
USD
791575.64000000
0.024721212180
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.39000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M5ED8
30543.61000000
PA
USD
35004.22000000
0.001093195275
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-6CB
12667F5E1
1467405.39000000
PA
USD
1416053.69000000
0.044223902253
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Fixed
5.25000000
N
N
N
N
N
N
NRW.BANK
N/A
NRW.BANK
000000000
750000.00000000
PA
USD
749821.47000000
0.023417213366
Long
DBT
CORP
US
N
2
2022-03-21
Fixed
0.13000000
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CY3
1600000.00000000
PA
USD
1615038.37000000
0.050438270465
Long
DBT
CORP
GB
N
2
2032-11-22
Fixed
2.87100000
N
N
N
N
N
N
Broad River BSL Funding CLO Lt
5493000KEEYM16WOW109
Broad River Bsl Funding Clo Ltd 2020-1
11124TAJ3
3490000.00000000
PA
USD
3484154.25000000
0.108811479448
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.30150000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BAPB2
12297352.96000000
PA
USD
13621540.53000000
0.425405958258
Long
ABS-MBS
USGSE
US
N
2
2044-05-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405AYL1
4149.57000000
PA
USD
4570.37000000
0.000142734415
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ARHX2
14074.50000000
PA
USD
15829.99000000
0.000494376685
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
5.00000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DF1
773000.00000000
PA
USD
992901.86000000
0.031008707589
Long
DBT
CORP
US
N
2
2045-07-10
Fixed
4.80000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEC5
1204000.00000000
PA
USD
1185482.02000000
0.037023060174
Long
DBT
CORP
US
N
2
2027-07-20
Fixed
1.51200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128L45F7
6376.87000000
PA
USD
7181.37000000
0.000224276951
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.50000000
N
N
N
N
N
N
GXO LOGISTICS INC
5493007CNWMXN78JRN66
GXO Logistics Inc
36262GAA9
602000.00000000
PA
USD
588030.59000000
0.018364421856
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
1.65000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAQ3
1400000.00000000
PA
USD
1790528.85000000
0.055918905761
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.40000000
N
N
N
N
N
N
Life Financial Services Trust
N/A
Life 2021-BMR Mortgage Trust
53218CAL4
700000.00000000
PA
USD
699843.76000000
0.021856390229
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
2.46000000
N
N
N
N
N
N
BAXTER INTERNATIONAL INC
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813CJ6
550000.00000000
PA
USD
552352.69000000
0.017250187294
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
1.91500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412MKD9
4675.62000000
PA
USD
5529.09000000
0.000172675610
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAX2
1271002.59000000
PA
USD
1294673.23000000
0.040433143727
Long
ABS-MBS
CORP
US
N
2
2025-05-25
Floating
4.10275000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCR64
11926774.08000000
PA
USD
12839273.67000000
0.400975462863
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAE2
1000000.00000000
PA
USD
971594.79000000
0.030343279584
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.20000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414XWZ1
12378.45000000
PA
USD
13558.69000000
0.000423443111
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379BGA0
6977045.09000000
PA
USD
1299653.96000000
0.040588693844
Long
ABS-MBS
USGA
US
N
2
2044-04-16
Floating
6.09250000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RHU6
47122.81000000
PA
USD
48151.91000000
0.001503802699
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Floating
1.28400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AB71
350493.84000000
PA
USD
406783.58000000
0.012704007911
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AAW33
3428194.49000000
PA
USD
588728.64000000
0.018386222226
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
6.44025000
N
N
N
N
N
N
BANK OF MONTREAL (CHICAGO)
N/A
BANK OF MONTREAL (CHICAGO)
000000000
725000.00000000
PA
USD
725027.55000000
0.022642889693
Long
DBT
CORP
US
N
2
2022-03-21
Fixed
0.22000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411EB55
15532.13000000
PA
USD
17092.09000000
0.000533792555
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A4BU8
181923.13000000
PA
USD
199390.83000000
0.006227052433
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410VDU1
27159.99000000
PA
USD
31467.92000000
0.000982755264
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378JCS9
506116.15000000
PA
USD
506966.93000000
0.015832772525
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411XER2
5176.05000000
PA
USD
5695.88000000
0.000177884526
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MC7H1
6606.86000000
PA
USD
7080.61000000
0.000221130178
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.50000000
N
N
N
N
N
N
DELTA AIR LINES 2020-A
N/A
Delta Air Lines 2020-1 Class A Pass Through Trust
247361ZW1
616361.15000000
PA
USD
614347.49000000
0.019186308781
Long
DBT
CORP
US
N
2
2028-06-10
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312929FV9
111030.78000000
PA
USD
127295.40000000
0.003975484380
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.50000000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAL4
1989649.04000000
PA
USD
1995421.41000000
0.062317779342
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
2.96000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376JFX7
6339715.60000000
PA
USD
1138058.20000000
0.035541996006
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Floating
6.09612000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GA86
5089.60000000
PA
USD
5907.67000000
0.000184498809
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YAY3
348120.75000000
PA
USD
372950.73000000
0.011647394971
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
4.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TBE5
2163000.00000000
PA
USD
1885865.63000000
0.058896310128
Long
ABS-MBS
CORP
US
N
2
2028-10-27
None
0.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XWX8
5159457.89000000
PA
USD
5226459.64000000
0.163224347976
Long
ABS-MBS
CORP
US
N
2
2030-05-25
Floating
2.60188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416YVG0
3914.57000000
PA
USD
4315.87000000
0.000134786282
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
LLOYDS BANK PLC
N/A
LLOYDS BANK PLC
000000000
400000.00000000
PA
USD
399798.40000000
0.012485858048
Long
DBT
CORP
US
N
2
2022-03-29
Fixed
0.14000526
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2005-12
07387AFZ3
4591.88000000
PA
USD
4376.98000000
0.000136694771
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
3.24160400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AJ6C1
5346.41000000
PA
USD
5895.55000000
0.000184120297
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411WVC8
11333.52000000
PA
USD
12886.73000000
0.000402457542
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
4390000.00000000
PA
USD
4542468.26000000
0.141863033681
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
3.00000000
N
N
N
N
N
N
AVNET INC
XJI53DCPL7QABOWK4Z75
Avnet Inc
053807AU7
527000.00000000
PA
USD
521084.18000000
0.016273659681
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377LBJ6
4084484.96000000
PA
USD
761836.09000000
0.023792434577
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Floating
6.51612000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFNK8
1379774.75000000
PA
USD
1454433.85000000
0.045422529435
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A62R0
22482.03000000
PA
USD
24868.92000000
0.000776665952
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Park Place Securities Inc
N/A
Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ1
70069FGD3
109436.97000000
PA
USD
109592.41000000
0.003422613183
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
1.18188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404BM66
75816.00000000
PA
USD
85420.25000000
0.002667707314
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEJ42
5842985.22000000
PA
USD
6173706.89000000
0.192807244508
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403TTL8
217072.39000000
PA
USD
246445.61000000
0.007696591339
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2003-2F
36228FNB8
1815.36000000
PA
USD
1948.77000000
0.000060860837
Long
ABS-MBS
CORP
US
N
2
2032-03-25
Fixed
6.00000000
N
N
N
N
N
N
TORONTO-DOMINION BANK (NEW YORK)
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK (NEW YORK)
89114NZH1
525000.00000000
PA
USD
525059.32000000
0.016397804835
Long
DBT
CORP
US
N
2
2022-03-03
Fixed
0.21000000
N
N
N
N
N
UNITED AIR 2016-1 AA PTT
N/A
United Airlines 2016-1 Class AA Pass Through Trust
90931LAA6
1773527.14000000
PA
USD
1829462.06000000
0.057134804908
Long
DBT
CORP
US
N
2
2028-07-07
Fixed
3.10000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJZ3
1852000.00000000
PA
USD
1840388.46000000
0.057476040589
Long
DBT
CORP
US
N
2
2029-06-14
Fixed
2.08700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416RZB2
71308.79000000
PA
USD
78755.24000000
0.002459556484
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
4.50000000
N
N
N
N
N
N
COMMONWEALTH BANK AUST
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
202712BN4
1013000.00000000
PA
USD
997235.81000000
0.031144058517
Long
DBT
CORP
AU
N
2
2031-03-11
Fixed
2.68800000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2013-C12
92937FAW1
6583000.00000000
PA
USD
5975761.70000000
0.186625339968
Long
ABS-MBS
CORP
US
N
2
2048-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E2JY2
546639.85000000
PA
USD
590590.23000000
0.018444360399
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
3.50000000
N
N
N
N
N
N
CITRIX SYSTEMS INC
HCTKJGUQOPZ5NBK7NP58
Citrix Systems Inc
177376AG5
844000.00000000
PA
USD
822757.15000000
0.025695022750
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.25000000
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-C2
17291CAG0
4120000.00000000
PA
USD
3360502.31000000
0.104949781727
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
4.43244300
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGR4
1000000.00000000
PA
USD
1077096.91000000
0.033638151435
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
3.59300000
N
N
N
N
N
N
MIZUHO BANK LTD (SINGAPORE)
N/A
MIZUHO BANK LTD (SINGAPORE)
000000000
350000.00000000
PA
USD
349749.74000000
0.010922819116
Long
DBT
CORP
US
N
2
2022-04-04
Fixed
0.29500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJQL5
105610.21000000
PA
USD
113328.46000000
0.003539291463
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
NORINCHUKIN BANK (NEW YORK)
N/A
NORINCHUKIN BANK (NEW YORK)
000000000
725000.00000000
PA
USD
725002.88000000
0.022642119239
Long
DBT
CORP
US
N
2
2022-01-27
Fixed
0.11000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUUY5
8410063.30000000
PA
USD
1488095.10000000
0.046473783240
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Floating
6.54812000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CX5
915000.00000000
PA
USD
917444.00000000
0.028652129552
Long
DBT
CORP
GB
N
2
2027-11-22
Fixed
2.25100000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDT6
1111000.00000000
PA
USD
1234191.46000000
0.038544274750
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
3.50000000
N
N
N
N
N
N
ASTRAZENECA FINANCE LLC
549300C3HATU4Q460S18
Astrazeneca Finance LLC
04636NAE3
862000.00000000
PA
USD
857652.23000000
0.026784809541
Long
DBT
CORP
US
N
2
2028-05-28
Fixed
1.75000000
N
N
N
N
N
N
BLACKROCK INC
549300LRIF3NWCU26A80
BlackRock Inc
09247XAS0
450000.00000000
PA
USD
446864.61000000
0.013955753918
Long
DBT
CORP
US
N
2
2032-02-25
Fixed
2.10000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCJ2
1020000.00000000
PA
USD
1018367.82000000
0.031804019330
Long
DBT
CORP
US
N
2
2032-11-02
Fixed
2.61800000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ATE7
48979.44000000
PA
USD
54180.44000000
0.001692076013
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DBD0
44563.55000000
PA
USD
50382.51000000
0.001573465196
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2Q5
752000.00000000
PA
USD
772752.67000000
0.024133363576
Long
DBT
CORP
US
N
2
2041-04-30
Fixed
3.06800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EDEJ6
4299.60000000
PA
USD
4607.84000000
0.000143904618
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGH1
861000.00000000
PA
USD
863267.06000000
0.026960162845
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
BAXTER INTERNATIONAL INC
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813CQ0
800000.00000000
PA
USD
809074.17000000
0.025267698013
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.53900000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MDB5
40946.11000000
PA
USD
46826.75000000
0.001462417441
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
75524RAA7
2000000.00000000
PA
USD
2052482.00000000
0.064099803549
Long
DBT
CORP
US
N
2
2022-09-28
Fixed
4.15000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust
93363NAH8
463262.02000000
PA
USD
453460.41000000
0.014161743293
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
2.45287000
N
N
N
N
N
N
Credit Suisse Commercial Mortg
N/A
CSWF 2021-SOP2
12657VAL6
4520000.00000000
PA
USD
4508717.63000000
0.140808988504
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
2.42662800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419KPA7
487418.10000000
PA
USD
525799.09000000
0.016420908137
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
3130000.00000000
PA
USD
3064905.14000000
0.095718168233
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412MAD0
70021.28000000
PA
USD
80992.67000000
0.002529432285
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp
89236TGU3
2250000.00000000
PA
USD
2257141.16000000
0.070491387958
Long
DBT
CORP
US
N
2
2030-02-13
Fixed
2.15000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAM6
2289000.00000000
PA
USD
2272525.27000000
0.070971839640
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
1.55000000
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR 2019-HQA3
35564XAH4
1134762.02000000
PA
USD
1138622.59000000
0.035559622123
Long
ABS-MBS
CORP
US
N
2
2049-09-25
Floating
1.95275000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371K4S7
177.53000000
PA
USD
193.07000000
0.000006029650
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.00000000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607GLZ5
910000.00000000
PA
USD
930304.10000000
0.029053755429
Long
DBT
CORP
CA
N
2
2025-01-28
Fixed
2.25000000
N
N
N
N
N
N
AMER AIRLINE 17-2 AA PTT
N/A
American Airlines 2017-2 Class AA Pass Through Trust
02376AAA7
47013.17000000
PA
USD
47959.70000000
0.001497799906
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.35000000
N
N
N
N
N
N
2022-02-18
Voya Intermediate Bond Portfolio
Tin Bui
Tin Bui
Vice President