0001752724-23-239344.txt : 20231027
0001752724-23-239344.hdr.sgml : 20231027
20231027093051
ACCESSION NUMBER: 0001752724-23-239344
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230831
FILED AS OF DATE: 20231027
DATE AS OF CHANGE: 20231027
PERIOD START: 20230831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY INCOME FUND /MA/
CENTRAL INDEX KEY: 0000751199
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0731
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04085
FILM NUMBER: 231352739
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY MORTGAGE SECURITIES FUND
DATE OF NAME CHANGE: 19851103
0000751199
S000057288
Fidelity Total Bond K6 Fund
C000182864
Fidelity Total Bond K6 Fund
FTKFX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000751199
XXXXXXXX
S000057288
C000182864
Fidelity Income Fund
811-04085
0000751199
D66RCKM57LC8ELZCAY58
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Total Bond K6 Fund
S000057288
549300YDL7N53AVV4R59
2023-08-31
2023-08-31
N
2830497712.35
346527463.15
2483970249.20
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
221335376.05000000
0.00000000
0.00000000
19269.67000000
USD
N
Bloomberg US Universal Bond Index
19807815
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2032#AS8602
3138WJRY6
174769.76500000
PA
USD
162031.44000000
0.006523082957
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 02/20/2050#BQ4127
3617LNSQ8
108181.03260000
PA
USD
94958.69000000
0.003822859393
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/51#BT1461
3140LPTT9
39653.50650000
PA
USD
31900.59000000
0.001284258135
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2047#CA0855
3140Q75R4
71944.54110000
PA
USD
65354.80000000
0.002631062107
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745127
3620C0YY8
2983.75080000
PA
USD
2900.83000000
0.000116781994
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/38 #889371
31410KCG7
8673.13400000
PA
USD
8923.82000000
0.000359256315
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 6/35 #828385
31407EJ61
1728.95510000
PA
USD
1767.20000000
0.000071144169
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT TSFR1M+51.448 08/20/2042
38375GZX2
47061.13050000
PA
USD
45690.57000000
0.001839416958
Long
ABS-CBDO
USGA
US
N
2
2042-08-20
Variable
0.05828460
N
N
N
N
N
N
HONDA AUTO RECEIVABLES 2023-3 OWNER TR
N/A
HONDA AUTO RECEIVABLES 2023-3 OWNER TR 5.41% 02/18/2028
43815QAC1
500000.00000000
PA
USD
501198.00000000
0.020177294803
Long
ABS-CBDO
CORP
US
N
2
2028-02-18
Fixed
0.05410000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 7.5% 06/01/2027#250951
31371FWL2
51.86740000
PA
USD
52.79000000
0.000002125226
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
0.07500000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A
46645WAU7
476000.00000000
PA
USD
430389.92000000
0.017326693833
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04247500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/45#Q38550
3132QVQC8
8873.10430000
PA
USD
8360.67000000
0.000336584949
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AU3735
3138X3EH1
82615.15700000
PA
USD
73611.87000000
0.002963476314
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 2/30 #535143
31384VP48
104.36990000
PA
USD
107.77000000
0.000004338618
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR1584
3138NXXN2
36044.35250000
PA
USD
32185.03000000
0.001295709157
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9019
3138EEAV1
7290.45770000
PA
USD
6911.57000000
0.000278246891
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
AASET 2021-2 TR
N/A
AASET 2021-2 TR 2.798% 01/15/2047 144A
00258BAA2
2073691.45000000
PA
USD
1791607.82000000
0.072126782540
Long
ABS-CBDO
CORP
US
N
2
2047-01-15
Fixed
0.02798000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 1.494%/VAR 08/10/2027 144A
902613AH1
1190000.00000000
PA
USD
1046411.60000000
0.042126575402
Long
DBT
CORP
CH
N
2
2027-08-10
Variable
0.01494000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG 4.5% 04/01/2025
251525AP6
3804000.00000000
PA
USD
3665083.13000000
0.147549397227
Long
DBT
CORP
DE
N
2
2025-04-01
Fixed
0.04500000
N
N
N
N
N
N
ARGENTINA REPUBLIC OF
549300KPBYGYF7HCHO27
ARGENTINA REPUBLIC OF STEP 07/09/2030
040114HS2
685010.00000000
PA
USD
230019.51000000
0.009260155594
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.00750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 11/01/2031#ZS8629
3132A9SS7
145622.37800000
PA
USD
135064.33000000
0.005437437507
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2006-15 OP 0% 3/36
31395BTU7
9354.78600000
PA
USD
7792.92000000
0.000313728395
Long
ABS-CBDO
USGSE
US
N
2
2036-03-25
Fixed
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2047#CA0623
3140Q7VR5
9973.70920000
PA
USD
9632.22000000
0.000387775175
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 1/41 #734151
3620AMTG7
10852.14650000
PA
USD
10311.69000000
0.000415129368
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR2904
3138W0GN3
10916.82720000
PA
USD
9763.75000000
0.000393070327
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM1884
3140J6CW5
20614.90240000
PA
USD
19413.28000000
0.000781542371
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479607
36209RYC1
7542.83980000
PA
USD
7167.19000000
0.000288537674
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2047#MA4322
36179SYT8
391547.63620000
PA
USD
370937.00000000
0.014933230384
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.182% 6/37 #848188
31300LCZ6
3658.99240000
PA
USD
3722.37000000
0.000149855659
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Variable
0.07385000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A
05492PAA6
778000.00000000
PA
USD
708645.27000000
0.028528734199
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03112000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 05/01/2046#BC0887
3140EU6Z7
303747.81800000
PA
USD
268710.29000000
0.010817774089
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 3/28 #420501
31379JDE3
126.45170000
PA
USD
128.79000000
0.000005184844
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/41 #005203
36202FX84
167711.44920000
PA
USD
160014.67000000
0.006441891566
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 11/41 #Q04295
3132GKNL6
10101.16740000
PA
USD
9587.33000000
0.000385967988
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2052#SD0927
3132DNA45
277559.54300000
PA
USD
251789.61000000
0.010136579134
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2042#Q12164
3132HNMM8
3003.23900000
PA
USD
2851.85000000
0.000114810151
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.242% 9/1/41#1B8659
3128UHAK1
4476.58080000
PA
USD
4562.30000000
0.000183669671
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.04130000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TR 2023-B
N/A
WORLD OMNI AUTO RECEIVABLES TR 2023-B 5.25% 11/16/2026
98164QAB4
514000.00000000
PA
USD
511519.38000000
0.020592814272
Long
ABS-CBDO
CORP
US
N
2
2026-11-16
Fixed
0.05250000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.5% 05/02/2043
02209SAQ6
632000.00000000
PA
USD
492531.25000000
0.019828387645
Long
DBT
CORP
US
N
2
2043-05-02
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 7/28 #406815
31378R3Y3
301.05910000
PA
USD
309.71000000
0.000012468345
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#CB3037
3140QNLT7
116391.70310000
PA
USD
93416.96000000
0.003760792224
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.75% 04/15/2027
87264ABD6
1250000.00000000
PA
USD
1184742.90000000
0.047695535016
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AH4987
3138A6RH5
2341.56270000
PA
USD
2221.13000000
0.000089418542
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479494
36209RUT8
21659.25840000
PA
USD
20558.94000000
0.000827664502
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2% 08/25/2044
3137FU6H2
670789.91500000
PA
USD
592629.34000000
0.023858149677
Long
ABS-CBDO
USGSE
US
N
2
2044-08-25
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2015-KO43 A2 3.062% 12/25/2024
3137BGK24
1096000.00000000
PA
USD
1061948.05000000
0.042752043843
Long
ABS-MBS
USGSE
US
N
2
2024-12-25
Fixed
0.03062000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 11/40 #004853
36202FMA1
125116.62220000
PA
USD
119478.02000000
0.004809961795
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.87% 1/35 #735833
31402RPS2
4908.45700000
PA
USD
4932.20000000
0.000198561154
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
0.03846000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 7/38 #889733
31410KPS7
1520.34140000
PA
USD
1567.69000000
0.000063112269
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
0.06000000
N
N
N
N
N
N
CANADIAN NATURAL RESOURCES LTD
549300T15RIMIKZC5Q38
CANADIAN NATL RESOURCES LTD 5.85% 02/01/2035
136385AG6
525000.00000000
PA
USD
510233.91000000
0.020541063652
Long
DBT
CORP
CA
N
2
2035-02-01
Fixed
0.05850000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP 04/17/65 B
N/A
100000.00000000
NC
USD
24052.89000000
0.000968324399
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
24903.87000000
USD
0.00000000
USD
100000.00000000
USD
-850.98000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 11/35 #842191
31407VUQ6
971.14900000
PA
USD
992.69000000
0.000039963844
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 06/01/2053#RA9277
3133KRJW5
370571.05000000
PA
USD
375394.18000000
0.015112668121
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AP7148
3138MA5J3
5281.01540000
PA
USD
4857.81000000
0.000195566351
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2048#BM5106
3140J9U82
47986.46840000
PA
USD
46283.50000000
0.001863287211
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2051#CB0545
3140QKTB4
18770.51430000
PA
USD
16865.00000000
0.000678953381
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.03500000
N
N
N
N
N
N
JACKSON FINANCIAL INC
213800WXW2KG1N4CO374
JACKSON FINANCIAL INC 5.17% 06/08/2027
46817MAR8
682000.00000000
PA
USD
668472.35000000
0.026911447518
Long
DBT
CORP
US
N
2
2027-06-08
Fixed
0.05170000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
VIATRIS INC 3.85% 06/22/2040
92556VAE6
437000.00000000
PA
USD
305858.78000000
0.012313302870
Long
DBT
CORP
US
N
2
2040-06-22
Fixed
0.03850000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 09/30/2029
91282CFL0
25000000.00000000
PA
USD
24499023.50000000
0.986284900468
Long
DBT
UST
US
N
2
2029-09-30
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2046#G60989
31335BC20
228841.65430000
PA
USD
201852.05000000
0.008126186296
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2048#BJ4970
3140H6QY8
31065.74180000
PA
USD
29098.54000000
0.001171452838
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 7/42 #AA5451
36178DBU4
8201.73980000
PA
USD
7585.40000000
0.000305374027
Long
ABS-MBS
USGA
US
N
2
2042-07-15
Fixed
0.03500000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2019-XL
N/A
BX TRUST 2019-XL A TSFR1M+103.448 10/15/2036 144A
056054AA7
1482687.80900000
PA
USD
1478935.87000000
0.059539194178
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06344960
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT SOFR30A+648.552 02/15/2036
31396HLM9
3309.39450000
PA
USD
261.62000000
0.000010532332
Long
ABS-CBDO
USGSE
US
N
2
2036-02-15
Variable
0.01297010
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 09/01/2053 #TBA
01F032690
-900000.00000000
PA
USD
-804199.23000000
-0.03237555805
Short
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AT5177
3138WSXF0
8188.00810000
PA
USD
7303.43000000
0.000294022442
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AB7766
31417ETY7
22638.45060000
PA
USD
20211.61000000
0.000813681645
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 343 16 5.5% 5/34
3136FA6N5
2191.51110000
PA
USD
351.92000000
0.000014167641
Long
ABS-CBDO
USGSE
US
N
2
2034-05-25
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2050#CA8108
3140QGAJ6
286524.76800000
PA
USD
229429.95000000
0.009236421010
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
0.02000000
N
N
N
N
N
N
FLATIRON CLO LT
N/A
FLATIRON CLO LT 3ML+111 07/19/2034 144A
33883PAC1
902000.00000000
PA
USD
896302.97000000
0.036083482492
Long
ABS-CBDO
CORP
KY
N
2
2034-07-19
Variable
0.06691730
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 1993-207 H 6.5% 11/23
31359E3G4
54.63510000
PA
USD
54.45000000
0.000002192055
Long
ABS-CBDO
USGSE
US
N
2
2023-11-25
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2052#CB4024
3140QPPJ0
509828.79800000
PA
USD
489465.37000000
0.019704961046
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #458926
36208RYX6
52.99350000
PA
USD
53.72000000
0.000002162666
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 2/1/43#AR5364
3138W26A8
15464.59200000
PA
USD
14183.12000000
0.000570985904
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 09/01/2052#BW8697
3140N1UX9
29482.27300000
PA
USD
29120.57000000
0.001172339725
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05000000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 TSFR1M+147.701 05/15/2036 144A
12653VAE6
836917.85000000
PA
USD
831052.48000000
0.033456619710
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.06788010
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/01/2052#RA6823
3133KNSL8
721941.37640000
PA
USD
579436.21000000
0.023327018920
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/20/2044#MA2304
36179QRZ6
99142.31980000
PA
USD
94450.27000000
0.003802391354
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047
3137H5J57
112518.03600000
PA
USD
97212.70000000
0.003913601623
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 2.986% 10/01/2041#1B8864
3128UHGY5
27884.42420000
PA
USD
28284.04000000
0.001138662591
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Variable
0.04130000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 6/36 #745640
31403DLV9
5052.22280000
PA
USD
5180.68000000
0.000208564494
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.06000000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 5.389%/VAR 04/24/2034
95000U3D3
2133000.00000000
PA
USD
2077558.19000000
0.083638610030
Long
DBT
CORP
US
N
2
2034-04-24
Variable
0.05389000
N
N
N
N
N
N
PIEDMONT OPERATING PARTNERSHIP LP
549300WKGDPAS39FBD10
PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032
720198AF7
297000.00000000
PA
USD
200599.51000000
0.008075761376
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
0.02750000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 3.07 04/21/2028
N/A
4700000.00000000
NC
USD
225025.90000000
0.009059122188
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 04/25/33 3.07%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-04-25
0.00000000
USD
0.00000000
USD
4700000.00000000
USD
1.00000000
3.07000000
USD
2028-04-21
XXXX
30210.90000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745236
3620C04V7
5349.57890000
PA
USD
5200.53000000
0.000209363618
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 09/01/2040#G06016
3128M8AR5
3612.96460000
PA
USD
3516.63000000
0.000141572951
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 6.0% 05/15/2040#783362
36241LWX0
28065.55390000
PA
USD
28831.91000000
0.001160718813
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.06000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.75% 09/21/2047
71654QCC4
5720000.00000000
PA
USD
3511450.80000000
0.141364446741
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
0.06750000
N
N
N
N
N
N
MAGNE 2023-36A
N/A
MAGNETITE CLO LTD TSFR3M+180 04/22/2036 144A
559922AA7
881000.00000000
PA
USD
883017.49000000
0.035548633897
Long
ABS-CBDO
CORP
KY
N
2
2036-04-22
Variable
0.06958500
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.431/VAR 01/23/2030
6174468G7
2242000.00000000
PA
USD
2129121.33000000
0.085714445681
Long
DBT
CORP
US
N
2
2030-01-23
Variable
0.04431000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 11/01/2050#SD7530
3132DVLK9
835154.02350000
PA
USD
700788.93000000
0.028212452634
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H03 FA TSFR1M+81.448 1/20/62 RVM
38375BPJ5
125064.49280000
PA
USD
124751.22000000
0.005022250972
Long
ABS-CBDO
USGA
US
N
2
2062-01-20
Variable
0.05955260
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 4/42 #G06973
3128M9CJ9
63012.59140000
PA
USD
59747.73000000
0.002405331948
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 02/01/2051#FM5977
3140X9UB9
1691037.83200000
PA
USD
1277970.22000000
0.051448692689
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2036#MA4261
31418DWX6
1900091.35300000
PA
USD
1675002.35000000
0.067432464239
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7% 2/32 #003202
36202DRX1
824.64790000
PA
USD
850.81000000
0.000034252020
Long
ABS-MBS
USGA
US
N
2
2032-02-20
Fixed
0.07000000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 3.85% 02/01/2025
11120VAA1
2100000.00000000
PA
USD
2025690.87000000
0.081550528660
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AR1624
3138NXYW1
4091.02240000
PA
USD
3648.87000000
0.000146896686
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2048#BK0167
3140HDFH2
8801.48860000
PA
USD
8244.14000000
0.000331893669
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.39% 12/36 #1J1448
3128NHTD5
1811.31060000
PA
USD
1841.65000000
0.000074141387
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Variable
0.04450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2036#BR3300
3140L1U29
28226.44700000
PA
USD
24962.07000000
0.001004926287
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.02000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-69 GX 4.5% 5/40
38377VH66
226381.39000000
PA
USD
223350.05000000
0.008991655599
Long
ABS-CBDO
USGA
US
N
2
2040-05-16
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8228
3138EDEA5
15909.85660000
PA
USD
15079.02000000
0.000607053164
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
BANK5 2023-5YR1
N/A
BANK5 2023-5YR1 5.779% 04/15/2056
06644EAB4
300000.00000000
PA
USD
299311.53000000
0.012049722821
Long
ABS-MBS
CORP
US
N
2
2056-04-15
Fixed
0.05779000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H12 FA TSFR1M+60.448 5/61
38375BLS9
251674.45740000
PA
USD
250382.29000000
0.010079923061
Long
ABS-CBDO
USGA
US
N
2
2061-02-20
Variable
0.05707710
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG 2010-169 Z 4.5% 12/20/2040
38377RM51
378543.08000000
PA
USD
343459.03000000
0.013827018665
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04500000
N
N
N
N
N
N
BETHP 2021
N/A
BETHP 2021 TSFR3M+139.161 01/15/2035 144A
087598AA6
1299000.00000000
PA
USD
1286016.50000000
0.051772620884
Long
ABS-CBDO
CORP
US
N
2
2035-01-15
Variable
0.06699570
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 07/01/2032#G31067
3132J4MR7
218405.57630000
PA
USD
207744.24000000
0.008363394854
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03500000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2018-C46
N/A
WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051
95001QAV3
2341810.34100000
PA
USD
56664.78000000
0.002281218143
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Variable
0.01082218
N
N
N
N
N
N
ARES XXXIV CLO LTD
549300VDFIIXSFET0S73
ARES XXXIV CLO LTD TSFR3M+151.161 04/17/2033 144A
04015GAP4
460000.00000000
PA
USD
458819.64000000
0.018471221229
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Variable
0.06819570
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044
38378Y2R9
91549.10590000
PA
USD
82483.74000000
0.003320641220
Long
ABS-CBDO
USGA
US
N
2
2044-02-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.22% 3/37 #910296
31411KKH5
5438.94460000
PA
USD
5468.31000000
0.000220143941
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Variable
0.04065000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 02/01/2036#FM6507
3140XAGR7
261967.70900000
PA
USD
224052.28000000
0.009019926066
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2137 PG 6% 3/29
3133TJR70
1439.51330000
PA
USD
1445.71000000
0.000058201582
Long
ABS-CBDO
USGSE
US
N
2
2029-03-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 9/36 #C02621
31292J4E7
158.31720000
PA
USD
162.87000000
0.000006556841
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2303 ZV 6% 4/31
3133TSTH6
5662.90090000
PA
USD
5694.85000000
0.000229264018
Long
ABS-CBDO
USGSE
US
N
2
2031-04-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/39 #782727
36241LA48
4379.25310000
PA
USD
4349.07000000
0.000175085430
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2004-32 GS 650-1ML 5/34
38374GZM7
3410.50720000
PA
USD
212.43000000
0.000008552034
Long
ABS-CBDO
USGA
US
N
2
2034-05-16
Variable
0.01072910
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H27 FA TSFR1M+38 12/60
38375BJK9
215955.99560000
PA
USD
214504.43000000
0.008635547469
Long
ABS-CBDO
USGA
US
N
2
2060-12-20
Variable
0.05635260
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2042#AQ9061
3138MRB75
5942.26380000
PA
USD
5627.59000000
0.000226556256
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM TSFR1M+66.448 09/20/2061
38375BNA6
78097.89250000
PA
USD
77757.55000000
0.003130373643
Long
ABS-CBDO
USGA
US
N
2
2061-09-20
Variable
0.05805260
N
N
N
N
N
N
WALT DISNEY CO
549300GZKULIZ0WOW665
WALT DISNEY CO 3.8% 03/22/2030
254687FQ4
2050000.00000000
PA
USD
1919626.19000000
0.077280562865
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
0.03800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2046#FM8611
3140XCR91
146951.92200000
PA
USD
130276.45000000
0.005244686406
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A
46645WBE2
159000.00000000
PA
USD
129695.68000000
0.005221305691
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.05350300
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2131 BG 6% 3/29
3133TK2P4
9232.65480000
PA
USD
9273.61000000
0.000373338207
Long
ABS-CBDO
USGSE
US
N
2
2029-03-15
Fixed
0.06000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.8% 02/15/2029
55336VAS9
175000.00000000
PA
USD
168621.37000000
0.006788381223
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.04800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AB6904
31417DU68
44571.45450000
PA
USD
39810.70000000
0.001602704380
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 9/28 #323317
31374TDW6
70.78200000
PA
USD
72.82000000
0.000002931597
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2017-30 AI 5.5% 05/47
3136AWQD2
36560.19660000
PA
USD
6222.94000000
0.000250523934
Long
ABS-CBDO
USGSE
US
N
2
2047-05-25
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 07/15/2046#AT7536
36194GLR3
5145.52380000
PA
USD
4847.34000000
0.000195144849
Long
ABS-MBS
USGA
US
N
2
2046-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.5% 06/15/2041#366975
36204DT82
48118.88960000
PA
USD
46785.10000000
0.001883480690
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/31 #545304
31385HX98
65.83690000
PA
USD
68.49000000
0.000002757279
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.07500000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 5.476% 01/25/2039
35137LAJ4
308000.00000000
PA
USD
279524.67000000
0.011253140817
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
0.05476000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/39 #698329
36296QY29
1105.15340000
PA
USD
1074.07000000
0.000043240050
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE8538
31419KPY5
6686.32750000
PA
USD
6334.14000000
0.000255000638
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY873248 04/17/65 B
N/A
140000.00000000
NC
USD
33674.05000000
0.001355654320
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
39943.64000000
USD
0.00000000
USD
140000.00000000
USD
-6269.59000000
N
N
N
ROGERS COMMUNICATIONS INC
54930030NVF3Y2OL0A78
ROGERS COMMUNICATIONS INC 3.8% 03/15/2032
775109CH2
917000.00000000
PA
USD
784286.23000000
0.031573897885
Long
DBT
CORP
CA
N
2
2032-03-15
Fixed
0.03800000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1
N/A
CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A
14855MAA6
702823.40700000
PA
USD
624992.74000000
0.025161039678
Long
ABS-CBDO
CORP
US
N
2
2039-04-15
Fixed
0.03967000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC 4.375% 03/15/2029
571748BG6
678000.00000000
PA
USD
656413.78000000
0.026425992026
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2049#CA3129
3140QAPP9
89929.05120000
PA
USD
84037.68000000
0.003383199940
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.04000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 5.3% 08/15/2052
969457CA6
346000.00000000
PA
USD
311534.16000000
0.012541783062
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
0.05300000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
JPMCC 2018-WPT XAFX CSTR 07/23 144A
46645WAW3
2000000.00000000
PA
USD
39489.00000000
0.001589753339
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Variable
0.01294783
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 10/20/2042#AC0073
36178YCJ2
36649.50510000
PA
USD
34848.42000000
0.001402932261
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2052#CB5124
3140QQVS1
690670.87200000
PA
USD
655098.42000000
0.026373038091
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.19% 9/33 #748643
31403GWC2
12523.35640000
PA
USD
12659.25000000
0.000509637746
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
0.06074000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-135 ZA 4.5% 12/40
31398SE82
8036.02180000
PA
USD
7919.87000000
0.000318839164
Long
ABS-CBDO
USGSE
US
N
2
2040-12-25
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2044#AW3253
3138XSTK3
9055.05580000
PA
USD
8784.64000000
0.000353653188
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04500000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 1.95% 02/15/2028 144A
11135FBE0
351000.00000000
PA
USD
304391.68000000
0.012254240166
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.01950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#FM9568
3140XDT22
245462.94800000
PA
USD
197547.57000000
0.007952895976
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN ENERGY PTNRS LP 6.55% 09/15/2040
494550BF2
1365000.00000000
PA
USD
1356182.37000000
0.054597367679
Long
DBT
CORP
US
N
2
2040-09-15
Fixed
0.06550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AS0203
3138W9GM6
29544.81350000
PA
USD
26319.58000000
0.001059577102
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2047#Q48095
3132WM7H1
66205.71790000
PA
USD
64062.25000000
0.002579026460
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 02/01/2043#Q15789
3132J62X1
8920.64900000
PA
USD
7986.36000000
0.000321515928
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2042#AQ1820
3138MHAW3
20398.92600000
PA
USD
18230.19000000
0.000733913379
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AB7846
31417EWG2
28821.53790000
PA
USD
25732.48000000
0.001035941553
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 08/01/2045#BA2698
3140E67L0
16547.61870000
PA
USD
15592.84000000
0.000627738597
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 3.869%/VAR 01/12/2029 144A
225401AF5
1570000.00000000
PA
USD
1443318.76000000
0.058105315893
Long
DBT
CORP
CH
N
2
2029-01-12
Variable
0.03869000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.64% 4/36 #1J0058
3128LUB39
1061.93230000
PA
USD
1070.57000000
0.000043099147
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Variable
0.05239000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP 4.11%/VAR 07/24/2034
961214EF6
744000.00000000
PA
USD
651791.91000000
0.026239924178
Long
DBT
CORP
AU
N
2
2034-07-24
Variable
0.04110000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 01/01/2041#
312946FC5
3964.98790000
PA
USD
3771.50000000
0.000151833541
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 10/20/2040#004828
36202FLH7
23691.11540000
PA
USD
22948.10000000
0.000923847618
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.25% 6/36 #886983
31410EM88
1693.01350000
PA
USD
1710.88000000
0.000068876831
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.05803000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 07/20/2039#004488
36202E6Z7
722.53640000
PA
USD
700.55000000
0.000028202833
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Fixed
0.04500000
N
N
N
N
N
N
MCDONALDS CORP
UE2136O97NLB5BYP9H04
MCDONALDS CORP 3.5% 07/01/2027
58013MFP4
353000.00000000
PA
USD
335055.17000000
0.013488694967
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.01% 7/35 #1M1050
3128QFEX8
1763.16510000
PA
USD
1777.97000000
0.000071577749
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.07040000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
EXELON CORP 4.1% 03/15/2052
30161NBH3
288000.00000000
PA
USD
222833.92000000
0.008970877170
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
0.04100000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 5% 08/01/2053#RA9615
3133KRVG6
600492.00000000
PA
USD
582757.07000000
0.023460710537
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#CB2420
3140QMVN1
235035.38700000
PA
USD
204178.01000000
0.008219825099
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 6/32 #644809
31390FKW8
241.72680000
PA
USD
248.67000000
0.000010010989
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 02/01/2036#QN5328
3133GB4M3
33144.66800000
PA
USD
29238.99000000
0.001177107093
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 02/01/2047#FS0594
3140XFUU3
341449.89300000
PA
USD
284754.56000000
0.011463686414
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.34% 5/36 #872506
31409JKT6
221.22450000
PA
USD
223.56000000
0.000009000107
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.05180000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2052#SD8257
3132DWE66
4450326.62400000
PA
USD
4219725.38000000
0.169878257654
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/27 #250990
31371FXT4
4.51720000
PA
USD
4.60000000
0.000000185187
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2047#AS9394
3138WKNL5
10461.78970000
PA
USD
10106.86000000
0.000406883295
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 02/01/2050#SD0265
3132DMJJ5
569519.37030000
PA
USD
497595.79000000
0.020032276560
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 11/01/2044#AL7307
3138EQDM1
32514.73600000
PA
USD
32245.51000000
0.001298143969
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2046#AS7000
3138WGX66
57140.55000000
PA
USD
50638.63000000
0.002038616606
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/42#G07240
3128M9LV2
9748.31630000
PA
USD
8716.18000000
0.000350897117
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
BANK5 2023-5YR1
N/A
BANK5 2023-5YR1 6.26% 04/15/2056
06644EAG3
800000.00000000
PA
USD
812767.36000000
0.032720494952
Long
ABS-MBS
CORP
US
N
2
2056-04-15
Fixed
0.06260000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 1.65% 02/20/2063
38375BK84
248.12980000
PA
USD
224.44000000
0.000009035534
Long
ABS-CBDO
USGA
US
N
2
2063-02-20
Fixed
0.01650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/29 #323968
31374TZ93
16.87740000
PA
USD
17.36000000
0.000000698881
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#SD2175
3132DPMY1
128019.18300000
PA
USD
124848.35000000
0.005026161244
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2017
N/A
WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050
95001GAG8
3532146.74190000
PA
USD
104861.31000000
0.004221520367
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.01005554
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034
3137BGB32
33267.57520000
PA
USD
1862.72000000
0.000074989626
Long
ABS-CBDO
USGSE
US
N
2
2034-02-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4% 08/01/2038#K94341
3132LQWA1
21973.76860000
PA
USD
21035.19000000
0.000846837437
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 5.5% 8/53 #RA9560
3133KRTR5
508779.52000000
PA
USD
507018.99000000
0.020411636981
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2051#QD1240
3133AXLV2
190464.32130000
PA
USD
164387.24000000
0.006617923063
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2019-XL
N/A
BX TRUST 2019 TSFR1M+156.448 10/15/2036 144A
056054AG4
1375299.99000000
PA
USD
1363122.67000000
0.054876771186
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06874960
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 8/32 #C01385
31292HRE6
376.30600000
PA
USD
387.99000000
0.000015619752
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.5% 11/25/2047
3136BLRR3
946198.62800000
PA
USD
828695.71000000
0.033361740554
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 0.8% 06/15/2023 144A
05608WAA2
835564.37500000
PA
USD
819302.79000000
0.032983599149
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Variable
0.06095480
N
N
N
N
N
N
CELANESE US HLDGS LLC
CD30XVRLT4QO00B1C706
CELANESE US HLDGS LLC 6.55% 11/15/2030
15089QAX2
1038000.00000000
PA
USD
1038511.30000000
0.041808524088
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
0.06550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2050#CA5122
3140QCVQ6
383803.96560000
PA
USD
335334.05000000
0.013499922155
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 01/01/2053#RA8433
3133KQLN4
467356.70800000
PA
USD
475207.27000000
0.019130956586
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 04/01/2033#ZT1970
3132AEFK7
228515.06400000
PA
USD
219077.41000000
0.008819647098
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 1/1/43 #AR1183
3138NXJ57
8570.30730000
PA
USD
7652.49000000
0.000308074945
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3415 PC 5% 12/37
31397R3R5
34609.32960000
PA
USD
33902.00000000
0.001364831161
Long
ABS-CBDO
USGSE
US
N
2
2037-12-15
Fixed
0.05000000
N
N
N
N
N
N
PRPM 2021-RPL2
N/A
PRPM 2021-RPL2 VAR 10/25/2051 144A
69357QAA4
345312.54000000
PA
USD
301841.42000000
0.012151571464
Long
ABS-CBDO
CORP
US
N
2
2051-10-25
Variable
0.01455000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 2/41 #A96807
312945R42
18877.14440000
PA
USD
17936.57000000
0.000722092786
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
BFLD TR 2020 -OBRK
N/A
BFLD TR 2020 - OBRK A TSFR1M+216.448 11/15/2022 144A
05553JAA6
760000.00000000
PA
USD
757811.66000000
0.030508081175
Long
ABS-MBS
CORP
US
N
2
2028-11-15
Variable
0.07474480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2040#FM5042
3140X8S81
115832.37400000
PA
USD
97058.37000000
0.003907388586
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.02000000
N
N
N
N
N
N
FORD CR FLOORPLN MAST OWN TR A
5493001DTG5N7T8BG747
FORD CR FLOORPLN MAST OWN TR A 4.92% 05/15/2028 144A
34528QHV9
400000.00000000
PA
USD
395209.24000000
0.015910385405
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04920000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+206.198 21 10/15/2036 144A
05609PAN8
1213000.00000000
PA
USD
1165056.30000000
0.046902989292
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.07371980
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM OPER LP 5.125% 05/15/2029
23311VAH0
659000.00000000
PA
USD
642590.77000000
0.025869503477
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
0.05125000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 5.6% 02/15/2041
42809HAD9
549000.00000000
PA
USD
516167.58000000
0.020779942117
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
0.05600000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 06/20/2051#MA7418
36179WG36
688843.05200000
PA
USD
587733.64000000
0.023661057945
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2007-66 SA SOFR30A+3891.312 7/37
31396WYX8
3048.29840000
PA
USD
3599.25000000
0.000144899078
Long
ABS-CBDO
USGSE
US
N
2
2037-07-25
Variable
0.07187641
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.95% 04/01/2024
681936BB5
2400000.00000000
PA
USD
2386954.25000000
0.096094317183
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04950000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.625% 02/15/2053
912810TN8
14392000.00000000
PA
USD
12966292.50000000
0.521998703655
Long
DBT
UST
US
N
2
2053-02-15
Fixed
0.03625000
N
N
N
N
N
N
VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC
N/A
VOYA CLO 2020-2 LTD/LLC TSFR3M+142.161 07/19/2034 144A
92918HAF7
851000.00000000
PA
USD
845007.26000000
0.034018413073
Long
ABS-CBDO
CORP
KY
N
2
2034-07-19
Variable
0.06741730
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-7 FC SOFR30A+86.448 1/32
31392B2Z8
239.91860000
PA
USD
238.70000000
0.000009609615
Long
ABS-CBDO
USGSE
US
N
2
2032-01-25
Variable
0.06152060
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.00% 5/32 #003238
36202DS36
3223.91520000
PA
USD
3274.09000000
0.000131808744
Long
ABS-MBS
USGA
US
N
2
2032-05-20
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 8/26 #C90997
3128P7DA8
569.21630000
PA
USD
573.46000000
0.000023086427
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2046#AS7024
3138WGYW8
17458.91910000
PA
USD
16407.91000000
0.000660551792
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2033#SB0621
3132CWVN1
68606.43200000
PA
USD
64999.63000000
0.002616763627
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 04/01/2047#SD0978
3132DNCP6
538610.38600000
PA
USD
449514.59000000
0.018096617306
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
0.02500000
N
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
OVINTIV INC 6.625% 08/15/2037
292505AE4
350000.00000000
PA
USD
348681.70000000
0.014037273599
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
0.06625000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 3.4% 01/15/2028
756109BH6
320000.00000000
PA
USD
296789.55000000
0.011948192620
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.03400000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 05/01/2041#1B8124
3128UGMY0
8267.50130000
PA
USD
8343.98000000
0.000335913040
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.05212000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 8/27 #928600
31412LUZ1
233.34360000
PA
USD
234.88000000
0.000009455829
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 9/39 #710868
36297FW57
10271.99880000
PA
USD
10410.43000000
0.000419104455
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 12/39 #728451
3620AFH42
1786.76890000
PA
USD
1776.43000000
0.000071515751
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.412% 03/25/2030
3137HA4B9
300000.00000000
PA
USD
292642.80000000
0.011781252214
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Fixed
0.04412000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.75% 02/20/2064
38375UDD9
189387.56840000
PA
USD
185880.02000000
0.007483182218
Long
ABS-CBDO
USGA
US
N
2
2064-02-20
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2043#AB9376
31417GM29
47789.88460000
PA
USD
43841.74000000
0.001764986517
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA SOFR30A+632.552 05/25/2037
31396VYS1
2490.26440000
PA
USD
255.64000000
0.000010291588
Long
ABS-CBDO
USGSE
US
N
2
2037-05-25
Variable
0.01037940
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/40 #748482
3620C4RB8
3461.40510000
PA
USD
3443.09000000
0.000138612368
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4% 03/01/2039#MA3612
31418DAN2
9091.01420000
PA
USD
8691.48000000
0.000349902741
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2045#BA0270
3140E4JQ1
10694.46320000
PA
USD
10064.04000000
0.000405159441
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13425
3132HPYW8
13243.06810000
PA
USD
12549.20000000
0.000505207339
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 04/25/2049
3137H56A0
521585.57400000
PA
USD
448218.36000000
0.018044433508
Long
ABS-CBDO
USGSE
US
N
2
2049-04-25
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2877 ZD 5% 10/34
31395HNX4
204664.99910000
PA
USD
200841.30000000
0.008085495390
Long
ABS-CBDO
USGSE
US
N
2
2034-10-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2036#FM6342
3140XABL5
34251.81800000
PA
USD
30194.27000000
0.001215564880
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 6/29 #500286
31383DXP3
116.78940000
PA
USD
120.14000000
0.000004836611
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 03/01/2041#MA4287
31418DXR8
19326.54100000
PA
USD
16091.44000000
0.000647811301
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2049
3136BKND0
953124.53500000
PA
USD
819567.58000000
0.032994259100
Long
ABS-CBDO
USGSE
US
N
2
2049-06-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 04/01/2036#FM9743
3140XDZH2
175187.35700000
PA
USD
162566.72000000
0.006544632330
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.02500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 4.223/VAR 05/01/2029
38141GWZ3
2500000.00000000
PA
USD
2355387.30000000
0.094823490770
Long
DBT
CORP
US
N
2
2029-05-01
Variable
0.04223000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/01/2048#G67713
3132XCSA4
6365.31780000
PA
USD
6003.68000000
0.000241696936
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.04000000
N
N
N
N
N
N
GS MTG SECS CORP TR 2021-IP
N/A
GSMS 2021-IP B TSFR1M+126.448 10/15/2036 144A
36262MAC2
160000.00000000
PA
USD
148963.04000000
0.005996973596
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06575480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2047#BM4896
3140J9NN7
35382.95800000
PA
USD
31532.83000000
0.001269452804
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.03000000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT SECURITIZATION
N/A
CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A
14856CAA7
255824.10000000
PA
USD
232579.92000000
0.009363232916
Long
ABS-CBDO
CORP
US
N
2
2043-06-15
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2052#CB2906
3140QNGQ9
338547.18400000
PA
USD
304364.18000000
0.012253133067
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 11/35 #843567
31407XFG1
175.45080000
PA
USD
180.27000000
0.000007257333
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.06000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 5% 01/30/2029
126650DW7
801000.00000000
PA
USD
789144.58000000
0.031769485977
Long
DBT
CORP
US
N
2
2029-01-30
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049
3137H5J24
282141.60300000
PA
USD
243816.14000000
0.009815582134
Long
ABS-CBDO
USGSE
US
N
2
2049-06-25
Fixed
0.02500000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 3.25% 01/15/2031
756109AX2
213000.00000000
PA
USD
184187.14000000
0.007415030033
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6239
3133KM4Y8
198219.30040000
PA
USD
159402.19000000
0.006417234266
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
MAGALLANES INC 5.05% 03/15/2042
55903VBD4
738000.00000000
PA
USD
606659.53000000
0.024422978906
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
0.05050000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2.25% 02/15/2052
912810TD0
24090000.00000000
PA
USD
16251339.96000000
0.654248575047
Long
DBT
UST
US
N
2
2052-02-15
Fixed
0.02250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 03/01/2037#MA2922
31418CG81
126551.47330000
PA
USD
115947.95000000
0.004667847774
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2001-38 QF SOFR30A+109.448 8/31
313920QV5
2207.47160000
PA
USD
2212.93000000
0.000089088426
Long
ABS-CBDO
USGSE
US
N
2
2031-08-25
Variable
0.06382060
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 06/20/2039#004461
36202E5W5
1680.89110000
PA
USD
1628.29000000
0.000065551912
Long
ABS-MBS
USGA
US
N
2
2039-06-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/43#AL7261
3138EQB76
38662.32400000
PA
USD
35558.70000000
0.001431526807
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI PROPERTIES LP 5.125% 05/15/2032
925650AD5
485000.00000000
PA
USD
449507.31000000
0.018096324227
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/27 #417739
31379FBG8
111.51390000
PA
USD
113.50000000
0.000004569297
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.912%/VAR 07/25/2033
46647PDH6
9234000.00000000
PA
USD
8880723.87000000
0.357521346033
Long
DBT
CORP
US
N
2
2033-07-25
Variable
0.04912000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/41 #005055
36202FTL0
106442.00420000
PA
USD
104278.96000000
0.004198076045
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
0.04500000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2019-IMC
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-IMC B TSFR1M+141.448 04/15/2034 144A
05608BAG5
614000.00000000
PA
USD
610573.08000000
0.024580531115
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.06724480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#CB0388
3140QKNE4
3659866.68000000
PA
USD
3048169.01000000
0.122713587692
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.11% 4/38 #1B3803
3128JPDH0
879.45850000
PA
USD
886.16000000
0.000035675145
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Variable
0.04936000
N
N
N
N
N
N
VOYA CLO 2019-2 LLC
N/A
VOYA CLO 2019-2 LLC TSFR3M+153.161 07/20/2032 144A
92917RAC3
1290000.00000000
PA
USD
1288041.78000000
0.051854154872
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Variable
0.06857750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 3/42 #Q07242
3132GSLX5
5410.16450000
PA
USD
5131.98000000
0.000206603923
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96766
312945QT8
1291.61550000
PA
USD
1256.90000000
0.000050600445
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
KITE REALTY GROUP TRUST
N/A
KITE RLTY GROUP TRUST 4.75% 09/15/2030
76131VAB9
79000.00000000
PA
USD
72314.70000000
0.002911254674
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
0.04750000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.125% 07/27/2026
61761J3R8
1450000.00000000
PA
USD
1356892.47000000
0.054625954978
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
0.03125000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.627% 6/1/41#1B8372
3128UGVQ7
8910.95980000
PA
USD
9008.81000000
0.000362677854
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.05698000
N
N
N
N
N
N
HORIZON AIRCRAFT FINANCE LTD
N/A
HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A
44040HAA0
1559049.92900000
PA
USD
1328513.22000000
0.053483459410
Long
ABS-CBDO
CORP
KY
N
2
2039-07-15
Fixed
0.03721000
N
N
N
N
N
N
VORNADO REALTY L P
549300BMOJ05INE4YK86
VORNADO REALTY LP 2.15% 06/01/2026
929043AK3
374000.00000000
PA
USD
323279.57000000
0.013014631318
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.02150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2037#FS1654
3140XGZU6
735135.46200000
PA
USD
664568.78000000
0.026754297086
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.02500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037
38141GFD1
278000.00000000
PA
USD
294724.06000000
0.011865039852
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
0.06750000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-H03 FA TSFR1M+66.448 3/60
38376XNT6
53015.61640000
PA
USD
52798.67000000
0.002125575780
Long
ABS-CBDO
USGA
US
N
2
2060-03-20
Variable
0.05980000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#BQ6743
3140KSP50
1177137.79700000
PA
USD
976416.26000000
0.039308693826
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
CENOVUS ENERGY INC 5.25% 06/15/2037
15135UAP4
1911000.00000000
PA
USD
1742423.16000000
0.070146700048
Long
DBT
CORP
CA
N
2
2037-06-15
Fixed
0.05250000
N
N
N
N
N
N
BARINGS CLO LTD 2021-1
N/A
BARINGS CLO LTD 2021-1A A TSFR3M+128.161 04/25/2034 144A
06762EAA2
1437000.00000000
PA
USD
1418544.61000000
0.057107954914
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Variable
0.06632820
N
N
N
N
N
N
TOLEDO HOSPITAL/THE
5493009DCR7NWV6K4T34
TOLEDO HOSPITAL/THE 5.325% 11/15/2028
889184AC1
319000.00000000
PA
USD
255104.30000000
0.010270022359
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.05325000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 01/01/2051#RA4352
3133KKZR3
526372.58400000
PA
USD
421484.11000000
0.016968162566
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2042#C04320
31292LYR0
111027.27100000
PA
USD
99323.06000000
0.003998560773
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 03/15/2026
91282CGR6
1740000.00000000
PA
USD
1738708.59000000
0.069997158402
Long
DBT
UST
US
N
2
2026-03-15
Fixed
0.04625000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027
3136A7HT2
2415.81440000
PA
USD
58.34000000
0.000002348659
Long
ABS-CBDO
USGSE
US
N
2
2027-07-25
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2017-134 BA 2.5% 11/46
38380GF25
65948.76280000
PA
USD
58245.87000000
0.002344869871
Long
ABS-CBDO
USGA
US
N
2
2046-11-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8987
3617M76Y9
3760.76560000
PA
USD
3435.53000000
0.000138308017
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 03/01/2035#CA5427
3140QDA53
880666.40820000
PA
USD
799570.07000000
0.032189196720
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048
3137H5BQ9
975538.97100000
PA
USD
836975.76000000
0.033695079893
Long
ABS-CBDO
USGSE
US
N
2
2048-10-25
Fixed
0.02500000
N
N
N
N
N
N
SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC
N/A
SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC 21-25A A TSFR3M+124.161 04/19/2034 144A
87167WAC9
1453000.00000000
PA
USD
1430392.77000000
0.057584939693
Long
ABS-CBDO
CORP
KY
N
2
2034-04-19
Variable
0.06561730
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A97152
3129455M6
2396.83840000
PA
USD
2333.09000000
0.000093925843
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 01/01/2046#G60393
31335ANJ3
7230.43260000
PA
USD
6606.02000000
0.000265946019
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #778882
36176XCT4
12388.30630000
PA
USD
11470.43000000
0.000461778074
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.686% 04/01/2044#AL5128
3138EMVW8
2051.91470000
PA
USD
2068.97000000
0.000083292865
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Variable
0.04164000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AQ9994
3138MSC80
14727.30650000
PA
USD
13169.97000000
0.000530198379
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNCL 2011-39 ZA 6% 11/32
31397SVY7
10915.37700000
PA
USD
11063.71000000
0.000445404287
Long
ABS-CBDO
USGSE
US
N
2
2032-11-25
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#FM9539
3140XDS56
153670.34100000
PA
USD
123577.22000000
0.004974987926
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 12/40 #AB1898
31416XDC1
2786.11840000
PA
USD
2708.67000000
0.000109045992
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 3/24 #050994
313615UT1
3.89930000
PA
USD
3.89000000
0.000000156604
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21255
3132JNMC8
6546.56870000
PA
USD
6207.36000000
0.000249896712
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
LIFE 2021-BMR MTG TR
N/A
LIFE 2021-BMR MTG TR 21-BMR E TSFR1M+186.448 6 03/15/2036 144A
53218CAJ9
253606.30000000
PA
USD
244050.06000000
0.009824999316
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.07174480
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2044#MA2074
36179QJT9
5285.47460000
PA
USD
5035.33000000
0.000202712975
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/40 #782918
36241LG34
18932.29710000
PA
USD
18815.26000000
0.000757467204
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.05000000
N
N
N
N
N
N
SAPPHIRE AVIATION FINANCE
N/A
SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A
80307AAA7
896169.96000000
PA
USD
758285.25000000
0.030527147023
Long
ABS-CBDO
CORP
US
N
2
2040-03-15
Fixed
0.03228000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#QK1167
3133D4JL8
82537.05400000
PA
USD
71166.62000000
0.002865035119
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2046#BC0796
3140EU3E7
89923.68980000
PA
USD
84622.80000000
0.003406755778
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 8/46#BC1509
3140EVVB0
218515.93290000
PA
USD
192490.53000000
0.007749308996
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.8% 02/14/2029
02209SBD4
173000.00000000
PA
USD
167624.58000000
0.006748252321
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
0.04800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/01/2041#A97673
312946Q25
27057.40090000
PA
USD
26338.63000000
0.001060344020
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
WFRBS COML MTG TR 2014-C21
5493000F7E2NMQ4HIO61
WFRBS COML MTG TR 2014-C21 XA CSTR 08/15/47
92939FBA6
804217.92760000
PA
USD
5904.49000000
0.000237703732
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
0.01146991
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 01/01/2036#MA4228
31418DVW9
750808.67400000
PA
USD
642141.73000000
0.025851425966
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #724223
3620AASL3
20950.32620000
PA
USD
20361.82000000
0.000819728819
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#741529
31402XY26
984.27690000
PA
USD
957.93000000
0.000038564471
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/39 #723224
3620A9PH8
2331.54320000
PA
USD
2315.84000000
0.000093231390
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.05000000
N
N
N
N
N
N
SYMP 2022-32A A1
N/A
SYMP 2022-32A A1 TSFR3M+132 04/23/2035 144A
87168NAC8
1936000.00000000
PA
USD
1911656.74000000
0.076959727702
Long
ABS-CBDO
CORP
KY
N
2
2035-04-23
Variable
0.06665570
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AL2884
3138EKF26
5407.70120000
PA
USD
4829.32000000
0.000194419397
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERSHIP LP 4.1% 10/01/2024
105340AN3
995000.00000000
PA
USD
950001.43000000
0.038245282136
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.04100000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 05/01/2051#RA5267
3133KLZ83
375103.35700000
PA
USD
325505.05000000
0.013104224984
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/24 #313987
31374GXQ5
7.50570000
PA
USD
7.49000000
0.000000301533
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
0.07000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 5.288%/VAR 04/25/2034
06051GLH0
5000000.00000000
PA
USD
4879038.75000000
0.196420981755
Long
DBT
CORP
US
N
2
2034-04-25
Variable
0.05288000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/49#BR8986
3617M76X1
1120.01660000
PA
USD
1009.51000000
0.000040640985
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
BPR TRUST 2022
N/A
BPR TRUST 2022 TSFR1M+229.667 04/15/2024 144A
05592DAG9
900000.00000000
PA
USD
876869.10000000
0.035301111206
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.07757480
N
N
N
N
N
N
BMO 2023-5C1 MTG TR
N/A
BMO 2023-5C1 MTG TR 6.534% 08/15/2056
055986AC7
400000.00000000
PA
USD
411693.56000000
0.016574013321
Long
ABS-MBS
CORP
US
N
2
2056-08-15
Fixed
0.06534000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 02/01/2037#AS8773
3138WJXB9
49741.16580000
PA
USD
45573.44000000
0.001834701523
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.03000000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 3.75% 03/24/2025
615369AS4
1044000.00000000
PA
USD
1015997.92000000
0.040902177484
Long
DBT
CORP
US
N
2
2025-03-24
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 01/01/2032#
31287NDD7
359.85620000
PA
USD
364.76000000
0.000014684555
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AB9858
31417G5U6
103796.09390000
PA
USD
92462.65000000
0.003722373487
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5.45%/VAR 07/20/2029
61747YFF7
1318000.00000000
PA
USD
1310264.18000000
0.052748787165
Long
DBT
CORP
US
N
2
2029-07-20
Variable
0.05449000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE EQUITIES INC
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030
015271AU3
857000.00000000
PA
USD
829513.99000000
0.033394682978
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
0.04900000
N
N
N
N
N
N
CBRE SERVICES INC
549300CTE3HOMEUMM603
CBRE SERVICES INC 2.5% 04/01/2031
12505BAE0
1070000.00000000
PA
USD
859371.31000000
0.034596682882
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
0.02500000
N
N
N
N
N
N
TANGER PROPERTIES LP
PQPGJDNFN35EXH363L31
TANGER PROPERTIES LP 2.75% 09/01/2031
875484AL1
897000.00000000
PA
USD
667285.86000000
0.026863681648
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
0.02750000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 3.2575 06/08/2028
N/A
1100000.00000000
NC
USD
40124.44000000
0.001615334966
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 06/12/33 SOFRV3.2575%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-06-12
0.00000000
USD
0.00000000
USD
1100000.00000000
USD
1.00000000
3.25750000
USD
2028-06-08
XXXX
-3485.06000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.05% 7/34 #801635
31405WSY2
199.38100000
PA
USD
200.62000000
0.000008076586
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Variable
0.05730000
N
N
N
N
N
N
ROCKLAND PARK CLO LTD
N/A
ROCKLAND PARK CLO LTD TSFR3M+138.161 04/20/2034 144A
773663AA7
1717000.00000000
PA
USD
1704838.49000000
0.068633611475
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.06707750
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2006-104 GI SOFR30A+656.552 11/36
31396LMA5
6780.40320000
PA
USD
556.44000000
0.000022401234
Long
ABS-CBDO
USGSE
US
N
2
2036-11-25
Variable
0.01277940
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A
61771LAA0
1698000.00000000
PA
USD
1553288.29000000
0.062532483651
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03170000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 12/01/2047#Q53034
3132XVLQ4
45526.67320000
PA
USD
41353.17000000
0.001664801340
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 01/01/2041#A96413
312945DS4
7492.44160000
PA
USD
7119.44000000
0.000286615349
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 12/01/2052#
31418EM23
753040.08400000
PA
USD
756252.10000000
0.030445296204
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 03/01/2041#MA4286
31418DXQ0
64538.86400000
PA
USD
51980.81000000
0.002092650264
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4.5% 10/01/2042#RB5189
3133KYXS3
87712.61700000
PA
USD
84353.13000000
0.003395899368
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 06/01/2044#AL7195
3138EP7H1
49303.17840000
PA
USD
43986.52000000
0.001770815089
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.03000000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD 4.25% 04/15/2026 144A
05401AAL5
290000.00000000
PA
USD
273487.13000000
0.011010080740
Long
DBT
CORP
KY
N
2
2026-04-15
Fixed
0.04250000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036
31397CDM8
44315.96670000
PA
USD
44132.66000000
0.001776698413
Long
ABS-CBDO
USGSE
US
N
2
2036-11-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/40#AE3576
31419D6N6
8852.21140000
PA
USD
8396.08000000
0.000338010489
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 5.75% 06/24/2044
969457BV1
35000.00000000
PA
USD
33120.45000000
0.001333367418
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
0.05750000
N
N
N
N
N
N
ARES LVIII CLO LLC
N/A
ARES LVIII CLO LLC SOFR90A+133 01/15/2035 144A
04018AAQ2
1808000.00000000
PA
USD
1784362.21000000
0.071835087822
Long
ABS-CBDO
CORP
KY
N
2
2035-01-15
Variable
0.06637960
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2033#
3140JAUL0
99234.18840000
PA
USD
93449.92000000
0.003762119132
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 11/27 #256993
31371NNJ0
865.96890000
PA
USD
871.68000000
0.000035092207
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0170
3138MFFL6
4640.77200000
PA
USD
4255.29000000
0.000171310022
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030
92277GAU1
1531000.00000000
PA
USD
1304399.68000000
0.052512693355
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.03000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 5.375% 01/31/2044
02209SAR4
1137000.00000000
PA
USD
1055734.48000000
0.042501897127
Long
DBT
CORP
US
N
2
2044-01-31
Fixed
0.05375000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 4% 02/01/2025
92936UAC3
395000.00000000
PA
USD
384554.28000000
0.015481436628
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 12/15/2042#AA5897
36178DRS2
25668.07480000
PA
USD
22953.68000000
0.000924072259
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2045#AZ7335
3140E0EH4
33299.29130000
PA
USD
31336.34000000
0.001261542484
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
CAMB COML MTG TR 2019-LIFE
N/A
CAMB COML MTG TR 2019-LIFE A TSFR1M+118.448 12/15/2037 144A
12482HAA2
100000.00000000
PA
USD
99494.13000000
0.004005447731
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Variable
0.06495480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/1/42 #AQ7097
3138MN3F5
5908.28990000
PA
USD
5433.56000000
0.000218744970
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.5% 05/15/2031
3137AQ6B9
8652.86750000
PA
USD
164.94000000
0.000006640176
Long
ABS-CBDO
USGSE
US
N
2
2031-05-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/26 #572166
31386STX5
15.41800000
PA
USD
15.86000000
0.000000638493
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2043#Q17646
3132J85G1
27924.49980000
PA
USD
25672.98000000
0.001033546195
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC
N/A
CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC TSFR3M+139.161 10/25/2034 144A
15033TAN5
838000.00000000
PA
USD
825807.94000000
0.033245484331
Long
ABS-CBDO
CORP
KY
N
2
2034-10-25
Variable
0.06742820
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 4.682%/VAR 08/09/2028
25466AAN1
401000.00000000
PA
USD
369998.26000000
0.014895438466
Long
DBT
CORP
US
N
2
2028-08-09
Variable
0.05974000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6% 11/35 #AD0687
31418MXR8
15232.92970000
PA
USD
15535.83000000
0.000625443481
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H13 FA TSFR1M+61.448 4/61
38375BLW0
175182.51980000
PA
USD
174288.83000000
0.007016542571
Long
ABS-CBDO
USGA
US
N
2
2061-04-20
Variable
0.05755260
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 02/01/2036#SB8510
3132D6N30
50487.22900000
PA
USD
44506.40000000
0.001791744487
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.02000000
N
N
N
N
N
N
CGMS COMMERCIAL MORTGAGE TRUST 2017-B1
N/A
CGMS COMMERCIAL MORTGAGE TRUST 2017-B1 3.197% 08/15/2050
17326CAY0
290312.55600000
PA
USD
265461.13000000
0.010686968979
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
0.03197000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4% 09/01/2039#MA3773
31418DFP2
10317.33030000
PA
USD
9838.10000000
0.000396063519
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.04000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050
25470DBH1
1913000.00000000
PA
USD
1425904.63000000
0.057404255564
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
0.04650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/27 #394197
31378B3E2
20.21650000
PA
USD
20.54000000
0.000000826902
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/27 #313711
31374GN45
8.24970000
PA
USD
8.40000000
0.000000338168
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 02/01/2052#CB2842
3140QNEQ1
879740.11190000
PA
USD
704437.29000000
0.028359328789
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/42 #783532
36241L4R4
4221.76010000
PA
USD
3909.61000000
0.000157393592
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031
95000U2L6
3026000.00000000
PA
USD
2830986.19000000
0.113970213246
Long
DBT
CORP
US
N
2
2031-04-04
Variable
0.04478000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045
38380T6K7
133991.06430000
PA
USD
120370.94000000
0.004845909086
Long
ABS-CBDO
USGA
US
N
2
2045-11-16
Fixed
0.03000000
N
N
N
N
N
N
FIRST CITIZENS BANK and TRUST COMPANY
L9VVX1KT5TFTKS0MLF66
FIRST CITIZENS BANK and TRUST CO 6.125% 03/09/2028
125581GX0
210000.00000000
PA
USD
210950.55000000
0.008492474902
Long
DBT
CORP
US
N
2
2028-03-09
Fixed
0.06125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2050#MA4184
31418DUJ9
90592.59100000
PA
USD
78642.23000000
0.003165989207
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 11/01/2034#FM7876
3140XBXE5
73296.20800000
PA
USD
70040.03000000
0.002819680711
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.224% 4/41#1B8179
3128UGPP6
1149.47370000
PA
USD
1157.31000000
0.000046591137
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Variable
0.05255000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/2044#V80950
3132L6BT7
6809.32230000
PA
USD
6447.99000000
0.000259584026
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2049#CA2963
3140QAJH4
2954.49220000
PA
USD
2845.95000000
0.000114572628
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
0.04500000
N
N
N
N
N
N
MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC
N/A
MADISON PK FDG XLV LLC 2020-45A AR TSFR3M+138.161 07/15/2034 144A
55820BAJ6
1325000.00000000
PA
USD
1314282.08000000
0.052910540310
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Variable
0.06689570
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/41 #AH6233
3138A74T2
3693.72060000
PA
USD
3505.08000000
0.000141107970
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04000000
N
N
N
N
N
N
GS MTG SECS TR 2017-GS6
N/A
GS MTG SECS TR 2017-GS6 3.164% 05/10/2050
36253PAB8
95258.80300000
PA
USD
87898.44000000
0.003538626923
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
0.03164000
N
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
OVINTIV INC 7.375% 11/01/2031
012873AK1
435000.00000000
PA
USD
466525.88000000
0.018781460049
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
0.07375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 08/01/2045#AZ7222
3140E0AY1
16890.07020000
PA
USD
15915.53000000
0.000640729493
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #733726
3620AMD74
45922.30260000
PA
USD
45649.32000000
0.001837756310
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
COMM 14-CCRE18 MTG TR
N/A
COMM 14-CCRE18 MTG TR 3.828% 07/15/2047
12632QAX1
257000.00000000
PA
USD
251861.98000000
0.010139492615
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
0.03828000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2011-67 AI IO 4% 7/26
31397U4B2
7215.88280000
PA
USD
158.24000000
0.000006370446
Long
ABS-CBDO
USGSE
US
N
2
2026-07-25
Fixed
0.04000000
N
N
N
N
N
N
MAGNETITE XXIII LTD
N/A
MAGNETITE XXIII LTD TSFR3M+139.161 01/25/2035 144A
55954NAJ8
1132000.00000000
PA
USD
1126779.22000000
0.045362025586
Long
ABS-CBDO
CORP
KY
N
2
2035-01-25
Variable
0.06742820
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2035#
3140XC4X3
96280.41100000
PA
USD
91218.28000000
0.003672277477
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 01/15/2043#AD2150
36180DL70
12702.81800000
PA
USD
11746.37000000
0.000472886903
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
0.03500000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD 6.375% 05/04/2028 144A
05401AAS0
4704000.00000000
PA
USD
4666165.87000000
0.187851117440
Long
DBT
CORP
KY
N
2
2028-05-04
Fixed
0.06375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 9/35 #A37119
31297S4C6
2773.33810000
PA
USD
2760.50000000
0.000111132570
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.05000000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1
N/A
CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1 3.474% 01/15/2046 144A
14856GAA8
292376.39600000
PA
USD
269726.00000000
0.010858664675
Long
ABS-CBDO
CORP
US
N
2
2046-01-15
Fixed
0.03474000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/32 #582029
36201FSS7
48.21790000
PA
USD
49.33000000
0.000001985933
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046
38379WN73
49099.89750000
PA
USD
44556.73000000
0.001793770678
Long
ABS-CBDO
USGA
US
N
2
2046-02-20
Fixed
0.03000000
N
N
N
N
N
N
CFMT 2022-HB10
N/A
CFMT 2022-HB10 3.5% 11/25/2035 144A
12529GAA9
976398.41000000
PA
USD
931934.20000000
0.037517929222
Long
ABS-CBDO
CORP
US
N
2
2035-11-25
Fixed
0.03250000
N
N
N
N
N
N
BX TRUST 2022-IND
N/A
BX TRUST 2022-IND TSFR1M+274.6 04/15/2024 144A
05609WAL7
141176.03000000
PA
USD
136441.65000000
0.005492885836
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.08149480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 07/01/2051#CB0997
3140QLDB9
1488885.69800000
PA
USD
1244691.17000000
0.050108940330
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 07/51#QC4163
3133ANTU8
49642.98370000
PA
USD
39936.96000000
0.001607787372
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 11/01/2033#ZT1410
3132ADR75
93177.30800000
PA
USD
88739.46000000
0.003572484816
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #460857
36208T5S5
47.75090000
PA
USD
48.40000000
0.000001948493
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.869% 5/36 #995608
31416CAH9
2626.79470000
PA
USD
2658.17000000
0.000107012956
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.05467000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 3.95% 12/01/2027
87165BAM5
3042000.00000000
PA
USD
2717840.10000000
0.109415163119
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2052#MA4840
31418ELW8
1053692.01900000
PA
USD
999422.45000000
0.040234880040
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.04500000
N
N
N
N
N
N
SWISS RE FINANCE LUXEMBOURG
549300CLQZ6TM98LW631
SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A
87089NAA8
400000.00000000
PA
USD
378000.00000000
0.015217573564
Long
DBT
CORP
LU
N
2
2049-04-02
Variable
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.0% 07/01/2041#Q02067
3132GFJL2
2561.19290000
PA
USD
2562.64000000
0.000103167097
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BK4845
3140HJL33
14030.93260000
PA
USD
13191.16000000
0.000531051448
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 01/15/2026
91282CGE5
100000.00000000
PA
USD
98109.38000000
0.003949700284
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 7/32 #G01433
31283HSW6
41.34140000
PA
USD
42.60000000
0.000001714996
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG 2012-14 CLASS JS SOFR30A+653.552 12/25/2030
3136A4WY1
1225.98710000
PA
USD
1.93000000
0.000000077698
Long
ABS-CBDO
USGSE
US
N
2
2030-12-25
Variable
0.01247940
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/40 #719262
3620A5B73
3239.94010000
PA
USD
3221.97000000
0.000129710490
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 12/01/2032#
31283HUA1
112.28600000
PA
USD
114.24000000
0.000004599088
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3123 LO 0% 3/36
31396JPR0
6153.73610000
PA
USD
4914.82000000
0.000197861468
Long
ABS-CBDO
USGSE
US
N
2
2036-03-15
Fixed
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 03/01/2035#CA5428
3140QDA61
802139.27780000
PA
USD
728274.12000000
0.029318955017
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 05/01/2036#FM6899
3140XAUZ3
43917.84700000
PA
USD
38825.04000000
0.001563023551
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.02000000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 5.574%/VAR 07/25/2029
95000U3E1
2500000.00000000
PA
USD
2489646.45000000
0.100228513236
Long
DBT
CORP
US
N
2
2029-07-25
Variable
0.05574000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 3/40 #711495
36297GNL0
43266.14920000
PA
USD
41158.40000000
0.001656960264
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04000000
N
N
N
N
N
N
FHLMC MFD HSG COP GTD (FREDMAC
N/A
FHR 2056 Z 6% 5/28
3133TDZM1
2392.66950000
PA
USD
2415.43000000
0.000097240697
Long
ABS-CBDO
USGSE
US
N
2
2028-05-15
Fixed
0.06000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A
61771LAG7
235000.00000000
PA
USD
200730.70000000
0.008081042841
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03283000
N
N
N
N
N
N
FHLMC MFD HSG COP GTD (FREDMAC
N/A
FHR 1686 FA SOFR30A+101.448 2/24
3133T4DV5
14.63670000
PA
USD
14.64000000
0.000000589379
Long
ABS-CBDO
USGSE
US
N
2
2024-02-15
Variable
0.06202990
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 2.55% 12/01/2033
00206RMM1
339000.00000000
PA
USD
258665.88000000
0.010413404914
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
0.02550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#CB3036
3140QNLS9
118300.38180000
PA
USD
95022.82000000
0.003825441147
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 09/20/2051#MA7589
36179WNE4
1565778.45500000
PA
USD
1333504.62000000
0.053684403846
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
0.02500000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 4.65% 08/15/2032
969457BZ2
1526000.00000000
PA
USD
1432964.71000000
0.057688481191
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
0.04650000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.93% 05/01/2060
097023CX1
720000.00000000
PA
USD
694999.66000000
0.027979387443
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
0.05930000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049
3137H4R85
604463.25300000
PA
USD
520261.58000000
0.020944758906
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 11/01/2039#MA3831
31418DHH8
31642.43250000
PA
USD
28615.42000000
0.001152003330
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/44#Q28370
3132M86F8
6561.86210000
PA
USD
6209.56000000
0.000249985280
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/29 #527286
31384LXP4
108.85460000
PA
USD
111.98000000
0.000004508105
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-81 PC 5.5% 9/35
31394FCS2
5426.45530000
PA
USD
5475.12000000
0.000220418098
Long
ABS-CBDO
USGSE
US
N
2
2035-09-25
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2053#CB6636
3140QSLS8
599381.95200000
PA
USD
596371.38000000
0.024008797214
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2031#FS1234
3140XGLQ0
259313.16800000
PA
USD
246290.51000000
0.009915195646
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
0.03000000
N
N
N
N
N
N
CLECO CORPORATE HLDGS LLC
5493002H80P81B3HXL31
CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026
18551PAC3
1337000.00000000
PA
USD
1255583.83000000
0.050547458465
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.03743000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2036#FM6089
3140X9XT7
40900.82200000
PA
USD
36055.62000000
0.001451531877
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.02000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 5.017% 06/26/2024 144A
46115HAT4
200000.00000000
PA
USD
195554.60000000
0.007872662728
Long
DBT
CORP
IT
N
2
2024-06-26
Fixed
0.05017000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
AMGEN INC 5.75% 03/02/2063
031162DU1
804000.00000000
PA
USD
793985.91000000
0.031964388875
Long
DBT
CORP
US
N
2
2063-03-02
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2041#CB0471
3140QKQZ4
95857.79000000
PA
USD
83101.60000000
0.003345515109
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS 2.219%/VAR 06/09/2026 144A
09659W2L7
1520000.00000000
PA
USD
1420042.11000000
0.057168241465
Long
DBT
CORP
FR
N
2
2026-06-09
Variable
0.02219000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#BD9690
3140FHXU6
27112.50900000
PA
USD
24671.51000000
0.000993228884
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 5.75% 06/06/2028
00774MBC8
2000000.00000000
PA
USD
1982534.98000000
0.079813153182
Long
DBT
CORP
IE
N
2
2028-06-06
Fixed
0.05750000
N
N
N
N
N
N
BANK 2018-BNK14
N/A
BANK 2018-BNK14 4.231% 09/15/2060
06035RAS5
900000.00000000
PA
USD
846633.69000000
0.034083890105
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
0.04231000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 3.95% 11/06/2024
254709AK4
4380000.00000000
PA
USD
4265605.48000000
0.171725304736
Long
DBT
CORP
US
N
2
2024-11-06
Fixed
0.03950000
N
N
N
N
N
N
EXTENDED STAY AMER TR 2021-ESH
N/A
EXTENDED STAY AMER TR 2021-ESH 1.38% 07/15/2038 144A
30227FAE0
438981.96000000
PA
USD
432919.79000000
0.017428541671
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.06804480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 05/50#FM3269
3140X6T35
103177.61510000
PA
USD
90147.50000000
0.003629169875
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 03/01/2041#CA9362
3140QHML6
110978.56700000
PA
USD
96210.19000000
0.003873242444
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-39 FD SOFR30A+111.448 3/32
31392DPW6
479.21300000
PA
USD
480.14000000
0.000019329539
Long
ABS-CBDO
USGSE
US
N
2
2032-03-18
Variable
0.06344490
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H21 FA TSFR1M+71.448 10/61
38375BNE8
242368.23700000
PA
USD
241527.27000000
0.009723436505
Long
ABS-CBDO
USGA
US
N
2
2061-10-20
Variable
0.05855260
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 11/01/2036#AS8355
3138WJH92
64529.52050000
PA
USD
59304.20000000
0.002387476259
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 01/42#G60517
31335ASE9
75078.51110000
PA
USD
73086.36000000
0.002942320264
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 10/01/2031#G15963
3128MEZ46
36692.17320000
PA
USD
34142.87000000
0.001374528137
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/35 #745092
31403CXV8
7089.75180000
PA
USD
7317.23000000
0.000294578004
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.06500000
N
N
N
N
N
N
KINDER MORGAN INC DEL
549300WR7IX8XE0TBO16
KINDER MORGAN INC DEL 5.55% 06/01/2045
49456BAH4
415000.00000000
PA
USD
375057.54000000
0.015099115624
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
0.05550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3433
3133B0Y64
174264.03260000
PA
USD
139974.69000000
0.005635119424
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2052#RA6799
3133KNRU9
360948.35500000
PA
USD
324954.69000000
0.013082068519
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #888544
31410GER0
52486.25310000
PA
USD
54063.85000000
0.002176509562
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2047#BE3663
3140FPB99
116525.60170000
PA
USD
112572.34000000
0.004531952024
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
OCWEN LN INVT TR 2023-HB1
N/A
OCWEN LN INVT TR 2023-HB1 A 3% 06/25/2036 144A
67578KAA4
351102.38000000
PA
USD
330986.11000000
0.013324882216
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/40 #746823
3620C2VQ4
1282.92110000
PA
USD
1222.16000000
0.000049201877
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.24% 6/33 #847147
3128HD5G0
3482.99480000
PA
USD
3496.44000000
0.000140760139
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Variable
0.05196000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.1% 03/22/2028
92343VGH1
1151000.00000000
PA
USD
1005849.16000000
0.040493607374
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
0.02100000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96695
312945NL8
2502.76470000
PA
USD
2435.82000000
0.000098061560
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/28 #416823
31379EAY3
20.80900000
PA
USD
21.41000000
0.000000861926
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 05/01/2036#BT0887
3140LN6Z5
140027.40900000
PA
USD
123133.14000000
0.004957110095
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA SOFR30A+652.552 12/25/2036
31396LZK9
4368.57610000
PA
USD
386.21000000
0.000015548092
Long
ABS-CBDO
USGSE
US
N
2
2036-12-25
Variable
0.01237940
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 08/01/2034#CA4090
3140QBRL4
276175.30500000
PA
USD
262784.28000000
0.010579204001
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 2.5% 01/15/2027
46590XAS5
1945000.00000000
PA
USD
1748350.78000000
0.070385334951
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6241
3133KM5A9
1794496.67700000
PA
USD
1441960.45000000
0.058050632871
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 04/15/2045#AK8698
36183SUX7
9349.03200000
PA
USD
8399.00000000
0.000338128043
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 4/40 #A91937
312940EJ4
8040.30330000
PA
USD
8041.20000000
0.000323723683
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2052#FS1647
3140XGZM4
751364.97000000
PA
USD
699676.62000000
0.028167673112
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 10/01/2041#RB5132
3133KYVZ9
147576.14300000
PA
USD
127015.23000000
0.005113395784
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#CB2048
3140QMH23
866310.08000000
PA
USD
723142.29000000
0.029112357132
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030
38141GXH2
3630000.00000000
PA
USD
3301969.13000000
0.132931106202
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
0.03800000
N
N
N
N
N
N
LIFE 2021-BMR MTG TR
N/A
LIFE 2021-BMR MTG TR TSFR1M+81.448 03/15/2038 144A
53218CAA8
1199223.58000000
PA
USD
1175120.03000000
0.047308136253
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.06124480
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2121 MG 6% 2/29
3133TJA60
1301.77690000
PA
USD
1307.15000000
0.000052623416
Long
ABS-CBDO
USGSE
US
N
2
2029-02-15
Fixed
0.06000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.5% 04/01/2063
161175CL6
2499000.00000000
PA
USD
1963199.91000000
0.079034759399
Long
DBT
CORP
US
N
2
2063-04-01
Fixed
0.05500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 5.299%/VAR 07/24/2029
46647PDU7
2500000.00000000
PA
USD
2485719.48000000
0.100070420762
Long
DBT
CORP
US
N
2
2029-07-24
Variable
0.05299000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 01/01/2035#787546
31405E5F8
20799.79860000
PA
USD
21290.15000000
0.000857101650
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.06000000
N
N
N
N
N
N
SPGN 2022-TFLM MTG TR
N/A
SPGN 2022-TFLM B TSFR1M+200 02/15/2039 144A
78473HAG1
457000.00000000
PA
USD
430350.23000000
0.017325095988
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.07310480
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC B TSFR1M+101.328 21 10/15/2036 144A
05609PAG3
268000.00000000
PA
USD
259760.55000000
0.010457474282
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06323280
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST 2018-3PCK
N/A
GS MORTGAGE SECURITIES TRUST 2018-3PCK A TSFR1M+206.448 09/15/2031 144A
36255YAA9
734434.38000000
PA
USD
724367.93000000
0.029161699107
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
0.07374480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 07/01/2041#AI6050
3138AKWL9
3555.48600000
PA
USD
3604.28000000
0.000145101576
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.06050000
N
N
N
N
N
N
CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8
N/A
CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 A3 3.3048% 06/15/2050
12532CAZ8
245012.45800000
PA
USD
226672.17000000
0.009125397941
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
0.03304800
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 06/01/2050#RA2677
3133KH6N1
726637.89990000
PA
USD
585930.57000000
0.023588469716
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.02000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 2.636%/VAR 03/03/2026
14040HCM5
1062000.00000000
PA
USD
1003706.87000000
0.040407362782
Long
DBT
CORP
US
N
2
2026-03-03
Variable
0.02636000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2051#CB1549
3140QLWK8
235712.39880000
PA
USD
197200.15000000
0.007938909496
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2424 FM SOFR30A+111.448 3/32
31339WJT4
250.48800000
PA
USD
250.82000000
0.000010097544
Long
ABS-CBDO
USGSE
US
N
2
2032-03-15
Variable
0.06302990
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 06/20/2045#MA2893
36179RGA1
96410.22820000
PA
USD
91847.48000000
0.003697607893
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2423 FA SOFR30A+101.448 3/32
31339WBA3
290.84340000
PA
USD
290.42000000
0.000011691766
Long
ABS-CBDO
USGSE
US
N
2
2032-03-15
Variable
0.06202990
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/40 #AE6775
31419HQ54
18293.58540000
PA
USD
17373.28000000
0.000699415784
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 10/01/2052#SD1733
3132DN4S9
189671.82400000
PA
USD
185211.05000000
0.007456250736
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.26% 01/25/2029
3137H5YC5
300000.00000000
PA
USD
264027.81000000
0.010629266195
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Fixed
0.02260000
N
N
N
N
N
N
COLUMBIA PIPELINES OPERATING CO LLC
N/A
COLUMBIA PIPELINES OPERATING CO LLC 6.036% 11/15/2033 144A
19828TAB2
781000.00000000
PA
USD
789005.45000000
0.031763884863
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
0.06036000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 9/25 #250345
31371FBN1
6.27210000
PA
USD
6.45000000
0.000000259664
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #724220
3620AASH2
16378.57750000
PA
USD
15917.91000000
0.000640825307
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
REGIONS BANK OF ALABAMA
EQTWLK1G7ODGC2MGLV11
REGIONS BANK OF ALABAMA 6.45% 06/26/2037
75913MAA7
250000.00000000
PA
USD
245727.15000000
0.009892515825
Long
DBT
CORP
US
N
2
2037-06-26
Fixed
0.06450000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 4.78% 03/25/2038
126650CY4
2092000.00000000
PA
USD
1873507.02000000
0.075423891272
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
0.04780000
N
N
N
N
N
N
FIVE CORNERS FND TR II
N/A
FIVE CORNERS FND TR II 2.85% 05/15/2030 144A
33834DAA2
2287000.00000000
PA
USD
1957935.87000000
0.078822838986
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.02850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2042#AQ7688
3138MPRJ6
11148.58000000
PA
USD
9932.58000000
0.000399867108
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2045#Q34164
3132QQTW2
126788.59940000
PA
USD
115918.49000000
0.004666661770
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2046#Q40046
3132WDBQ6
49863.42760000
PA
USD
45526.10000000
0.001832795703
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2045#Q31974
3132QNFQ7
11606.24060000
PA
USD
10618.44000000
0.000427478549
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 5.625% 08/23/2027
87166FAE3
1253000.00000000
PA
USD
1185191.19000000
0.047713582333
Long
DBT
CORP
US
N
2
2027-08-23
Fixed
0.05625000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 6.125% 12/15/2045
29273RBJ7
100000.00000000
PA
USD
93912.46000000
0.003780740128
Long
DBT
CORP
US
N
2
2045-12-15
Fixed
0.06125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 09/01/2041#AI9813
3138AP3X4
2935.90600000
PA
USD
3003.01000000
0.000120895570
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.04068000
N
N
N
N
N
N
COLUMBIA PIPELINES OPERATING CO LLC
N/A
COLUMBIA PIPELINES OPERATING CO LLC 5.927% 08/15/2030 144A
19828TAA4
290000.00000000
PA
USD
292533.54000000
0.011776853611
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
0.05927000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030
11120VAJ2
1055000.00000000
PA
USD
953098.28000000
0.038369955530
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
0.04050000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.3% 03/25/2028
68389XCD5
1961000.00000000
PA
USD
1725637.03000000
0.069470921825
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
0.02300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 02/01/2036#RC1756
3133L75R4
1342201.55400000
PA
USD
1147940.43000000
0.046213936353
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/39 #710849
36297FWJ7
12784.70010000
PA
USD
12695.59000000
0.000511100726
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 11/01/2040#A94862
312943MK6
1505.18700000
PA
USD
1465.16000000
0.000058984603
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/36 #AH8017
3138A94B7
1664.20030000
PA
USD
1586.32000000
0.000063862278
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.04000000
N
N
N
N
N
N
ARES LV CLO LTD
N/A
ARES LV CLO LTD 2020-55A A1R TSFR3M+139.161 07/15/2034 144A
04018BAL1
1286000.00000000
PA
USD
1277378.66000000
0.051424877589
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Variable
0.06699570
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2052#BV1314
3140MEN85
33999.55720000
PA
USD
29325.97000000
0.001180608745
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.5% 11/15/2030
969457BX7
1727000.00000000
PA
USD
1529660.11000000
0.061581257283
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
0.03500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.8% 04/01/2027
68389XBU8
1423000.00000000
PA
USD
1307061.54000000
0.052619854864
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.02800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 9/35 #255844
31371MER4
5430.85180000
PA
USD
5565.14000000
0.000224042135
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.06000000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 5.8% 04/01/2047
42809HAH0
874000.00000000
PA
USD
834107.74000000
0.033579618768
Long
DBT
CORP
US
N
2
2047-04-01
Fixed
0.05800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/28 #405455
31378QMC2
1375.79940000
PA
USD
1410.00000000
0.000056763964
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR1812
3138NYAN5
5488.71310000
PA
USD
4916.68000000
0.000197936348
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 05/01/2046#V82275
3132L7Q44
173494.89210000
PA
USD
153358.19000000
0.006173914121
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 3/31 #003053
36202DMA6
140.43560000
PA
USD
143.21000000
0.000005765366
Long
ABS-MBS
USGA
US
N
2
2031-03-20
Fixed
0.06500000
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.75% 04/01/2033
46590XAY2
6515000.00000000
PA
USD
6200548.96000000
0.249622513071
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
0.05750000
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST 2020-HB5
N/A
CASCADE FUNDING MORTGAGE TRUST 2020-HB5 0.8335% 02/25/2031 144A
12526PAA2
303942.95000000
PA
USD
296042.90000000
0.011918133886
Long
ABS-CBDO
CORP
US
N
2
2031-02-25
Fixed
0.00800600
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 09/01/2052#SD1572
3132DNW90
188926.63200000
PA
USD
184483.38000000
0.007426956102
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2135 JE 6% 3/29
3133TJWJ8
489.94590000
PA
USD
496.97000000
0.000020007083
Long
ABS-CBDO
USGSE
US
N
2
2029-03-15
Fixed
0.06000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 4.125% 09/24/2025 144A
90351DAB3
500000.00000000
PA
USD
482370.34000000
0.019419328397
Long
DBT
CORP
CH
N
2
2025-09-24
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 06/01/2031#J34501
31307RAA3
24407.32200000
PA
USD
22734.58000000
0.000915251702
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2043#Q22499
3132JPX49
13711.65270000
PA
USD
13001.20000000
0.000523404014
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 02/01/2041#MA4269
31418DW73
189904.63100000
PA
USD
163921.10000000
0.006599157137
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.02500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.3% 11/20/2026
172967JC6
6314000.00000000
PA
USD
6066151.51000000
0.244211922906
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
0.04300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.0% 03/01/2045#AY1124
3138YEHA8
5372.06260000
PA
USD
5067.14000000
0.000203993586
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
COLUMBIA PIPELINES OPERATING CO LLC
N/A
COLUMBIA PIPELINES OPERATING CO LLC 6.544% 11/15/2053 144A
19828TAC0
420000.00000000
PA
USD
429326.12000000
0.017283867233
Long
DBT
CORP
US
N
2
2053-11-15
Fixed
0.06544000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4% 08/01/2038#K94337
3132LQV61
38289.32290000
PA
USD
36712.17000000
0.001477963353
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
0.04000000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT LP
549300N4PXZ37U8QKI55
AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032
02666TAE7
681000.00000000
PA
USD
583430.05000000
0.023487803454
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/01/2048#V83994
3132L9NK7
25721.15520000
PA
USD
24123.19000000
0.000971154546
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 04/01/2050#RA2457
3133KHWS1
196566.91280000
PA
USD
171619.98000000
0.006909099658
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 02/15/2026
91282CGL9
1500000.00000000
PA
USD
1476328.13000000
0.059434211439
Long
DBT
UST
US
N
2
2026-02-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 06/01/2050#SD7518
3132DVK79
94315.52740000
PA
USD
82493.01000000
0.003321014413
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 02/01/2035#CA5291
3140QC2Z8
182001.76800000
PA
USD
172892.60000000
0.006960332961
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2041#AL7018
3138EPYQ1
30807.55970000
PA
USD
29975.93000000
0.001206774920
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
HEALTHPEAK OP LLC
N/A
HEALTHPEAK OP LLC 3.25% 07/15/2026
40414LAQ2
113000.00000000
PA
USD
106876.66000000
0.004302654592
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.03250000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 4.198%/VAR 06/01/2032 144A
46115HBQ9
242000.00000000
PA
USD
184429.86000000
0.007424801487
Long
DBT
CORP
IT
N
2
2032-06-01
Variable
0.04198000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2015-70 JC 3% 10/45
3136AQCV0
73965.77130000
PA
USD
68947.60000000
0.002775701521
Long
ABS-CBDO
USGSE
US
N
2
2045-10-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 11/41 #005232
36202FY59
71432.11650000
PA
USD
66355.11000000
0.002671332719
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047
3137H3SE3
120935.81200000
PA
USD
103404.68000000
0.004162879166
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2017-HR2
N/A
MORGAN STANLEY CAPITAL I INC 3.587% 12/15/2050
61691NAE5
270000.00000000
PA
USD
246571.78000000
0.009926519050
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
0.03587000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028
3137B6MF5
4883.78370000
PA
USD
62.63000000
0.000002521366
Long
ABS-CBDO
USGSE
US
N
2
2028-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 04/01/2041#CB0116
3140QKDW5
113949.44800000
PA
USD
95836.72000000
0.003858207240
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 12/40#V82128
3132L7LH0
15600.50960000
PA
USD
14253.26000000
0.000573809610
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.03500000
N
N
N
N
N
N
BANK 2017-BNKS
N/A
BANK 2017-BNKS 3.39% 06/15/2060
06541WAX0
1000000.00000000
PA
USD
921773.00000000
0.037108858300
Long
ABS-MBS
CORP
US
N
2
2060-06-15
Fixed
0.03390000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#CB2890
3140QNF80
49536.40000000
PA
USD
42727.12000000
0.001720113999
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.875% 11/15/2051
912810TB4
34881000.00000000
PA
USD
21432739.28000000
0.862842028277
Long
DBT
UST
US
N
2
2051-11-15
Fixed
0.01875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 05/01/2053#SD2891
3132DQF84
679680.44700000
PA
USD
674779.75000000
0.027165371655
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2046#BC1130
3140EVHG5
96868.98870000
PA
USD
91158.68000000
0.003669878092
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 06/01/2036#MA4360
31418DZ21
219066.55600000
PA
USD
192636.24000000
0.007755175009
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.02000000
N
N
N
N
N
N
PINE STREET TRUST II
N/A
PINE STR TR II 5.568% 02/15/2049 144A
72284LAA7
1000000.00000000
PA
USD
875473.04000000
0.035244908439
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
0.05568000
N
N
N
N
N
N
EXTENDED STAY AMER TR 2021-ESH
N/A
EXTENDED STAY AMER TR 2021-ESH C TSFR1M+181.448 07/15/2038 144A
30227FAG5
323510.62000000
PA
USD
318637.03000000
0.012827731334
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.07124480
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 4% 04/15/2030
053332AZ5
1110000.00000000
PA
USD
1027081.65000000
0.041348387740
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 03/01/2040#FM2646
3140X55G4
57734.19300000
PA
USD
50195.60000000
0.002020781046
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1.5% 11/25/2050
3136BPQ95
1397257.09900000
PA
USD
1093541.75000000
0.044023947160
Long
ABS-CBDO
USGSE
US
N
2
2050-11-25
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 06/01/2041#
3132GEQJ2
1330.00790000
PA
USD
1294.30000000
0.000052106099
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2052#RA6700
3133KNNR0
107672.76700000
PA
USD
96801.08000000
0.003897030571
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2019-IMC
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-IMC D TSFR1M+201.448 04/15/2034 144A
05608BAL4
426000.00000000
PA
USD
422192.63000000
0.016996686258
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.07324480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/46#BC1443
3140EVS99
91919.52880000
PA
USD
86730.78000000
0.003491619113
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/01/2048#Q55992
3132XYUS4
156709.98880000
PA
USD
147365.90000000
0.005932675725
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 1994-42 FK 1MT10Y-50 4/24
31359HYF5
911.82600000
PA
USD
907.22000000
0.000036522981
Long
ABS-CBDO
USGSE
US
N
2
2024-04-25
Variable
0.03310000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 08/01/2041#CB1343
3140QLP59
306349.89500000
PA
USD
263667.97000000
0.010614779709
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 9/41 #AJ0165
3138ARFF6
2962.86540000
PA
USD
2808.01000000
0.000113045234
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.875% 03/25/2031
68389XCE3
2460000.00000000
PA
USD
2078390.73000000
0.083672126534
Long
DBT
CORP
US
N
2
2031-03-25
Fixed
0.02875000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061
38375BWC2
2114.86900000
PA
USD
2083.63000000
0.000083883049
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.04871050
N
N
N
N
N
N
CELANESE US HLDGS LLC
CD30XVRLT4QO00B1C706
CELANESE US HLDGS LLC 6.35% 11/15/2028
15089QAW4
1024000.00000000
PA
USD
1026639.34000000
0.041330581166
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.06350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 04/01/2033#
31283HWZ4
702.84220000
PA
USD
713.59000000
0.000028727799
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.06000000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INTL/EMC CORP 6.1% 07/15/2027
24703TAF3
316000.00000000
PA
USD
323071.97000000
0.013006273730
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.06100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 11/01/2052#CB5139
3140QQV93
1382714.34500000
PA
USD
1367559.38000000
0.055055384839
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.95% 09/01/2032
55336VBU3
1463000.00000000
PA
USD
1382122.84000000
0.055641682521
Long
DBT
CORP
US
N
2
2032-09-01
Fixed
0.04950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2052#CB2679
3140QM6R0
191302.62500000
PA
USD
172360.49000000
0.006938911206
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 08/01/2045#AZ4663
3138YWFD4
10925.55950000
PA
USD
10295.17000000
0.000414464303
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 07/01/2032#
31288AFU4
460.94060000
PA
USD
466.80000000
0.000018792495
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19988
3132JBRJ4
5831.64700000
PA
USD
5519.31000000
0.000222197105
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.875% 12/01/2024
55336VAG5
272000.00000000
PA
USD
268458.76000000
0.010807647961
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.04875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 12/01/2051#RA6434
3133KNEF6
659873.94300000
PA
USD
550615.91000000
0.022166767503
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 12/01/2035#BQ9287
3140KVJ92
40691.42000000
PA
USD
35921.89000000
0.001446148157
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 3/41 #A97661
312946QN9
11724.22530000
PA
USD
11412.77000000
0.000459456791
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2003-118 S SOFR30A+798.552 12/33
31393UNH2
9441.63010000
PA
USD
1271.31000000
0.000051180564
Long
ABS-CBDO
USGSE
US
N
2
2033-12-25
Variable
0.02697940
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2040#
312941SD0
2012.56670000
PA
USD
1959.42000000
0.000078882587
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/50#RA2141
3133KHLW4
17847.74640000
PA
USD
16631.11000000
0.000669537407
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.80% 7/34 #849923
31408FG86
1309.98390000
PA
USD
1329.24000000
0.000053512718
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Variable
0.05330000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 11/01/2052#SD1862
3132DPB72
289061.80200000
PA
USD
283257.18000000
0.011403404694
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 03/01/2047#FS0976
3140XGCN7
49251.70300000
PA
USD
41073.81000000
0.001653554828
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #415760
36206MZZ3
5.71850000
PA
USD
5.72000000
0.000000230276
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.0% 03/01/2045#AY9025
3138YPA36
8097.49560000
PA
USD
7637.87000000
0.000307486371
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2015-H13 HA 2.5% 08/64
38376RCQ7
1291.60170000
PA
USD
1201.68000000
0.000048377391
Long
ABS-CBDO
USGA
US
N
2
2064-08-20
Fixed
0.02500000
N
N
N
N
N
N
HORIZON 2018
N/A
HORIZON 2018-1 A 4.458% 12/15/2038 144A
440405AE8
361462.99000000
PA
USD
309519.31000000
0.012460668967
Long
ABS-CBDO
CORP
US
N
2
2038-12-15
Fixed
0.04458000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 08/15/2032
91282CFF3
43025000.00000000
PA
USD
38619979.60000000
1.554768202736
Long
DBT
UST
US
N
2
2032-08-15
Fixed
0.02750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772063
36176PQQ2
9144.49420000
PA
USD
8684.00000000
0.000349601610
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.5% 09/01/2042#MA4766
31418EJL5
160314.12100000
PA
USD
154173.91000000
0.006206753484
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04500000
N
N
N
N
N
N
JACKSON FINANCIAL INC
213800WXW2KG1N4CO374
JACKSON FINANCIAL INC 5.67% 06/08/2032
46817MAS6
734000.00000000
PA
USD
699115.62000000
0.028145088300
Long
DBT
CORP
US
N
2
2032-06-08
Fixed
0.05670000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 06/01/2045#Q34467
3132QQ6D9
7981.26550000
PA
USD
7535.30000000
0.000303357095
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/39 #704665
36296XZ64
2224.43350000
PA
USD
2209.80000000
0.000088962418
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.05000000
N
N
N
N
N
N
AASET 2018-1 TR
N/A
AASET 2018-1A A 3.844% 1/38 144A
000367AA0
293002.13890000
PA
USD
181661.33000000
0.007313345643
Long
ABS-CBDO
CORP
US
N
2
2038-01-16
Fixed
0.03844000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 02/01/2051#MA4254
31418DWQ1
1246520.29600000
PA
USD
942034.40000000
0.037924544398
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2039#AL7550
3138EQL83
36680.44410000
PA
USD
36373.88000000
0.001464344430
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 4.376%/VAR 04/27/2028
06051GKP3
10000000.00000000
PA
USD
9599034.80000000
0.386439201640
Long
DBT
CORP
US
N
2
2028-04-27
Variable
0.04376000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 2.6% 02/15/2033 144A
11135FBF7
8032000.00000000
PA
USD
6209796.06000000
0.249994784035
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
0.02600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/41 #AB3872
31417AJS9
48623.40790000
PA
USD
46108.51000000
0.001856242441
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H010 FA TSFR1M+44.448 5/60
38375BBV3
29153.56490000
PA
USD
28940.74000000
0.001165100105
Long
ABS-CBDO
USGA
US
N
2
2060-05-20
Variable
0.05760000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2049#BN6036
3140JNV64
24948.42780000
PA
USD
23306.23000000
0.000938265263
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.04000000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT LP
549300N4PXZ37U8QKI55
AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031
02666TAC1
153000.00000000
PA
USD
121149.46000000
0.004877250846
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
0.02375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG3507
3617GM3Q3
8759.54010000
PA
USD
8210.85000000
0.000330553475
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 3/41 #783267
36241LTY2
22224.85780000
PA
USD
21133.14000000
0.000850780721
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
COLUMBIA CENT CLO 32 LTD / COLUMBIA CENT CLO 32 CORP
N/A
COLUMBIA CENT CLO 32 LTD / COLUMBIA CENT CLO 32 CORP TSFR3M+170 07/24/2034 144A
19737TAE6
1758000.00000000
PA
USD
1749651.26000000
0.070437689846
Long
ABS-CBDO
CORP
KY
N
2
2034-07-24
Variable
0.07045570
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.805% 05/01/2050
097023CW3
700000.00000000
PA
USD
681020.06000000
0.027416594873
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
0.05805000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/31 #781247
36225BL48
16.70430000
PA
USD
17.28000000
0.000000695660
Long
ABS-MBS
USGA
US
N
2
2031-01-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#AS8226
3138WJD88
178586.51170000
PA
USD
165652.04000000
0.006668841547
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/26 #323242
31374TBK4
14.05270000
PA
USD
14.46000000
0.000000582132
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-59 H 2% 06/25/2048
3136BGB34
131241.16700000
PA
USD
106986.00000000
0.004307056416
Long
ABS-CBDO
USGSE
US
N
2
2048-06-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 06/01/2035#310165
31374CQS8
17445.91600000
PA
USD
17313.82000000
0.000697022035
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 05/38#MA3360
31418CWW0
10157.34210000
PA
USD
9503.14000000
0.000382578656
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745138
3620C0ZB7
4012.64000000
PA
USD
3900.66000000
0.000157033281
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.03% 1/37 #1A1202
3128NFKP1
2424.10690000
PA
USD
2426.34000000
0.000097679913
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Variable
0.04165000
N
N
N
N
N
N
AASET 2019-2 TR
N/A
AASET 2019-2 B TR 4.458% 10/16/2039 144A
00038RAB2
220258.18000000
PA
USD
83995.46000000
0.003381500242
Long
ABS-CBDO
CORP
US
N
2
2039-10-16
Fixed
0.04458000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.12% 7/35 #1L0109
3128Q2DN0
11566.68130000
PA
USD
11719.47000000
0.000471803959
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.06046000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2042#AQ1869
3138MHCF8
40726.50400000
PA
USD
36318.14000000
0.001462100442
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L
N/A
BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A
09229CAA7
1836172.03000000
PA
USD
1578630.54000000
0.063552715275
Long
ABS-CBDO
CORP
US
N
2
2046-07-15
Fixed
0.02443000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2033#CA2266
3140Q9QU0
7499.28860000
PA
USD
6893.08000000
0.000277502518
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2518
3140X5YQ0
76810.26880000
PA
USD
69737.18000000
0.002807488536
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/46#G60551
31335ATG3
209756.91040000
PA
USD
198036.41000000
0.007972575761
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 07/01/2045#AZ4344
3138YVZJ1
8163.76850000
PA
USD
7692.73000000
0.000309694933
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/01/2040#V81886
3132L7CX5
24573.09430000
PA
USD
22466.34000000
0.000904452861
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 02/01/2035#QN1578
3133G7XF5
128930.22600000
PA
USD
117057.66000000
0.004712522625
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5.0% 12/25/2023
31393UQG1
128.61490000
PA
USD
128.12000000
0.000005157871
Long
ABS-CBDO
USGSE
US
N
2
2023-12-25
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 06/01/2051#MA4354
31418DZU9
968489.81200000
PA
USD
731010.11000000
0.029429100861
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984
3617M76V5
4857.81850000
PA
USD
4410.38000000
0.000177553656
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 5.55% 01/23/2049
03523TBV9
1824000.00000000
PA
USD
1868335.88000000
0.075215710840
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
0.05550000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2412 FK SOFR30A+91.448 1/32
31339DTC2
194.48590000
PA
USD
193.64000000
0.000007795584
Long
ABS-CBDO
USGSE
US
N
2
2032-01-15
Variable
0.06102990
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 11/30/2029
91282CFY2
29650000.00000000
PA
USD
29055841.87000000
1.169733891915
Long
DBT
UST
US
N
2
2029-11-30
Fixed
0.03875000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY451615 12/16/72 B
N/A
190000.00000000
NC
USD
50693.10000000
0.002040809466
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S13 PRC INDX
CY451615
Y
2072-12-16
51139.83000000
USD
0.00000000
USD
190000.00000000
USD
-446.73000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 6/24 #AA6863
31416QTV7
75.53870000
PA
USD
74.98000000
0.000003018554
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2034#FM0046
3140X3BQ0
151664.55600000
PA
USD
141070.54000000
0.005679236297
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
BRISTOL PARK CLO LTD 2016
549300XRS6MFERKEPO61
BRISTOL PARK CLO LTD 2016 TSFR3M+125.161 04/15/2029 144A
11014PAJ4
1257171.46000000
PA
USD
1252742.44000000
0.050433069413
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Variable
0.06559570
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/45#AZ3341
3138YUWB3
15037.89910000
PA
USD
14170.23000000
0.000570466977
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 4.375% 04/15/2040
87264AAX3
269000.00000000
PA
USD
231175.93000000
0.009306710902
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
0.04375000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040
674599DJ1
700000.00000000
PA
USD
691404.00000000
0.027834632891
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
0.06200000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3244 SG SOFR30A+654.552 11/36
31397CDA4
13659.49160000
PA
USD
1143.64000000
0.000046040809
Long
ABS-CBDO
USGSE
US
N
2
2036-11-15
Variable
0.01357010
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 3/41 #004977
36202FQ66
10308.42530000
PA
USD
9842.90000000
0.000396256758
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TR 2023-B
N/A
WORLD OMNI AUTO RECEIVABLES TR 2023-B 4.66% 05/15/2028
98164QAD0
944000.00000000
PA
USD
930695.26000000
0.037468051813
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04660000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2019-XL
N/A
BX TRUST 2019-XL C TSFR1M+136.448 10/15/2036 144A
056054AF6
1352350.00000000
PA
USD
1342086.20000000
0.054029882219
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06674960
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#AS6352
3138WGBW3
19361.04890000
PA
USD
18219.74000000
0.000733492681
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
ARGENTINA REPUBLIC OF
549300KPBYGYF7HCHO27
ARGENTINA REPUBLIC OF STEP 07/09/2035
040114HT0
1254989.00000000
PA
USD
368640.47000000
0.014840776378
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/41 #Q02763
3132GGB87
1658.19400000
PA
USD
1614.20000000
0.000064984675
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 9/39 #A88585
312935RE1
8056.94940000
PA
USD
7839.78000000
0.000315614891
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.04500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 5.717%/VAR 09/14/2033
46647PDK9
2700000.00000000
PA
USD
2698457.92000000
0.108634872775
Long
DBT
CORP
US
N
2
2033-09-14
Variable
0.05717000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 3.2575 06/08/2028
N/A
1100000.00000000
NC
USD
48759.40000000
0.001962962318
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 06/12/33 3.2575%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-06-12
0.00000000
USD
0.00000000
USD
1100000.00000000
USD
1.00000000
3.25750000
USD
2028-06-08
XXXX
5149.90000000
N
N
N
SUN CMNTYS OPER LTD PRTNRSHP
549300PUNBPJCGT6X741
SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028
866677AF4
341000.00000000
PA
USD
286683.02000000
0.011541322610
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
0.02300000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.283 6/1/41
3128UGXF9
2914.15180000
PA
USD
2950.31000000
0.000118773966
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.06160000
N
N
N
N
N
N
TANGER PROPERTIES LP
PQPGJDNFN35EXH363L31
TANGER PROPERTIES LP 3.125% 09/01/2026
875484AJ6
2775000.00000000
PA
USD
2518236.71000000
0.101379503672
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.03125000
N
N
N
N
N
N
CEDF 2016-6A
N/A
CEDF 2016-6A ARR TSFR3M+131.161 04/20/2034 144A
15032DAR2
1199000.00000000
PA
USD
1180347.16000000
0.047518570738
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.06637750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 04/01/2041#
3132GDGH9
4079.64360000
PA
USD
3971.12000000
0.000159869869
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A
95003EAA4
953000.00000000
PA
USD
912139.08000000
0.036721014685
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Variable
0.06625480
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2045#Q33769
3132QQFK3
20051.74680000
PA
USD
19446.42000000
0.000782876526
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP 04/17/65 B
N/A
190000.00000000
NC
USD
45700.49000000
0.001839816318
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
47140.81000000
USD
0.00000000
USD
190000.00000000
USD
-1440.32000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 6/30 #546336
31385J4V7
16.45320000
PA
USD
16.93000000
0.000000681570
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG7744
3617GSS91
8599.64220000
PA
USD
8060.97000000
0.000324519587
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2526 FC SOFR30A+51.448 11/32
31393FGG5
3289.01410000
PA
USD
3257.88000000
0.000131156160
Long
ABS-CBDO
USGSE
US
N
2
2032-11-15
Variable
0.05702990
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#CB5128
3140QQVW2
476262.34000000
PA
USD
466103.24000000
0.018764445353
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
MADISON PK FDG L LTD / MADISON PK FDG L LLC
N/A
MADISON PK FDG L LTD / MADISON PK FDG L LLC TSFR3M+140.161 04/19/2034 144A
55821FAA5
1690000.00000000
PA
USD
1679248.22000000
0.067603395030
Long
ABS-CBDO
CORP
KY
N
2
2034-04-19
Variable
0.06721730
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6.679% 02/01/2039#AL8741
3138ETWB8
14044.32830000
PA
USD
14230.23000000
0.000572882465
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Variable
0.06688000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2042#AJ7531
3138E0LM9
10089.04260000
PA
USD
9284.04000000
0.000373758099
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2049#MA3593
31418C7F5
7993.65360000
PA
USD
7682.49000000
0.000309282689
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 8/42 #AO9892
3138M17E2
10186.68770000
PA
USD
9370.94000000
0.000377256531
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #738885
3620AS2S7
5889.51650000
PA
USD
5596.21000000
0.000225292955
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-17 PG 6% 4/29
31359VSD6
2541.05360000
PA
USD
2542.46000000
0.000102354688
Long
ABS-CBDO
USGSE
US
N
2
2029-04-25
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.889% 3/33 #847126
3128HD4K2
37.64370000
PA
USD
37.93000000
0.000001526990
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Variable
0.04158000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 07/01/2033#ZS8703
3132A9U47
71131.08940000
PA
USD
65247.82000000
0.002626755293
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 9/41 #Q03090
3132GJC31
18391.90330000
PA
USD
17904.32000000
0.000720794462
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 11/01/2036#MA2804
31418CDJ0
10915.78470000
PA
USD
10031.87000000
0.000403864337
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.03000000
N
N
N
N
N
N
PLANET FITNESS MASTER ISSUER LLC 18-1A
N/A
PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A
72703PAC7
934120.00000000
PA
USD
790610.21000000
0.031828489502
Long
ABS-CBDO
CORP
US
N
2
2049-12-05
Fixed
0.03858000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.44% 2/37 #888171
31410FW84
12085.62880000
PA
USD
12202.43000000
0.000491247026
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Variable
0.03995000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21845
3132JPBN1
6671.07890000
PA
USD
6325.42000000
0.000254649587
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 3/29 #323688
31374TRH4
57.55500000
PA
USD
58.50000000
0.000002355100
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
0.07500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.705/VAR 04/24/2028
06051GGL7
528000.00000000
PA
USD
494247.59000000
0.019897484285
Long
DBT
CORP
US
N
2
2028-04-24
Variable
0.03705000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 06/01/2051#FM7507
3140XBKV1
1588329.24700000
PA
USD
1331795.65000000
0.053615603907
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
0.02500000
N
N
N
N
N
N
MADISON PARK FUNDING 2015
N/A
MADISON PARK FUNDING 2015-19A A1R2 TSFR3M+118.161 01/22/2028 144A
55819QAY3
770534.40000000
PA
USD
767429.92000000
0.030895294347
Long
ABS-CBDO
CORP
KY
N
2
2028-01-22
Variable
0.06527180
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 07/01/2053#RA9383
3133KRM84
384298.19400000
PA
USD
389299.99000000
0.015672490043
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 3/26 #339830
31375NPP0
183.99230000
PA
USD
185.23000000
0.000007457013
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 09/01/2053 #TBA
21H020691
21400000.00000000
PA
USD
17655008.56000000
0.710757649600
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2041#AJ7242
3138E0BL2
15673.41520000
PA
USD
15237.20000000
0.000613421195
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#Q49393
3132WPNK9
40569.31160000
PA
USD
39243.17000000
0.001579856683
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/41 #783501
36241L3J3
34123.07900000
PA
USD
33906.73000000
0.001365021582
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2041#CB0469
3140QKQX9
105566.96400000
PA
USD
91122.86000000
0.003668436046
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 07/01/2041#CB1076
3140QLFS0
382458.99400000
PA
USD
330129.39000000
0.013290392270
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 4.5% 07/25/2048
3136BM7C6
532314.71600000
PA
USD
511566.53000000
0.020594712443
Long
ABS-CBDO
USGSE
US
N
2
2048-07-25
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 12/01/2032#J38057
31307U5S3
6047.36280000
PA
USD
5693.01000000
0.000229189943
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/35 #830779
31407G6Q6
289.96990000
PA
USD
302.77000000
0.000012188954
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/47#BM1277
3140J5M30
97541.87550000
PA
USD
91730.94000000
0.003692916210
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2048#Q54900
3132XXNS4
54222.75230000
PA
USD
49184.29000000
0.001980067596
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2046#BM4548
3140J9BS9
87201.91050000
PA
USD
84765.32000000
0.003412493367
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 5.882/VAR 07/08/2031
25160PAE7
5000000.00000000
PA
USD
4535873.65000000
0.182605796162
Long
DBT
CORP
US
N
2
2031-07-08
Variable
0.05882000
N
N
N
N
N
N
Fidelity Central Investment Portfolios II LLC
0VPAEPVECBYQ0ULYZJ60
Fidelity International Credit Central Fund
31607D202
658826.21500000
NS
USD
50413381.97000000
2.029548541744
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2042#AB5542
31417CEQ4
12174.72190000
PA
USD
10887.25000000
0.000438300338
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03000000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST 23-A
N/A
TESLA AUTO LEASE TRUST 23-A 5.89% 06/22/2026 144A
88167PAC2
1000000.00000000
PA
USD
997419.80000000
0.040154257093
Long
ABS-CBDO
CORP
US
N
2
2026-06-22
Fixed
0.05890000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 9/39 #710839
36297FV82
5840.30580000
PA
USD
5676.47000000
0.000228524073
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-74 FV SOFR30A+56.448 11/32
31392FRJ8
10265.01250000
PA
USD
10239.36000000
0.000412217497
Long
ABS-CBDO
USGSE
US
N
2
2032-11-25
Variable
0.05852060
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 05/01/2034#C91764
3128P75Z2
37321.34390000
PA
USD
35441.21000000
0.001426796879
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#BC0997
3140EVDB0
4326.51810000
PA
USD
4071.48000000
0.000163910175
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 5.75% 11/20/2025
02005NBF6
1560000.00000000
PA
USD
1513151.64000000
0.060916657133
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2047#AX5831
36196HPQ7
6172.92360000
PA
USD
5813.28000000
0.000234031788
Long
ABS-MBS
USGA
US
N
2
2047-01-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 04/01/2044#AV7161
3138XJ5X1
7446.71130000
PA
USD
7042.64000000
0.000283523524
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/39 #692706
36296JR31
3533.77850000
PA
USD
3434.16000000
0.000138252863
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3832 PE 5% 3/41
3137A7WV8
42364.07420000
PA
USD
42196.15000000
0.001698738139
Long
ABS-CBDO
USGSE
US
N
2
2041-03-15
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1% 08/15/2038
3137FFWL7
643747.85000000
PA
USD
594566.54000000
0.023936137729
Long
ABS-CBDO
USGSE
US
N
2
2038-08-15
Fixed
0.01000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 3/28 #251570
31371GMT4
52.01950000
PA
USD
53.35000000
0.000002147771
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 4/42 #C03856
31292LH99
50336.29570000
PA
USD
47767.30000000
0.001923022226
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2052#CB2905
3140QNGP1
277395.97200000
PA
USD
249734.13000000
0.010053829351
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 3.75% 02/15/2051 144A
11135FBG5
1131000.00000000
PA
USD
811097.91000000
0.032653286015
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2040#MA4204
31418DU67
375539.41000000
PA
USD
313733.47000000
0.012630323173
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.02000000
N
N
N
N
N
N
CORPOARATE OFFICE PPTYS LP
H0TWO5VRNEP6CQAWPX27
CORPORATE OFFICE PPTYS LP 2.25% 03/15/2026
22003BAL0
348000.00000000
PA
USD
314299.02000000
0.012653091159
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.02250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 10/01/2051#RA6010
3133KMVB8
269206.46700000
PA
USD
242802.94000000
0.009774792595
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.03500000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.75% 04/15/2058
035240AP5
613000.00000000
PA
USD
548712.64000000
0.022090145410
Long
DBT
CORP
US
N
2
2058-04-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 9/42 #AP5129
3138M8VX8
10072.83420000
PA
USD
9253.05000000
0.000372510500
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/28 #464767
36208YJL4
21.66430000
PA
USD
22.21000000
0.000000894133
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/01/2045#G61807
31335CAG9
41403.08190000
PA
USD
39307.06000000
0.001582428775
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/35#BO9279
3140K5JZ1
56121.93340000
PA
USD
50953.93000000
0.002051309995
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 12/23 #780657
36225AWS5
1.01110000
PA
USD
1.01000000
0.000000040660
Long
ABS-MBS
USGA
US
N
2
2023-12-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/32 #545759
31385JJC3
17409.30680000
PA
USD
17902.25000000
0.000720711127
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2052#RA6987
3133KNXQ1
274433.72360000
PA
USD
246895.75000000
0.009939561477
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3432
3133B0Y56
154867.82890000
PA
USD
124007.84000000
0.004992323883
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI PROPERTIES LP 4.375% 05/15/2025
925650AA1
176000.00000000
PA
USD
171108.96000000
0.006888526948
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 4/1/43 #AB8881
31417F2P2
12573.36000000
PA
USD
11218.86000000
0.000451650336
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 3.75% 05/15/2030
29278NAQ6
481000.00000000
PA
USD
429593.79000000
0.017294643127
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 10/01/2052#CB4893
3140QQNK7
189651.76300000
PA
USD
185132.19000000
0.007453075980
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2947 XZ 6% 3/35
31395RA81
19673.38380000
PA
USD
20034.71000000
0.000806559982
Long
ABS-CBDO
USGSE
US
N
2
2035-03-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/30 #567034
31386L4T6
1308.24200000
PA
USD
1337.96000000
0.000053863769
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 06/01/2053#SD3196
3132DQRR9
389757.01500000
PA
USD
384853.52000000
0.015493483471
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 12/01/2032#SB0030
3132CWA79
58666.03870000
PA
USD
55439.72000000
0.002231899517
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3119 PO 0 2/36
31396HSG5
10778.22750000
PA
USD
8521.71000000
0.000343068118
Long
ABS-CBDO
USGSE
US
N
2
2036-02-15
Fixed
0.00000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 11/01/2032#ZS8675
3132A9T80
6564.97340000
PA
USD
6044.55000000
0.000243342286
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 4.75% 08/15/2028
958254AK0
168000.00000000
PA
USD
159037.91000000
0.006402569034
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.65% 7/37 #942609
31413DVA2
2156.50580000
PA
USD
2192.84000000
0.000088279640
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Variable
0.05771000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 9/42 #AL2537
3138EJZB7
20435.93990000
PA
USD
18771.37000000
0.000755700274
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 10/01/2053 #TBA
21H0306A7
4800000.00000000
PA
USD
4223422.56000000
0.170027099211
Long
ABS-MBS
USGA
US
N
2
2053-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 07/01/2045#Q34759
3132QRJD3
11581.13920000
PA
USD
10280.40000000
0.000413869691
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H17 FA TSFR1M+64.448 6/61
38375BML3
222244.74340000
PA
USD
221271.62000000
0.008907981891
Long
ABS-CBDO
USGA
US
N
2
2061-06-20
Variable
0.05785260
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/39 #G08368
3128MJMS6
15195.06560000
PA
USD
14791.10000000
0.000595462043
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 05/01/2043#Q18481
3132J92P2
7839.76710000
PA
USD
7423.93000000
0.000298873547
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#AS8010
3138WH3U4
27043.60680000
PA
USD
25109.05000000
0.001010843427
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.29% 3/36 #1G1852
3128QSBV7
1563.66170000
PA
USD
1563.62000000
0.000062948418
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.03824000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 3.526%/VAR 03/24/2028
95000U2V4
2047000.00000000
PA
USD
1904575.41000000
0.076674646591
Long
DBT
CORP
US
N
2
2028-03-24
Variable
0.03526000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/44 #AG9361
36182EMJ9
7295.49800000
PA
USD
6732.58000000
0.000271041088
Long
ABS-MBS
USGA
US
N
2
2044-02-15
Fixed
0.03500000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIES LP
5493007NTUGLGZ8T3526
HUDSON PAC PPTYS LP 4.65% 04/01/2029
44409MAB2
1473000.00000000
PA
USD
1122404.76000000
0.045185918002
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
0.04650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.5% 08/01/2039#FM1353
3140X4QF6
36867.43310000
PA
USD
36019.90000000
0.001450093857
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043
3136AA4A0
53473.00240000
PA
USD
48025.69000000
0.001933424525
Long
ABS-CBDO
USGSE
US
N
2
2043-01-25
Fixed
0.01750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/29 #252805
31371HYA0
20.59190000
PA
USD
21.18000000
0.000000852667
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.5% 11/31 #003161
36202DQN4
108.18650000
PA
USD
110.67000000
0.000004455367
Long
ABS-MBS
USGA
US
N
2
2031-11-20
Fixed
0.06500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.95% 01/28/2060
71654QDF6
989000.00000000
PA
USD
606009.75000000
0.024396819977
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
0.06950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 10/01/2031#MA2775
31418CCM4
6965.91960000
PA
USD
6464.26000000
0.000260239026
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/40 #737311
3620ARDQ1
3401.99660000
PA
USD
3383.66000000
0.000136219827
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.05000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
170000.00000000
NC
USD
40889.91000000
0.001646151358
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
43804.66000000
USD
0.00000000
USD
170000.00000000
USD
-2914.75000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/41 #Q00753
3132GDZS4
3631.28250000
PA
USD
3534.79000000
0.000142304039
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
190000.00000000
NC
USD
45700.49000000
0.001839816318
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
48090.72000000
USD
0.00000000
USD
190000.00000000
USD
-2390.23000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 9/34 #574764
36200WQR5
439.14520000
PA
USD
451.11000000
0.000018160845
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 9/31 #622547
31389DTC1
260.63250000
PA
USD
270.04000000
0.000010871305
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
0.07000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.586%/VAR 04/26/2033
46647PDC7
2682000.00000000
PA
USD
2508063.91000000
0.100969965755
Long
DBT
CORP
US
N
2
2033-04-26
Variable
0.04586000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2018-H4
N/A
MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051
61691RAE6
385000.00000000
PA
USD
359387.49000000
0.014468268696
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Fixed
0.04310000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 9/41 #Q03358
3132GJMF3
7524.82390000
PA
USD
7142.78000000
0.000287554973
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 7/41 #AL0913
3138EHAP7
18209.41870000
PA
USD
18759.99000000
0.000755242137
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-75 FA SOFR30A+111.448 11/32
31392FMU8
1012.14670000
PA
USD
1013.91000000
0.000040818121
Long
ABS-CBDO
USGSE
US
N
2
2032-11-25
Variable
0.06402060
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6302
3133KNAB9
766886.87850000
PA
USD
614551.24000000
0.024740684402
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
INVITATION HOMES OPERATING PARTNERSHIP LP
549300147YMUQB3GW319
INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032
46188BAD4
1026000.00000000
PA
USD
913138.44000000
0.036761247051
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
0.04150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/28 #251822
31371GVP2
58.56740000
PA
USD
60.15000000
0.000002421526
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
0.07500000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029
105340AP8
260000.00000000
PA
USD
203164.65000000
0.008179029119
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.04550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/51#BQ1010
3140KLDQ2
77032.05950000
PA
USD
61946.94000000
0.002493868033
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2019-IMC
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-IMC C TSFR1M+171.448 04/15/2034 144A
05608BAJ9
406000.00000000
PA
USD
403237.94000000
0.016233605862
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.07024480
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #737007
3620AQYC1
3954.61170000
PA
USD
3843.07000000
0.000154714815
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2015-H13 FL TSFR1M+39.448 05/63
38376RCN4
3627.11510000
PA
USD
3379.62000000
0.000136057185
Long
ABS-CBDO
USGA
US
N
2
2063-05-20
Variable
0.04909620
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2003-21 SK SOFR30A+798.552 3/33
31392JY37
614.45190000
PA
USD
65.63000000
0.000002642141
Long
ABS-CBDO
USGSE
US
N
2
2033-03-25
Variable
0.02697940
N
N
N
N
N
N
COLUMBIA PIPELINES OPERATING CO LLC
N/A
COLUMBIA PIPELINES OPERATING CO LLC 6.497% 08/15/2043 144A
19828TAE6
233000.00000000
PA
USD
236167.29000000
0.009507653727
Long
DBT
CORP
US
N
2
2043-08-15
Fixed
0.06497000
N
N
N
N
N
N
AMERICAN EXPRESS CR ACC MST TR
N/A
AMERICAN EXPRESS CR ACC MST TR 4.87% 05/15/2028
02582JJZ4
1220000.00000000
PA
USD
1212946.57000000
0.048830962061
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04870000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 03/01/2043#AR9089
3138W7C36
19903.30150000
PA
USD
17769.81000000
0.000715379341
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
HEALTHPEAK OP LLC
N/A
HEALTHPEAK OP LLC 3.5% 07/15/2029
40414LAR0
129000.00000000
PA
USD
115847.93000000
0.004663821156
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2040#V81750
3132L65K3
38958.70170000
PA
USD
35618.61000000
0.001433938671
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.03500000
N
N
N
N
N
N
MYLAN INC
30ZMPDNA1RHIBH89C294
MYLAN INC 4.55% 04/15/2028
628530BK2
450000.00000000
PA
USD
423667.63000000
0.017056067001
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
0.04550000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+121.308 21 10/15/2036 144A
05609PAJ7
2044000.00000000
PA
USD
1974777.69000000
0.079500859184
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06523080
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 02/01/2041#
31418DW65
18862.39200000
PA
USD
15758.04000000
0.000634389240
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.02000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.323/VAR 04/26/2028
46647PDA1
5000000.00000000
PA
USD
4807801.15000000
0.193553089114
Long
DBT
CORP
US
N
2
2028-04-26
Variable
0.04323000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV FIN INC
5493000EYEKDT0FBSQ91
ANHEUSER-BUSCH INBEV FIN INC 4.7% 02/01/2036
035242AM8
2133000.00000000
PA
USD
2041514.52000000
0.082187559237
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
0.04700000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050
3137H4N30
745775.09700000
PA
USD
638651.59000000
0.025710919452
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028
681936BK5
3349000.00000000
PA
USD
3144990.88000000
0.126611455230
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.04750000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 4.65% 07/01/2026
958254AF1
138000.00000000
PA
USD
133466.92000000
0.005373128766
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
0.04650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 01/01/2042#RB5142
3133KYWB1
291748.96000000
PA
USD
250280.75000000
0.010075835251
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/28 #251410
31371GGT1
31.91610000
PA
USD
32.57000000
0.000001311207
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2050#CA6009
3140QDVB7
34214.58770000
PA
USD
30794.70000000
0.001239737070
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 02/34#G30703
3132J4AD1
345783.54710000
PA
USD
328364.04000000
0.013219322578
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5109
3140J9VB4
345839.63500000
PA
USD
326709.03000000
0.013152694969
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2047#CA0324
3140Q7LE5
18639.16570000
PA
USD
18000.99000000
0.000724686215
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.04500000
N
N
N
N
N
N
PROJECT SILVER 2019
N/A
SILVER AIRCRAFT LEASE INVT LTD 2019-1 A 3.967% 07/15/2044 144A
827304AA4
788417.70000000
PA
USD
668373.22000000
0.026907456730
Long
ABS-CBDO
CORP
KY
N
2
2044-07-15
Fixed
0.03967000
N
N
N
N
N
N
UBS COML MTG TR 2017-C7
N/A
UBSCM 2017-C7 XA CSTR 12/50
90276WAT4
1249168.60070000
PA
USD
39960.03000000
0.001608716127
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.01154763
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT CFX 4.95% 07/05/2023 144A
46645WBC6
103000.00000000
PA
USD
86076.06000000
0.003465261310
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04949800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#FM8393
3140XCKF4
725155.71000000
PA
USD
601504.62000000
0.024215451863
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 5.8% 05/01/2025
02005NBJ8
1072000.00000000
PA
USD
1055917.08000000
0.042509248262
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.05800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2052#CB3313
3140QNVF6
1497090.45300000
PA
USD
1388487.62000000
0.055897916669
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
0.04000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 5.247%/VAR 07/26/2030
14040HCV5
2210000.00000000
PA
USD
2102344.60000000
0.084636464574
Long
DBT
CORP
US
N
2
2030-07-26
Variable
0.05247000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE7376
31419JFS2
3488.87790000
PA
USD
3308.40000000
0.000133190001
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 04/36#MA4302
31418DX80
283408.00600000
PA
USD
241946.63000000
0.009740319155
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2046#Q40085
3132WDCX0
43481.80770000
PA
USD
39699.58000000
0.001598230897
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 6/41 #Q01208
3132GEKV1
2511.25430000
PA
USD
2443.68000000
0.000098377989
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 01/01/2052#FS0288
3140XFKA8
371398.23560000
PA
USD
297390.97000000
0.011972404665
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6.5% 08/01/2032#
31283HS89
591.11720000
PA
USD
608.67000000
0.000024503916
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.06500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.375% 05/15/2033
91282CHC8
60800000.00000000
PA
USD
57275500.00000000
2.305804589183
Long
DBT
UST
US
N
2
2033-05-15
Fixed
0.03375000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 7.1% 11/15/2027
02005NBR0
2060000.00000000
PA
USD
2087013.44000000
0.084019260724
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
0.07100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE7679
31419JQ92
9298.50090000
PA
USD
8814.20000000
0.000354843219
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2052#CB4025
3140QPPK7
519226.64100000
PA
USD
497676.55000000
0.020035527807
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
0.04500000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 3.65% 04/05/2027
21871XAD1
1551000.00000000
PA
USD
1459011.43000000
0.058737073460
Long
DBT
CORP
US
N
2
2027-04-05
Fixed
0.03650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 12/01/2030#ZS8591
3132A9RL3
69445.50500000
PA
USD
65723.34000000
0.002645898839
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 7/39 #931506
31412P3P4
3648.27640000
PA
USD
3546.72000000
0.000142784318
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.898% 5/35 #995272
31416BT57
1364.01480000
PA
USD
1373.98000000
0.000055313867
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
0.04537000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2047#BE8819
3140FUYR3
88456.90090000
PA
USD
83159.54000000
0.003347847665
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04000000
N
N
N
N
N
N
Fidelity Central Investment Portfolios LLC
S2V1M15I679NQK6BNY65
Fidelity Floating Rate Central Fund
31606V708
1589247.93400000
NS
USD
155873437.37000000
6.275173280364
Long
EC
RF
US
N
1
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 10/01/2033#
31296PYK2
1138.38000000
PA
USD
1130.42000000
0.000045508596
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/40 #A94662
312943FB4
4111.95810000
PA
USD
4003.15000000
0.000161159337
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2017-74 SH SOFR30A+608.552 10/25/2047
3136AX5D3
305312.01000000
PA
USD
31890.39000000
0.001283847502
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Variable
0.00797940
N
N
N
N
N
N
BEECHWOOD PARK CLO LTD
N/A
BEECHWOOD PARK CLO LTD 19-1A A1R TSFR3M+130 01/17/2035 144A
07355TAU6
1857000.00000000
PA
USD
1837845.05000000
0.073988207008
Long
ABS-CBDO
CORP
KY
N
2
2035-01-17
Variable
0.06607960
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/28 #413862
31379AWX9
113.58150000
PA
USD
115.38000000
0.000004644983
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H05 FA TSFR1M+61.448 12/60
38375BKD3
186785.41480000
PA
USD
185895.63000000
0.007483810647
Long
ABS-CBDO
USGA
US
N
2
2060-12-20
Variable
0.05755260
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2053#CB6642
3140QSLY5
420353.06400000
PA
USD
420080.76000000
0.016911666318
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2041#BU7091
3140M82Z1
612693.92700000
PA
USD
507070.64000000
0.020413716314
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2048#G67716
3132XCSD8
95731.75520000
PA
USD
92662.28000000
0.003730410218
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 11/01/2036#SB0572
3132CWT53
924134.93800000
PA
USD
814371.09000000
0.032785058124
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.25% 08/09/2042
02209SAM5
932000.00000000
PA
USD
706002.54000000
0.028422342829
Long
DBT
CORP
US
N
2
2042-08-09
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2034#FS1799
3140XG7M5
140784.28000000
PA
USD
133383.74000000
0.005369780094
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 6.00% 11/31 #003160
36202DQM6
628.71490000
PA
USD
637.56000000
0.000025666974
Long
ABS-MBS
USGA
US
N
2
2031-11-20
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-63 FN SOFR30A+111.448 10/32
31392ED23
648.30190000
PA
USD
649.42000000
0.000026144435
Long
ABS-CBDO
USGSE
US
N
2
2032-10-25
Variable
0.06402060
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2008-83 FB TSFR1M+101.448 9/38
38375YFB3
45032.98830000
PA
USD
45023.79000000
0.001812573641
Long
ABS-CBDO
USGA
US
N
2
2038-09-20
Variable
0.06328460
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2051#CB2446
3140QMWG5
64442.30530000
PA
USD
57799.65000000
0.002326905888
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.859% 11/25/2028
3137FKSH0
459000.00000000
PA
USD
439586.64000000
0.017696936593
Long
ABS-MBS
USGSE
US
N
2
2028-11-25
Fixed
0.03859000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-150 ZC 4.75% 01/41
31397QAV0
77347.97420000
PA
USD
75597.73000000
0.003043423327
Long
ABS-CBDO
USGSE
US
N
2
2041-01-25
Fixed
0.04750000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034
3137B9ED3
2286.72500000
PA
USD
57.77000000
0.000002325712
Long
ABS-CBDO
USGSE
US
N
2
2034-03-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/40 #004696
36202FGD2
2878.23510000
PA
USD
2818.32000000
0.000113460296
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 04/30/2029
91282CEM9
5411700.00000000
PA
USD
5036897.51000000
0.202776080414
Long
DBT
UST
US
N
2
2029-04-30
Fixed
0.02875000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.705% 05/01/2040
097023CV5
720000.00000000
PA
USD
699972.89000000
0.028179600388
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
0.05705000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2018-BOP
N/A
MORGAN STANLEY CAP I TR 2018-BOP TSFR1M+129.7 06/15/2035 144A
61768FAG5
501600.00000000
PA
USD
397407.90000000
0.015998899347
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.06608000
N
N
N
N
N
N
APOLLO AVIATION SECURITIZATION EQUITY TRUST
N/A
APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A
00255UAA3
297964.11000000
PA
USD
249994.87000000
0.010064326256
Long
ABS-CBDO
CORP
US
N
2
2040-01-16
Fixed
0.03351000
N
N
N
N
N
N
DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC
N/A
DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC TSFR3M+141.161 10/15/2035 144A
26246BAL8
2514000.00000000
PA
USD
2490785.72000000
0.100274378117
Long
ABS-CBDO
CORP
KY
N
2
2035-10-15
Variable
0.06719570
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 10/31/2024
91282CFQ9
1400000.00000000
PA
USD
1385507.82000000
0.055777955490
Long
DBT
UST
US
N
2
2024-10-31
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2052#
31418EAQ3
450064.41300000
PA
USD
402624.38000000
0.016208905083
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM TSFR1M+60 08/20/2063
38375B5Q1
10704.77830000
PA
USD
10698.26000000
0.000430691953
Long
ABS-CBDO
USGA
US
N
2
2063-08-20
Variable
0.05855260
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.84% 01/23/2030
71654QDC3
6742000.00000000
PA
USD
5308650.80000000
0.213716359997
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
0.06840000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2045#Q37045
3132QTZK5
4674.77340000
PA
USD
4404.80000000
0.000177329015
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
PEACE PARK CLO LTD
N/A
PEACE PARK CLO LTD 3ML+113 10/20/2034 144A
70470MAC9
1254000.00000000
PA
USD
1244178.67000000
0.050088308038
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Variable
0.06717750
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 5.55% 03/15/2026
674599DC6
831000.00000000
PA
USD
824002.98000000
0.033172820015
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.05550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #AE0746
31419AZL4
41994.93290000
PA
USD
43228.17000000
0.001740285336
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 05/01/2036#QN6400
3133GDDD9
445051.42400000
PA
USD
391356.10000000
0.015755265189
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2043#Q20707
3132JMYC7
5937.05340000
PA
USD
5629.43000000
0.000226630331
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
MAGNETITE XXI LTD 2019-21A A
N/A
MAGNETITE XXI LTD 2019-21A A TSFR3M+128.161 04/20/2034 144A
55954PAN4
1158000.00000000
PA
USD
1144857.86000000
0.046089837846
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.06607750
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 7.25% 06/15/2037
761713AT3
75000.00000000
PA
USD
78833.23000000
0.003173678510
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
0.07250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #734392
3620AM2Z4
3662.95200000
PA
USD
3643.67000000
0.000146687344
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2048#CA2631
3140Q94R1
32832.71720000
PA
USD
30578.18000000
0.001231020379
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/40 #AD0732
31418MY63
8181.72960000
PA
USD
8432.73000000
0.000339485950
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #682568
36295WJM0
11325.31390000
PA
USD
10772.43000000
0.000433677899
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 11/01/2035#BQ5806
3140KRNY1
262675.68000000
PA
USD
224657.79000000
0.009044302767
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 10/01/2052#CB4909
3140QQN35
1216424.27100000
PA
USD
1208413.75000000
0.048648479199
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 01/01/2032#
31287NUQ9
228.55960000
PA
USD
231.68000000
0.000009327003
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/1/42 #AL3046
3138EKL45
23724.34100000
PA
USD
21224.79000000
0.000854470378
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#MA4475
31418D6M9
192574.80900000
PA
USD
165744.50000000
0.006672563814
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC
N/A
EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC TSFR3M+151.161 01/15/2034 144A
27830BBN3
350000.00000000
PA
USD
347489.10000000
0.013989261751
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Variable
0.06819570
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033
31394KF41
10193.68890000
PA
USD
10142.92000000
0.000408335003
Long
ABS-CBDO
USGSE
US
N
2
2033-10-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 07/01/2041#CB1074
3140QLFQ4
98789.37300000
PA
USD
85426.96000000
0.003439129757
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 10/15/2040#705890
36297AF73
10700.83370000
PA
USD
10177.35000000
0.000409721090
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
COLUMBIA PIPELINES OPERATING CO LLC
N/A
COLUMBIA PIPELINES OPERATING CO LLC 6.714% 08/15/2063 144A
19828TAD8
252000.00000000
PA
USD
257595.30000000
0.010370305364
Long
DBT
CORP
US
N
2
2063-08-15
Fixed
0.06714000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT DEC23 FVZ3
N/A
716.00000000
NC
USD
28288.82000000
0.001138855024
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2023-12-29
76527773.68000000
USD
28288.82000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 4/32 #C01343
31292HP40
154.57860000
PA
USD
159.17000000
0.000006407886
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048
3136BG6Y2
150666.95500000
PA
USD
123223.24000000
0.004960737353
Long
ABS-CBDO
USGSE
US
N
2
2048-01-25
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.264% 08/01/2041#AL6552
3138EPH64
27216.26870000
PA
USD
27016.19000000
0.001087621319
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Variable
0.05279000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2.5% 09/25/2048
3136BKUC4
636614.50000000
PA
USD
546687.80000000
0.022008629136
Long
ABS-CBDO
USGSE
US
N
2
2048-09-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.893% 10/35 #847787
31408C2U9
2895.30290000
PA
USD
2908.28000000
0.000117081917
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.03932000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 03/01/2041#RB5104
3133KYU56
64302.39100000
PA
USD
51790.35000000
0.002084982701
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.01500000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 4.5% 03/01/2028
958254AH7
200000.00000000
PA
USD
188201.78000000
0.007576651936
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 09/01/2052#CB4682
3140QQFY6
510836.80100000
PA
USD
498663.10000000
0.020075244466
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5.5% 02/15/2035
31395MRB7
37860.78950000
PA
USD
38337.67000000
0.001543402945
Long
ABS-CBDO
USGSE
US
N
2
2035-02-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 09/01/2043#AL5059
3138EMTR2
39934.73280000
PA
USD
35635.40000000
0.001434614605
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/36 #745154
31403CZT1
435.44840000
PA
USD
446.22000000
0.000017963983
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 07/01/2031#V61246
3132KFL34
37334.90260000
PA
USD
34758.27000000
0.001399302991
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
0.02500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H07 FA TSFR1M+74.448 3/20/62
38375BQA3
107560.37840000
PA
USD
107083.53000000
0.004310982791
Long
ABS-CBDO
USGA
US
N
2
2062-03-20
Variable
0.05885260
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5% 04/48#784805
3622AAGN8
188152.51030000
PA
USD
187602.62000000
0.007552530875
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.05000000
N
N
N
N
N
N
CGDB COML MTG TR 2017-BIO
N/A
CGDB COML MTG TR 2019-MOB A TSFR1M+106.448 11/15/2036 144A
125284AA7
580000.00000000
PA
USD
570144.18000000
0.022952939157
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.06374960
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035
31394EWW4
37446.93790000
PA
USD
37288.19000000
0.001501152842
Long
ABS-CBDO
USGSE
US
N
2
2035-08-25
Fixed
0.05500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H18 AF TSFR1M+41.448 9/60
38375BER9
488125.55400000
PA
USD
484295.96000000
0.019496850260
Long
ABS-CBDO
USGA
US
N
2
2060-09-20
Variable
0.05555260
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#FS0106
3140XFDL2
547635.93200000
PA
USD
456479.69000000
0.018377019215
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 04/15/2043#AA6309
36178EAJ8
8952.62560000
PA
USD
8269.58000000
0.000332917835
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 05/01/2036#SB8512
3132D6N55
49629.76500000
PA
USD
43781.53000000
0.001762562575
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.02000000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.5% 06/01/2050
035240AT7
1000000.00000000
PA
USD
892367.53000000
0.035925049033
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 2/28 #251500
31371GKM1
6.85450000
PA
USD
6.95000000
0.000000279794
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/47#BH4269
3140GSW73
5379.56650000
PA
USD
5057.40000000
0.000203601472
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2048#BJ9357
3140HBMF2
15461.64870000
PA
USD
14472.89000000
0.000582651503
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#FM2286
3140X5RG0
277444.59120000
PA
USD
258064.64000000
0.010389200115
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029
11120VAH6
1000000.00000000
PA
USD
909632.71000000
0.036620112913
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 7/40 #A93142
312941P35
4829.44370000
PA
USD
4701.07000000
0.000189256292
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.0% 08/45#AS5634
3138WFHL3
17564.56700000
PA
USD
15538.48000000
0.000625550165
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
CF HIPPOLYTA ISSUER LLC
N/A
CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A
12530MAE5
1833060.49000000
PA
USD
1610211.48000000
0.064824104898
Long
ABS-MBS
CORP
US
N
2
2061-03-15
Fixed
0.01530000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#FM8066
3140XB6C9
408827.99300000
PA
USD
339116.03000000
0.013652177601
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 04/01/2036#FM6957
3140XAWT5
317348.74800000
PA
USD
279060.72000000
0.011234463057
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2033#ZS8686
3132A9UK1
21869.06550000
PA
USD
20539.66000000
0.000826888325
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.417% 12/01/2040#848392
31300LKD6
14856.27310000
PA
USD
15017.47000000
0.000604575276
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Variable
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2051#SD8184
3132DWCV3
263201.15580000
PA
USD
227165.44000000
0.009145256070
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY873248 04/17/65 B
N/A
90000.00000000
NC
USD
21647.60000000
0.000871491919
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
27753.96000000
USD
0.00000000
USD
90000.00000000
USD
-6106.36000000
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-139 NI 4.5% 2/40
31398SVQ3
20730.88090000
PA
USD
286.35000000
0.000011527915
Long
ABS-CBDO
USGSE
US
N
2
2040-02-25
Fixed
0.04500000
N
N
N
N
N
N
GS MTG SECS CORP TR 2018-HART
N/A
GS MTG SECS CORP TR 2018-HART TSFR1M+114.301 10/15/2031 144A
36259DAA1
394089.22000000
PA
USD
362562.08000000
0.014596071757
Long
ABS-MBS
CORP
US
N
2
2031-10-15
Variable
0.06463010
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.25% 04/15/2029
29278NAG8
350000.00000000
PA
USD
341960.27000000
0.013766681388
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.05250000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 339 5 5.5% 8/33
3136FAZ78
2335.47970000
PA
USD
372.77000000
0.000015007023
Long
ABS-CBDO
USGSE
US
N
2
2033-07-25
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2036#FM6186
3140X92U8
28519.16900000
PA
USD
25167.46000000
0.001013194904
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.0% 8/45#AZ5626
3138YXHC2
20886.19390000
PA
USD
19681.09000000
0.000792323901
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2% 08/15/2051
912810SZ2
38514000.00000000
PA
USD
24451876.54000000
0.984386851971
Long
DBT
UST
US
N
2
2051-08-15
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2357 ZB 6.5% 9/31
3133TUUS5
15377.84310000
PA
USD
15577.55000000
0.000627123050
Long
ABS-CBDO
USGSE
US
N
2
2031-09-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 05/01/2051#SD7540
3132DVLV5
425605.14930000
PA
USD
357130.98000000
0.014377425821
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTYS LTD PARTNERSHIP 6.75% 12/01/2027
10112RBG8
1120000.00000000
PA
USD
1143897.99000000
0.046051195273
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.06750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2101 PD 6% 11/28
3133TGPD5
1592.89980000
PA
USD
1597.46000000
0.000064310754
Long
ABS-CBDO
USGSE
US
N
2
2028-11-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/41 #AE6390
31419HC42
51786.92170000
PA
USD
49138.65000000
0.001978230214
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 01/01/2043#Q15247
3132J6HZ0
6503.21380000
PA
USD
5786.45000000
0.000232951662
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2044#Q30263
3132QLJH7
3940.63230000
PA
USD
3822.90000000
0.000153902809
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
SABRA HEALTH CARE LP
549300OVKLRFSIQG0H81
SABRA HEALTH CARE LP 3.2% 12/01/2031
78574MAA1
1971000.00000000
PA
USD
1505444.85000000
0.060606396171
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
0.03200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/48#G61343
31335BP42
77652.63460000
PA
USD
72973.94000000
0.002937794445
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 4/41 #Q00114
3132GDDT6
4203.33390000
PA
USD
4090.48000000
0.000164675080
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
THUNDERBOLT III AIRCRAFT LEASE LTD
N/A
THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A
88607AAA7
1293458.66200000
PA
USD
1073648.30000000
0.043223074042
Long
ABS-CBDO
CORP
KY
N
2
2039-11-15
Fixed
0.03671000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3295
3140XJUV3
241068.38200000
PA
USD
235172.84000000
0.009467619029
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2044#FM7604
3140XBNW6
100292.81600000
PA
USD
89418.60000000
0.003599825723
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE9771
31419L2D4
7366.83760000
PA
USD
6983.27000000
0.000281133399
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BC2555
3140EWZV0
12822.86310000
PA
USD
12050.94000000
0.000485148322
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 09/01/2053 #TBA
01F052698
-1500000.00000000
PA
USD
-1481718.75000000
-0.05965122772
Short
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 7/27 #256821
31371NG66
2726.63120000
PA
USD
2739.70000000
0.000110295201
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
0.06500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 2.956/VAR 05/13/2031
46647PBP0
880000.00000000
PA
USD
748018.13000000
0.030113811960
Long
DBT
CORP
US
N
2
2031-05-13
Variable
0.02956000
N
N
N
N
N
N
UTAH ACQUISITION SUB INC
254900JOFV74IJ7H9933
UTAH ACQUISITION SUB INC 3.95% 06/15/2026
62854AAN4
1370000.00000000
PA
USD
1294937.51000000
0.052131764074
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.03950000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/28 #456712
36208PKZ0
845.18600000
PA
USD
863.28000000
0.000034754039
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 04/30/2030
91282CGZ8
20000000.00000000
PA
USD
19175000.00000000
0.771949664299
Long
DBT
UST
US
N
2
2030-04-30
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 6/40 #G05898
3128M73F1
5139.17070000
PA
USD
5139.29000000
0.000206898210
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 09/01/2053 #TBA
21H030690
13050000.00000000
PA
USD
11474782.79000000
0.461953310177
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 11/31 #C01258
31292HMF8
309.54480000
PA
USD
313.98000000
0.000012640248
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15107
3132J6DM3
3506.01610000
PA
USD
3317.52000000
0.000133557155
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FINANCE PLC 6.125% 07/27/2027 144A
45262BAF0
764000.00000000
PA
USD
772363.78000000
0.031093922330
Long
DBT
CORP
GB
N
2
2027-07-27
Fixed
0.06125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 08/01/2034#C91782
3128P76T5
61235.22220000
PA
USD
57997.29000000
0.002334862505
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 12/37 #A69706
3128L1YB0
4546.13270000
PA
USD
4694.85000000
0.000189005886
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
0.06000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046
674599DL6
807000.00000000
PA
USD
830540.19000000
0.033435995872
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
0.06600000
N
N
N
N
N
N
LIFE 2021-BMR MTG TR
N/A
LIFE 2021-BMR MTG TR TSFR1M+99.448 03/15/2036 144A
53218CAC4
331260.94000000
PA
USD
323354.64000000
0.013017653496
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.06304480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#AL9515
3138ERSD3
83766.69660000
PA
USD
76382.06000000
0.003074998986
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.75% 06/30/2030
91282CHJ3
15000000.00000000
PA
USD
14594531.25000000
0.587548552753
Long
DBT
UST
US
N
2
2030-06-30
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4% 01/01/2039#K94441
3132LQZE0
9665.72570000
PA
USD
9252.49000000
0.000372487955
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2045#Q33724
3132QQD66
10475.98920000
PA
USD
9594.21000000
0.000386244964
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-68 EC 3.5% 4/20/41
38377VW93
24745.83950000
PA
USD
23651.30000000
0.000952157136
Long
ABS-CBDO
USGA
US
N
2
2041-04-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 07/15/2045#AN5744
36186NLZ0
5604.42150000
PA
USD
5286.65000000
0.000212830648
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051
3137H2UY8
211426.52900000
PA
USD
168084.03000000
0.006766748919
Long
ABS-CBDO
USGSE
US
N
2
2051-10-25
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM6733
3140XAPT3
98604.44700000
PA
USD
91503.03000000
0.003683740979
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
COMM 2015-DC1 MTG TR
N/A
COMM 2015-DC1 MTG TR 3.078% 02/10/2048
12629NAE5
1400000.00000000
PA
USD
1361525.76000000
0.054812482574
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
0.03078000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 6/40 #A92350
312940TF6
3700.87400000
PA
USD
3701.19000000
0.000149002992
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.05000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 1.65% 03/25/2026
68389XCC7
1241000.00000000
PA
USD
1130881.07000000
0.045527158401
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
0.01650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2047#AS9990
3138WLC43
15966.21640000
PA
USD
15419.56000000
0.000620762668
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.228% 7/41#AI3469
3138AG2B3
5793.46130000
PA
USD
5880.17000000
0.000236724654
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.06050000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/39 #720064
3620A55Z8
3658.60370000
PA
USD
3555.13000000
0.000143122889
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 03/01/2041#SC0136
3132D9EH3
279585.99500000
PA
USD
235144.65000000
0.009466484152
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 7.00% 9/26 #G30299
3128CUKL9
609.91010000
PA
USD
614.45000000
0.000024736608
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2042#AQ3314
3138MJVG1
7023.75910000
PA
USD
6820.59000000
0.000274584206
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2047#AX5857
36196HQJ2
7045.92730000
PA
USD
6635.42000000
0.000267129608
Long
ABS-MBS
USGA
US
N
2
2047-01-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2052#CB3174
3140QNQ47
310068.84740000
PA
USD
277695.43000000
0.011179499033
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 7.3% 08/15/2031
023551AJ3
2102000.00000000
PA
USD
2294814.34000000
0.092384936604
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
0.07300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#AL9776
3138ER2J8
274558.62070000
PA
USD
249839.50000000
0.010058071350
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #448957
36208EWS8
14.56630000
PA
USD
14.82000000
0.000000596625
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/40#V81744
3132L65D9
18610.53060000
PA
USD
17014.97000000
0.000684990893
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 10/01/2045#AL7413
3138EQGX4
8647.82870000
PA
USD
8154.26000000
0.000328275268
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13121
3132HPPE8
12400.21420000
PA
USD
11757.69000000
0.000473342625
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTYS LTD PARTNERSHIP 3.25% 01/30/2031
10112RBD5
792000.00000000
PA
USD
644743.99000000
0.025956188090
Long
DBT
CORP
US
N
2
2031-01-30
Fixed
0.03250000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 4.5% 04/15/2050
87264AAZ8
528000.00000000
PA
USD
436137.34000000
0.017558074221
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #475908
36209MU93
54.07930000
PA
USD
54.77000000
0.000002204937
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.5% 09/15/2039#713871
36297KCG4
2846.12770000
PA
USD
2766.28000000
0.000111365262
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2044
3136BL6D7
3774566.52700000
PA
USD
3480844.10000000
0.140132278199
Long
ABS-CBDO
USGSE
US
N
2
2044-05-25
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5176 AG 2% 01/25/2047
3137H4DC1
566356.85200000
PA
USD
482666.07000000
0.019431233935
Long
ABS-CBDO
USGSE
US
N
2
2047-01-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 7/40 #004923
36202FPG5
11535.72220000
PA
USD
11299.75000000
0.000454906817
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19606
3132JBDL4
5111.38230000
PA
USD
4842.59000000
0.000194953623
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2050#RA2976
3133KJJV5
847297.63840000
PA
USD
711508.36000000
0.028643996852
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02500000
N
N
N
N
N
N
DRYDEN SENIOR LOAN FUND 2018
N/A
DRSLF 2020-78A A TSFR3M+144.161 04/17/2033 144A
26253LAA0
900000.00000000
PA
USD
896460.30000000
0.036089816304
Long
ABS-CBDO
CORP
US
N
2
2033-04-17
Variable
0.06749570
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERSHIP LP 7.55% 03/15/2028
105340AR4
1521000.00000000
PA
USD
1426178.41000000
0.057415277435
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
0.07550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/36 #888342
31410F5B7
4963.01480000
PA
USD
5058.37000000
0.000203640522
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.06000000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.287% 11/05/2032 144A
05492PAQ1
1500000.00000000
PA
USD
1384265.40000000
0.055727937983
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03287000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2013-133 IB 3% 04/32
3136AHQ94
9542.78550000
PA
USD
224.75000000
0.000009048014
Long
ABS-CBDO
USGSE
US
N
2
2032-04-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2052#
3133B3Q42
74641.16080000
PA
USD
66894.74000000
0.002693057214
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 06/15/2045#AN5671
36186NJQ3
2061.66940000
PA
USD
1944.77000000
0.000078292805
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2028#FS3867
3140XKJM3
607718.50200000
PA
USD
579219.54000000
0.023318296190
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 09/01/2033#
31283HX75
3524.43550000
PA
USD
3587.56000000
0.000144428460
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3366 FD SOFR30A+36.448 5/37
31397KMB4
11794.86120000
PA
USD
11429.11000000
0.000460114609
Long
ABS-CBDO
USGSE
US
N
2
2037-05-15
Variable
0.05552990
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #778681
36176W2N0
5426.46950000
PA
USD
5150.33000000
0.000207342660
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2348
3140QMTE4
202762.41060000
PA
USD
163055.63000000
0.006564314933
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/35 #AD0723
31418MYV8
61224.53670000
PA
USD
63045.12000000
0.002538078707
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 06/01/2047#Q48759
3132WNWV0
85796.09490000
PA
USD
82991.57000000
0.003341085507
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE7382
31419JFY9
3983.81100000
PA
USD
3791.47000000
0.000152637496
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/43#AQ1113
3138MGGX7
14329.40210000
PA
USD
12868.41000000
0.000518058137
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 3.305 05/22/2028
N/A
2900000.00000000
NC
USD
108899.06000000
0.004384072636
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 05/24/33 SOFRV3.305%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-05-24
0.00000000
USD
0.00000000
USD
2900000.00000000
USD
1.00000000
3.30500000
USD
2028-05-22
XXXX
-9101.94000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 11/01/2035#BQ6318
3140KSAU1
275353.13900000
PA
USD
235500.40000000
0.009480805982
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6299
3133KM7L3
986508.77700000
PA
USD
787155.97000000
0.031689428255
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 6/41 #005082
36202FUF1
66565.72640000
PA
USD
65211.23000000
0.002625282248
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19690
3132JBF81
10788.39210000
PA
USD
10222.14000000
0.000411524252
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.543% 01/44#AV5544
3138XHES6
1116.92960000
PA
USD
1128.76000000
0.000045441768
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Variable
0.03830000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 5/27 #256738
31371NEK7
2238.07490000
PA
USD
2245.14000000
0.000090385140
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.06500000
N
N
N
N
N
N
IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
IPALCO ENTERPRISES INC 3.7% 09/01/2024
462613AM2
172000.00000000
PA
USD
167365.08000000
0.006737805336
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 11/01/2032#C73584
31288B6V0
2656.19880000
PA
USD
2696.76000000
0.000108566517
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.06000000
N
N
N
N
N
N
DUQUESNE LIGHT HLDGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A
266233AH8
276000.00000000
PA
USD
219962.90000000
0.008855295270
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
0.02532000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 9/33 #C01622
31292HYT5
1535.53410000
PA
USD
1524.29000000
0.000061365066
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.05000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 3.625% 03/15/2032
404119CK3
195000.00000000
PA
USD
167713.99000000
0.006751851800
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 01/01/2030#SB0800
3132CW3H5
518802.34000000
PA
USD
487266.68000000
0.019616445895
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.02500000
N
N
N
N
N
N
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3
N/A
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3 5.45% 06/16/2028
36267KAD9
869000.00000000
PA
USD
873644.72000000
0.035171303693
Long
ABS-CBDO
CORP
US
N
2
2028-06-16
Fixed
0.05450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 12/01/2052#MA4842
31418ELY4
1071760.65200000
PA
USD
1059678.91000000
0.042660692507
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#CB0454
3140QKQG6
3064255.27700000
PA
USD
2562639.45000000
0.103167075001
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 2006-62 KP PO 0% 4/36
31395N6X0
4441.92100000
PA
USD
3589.34000000
0.000144500120
Long
ABS-CBDO
USGSE
US
N
2
2036-04-25
Fixed
0.00000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2048
3136BL6J4
453908.02300000
PA
USD
405156.44000000
0.016310841087
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/27 #451362
36208HMK9
5.82810000
PA
USD
5.92000000
0.000000238328
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5.0% 04/15/2041
3137A9MV5
263849.39430000
PA
USD
262392.13000000
0.010563416775
Long
ABS-CBDO
USGSE
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
OREILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
OREILLY AUTOMOTIVE INC 4.2% 04/01/2030
67103HAJ6
246000.00000000
PA
USD
230661.42000000
0.009285997691
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 09/01/2031#BD6126
3140FDYY6
61240.33990000
PA
USD
56803.45000000
0.002286800738
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#CB1280
3140QLM60
1925958.51300000
PA
USD
1599245.46000000
0.064382633427
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040
3137BJGM9
31473.76740000
PA
USD
30428.66000000
0.001225000984
Long
ABS-CBDO
USGSE
US
N
2
2040-12-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 10/01/2052#RA7615
3133KPN87
240451.14900000
PA
USD
238041.16000000
0.009583092232
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2040#V81771
3132L66G1
6415.43630000
PA
USD
5865.41000000
0.000236130444
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT0648
3138WMWJ6
37184.86460000
PA
USD
34128.74000000
0.001373959290
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047
38380UVE0
127906.90080000
PA
USD
116268.17000000
0.004680739233
Long
ABS-CBDO
USGA
US
N
2
2047-04-20
Fixed
0.03000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047
161175BL7
2000000.00000000
PA
USD
1598147.94000000
0.064338449323
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
0.05375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 12/01/2035#SB8078
3132D56P2
270822.75900000
PA
USD
231625.71000000
0.009324818204
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2048#MA3307
31418CU93
14579.99360000
PA
USD
14071.68000000
0.000566499538
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#FM2349
3140X5TF0
740094.34270000
PA
USD
688397.57000000
0.027713599638
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.352%/VAR 04/24/2025
172967MF5
953000.00000000
PA
USD
935341.29000000
0.037655092298
Long
DBT
CORP
US
N
2
2025-04-24
Variable
0.03352000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 1996-28 PK 6.5% 7/25
31359KKK2
69.31300000
PA
USD
69.13000000
0.000002783044
Long
ABS-CBDO
USGSE
US
N
2
2025-07-25
Fixed
0.06500000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.584% 03/18/2024
345397ZQ9
1113000.00000000
PA
USD
1106966.98000000
0.044564421830
Long
DBT
CORP
US
N
2
2024-03-18
Fixed
0.05584000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 02/01/2051#SD8127
3132DWA45
1548477.66800000
PA
USD
1170233.04000000
0.047111395169
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 4/26 #303856
31373UQH3
145.59710000
PA
USD
149.78000000
0.000006029862
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2051#CB1801
3140QMAB0
1019181.60330000
PA
USD
819914.68000000
0.033008232697
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 07/01/2053#RA9382
3133KRM76
434078.22400000
PA
USD
440813.12000000
0.017746312386
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048
3136BLRV4
289695.92600000
PA
USD
257571.92000000
0.010369364129
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 9/41 #G06719
3128M8YQ1
13915.13080000
PA
USD
13547.46000000
0.000545395421
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 01/01/2043#AQ7316
3138MPDW2
16836.00650000
PA
USD
14451.38000000
0.000581785550
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.02500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 5.95% 02/14/2049
02209SBF9
600000.00000000
PA
USD
558667.64000000
0.022490915105
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
0.05950000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
60000.00000000
NC
USD
14431.73000000
0.000580994478
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
14671.05000000
USD
0.00000000
USD
60000.00000000
USD
-239.32000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 4.063% 11/01/2024
345397ZX4
4206000.00000000
PA
USD
4075158.49000000
0.164058264840
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.04063000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 12/20/2039#004592
36202FC53
8449.35530000
PA
USD
8184.83000000
0.000329505959
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 12/20/2042#AA5872
36178DQZ7
31312.86350000
PA
USD
27998.29000000
0.001127158830
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03000000
N
N
N
N
N
N
SYSCO CORP
5RGWIFLMGH3YS7KWI652
SYSCO CORP 5.95% 04/01/2030
871829BL0
471000.00000000
PA
USD
487798.36000000
0.019637850338
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
0.05950000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 11/20/2044#MA2372
36179QT50
212127.25030000
PA
USD
202088.03000000
0.008135686410
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #319563
31374N5Y4
9.45940000
PA
USD
9.73000000
0.000000391711
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21835
3132JPBC5
9933.88750000
PA
USD
9419.17000000
0.000379198180
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/25 #414186
36206LCX5
28.32940000
PA
USD
28.35000000
0.000001141318
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2050#CA7323
3140QFD55
306875.37120000
PA
USD
248410.52000000
0.010000543286
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2040#C03486
31292K2T3
2027.74540000
PA
USD
1973.67000000
0.000079456265
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552554
36213EZT6
10548.47070000
PA
USD
10017.28000000
0.000403276971
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 4.4% 04/05/2052
21871XAM1
498000.00000000
PA
USD
385190.23000000
0.015507038786
Long
DBT
CORP
US
N
2
2052-04-05
Fixed
0.04400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2036#CB2246
3140QMP81
1421115.33200000
PA
USD
1281369.67000000
0.051585548192
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 04/01/2042#MA1028
31418AEA2
2480.23150000
PA
USD
2348.66000000
0.000094552662
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 4.875% 02/15/2024
615369AC9
5000.00000000
PA
USD
5000.03000000
0.000201291863
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.04875000
N
N
N
N
N
N
MFA 2022-RPL1 TR
N/A
MFA 2022-RPL1 TR 3.3% 08/25/2061 144A
55285TAA4
413309.42000000
PA
USD
373790.76000000
0.015048117428
Long
ABS-CBDO
CORP
US
N
2
2061-08-25
Fixed
0.03300000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H14 FC TSFR1M+61.448 5/61
38375BMB5
202701.86000000
PA
USD
201756.11000000
0.008122323931
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.05755260
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.875% 08/14/2024
00774MAM7
1196000.00000000
PA
USD
1159588.37000000
0.046682860649
Long
DBT
CORP
IE
N
2
2024-08-14
Fixed
0.02875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE8185
31419KCX1
3875.25320000
PA
USD
3670.61000000
0.000147771898
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2047#BJ4340
3140H5ZE4
14607.51560000
PA
USD
13691.64000000
0.000551199838
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 02/01/2047#Q46222
3132WK4G0
22249.11940000
PA
USD
21528.79000000
0.000866708850
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 04/01/2041#MA4312
31418DYJ5
173384.77900000
PA
USD
149390.65000000
0.006014188376
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02500000
N
N
N
N
N
N
COMM 2014-CCRE17 MTG TR
N/A
COMM 2014-CCRE17 XA CSTR 05/10/2047
12631DBC6
1354603.67610000
PA
USD
3465.08000000
0.000139497644
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Variable
0.01103638
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.95% 06/15/2028
29278NAF0
494000.00000000
PA
USD
478434.97000000
0.019260897756
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.04950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AB2079
31416XJZ4
60355.81440000
PA
USD
57265.20000000
0.002305389930
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/32 #545762
31385JJF6
3529.59980000
PA
USD
3628.30000000
0.000146068577
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2029#
3140XLYD4
1467757.82000000
PA
USD
1390331.54000000
0.055972149442
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2010-135 LS SOFR30A+593.552 12/40
31398SD91
15785.77890000
PA
USD
862.96000000
0.000034741156
Long
ABS-CBDO
USGSE
US
N
2
2040-12-25
Variable
0.00647940
N
N
N
N
N
N
LIFE 2021-BMR MTG TR
N/A
LIFE 2021-BMR MTG TR TSFR1M+151.448 03/15/2026 144A
53218CAG5
289976.19000000
PA
USD
280506.03000000
0.011292648536
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.06824480
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15893
3132J67F5
5511.05420000
PA
USD
5218.09000000
0.000210070551
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H01 FA TSFR1M+81.448 11/61
38375BNX6
240430.42650000
PA
USD
239812.38000000
0.009654398239
Long
ABS-CBDO
USGA
US
N
2
2061-11-20
Variable
0.05955260
N
N
N
N
N
N
DISCOVER CARD EXECUTION NT TR
549300CKCX1QE4RUW216
DISCOVER CARD EXECUTION NT TR 4.93% 06/15/2028
254683CZ6
700000.00000000
PA
USD
696055.15000000
0.028021879498
Long
ABS-CBDO
CORP
US
N
2
2028-06-15
Fixed
0.04930000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2.5% 02/25/2052
3136BMM70
795564.55300000
PA
USD
718955.90000000
0.028943820894
Long
ABS-CBDO
USGSE
US
N
2
2052-02-25
Fixed
0.02500000
N
N
N
N
N
N
DLLAA 2023-1A
N/A
DLLAA 2023-1A 5.93% 07/20/2026 144A
23292HAB7
554000.00000000
PA
USD
554446.08000000
0.022320962989
Long
ABS-CBDO
CORP
US
N
2
2026-07-20
Fixed
0.05930000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/40 #AE4645
31419FET9
3704.69320000
PA
USD
3522.37000000
0.000141804033
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 02/15/2043#AD1736
36180C4V8
53253.73020000
PA
USD
49308.04000000
0.001985049539
Long
ABS-MBS
USGA
US
N
2
2043-02-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2047#BM3114
3140J7N84
341882.61600000
PA
USD
302018.86000000
0.012158714867
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.03000000
N
N
N
N
N
N
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2022-4
N/A
GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2022-4 4.82% 08/16/2027
36265QAD8
1000000.00000000
PA
USD
990289.00000000
0.039867184412
Long
ABS-CBDO
CORP
US
N
2
2027-08-16
Fixed
0.04820000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 10/01/2034#FM1579
3140X4XH4
237052.42000000
PA
USD
225484.29000000
0.009077576113
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 02/20/2051#MA7192
36179V7D6
4316995.10800000
PA
USD
3573327.95000000
0.143855505159
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.66% 4/36 #868559
31409D5U3
9431.50910000
PA
USD
9517.57000000
0.000383159581
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Variable
0.04429000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 20-101 BA 1.5% 09/25/2045
3136BDDV7
283904.57300000
PA
USD
237020.60000000
0.009542006393
Long
ABS-CBDO
USGSE
US
N
2
2045-09-25
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 4/36 #A79236
3128LDHM9
9336.26080000
PA
USD
9285.70000000
0.000373824928
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.05000000
N
N
N
N
N
N
BLACKSTONE PRIVATE CREDIT FUND
549300ORP3TTCNXSYO43
BLACKSTONE PRIVATE CREDIT FUND 4.7% 03/24/2025
09261HAT4
3937000.00000000
PA
USD
3826843.96000000
0.154061585932
Long
DBT
CORP
US
N
2
2025-03-24
Fixed
0.04700000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FIN II LLC 4.25% 12/15/2025 144A
07274NAJ2
3209000.00000000
PA
USD
3107857.78000000
0.125116546021
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2042#Q06232
3132GRHH7
25843.09410000
PA
USD
24506.03000000
0.000986566969
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.21% 3/36 #1G1851
3128QSBU9
2676.99560000
PA
USD
2672.74000000
0.000107599517
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.03634000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.00% 6/36 #782394
36241KUT3
182735.43200000
PA
USD
186377.40000000
0.007503205807
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
0.06000000
N
N
N
N
N
N
STORE CAPITAL CORP
5493004EA6C9IHDZ7N66
STORE CAP CORP 2.75% 11/18/2030
862121AC4
424000.00000000
PA
USD
311051.47000000
0.012522350865
Long
DBT
CORP
US
N
2
2030-11-18
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 04/01/2043#AT2008
3138WPGS7
25787.26250000
PA
USD
22148.61000000
0.000891661645
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.02500000
N
N
N
N
N
N
FLATIRON CLO LTD
N/A
FLATIRON CLO LTD TSFR3M+134.161 11/16/2034 144A
33883JAN1
1250000.00000000
PA
USD
1239918.75000000
0.049916811620
Long
ABS-CBDO
CORP
KY
N
2
2034-11-16
Variable
0.06713440
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/40 #AE4113
31419ESB6
17134.59860000
PA
USD
16278.03000000
0.000655323066
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2028#FS3865
3140XKJK7
554152.37200000
PA
USD
522226.82000000
0.021023875795
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5% 09/01/2053 #TBA
01F050692
6050000.00000000
PA
USD
5866372.82000000
0.236169206208
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.05000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.25% 04/01/2053
161175CK8
2499000.00000000
PA
USD
1978112.69000000
0.079635120051
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
0.05250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 6/41 #Q01393
3132GERN2
3929.04090000
PA
USD
3823.45000000
0.000153924951
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9701
3138EEX79
4051.03710000
PA
USD
3834.73000000
0.000154379063
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.625% 03/31/2030
91282CGS4
20000000.00000000
PA
USD
19318750.00000000
0.777736770648
Long
DBT
UST
US
N
2
2030-03-31
Fixed
0.03625000
N
N
N
N
N
N
TOYOTA LEASE OWNER TRUST 2023-A
N/A
TOYOTA LEASE OWNER TRUST 2023-A 5.3% 08/20/2025 144A
89239MAB3
814000.00000000
PA
USD
810321.53000000
0.032622030407
Long
ABS-CBDO
CORP
US
N
2
2025-08-20
Fixed
0.05300000
N
N
N
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 3.95% 07/15/2030 144A
00130HCC7
2288000.00000000
PA
USD
2033694.18000000
0.081872726964
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2031#AS8511
3138WJN53
308127.15800000
PA
USD
285145.43000000
0.011479422110
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.25% 04/25/2052
3137H6RT4
959924.97600000
PA
USD
873328.03000000
0.035158554345
Long
ABS-CBDO
USGSE
US
N
2
2052-04-25
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2046#Q39975
3132QXCM7
6617.48140000
PA
USD
6235.31000000
0.000251021927
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 5.125% 09/30/2024
02005NAV2
465000.00000000
PA
USD
457827.79000000
0.018431291201
Long
DBT
CORP
US
N
2
2024-09-30
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 10/01/2041#AL4242
3138ELWC3
19878.50150000
PA
USD
19854.91000000
0.000799321570
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/41 #AJ4047
3138AVP90
78266.03140000
PA
USD
74206.96000000
0.002987433525
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.0% 07/01/2041#Q02189
3132GFNE3
1186.78660000
PA
USD
1178.56000000
0.000047446623
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 04/01/2045#Q32823
3132QPD50
3613.52840000
PA
USD
3412.75000000
0.000137390936
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2320
3140QMSJ4
316243.98830000
PA
USD
264277.48000000
0.010639317442
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 06/01/2041#BR1090
3140KYF82
71199.74800000
PA
USD
61502.41000000
0.002475972086
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.02500000
N
N
N
N
N
N
CEDAR FUNDING LTD
549300ZKTUZSV15HAV29
CEDAR FUNDING LTD TSFR3M+136.161 10/20/2032 144A
15033XAJ5
1037000.00000000
PA
USD
1032731.71000000
0.041575848596
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Variable
0.06687750
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 1.65% 01/20/2063
38375BE73
26.15290000
PA
USD
22.70000000
0.000000913859
Long
ABS-CBDO
USGA
US
N
2
2063-01-20
Fixed
0.01650000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2933 ZM 5.75% 02/15/2035
31395MT74
48325.70760000
PA
USD
49135.62000000
0.001978108232
Long
ABS-CBDO
USGSE
US
N
2
2035-02-15
Fixed
0.05750000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H14 FB TSFR1M+61.448 5/61
38375BLZ3
271053.74530000
PA
USD
269885.75000000
0.010865095911
Long
ABS-CBDO
USGA
US
N
2
2061-05-20
Variable
0.05755260
N
N
N
N
N
N
DRYDEN 76 CLO LTD
N/A
DRYDEN 76 CLO LTD TSFR3M+141.161 10/20/2034 144A
26252WAU3
1790000.00000000
PA
USD
1776399.58000000
0.071514527219
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Variable
0.06737750
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 2.852%/VAR 05/07/2026
06738EBL8
1652000.00000000
PA
USD
1561341.56000000
0.062856693251
Long
DBT
CORP
GB
N
2
2026-05-07
Variable
0.02852000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.69% 01/23/2050
71654QDD1
2090000.00000000
PA
USD
1391522.00000000
0.056020075137
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
0.07690000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 5.829%/VAR 05/09/2027
06738ECF0
2370000.00000000
PA
USD
2348269.68000000
0.094536948691
Long
DBT
CORP
GB
N
2
2027-05-09
Variable
0.05829000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR1910
3138NYDQ5
10263.05730000
PA
USD
9163.37000000
0.000368900150
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 02/01/2041#
3132GE5T3
2508.08540000
PA
USD
2441.15000000
0.000098276136
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 2.2% 06/15/2028
756109BJ2
172000.00000000
PA
USD
149274.36000000
0.006009506758
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.02200000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036
674599DF9
600000.00000000
PA
USD
613521.00000000
0.024699208865
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
0.06450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/47#Q47942
3132WMZG2
21211.47850000
PA
USD
20524.74000000
0.000826287674
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2041#G06800
3128M83H5
5631.21120000
PA
USD
5346.41000000
0.000215236474
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
ARGENTINA REPUBLIC OF
549300KPBYGYF7HCHO27
ARGENTINA REPUBLIC OF 1% 07/09/2029
040114HX1
75245.00000000
PA
USD
24322.95000000
0.000979196510
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
0.01000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA SOFR30A+593.552 01/25/2044
3136AHTW0
10540.47300000
PA
USD
989.26000000
0.000039825758
Long
ABS-CBDO
USGSE
US
N
2
2044-01-25
Variable
0.00647940
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 10/41 #Q04113
3132GKGW0
7116.69810000
PA
USD
6749.44000000
0.000271719840
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/29 #357040
31376JS59
68.10690000
PA
USD
70.45000000
0.000002836185
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/33 #726956
31402ETM0
1244.25890000
PA
USD
1210.76000000
0.000048742934
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2022-DKLX
N/A
BAMLL COML MTG SECS TR 2022-DKLX C VAR 01/15/2039 144A
05530SAJ5
136000.00000000
PA
USD
130807.17000000
0.005266052201
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Variable
0.07461000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 10/01/2053 #TBA
21H0206A8
9950000.00000000
PA
USD
8217304.02000000
0.330813302721
Long
ABS-MBS
USGA
US
N
2
2053-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 02/01/2052#FS2040
3140XHHS9
972300.60800000
PA
USD
775818.98000000
0.031233022225
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.81% 1/36 #1J1262
3128NHMK6
2995.04830000
PA
USD
2972.28000000
0.000119658437
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Variable
0.03575000
N
N
N
N
N
N
CEDAR FDG XVII CLO LTD
N/A
CEDAR FUNDING LTD 23-17A A TSFR3M+185 07/20/2036 144A
15033PAA1
1424000.00000000
PA
USD
1423790.67000000
0.057319151485
Long
ABS-CBDO
CORP
KY
N
2
2036-07-20
Variable
0.07275750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 01/01/2047#Q45635
3132WKHM3
6023.50680000
PA
USD
5828.49000000
0.000234644114
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 06/01/2053#RA9278
3133KRJX3
420450.34000000
PA
USD
425134.32000000
0.017115113199
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.16% 9/35 #850124
31408FPH6
190.80520000
PA
USD
192.96000000
0.000007768208
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Variable
0.04424000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 04/01/2031#
31292HJK1
188.12130000
PA
USD
190.27000000
0.000007659914
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
0.06000000
N
N
N
N
N
N
GS MTG SECS CORP TR 2021-IP
N/A
GSMS 2021-IP A TSFR1M+106.448 10/15/2036 144A
36262MAA6
1036000.00000000
PA
USD
985322.61000000
0.039667246832
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06375480
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5% 09/01/2053 #TBA
01F050692
-2250000.00000000
PA
USD
-2181708.90000000
-0.08783152297
Short
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.05000000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.35% 06/01/2040
035240AS9
720000.00000000
PA
USD
644116.20000000
0.025930914438
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
0.04350000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 06/25/2049
3136BMER5
239675.15200000
PA
USD
215058.62000000
0.008657858123
Long
ABS-CBDO
USGSE
US
N
2
2049-06-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6416
3140QEDW9
3030673.82290000
PA
USD
2644147.14000000
0.106448422272
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#FM8334
3140XCHL5
597499.79600000
PA
USD
495616.16000000
0.019952580356
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02000000
N
N
N
N
N
N
PACIFIC LIFECORP
VFN8KLUEIK7XMVX1JM30
PACIFIC LIFECORP 5.125% 01/30/2043 144A
694476AD4
950000.00000000
PA
USD
866624.53000000
0.034888683963
Long
DBT
CORP
US
N
2
2043-01-30
Fixed
0.05125000
N
N
N
N
N
N
CORPOARATE OFFICE PPTYS LP
H0TWO5VRNEP6CQAWPX27
CORPORATE OFFICE PPTYS LP 2.75% 04/15/2031
22003BAM8
235000.00000000
PA
USD
181122.36000000
0.007291647718
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/41 #AJ5385
3138AW6X6
21590.91320000
PA
USD
20464.74000000
0.000823872186
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2006-12 BO 0% 10/35
31394VS43
7003.13490000
PA
USD
5982.10000000
0.000240828166
Long
ABS-CBDO
USGSE
US
N
2
2035-10-25
Fixed
0.00000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 4.75% 06/09/2027
02005NBQ2
2500000.00000000
PA
USD
2343382.63000000
0.094340205191
Long
DBT
CORP
US
N
2
2027-06-09
Fixed
0.04750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.61% 3/35 #1L0297
3128Q2KJ1
6478.09800000
PA
USD
6563.62000000
0.000264239074
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Variable
0.05024000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/44#Q28495
3132M9C85
4541.38980000
PA
USD
4297.57000000
0.000173012136
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.293% 3/35 #815586
31406PCX5
587.31350000
PA
USD
592.01000000
0.000023833216
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Variable
0.04583000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2019-XL
N/A
BX TRUST 2019-XL B TSFR1M+119.448 10/15/2036 144A
056054AE9
704649.99000000
PA
USD
700193.15000000
0.028188467644
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06504960
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2% 04/25/2045
3137FVE99
607694.87800000
PA
USD
530982.82000000
0.021376375992
Long
ABS-CBDO
USGSE
US
N
2
2045-04-25
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 10/40 #004834
36202FLP9
2460.20110000
PA
USD
2409.46000000
0.000097000356
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033
06051GKY4
13317000.00000000
PA
USD
12817034.14000000
0.515989841026
Long
DBT
CORP
US
N
2
2033-07-22
Variable
0.05015000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 04/01/2051#MA4305
31418DYB2
2402889.92990000
PA
USD
1921821.51000000
0.077368942346
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 3/1/43#AR6743
3138W4P54
16989.32820000
PA
USD
15574.86000000
0.000627014756
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/01/2051#RA5746
3133KML37
332613.53900000
PA
USD
300095.04000000
0.012081265469
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 6/42 #AB5423
31417CAZ8
39490.82740000
PA
USD
36299.95000000
0.001461368146
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#CB2886
3140QNF49
627480.79400000
PA
USD
543580.27000000
0.021883525785
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.875% 02/01/2029
404119BW8
981000.00000000
PA
USD
987049.48000000
0.039736767391
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.05875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 04/01/2041#SC0158
3132D9E75
1115678.13100000
PA
USD
961980.53000000
0.038727538315
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/43 #MA1012
36179NDR6
174779.43610000
PA
USD
161996.31000000
0.006521668689
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2046#AL9371
3138ERMV9
745601.09400000
PA
USD
658663.48000000
0.026516560744
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 12/33 #G03583
3128M5J43
1284.14470000
PA
USD
1344.12000000
0.000054111759
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.07000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.15% 05/01/2030
097023CY9
5723000.00000000
PA
USD
5630484.73000000
0.226672792551
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
0.05150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.47% 3/40 #AD0820
31418M4E9
5221.24780000
PA
USD
5292.60000000
0.000213070184
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Variable
0.04021000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 04/01/2037#BM1257
3140J5MF3
424332.25490000
PA
USD
380329.38000000
0.015311350050
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
0.02500000
N
N
N
N
N
N
NYMT LN TR 2022-CP1
N/A
NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A
62955VAA4
235942.98400000
PA
USD
209551.98000000
0.008436171088
Long
ABS-CBDO
CORP
US
N
2
2061-07-25
Fixed
0.02042400
N
N
N
N
N
N
VOYA CLO 2020-3 LTD / VOYA CLO 2020-3 LLC
N/A
VOYA CLO 2020-3 LTD / LLC TSFR3M+141.161 10/20/2034 144A
92918NAQ0
1736000.00000000
PA
USD
1722999.10000000
0.069364723694
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Variable
0.06737750
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.5% MAC 09/20/30
N/A
1772000.00000000
NC
USD
-34940.75000000
-0.00140664929
N/A
DO
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2030-09-20
0.00000000
USD
0.00000000
USD
1767256.97000000
USD
-34940.75000000
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP TSFR1M+144.348 9 11/15/2038 144A
78472UAE8
605000.00000000
PA
USD
590197.47000000
0.023760247136
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06753960
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 10/20/2047
38380UAT0
103150.93700000
PA
USD
92047.31000000
0.003705652675
Long
ABS-CBDO
USGA
US
N
2
2047-10-20
Fixed
0.03000000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD 3.95% 07/01/2024 144A
05401AAF8
380000.00000000
PA
USD
370661.23000000
0.014922128399
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
0.03950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2045#Q32328
3132QNSS9
17303.36370000
PA
USD
15830.69000000
0.000637313993
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
EXTENDED STAY AMER TR 2021-ESH
N/A
EXTENDED STAY AMER TR 2021-ESH D TSFR1M+236.448 07/15/2038 144A
30227FAJ9
650838.46000000
PA
USD
640217.04000000
0.025773941544
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.07674480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 09/01/2040#AE3951
31419EL98
2481.67160000
PA
USD
2352.60000000
0.000094711279
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 10/01/2042#AB6493
31417DGB3
7775.08640000
PA
USD
6946.33000000
0.000279646263
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 6/33 #003401
36202DX63
530.88120000
PA
USD
519.03000000
0.000020895177
Long
ABS-MBS
USGA
US
N
2
2033-06-20
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM TSFR1M+60 08/20/2063
38375B5N8
10912.12260000
PA
USD
10880.22000000
0.000438017323
Long
ABS-CBDO
USGA
US
N
2
2063-08-20
Variable
0.05855260
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2047#CA1780
3140Q86S9
3217.90700000
PA
USD
3107.73000000
0.000125111401
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.04500000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC 6.75% 06/15/2039
88732JAU2
545000.00000000
PA
USD
527196.83000000
0.021223959110
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
0.06750000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.125% 05/15/2040
912810SR0
8834000.00000000
PA
USD
5471213.69000000
0.220260838138
Long
DBT
UST
US
N
2
2040-05-15
Fixed
0.01125000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 05/25/2048
3137H5ZJ9
626563.08000000
PA
USD
560510.24000000
0.022565094738
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2043#AQ9328
3138MRLJ8
32379.52160000
PA
USD
29760.32000000
0.001198094864
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 4/42 #MA0023
36179MAY6
32799.10210000
PA
USD
31278.77000000
0.001259224824
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.5% 02/43 #Q15871
3132J66H2
12128.96110000
PA
USD
11203.05000000
0.000451013855
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 2/27 #356391
31376H2Y8
48.00630000
PA
USD
48.65000000
0.000001958558
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
0.07500000
N
N
N
N
N
N
COLUMBIA PIPELINE GROUP INC
549300SRP1TQM9JJBG80
COLUMBIA PIPELINE GROUP INC 5.8% 06/01/2045
198280AH2
10000.00000000
PA
USD
9260.77000000
0.000372821292
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
0.05800000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/44#MA1760
36179N5V6
2578.84310000
PA
USD
2391.28000000
0.000096268463
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
0.03500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5% 05/15/2050
29278NAR4
2089000.00000000
PA
USD
1719528.10000000
0.069224987720
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
0.05000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US LONG BOND(CBT) FUT DEC23 USZ3
N/A
-10.00000000
NC
USD
-17366.00000000
-0.00069912270
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2023-12-19
-1199509.00000000
USD
-17366.00000000
N
N
N
BX TR 2021-LGCY
N/A
BX TR 2022-GPA A TSFR1M+221.5 10/15/2039 144A
05608UAA6
943000.00000000
PA
USD
942998.87000000
0.037963372158
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Variable
0.07475480
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.50% 8/29 #781078
36225BFT0
14.90040000
PA
USD
15.44000000
0.000000621585
Long
ABS-MBS
USGA
US
N
2
2029-08-15
Fixed
0.08500000
N
N
N
N
N
N
HEALTHCARE TRUST OF AMERICA HOLDINGS LP
549300IYGAS4GE6VDL07
HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.1% 02/15/2030
42225UAG9
260000.00000000
PA
USD
221477.71000000
0.008916278690
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.03100000
N
N
N
N
N
N
AIMCO CLO 11 LTD
549300VLRW0CEQ83RF89
AIMCO CLO 11 LTD TSFR3M+139.161 10/17/2034 144A
00140NAN0
869000.00000000
PA
USD
863195.08000000
0.034750620716
Long
ABS-CBDO
CORP
KY
N
2
2034-10-17
Variable
0.06699570
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 09/01/2053 #TBA
01F022691
-2100000.00000000
PA
USD
-1740457.11000000
-0.07006755054
Short
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.02500000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2019-IMC
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-IMC A TSFR1M+111.448 04/15/2034 144A
05608BAA8
814000.00000000
PA
USD
810813.76000000
0.032641846667
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.06424480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/01/2050#FM3897
3140X7KK4
144725.88850000
PA
USD
116700.94000000
0.004698161744
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/01/2041#
3132GEVS6
2470.25190000
PA
USD
2345.38000000
0.000094420615
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 05/01/2041#MA4333
31418DY71
20213.42000000
PA
USD
16829.86000000
0.000677538710
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 8% 11/01/2031
36186CBY8
549000.00000000
PA
USD
567653.18000000
0.022852656153
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2039#AB0050
31416VBU7
21383.19100000
PA
USD
20811.23000000
0.000837821226
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 02/01/2051#RA4575
3133KLCL9
2908972.43100000
PA
USD
2424594.78000000
0.097609654575
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02500000
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP B TSFR1M+119.428 98 11/15/2038 144A
78472UAC2
4130000.00000000
PA
USD
4051668.36000000
0.163112596107
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06504760
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4% 06/01/2038#K94293
3132LQUS4
7549.75430000
PA
USD
7238.78000000
0.000291419754
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AT2721
3138WQAX0
63531.78350000
PA
USD
56666.55000000
0.002281289400
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 9/33 #734922
31402QPF2
815.92970000
PA
USD
794.09000000
0.000031968579
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2045#Q34458
3132QQ5U2
29838.12700000
PA
USD
28170.87000000
0.001134106578
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNR 2010-39 FG SOFR30A+103.448 3/36
31398PU56
135876.66980000
PA
USD
135778.85000000
0.005466202747
Long
ABS-CBDO
USGSE
US
N
2
2036-03-25
Variable
0.06322060
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-VINO
N/A
BX COMMERCIAL MORTGAGE TRUST 2021 SR1M+156.27 02/15/2039 144A
05610HAE3
622943.42000000
PA
USD
595396.36000000
0.023969544731
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.06872180
N
N
N
N
N
N
EXXON MOBIL CORP
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 3.482% 03/19/2030
30231GBK7
3150000.00000000
PA
USD
2912953.14000000
0.117270049467
Long
DBT
CORP
US
N
2
2030-03-19
Fixed
0.03482000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 11/20/2050#MA6994
36179VXX3
761444.35600000
PA
USD
630274.14000000
0.025373658972
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5.47% 8/59 #725598
3620ACDB7
166.88830000
PA
USD
156.99000000
0.000006320124
Long
ABS-MBS
USGA
US
N
2
2059-08-20
Variable
0.05470000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2037#MA4536
31418EBE9
98006.87100000
PA
USD
86029.24000000
0.003463376424
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.02000000
N
N
N
N
N
N
MILOS CLO LTD
254900GFWI4EEB8IJS18
MILOS CLO LTD TSFR3M+133.161 10/20/2030 144A
60162PAE2
1291565.72000000
PA
USD
1289986.14000000
0.051932431172
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Variable
0.06657750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.48% 6/47 #939994
31413AXX6
7512.04080000
PA
USD
7663.67000000
0.000308525031
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Variable
0.03895000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/40 #004801
36202FKN5
25392.54880000
PA
USD
24868.86000000
0.001001173826
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 01/01/2040#A90709
312938YE7
2760.74340000
PA
USD
2687.17000000
0.000108180442
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.04500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.875% 04/15/2030
87264ABF1
2100000.00000000
PA
USD
1916722.88000000
0.077163681031
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.03875000
N
N
N
N
N
N
WFRBS COML MTG TR 2014-LC14
N/A
WFRBS COML MTG TR 2014-LC14 VAR 03/15/2047
96221TAH0
953605.50000000
PA
USD
434.27000000
0.000017482898
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
0.01397292
N
N
N
N
N
N
DUQUESNE LIGHT HLDGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A
266233AJ4
935000.00000000
PA
USD
721437.76000000
0.029043735939
Long
DBT
CORP
US
N
2
2032-01-07
Fixed
0.02775000
N
N
N
N
N
N
BARINGS CLO LTD 2020-IV
549300Q89L7I93JSRH83
BARINGS CLO LTD 2020-IV TSFR3M+148.161 01/20/2032 144A
06762BAC4
1680000.00000000
PA
USD
1675784.88000000
0.067463967434
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Variable
0.06807750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 05/01/2033#G18687
3128MMXR9
5438.35790000
PA
USD
5005.64000000
0.000201517711
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2006-72 CY 6% 8/26
31396KHM7
15600.07500000
PA
USD
15584.45000000
0.000627400831
Long
ABS-CBDO
USGSE
US
N
2
2026-08-25
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2346
3140QMTC8
218290.33990000
PA
USD
175952.03000000
0.007083499895
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 8/35 #824358
31406YZX1
174.20270000
PA
USD
178.54000000
0.000007187686
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.06000000
N
N
N
N
N
N
INVESCO CLO LTD
N/A
INVESCO CLO LTD TSFR3M+139.161 10/22/2034 144A
46146JAA4
960000.00000000
PA
USD
953879.04000000
0.038401387468
Long
ABS-CBDO
CORP
KY
N
2
2034-10-22
Variable
0.06737180
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 02/15/2033
91282CGM7
92000000.00000000
PA
USD
87615625.00000000
3.527241319746
Long
DBT
UST
US
N
2
2033-02-15
Fixed
0.03500000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3% 10/29/2028
00774MAW5
909000.00000000
PA
USD
787705.02000000
0.031711531982
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
0.03000000
N
N
N
N
N
N
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MNGT SWAP CY873248 04/17/65 B
N/A
70000.00000000
NC
USD
16837.02000000
0.000677826958
N/A
DCR
CORP
US
N
2
JPMORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
20143.61000000
USD
0.00000000
USD
70000.00000000
USD
-3306.59000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/39 #713471
36297JT46
3641.80850000
PA
USD
3539.32000000
0.000142486408
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AB7280
31417ECS8
10290.44670000
PA
USD
9199.34000000
0.000370348235
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2035#
3128LXFN5
2602.51020000
PA
USD
2589.64000000
0.000104254066
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042
3136AA2T1
58560.89100000
PA
USD
52465.02000000
0.002112143654
Long
ABS-CBDO
USGSE
US
N
2
2042-06-25
Fixed
0.01750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 05/01/2053#FS4631
3140XLED6
755159.94400000
PA
USD
749951.00000000
0.030191625694
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
0.05500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3% 03/22/2027
92343VFF6
263000.00000000
PA
USD
244461.28000000
0.009841554264
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
0.03000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 5.25% 01/30/2031
126650DX5
329000.00000000
PA
USD
325103.33000000
0.013088052487
Long
DBT
CORP
US
N
2
2031-01-30
Fixed
0.05250000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047
38380HES7
229404.81110000
PA
USD
204758.32000000
0.008243187295
Long
ABS-CBDO
USGA
US
N
2
2047-09-20
Fixed
0.03000000
N
N
N
N
N
N
AIMCO CLO SERIES 2015-A
N/A
AIMCO CLO SERIE 2015-AA AR2 TSFR3M+140.161 10/17/2034 144A
00900LAN4
1889000.00000000
PA
USD
1871760.99000000
0.075353599367
Long
ABS-CBDO
CORP
KY
N
2
2034-10-17
Variable
0.06709570
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5345
3140J95F4
103588.82950000
PA
USD
97824.86000000
0.003938246041
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 10/37 #995073
31416BMW5
7942.86340000
PA
USD
8158.66000000
0.000328452404
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.06000000
N
N
N
N
N
N
MAGNETITE XXIX LTD / MAGNETITE XXIX LLC
N/A
MAGNETITE CLO LTD 2021-29A A TSFR3M+125.161 01/15/2034 144A
55955KAA2
1480000.00000000
PA
USD
1468922.20000000
0.059136062538
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Variable
0.06559570
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 01/01/2028#SB0799
3132CW3G7
573059.56200000
PA
USD
546964.66000000
0.022019775002
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2802 OB 6% 5/34
31394YPA6
9014.92970000
PA
USD
9070.45000000
0.000365159365
Long
ABS-CBDO
USGSE
US
N
2
2034-05-15
Fixed
0.06000000
N
N
N
N
N
N
BANK 2018-BNK13
549300664283JRAXM588
BANK 2018-BNK13 3.953% 08/15/2061
06539LBA7
300000.00000000
PA
USD
279914.91000000
0.011268851150
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
0.03953000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/47#AL9779
3138ER2M1
15624.93610000
PA
USD
14728.28000000
0.000592933027
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 01/45#Q31029
3132QMEB3
62986.13690000
PA
USD
59486.37000000
0.002394810083
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2048#BM3532
3140J74S1
27362.15580000
PA
USD
25646.58000000
0.001032483380
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
MAGNE 2020-27A AR
N/A
MAGNE 2020-27A AR TSFR3M+140.161 10/20/2034 144A
55955EAL2
305000.00000000
PA
USD
302701.22000000
0.012186185406
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Variable
0.06727750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2046#AS7822
3138WHVQ2
42241.41510000
PA
USD
38491.13000000
0.001549580958
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #772072
36176PQZ2
3566.18400000
PA
USD
3384.40000000
0.000136249618
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 10/01/2052#FS3047
3140XJL50
585803.32700000
PA
USD
571476.98000000
0.023006595195
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 10/01/2051#MA4438
31418D4Y5
1739374.48800000
PA
USD
1443225.80000000
0.058101573497
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02500000
N
N
N
N
N
N
SAPPHIRE AVIATION FINANCE
N/A
SAPPHIRE AVIATION FINANCE 4.335% 03/15/2040 144A
80307AAB5
228996.55000000
PA
USD
163741.69000000
0.006591934426
Long
ABS-CBDO
CORP
US
N
2
2040-03-15
Fixed
0.04335000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H18 PL 5.01% 9/60
38375BEV0
8059.88890000
PA
USD
7964.64000000
0.000320641521
Long
ABS-CBDO
USGA
US
N
2
2060-09-20
Variable
0.05010000
N
N
N
N
N
N
BPR TRUST 2021-TY
N/A
BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A
05592DAA2
3387000.00000000
PA
USD
3325803.68000000
0.133890640641
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.07208480
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/27 #780580
36225AUD0
103.50400000
PA
USD
104.97000000
0.000004225896
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#BT9396
3140LYNN9
67886.21400000
PA
USD
58534.10000000
0.002356473473
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 10/01/2052#CB4843
3140QQLZ6
570901.71400000
PA
USD
565179.68000000
0.022753077665
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.05500000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 5.45% 01/23/2039
03523TBU1
800000.00000000
PA
USD
812093.95000000
0.032693384723
Long
DBT
CORP
US
N
2
2039-01-23
Fixed
0.05450000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 9/33 #003442
36202DZF1
22159.11470000
PA
USD
21980.81000000
0.000884906331
Long
ABS-MBS
USGA
US
N
2
2033-09-20
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2017-K063 A2 3.43% 01/25/2027
3137BVZ82
500000.00000000
PA
USD
476086.00000000
0.019166332614
Long
ABS-MBS
USGSE
US
N
2
2027-01-25
Fixed
0.03430000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNR 2010-118 PB 4.5% 10/40
31398NUY8
158310.08720000
PA
USD
153511.08000000
0.006180069187
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.75% 08/31/2026
91282CCW9
433000.00000000
PA
USD
387653.40000000
0.015606201407
Long
DBT
UST
US
N
2
2026-08-31
Fixed
0.00750000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC 6.156% 03/02/2027
639057AJ7
3394000.00000000
PA
USD
3373850.57000000
0.135824918639
Long
DBT
CORP
GB
N
2
2027-03-02
Variable
0.05847000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 04/01/2051#QC0798
3133AJ3F8
105148.81200000
PA
USD
79365.67000000
0.003195113549
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#CB1071
3140QLFM3
512595.68700000
PA
USD
427272.03000000
0.017201173409
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #780545
36225ATA8
59.44000000
PA
USD
60.25000000
0.000002425552
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BC4754
3140F0H80
62606.77030000
PA
USD
59072.69000000
0.002378156099
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#778869
36176XCE7
2816.66690000
PA
USD
2674.57000000
0.000107673189
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2050#CA7616
3140QFPA1
251658.31650000
PA
USD
202061.72000000
0.008134627218
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02000000
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029
72650RBM3
4767000.00000000
PA
USD
4190867.44000000
0.168716490922
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.03550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#CA5039
3140QCS56
19100.04900000
PA
USD
17795.72000000
0.000716422429
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 3/32 #254240
31371KLV1
600.55860000
PA
USD
624.95000000
0.000025159319
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.07000000
N
N
N
N
N
N
CIGNA GROUP (THE)
549300VIWYMSIGT1U456
CIGNA GROUP (THE) 4.8% 08/15/2038
125523AJ9
550000.00000000
PA
USD
507000.01000000
0.020410872882
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
0.04800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 10/01/2032#
31283HTS4
210.85160000
PA
USD
214.09000000
0.000008618863
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 01/01/2046#G08687
3128MJXR6
21318.95540000
PA
USD
19477.87000000
0.000784142644
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 6.7% 11/29/2032
254709AS7
361000.00000000
PA
USD
359288.33000000
0.014464276700
Long
DBT
CORP
US
N
2
2032-11-29
Fixed
0.06700000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 2.85% 12/15/2032
756109BL7
211000.00000000
PA
USD
171010.27000000
0.006884553873
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
0.02850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2051#CB1799
3140QL7M2
768603.40950000
PA
USD
620250.19000000
0.024970113478
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4% 09/01/2053 #TBA
01F040693
-200000.00000000
PA
USD
-184625.00000000
-0.00743265745
Short
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2034#FS4276
3140XKXE5
3672621.68900000
PA
USD
3452809.40000000
0.139003653570
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2044#AL5512
3138ENDS5
23731.67150000
PA
USD
23022.96000000
0.000926861342
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 12/01/2052#SD8277
3132DWFS7
1301982.77000000
PA
USD
1287305.78000000
0.051824524887
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2051#MA4281
31418DXK3
2458185.64750000
PA
USD
1966046.80000000
0.079149369869
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 02/01/2041#MA4266
31418DW40
63323.81800000
PA
USD
51002.19000000
0.002053252852
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.01500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031
674599DD4
927000.00000000
PA
USD
1004405.86000000
0.040435502813
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#MA4326
31418DYY2
728430.14500000
PA
USD
606682.81000000
0.024423916115
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3002 NE 5% 7/35
31395WMR5
10695.38280000
PA
USD
10662.12000000
0.000429237025
Long
ABS-CBDO
USGSE
US
N
2
2035-07-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2045#AS4972
3138WEQ28
8100.86110000
PA
USD
7166.42000000
0.000288506676
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 1/37 #G02667
3128M4JL8
684.78680000
PA
USD
681.25000000
0.000027425851
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.05000000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2022-DKLX
N/A
BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+115 01/15/2039 144A
05530SAA4
1005000.00000000
PA
USD
977659.68000000
0.039358751591
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Variable
0.06461000
N
N
N
N
N
N
AIMCO CLO 14 LTD / AIMCO CLO 14 LLC
N/A
AIMCO CLO 14 LTD / AIMCO CLO 14 LLC 21-14A A TSFR3M+125.161 04/20/2034 144A
00144GAC5
2222000.00000000
PA
USD
2195056.03000000
0.088368853479
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.06577750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 01/01/2037#FS2747
3140XJBR3
540368.45300000
PA
USD
461314.87000000
0.018571674525
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/27 #313644
31374GLZ8
129.15790000
PA
USD
132.87000000
0.000005349097
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/33 #727160
31402EZZ4
438.13680000
PA
USD
426.55000000
0.000017172105
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2053#CB6539
3140QSHR5
600077.40500000
PA
USD
607887.65000000
0.024472420722
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 02/01/2053#CB5600
3140QRGJ6
97387.25400000
PA
USD
96502.46000000
0.003885008688
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
0.05500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2011-H07 FA TSFR1M+61.448 3/61
38375BKP6
175554.66940000
PA
USD
174646.05000000
0.007030923581
Long
ABS-CBDO
USGA
US
N
2
2061-02-20
Variable
0.05717710
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 9/35 #A47784
3128K8UH7
2848.16070000
PA
USD
2971.39000000
0.000119622608
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.07000000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 2.45% 07/15/2028
15135BAY7
1670000.00000000
PA
USD
1429657.37000000
0.057555333863
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
0.02450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745088
3620C0XR4
3726.61350000
PA
USD
3622.37000000
0.000145829846
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.00% 4/34 #781481
31349SUE1
4036.70300000
PA
USD
4059.76000000
0.000163438350
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Variable
0.05065000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE 4.284% 04/15/2036 144A
12690CAA1
594000.00000000
PA
USD
576760.58000000
0.023219303056
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
0.04284000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.691% 02/01/2042#AK2344
3138E6TA4
15698.83060000
PA
USD
15884.43000000
0.000639477465
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Variable
0.04304000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#G61047
31335BEU6
46121.99600000
PA
USD
44715.24000000
0.001800151995
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP 4.5% 11/15/2040
3137BE3R3
98745.45060000
PA
USD
94853.26000000
0.003818614978
Long
ABS-CBDO
USGSE
US
N
2
2040-11-15
Fixed
0.04500000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES 2023-2 OWNER TRUST
N/A
HONDA AUTO RECEIVABLES 2023-2 OWNER TRUST 4.93% 11/15/2027
437927AC0
834000.00000000
PA
USD
828266.25000000
0.033344451297
Long
ABS-CBDO
CORP
US
N
2
2027-11-15
Fixed
0.04930000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#SD8276
3132DWFR9
6365383.38800000
PA
USD
6175896.11000000
0.248630035403
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2043#AS0076
3138W9CN8
6421.46290000
PA
USD
5891.90000000
0.000237196882
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/29 #323961
31374TZ28
63.08690000
PA
USD
64.90000000
0.000002612752
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 09/01/2051#MA4414
31418D3Y6
42029.43600000
PA
USD
34899.71000000
0.001404997101
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 07/01/2053#CB6673
3140QSMX6
594768.20100000
PA
USD
591780.80000000
0.023823989042
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% #BM4385 08/48
3140J82T9
103981.64240000
PA
USD
101082.19000000
0.004069380059
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #713740
36297J4Z4
6342.74940000
PA
USD
6165.20000000
0.000248199430
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
VLS COMMERCIAL MORTGAGE TRUST 2020
N/A
VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A
92858TAC0
90000.00000000
PA
USD
69469.46000000
0.002796710629
Long
ABS-MBS
CORP
US
N
2
2042-10-10
Fixed
0.02453000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#CB3005
3140QNKT8
24271.84350000
PA
USD
20948.71000000
0.000843355914
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 01/20/2043#MA0698
36179MX39
170589.75470000
PA
USD
153349.80000000
0.006173576356
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2012-H06 FA TSFR1M+74.448 1/62
38375BPQ9
228092.37720000
PA
USD
227287.94000000
0.009150187691
Long
ABS-CBDO
USGA
US
N
2
2062-01-20
Variable
0.05885260
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21258
3132JNMF1
8911.87670000
PA
USD
8450.12000000
0.000340186038
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
TOWD PT MTG TR 2022
N/A
TOWD PT MTG TR 2022 3.75% 07/25/2062 144A
89170VAA6
697310.72000000
PA
USD
635711.83000000
0.025592570209
Long
ABS-CBDO
CORP
US
N
2
2062-07-25
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 8% 07/01/2024#
31292GL87
3.49950000
PA
USD
3.51000000
0.000000141306
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
0.08000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.412%/VAR 03/31/2031
172967MP3
2221000.00000000
PA
USD
2062230.75000000
0.083021555941
Long
DBT
CORP
US
N
2
2031-03-31
Variable
0.04412000
N
N
N
N
N
N
SYMPHONY CLO XIX LTD / SYMPHONY CLO XIX LLC
N/A
SYMPHONY CLO XIX LTD / SYMPHONY CLO XIX LLC TSFR3M+122.161 04/16/2031 144A
87165YAC7
771744.12000000
PA
USD
766813.45000000
0.030870476417
Long
ABS-CBDO
CORP
KY
N
2
2031-04-16
Variable
0.06529570
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5.5% 09/01/2053 #TBA
21H052694
2200000.00000000
PA
USD
2178343.64000000
0.087696043891
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.05500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 4.7% 04/02/2027
05526DBP9
1252000.00000000
PA
USD
1214249.11000000
0.048883399887
Long
DBT
CORP
US
N
2
2027-04-02
Fixed
0.04700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2053#CB6527
3140QSHD6
1481073.56100000
PA
USD
1473634.42000000
0.059325767708
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.95% 01/28/2031
71654QDE9
3510000.00000000
PA
USD
2535413.40000000
0.102071005110
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
0.05950000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 7/42 #AA8273
36178GFN9
2799.02750000
PA
USD
2588.69000000
0.000104215821
Long
ABS-MBS
USGA
US
N
2
2042-07-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2042#779220
36176XPD5
4176.59250000
PA
USD
3769.35000000
0.000151746986
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
CENOVUS ENERGY INC 3.75% 02/15/2052
15135UAX7
210000.00000000
PA
USD
147378.95000000
0.005933201093
Long
DBT
CORP
CA
N
2
2052-02-15
Fixed
0.03750000
N
N
N
N
N
N
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP
N/A
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+81.548 1 11/15/2036 144A
26863LAA2
6931000.00000000
PA
USD
6783153.45000000
0.273077081023
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06126480
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-94 SA TSFR1M+598.552 07/41
38377WN83
11447.43130000
PA
USD
963.03000000
0.000038769788
Long
ABS-CBDO
USGA
US
N
2
2041-07-20
Variable
0.00671540
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #303450
31373UBT3
37.52910000
PA
USD
38.61000000
0.000001554366
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 07/01/2035#
3128MJCD0
3458.89900000
PA
USD
3440.31000000
0.000138500451
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 1/39 #701582
36296UM72
1963.10100000
PA
USD
1986.77000000
0.000079983647
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 01/01/2053#SD2186
3132DPNB0
446364.16600000
PA
USD
434889.97000000
0.017507857436
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
0.05000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
AMGEN INC 5.25% 03/02/2030
031162DQ0
828000.00000000
PA
USD
829146.32000000
0.033379881271
Long
DBT
CORP
US
N
2
2030-03-02
Fixed
0.05250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.50% 4/42 #C03811
31292LGU3
205382.39520000
PA
USD
189303.25000000
0.007620995060
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2.875% 05/15/2052
912810TG3
20540000.00000000
PA
USD
15944977.29000000
0.641914986507
Long
DBT
UST
US
N
2
2052-05-15
Fixed
0.02875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 12/01/2036#BU1384
3140M2RE4
75274.86790000
PA
USD
66216.50000000
0.002665752539
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2043#BM1167
3140J5JM2
22314.90800000
PA
USD
21132.55000000
0.000850756968
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048
3136BLMF4
203421.98900000
PA
USD
180842.86000000
0.007280395570
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/29 #479545
31382DWE0
17.97160000
PA
USD
18.49000000
0.000000744372
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2996 ZD 5.5% 06/35
31395UZR5
32803.51050000
PA
USD
33124.44000000
0.001333528048
Long
ABS-CBDO
USGSE
US
N
2
2035-06-15
Fixed
0.05500000
N
N
N
N
N
N
TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12
N/A
WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052
95001RAX7
339000.00000000
PA
USD
317719.55000000
0.012790795304
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Fixed
0.04302000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 12/27 #257025
31371NPJ8
411.21410000
PA
USD
414.32000000
0.000016679748
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4% 09/01/2053 #TBA
01F040693
10100000.00000000
PA
USD
9323562.50000000
0.375349201666
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/51#SD7541
3132DVLW3
3243675.45730000
PA
USD
2616578.60000000
0.105338564374
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 4/28 #251615
31371GN89
42.49540000
PA
USD
43.46000000
0.000001749618
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2711 FC SOFR30A+101.448 2/33
31394LYV8
51033.87440000
PA
USD
50952.48000000
0.002051251620
Long
ABS-CBDO
USGSE
US
N
2
2033-02-15
Variable
0.06202990
N
N
N
N
N
N
MADISON PK FDG LII LTD / MADISON PK FDG LII LLC
N/A
MADISON PK FDG LII LTD / MADISON PK FDG LII LLC TSFR3M+136.161 01/22/2035 144A
55822BAC9
1540000.00000000
PA
USD
1519428.68000000
0.061169359032
Long
ABS-CBDO
CORP
KY
N
2
2035-01-22
Variable
0.06707180
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/31 #554171
36213GT43
92.54500000
PA
USD
95.21000000
0.000003832976
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 10/35 #1N0063
3128QGB84
1521.02070000
PA
USD
1564.24000000
0.000062973379
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.07524000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2008-73 FA TSFR1M+97.448 8/38
38375XJZ8
61425.45510000
PA
USD
61329.45000000
0.002469009039
Long
ABS-CBDO
USGA
US
N
2
2038-08-20
Variable
0.06288460
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/26 #349356
31376ABZ0
44.75980000
PA
USD
45.31000000
0.000001824095
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 12/01/2033#C91737
3128P74W0
32508.83290000
PA
USD
30871.14000000
0.001242814402
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 01/01/2037#MA2866
31418CFG4
94397.14920000
PA
USD
86487.78000000
0.003481836387
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2051#
3140QKGV4
583385.52220000
PA
USD
524709.13000000
0.021123808957
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2770 FH SOFR30A+51.448 3/34
31394TZB4
74602.93030000
PA
USD
73423.96000000
0.002955911409
Long
ABS-CBDO
USGSE
US
N
2
2034-03-15
Variable
0.05702990
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/41 #AL1193
3138EHKF8
25410.74860000
PA
USD
24089.84000000
0.000969811937
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 3/42 #Q06886
3132GR6X4
5824.96760000
PA
USD
5529.23000000
0.000222596466
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
LOWES COS INC
WAFCR4OKGSC504WU3E95
LOWES COS INC 3.75% 04/01/2032
548661EH6
459000.00000000
PA
USD
411250.86000000
0.016556191046
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96731
312945PQ5
11201.62310000
PA
USD
10902.77000000
0.000438925144
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2044#AW9502
3138XZRY9
5924.39550000
PA
USD
5588.12000000
0.000224967267
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR NOTE FUT (CBT)DEC23 TYZ3
N/A
-299.00000000
NC
USD
-331623.89000000
-0.01335055804
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2023-12-19
-32866719.86000000
USD
-331623.89000000
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNMA 2017-H06 FA T1Y+35 08/66
38376RV60
667047.41600000
PA
USD
664005.08000000
0.026731603577
Long
ABS-CBDO
USGA
US
N
2
2066-08-20
Variable
0.05700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE8603
31419KRZ0
5523.90060000
PA
USD
5237.52000000
0.000210852766
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 5.15% 11/15/2046
00206RHA3
1000000.00000000
PA
USD
878635.52000000
0.035372223974
Long
DBT
CORP
US
N
2
2046-11-15
Fixed
0.05150000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 12/01/2036#BM3680
3140J8CS0
22691.22730000
PA
USD
21463.75000000
0.000864090461
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049
3137H5UF2
132771.76700000
PA
USD
113523.21000000
0.004570232273
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 7/35 #787578
31405E6P5
683.13040000
PA
USD
699.65000000
0.000028166601
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 06/01/2041#MA4364
31418DZ62
20537.41800000
PA
USD
17099.63000000
0.000688399146
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.02000000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 3.85% 07/15/2029
92936UAF6
246000.00000000
PA
USD
221471.74000000
0.008916038349
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/28 #331338
31375DBF9
49.37130000
PA
USD
50.79000000
0.000002044710
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.07000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030
785592AX4
1622000.00000000
PA
USD
1526388.05000000
0.061449530262
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.04500000
N
N
N
N
N
N
RR 7 LTD
N/A
RR 7 LTD TSFR3M+134 01/15/2037 144A
74980EAQ1
1862000.00000000
PA
USD
1837576.15000000
0.073977381596
Long
ABS-CBDO
CORP
KY
N
2
2037-01-15
Variable
0.06647960
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 11/01/2052#SD1863
3132DPB80
857483.18800000
PA
USD
837048.59000000
0.033698011893
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/40#AE7364
31419JFE3
4709.46380000
PA
USD
4470.49000000
0.000179973572
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
AASET 2021-1 TR
N/A
AASET 2021-1 TR 2.95% 11/16/2041 144A
00038PAA8
1092191.88000000
PA
USD
962242.89000000
0.038738100438
Long
ABS-CBDO
CORP
US
N
2
2041-11-16
Fixed
0.02950000
N
N
N
N
N
N
CEDAR FUNDING LTD 2022
N/A
CEDAR FUNDING LTD 2022 TSFR3M+132 04/20/2035 144A
15032QAA0
1721000.00000000
PA
USD
1698525.46000000
0.068379460685
Long
ABS-CBDO
CORP
US
N
2
2035-04-20
Variable
0.06646140
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.125% 02/01/2028
46590XAZ9
735000.00000000
PA
USD
714334.89000000
0.028757787667
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.05125000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 4.03% 01/25/2024
35137LAG0
216000.00000000
PA
USD
214290.09000000
0.008626918541
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
0.04030000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
EXELON CORP 4.05% 04/15/2030
30161NAX9
7865000.00000000
PA
USD
7267211.71000000
0.292564361925
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04050000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2043#AU2854
3138X2E42
5792.05910000
PA
USD
5485.01000000
0.000220816251
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
PLANET FITNESS MASTER ISSUER LLC 18-1A
N/A
PLANET FITNESS MASTER ISSUER LLC 18-1A 4.008% 12/05/2051 144A
72703PAE3
991450.00000000
PA
USD
817541.74000000
0.032912702568
Long
ABS-CBDO
CORP
US
N
2
2051-12-05
Fixed
0.04008000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 4.017%/VAR 10/31/2038
38148YAA6
1000000.00000000
PA
USD
831539.64000000
0.033476231861
Long
DBT
CORP
US
N
2
2038-10-31
Variable
0.04017000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 01/01/2042#AJ8357
3138E1JB4
26420.07710000
PA
USD
26766.65000000
0.001077575305
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Variable
0.04055000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 06/01/2031#
31292HJ70
77.69180000
PA
USD
78.80000000
0.000003172340
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 10/01/2053 #TBA
01F0206A2
33350000.00000000
PA
USD
26586529.96000000
1.070324009257
Long
ABS-MBS
USGA
US
N
2
2053-10-01
Fixed
0.02000000
N
N
N
N
N
N
BANK 2019-BNK21
N/A
BANK 2019-BN21 A5 2.851% 10/17/2052
06540BBD0
134000.00000000
PA
USD
115385.58000000
0.004645207809
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Fixed
0.02851000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 04/51#MA7311
36179WDQ8
103044.62100000
PA
USD
85277.53000000
0.003433113984
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 08/01/2032#MA3090
31418CNG5
169093.72780000
PA
USD
159237.41000000
0.006410600531
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 03/01/2053#SD7559
3132DVMG7
1499126.44600000
PA
USD
1502840.08000000
0.060501532998
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.25% 04/25/2037
3137H6X26
584956.79800000
PA
USD
532981.92000000
0.021456856021
Long
ABS-CBDO
USGSE
US
N
2
2037-04-25
Fixed
0.02250000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 2.593%/VAR 09/11/2025 144A
225401AM0
2086000.00000000
PA
USD
2011349.42000000
0.080973168686
Long
DBT
CORP
CH
N
2
2025-09-11
Variable
0.02593000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 05/01/2044#AW2449
3138XRWK1
669.95440000
PA
USD
676.14000000
0.000027220132
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Variable
0.05215000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 8/34 #725703
31402DGL8
20016.83090000
PA
USD
20428.63000000
0.000822418465
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3007 EW 5.5 7/25
31395WEK9
4766.60440000
PA
USD
4744.75000000
0.000191014767
Long
ABS-CBDO
USGSE
US
N
2
2025-07-15
Fixed
0.05500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM TSFR1M+41.448 03/01/2061
38375UVP2
451.44160000
PA
USD
449.77000000
0.000018106899
Long
ABS-CBDO
USGA
US
N
2
2065-03-20
Variable
0.04736370
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.5% 10/25/2044
3137H9AA7
627498.56700000
PA
USD
608436.67000000
0.024494523241
Long
ABS-CBDO
USGSE
US
N
2
2044-10-25
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19597
3132JBDB6
12158.67540000
PA
USD
11505.75000000
0.000463199992
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
BENCHMARK 2018-B4 MTG TR
N/A
BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051
08161HAF7
151000.00000000
PA
USD
140518.05000000
0.005656994082
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Fixed
0.04121000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AQ1181
3138MGJ30
6647.02250000
PA
USD
6106.58000000
0.000245839498
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 04/03/2026
00774MAL9
561000.00000000
PA
USD
540439.06000000
0.021757066541
Long
DBT
CORP
IE
N
2
2026-04-03
Fixed
0.04450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AS0205
3138W9GP9
14565.09870000
PA
USD
12975.37000000
0.000522364146
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2044#AS3651
3138WDBV2
75306.15040000
PA
USD
72986.64000000
0.002938305723
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 03/01/2036#CA9437
3140QHPX7
51666.46900000
PA
USD
45432.93000000
0.001829044853
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2033#MA3462
31418CZ49
1685691.54000000
PA
USD
1608170.97000000
0.064741957779
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/32 #569328
36200QPM0
44.16640000
PA
USD
45.47000000
0.000001830537
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 06/01/2036#SB8107
3132D6AG5
1942206.41900000
PA
USD
1707879.80000000
0.068756048932
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4.5% 09/01/2053 #TBA
01F042699
900000.00000000
PA
USD
853453.08000000
0.034358426002
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BC0286
3140EUJ83
136949.24290000
PA
USD
128876.25000000
0.005188316971
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
AUTONATION INC DEL
N/A
AUTONATION INC DEL 4.75% 06/01/2030
05329WAQ5
156000.00000000
PA
USD
145293.62000000
0.005849249605
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
0.04750000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 3.375% 02/15/2030
15135BAV3
815000.00000000
PA
USD
697474.23000000
0.028079009006
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.03375000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC VAR 08/28/2028
28414HAG8
194000.00000000
PA
USD
191332.50000000
0.007702688873
Long
DBT
CORP
US
N
2
2028-08-28
Variable
0.06650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2051#RA6347
3133KNBQ5
417816.02300000
PA
USD
361003.20000000
0.014533314161
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2043#MA1225
36179NLE6
12254.18320000
PA
USD
11670.60000000
0.000469836545
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/29 #494945
31382WZJ4
362.81580000
PA
USD
373.24000000
0.000015025944
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 12/38 #970918
31414NDX9
3069.22750000
PA
USD
3159.87000000
0.000127210460
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
0.06000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD) 3.073/VAR 05/22/2028
780097BP5
951000.00000000
PA
USD
857464.33000000
0.034519911431
Long
DBT
CORP
GB
N
2
2028-05-22
Variable
0.03073000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/44#Q28991
3132M9UQ5
9877.17490000
PA
USD
9337.62000000
0.000375915130
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2046#AS7844
3138WHWE8
176673.55670000
PA
USD
155631.61000000
0.006265437762
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12M+1.75 9/1/41 #1B8787
3128UHEK7
52844.32300000
PA
USD
53604.76000000
0.002158027456
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 03/01/2052#CB3038
3140QNLU4
99734.83950000
PA
USD
79861.02000000
0.003215055414
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2052#BX1265
3140N5MP6
397289.60400000
PA
USD
376827.52000000
0.015170371711
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.04500000
N
N
N
N
N
N
EATON VANCE CLO 2020-2 LTD
N/A
EATON VANCE CLO 2020-2 LTD TSFR3M+141.161 01/15/2035 144A
27829PAL0
1578000.00000000
PA
USD
1565091.96000000
0.063007677346
Long
ABS-CBDO
CORP
KY
N
2
2035-01-15
Variable
0.06719570
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 7/29 #505740
31383KZD2
125.37650000
PA
USD
128.98000000
0.000005192493
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 04/01/2041#
3133KYU98
19699.37200000
PA
USD
16401.86000000
0.000660308230
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.50% 7/30 #781205
36225BKS6
24.99200000
PA
USD
26.18000000
0.000001053957
Long
ABS-MBS
USGA
US
N
2
2030-07-15
Fixed
0.08500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 3/41 #004978
36202FQ74
2717.43690000
PA
USD
2661.97000000
0.000107165937
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5.5% 07/25/2034
31394AEQ5
74412.73310000
PA
USD
73870.95000000
0.002973906391
Long
ABS-CBDO
USGSE
US
N
2
2034-07-25
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/42#G07184
3128M9J52
40511.16820000
PA
USD
38417.00000000
0.001546596623
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 10/32 #G01766
31283H6B6
1436.10880000
PA
USD
1480.68000000
0.000059609409
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 11/01/2041#RB5135
3133KYV48
183846.83500000
PA
USD
152497.90000000
0.006139280454
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 01/01/2033#ZS8682
3132A9UF2
34384.24900000
PA
USD
32326.30000000
0.001301396424
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 01/37#MA4515
31418EAR1
474857.66800000
PA
USD
404942.85000000
0.016302242352
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.01500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.35% 02/12/2048
71654QCL4
3548000.00000000
PA
USD
2120018.70000000
0.085347990809
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
0.06350000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-31 BP 5% 3/20/40
38376XL68
252605.78740000
PA
USD
248253.95000000
0.009994240071
Long
ABS-CBDO
USGA
US
N
2
2040-03-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 01/01/2051#MA4236
31418DV66
1538503.10000000
PA
USD
1162694.95000000
0.046807925754
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/47#Q52377
3132XUUB9
72385.79840000
PA
USD
67933.96000000
0.002734894269
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/23 #765384
31404DJ58
32.86250000
PA
USD
32.74000000
0.000001318051
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
0.06500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 3% 05/25/2048
3136BMAC2
243399.54300000
PA
USD
217011.14000000
0.008736462929
Long
ABS-CBDO
USGSE
US
N
2
2048-05-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 11/34 #A45143
3128K5WC2
1047.48500000
PA
USD
1092.40000000
0.000043977982
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2040#AE9804
31419L3N1
21206.08660000
PA
USD
20108.63000000
0.000809535863
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2321
3140QMSK1
285207.17220000
PA
USD
237984.25000000
0.009580801141
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2218 ZB 6% 3/30
3133TNM84
1731.32350000
PA
USD
1738.98000000
0.000070008084
Long
ABS-CBDO
USGSE
US
N
2
2030-03-15
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 01/20/2064
38375UEJ5
15455.38550000
PA
USD
15396.40000000
0.000619830290
Long
ABS-CBDO
USGA
US
N
2
2064-01-20
Variable
0.05817710
N
N
N
N
N
N
Fidelity Central Investment Portfolios LLC
S2V1M15I679NQK6BNY65
Fidelity Specialized High Income Central Fund
31606V807
1719048.56000000
NS
USD
144090650.30000000
5.800820293496
Long
EC
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 09/01/2052#BW7430
3140N0HG3
33350.91200000
PA
USD
32941.75000000
0.001326173290
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2045#AZ8288
3140E1F65
17171.87390000
PA
USD
15191.09000000
0.000611564893
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 5.282% 04/02/2050
05526DBQ7
1500000.00000000
PA
USD
1201789.71000000
0.048381807728
Long
DBT
CORP
US
N
2
2050-04-02
Fixed
0.05282000
N
N
N
N
N
N
LUCALI CLO LTD
254900HNACXWYNIC3S88
LUCALI CLO LTD 2020-1A A TSFR3M+147.161 01/15/2033 144A
54929JAC7
820000.00000000
PA
USD
818883.98000000
0.032966738642
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.06779570
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 09/01/2053 #TBA
01F030694
8650000.00000000
PA
USD
7452177.41000000
0.300010735329
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049
3137H5VK0
337365.29200000
PA
USD
291622.84000000
0.011740190531
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 9/39 #710869
36297FW65
6168.83100000
PA
USD
6249.08000000
0.000251576282
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05500000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INTL/EMC CORP 6.2% 07/15/2030
24703TAH9
418000.00000000
PA
USD
430166.28000000
0.017317690505
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
0.06200000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 3.25% 01/15/2028
615369AM7
10000.00000000
PA
USD
9325.30000000
0.000375419150
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 06/01/2040#QK0306
3133D3KT1
53357.72700000
PA
USD
46223.85000000
0.001860885814
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040
3137FXBN7
138432.13400000
PA
USD
124652.47000000
0.005018275482
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2050#MA4211
31418DVD1
837676.48100000
PA
USD
727175.90000000
0.029274742732
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
0.03000000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.3% 01/30/2032
00774MAX3
2872000.00000000
PA
USD
2333891.40000000
0.093958106009
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
0.03300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 11/36 #995606
31416CAF3
2281.61570000
PA
USD
2298.07000000
0.000092516003
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.04911000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050
3137H5MS3
177297.16700000
PA
USD
152094.53000000
0.006123041531
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2048#FM8096
3140XB7J3
319652.99700000
PA
USD
285292.67000000
0.011485349717
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG2012-9 SH SOFR30A+643.552 06/25/2041
3136A3M81
2900.50810000
PA
USD
18.37000000
0.000000739541
Long
ABS-CBDO
USGSE
US
N
2
2041-06-25
Variable
0.01147940
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 08/01/2031#V61273
3132KFMW9
61226.57600000
PA
USD
56971.19000000
0.002293553637
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
MOLSON COORS BEVERAGE CO
54930073LBBH6ZCBE225
MOLSON COORS BEVERAGE CO 5% 05/01/2042
60871RAD2
2945000.00000000
PA
USD
2662699.52000000
0.107195306419
Long
DBT
CORP
US
N
2
2042-05-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#CB1337
3140QLPX8
309210.60200000
PA
USD
257741.23000000
0.010376180233
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 5.2% 05/12/2026
06738EAP0
1318000.00000000
PA
USD
1278912.77000000
0.051486637990
Long
DBT
CORP
GB
N
2
2026-05-12
Fixed
0.05200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 5/42 #Q08167
3132GTMQ7
8934.17650000
PA
USD
8487.83000000
0.000341704173
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 8/40 #G05969
3128M76E1
4633.20640000
PA
USD
4629.27000000
0.000186365758
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.05000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 6.537%/VAR 08/12/2033 144A
225401AZ1
5000000.00000000
PA
USD
5192834.35000000
0.209053806166
Long
DBT
CORP
CH
N
2
2033-08-12
Variable
0.06537000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 11/01/2052#FS3248
3140XJTE3
423946.53100000
PA
USD
413843.50000000
0.016660565887
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.753% 10/33 #746320
31403EDZ7
993.37770000
PA
USD
1011.65000000
0.000040727138
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.04404000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4% 01/01/2036#G30933
3132J4HK8
104346.11760000
PA
USD
100541.26000000
0.004047603228
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.04000000
N
N
N
N
N
N
PRUDENTIAL FINL INC
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FINL INC 5.375% 05/15/2045
744320AV4
1045000.00000000
PA
USD
1021731.09000000
0.041132984194
Long
DBT
CORP
US
N
2
2045-05-15
Variable
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2047#FM9305
3140XDKT2
69204.20100000
PA
USD
61351.21000000
0.002469885056
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
0.03000000
N
N
N
N
N
N
DRYDEN SENIOR LOAN FUND
N/A
DRYDEN SENIOR LOAN FUND TSFR3M+113 02/20/2035 144A
262484AC2
1503000.00000000
PA
USD
1485747.06000000
0.059813399958
Long
ABS-CBDO
CORP
KY
N
2
2035-02-20
Variable
0.06771370
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2095 PE 6% 11/28
3133TGWC9
3076.48380000
PA
USD
3112.13000000
0.000125288537
Long
ABS-CBDO
USGSE
US
N
2
2028-11-15
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2043#MA0852
36179M5M8
16899.55100000
PA
USD
15665.63000000
0.000630668986
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
SAUDI ARABIA KINGDOM OF
54930044PULMORCKB765
SAUDI ARABIA KINGDOM OF 4.5% 04/22/2060 144A
80413TAU3
390000.00000000
PA
USD
321055.80000000
0.012925106494
Long
DBT
NUSS
SA
N
2
2060-04-22
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 5.0% 05/15/2039#783724
3622A2D58
4886.05060000
PA
USD
4852.76000000
0.000195363048
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.05000000
N
N
N
N
N
N
Fidelity Hanover Street Trust
13LNM41WRMGAYS9Y7N22
Fidelity Emerging Markets Debt Central Fund
315808600
5528609.52100000
NS
USD
41796287.98000000
1.682640441988
Long
EC
RF
US
N
1
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745083
3620C0XL7
7426.91080000
PA
USD
7219.99000000
0.000290663304
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 10/26 #313182
31374F2P3
7.49100000
PA
USD
7.59000000
0.000000305559
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.89% 3/33 #725130
31402CST0
4704.92240000
PA
USD
4727.63000000
0.000190325548
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Variable
0.04293000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2046#BC2817
3140EXDX8
516911.78170000
PA
USD
455347.23000000
0.018331428492
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2052#FS3425
3140XJYX5
2005712.14800000
PA
USD
1901782.76000000
0.076562219721
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
200000.00000000
NC
USD
48105.78000000
0.001936648799
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
60609.33000000
USD
0.00000000
USD
200000.00000000
USD
-12503.55000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 12/01/2035#MA4205
31418DU75
270191.95200000
PA
USD
231086.21000000
0.009303098943
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8985
3617M76W3
12106.45200000
PA
USD
11006.51000000
0.000443101522
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+141.278 21 10/15/2036 144A
05609PAL2
349000.00000000
PA
USD
334335.79000000
0.013459734073
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06722780
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 2.45% 02/15/2031 144A
11135FBH3
3421000.00000000
PA
USD
2757987.93000000
0.111031439723
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.02450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 9/41 #Q03295
3132GJKG3
2517.23310000
PA
USD
2389.37000000
0.000096191570
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 02/52#RA6820
3133KNSH7
1620802.75880000
PA
USD
1297830.90000000
0.052248246548
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3% 02/01/2037#C91917
3128P8DW8
33140.76580000
PA
USD
30403.87000000
0.001224002985
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/47#BE3749
3140FPEX3
97939.69590000
PA
USD
94616.98000000
0.003809102787
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LXP INDUSTRIAL TRUST 2.7% 09/15/2030
529043AE1
387000.00000000
PA
USD
306664.42000000
0.012345736431
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
0.02700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2048#Q58998
3132Y27L4
12228.28550000
PA
USD
11793.69000000
0.000474791918
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.2% 09/15/2023
29278NAC7
145000.00000000
PA
USD
144928.40000000
0.005834546530
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.04200000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 5.5% 02/15/2049
55336VAT7
525000.00000000
PA
USD
467784.14000000
0.018832115245
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 09/01/2053 #TBA
01F020695
66575000.00000000
PA
USD
52997994.09000000
2.133600195375
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.02000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 4.5% 01/30/2026
254709AP3
803000.00000000
PA
USD
771370.24000000
0.031053924266
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/34 #725228
31402CVV1
4338.41660000
PA
USD
4418.48000000
0.000177879747
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2047#AX5815
36196HN89
4528.34130000
PA
USD
4264.51000000
0.000171681202
Long
ABS-MBS
USGA
US
N
2
2047-01-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 11/01/2036#SB8128
3132D6A59
66782.83500000
PA
USD
58621.16000000
0.002359978345
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2045#AL7147
3138EP5H3
17021.08160000
PA
USD
16512.77000000
0.000664773259
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2046#784232
3622A2VZ2
62557.98100000
PA
USD
59069.62000000
0.002378032507
Long
ABS-MBS
USGA
US
N
2
2046-04-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#
31418DMJ8
436745.95270000
PA
USD
379542.85000000
0.015279685822
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5.5% 06/25/2035
31394EFK9
10440.96910000
PA
USD
10380.10000000
0.000417883426
Long
ABS-CBDO
USGSE
US
N
2
2035-06-25
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2052#FS0631
3140XFVZ1
547519.14560000
PA
USD
474310.31000000
0.019094846653
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/51#QC1514
3133AKVF4
87284.47600000
PA
USD
70328.02000000
0.002831274650
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 5.088%/VAR 06/20/2030
06738EBK0
1421000.00000000
PA
USD
1301935.13000000
0.052413475178
Long
DBT
CORP
GB
N
2
2030-06-20
Variable
0.05088000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 08/31/2028
91282CHX2
25000000.00000000
PA
USD
25154297.00000000
1.012664986953
Long
DBT
UST
US
N
2
2028-08-31
Fixed
0.04375000
N
N
N
N
N
N
BABSON CLO LTD/CAYMAN ISLANDS
N/A
BABSON CLO LTD/CAYMAN ISLANDS 2020-1A AR TSFR3M+141.161 10/15/2036 144A
06762LAM0
860000.00000000
PA
USD
852586.80000000
0.034323551188
Long
ABS-CBDO
CORP
KY
N
2
2036-10-15
Variable
0.06719570
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2043#AU6807
3138X6R56
4910.50920000
PA
USD
4766.93000000
0.000191907692
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04500000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP SOFR 4.985%/VAR 07/24/2026
14040HCU7
1448000.00000000
PA
USD
1415320.49000000
0.056978157868
Long
DBT
CORP
US
N
2
2026-07-24
Variable
0.04985000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 03/01/2037#RC2527
3133L8YY5
586872.02900000
PA
USD
528611.66000000
0.021280917521
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#MA4399
31418D3H3
96450.06200000
PA
USD
80088.60000000
0.003224217360
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 08/01/2041#CB1342
3140QLP42
629323.60000000
PA
USD
542233.65000000
0.021829313381
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #434034
36207KEF3
141.03000000
PA
USD
142.96000000
0.000005755302
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.01% 07/25/2025
3137BLMZ8
157000.00000000
PA
USD
150658.44000000
0.006065227232
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Fixed
0.03010000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AL3181
3138EKRB3
85932.92610000
PA
USD
76732.64000000
0.003089112682
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 2.836% 01/15/2050 144A
78403DAN0
1211000.00000000
PA
USD
1155344.86000000
0.046512024867
Long
ABS-CBDO
CORP
US
N
2
2050-01-15
Fixed
0.02836000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2051#CB1157
3140QLJB3
712961.78600000
PA
USD
644594.74000000
0.025950179564
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.349% 12/34 #843013
31407WSA2
373.72680000
PA
USD
373.46000000
0.000015034801
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Variable
0.04461000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6308
3133KNAH6
79666.12480000
PA
USD
64065.18000000
0.002579144416
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE8186
31419KCY9
8050.44530000
PA
USD
7644.49000000
0.000307752880
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031
681936BM1
701000.00000000
PA
USD
566204.30000000
0.022794326952
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.37% 6/36 #916726
31411WPK7
986.99550000
PA
USD
1005.49000000
0.000040479148
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.04395000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRST
N/A
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRST 5.47% 11/17/2025
981944AB7
980000.00000000
PA
USD
976619.29000000
0.039316867434
Long
ABS-CBDO
CORP
US
N
2
2025-11-17
Fixed
0.05470000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#BC1216
3140EVK63
138393.88090000
PA
USD
126193.46000000
0.005080312859
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.5% 03/01/2039#FM1774
3140X46L5
26975.10770000
PA
USD
26354.99000000
0.001061002643
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#BT9493
3140LYRP0
160781.48000000
PA
USD
129295.79000000
0.005205206867
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2047#Q47935
3132WMY99
44686.19370000
PA
USD
43239.44000000
0.001740739045
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.5% 04/25/2051
3137H22J2
156917.88300000
PA
USD
125613.57000000
0.005056967571
Long
ABS-CBDO
USGSE
US
N
2
2051-04-25
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 5/46#Q40310
3132WDKY9
27889.18430000
PA
USD
24652.22000000
0.000992452305
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP REC 3.07 04/21/2028
N/A
4700000.00000000
NC
USD
155341.72000000
0.006253767332
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 04/25/33 SOFRV3.07%
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-04-25
0.00000000
USD
0.00000000
USD
4700000.00000000
USD
1.00000000
3.07000000
USD
2028-04-21
XXXX
-39473.28000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/01/2045#G07949
3128MAEW5
85260.48190000
PA
USD
80682.92000000
0.003248143572
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 05/01/2031#BC0919
3140EVAV9
26287.18870000
PA
USD
24464.87000000
0.000984909944
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
0.02500000
N
N
N
N
N
N
BA CR CARD TR
N/A
BA CR CARD TR 4.79% 05/15/2028
05522RDG0
1700000.00000000
PA
USD
1685600.15000000
0.067859111861
Long
ABS-CBDO
CORP
US
N
2
2028-05-15
Fixed
0.04790000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT CAPITAL CORP 4.906% 04/02/2030
05526DBN4
1500000.00000000
PA
USD
1412616.41000000
0.056869296661
Long
DBT
CORP
US
N
2
2030-04-02
Fixed
0.04906000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 04/25/2050
3137H6K38
233099.72800000
PA
USD
206686.01000000
0.008320792492
Long
ABS-CBDO
USGSE
US
N
2
2050-04-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 4/34 #A19922
31296VAX7
625.77750000
PA
USD
621.58000000
0.000025023649
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.05000000
N
N
N
N
N
N
PRIMA CAPITAL LTD 2021
N/A
PRIMA CAPITAL LTD 2021-9A A TSFR1M+156.448 12/15/2037 144A
74167CAA5
88682.36000000
PA
USD
88406.38000000
0.003559075638
Long
ABS-MBS
CORP
US
N
3
2037-12-15
Variable
0.06819050
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2051#MA4347
31418DZM7
250470.54220000
PA
USD
225043.62000000
0.009059835562
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 03/01/2036#QN5744
3133GCLZ3
29800.49700000
PA
USD
26288.89000000
0.001058341580
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2046#AS7241
3138WHBK7
250053.27430000
PA
USD
228009.28000000
0.009179227491
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-60 FV SOFR30A+111.448 4/32
31392EVD9
1033.45970000
PA
USD
1035.26000000
0.000041677632
Long
ABS-CBDO
USGSE
US
N
2
2032-04-25
Variable
0.06402060
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 01/20/2051#MA7135
36179V4U1
2276132.39900000
PA
USD
1884034.45000000
0.075847705929
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 03/01/2053#SD2518
3132DPYP7
1371011.24700000
PA
USD
1398281.21000000
0.056292188300
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 06/01/2036#BP3507
3140KA3R5
233792.47200000
PA
USD
205585.48000000
0.008276487210
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/41 #AJ8098
3138E07L7
9373.62270000
PA
USD
8882.91000000
0.000357609355
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 6.25% 04/15/2049
29279FAA7
241000.00000000
PA
USD
230710.64000000
0.009287979196
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
0.06250000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-117 JN 4.5% 1/36
31394VDE7
18321.98650000
PA
USD
17937.62000000
0.000722135058
Long
ABS-CBDO
USGSE
US
N
2
2036-01-25
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7755
31417ETM3
17218.71270000
PA
USD
15364.78000000
0.000618557327
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 05/01/2035#SB0836
3132CW4V3
653607.83900000
PA
USD
606522.52000000
0.024417463139
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2050#BK2255
3140HFQH5
271021.27230000
PA
USD
236625.10000000
0.009526084302
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.493%/VAR 03/24/2031
46647PBJ4
3000000.00000000
PA
USD
2843721.42000000
0.114482909806
Long
DBT
CORP
US
N
2
2031-03-24
Variable
0.04493000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-SOAR
N/A
BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A
05609WAA1
1462294.83000000
PA
USD
1455416.34000000
0.058592341855
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.06801480
N
N
N
N
N
N
BLACKSTONE PRIVATE CREDIT FUND
549300ORP3TTCNXSYO43
BLACKSTONE PRIVATE CREDIT FUND 7.05% 09/29/2025
09261HBA4
1775000.00000000
PA
USD
1787281.78000000
0.071952624254
Long
DBT
CORP
US
N
2
2025-09-29
Fixed
0.07050000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 06/01/2031#G18604
3128MMU68
21074.13420000
PA
USD
19609.03000000
0.000789422900
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048
3136BKJA1
126517.51000000
PA
USD
109139.42000000
0.004393749081
Long
ABS-CBDO
USGSE
US
N
2
2048-08-25
Fixed
0.02500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.04% 05/01/2027
097023CU7
171000.00000000
PA
USD
169117.74000000
0.006808364152
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.05040000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/01/2041#
312946BR6
2856.73100000
PA
USD
2780.76000000
0.000111948200
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 TSFR1M+102.701 535 05/15/2036 144A
12653VAA4
5921268.61700000
PA
USD
5914485.21000000
0.238106121114
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.06338010
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.428% 7/36 #555923
31385XSL2
1186.75130000
PA
USD
1197.23000000
0.000048198242
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
0.04546000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#CB1281
3140QLM78
2462878.71400000
PA
USD
2045084.34000000
0.082331273519
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
AASET 2022-1 LTD
N/A
AASET 2022-1 LTD 6% 05/16/2047 144A
00255EAA9
1433693.56000000
PA
USD
1376360.15000000
0.055409687392
Long
ABS-CBDO
CORP
KY
N
2
2047-05-16
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 05/15/2045#AN1263
36185GML6
7679.45840000
PA
USD
7244.04000000
0.000291631512
Long
ABS-MBS
USGA
US
N
2
2045-05-15
Fixed
0.04000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 6.224%/VAR 05/09/2034
06738ECG8
1576000.00000000
PA
USD
1556457.06000000
0.062660052410
Long
DBT
CORP
GB
N
2
2034-05-09
Variable
0.06224000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/32#MA3125
31418CPK4
15822.11480000
PA
USD
14899.86000000
0.000599840517
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2043#AT3989
3138WRNF3
33088.05860000
PA
USD
30350.10000000
0.001221838305
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 09/01/2053 #TBA
21H040699
4000000.00000000
PA
USD
3727555.60000000
0.150064422116
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.04000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW SWAP PAY 3.305 05/22/2028
N/A
2900000.00000000
NC
USD
126250.49000000
0.005082608780
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPSW FSWP IRS 05/24/33 3.305%VSOFR
N/A
N/A
NC
USD
N/A
N/A
DIR
CORP
US
2033-05-24
0.00000000
USD
0.00000000
USD
2900000.00000000
USD
1.00000000
3.30500000
USD
2028-05-22
XXXX
8249.49000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 01/01/2052#FS1648
3140XGZN2
3345979.91400000
PA
USD
2774719.42000000
0.111705018242
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 01/01/2037#SB8137
3132D6BE9
64898.35200000
PA
USD
56966.98000000
0.002293384150
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
0.02000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.375% 07/01/2025
00914AAH5
1294000.00000000
PA
USD
1232836.14000000
0.049631678978
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 9/29 #793986
31405NCX1
465.15970000
PA
USD
468.49000000
0.000018860531
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
0.06000000
N
N
N
N
N
N
ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC
N/A
ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC TSFR3M+150 07/20/2035 144A
01749WAA1
1188000.00000000
PA
USD
1175051.99000000
0.047305397090
Long
ABS-CBDO
CORP
XX
N
2
2035-07-20
Variable
0.06826140
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3949 MK 4.5% 10/34
3137AFZS4
7614.84990000
PA
USD
7470.68000000
0.000300755615
Long
ABS-CBDO
USGSE
US
N
2
2034-10-15
Fixed
0.04500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A
05492PAE8
132000.00000000
PA
USD
107725.87000000
0.004336842199
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03465000
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3.625% 01/15/2032
46590XAU0
353000.00000000
PA
USD
289700.71000000
0.011662809169
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
0.03625000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 3.8% 12/01/2057
00206RMN9
4105000.00000000
PA
USD
2768412.37000000
0.111451108196
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
0.03800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 01/01/2052#RA6620
3133KNK93
847692.20000000
PA
USD
706938.93000000
0.028460040140
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02500000
N
N
N
N
N
N
VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC
N/A
VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC 1A A TSFR3M+240 10/20/2034 144A
92013AAA7
1578000.00000000
PA
USD
1579447.03000000
0.063585585636
Long
ABS-CBDO
CORP
JE
N
2
2034-10-20
Variable
0.07726140
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.8% 01/31/2028
14040HBW4
877000.00000000
PA
USD
804169.40000000
0.032374357150
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
0.03800000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 5.4% 08/22/2025
87166FAD5
1384000.00000000
PA
USD
1337766.61000000
0.053855983598
Long
DBT
CORP
US
N
2
2025-08-22
Fixed
0.05400000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 2YR NOTE (CBT) FUT DEC23 TUZ3
N/A
13.00000000
NC
USD
7693.24000000
0.000309715464
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2023-12-29
2641767.70000000
USD
7693.24000000
N
N
N
PRIMA CAPITAL LTD 2021
N/A
PRIMA CAPITAL LTD 2021 TSFR1M+191.448 12/15/2037 144A
74167CAB3
444000.00000000
PA
USD
432716.58000000
0.017420360817
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Variable
0.07228460
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 09/01/2041#FM8850
3140XCZQ4
249415.93300000
PA
USD
214666.28000000
0.008642063248
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.02500000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 7.125% 03/15/2033
023551AM6
201000.00000000
PA
USD
219043.74000000
0.008818291606
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
0.07125000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040
3137FXC30
104894.46600000
PA
USD
94472.19000000
0.003803273812
Long
ABS-CBDO
USGSE
US
N
2
2040-10-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2046#G60440
31335APZ5
224292.70300000
PA
USD
205413.63000000
0.008269568851
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3.75% 05/22/2025
38148LAE6
525000.00000000
PA
USD
507460.42000000
0.020429408128
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
0.03750000
N
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
OVINTIV INC 8.125% 09/15/2030
012873AH8
1083000.00000000
PA
USD
1202065.51000000
0.048392910921
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
0.08125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2035#AB8198
31417FDC9
5414.31190000
PA
USD
5268.18000000
0.000212087081
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.04500000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 5.15% 03/19/2029
87165BAP8
1958000.00000000
PA
USD
1795815.49000000
0.072296175470
Long
DBT
CORP
US
N
2
2029-03-19
Fixed
0.05150000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 1/41 #004946
36202FP75
40893.85530000
PA
USD
40057.29000000
0.001612631633
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 12/20/2040#004880
36202FM52
4590.60330000
PA
USD
4446.38000000
0.000179002949
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/01/2046#AL9489
3138ERRK8
41518.01450000
PA
USD
37780.06000000
0.001520954609
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 6.0% 01/01/2024#G14293
3128MC7E9
712.51760000
PA
USD
710.83000000
0.000028616687
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.5% 11/15/2031
3137BAMN9
191608.66380000
PA
USD
183222.57000000
0.007376198247
Long
ABS-CBDO
USGSE
US
N
2
2031-11-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/45#BM1415
3140J5SD2
18842.83350000
PA
USD
18320.51000000
0.000737549493
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2042#Q09230
3132GUST2
104052.29240000
PA
USD
98594.60000000
0.003969234334
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/46#BC1776
3140EV6N2
7965.30530000
PA
USD
7495.76000000
0.000301765288
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2047#BE6108
3140FRYE9
4751.09280000
PA
USD
4459.14000000
0.000179516642
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.04000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 4.194/VAR 04/01/2031 144A
225401AP3
2010000.00000000
PA
USD
1809858.65000000
0.072861526847
Long
DBT
CORP
CH
N
2
2031-04-01
Variable
0.04194000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 4% 12/25/2048
3136BNE69
169242.18000000
PA
USD
161667.90000000
0.006508447516
Long
ABS-CBDO
USGSE
US
N
2
2048-12-25
Fixed
0.04000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 5.012% 04/15/2049
92343VDS0
16000.00000000
PA
USD
14349.73000000
0.000577693311
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
0.05012000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A
83368RAZ5
1953000.00000000
PA
USD
1750052.54000000
0.070453844628
Long
DBT
CORP
FR
N
2
2026-12-14
Variable
0.01488000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 11/01/2051#BQ6772
3140KSQ26
264549.79810000
PA
USD
211999.20000000
0.008534691591
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4% 09/01/2039#CA4213
3140QBVF2
52134.50210000
PA
USD
49843.25000000
0.002006596094
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 10/01/2051#CB1784
3140QL6W1
4588279.09600000
PA
USD
3807071.36000000
0.153265578008
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AP9735
3138MDY97
79401.81920000
PA
USD
72981.46000000
0.002938097186
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2048#BM3700
3140J8DE0
85000.09510000
PA
USD
79909.75000000
0.003217017193
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2519 ZD 5.50% 11/32
31393FCL8
2772.58780000
PA
USD
2790.48000000
0.000112339509
Long
ABS-CBDO
USGSE
US
N
2
2032-11-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 10/01/2041#CB1842
3140QMBL7
353663.44500000
PA
USD
304721.16000000
0.012267504415
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#CB2110
3140QMKY9
447800.54300000
PA
USD
373262.31000000
0.015026843019
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2% 01/25/2045
3136BAN59
699997.17400000
PA
USD
613018.82000000
0.024678992036
Long
ABS-CBDO
USGSE
US
N
2
2045-01-25
Fixed
0.02000000
N
N
N
N
N
N
BENCHMARK 2019-B12 MTG TR
N/A
BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A
08162FAK9
7738722.77000000
PA
USD
282013.76000000
0.011353346928
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
0.01161558
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2042#AJ6217
3138AX4B4
6684.50760000
PA
USD
6338.36000000
0.000255170527
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 11/34 #735061
31402QTS0
14604.92290000
PA
USD
14921.12000000
0.000600696405
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.06000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 4.709% 01/25/2029
35137LAH8
312000.00000000
PA
USD
300980.39000000
0.012116908006
Long
DBT
CORP
US
N
2
2029-01-25
Fixed
0.04709000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2042#AL5881
3138ENRB7
43513.34970000
PA
USD
42301.30000000
0.001702971282
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 05/01/2045#Q33138
3132QPPY4
10264.10710000
PA
USD
9684.17000000
0.000389866585
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2048#CA1713
3140Q83X1
15610.62530000
PA
USD
15066.38000000
0.000606544301
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04500000
N
N
N
N
N
N
DB MASTER FIN LLC
549300F17UZJL70BPB08
DNKN 2017-1A A2II 4.03% 11/20/2047 144A
233046AF8
451710.00000000
PA
USD
415813.96000000
0.016739892924
Long
ABS-CBDO
CORP
US
N
2
2047-11-20
Fixed
0.04030000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 11/01/2041#MA4473
31418D6K3
1357277.33650000
PA
USD
1088086.89000000
0.043804344691
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 1/35 #G06928
3128M9A51
15201.63810000
PA
USD
15094.14000000
0.000607661867
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.05000000
N
N
N
N
N
N
CGDB COML MTG TR 2017-BIO
N/A
CGDBB COML MTG TR 2019-MOB B TSFR1M+136.448 11/15/36 144A
125284AC3
200000.00000000
PA
USD
194658.90000000
0.007836603520
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
0.06674960
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 07/01/2036#MA4383
31418D2R2
2115378.93000000
PA
USD
1860159.10000000
0.074886528958
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2045#Q34311
3132QQYH9
211897.14330000
PA
USD
193730.33000000
0.007799221027
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 06/01/2036#BT0154
3140LNE45
46926.89600000
PA
USD
41485.15000000
0.001670114608
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.02000000
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP D TSFR1M+169.268 82 11/15/2038 144A
78472UAG3
398000.00000000
PA
USD
386984.67000000
0.015579279587
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.07003160
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2051#FM9210
3140XDGU4
3116527.02400000
PA
USD
2706389.89000000
0.108954199063
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 8% 07/01/2030#
31297XWP5
47.06590000
PA
USD
49.52000000
0.000001993582
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2046#AL9058
3138ERB41
309725.26230000
PA
USD
282420.75000000
0.011369731585
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2031#AS7695
3138WHRR5
65077.73010000
PA
USD
60480.80000000
0.002434843976
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#BT0330
3140LNLL9
578278.21000000
PA
USD
481084.62000000
0.019367567713
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 4.375% 03/19/2024
87165BAN3
1056000.00000000
PA
USD
1043250.90000000
0.041999331527
Long
DBT
CORP
US
N
2
2024-03-19
Fixed
0.04375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 1/45#Q30720
3132QLYS6
5334.42290000
PA
USD
5038.02000000
0.000202821269
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2042#AL6997
3138EPX33
202446.46750000
PA
USD
196824.18000000
0.007923773646
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04500000
N
N
N
N
N
N
ENTERGY CORP NEW
4XM3TW50JULSLG8BNC79
ENTERGY CORP NEW 2.8% 06/15/2030
29364GAL7
580000.00000000
PA
USD
489066.19000000
0.019688890805
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
0.02800000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783295
36241LUU8
31177.34820000
PA
USD
30291.48000000
0.001219478373
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 09/01/2053 #TBA
21H030690
-4800000.00000000
PA
USD
-4220609.76000000
-0.16991386114
Short
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#FM9501
3140XDRX6
1261975.57730000
PA
USD
1054602.58000000
0.042456328949
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 4/35 #A32122
31297MLB2
1267.64270000
PA
USD
1261.90000000
0.000050801735
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.05000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 6% 07/19/2028 144A
25714PDZ8
550000.00000000
PA
USD
530733.50000000
0.021366338834
Long
DBT
NUSS
DO
N
2
2028-07-19
Fixed
0.06000000
N
N
N
N
N
N
COCA COLA CO
UWJKFUJFZ02DKWI3RY53
COCA COLA CO 3.375% 03/25/2027
191216CR9
1279000.00000000
PA
USD
1225369.05000000
0.049331067889
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 06/01/2053#CB6538
3140QSHQ7
792780.15600000
PA
USD
805080.46000000
0.032411034723
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2033#MA3246
31418CTC8
10075.48170000
PA
USD
9276.77000000
0.000373465423
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 8.5% 08/01/2027#
31283G3U9
99.53100000
PA
USD
101.98000000
0.000004105524
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.08500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/41 #AH6075
3138A7XD5
1518.30650000
PA
USD
1439.59000000
0.000057955202
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 7.00% 4/32 #781432
36225BSV1
2729.16060000
PA
USD
2812.38000000
0.000113221162
Long
ABS-MBS
USGA
US
N
2
2032-04-20
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/27 #313835
31374GSY4
51.45280000
PA
USD
52.33000000
0.000002106708
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2047#FM8484
3140XCNA2
231317.23200000
PA
USD
206067.36000000
0.008295886799
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2052#CB3128
3140QNPN6
793486.77300000
PA
USD
713368.65000000
0.028718888651
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 4.927/VAR 05/10/2028
14040HCS2
2786000.00000000
PA
USD
2680036.30000000
0.107893252782
Long
DBT
CORP
US
N
2
2028-05-10
Variable
0.04927000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 11/01/2052#CB5049
3140QQTF2
475500.04800000
PA
USD
477528.25000000
0.019224394903
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2044#AX6510
3138Y8GU8
8982.55540000
PA
USD
8703.08000000
0.000350369735
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.04500000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CREDIT SUISSE MORTGAGE TRUST 2017-RPL3 4.5349% 04/15/2036 144A
12690CAE3
107000.00000000
PA
USD
103147.61000000
0.004152530008
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
0.04534900
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 07/01/2041#SC0162
3132D9FB5
1366462.79500000
PA
USD
1144987.74000000
0.046095066572
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 7/35 #357843
31376KP42
1336.30830000
PA
USD
1369.80000000
0.000055145588
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 03/01/2037#AS9292
3138WKKE4
118968.43680000
PA
USD
109000.29000000
0.004388147967
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 09/01/2033#AL7521
3138EQLB6
87893.86710000
PA
USD
87158.90000000
0.003508854424
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 6/32 #611797
31388QUW7
555.10590000
PA
USD
580.24000000
0.000023359378
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 09/01/2053 #TBA
01F022691
10350000.00000000
PA
USD
8577967.19000000
0.345332927910
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.02500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019-BPR CNM CSTR 11/05/2032 144A
05492PAG3
100000.00000000
PA
USD
75610.51000000
0.003043937825
Long
ABS-MBS
CORP
US
N
3
2032-11-05
Variable
0.03842502
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 02/29/2028
91282CGP0
600000.00000000
PA
USD
592617.19000000
0.023857660541
Long
DBT
UST
US
N
2
2028-02-29
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 351 13 6% 3/34
3136FCJC1
1363.28850000
PA
USD
247.82000000
0.000009976770
Long
ABS-CBDO
USGSE
US
N
2
2034-03-25
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 5/40 #AL2129
3138EJLK2
10235.83560000
PA
USD
10537.41000000
0.000424216433
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 4.50% 7/25 #G13844
3128MCP58
2822.33070000
PA
USD
2790.32000000
0.000112333068
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 2006-45 OP 0 6/36
31395NEN3
2865.79010000
PA
USD
2248.09000000
0.000090503901
Long
ABS-CBDO
USGSE
US
N
2
2036-06-25
Fixed
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 09/01/2052#FS2960
3140XJJE4
923730.11500000
PA
USD
917647.08000000
0.036942756472
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2040#FM4644
3140X8ES2
94676.16700000
PA
USD
79331.14000000
0.003193723436
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#Q49499
3132WPRV1
20235.53900000
PA
USD
19580.40000000
0.000788270310
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 1997-41 J 7.5% 6/27
31359PQC3
458.67020000
PA
USD
461.82000000
0.000018592010
Long
ABS-CBDO
USGSE
US
N
2
2027-06-18
Fixed
0.07500000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 4.5% 01/30/2030 144A
25714PED6
1200000.00000000
PA
USD
1043508.00000000
0.042009681892
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745232
3620C04R6
6152.53180000
PA
USD
5981.40000000
0.000240799985
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/32 #646736
31390HPV1
112.76980000
PA
USD
117.85000000
0.000004744420
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
0.07000000
N
N
N
N
N
N
CSMC 2020-NET
N/A
CSMC 2020-NET 2.2569% 08/15/2037 144A
126438AA8
400894.00000000
PA
USD
361249.35000000
0.014543223700
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Fixed
0.02256900
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/39 #723339
3620A9S44
1777.06080000
PA
USD
1765.65000000
0.000071081769
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.8% 06/15/2038
29278NAD5
275000.00000000
PA
USD
260673.38000000
0.010494223112
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
0.05800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 09/01/2041#FM8862
3140XCZ43
392244.75400000
PA
USD
325360.51000000
0.013098406074
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-L2
N/A
MORGAN STANLEY CAP I TR 2019-L2 A3 3.806% 03/15/2052
61768HAV8
400000.00000000
PA
USD
367481.80000000
0.014794130490
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
0.03806000
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI PROPERTIES LP 4.75% 02/15/2028
925650AB9
1390000.00000000
PA
USD
1321802.71000000
0.053213306819
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.04750000
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.5% 01/15/2030
46590XAL0
342000.00000000
PA
USD
331139.62000000
0.013331062242
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 1/36 #G03506
3128M5GP9
16709.81080000
PA
USD
17173.76000000
0.000691383481
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 07/20/2043#635118
36291QSF2
14363.22760000
PA
USD
13215.04000000
0.000532012813
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 09/01/2046#G61420
31335BSH0
538490.82430000
PA
USD
492323.80000000
0.019820036095
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 03/01/2051#SD8133
3132DWBA0
1227308.82400000
PA
USD
926365.09000000
0.037293727261
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.01500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032
38141GYJ7
1922000.00000000
PA
USD
1519244.53000000
0.061161945497
Long
DBT
CORP
US
N
2
2032-07-21
Variable
0.02383000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2048#MA3240
31418CS62
24834.18120000
PA
USD
23976.13000000
0.000965234185
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4% 05/01/2038#C91994
3128P8GB1
137351.46080000
PA
USD
131699.27000000
0.005301966480
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 01/01/2027#
31283GW60
15.71090000
PA
USD
15.91000000
0.000000640506
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07500000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
84956606.25100000
NS
USD
84973597.57000000
3.420878233037
Long
STIV
RF
US
N
1
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2274 ZM 6.5% 1/31
3133TR4H5
929.02790000
PA
USD
930.63000000
0.000037465424
Long
ABS-CBDO
USGSE
US
N
2
2031-01-15
Fixed
0.06500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 5.625% 09/01/2028
404121AJ4
1054000.00000000
PA
USD
1051729.94000000
0.042340681831
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
0.05625000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.452%/VAR 12/05/2029
46647PAX4
5500000.00000000
PA
USD
5242944.47000000
0.211071145948
Long
DBT
CORP
US
N
2
2029-12-05
Variable
0.04452000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 1/32 #C62372
31287MT59
2121.45900000
PA
USD
2185.86000000
0.000087998638
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2001-20 Z 6% 5/31
31359SXB1
2915.66900000
PA
USD
2929.61000000
0.000117940623
Long
ABS-CBDO
USGSE
US
N
2
2031-05-25
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AL1521
3138EHVP4
26135.37080000
PA
USD
24755.56000000
0.000996612580
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 07/20/2051#MA7472
36179WJR0
1621226.91690000
PA
USD
1381740.90000000
0.055626306331
Long
ABS-MBS
USGA
US
N
2
2051-07-20
Fixed
0.02500000
N
N
N
N
N
N
LIFE FINANCIAL SERVICES TRUST 2022
N/A
LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+254.191 05/15/2039 144A
53218DAJ7
812000.00000000
PA
USD
774583.93000000
0.031183301420
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Variable
0.07852390
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A
05609PAA6
1794000.00000000
PA
USD
1752350.68000000
0.070546363450
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06113580
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 3.5% 02/01/2025
92277GAE7
1265000.00000000
PA
USD
1216722.02000000
0.048982954622
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.03500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FNR 2010-15 FJ SOFR30A+104.448 6/36
31398MRG3
195276.72540000
PA
USD
195292.50000000
0.007862111072
Long
ABS-CBDO
USGSE
US
N
2
2036-06-25
Variable
0.06332060
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3% 05/15/2032
46590XAP1
1955000.00000000
PA
USD
1543850.79000000
0.062152547539
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #737559
3620ARMG3
10842.59520000
PA
USD
10309.99000000
0.000415060929
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/40 #004833
36202FLN4
10037.64310000
PA
USD
9585.93000000
0.000385911626
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 05/01/2051#CB0511
3140QKR91
381344.51800000
PA
USD
317607.89000000
0.012786300081
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA SOFR30A+660.552 06/25/2035
31394D4V9
12850.33040000
PA
USD
879.73000000
0.000035416285
Long
ABS-CBDO
USGSE
US
N
2
2035-06-25
Variable
0.01317940
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.501% 04/01/2044#AV5913
3138XHSB8
750.82450000
PA
USD
755.86000000
0.000030429510
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Variable
0.04080000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 10/42 #AP7882
3138MBXL5
27090.15510000
PA
USD
24895.07000000
0.001002228992
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2520 BE 6% 11/32
31392XV96
4677.95710000
PA
USD
4759.62000000
0.000191613406
Long
ABS-CBDO
USGSE
US
N
2
2032-11-15
Fixed
0.06000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2009-118 XZ 5% 12/39
38376PLJ7
936203.33170000
PA
USD
929528.86000000
0.037421094729
Long
ABS-CBDO
USGA
US
N
2
2039-12-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/32 #735415
31402RAQ2
6130.59960000
PA
USD
6302.14000000
0.000253712378
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.06500000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 1.45% 10/02/2023
02005NBL3
462000.00000000
PA
USD
459669.39000000
0.018505430576
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
0.01450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3168
3133B0QV8
127967.06140000
PA
USD
102907.39000000
0.004142859200
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 7.00% 3/32 #003216
36202DSD4
380.54110000
PA
USD
392.93000000
0.000015818627
Long
ABS-MBS
USGA
US
N
2
2032-03-20
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4% 06/01/2038#K94286
3132LQUK1
5535.67660000
PA
USD
5307.88000000
0.000213685329
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H16 BA 3.55% 07/60
38375BDK5
63570.34590000
PA
USD
61524.65000000
0.002476867427
Long
ABS-CBDO
USGA
US
N
2
2060-07-20
Fixed
0.03550000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035
31394E3H9
209922.15120000
PA
USD
209955.28000000
0.008452407192
Long
ABS-CBDO
USGSE
US
N
2
2035-08-25
Fixed
0.05500000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 5.013%/VAR 04/04/2051
95000U2M4
2880000.00000000
PA
USD
2600569.56000000
0.104694070343
Long
DBT
CORP
US
N
2
2051-04-04
Variable
0.05013000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/39 #AB0043
31416VBM5
36404.53210000
PA
USD
35426.99000000
0.001426224408
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 01/01/2036#SB8083
3132D56U1
494881.72700000
PA
USD
423255.91000000
0.017039491923
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 10/39#004553
36202FBW5
1500.80230000
PA
USD
1453.78000000
0.000058526465
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2011-136 WI 4.5% 5/40
38377YTR1
16099.13290000
PA
USD
1055.61000000
0.000042496885
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE D CSTR 04/15/2036 144A
12690CAJ2
245000.00000000
PA
USD
233712.16000000
0.009408814782
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04941442
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.75% 04/01/2048
161175BN3
861000.00000000
PA
USD
725378.35000000
0.029202376728
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2047#FM4941
3140X8P35
247280.56900000
PA
USD
220379.88000000
0.008872082106
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 12/01/2042#Q15249
3132J6H31
8518.70040000
PA
USD
7629.53000000
0.000307150619
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2039#G05645
3128M7TA4
1456.75900000
PA
USD
1417.99000000
0.000057085627
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 01/01/2041#SC0119
3132D9DY7
575426.48200000
PA
USD
497053.91000000
0.020010461484
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 08/25/2046
3136BL5X4
242492.59000000
PA
USD
221295.71000000
0.008908951710
Long
ABS-CBDO
USGSE
US
N
2
2046-08-25
Fixed
0.03000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
EXELON CORP 3.35% 03/15/2032
30161NBE0
389000.00000000
PA
USD
334228.45000000
0.013455412765
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
0.03350000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE C CSTR 04/15/2036 144A
12690CAG8
123000.00000000
PA
USD
118337.12000000
0.004764031293
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04941442
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2049#BM5577
3140JAFT0
141027.94900000
PA
USD
140002.90000000
0.005636255105
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.60% 2/35 #779905
31404VNW4
1877.07280000
PA
USD
1890.97000000
0.000076126918
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Variable
0.04295000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A
61771LAE2
246000.00000000
PA
USD
216869.17000000
0.008730747482
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03283000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.45% 09/29/2027
172967KA8
4372000.00000000
PA
USD
4179028.36000000
0.168239871687
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
0.04450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #677235
36295QLQ1
2932.28200000
PA
USD
2850.58000000
0.000114759023
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2042#Q11138
3132HMHP9
7197.14290000
PA
USD
6845.08000000
0.000275570128
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.5% 02/43 #Q15869
3132J66F6
23176.99290000
PA
USD
21350.41000000
0.000859527605
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 2.45% 09/13/2029
828807DF1
333000.00000000
PA
USD
281846.80000000
0.011346625431
Long
DBT
CORP
US
N
2
2029-09-13
Fixed
0.02450000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 4% 03/01/2028
92277GAM9
218000.00000000
PA
USD
202512.93000000
0.008152792090
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.875% 09/16/2046
02209SAV5
1521000.00000000
PA
USD
1047353.18000000
0.042164481653
Long
DBT
CORP
US
N
2
2046-09-16
Fixed
0.03875000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
460000.00000000
NC
USD
110643.29000000
0.004454292076
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
137340.58000000
USD
0.00000000
USD
460000.00000000
USD
-26697.29000000
N
N
N
LOWES COS INC
WAFCR4OKGSC504WU3E95
LOWES COS INC 3.35% 04/01/2027
548661EG8
149000.00000000
PA
USD
140221.38000000
0.005645050702
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.03350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 04/01/2053#FS4829
3140XLLK2
525788.86800000
PA
USD
519173.97000000
0.020900973760
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 12/01/2042#Q13899
3132HQKL5
3752.29120000
PA
USD
3565.42000000
0.000143537145
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A
78472UAA6
1701000.00000000
PA
USD
1666849.87000000
0.067104260630
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06155760
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55720
3132XYLA3
5929.23630000
PA
USD
5568.28000000
0.000224168546
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
CIGNA GROUP (THE)
549300VIWYMSIGT1U456
CIGNA GROUP (THE) 3.05% 10/15/2027
125523AZ3
500000.00000000
PA
USD
460855.80000000
0.018553193225
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.03050000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#BU6530
3140M8HG7
259324.50300000
PA
USD
215105.37000000
0.008659740190
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3297 BI SOFR30A+664.552 4/37
31397GRY8
28798.93490000
PA
USD
3081.99000000
0.000124075157
Long
ABS-CBDO
USGSE
US
N
2
2037-04-15
Variable
0.01457010
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/26 #256507
31371M3Q8
175.37490000
PA
USD
176.33000000
0.000007098716
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
0.07000000
N
N
N
N
N
N
NEW JERSEY ECO DEV AUTH ST PEN
N/A
NEW JERSEY ECO DEV AUTH ST PENSER A MBIA
645913AA2
1550000.00000000
PA
USD
1659568.57000000
0.066811129100
Long
DBT
MUN
US
N
2
2029-02-15
Fixed
0.07425000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2041#FM9558
3140XDTQ9
295814.40400000
PA
USD
254600.33000000
0.010249733469
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/41 #005280
36202F2M7
9221.20550000
PA
USD
8796.04000000
0.000354112131
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
0.04000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE LLC 7.3% 07/01/2038
88732JAN8
2420000.00000000
PA
USD
2451577.66000000
0.098695934896
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
0.07300000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032
06051GKA6
1880000.00000000
PA
USD
1482667.17000000
0.059689409342
Long
DBT
CORP
US
N
2
2032-07-21
Variable
0.02299000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 12/20/2042#MA0624
36179MVR8
14927.27530000
PA
USD
13418.30000000
0.000540195680
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FGLMC 30YR 3.5% 09/46#Q43176
3132WGQ67
56764.34410000
PA
USD
51791.27000000
0.002085019738
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 12/01/2040#RB5089
3133KYUN7
38081.73800000
PA
USD
30802.65000000
0.001240057122
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5% 11/24/2025
6174467X1
4211000.00000000
PA
USD
4147228.91000000
0.166959685259
Long
DBT
CORP
US
N
2
2025-11-24
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3110 OP PO 0% 9/35
31396HU49
2389.53290000
PA
USD
2207.89000000
0.000088885525
Long
ABS-CBDO
USGSE
US
N
2
2035-09-15
Fixed
0.00000000
N
N
N
N
N
N
COLUMBIA CENT CLO 29 LTD / COLUMBIA CENT CLO 29 CORP
N/A
CENT CLO 20 LTD / CENT CLO 20-29A AR TSFR3M+143.161 10/20/2034 144A
197363AU8
1364000.00000000
PA
USD
1342939.84000000
0.054064248170
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Variable
0.06757750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 06/01/2041#FM7891
3140XBXV7
85126.50500000
PA
USD
71595.30000000
0.002882292975
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 01/01/2043#AQ9316
3138MRK67
57390.94140000
PA
USD
49366.46000000
0.001987401419
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 06/01/2041#
3132GET67
3783.65110000
PA
USD
3681.76000000
0.000148220776
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 02/01/2036#FM6147
3140X9ZM0
15536.69400000
PA
USD
13759.30000000
0.000553923703
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.02000000
N
N
N
N
N
N
SPGN 2022-TFLM MTG TR
N/A
SPGN 2022-TFLM C TSFR1M+265 02/15/2039 144A
78473HAJ5
237000.00000000
PA
USD
221127.00000000
0.008902159761
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.07960480
N
N
N
N
N
N
AASET 2019-2 TR
N/A
AASET 2019-2 TR 3.376% 10/16/2039 144A
00038RAA4
844815.78000000
PA
USD
708699.06000000
0.028530899684
Long
ABS-CBDO
CORP
US
N
2
2039-10-16
Fixed
0.03376000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 02/01/2035#FM2502
3140X5X81
165993.21330000
PA
USD
150707.70000000
0.006067210347
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
ARES XLI CLO LTD / ARES XLI CLO LLC
549300X38KZ67Q2FQG11
ARES XLI CLO LTD / ARES XLI CLO LLC TSFR3M+133.161 04/15/2034 144A
04016DAS4
3233000.00000000
PA
USD
3200647.37000000
0.128852081502
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Variable
0.06639570
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2020-5058 BE 3% 11/25/2050
3137F8AX1
468876.36500000
PA
USD
402304.22000000
0.016196016040
Long
ABS-CBDO
USGSE
US
N
2
2050-11-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 01/01/2041#MA4231
31418DVZ2
61805.74000000
PA
USD
49991.96000000
0.002012582880
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.01500000
N
N
N
N
N
N
ALLEGRO CLO LTD
N/A
ALLEGRO CLO LTD TSFR3M+140.161 07/20/2034 144A
01750WAC3
992000.00000000
PA
USD
980757.66000000
0.039483470476
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Variable
0.06727750
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 12/20/44#MA2446
36179QWF4
5706.18040000
PA
USD
5436.13000000
0.000218848434
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2007-59 FC TSFR1M+61.448 7/37
38375LQB9
43117.75630000
PA
USD
42419.32000000
0.001707722546
Long
ABS-CBDO
USGA
US
N
2
2037-07-20
Variable
0.05928460
N
N
N
N
N
N
BX TRUST 2022-IND
N/A
BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A
05609WAG8
745184.80000000
PA
USD
732805.42000000
0.029501376686
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.07250480
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 11/15/2042#AB9211
36178WGU7
28990.89880000
PA
USD
26803.82000000
0.001079071700
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 7/40 #004746
36202FHX7
4711.20330000
PA
USD
4613.72000000
0.000185739744
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/27 #190289
31368HKA0
13.38930000
PA
USD
13.77000000
0.000000554354
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 12/01/2040#MA4202
31418DU42
59381.50400000
PA
USD
48031.10000000
0.001933642321
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2034#CA4890
3140QCNG7
20358.98590000
PA
USD
18968.69000000
0.000763644009
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 12/01/2032#MA3217
31418CSF2
5536.99960000
PA
USD
5098.07000000
0.000205238770
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/33 #C01614
31292HYK4
694.24140000
PA
USD
676.60000000
0.000027238651
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2043#MA0934
36179NBB3
18333.66880000
PA
USD
16992.91000000
0.000684102798
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 04/15/2043#783836
3622A2HM7
60013.65750000
PA
USD
55614.16000000
0.002238922145
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068
38380LGR8
474182.17260000
PA
USD
451678.86000000
0.018183746771
Long
ABS-CBDO
USGA
US
N
2
2068-08-20
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 12/46#BC9077
3140F5CP6
85447.53990000
PA
USD
77754.51000000
0.003130251259
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERGY COMPANY
549300JD0S5IZJE9LY15
BERKSHIRE HATHAWAY ENERGY COMPANY 4.05% 04/15/2025
084659AT8
2556000.00000000
PA
USD
2500803.74000000
0.100677684879
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.04050000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 07/01/2033#
31283HYM1
699.68660000
PA
USD
712.39000000
0.000028679490
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 07/01/2036#SB0535
3132CWSY1
248527.80800000
PA
USD
225176.09000000
0.009065168557
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#727139
31402EZC5
5235.40490000
PA
USD
5095.43000000
0.000205132489
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/28 #457547
31381DHY4
74.15040000
PA
USD
76.28000000
0.000003070890
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2046#AL9547
3138ERTD2
941267.63200000
PA
USD
831515.17000000
0.033475246745
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/46#AS7533
3138WHLP5
514690.08520000
PA
USD
454355.18000000
0.018291490413
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03000000
N
N
N
N
N
N
STRATUS STATIC CLO 2022-1 LTD
N/A
STRATUS STATIC CLO 2022-1 LTD TSFR3M+175 07/20/2030 144A
86317WAA4
248271.57000000
PA
USD
248296.40000000
0.009995949028
Long
ABS-CBDO
CORP
JE
N
2
2030-07-20
Variable
0.07076140
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 3.9% 04/05/2032
21871XAH2
4241000.00000000
PA
USD
3708285.49000000
0.149288643501
Long
DBT
CORP
US
N
2
2032-04-05
Fixed
0.03900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2039#AB0051
31416VBV5
6931.14090000
PA
USD
6745.02000000
0.000271541899
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 10/01/2035#BK5705
3140HKKT4
516816.61100000
PA
USD
455593.38000000
0.018341338031
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 08/01/2031#BC2778
3140EXCQ4
38125.09570000
PA
USD
35446.00000000
0.001426989715
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.5% 03/43 #AR8173
3138W6CK0
15867.08960000
PA
USD
14572.69000000
0.000586669264
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 08/01/2041#QK0985
3133D4CW1
67472.44400000
PA
USD
58177.33000000
0.002342110579
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#RA6510
3133KNGT4
281748.21200000
PA
USD
226573.71000000
0.009121434126
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2350
3140QMTG9
291261.37440000
PA
USD
234041.88000000
0.009422088693
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 06/47#Q48876
3132WN2J0
27151.75190000
PA
USD
26272.69000000
0.001057689398
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029
681936BL3
1155000.00000000
PA
USD
978672.10000000
0.039399509729
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.03625000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
CENOVUS ENERGY INC 6.75% 11/15/2039
15135UAF6
200000.00000000
PA
USD
207369.08000000
0.008348291613
Long
DBT
CORP
CA
N
2
2039-11-15
Fixed
0.06750000
N
N
N
N
N
N
DUKE ENERGY CORP NEW
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP NEW 2.45% 06/01/2030
26441CBH7
565000.00000000
PA
USD
469982.51000000
0.018920617513
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
0.02450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR5858
3138W3QL0
10553.00700000
PA
USD
9406.01000000
0.000378668383
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE FRANCE 1.038/VAR 06/18/2025 144A
83368RBE1
3800000.00000000
PA
USD
3634130.15000000
0.146303288099
Long
DBT
CORP
FR
N
2
2025-06-18
Variable
0.01038000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 11/01/2032#G18665
3128MMW33
7342.98880000
PA
USD
6770.20000000
0.000272555599
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745228
3620C04M7
12892.50890000
PA
USD
12533.91000000
0.000504591792
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2041#FM7587
3140XBND8
118110.10100000
PA
USD
102023.61000000
0.004107279869
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.02500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2% 11/15/2041
912810TC2
11400000.00000000
PA
USD
7976882.78000000
0.321134392916
Long
DBT
UST
US
N
2
2041-11-15
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 09/01/2051#QC7496
3133ASKH5
191360.94010000
PA
USD
165340.50000000
0.006656299529
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.03000000
N
N
N
N
N
N
TRANSCONTINENTAL GAS PIPE LINE CO LLC
N/A
TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030
893574AP8
207000.00000000
PA
USD
182448.33000000
0.007345028792
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.03250000
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTYS LTD PARTNERSHIP 4.5% 12/01/2028
10112RBA1
605000.00000000
PA
USD
558268.31000000
0.022474838826
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
140000.00000000
NC
USD
33674.05000000
0.001355654320
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
40756.13000000
USD
0.00000000
USD
140000.00000000
USD
-7082.08000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.625% 05/31/2028
91282CHE4
124200000.00000000
PA
USD
120794202.50000000
4.862948843244
Long
DBT
UST
US
N
2
2028-05-31
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21605
3132JNYA9
9549.96510000
PA
USD
9055.14000000
0.000364543013
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.947% 07/01/2043#AL5652
3138ENH69
11299.29270000
PA
USD
11422.90000000
0.000459864606
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Variable
0.04653000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/38 #889219
31410G4C4
2937.79110000
PA
USD
3029.12000000
0.000121946710
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
0.06000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.91%/VAR 05/24/2033
172967NU1
3224000.00000000
PA
USD
3064647.55000000
0.123376982916
Long
DBT
CORP
US
N
2
2033-05-24
Variable
0.04910000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 4.1% 02/09/2027
254709AM0
284000.00000000
PA
USD
263467.00000000
0.010606689032
Long
DBT
CORP
US
N
2
2027-02-09
Fixed
0.04100000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 12/01/2047#G61305
31335BNW2
119834.93380000
PA
USD
112464.89000000
0.004527626288
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 06/20/2046#AS4297
36193NX21
18944.00550000
PA
USD
17388.59000000
0.000700032136
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2050#SD8115
3132DWAQ6
508974.12300000
PA
USD
441833.72000000
0.017787399834
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 06/30/2028
91282CHK0
20000000.00000000
PA
USD
19760937.60000000
0.795538417030
Long
DBT
UST
US
N
2
2028-06-30
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #698474
36296Q6K0
31487.14750000
PA
USD
30603.24000000
0.001232029248
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.5% 08/01/2025#AL0517
3138EGSF2
174.98780000
PA
USD
174.78000000
0.000007036316
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.05500000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
AMGEN INC 5.65% 03/02/2053
031162DT4
441000.00000000
PA
USD
437183.30000000
0.017600182616
Long
DBT
CORP
US
N
2
2053-03-02
Fixed
0.05650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 12/01/2036#SB8132
3132D6A91
951433.95200000
PA
USD
835157.12000000
0.033621864845
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/41 #Q02511
3132GFYG6
1409.98130000
PA
USD
1372.51000000
0.000055254687
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/39 #G05457
3128M7ME3
9637.53710000
PA
USD
9379.55000000
0.000377603153
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027
105340AQ6
421000.00000000
PA
USD
346543.93000000
0.013951210974
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
0.03950000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/25 #405143
36206ABL6
51.11420000
PA
USD
51.49000000
0.000002072891
Long
ABS-MBS
USGA
US
N
2
2025-09-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.5% 06/01/2039#FM1045
3140X4ET9
13295.46550000
PA
USD
12989.82000000
0.000522945876
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK2525
3138E6YX8
1717.18780000
PA
USD
1631.47000000
0.000065679933
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC 3.691/VAR 06/05/2028
38141GWL4
4660000.00000000
PA
USD
4362476.38000000
0.175625146130
Long
DBT
CORP
US
N
2
2028-06-05
Variable
0.03691000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2051#CB2164
3140QMMN1
837753.73300000
PA
USD
728290.15000000
0.029319600354
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2011-4 PZ 5% 2/41
31397QKY3
24367.30250000
PA
USD
23190.52000000
0.000933606994
Long
ABS-CBDO
USGSE
US
N
2
2041-02-25
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 02/15/2045#AK7288
36183RCZ4
13499.88460000
PA
USD
12132.27000000
0.000488422516
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/41 #AJ3485
3138AU2T3
2689.08670000
PA
USD
2545.98000000
0.000102496396
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC
N/A
AIMCO CLO SER 2018-BA AR TSFR3M+136.161 01/15/2032 144A
00900PAL9
365000.00000000
PA
USD
363853.17000000
0.014648048627
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Variable
0.06669570
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 3.75% 03/26/2025
902613AX6
1200000.00000000
PA
USD
1159234.33000000
0.046668607660
Long
DBT
CORP
CH
N
2
2025-03-26
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/46#BC0287
3140EUJ91
7361.26910000
PA
USD
7123.03000000
0.000286759875
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.0% 07/01/2041#Q02130
3132GFLK1
2069.21280000
PA
USD
2070.32000000
0.000083347214
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-170 B 4% 12/40
38377NRP1
27415.78140000
PA
USD
26198.21000000
0.001054690973
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 11/01/2041#QK1203
3133D4KQ5
91534.28800000
PA
USD
78924.38000000
0.003177348038
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 06/01/2035#BP5615
3140KDGZ7
4606734.55700000
PA
USD
4072527.48000000
0.163952345295
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2018-BOP
N/A
MORGAN STANLEY CAP I TR 2018-BOP C TSFR1M+154.7 06/15/2035 144A
61768FAJ9
1208000.00000000
PA
USD
861618.20000000
0.034687138474
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.06858000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3336 LI SOFR30A+646.552 6/37
31397J7J7
8754.90350000
PA
USD
874.83000000
0.000035219020
Long
ABS-CBDO
USGSE
US
N
2
2037-06-15
Variable
0.01277010
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 11/40 #004854
36202FMB9
2403.44230000
PA
USD
2354.07000000
0.000094770458
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 9/27 #313687
31374GNC7
26.28010000
PA
USD
27.04000000
0.000001088579
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 07/01/2041#CB1069
3140QLFK7
367175.26900000
PA
USD
307204.86000000
0.012367493535
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2039#AC6492
31417TGA0
912.41890000
PA
USD
886.78000000
0.000035700105
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 8/32 #C70220
31287XG59
356.13620000
PA
USD
367.31000000
0.000014787214
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 06/01/2035#
3128MJB82
341.14240000
PA
USD
339.29000000
0.000013659181
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2432 FE SOFR30A+101.448 6/31
31339NNM4
461.04560000
PA
USD
460.45000000
0.000018536856
Long
ABS-CBDO
USGSE
US
N
2
2031-06-15
Variable
0.06202990
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 5/39 #713327
36297JPL2
2512.34860000
PA
USD
2494.84000000
0.000100437595
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 7/29 #C47273
31298GCJ7
2308.90880000
PA
USD
2375.25000000
0.000095623125
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.07000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNMA 13-149 MA 2.5% 5/20/40
38378UQY6
86437.21130000
PA
USD
82189.74000000
0.003308805329
Long
ABS-CBDO
USGA
US
N
2
2040-05-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2046#BC9026
3140F5A45
946840.39300000
PA
USD
836438.14000000
0.033673436317
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2996 MK 5.5% 6/35
31395UYX3
2776.65950000
PA
USD
2784.97000000
0.000112117687
Long
ABS-CBDO
USGSE
US
N
2
2035-06-15
Fixed
0.05500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY562346 11/18/64 S
N/A
1210000.00000000
NC
USD
-33482.39000000
-0.00134793844
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S15 PRC INDX
CY562346
Y
2064-11-18
0.00000000
USD
33591.15000000
USD
1210000.00000000
USD
108.76000000
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.75% 08/15/2041
912810TA6
11769000.00000000
PA
USD
7907756.57000000
0.318351500890
Long
DBT
UST
US
N
2
2041-08-15
Fixed
0.01750000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.55% 03/21/2031
92343VGJ7
1065000.00000000
PA
USD
876694.31000000
0.035294074487
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
0.02550000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047
3137H5F77
148149.70500000
PA
USD
127965.11000000
0.005151636177
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2045#MA3035
36179RLQ0
314910.99680000
PA
USD
299908.98000000
0.012073775042
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/40#AE6588
31419HKA9
5109.17290000
PA
USD
4853.08000000
0.000195375930
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 5% 09/01/2038 #TBA
01F050494
5000000.00000000
PA
USD
4938672.00000000
0.198821704953
Long
ABS-MBS
USGA
US
N
2
2038-09-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 8/37 #G06089
3128M8C28
4136.09890000
PA
USD
4253.81000000
0.000171250440
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 07/01/2033#709470
31401JFK9
5900.28440000
PA
USD
5848.18000000
0.000235436797
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 04/01/2043#G07345
3128M9P63
98157.07840000
PA
USD
92979.44000000
0.003743178487
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2015-GC29
N/A
CITIGROUP COML MTG TR 2015-GC29 XA CSTR 04/10/2048
17323VBF1
2688069.24110000
PA
USD
33276.68000000
0.001339656946
Long
ABS-MBS
CORP
US
N
2
2048-04-10
Variable
0.01151779
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.80% 5/37 #1N1474
3128QHT75
1666.88170000
PA
USD
1695.78000000
0.000068268933
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Variable
0.06760000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/46#AL9397
3138ERNP1
32412.35660000
PA
USD
28552.02000000
0.001149450965
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.0% 02/01/2045#AX6813
3138Y8SB7
7065.73220000
PA
USD
6664.67000000
0.000268307158
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 4.1% 01/13/2026
251526BZ1
1100000.00000000
PA
USD
1049256.89000000
0.042241121460
Long
DBT
CORP
US
N
2
2026-01-13
Fixed
0.04100000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2046#Q45028
3132WJSS1
7693.83970000
PA
USD
7447.15000000
0.000299808341
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/41 #489862
36210EFB0
18248.73190000
PA
USD
17334.79000000
0.000697866248
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
INTOWN 2022-STAY MORTGAGE TRUST
N/A
INTOWN 2022-STAY MORTGAGE TRUST TSFR1M+223.92 08/15/2037 144A
46117NAA0
2256000.00000000
PA
USD
2257410.90000000
0.090879144012
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Variable
0.07798600
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/47#Q48877
3132WN2K7
33123.28930000
PA
USD
31241.42000000
0.001257721182
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 07/01/2040#FM7867
3140XBW55
67855.88600000
PA
USD
61110.12000000
0.002460179223
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.35% 03/25/2032
3137H74A8
700000.00000000
PA
USD
580220.13000000
0.023358578074
Long
ABS-MBS
USGSE
US
N
2
2032-03-25
Fixed
0.02350000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
DOMINICAN REPUBLIC 5.95% 01/25/2027 144A
25714PDT2
2850000.00000000
PA
USD
2784535.50000000
0.112100195277
Long
DBT
NUSS
DO
N
2
2027-01-25
Fixed
0.05950000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/40 #736729
3620AQPN7
7267.27670000
PA
USD
7065.32000000
0.000284436578
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 4/26 #313275
31374F6L8
23.61320000
PA
USD
23.77000000
0.000000956935
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.07500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY451600 12/16/72 B
N/A
40000.00000000
NC
USD
694.96000000
0.000027977790
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
436.19000000
USD
0.00000000
USD
40000.00000000
USD
258.77000000
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745196
3620C03D8
4956.65190000
PA
USD
4819.15000000
0.000194009972
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 3.5% 09/01/2030
404119CA5
709000.00000000
PA
USD
619258.76000000
0.024930200359
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
190000.00000000
NC
USD
45700.49000000
0.001839816318
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
46390.75000000
USD
0.00000000
USD
190000.00000000
USD
-690.26000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 02/01/2043#AR2626
3138NY4L6
32890.15080000
PA
USD
28258.31000000
0.001137626749
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.02500000
N
N
N
N
N
N
ROGERS COMMUNICATIONS INC
54930030NVF3Y2OL0A78
ROGERS COMMUNICATIONS INC 3.2% 03/15/2027
775109CG4
1051000.00000000
PA
USD
971566.10000000
0.039113435449
Long
DBT
CORP
CA
N
2
2027-03-15
Fixed
0.03200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 03/01/2033#G18683
3128MMXM0
20947.25150000
PA
USD
19280.54000000
0.000776198507
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.02500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3.814%/VAR 04/23/2029
38141GWV2
1025000.00000000
PA
USD
948437.36000000
0.038182315601
Long
DBT
CORP
US
N
2
2029-04-23
Variable
0.03814000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2048#FM9750
3140XDZQ2
336551.03000000
PA
USD
300078.52000000
0.012080600405
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.03000000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 4% 06/15/2029
91529YAN6
852000.00000000
PA
USD
780949.64000000
0.031439573008
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/29 #323500
31374TKM0
17.21880000
PA
USD
17.71000000
0.000000712971
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
0.07000000
N
N
N
N
N
N
KKR CLO 41 LTD
N/A
KKR CLO 41 LTD 22-41A A1 TSFR3M+133 04/15/2035 144A
48255PAA3
2253000.00000000
PA
USD
2214635.92000000
0.089157103258
Long
ABS-CBDO
CORP
KY
N
2
2035-04-15
Variable
0.06637960
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/41 #AJ4198
3138AVUY9
7283.17460000
PA
USD
6907.79000000
0.000278094715
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-68 A 2% 07/25/2049
3136BJET8
231459.01900000
PA
USD
185630.48000000
0.007473136204
Long
ABS-CBDO
USGSE
US
N
2
2049-07-25
Fixed
0.02000000
N
N
N
N
N
N
EMIRATE OF ABU DHABI
213800FER4348CINTA77
EMIRATE OF ABU DHABI 3.875% 04/16/2050 144A
29135LAJ9
915000.00000000
PA
USD
734351.55000000
0.029563620990
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 6/25 #MA0442
31417YP43
359.06850000
PA
USD
354.58000000
0.000014274728
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
0.04500000
N
N
N
N
N
N
COMM 2014-LC17 MTG TR
N/A
COMM 2014-LC17 XA CSTR 10/47
12592MBL3
2191557.77660000
PA
USD
9930.39000000
0.000399778942
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Variable
0.00807461
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2047#BE5550
3140FREY7
6497.45060000
PA
USD
6277.02000000
0.000252701094
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 03/01/2033#ZS8690
3132A9UP0
41975.31410000
PA
USD
39423.67000000
0.001587123276
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3.625% 04/01/2027
126650DH0
375000.00000000
PA
USD
354944.40000000
0.014289398196
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 8/33 #A12833
31296MEE5
420.40780000
PA
USD
417.55000000
0.000016809782
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.05000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 3.5% 04/04/2025
21871XAB5
445000.00000000
PA
USD
427628.37000000
0.017215518991
Long
DBT
CORP
US
N
2
2025-04-04
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 02/20/2041#004948
36202FP91
502.58810000
PA
USD
486.81000000
0.000019598060
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044
38376MAY3
130581.07740000
PA
USD
117331.58000000
0.004723550132
Long
ABS-CBDO
USGA
US
N
2
2044-01-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#QD0399
3133AWNQ3
52163.27910000
PA
USD
41948.19000000
0.001688755733
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/01/2053 #TBA
21H032696
11450000.00000000
PA
USD
10396079.03000000
0.418526712763
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#RA8291
3133KQF84
527461.14000000
PA
USD
514726.43000000
0.020721924111
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 5.4% 03/02/2026
969457CH1
823000.00000000
PA
USD
821689.40000000
0.033079679608
Long
DBT
CORP
US
N
2
2026-03-02
Fixed
0.05400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE8135
31419KBD6
2715.64890000
PA
USD
2572.47000000
0.000103562834
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 01/01/2052#MA4512
31418EAN0
241134.14700000
PA
USD
200078.26000000
0.008054776826
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 03/01/2051#RA4749
3133KLH26
2738695.26000000
PA
USD
2281814.89000000
0.091861603041
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.02500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2016-H13 FB T1Y+50 05/20/2066
38376RUU8
485530.20150000
PA
USD
484104.54000000
0.019489144048
Long
ABS-CBDO
USGA
US
N
2
2066-05-20
Variable
0.05850000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 4.35% 04/05/2042
21871XAK5
169000.00000000
PA
USD
133701.34000000
0.005382566077
Long
DBT
CORP
US
N
2
2042-04-05
Fixed
0.04350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/27 #368817
31376XVJ4
101.40160000
PA
USD
102.86000000
0.000004140951
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07500000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2016-C37
549300TRQQDPEF728F16
WELLS FARGO COML MTG TR 2016-C37 3.525% 12/15/2049
95000PAD6
1000000.00000000
PA
USD
942432.40000000
0.037940567134
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
0.03525000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 1.5% 09/01/2053 #TBA
01F012692
4100000.00000000
PA
USD
3090865.77000000
0.124432479454
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/48#CA1564
3140Q8W27
9842.84000000
PA
USD
9496.61000000
0.000382315770
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
N
N
N
N
N
N
EXTENDED STAY AMER TR 2021-ESH
N/A
EXTENDED STAY AMER TR 2021-ESH A TSFR1M+119.448 07/15/2038 144A
30227FAA8
771081.35000000
PA
USD
763650.67000000
0.030743148805
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.06504480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 9/37 #942981
31413ECS2
714.29370000
PA
USD
735.66000000
0.000029616296
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
0.06000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.5% 03/13/2027
71654QCG5
20000.00000000
PA
USD
17461.50000000
0.000702967356
Long
DBT
CORP
MX
N
2
2027-03-13
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2046#BE2414
3140FMVG8
4887.11890000
PA
USD
4597.50000000
0.000185086757
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-18 FD SOFR30A+91.448 2/32
31392CHM9
257.04610000
PA
USD
256.06000000
0.000010308497
Long
ABS-CBDO
USGSE
US
N
2
2032-02-25
Variable
0.06202060
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 6% 05/01/2029#
31293PXU4
49.66900000
PA
USD
49.91000000
0.000002009283
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 4/41 #A97942
312946ZF6
35156.89080000
PA
USD
34225.16000000
0.001377840979
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55141
3132XXWB1
1138.64830000
PA
USD
1069.33000000
0.000043049227
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#727060
31402EWV6
2216.04530000
PA
USD
2156.87000000
0.000086831555
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 04/01/2046#Q39717
3132QWYP8
9409.57830000
PA
USD
8317.45000000
0.000334844992
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 12/01/2051#SD8183
3132DWCU5
241031.40200000
PA
USD
199993.01000000
0.008051344820
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA STRIPPED MTG BKD SECS
N/A
FNS 384 6 5% 7/37
3136FER61
9223.22160000
PA
USD
1563.76000000
0.000062954055
Long
ABS-CBDO
USGSE
US
N
2
2037-07-25
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2051#FM9633
3140XDV37
329471.04250000
PA
USD
286112.42000000
0.011518351320
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM TSFR1M+61.448 06/20/2064
38375UKG4
59133.75950000
PA
USD
58856.07000000
0.002369435383
Long
ABS-CBDO
USGA
US
N
2
2064-06-20
Variable
0.05717710
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 10/01/2041#AI6819
3138ALSH1
2463.26780000
PA
USD
2435.68000000
0.000098055924
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Variable
0.04080000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 08/01/2041#FM8410
3140XCKY3
72842.19400000
PA
USD
60421.39000000
0.002432452241
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047
3137H5KC0
477286.73500000
PA
USD
417514.64000000
0.016808359123
Long
ABS-CBDO
USGSE
US
N
2
2047-11-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2043#AL7626
3138EQPL0
13455.21800000
PA
USD
12747.83000000
0.000513203811
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.04000000
N
N
N
N
N
N
VERIZON MASTER TRUST
N/A
VERIZON MASTER TRUST 4.89% 04/13/2028
92348KBL6
500000.00000000
PA
USD
495159.80000000
0.019934208155
Long
ABS-CBDO
CORP
US
N
2
2028-04-13
Fixed
0.04890000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2045#AZ3728
3138YVEA3
7310.99590000
PA
USD
6467.67000000
0.000260376306
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.625% 02/28/2025
91282CGN5
1500000.00000000
PA
USD
1489628.91000000
0.059969675984
Long
DBT
UST
US
N
2
2025-02-28
Fixed
0.04625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 7.00% 1/36 #A54473
3128KG6J2
743.11270000
PA
USD
773.55000000
0.000031141677
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2050#SD8108
3132DWAH6
59938.83600000
PA
USD
52032.11000000
0.002094715507
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.03000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 4.95% 03/31/2030
404280CF4
298000.00000000
PA
USD
286714.53000000
0.011542591143
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
0.04950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#CB1331
3140QLPR1
1989005.35200000
PA
USD
1651597.25000000
0.066490218654
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044
38378YG78
246270.62820000
PA
USD
220995.13000000
0.008896850921
Long
ABS-CBDO
USGA
US
N
2
2044-01-20
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040
38377LAL2
9471.74120000
PA
USD
9086.29000000
0.000365797054
Long
ABS-CBDO
USGA
US
N
2
2040-09-16
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 04/01/2041#
31418DYH9
19965.94400000
PA
USD
16623.81000000
0.000669243522
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 5.5% 08/01/2053#RA9619
3133KRVL5
1697022.00000000
PA
USD
1691149.79000000
0.068082529995
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05500000
N
N
N
N
N
N
AASET 2019-1 TRUST
549300TXM3PCKZJKD061
AASET 2019-1 TRUST 3.844% 05/15/2039 144A
00256DAA0
305870.05000000
PA
USD
214109.04000000
0.008619629807
Long
ABS-CBDO
CORP
US
N
2
2039-05-15
Fixed
0.03844000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2052#CB4555
3140QQBZ7
393463.34300000
PA
USD
373075.37000000
0.015019317164
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745094
3620C0XX1
14937.42860000
PA
USD
14520.90000000
0.000584584296
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FGLMC 3871 KB 5.5% 06/41
3137AC7K9
55612.32280000
PA
USD
56739.92000000
0.002284243139
Long
ABS-CBDO
USGSE
US
N
2
2041-06-15
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 07/25/2040
3136BA7B4
20588.80200000
PA
USD
18537.09000000
0.000746268599
Long
ABS-CBDO
USGSE
US
N
2
2040-07-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2031#MA2803
31418CDH4
112295.50900000
PA
USD
104158.67000000
0.004193233394
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 01/01/2041#
3129444V0
1451.83480000
PA
USD
1412.98000000
0.000056883934
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04500000
N
N
N
N
N
N
COLUMBIA CENT CLO 31 LTD
N/A
COLUMBIA CENT CLO 31A A1 LTD TSFR3M+146.161 04/20/2034 144A
19737LAC7
1620000.00000000
PA
USD
1594326.24000000
0.064184594824
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.06787750
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 09/01/2053 #TBA
21H042695
3900000.00000000
PA
USD
3716632.53000000
0.149624679731
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 6.36% 7/36 #1B7105
3128QPH96
7597.05610000
PA
USD
7689.13000000
0.000309550003
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
0.06256000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.45% 10/29/2026
00774MAV7
868000.00000000
PA
USD
780980.09000000
0.031440798868
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
0.02450000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 2.625% 08/01/2031
15135BAZ4
800000.00000000
PA
USD
636422.73000000
0.025621189714
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
0.02625000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA 4.375% 08/04/2025
21684AAC0
500000.00000000
PA
USD
484639.03000000
0.019510661617
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
0.04375000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2004-91 Z 5 12/34
31394BZJ6
166118.30690000
PA
USD
162764.06000000
0.006552576869
Long
ABS-CBDO
USGSE
US
N
2
2034-12-25
Fixed
0.05000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2004-22 AZ 5.5% 04/20/2034
38374GDS8
84112.69670000
PA
USD
86891.29000000
0.003498080946
Long
ABS-CBDO
USGA
US
N
2
2034-04-20
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES
N/A
FNS 348 14 6.5% 8/34
3136FCEU6
1465.64990000
PA
USD
283.37000000
0.000011407946
Long
ABS-CBDO
USGSE
US
N
2
2034-08-25
Variable
0.06500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 6% 06/01/2053#RA9276
3133KRJV7
419170.43000000
PA
USD
425674.03000000
0.017136840915
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.06000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.882%/VAR 07/24/2038
46647PAJ5
1000000.00000000
PA
USD
843143.02000000
0.033943362255
Long
DBT
CORP
US
N
2
2038-07-24
Variable
0.03882000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2033#729380
31402HJZ5
2457.00220000
PA
USD
2391.12000000
0.000096262022
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
VIATRIS INC 2.7% 06/22/2030
92556VAD8
1003000.00000000
PA
USD
814568.48000000
0.032793004677
Long
DBT
CORP
US
N
2
2030-06-22
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 12/01/2035#MA4206
31418DU83
556926.09300000
PA
USD
490951.40000000
0.019764785836
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 10/34 #357634
31376KHK5
2930.62140000
PA
USD
2993.31000000
0.000120505066
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 01/01/2052#SD8190
3132DWC35
35380.54210000
PA
USD
30536.48000000
0.001229341615
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 08/01/2035#SB8066
3132D56B3
353808.90300000
PA
USD
303817.23000000
0.012231113883
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/24 #403965
36205XW26
5.93700000
PA
USD
5.96000000
0.000000239938
Long
ABS-MBS
USGA
US
N
2
2024-09-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 05/01/2045#Q33468
3132QP2A1
6274.72890000
PA
USD
5558.22000000
0.000223763549
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
MAGNETITE IX LTD / MAGNETITE IX LLC
N/A
MAGNETITE IX LTD /LLC TSFR3M+139.161 10/25/2034 144A
55953UAA2
1565000.00000000
PA
USD
1554387.74000000
0.062576745454
Long
ABS-CBDO
CORP
KY
N
2
2034-10-25
Variable
0.06742820
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.87% 10/35 #1M1052
3128QFEZ3
8945.25490000
PA
USD
8976.77000000
0.000361387983
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.05001000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AK6572
3138EBJS5
5799.88760000
PA
USD
5331.72000000
0.000214645082
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/41 #Q03643
3132GJWC9
16956.99670000
PA
USD
16504.81000000
0.000664452805
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/42#AB6934
31417DV42
8252.43930000
PA
USD
7582.19000000
0.000305244799
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2003-70 BJ 5% 7/33
31393DAN1
15347.17720000
PA
USD
15035.42000000
0.000605297909
Long
ABS-CBDO
USGSE
US
N
2
2033-07-25
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2154 PT 6% 5/29
3133TKW97
2443.42950000
PA
USD
2453.96000000
0.000098791843
Long
ABS-CBDO
USGSE
US
N
2
2029-05-15
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047
3137H62Q7
120132.78500000
PA
USD
103538.86000000
0.004168281002
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/41 #AB3687
31417ACZ0
51326.96950000
PA
USD
48638.55000000
0.001958097123
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2045#G61796
31335B7H3
14135.56190000
PA
USD
13758.59000000
0.000553895120
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 4/35 #A54855
3128KHMC7
4116.84630000
PA
USD
4088.44000000
0.000164592953
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 04/30/2027
91282CEN7
700000.00000000
PA
USD
660707.03000000
0.026598830248
Long
DBT
UST
US
N
2
2027-04-30
Fixed
0.02750000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.3% 02/15/2030
00206RGQ9
559000.00000000
PA
USD
521192.06000000
0.020982218292
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 7/40#V81831
3132L7A82
5287.53830000
PA
USD
4834.22000000
0.000194616662
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 02/28/2030
91282CGQ8
40000000.00000000
PA
USD
39490624.80000000
1.589818751360
Long
DBT
UST
US
N
2
2030-02-28
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55504
3132XYDJ3
13710.18020000
PA
USD
12875.55000000
0.000518345580
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 06/01/2032#C91456
3128P7TM5
153700.53700000
PA
USD
146197.74000000
0.005885647786
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035
31394FGT6
21609.45460000
PA
USD
21626.80000000
0.000870654550
Long
ABS-CBDO
USGSE
US
N
2
2035-09-25
Fixed
0.05900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/25 #303555
31373UE45
9.85980000
PA
USD
10.14000000
0.000000408217
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
0.07000000
N
N
N
N
N
N
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP
N/A
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+123.468 02 11/15/2036 144A
26863LAE4
1136000.00000000
PA
USD
1110342.99000000
0.044700333683
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.06545680
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.5% 11/01/2025#AL8242
3138ETEQ5
9720.15490000
PA
USD
9631.98000000
0.000387765513
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
0.04500000
N
N
N
N
N
N
COMMONWEALTH BANK AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A
202712BK0
517000.00000000
PA
USD
438427.48000000
0.017650270978
Long
DBT
CORP
AU
N
2
2034-09-12
Variable
0.03610000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 04/01/2035#
3128MJBV1
1028.00200000
PA
USD
1022.28000000
0.000041155082
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.05000000
N
N
N
N
N
N
MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC
N/A
MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC TSFR3M+146.161 01/22/2031 144A
55817AAQ7
364000.00000000
PA
USD
360030.94000000
0.014494172791
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Variable
0.06807180
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2050#SD7521
3132DVLA1
104085.61220000
PA
USD
87729.95000000
0.003531843830
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 07/01/2051#RA5574
3133KMFP5
626001.83190000
PA
USD
523330.27000000
0.021068298630
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02500000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GRP INC 5.125% 03/27/2033
026874DS3
1500000.00000000
PA
USD
1450881.48000000
0.058409776866
Long
DBT
CORP
US
N
2
2033-03-27
Fixed
0.05125000
N
N
N
N
N
N
LIFE FINANCIAL SERVICES TRUST 2022
N/A
LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A
53218DAE8
1630000.00000000
PA
USD
1594749.62000000
0.064201639311
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Variable
0.07104390
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2007-37 TS TSFR1M+657.552 6/37
38375KNC2
5826.10120000
PA
USD
535.87000000
0.000021573124
Long
ABS-CBDO
USGA
US
N
2
2037-06-16
Variable
0.01262910
N
N
N
N
N
N
LIFE FINANCIAL SERVICES TRUST 2022
N/A
LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A
53218DAA6
2726000.00000000
PA
USD
2678260.93000000
0.107821779703
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Variable
0.06605720
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/45#AZ9583
3140E2UH2
14955.31170000
PA
USD
14073.71000000
0.000566581262
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
AMMC CLO XI LTD
5493004OOK6VXHQ8DQ60
AMMC CLO XI LTD TSFR3M+127.161 04/30/2031 144A
00176AAX3
1587267.71000000
PA
USD
1577996.48000000
0.063527189204
Long
ABS-CBDO
CORP
KY
N
2
2031-04-30
Variable
0.06640730
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2044#AX6493
3138Y8GB0
1369.70150000
PA
USD
1327.51000000
0.000053443071
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.04500000
N
N
N
N
N
N
SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1
N/A
SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1 5.89% 03/22/2027 144A
78398AAB9
750000.00000000
PA
USD
749517.00000000
0.030174153665
Long
ABS-MBS
CORP
US
N
2
2027-03-22
Fixed
0.05890000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 10/40 #AE3832
31419EHJ1
2175.66930000
PA
USD
2115.17000000
0.000085152791
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3% 08/15/2026
126650DF4
125000.00000000
PA
USD
117098.29000000
0.004714158313
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.03000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 3.85% 04/09/2025
718546AV6
125000.00000000
PA
USD
121627.16000000
0.004896482155
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
0.03850000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3% 02/15/2047
912810RV2
24645000.00000000
PA
USD
19591812.37000000
0.788729751345
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 11/47#V84700
3132LAGH9
32781.07740000
PA
USD
29888.67000000
0.001203261995
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
THUNDERBOLT AIRCRAFT LEASE LIM
N/A
THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A
886065AA9
667154.42000000
PA
USD
567094.60000000
0.022830168766
Long
ABS-CBDO
CORP
KY
N
2
2038-09-15
Variable
0.04147000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 09/01/2041#G60405
31335ANW4
32564.64370000
PA
USD
31688.78000000
0.001275731060
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
ARES CLO
N/A
ARES CLO 2019-54A A TSFR3M+158.161 10/15/2032 144A
04017WAC6
1101000.00000000
PA
USD
1099370.52000000
0.044258602547
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.06889570
N
N
N
N
N
N
PINE STR TR I
N/A
PINE STR TR I 4.572% 02/15/2029 144A
722844AA5
1030000.00000000
PA
USD
944021.49000000
0.038004540928
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.04572000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2051#
3140QMKN3
49813.51930000
PA
USD
44678.79000000
0.001798684586
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/28 #190294
31368HKF9
38.96290000
PA
USD
40.08000000
0.000001613545
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 07/01/2041#1B8505
3128UGZV2
3496.18400000
PA
USD
3523.66000000
0.000141855966
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.06000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT TSFR1M+583.552 02/16/2040
38376WKH7
21708.91700000
PA
USD
1060.02000000
0.000042674424
Long
ABS-CBDO
USGA
US
N
2
2040-02-16
Variable
0.00522910
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 02/01/2037#MA2897
31418CGF5
89334.06530000
PA
USD
81848.92000000
0.003295084553
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 01/25/2049
3137H5ZA8
153253.30200000
PA
USD
136494.73000000
0.005495022738
Long
ABS-CBDO
USGSE
US
N
2
2049-01-25
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 8% 08/01/2030#
31297YK84
116.42120000
PA
USD
121.58000000
0.000004894583
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/40 #711223
36297GD49
13197.53060000
PA
USD
12828.93000000
0.000516468746
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY562346 11/18/64 S
N/A
690000.00000000
NC
USD
-19093.27000000
-0.00076865936
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX AAA CDSI S15 PRC INDX
CY562346
Y
2064-11-18
0.00000000
USD
18769.71000000
USD
690000.00000000
USD
-323.56000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 01/01/2052#FS0286
3140XFJ85
866660.35570000
PA
USD
696130.54000000
0.028024914558
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 03/01/2036#QN5653
3133GCH62
210876.30400000
PA
USD
185434.14000000
0.007465231922
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 6/28 #432548
31379XP90
175.76230000
PA
USD
180.81000000
0.000007279072
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 05/20/2049#BN2615
3617K53Y8
16889.40380000
PA
USD
15794.52000000
0.000635857857
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
0.04000000
N
N
N
N
N
N
EATON VANCE CLO 2019-1 LTD
N/A
EATON 2019-1A AR TSFR3M+136.161 04/15/2031 144A
27830XAL0
610000.00000000
PA
USD
606324.14000000
0.024409476731
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Variable
0.06669570
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 12/20/2051#MA7767
36179WTY4
30603.96410000
PA
USD
26059.27000000
0.001049097508
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 07/01/2041#SC0157
3132D9E67
873848.20800000
PA
USD
753465.48000000
0.030333112091
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 01/31/2030
91282CGJ4
25000000.00000000
PA
USD
23981445.25000000
0.965448167413
Long
DBT
UST
US
N
2
2030-01-31
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 8/37 #AE0265
31419AJK4
24036.42560000
PA
USD
24485.72000000
0.000985749326
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 7/39 #931504
31412P3M1
19213.22130000
PA
USD
18676.62000000
0.000751885816
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 04/01/2051#FM6944
3140XAWE8
413059.10400000
PA
USD
332815.52000000
0.013398530844
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H17 FA TSFR1M+44.448 7/60
38375BDY5
468807.92840000
PA
USD
465299.42000000
0.018732085062
Long
ABS-CBDO
USGA
US
N
2
2060-07-20
Variable
0.05760000
N
N
N
N
N
N
BENCHMARK 2019-B14 MTG TR
N/A
BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061
08162YAK8
4524554.81200000
PA
USD
128640.33000000
0.005178819272
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Variable
0.00899080
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/32 #579242
36201CP32
211.86690000
PA
USD
217.89000000
0.000008771844
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 09/01/2041#SC0185
3132D9F25
147077.58200000
PA
USD
127091.71000000
0.005116474725
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2349
3140QMTF1
674056.33270000
PA
USD
542056.49000000
0.021822181250
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2041#BQ6615
3140KSK55
255262.37400000
PA
USD
211735.90000000
0.008524091625
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
SUN CMNTYS OPER LTD PRTNRSHP
549300PUNBPJCGT6X741
SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031
866677AE7
880000.00000000
PA
USD
698705.96000000
0.028128596154
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
0.02700000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-33 PK 6% 7/29
31359WKN0
2272.55950000
PA
USD
2277.96000000
0.000091706412
Long
ABS-CBDO
USGSE
US
N
2
2029-07-25
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2047#AS9968
3138WLCE1
49494.33440000
PA
USD
46530.30000000
0.001873222918
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#QD0109
3133AWDN1
56383.29020000
PA
USD
45341.80000000
0.001825376129
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 3.3% 07/15/2025 144A
00130HCB9
3530000.00000000
PA
USD
3356569.55000000
0.135129217070
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.03300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2034#G16829
3128MFY28
50720.99270000
PA
USD
47398.26000000
0.001908165366
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 6.50% 6/27 #256789
31371NF67
862.32370000
PA
USD
866.11000000
0.000034867969
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2045#Q33791
3132QQF98
18908.55760000
PA
USD
17287.45000000
0.000695960428
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.0% 07/20/2043#MA1374
36179NQ35
13763.62510000
PA
USD
12345.48000000
0.000497005952
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 8/34 #G02758
3128M4MF7
6125.72590000
PA
USD
6085.01000000
0.000244971130
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048
3136BG6S5
141775.44400000
PA
USD
115951.30000000
0.004667982639
Long
ABS-CBDO
USGSE
US
N
2
2048-01-25
Fixed
0.02000000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NISOURCE INC 2.95% 09/01/2029
65473PAH8
1708000.00000000
PA
USD
1502950.72000000
0.060505987158
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
0.02950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2040#
312944LX7
2209.09670000
PA
USD
2150.43000000
0.000086572292
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 05/01/2040#MA4016
31418DPA4
43357.87700000
PA
USD
37560.97000000
0.001512134455
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 08/01/2035#
31297SPM1
465.27680000
PA
USD
462.36000000
0.000018613749
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 04/01/2033#ZS8087
3132A86Y0
41199.72400000
PA
USD
37933.71000000
0.001527140271
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-32 PL 6% 7/29
31359WHX2
3046.37680000
PA
USD
3054.50000000
0.000122968461
Long
ABS-CBDO
USGSE
US
N
2
2029-07-25
Fixed
0.06000000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030
92277GAV9
2100000.00000000
PA
USD
1969395.60000000
0.079284186299
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2030#FS3868
3140XKJN1
436536.38100000
PA
USD
411190.99000000
0.016553780792
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 02/01/2036#BR1356
3140KYQJ6
37231.54500000
PA
USD
32855.92000000
0.001322717935
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.02000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 2017-PANW D TSFR1M+977.104 12/20/2040
38377RBW4
60496.82770000
PA
USD
47510.66000000
0.001912690380
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Variable
0.00000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 12/01/2041#FM9851
3140XD5M4
197159.70600000
PA
USD
164095.21000000
0.006606166480
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A97151
3129455L8
1608.70190000
PA
USD
1565.51000000
0.000063024506
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 11/01/2041#QK1180
3133D4JZ7
471497.94600000
PA
USD
391099.72000000
0.015744943810
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5% 04/25/2048
3137H8BP5
279448.79300000
PA
USD
274621.54000000
0.011055749966
Long
ABS-CBDO
USGSE
US
N
2
2048-04-25
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 12/01/2035#FM5278
3140X82L0
30153.23200000
PA
USD
26581.21000000
0.001070109837
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2047#MA3058
31418CMG6
568687.70400000
PA
USD
533564.81000000
0.021480322084
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04000000
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC 4.224% 03/15/2032
745310AN2
1329000.00000000
PA
USD
1171051.09000000
0.047144328333
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
0.04224000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 10/01/2033#
31296PKS0
1602.67180000
PA
USD
1591.74000000
0.000064080477
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 10/01/2040#V81966
3132L7FF1
9272.40280000
PA
USD
8471.65000000
0.000341052796
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/27 #251298
31371GDB3
29.58700000
PA
USD
30.11000000
0.000001212172
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/40 #749953
3620C6E27
3176.36340000
PA
USD
3021.95000000
0.000121658059
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 04/01/2046#Q40165
3132WDFF6
11793.43980000
PA
USD
10424.63000000
0.000419676121
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2042#G07368
3128M9QV7
104369.31160000
PA
USD
99018.11000000
0.003986284056
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 04/20/2040#004673
36202FFN1
3958.47950000
PA
USD
3834.30000000
0.000154361752
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 08/01/2051#CB1384
3140QLRE8
954943.26580000
PA
USD
797724.65000000
0.032114903560
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2022-DKLX
N/A
BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+155 01/15/2039 144A
05530SAG1
190000.00000000
PA
USD
183826.27000000
0.007400502081
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Variable
0.06861000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2041#
31418D5G3
507402.77100000
PA
USD
420882.18000000
0.016943929990
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.889%/VAR 07/20/2033
61747YEU5
5947000.00000000
PA
USD
5633584.83000000
0.226797596783
Long
DBT
CORP
US
N
2
2033-07-20
Variable
0.04889000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 07/01/2035#843431
31407XA84
35345.63780000
PA
USD
35087.24000000
0.001412546708
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.05000000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST TXBL
452151LF8
2525000.00000000
PA
USD
2450005.99000000
0.098632662399
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
0.05100000
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 4.4% 04/16/2050 144A
74727PBE0
1390000.00000000
PA
USD
1222199.20000000
0.049203455653
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
0.04400000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033
681936BN9
7742000.00000000
PA
USD
5778382.06000000
0.232626862655
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
0.03250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 3/36 #003828
36202EHD4
814.60680000
PA
USD
796.42000000
0.000032062380
Long
ABS-MBS
USGA
US
N
2
2036-03-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/29 #323542
31374TLX5
171.67150000
PA
USD
176.60000000
0.000007109585
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
0.07000000
N
N
N
N
N
N
BRASS NO 10 PLC
213800UCE3NFG8SQKH09
BRASS NO 10 PLC VAR 04/16/2069 144A
10554PAA1
281159.67000000
PA
USD
268876.93000000
0.010824482704
Long
ABS-CBDO
CORP
GB
N
2
2069-04-16
Variable
0.00669000
N
N
N
N
N
N
JACKSON FINANCIAL INC
213800WXW2KG1N4CO374
JACKSON FINANCIAL INC 3.125% 11/23/2031
46817MAL1
194000.00000000
PA
USD
152486.82000000
0.006138834394
Long
DBT
CORP
US
N
2
2031-11-23
Fixed
0.03125000
N
N
N
N
N
N
MILLICOM INTL CELLULAR SA
549300CTHC1CP86P2G96
MILLICOM INTL CELLULAR SA 6.25% 03/25/2029 144A
600814AQ0
1440000.00000000
PA
USD
1314576.00000000
0.052922372980
Long
DBT
CORP
LU
N
2
2029-03-25
Fixed
0.06250000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
HUMANA INC 3.7% 03/23/2029
444859BT8
585000.00000000
PA
USD
541619.65000000
0.021804594888
Long
DBT
CORP
US
N
2
2029-03-23
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 6/38 #G05299
3128M7GG5
1646.96900000
PA
USD
1604.53000000
0.000064595379
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/45#AZ0560
3138YRTS7
5400.28140000
PA
USD
5081.94000000
0.000204589406
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AD8812
36180MYH4
8891.21660000
PA
USD
7957.22000000
0.000320342806
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
APOLLO AVIATION SECURITIZATION EQUITY TRUST
N/A
APOLLO AVIATION SECURITIZATION EQUITY TRUST 4.335% 01/16/2040 144A
00255UAB1
138938.77000000
PA
USD
71556.02000000
0.002880711635
Long
ABS-CBDO
CORP
US
N
2
2040-01-16
Fixed
0.04335000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 5/34 #A21977
31296YFS7
812.58700000
PA
USD
807.29000000
0.000032499986
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2045#AZ4750
3138YWH42
33869.70070000
PA
USD
30905.01000000
0.001244177944
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/27 #368821
31376XVN5
66.72390000
PA
USD
67.45000000
0.000002715410
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07500000
N
N
N
N
N
N
GM FINANCIAL LEASING TRUST 2023-3
N/A
GM FINANCIAL LEASING TRUST 2023-3 5.38% 11/20/2026
379929AD4
419000.00000000
PA
USD
418792.26000000
0.016859793716
Long
ABS-CBDO
CORP
US
N
2
2026-11-20
Fixed
0.05380000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 9/41 #Q03210
3132GJGT0
2224.02980000
PA
USD
2111.27000000
0.000084995784
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#BC0824
3140EU4J5
63713.03430000
PA
USD
58096.27000000
0.002338847255
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 12/31/2029
91282CGB1
100000000.00000000
PA
USD
97988281.00000000
3.944825065097
Long
DBT
UST
US
N
2
2029-12-31
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE4058
31419EQL6
6622.16860000
PA
USD
6281.37000000
0.000252876217
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE7386
31419JF45
5798.37970000
PA
USD
5494.30000000
0.000221190249
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050
3136BKWX6
208694.76200000
PA
USD
181162.46000000
0.007293262069
Long
ABS-CBDO
USGSE
US
N
2
2050-02-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/40#AE8996
31419K7J8
8292.57680000
PA
USD
7862.18000000
0.000316516673
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5.5% 04/01/2053#RA8883
3133KQ2Q8
3081708.42000000
PA
USD
3046005.90000000
0.122626504926
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
0.05500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5.0% 09/15/2024
31395FLJ1
86.83700000
PA
USD
86.52000000
0.000003483133
Long
ABS-CBDO
USGSE
US
N
2
2024-09-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/32#BJ6650
3140H8L86
7708.40360000
PA
USD
7247.04000000
0.000291752286
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/31 #564650
36213UH37
384.95240000
PA
USD
394.14000000
0.000015867339
Long
ABS-MBS
USGA
US
N
2
2031-06-15
Fixed
0.07000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US ULTRA BOND CBT FUT DEC23 WNZ3
N/A
2.00000000
NC
USD
4042.26000000
0.000162733833
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UNITED STATES TREASURY BOND
UNITED STATES TREASURY BOND 0% 06/30/2040
2023-12-19
254895.24000000
USD
4042.26000000
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1.5% 03/25/2045
3136BCMH0
422480.64400000
PA
USD
354501.69000000
0.014271575519
Long
ABS-CBDO
USGSE
US
N
2
2045-03-25
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.54% 4/37 #918912
31411Y3V3
678.11190000
PA
USD
679.60000000
0.000027359425
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Variable
0.03945000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.4% 06/10/2025
172967JT9
1669000.00000000
PA
USD
1627444.27000000
0.065517864818
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
0.04400000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.49% 01/23/2027
71654QDB5
570000.00000000
PA
USD
497119.80000000
0.020013114092
Long
DBT
CORP
MX
N
2
2027-01-23
Fixed
0.06490000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/40 #737177
3620AQ6N8
14986.69150000
PA
USD
14894.04000000
0.000599606215
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 01/01/2051#FM5651
3140X9H57
371408.77700000
PA
USD
309564.91000000
0.012462504738
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15992
3132J7C67
9706.12290000
PA
USD
9190.76000000
0.000370002821
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 20-49 JA 2% 08/25/2044
3136BAF41
117072.79900000
PA
USD
103956.74000000
0.004185104070
Long
ABS-CBDO
USGSE
US
N
2
2044-08-25
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 6/46#V82414
3132L7VF3
171359.08520000
PA
USD
151470.28000000
0.006097910393
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 11/20/2047#784391
3622A22Y7
166535.03410000
PA
USD
153329.91000000
0.006172775621
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2039#A89270
312936JP3
3185.32610000
PA
USD
3099.64000000
0.000124785713
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2009-116 KF TSFR1M+64.448 12/39
38376PA42
34429.74290000
PA
USD
33869.94000000
0.001363540485
Long
ABS-CBDO
USGA
US
N
2
2039-12-16
Variable
0.05957090
N
N
N
N
N
N
ARES LIX CLO LTD
N/A
ARES LIX CLO LTD 2021-59A A TSFR3M+129.161 04/25/2034 144A
04018EAA9
657000.00000000
PA
USD
648526.01000000
0.026108445147
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Variable
0.06642820
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 9/40 #004800
36202FKM7
45685.35930000
PA
USD
43631.80000000
0.001756534725
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 08/01/2036#RC2195
3133L8NL5
1659183.03400000
PA
USD
1462114.07000000
0.058861979948
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2045#Q33547
3132QP5H3
95241.36760000
PA
USD
87075.93000000
0.003505514207
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Securities Lending Cash Central Fund
31635A303
50196714.09400000
NS
USD
50201733.77000000
2.021027980756
Long
STIV
RF
US
N
1
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2046#FM8703
3140XCU55
44278.70800000
PA
USD
39143.45000000
0.001575842142
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2047#CA0181
3140Q7FX0
229918.11620000
PA
USD
215574.38000000
0.008678621656
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#MA4466
31418D6C1
2166348.39800000
PA
USD
1797502.45000000
0.072364089327
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
MAGALLANES INC 4.279% 03/15/2032
55903VBC6
8816000.00000000
PA
USD
7779586.72000000
0.313191622263
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
0.04279000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2502 ZC 6 9/32
31392UTM6
1821.19340000
PA
USD
1853.24000000
0.000074607978
Long
ABS-CBDO
USGSE
US
N
2
2032-09-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2046#BC9079
3140F5CR2
9100.46710000
PA
USD
8797.41000000
0.000354167285
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.04500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 4.125% 08/15/2053
912810TT5
26241000.00000000
PA
USD
25888386.56000000
1.042218060717
Long
DBT
UST
US
N
2
2053-08-15
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 10/27 #256946
31371NL37
392.28710000
PA
USD
394.35000000
0.000015875794
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
0.06500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.625% 05/15/2053
912810TR9
45971000.00000000
PA
USD
41460095.63000000
1.669105966279
Long
DBT
UST
US
N
2
2053-05-15
Fixed
0.03625000
N
N
N
N
N
N
PLANET FITNESS MASTER ISSUER LLC 18-1A
N/A
PLANET FITNESS MASTER ISSUER LLC 18-1A 3.251% 12/05/2051 144A
72703PAD5
1108962.50000000
PA
USD
995216.22000000
0.040065545081
Long
ABS-CBDO
CORP
US
N
2
2051-12-05
Fixed
0.03251000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 5.5% 8/53 #RA9561
3133KRTS3
487448.81000000
PA
USD
485000.45000000
0.019525211711
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#FM9777
3140XD2K1
192560.25900000
PA
USD
167219.19000000
0.006731932077
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2009-59 HB 5% 8/25/39
31396QRH4
92030.80090000
PA
USD
90743.53000000
0.003653164929
Long
ABS-CBDO
USGSE
US
N
2
2039-08-25
Fixed
0.05000000
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 6.72/VAR 01/18/2029
251526CS6
980000.00000000
PA
USD
992207.91000000
0.039944436142
Long
DBT
CORP
US
N
2
2029-01-18
Variable
0.06720000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#SD1924
3132DPD54
673113.45600000
PA
USD
657072.56000000
0.026452513278
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT 3857 ZP 5% 05/15/2041
3137AAL35
314134.74330000
PA
USD
311675.54000000
0.012547474757
Long
ABS-CBDO
USGSE
US
N
2
2041-05-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 1.5% 11/01/2035#CA7953
3140QFZT9
148771.70000000
PA
USD
127239.50000000
0.005122424475
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.34% 9/36 #893580
31410PXH1
373.37880000
PA
USD
379.15000000
0.000015263870
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Variable
0.03815000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2048#BM4426
3140J84L4
332104.46040000
PA
USD
302308.15000000
0.012170361142
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 06/01/2031#J34653
31307RE27
22020.58840000
PA
USD
20842.61000000
0.000839084526
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 1.5% 10/25/2051
3136BJHA6
214497.37800000
PA
USD
172006.78000000
0.006924671503
Long
ABS-CBDO
USGSE
US
N
2
2051-10-25
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#727221
31402E4E5
1921.63920000
PA
USD
1870.38000000
0.000075298003
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2% 02/25/2048
3136BLFC9
956554.36900000
PA
USD
820161.48000000
0.033018168404
Long
ABS-CBDO
USGSE
US
N
2
2048-02-25
Fixed
0.02000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
BARCLAYS PLC 4.375% 01/12/2026
06738EAN5
900000.00000000
PA
USD
867560.02000000
0.034926345042
Long
DBT
CORP
GB
N
2
2026-01-12
Fixed
0.04375000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2043#MA0783
36179M2Q2
13606.28950000
PA
USD
12614.39000000
0.000507831766
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT DEC23 FVZ3
N/A
-207.00000000
NC
USD
-153416.24000000
-0.00617625110
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
UST NOTES 0% 06/30/2040
2023-12-29
-21979411.89000000
USD
-153416.24000000
N
N
N
BX TRUST 2022-IND
N/A
BX TRUST 2022-IND TSFR1M+219.7 04/15/2024 144A
05609WAJ2
168448.67000000
PA
USD
163816.33000000
0.006594939293
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Variable
0.07600480
N
N
N
N
N
N
SYSCO CORP
5RGWIFLMGH3YS7KWI652
SYSCO CORP 6.6% 04/01/2050
871829BN6
710000.00000000
PA
USD
782823.86000000
0.031515025602
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
0.06600000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.625% 12/15/2029
15135BAT8
3670000.00000000
PA
USD
3374565.00000000
0.135853680255
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.04625000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY451600 12/16/72 S
N/A
40000.00000000
NC
USD
-694.96000000
-0.00002797779
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX AAA CDSI S13 PRC INDX
CY451600
Y
2072-12-16
0.00000000
USD
946.64000000
USD
40000.00000000
USD
251.68000000
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD 5.25% 05/15/2024 144A
05401AAD3
730000.00000000
PA
USD
720675.24000000
0.029013038309
Long
DBT
CORP
KY
N
2
2024-05-15
Fixed
0.05250000
N
N
N
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP 3.875% 01/15/2026
04010LAZ6
2603000.00000000
PA
USD
2434734.32000000
0.098017853506
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.03875000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.464% 5/1/41#1B8304
3128UGTL1
9419.65310000
PA
USD
9511.87000000
0.000382930109
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.05568000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 11/35 #843132
31407WVZ3
3253.76930000
PA
USD
3331.07000000
0.000134102652
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.06000000
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST
N/A
CASCADE FUNDING MORTGAGE TRUST 0.8983% 06/25/2036 144A
12527LAA0
572506.52000000
PA
USD
553652.33000000
0.022289008098
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Fixed
0.00898300
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS LTD
635400CPI3EOIFF6OC33
PARK AEROSPACE HOLDINGS LTD 5.5% 02/15/2024 144A
70014LAB6
5175000.00000000
PA
USD
5140463.45000000
0.206945451607
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2034#FM8940
3140XC5A2
283753.54600000
PA
USD
269072.48000000
0.010832355181
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 07/01/2045#AZ1783
3138YS6V3
20893.89360000
PA
USD
19688.34000000
0.000792615773
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2041#FM9396
3140XDNN2
1247190.91900000
PA
USD
1034524.16000000
0.041648009284
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.0% 04/01/2045#AY7471
3138YMJR1
12292.52820000
PA
USD
11594.79000000
0.000466784576
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#BP2187
3140K9ND7
103731.17440000
PA
USD
90631.15000000
0.003648640720
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 09/01/2053 #TBA
01F020695
-44050000.00000000
PA
USD
-35066641.23000000
-1.41171744070
Short
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 04/01/2053#CB6082
3140QRXL2
3871591.18900000
PA
USD
3826737.64000000
0.154057305687
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 9/42 #AP4410
3138M73U7
16534.23430000
PA
USD
15196.94000000
0.000611800403
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2045#Q38812
3132QVYJ4
4861.95880000
PA
USD
4581.17000000
0.000184429342
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-VINO
N/A
BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A
05610HAA1
2068107.33000000
PA
USD
2011036.67000000
0.080960577955
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.06323380
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2432 FG SOFR30A+101.448 3/32
31339NNN2
159.00640000
PA
USD
158.78000000
0.000006392186
Long
ABS-CBDO
USGSE
US
N
2
2032-03-15
Variable
0.06202990
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 02/20/2043#AD1755
36180C5Q8
17579.80650000
PA
USD
16223.86000000
0.000653142283
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
0.03500000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
MAGALLANES INC 5.141% 03/15/2052
55903VBE2
1091000.00000000
PA
USD
869646.46000000
0.035010341218
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
0.05141000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.273%/VAR 03/01/2030
14040HCN3
1358000.00000000
PA
USD
1165438.02000000
0.046918356625
Long
DBT
CORP
US
N
2
2030-03-01
Variable
0.03273000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #433685
36207JXN8
41.80410000
PA
USD
42.40000000
0.000001706944
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#733816
3620AMGZ9
10196.37070000
PA
USD
9678.38000000
0.000389633491
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 06/20/2040#004709
36202FGS9
3889.14640000
PA
USD
3767.43000000
0.000151669690
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 5% 09/01/2053 #TBA
21H050698
3600000.00000000
PA
USD
3503151.72000000
0.141030341290
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 11/25/2040
3137F6YL5
235303.61600000
PA
USD
211826.50000000
0.008527739012
Long
ABS-CBDO
USGSE
US
N
2
2040-11-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 02/01/2042#AJ5602
3138AXGL9
64668.91040000
PA
USD
61243.46000000
0.002465547243
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
VERIZON MASTER TRUST
N/A
VERIZON MASTER TRUST 2021-1 A 0.5% 05/20/2027
92348KAA1
600000.00000000
PA
USD
577357.68000000
0.023243341186
Long
ABS-CBDO
CORP
US
N
2
2027-05-20
Fixed
0.00500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #737015
3620AQYL1
5296.56620000
PA
USD
5148.52000000
0.000207269793
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051
3137H2UC6
211479.26600000
PA
USD
169964.60000000
0.006842457153
Long
ABS-CBDO
USGSE
US
N
2
2051-10-25
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2145 MZ 6.5% 4/29
3133TKE22
9029.05080000
PA
USD
9065.64000000
0.000364965723
Long
ABS-CBDO
USGSE
US
N
2
2029-04-15
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD
N/A
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.5% 11/25/2051
3137H3V82
269224.53800000
PA
USD
217181.47000000
0.008743320096
Long
ABS-CBDO
USGSE
US
N
2
2051-11-25
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR0015
3138NWAR0
11528.77280000
PA
USD
10286.81000000
0.000414127745
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2035#AB8197
31417FDB1
10688.47660000
PA
USD
10399.59000000
0.000418668057
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2051#BT9503
3140LYRZ8
162054.63900000
PA
USD
139867.22000000
0.005630792882
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.03000000
N
N
N
N
N
N
CANADIAN NATURAL RESOURCES LTD
549300T15RIMIKZC5Q38
CANADIAN NATL RESOURCES LTD 3.9% 02/01/2025
136385AV3
525000.00000000
PA
USD
510216.91000000
0.020540379264
Long
DBT
CORP
CA
N
2
2025-02-01
Fixed
0.03900000
N
N
N
N
N
N
CSMC TR 2017-PFHP
N/A
CSMC TR 2017-PFHP D TSFR1M+229.7 12/15/2020 144A
12595KAG6
1296000.00000000
PA
USD
1209665.53000000
0.048698873522
Long
ABS-MBS
CORP
US
N
2
2030-12-15
Variable
0.07608000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 03/20/2043#AA6141
36178DZE4
8197.68550000
PA
USD
7560.33000000
0.000304364756
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2010-160 DY 4% 12/20/2040
38377RLW3
124241.30080000
PA
USD
118738.17000000
0.004780176817
Long
ABS-CBDO
USGA
US
N
2
2040-12-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 05/01/2036#QN6401
3133GDDE7
536226.30900000
PA
USD
473038.90000000
0.019043662062
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.50% 9/39 #G06670
3128M8W75
16832.24700000
PA
USD
17687.91000000
0.000712082200
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 03/01/2033#G18680
3128MMXJ7
48228.79290000
PA
USD
44391.37000000
0.001787113594
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.58% 7/35 #995273
31416BT65
3641.47450000
PA
USD
3666.70000000
0.000147614489
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.04454000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MSCS SWAP CY873248 04/17/65 B
N/A
130000.00000000
NC
USD
31268.76000000
0.001258821840
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
32742.53000000
USD
0.00000000
USD
130000.00000000
USD
-1473.77000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2052#RA6986
3133KNXP3
127880.80390000
PA
USD
115008.68000000
0.004630034519
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2032#C91403
3128P7RY1
223983.63690000
PA
USD
213050.01000000
0.008576995238
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.03500000
N
N
N
N
N
N
GS MTG SECS TR 2018-GS9
N/A
GS MTG SECS TR 2018-GS9 3.992% 03/10/2051
36255NAT2
200000.00000000
PA
USD
185567.36000000
0.007470595111
Long
ABS-MBS
CORP
US
N
2
2051-03-10
Fixed
0.03992000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 02/01/2051#SD7535
3132DVLQ6
974480.21420000
PA
USD
820440.13000000
0.033029386332
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.50% 10/35 #612663
36202XTU1
1463.68520000
PA
USD
1475.68000000
0.000059408118
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 1.5% 11/01/2040#MA4175
31418DT93
58982.93700000
PA
USD
47708.72000000
0.001920663905
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 08/01/2053#CB6911
3140QSVD0
1374999.36200000
PA
USD
1374108.64000000
0.055319045807
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
0.05500000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
COREBRIDGE FINANCIAL INC 3.85% 04/05/2029
21871XAF6
623000.00000000
PA
USD
570138.99000000
0.022952730218
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 12/01/2052#CB5273
3140QQ2F1
240689.45000000
PA
USD
234878.39000000
0.009455765022
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-74 SV SOFR30A+743.552 11/32
31392FRK5
2139.06470000
PA
USD
51.39000000
0.000002068865
Long
ABS-CBDO
USGSE
US
N
2
2032-11-25
Variable
0.02147940
N
N
N
N
N
N
LOWES COS INC
WAFCR4OKGSC504WU3E95
LOWES COS INC 4.45% 04/01/2062
548661EF0
2116000.00000000
PA
USD
1650234.61000000
0.066435361314
Long
DBT
CORP
US
N
2
2062-04-01
Fixed
0.04450000
N
N
N
N
N
N
DLLAA 2023-1A
N/A
DLLAA 2023-1A 5.64% 02/22/2028 144A
23292HAC5
421000.00000000
PA
USD
422698.74000000
0.017017061300
Long
ABS-CBDO
CORP
US
N
2
2028-02-22
Fixed
0.05640000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/01/2033#729327
31402HHC8
396.04370000
PA
USD
385.83000000
0.000015532794
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 1929 EZ 7.5 2/2027
3133T9A39
1957.18220000
PA
USD
1975.21000000
0.000079518263
Long
ABS-CBDO
USGSE
US
N
2
2027-02-17
Fixed
0.07500000
N
N
N
N
N
N
LOWES COS INC
WAFCR4OKGSC504WU3E95
LOWES COS INC 4.25% 04/01/2052
548661EJ2
1870000.00000000
PA
USD
1479334.97000000
0.059555261198
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15400
3132J6NS9
6568.11070000
PA
USD
6218.87000000
0.000250360083
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 5/43#AT2722
3138WQAY8
109719.89500000
PA
USD
97811.27000000
0.003937698933
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
OVINTIV INC 5.15% 11/15/2041
292505AK0
1916000.00000000
PA
USD
1567122.06000000
0.063089405378
Long
DBT
CORP
US
N
2
2041-11-15
Fixed
0.05150000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/40 #A93505
3129413N5
1813.88610000
PA
USD
1765.46000000
0.000071074120
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 06/01/2042#AO2244
3138LSP61
9089.96690000
PA
USD
9202.65000000
0.000370481490
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Variable
0.05189000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 1.5% 11/01/2035#SB8073
3132D56J6
412177.11700000
PA
USD
352521.40000000
0.014191852745
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 04/01/2043#Q17518
3132J8YQ7
4628.11100000
PA
USD
4385.76000000
0.000176562501
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 09/01/2053 #TBA
21H022697
17100000.00000000
PA
USD
14555068.56000000
0.585959858604
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2035#AB0067
31416VCD4
107545.03910000
PA
USD
106629.44000000
0.004292701977
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR7033
3138W4Y70
6856.44570000
PA
USD
6129.17000000
0.000246748929
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/24 #284385
31372V2S4
16.41830000
PA
USD
16.38000000
0.000000659428
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
0.07000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
AMGEN INC 5.6% 03/02/2043
031162DS6
888000.00000000
PA
USD
871324.02000000
0.035077876648
Long
DBT
CORP
US
N
2
2043-03-02
Fixed
0.05600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 9/40#V81958
3132L7E70
16680.59810000
PA
USD
15240.08000000
0.000613537138
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #739091
3620ATC47
5369.54580000
PA
USD
5218.71000000
0.000210095511
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
160000.00000000
NC
USD
38484.62000000
0.001549318878
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
47074.90000000
USD
0.00000000
USD
160000.00000000
USD
-8590.28000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2049#
31418DFQ0
25663.41610000
PA
USD
22378.32000000
0.000900909340
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 04/01/2043#AT2016
3138WPG24
77667.67900000
PA
USD
69218.77000000
0.002786618318
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 03/01/2052#SD8199
3132DWDC4
385061.54500000
PA
USD
306767.33000000
0.012349879395
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 12/37 #A69815
3128L13Y4
1463.61850000
PA
USD
1508.98000000
0.000060748714
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 5/33 #G01785
31283H6W0
5490.84770000
PA
USD
5556.95000000
0.000223712421
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 11/01/2047#Q52086
3132XUJ89
12285.62660000
PA
USD
11159.38000000
0.000449255783
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/34#FM0045
3140X3BP2
43446.16510000
PA
USD
40452.11000000
0.001628526348
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2156 TC 6.25% 5/29
3133TKZ78
901.94700000
PA
USD
902.34000000
0.000036326522
Long
ABS-CBDO
USGSE
US
N
2
2029-05-15
Fixed
0.06250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/41 #004945
36202FP67
2682.78690000
PA
USD
2561.69000000
0.000103128851
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.908% 07/23/2025
161175AY0
807000.00000000
PA
USD
792523.88000000
0.031905530279
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
0.04908000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 11/35 #A47571
3128K8MU7
933.56110000
PA
USD
928.63000000
0.000037384908
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 01/01/2031#ZS8593
3132A9RN9
6517.31830000
PA
USD
6071.58000000
0.000244430463
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2046#FM8575
3140XCQ50
144806.03900000
PA
USD
129053.68000000
0.005195459971
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2052#RA6988
3133KNXR9
948951.34310000
PA
USD
818211.85000000
0.032939679944
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 1999-25 Z 6% 6/29
31359VU27
2470.94540000
PA
USD
2451.91000000
0.000098709314
Long
ABS-CBDO
USGSE
US
N
2
2029-06-25
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2052#RA8292
3133KQF92
509502.38000000
PA
USD
496882.82000000
0.020003573720
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2041#005258
36202FZX7
30797.67660000
PA
USD
28609.05000000
0.001151746886
Long
ABS-MBS
USGA
US
N
2
2041-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/46#MA3664
36179SB97
29960.36170000
PA
USD
28533.08000000
0.001148688476
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AB8529
31417FPP7
50478.61260000
PA
USD
45020.87000000
0.001812456087
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST 2023-C
N/A
WORLD OMNI AUTO RECEIVABLES TRUST 2023-C 5.15% 11/15/2028
98164FAD4
514000.00000000
PA
USD
513161.61000000
0.020658927383
Long
ABS-CBDO
CORP
US
N
2
2028-11-15
Fixed
0.05150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2347
3140QMTD6
232008.14080000
PA
USD
186719.20000000
0.007516966036
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 09/01/2052#BW9350
3140N2L82
53594.61800000
PA
USD
52953.85000000
0.002131823036
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
0.05000000
N
N
N
N
N
N
BANK 2017-BNK9
N/A
BANK 2017-BNK9 A4 3.538% 11/15/2054
06540RAE4
700000.00000000
PA
USD
643571.95000000
0.025909003950
Long
ABS-MBS
CORP
US
N
2
2054-11-15
Fixed
0.03538000
N
N
N
N
N
N
VOYA 2020
N/A
VOYA 2020 3ML+115 07/16/2034 144A
92918EAL1
860000.00000000
PA
USD
851916.00000000
0.034296546034
Long
ABS-CBDO
CORP
KY
N
2
2034-07-16
Variable
0.06719570
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 07/01/2041#
3133KYVK2
20466.69900000
PA
USD
16976.79000000
0.000683453837
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 5.71% 01/15/2026 144A
46115HAW7
3773000.00000000
PA
USD
3619456.56000000
0.145712556789
Long
DBT
CORP
IT
N
2
2026-01-15
Fixed
0.05710000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/41#A97555
312946MC7
3724.69320000
PA
USD
3626.04000000
0.000145977593
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2009-108 CF TSFR1M+71.448 11/39
38376ENU5
55708.36680000
PA
USD
54935.36000000
0.002211594926
Long
ABS-CBDO
USGA
US
N
2
2039-11-16
Variable
0.06027090
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#QC9114
3133AUDT2
200616.94080000
PA
USD
161330.31000000
0.006494856774
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 05/01/2034#
31296XSH9
391.77820000
PA
USD
389.14000000
0.000015666049
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.05000000
N
N
N
N
N
N
HEALTHCARE TRUST OF AMERICA HOLDINGS LP
549300IYGAS4GE6VDL07
HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.5% 08/01/2026
42225UAD6
270000.00000000
PA
USD
252052.23000000
0.010147151725
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/34 #255070
31371LJP5
11737.78600000
PA
USD
11959.82000000
0.000481480001
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.06000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.65% 05/11/2027
14040HCE3
2746000.00000000
PA
USD
2553769.87000000
0.102810002286
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
0.03650000
N
N
N
N
N
N
COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP
N/A
COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP TSFR3M+157.161 01/20/2034 144A
19736WAC4
2220000.00000000
PA
USD
2201374.20000000
0.088623211196
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Variable
0.06897750
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 1.5% 09/01/2053 #TBA
01F012692
-2200000.00000000
PA
USD
-1658513.34000000
-0.06676864751
Short
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 02/01/2041#RB5099
3133KYUY3
63397.08300000
PA
USD
51061.20000000
0.002055628484
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4.5% 12/01/2042#RB5198
3133KYX38
52008.19300000
PA
USD
50016.22000000
0.002013559543
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 03/20/2043 #MA1090
36179NF78
34331.17140000
PA
USD
31811.73000000
0.001280680797
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2010-H19 FG TSFR1M+41.448 8/60
38375BFQ0
376902.09470000
PA
USD
373738.72000000
0.015046022395
Long
ABS-CBDO
USGA
US
N
2
2060-08-20
Variable
0.05555260
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 09/01/2051#QC7439
3133ASHQ9
115451.12800000
PA
USD
92265.18000000
0.003714423714
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 8/35 #357953
31376KTJ5
739.79250000
PA
USD
756.44000000
0.000030452860
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.5% 05/01/2039#FM1194
3140X4KG0
596800.05300000
PA
USD
583080.46000000
0.023473729614
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 12/20/2063
38375UDY3
65912.43020000
PA
USD
65760.53000000
0.002647396039
Long
ABS-CBDO
USGA
US
N
2
2063-12-20
Variable
0.05817710
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 12/01/2033#
31296RHY7
682.36600000
PA
USD
677.32000000
0.000027267637
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/45#G60179
31335AFU7
158222.67230000
PA
USD
149431.17000000
0.006015819635
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2001-31 ZC 6.5% 7/31
313920CW8
1380.71420000
PA
USD
1383.51000000
0.000055697526
Long
ABS-CBDO
USGSE
US
N
2
2031-07-25
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2049#BN4472
3140JL6J8
6703.28640000
PA
USD
6264.15000000
0.000252182972
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #783008
36241LKV7
24964.46900000
PA
USD
24264.89000000
0.000976859123
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 09/01/2053 #TBA
01F052698
9950000.00000000
PA
USD
9828734.38000000
0.395686477451
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.05500000
N
N
N
N
N
N
BAE SYSTEMS HOLDINGS INC
MF62XBVMNYTYMC18DL76
BAE SYSTEMS HOLDINGS INC 3.8% 10/07/2024 144A
05523UAK6
1040000.00000000
PA
USD
1016919.86000000
0.040939293066
Long
DBT
CORP
US
N
2
2024-10-07
Fixed
0.03800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 07/01/2050#CA6399
3140QEDD1
3321620.93630000
PA
USD
2789292.65000000
0.112291709246
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK3455
3138E7ZV9
4571.34510000
PA
USD
4333.90000000
0.000174474714
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 05/15/2032
91282CEP2
2750400.00000000
PA
USD
2499533.43000000
0.100626544573
Long
DBT
UST
US
N
2
2032-05-15
Fixed
0.02875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/33 #713686
31401N2T5
960.62870000
PA
USD
935.22000000
0.000037650209
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 10/41 #Q04092
3132GKF92
59115.97530000
PA
USD
56121.20000000
0.002259334628
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04000000
N
N
N
N
N
N
STORE CAPITAL CORP
5493004EA6C9IHDZ7N66
STORE CAP CORP 4.625% 03/15/2029
862121AB6
315000.00000000
PA
USD
271121.05000000
0.010914826781
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.04625000
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC 4.1% 06/15/2030
745310AK8
683000.00000000
PA
USD
610881.45000000
0.024592945515
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
0.04100000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047
3137H5BG1
150599.21800000
PA
USD
132027.88000000
0.005315195705
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/45#BA6404
3140EBDJ7
28796.37230000
PA
USD
27098.86000000
0.001090949459
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #449474
36208FJT8
154.51690000
PA
USD
157.54000000
0.000006342265
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.60% 8/35 #735810
31402RN39
8246.08430000
PA
USD
8324.18000000
0.000335115929
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Variable
0.05057000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT1745
3138WN5F2
29067.72370000
PA
USD
26672.15000000
0.001073770912
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 02/01/2051#CA8820
3140QGYS0
580446.65500000
PA
USD
464238.85000000
0.018689388496
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNMA 2004-24 ZM 5% 04/34
38374F2L7
16342.44860000
PA
USD
15918.94000000
0.000640866773
Long
ABS-CBDO
USGA
US
N
2
2034-04-20
Fixed
0.05000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST 23-2
N/A
GM FINANCIAL AUTOMOBILE LEASING TRUST 23-2 5.44% 10/20/2025
362548AB5
509000.00000000
PA
USD
507446.33000000
0.020428840891
Long
ABS-CBDO
CORP
US
N
2
2025-10-20
Fixed
0.05440000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 12ML+187.9 10/42#849255
31300MH89
19596.22980000
PA
USD
19638.95000000
0.000790627424
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Variable
0.04936000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 12/41 #711616
36297GSD3
10744.16630000
PA
USD
9938.36000000
0.000400099800
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.53% 08/25/2032
3137H93C1
1700000.00000000
PA
USD
1543125.02000000
0.062123329395
Long
ABS-MBS
USGSE
US
N
2
2032-08-25
Fixed
0.03530000
N
N
N
N
N
N
LONDON CLEARING HOUSE
N/A
LCH OIS SOFRV3.75% MAC 09/20/28
N/A
939000.00000000
NC
USD
-17183.05000000
-0.00069175748
N/A
DO
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2028-09-20
0.00000000
USD
0.00000000
USD
945796.26000000
USD
-17183.05000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AB7767
31417ETZ4
61057.32710000
PA
USD
54470.27000000
0.002192871272
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2002-16 ZD 6.50% 4/32
31392CVK7
1163.88600000
PA
USD
1185.49000000
0.000047725611
Long
ABS-CBDO
USGSE
US
N
2
2032-04-25
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2048#CA1218
3140Q8K87
12832.95320000
PA
USD
12385.55000000
0.000498619095
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.64% 1/35 #813730
31406MA71
1400.98980000
PA
USD
1403.01000000
0.000056482560
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
0.04724000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2045#Q32008
3132QNGS2
62974.18780000
PA
USD
57614.51000000
0.002319452498
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY562346 11/18/64 S
N/A
1230000.00000000
NC
USD
-34035.82000000
-0.00137021850
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX AAA CDSI S15 PRC INDX
CY562346
Y
2064-11-18
0.00000000
USD
33459.05000000
USD
1230000.00000000
USD
-576.77000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/46#BC2843
3140EXER0
104869.34040000
PA
USD
98949.59000000
0.003983525568
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/41 #Q02592
3132GF2Z9
13387.66490000
PA
USD
13031.54000000
0.000524625446
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 4.6% 04/01/2024
92936UAA7
1250000.00000000
PA
USD
1240180.48000000
0.049927348381
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04600000
N
N
N
N
N
N
CLECO CORPORATE HLDGS LLC
5493002H80P81B3HXL31
CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029
18551PAE9
2173000.00000000
PA
USD
1840796.08000000
0.074107009960
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.03375000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
MAGALLANES INC 3.755% 03/15/2027
55903VBA0
973000.00000000
PA
USD
912593.94000000
0.036739326499
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.03755000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033
38141GZM9
4272000.00000000
PA
USD
3553197.30000000
0.143045082812
Long
DBT
CORP
US
N
2
2033-02-24
Variable
0.03102000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 07/01/2041#CB2014
3140QMGY4
120472.63500000
PA
USD
103800.84000000
0.004178827827
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 01/01/2051#SD8120
3132DWAV5
1525126.69500000
PA
USD
1152585.98000000
0.046400957514
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.406% 08/25/2030
3137FX3Q9
700000.00000000
PA
USD
560301.14000000
0.022556676762
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Fixed
0.01406000
N
N
N
N
N
N
SAUDI ARABIA KINGDOM OF
54930044PULMORCKB765
SAUDI ARABIA KINGDOM OF 3.25% 10/22/2030 144A
80413TAT6
595000.00000000
PA
USD
534048.20000000
0.021499782462
Long
DBT
NUSS
SA
N
2
2030-10-22
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55725
3132XYLF2
31148.11480000
PA
USD
29251.92000000
0.001177627630
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-VINO
N/A
BX COMMERCIAL MORTGAGE TRUST 22-LP2 TSFR1M+196.27 02/15/2039 144A
05610HAG8
622943.42000000
PA
USD
593642.78000000
0.023898948877
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.07271280
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 12/20/2050#MA7051
36179VZQ6
494884.89600000
PA
USD
409633.55000000
0.016491081168
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
0.02000000
N
N
N
N
N
N
NEW RESIDENTIAL MTG LN TR 2020-1
N/A
NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A
64830TAD0
423023.35000000
PA
USD
383949.15000000
0.015457075225
Long
ABS-CBDO
CORP
US
N
2
2059-10-25
Fixed
0.03500000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
EDISON INTERNATIONAL 5.75% 06/15/2027
281020AN7
2985000.00000000
PA
USD
2991313.28000000
0.120424682258
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.05750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 12/39 #AC6795
31417TRR1
15220.14110000
PA
USD
14796.10000000
0.000595663333
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.04500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 6.45% 03/15/2037
20030NAM3
365000.00000000
PA
USD
398847.39000000
0.016056850525
Long
DBT
CORP
US
N
2
2037-03-15
Fixed
0.06450000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 4683 LM 3% 05/15/2047
3137BYKR0
92860.82770000
PA
USD
86538.93000000
0.003483895591
Long
ABS-CBDO
USGSE
US
N
2
2047-05-15
Fixed
0.03000000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1
N/A
CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A
14855MAB4
488889.78100000
PA
USD
312899.24000000
0.012596738632
Long
ABS-CBDO
CORP
US
N
2
2039-04-15
Fixed
0.05095000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045
3136ANY68
65534.68710000
PA
USD
11048.03000000
0.000444773040
Long
ABS-CBDO
USGSE
US
N
2
2045-06-25
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.25% 01/25/2032
3137H6LZ6
230000.00000000
PA
USD
189520.67000000
0.007629747983
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Fixed
0.02250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2042#AL2266
3138EJQU5
29413.90030000
PA
USD
27055.08000000
0.001089186958
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/40 #AE4428
31419E4N6
3321.32860000
PA
USD
3152.86000000
0.000126928251
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2008-2 FD TSFR1M+59.448 1/38
38374DMX4
11159.29890000
PA
USD
10964.50000000
0.000441410278
Long
ABS-CBDO
USGA
US
N
2
2038-01-20
Variable
0.05908460
N
N
N
N
N
N
CELANESE US HLDGS LLC
CD30XVRLT4QO00B1C706
CELANESE US HLDGS LLC 6.7% 11/15/2033
15089QAY0
607000.00000000
PA
USD
609552.54000000
0.024539446082
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
0.06700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 04/01/2042#SC0270
3132D9JP0
62320.23700000
PA
USD
53637.53000000
0.002159346715
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.02500000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 4.55% 06/24/2024
969457BW9
70000.00000000
PA
USD
69248.67000000
0.002787822037
Long
DBT
CORP
US
N
2
2024-06-24
Fixed
0.04550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 10/01/2041#CB1837
3140QMBF0
238120.68500000
PA
USD
198484.52000000
0.007990615832
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 2/34 #725162
31402CTT9
4518.37200000
PA
USD
4601.78000000
0.000185259062
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.06000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV FIN INC
5493000EYEKDT0FBSQ91
ANHEUSER-BUSCH INBEV FIN INC 4.9% 02/01/2046
035242AN6
4500000.00000000
PA
USD
4186120.55000000
0.168525390002
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
0.04900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/42#G60488
31335ARH3
124235.08450000
PA
USD
117934.80000000
0.004747834642
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047
38380HC42
130702.77440000
PA
USD
116602.18000000
0.004694185851
Long
ABS-CBDO
USGA
US
N
2
2047-09-20
Fixed
0.03000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT EFX 5.5422% 07/05/2033 144A
46645WBG7
218000.00000000
PA
USD
174550.90000000
0.007027093019
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Variable
0.05363500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/27 #190284
31368HJ53
27.91450000
PA
USD
28.37000000
0.000001142123
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 07/01/2040#CA6462
3140QEFC1
340184.41500000
PA
USD
294702.06000000
0.011864154173
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AB1801
31416XAB6
95045.85550000
PA
USD
90186.20000000
0.003630727865
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/27 #379801
31377K3J2
98.57810000
PA
USD
100.47000000
0.000004044734
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 08/01/2032#G18654
3128MMWQ2
5184.14550000
PA
USD
4787.86000000
0.000192750295
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047
3136BLES5
2433494.68100000
PA
USD
2034699.41000000
0.081913195645
Long
ABS-CBDO
USGSE
US
N
2
2047-10-25
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2% 10/01/2041#
3133KYVY2
21429.39200000
PA
USD
17775.32000000
0.000715601163
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 12/39 #704808
36296YAH5
2712.60680000
PA
USD
2636.02000000
0.000106121238
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2050#MA3991
31418DNH1
47643.43920000
PA
USD
41373.53000000
0.001665620995
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/28 #572167
31386STY3
8.92420000
PA
USD
9.18000000
0.000000369569
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2040#V81792
3132L67D7
42485.30780000
PA
USD
38842.87000000
0.001563741353
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.472% 12/01/2040#AE0653
31419AWP8
41423.96440000
PA
USD
42090.22000000
0.001694473595
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Variable
0.04505000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-VINO
N/A
BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A
05610HAC7
622943.42000000
PA
USD
604723.70000000
0.024345046008
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Variable
0.06622780
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.56% 6/33 #780605
31342AU64
12557.24300000
PA
USD
12563.49000000
0.000505782627
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Variable
0.04857000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049
3136BLYE4
152422.68800000
PA
USD
130848.26000000
0.005267706408
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.25% 05/15/2042
912810TH1
9100000.00000000
PA
USD
7770902.32000000
0.312842004549
Long
DBT
UST
US
N
2
2042-05-15
Fixed
0.03250000
N
N
N
N
N
N
SYMPHONY CLO LTD
N/A
SYMPHONY CLO LTD TSFR3M+155.161 04/18/2033 144A
87167GAA8
3000000.00000000
PA
USD
2990142.00000000
0.120377528714
Long
ABS-CBDO
CORP
KY
N
2
2033-04-18
Variable
0.06861500
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 04/01/2033
161175CJ1
6526000.00000000
PA
USD
5746155.73000000
0.231329490836
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
0.04400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.801% 2/33 #695019
31400RDY4
185.71710000
PA
USD
187.21000000
0.000007536724
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Variable
0.07023000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 1.5% 04/01/2051#SD8139
3132DWBG7
4371452.33100000
PA
USD
3299545.12000000
0.132833520089
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719216
3620A5AR0
7528.70490000
PA
USD
7317.95000000
0.000294606990
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.243% 10/25/2031
3137H4CD0
320000.00000000
PA
USD
264991.62000000
0.010668067384
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Fixed
0.02243000
N
N
N
N
N
N
CANADIAN NATURAL RESOURCES LTD
549300T15RIMIKZC5Q38
CANADIAN NATL RESOURCES LTD 3.85% 06/01/2027
136385AX9
2700000.00000000
PA
USD
2554274.49000000
0.102830317344
Long
DBT
CORP
CA
N
2
2027-06-01
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2042#AJ5572
3138AXFN6
88628.77080000
PA
USD
84063.66000000
0.003384245847
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHR 2162 PH 6 6/29
3133TLBA5
473.23730000
PA
USD
474.14000000
0.000019087990
Long
ABS-CBDO
USGSE
US
N
2
2029-06-15
Fixed
0.06000000
N
N
N
N
N
N
SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC
N/A
SYMPHONY CLO XXVI LTD 2021-26A AR TSFR3M+134.161 04/20/2033 144A
87190GAC5
1903000.00000000
PA
USD
1891473.53000000
0.076147189388
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Variable
0.06667750
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 2998 LY 5.5 7/25
31395VV55
2036.27000000
PA
USD
2026.71000000
0.000081591556
Long
ABS-CBDO
USGSE
US
N
2
2025-07-15
Fixed
0.05500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2012-76 GS TSFR1M+658.552 6/42
38375C5E6
12908.03980000
PA
USD
1079.01000000
0.000043438926
Long
ABS-CBDO
USGA
US
N
2
2042-06-16
Variable
0.01272910
N
N
N
N
N
N
INDONESIA REPUBLIC OF
254900G208H6Q0L5B953
INDONESIA REPUBLIC OF 4.2% 10/15/2050
455780CT1
2100000.00000000
PA
USD
1743714.00000000
0.070198666854
Long
DBT
NUSS
ID
N
2
2050-10-15
Fixed
0.04200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2046#V82292
3132L7RM3
28012.36740000
PA
USD
26394.61000000
0.001062597670
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 28YR 6.00% 6/36 #889046
31410GWF6
48982.85940000
PA
USD
50056.64000000
0.002015186776
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/27 #451326
36208HLF1
16.49180000
PA
USD
16.86000000
0.000000678752
Long
ABS-MBS
USGA
US
N
2
2027-07-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2045#AL4767
36184BJL2
8256.33670000
PA
USD
7795.95000000
0.000313850377
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
0.04000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
AMGEN INC 5.25% 03/02/2033
031162DR8
934000.00000000
PA
USD
929143.57000000
0.037405583673
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
0.05250000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5% 07/15/2025
00774MAN5
731000.00000000
PA
USD
734480.96000000
0.029568830795
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
0.06500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2005-14 ZB 5% 3/35
31394CXY3
51310.77510000
PA
USD
50275.48000000
0.002023996866
Long
ABS-CBDO
USGSE
US
N
2
2035-03-25
Fixed
0.05000000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GRP INC 2.5% 06/30/2025
026874DQ7
1934000.00000000
PA
USD
1830678.58000000
0.073699698319
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3258 PM 5.5 12/36
31397CXF1
3790.62020000
PA
USD
3833.94000000
0.000154347259
Long
ABS-CBDO
USGSE
US
N
2
2036-12-15
Fixed
0.05500000
N
N
N
N
N
N
DRYDEN 98 CLO LTD
N/A
DRYDEN 98 CLO LTD TSFR3M+130 04/20/2035 144A
26248AAA2
2199000.00000000
PA
USD
2167835.77000000
0.087273016683
Long
ABS-CBDO
CORP
KY
N
2
2035-04-20
Variable
0.06626140
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3287 SD SOFR30A+663.552 3/37
31397G6Z8
20467.20360000
PA
USD
1861.56000000
0.000074942926
Long
ABS-CBDO
USGSE
US
N
2
2037-03-15
Variable
0.01447010
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2015-H30 HA VAR 11/20/2065
38376RLC8
14667.68020000
PA
USD
14008.03000000
0.000563937108
Long
ABS-CBDO
USGA
US
N
2
2062-09-20
Variable
0.01750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2042#AP3667
3138M7CD5
19805.22010000
PA
USD
18275.27000000
0.000735728215
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC
N/A
FLATIRON CLO 20 LTD / LLC TSFR3M+130 11/20/2033 144A
33883MAA2
1956000.00000000
PA
USD
1953654.76000000
0.078650489498
Long
ABS-CBDO
CORP
KY
N
2
2033-11-20
Variable
0.06941370
N
N
N
N
N
N
COCA COLA CO
UWJKFUJFZ02DKWI3RY53
COCA COLA CO 3.45% 03/25/2030
191216CT5
713000.00000000
PA
USD
663110.96000000
0.026695607977
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
0.03450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#FM9517
3140XDSF4
930185.50500000
PA
USD
776170.88000000
0.031247189061
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2047#AX5855
36196HQG8
2153.28620000
PA
USD
2027.83000000
0.000081636646
Long
ABS-MBS
USGA
US
N
2
2047-01-15
Fixed
0.04000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 3.625% 05/15/2030
25470DBJ7
708000.00000000
PA
USD
621822.32000000
0.025033404494
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.03625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 12/41 #739352
3620ATL96
9181.66780000
PA
USD
8489.00000000
0.000341751275
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/01/2050#CA6275
3140QD6M1
222059.44960000
PA
USD
178781.93000000
0.007197426380
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02000000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 5.8% 01/23/2059
03523TBW7
1933000.00000000
PA
USD
2026930.27000000
0.081600424588
Long
DBT
CORP
US
N
2
2059-01-23
Fixed
0.05800000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 4.55% 04/17/2026
902613BB3
388000.00000000
PA
USD
375496.48000000
0.015116786528
Long
DBT
CORP
CH
N
2
2026-04-17
Fixed
0.04550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/28 #457257
31381C5S2
80.39280000
PA
USD
81.12000000
0.000003265739
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 03/01/2052#SD2219
3132DPPC6
484741.96700000
PA
USD
419927.07000000
0.016905479046
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/39 #AB0042
31416VBL7
118204.66570000
PA
USD
115023.32000000
0.004630623898
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/30 #590851
31387QL81
1252.64350000
PA
USD
1288.63000000
0.000051877835
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
0.07000000
N
N
N
N
N
N
BENCHMARK 2023-V3 MTG TR
N/A
BENCHMARK 2023-V3 MTG TR 6.3629% 07/15/2056
08163VAC1
300000.00000000
PA
USD
307472.10000000
0.012378252118
Long
ABS-MBS
CORP
US
N
2
2056-07-15
Fixed
0.06362900
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE4056
31419EQJ1
8936.38210000
PA
USD
8471.48000000
0.000341045952
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
ALABAMA POWER and LIGHT
0RL818ELFOHP5JHOFU19
ALABAMA POWER CO 3.05% 03/15/2032
010392FX1
1447000.00000000
PA
USD
1241665.40000000
0.049987128485
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
0.03050000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AA6146
36178DZK0
20405.98090000
PA
USD
18247.98000000
0.000734629571
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2014-25 HC 3% 2/44
38379AEF3
155740.62440000
PA
USD
139260.07000000
0.005606350158
Long
ABS-CBDO
USGA
US
N
2
2044-02-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 04/01/2036#RC1932
3133L8ED3
37768.67800000
PA
USD
33211.90000000
0.001337049025
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/33 #726923
31402ESL3
1912.59160000
PA
USD
1861.93000000
0.000074957822
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AH1256
3138A2ME6
6478.64650000
PA
USD
6140.75000000
0.000247215118
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
MARLETTE FDG TR 2023-3
N/A
MARLETTE FDG TR 2023-3 6.49% 09/15/2033 144A
57109RAA8
1200000.00000000
PA
USD
1199443.20000000
0.048287341621
Long
ABS-CBDO
CORP
US
N
2
2033-09-15
Fixed
0.06490000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4763 SC SOFR30A+608.552 08/15/2047
3137F3MN1
154569.98430000
PA
USD
15954.81000000
0.000642310833
Long
ABS-CBDO
USGSE
US
N
2
2047-08-15
Variable
0.00897010
N
N
N
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
CENOVUS ENERGY INC 5.4% 06/15/2047
15135UAR0
244000.00000000
PA
USD
219331.77000000
0.008829887156
Long
DBT
CORP
CA
N
2
2047-06-15
Fixed
0.05400000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 B TSFR1M+127.701 05/15/2036 144A
12653VAC0
860858.29000000
PA
USD
858373.51000000
0.034556513318
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.06588010
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/01/2046#G60824
31335A4H8
30418.27000000
PA
USD
28756.62000000
0.001157687778
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
LIFE 2021-BMR MTG TR
N/A
LIFE 2021-BMR MTG TR TSFR1M+121.448 03/15/2036 144A
53218CAE0
208389.67000000
PA
USD
202369.08000000
0.008147000958
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.06524480
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 4/35 #735503
31402RDG1
30158.87600000
PA
USD
30779.73000000
0.001239134406
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.06000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049
3137H5FF9
282141.14800000
PA
USD
241048.28000000
0.009704153263
Long
ABS-CBDO
USGSE
US
N
2
2049-05-25
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 9/33 #727147
31402EZL5
2197.02270000
PA
USD
2138.35000000
0.000086085974
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 7/35 #G01838
3128LXBF6
25391.45760000
PA
USD
25231.69000000
0.001015780684
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2040#AE0675
31419AXD4
2977.32830000
PA
USD
2894.78000000
0.000116538432
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.622/VAR 04/01/2031
6174468P7
2099000.00000000
PA
USD
1865229.10000000
0.075090637683
Long
DBT
CORP
US
N
2
2031-04-01
Variable
0.03622000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 09/20/2043#MA1285
36179NNA2
203120.61910000
PA
USD
188097.31000000
0.007572446170
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2048#G61896
31335CC93
23764.52200000
PA
USD
21585.99000000
0.000869011615
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 01/01/2046#Q38296
3132QVGE5
16051.19180000
PA
USD
15124.21000000
0.000608872429
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027
3136A8PY0
29306.41210000
PA
USD
1126.85000000
0.000045364875
Long
ABS-CBDO
USGSE
US
N
2
2027-09-25
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.87% 7/36 #1B7380
3128QPSU7
10015.36450000
PA
USD
10006.68000000
0.000402850235
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Variable
0.04040000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 5/35 #G01818
3128LXAT7
3924.29450000
PA
USD
3902.46000000
0.000157105746
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 2.074% 01/25/2031
3137FXYV4
400000.00000000
PA
USD
332527.24000000
0.013386925230
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Fixed
0.02074000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2051#FM9632
3140XDV29
558169.46900000
PA
USD
485237.26000000
0.019534745239
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 12/01/2032#G18669
3128MMW74
220019.53370000
PA
USD
202857.00000000
0.008166643705
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.862% 08/21/2046
92343VCK8
1250000.00000000
PA
USD
1100039.60000000
0.044285538458
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
0.04862000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3% 09/25/2029
3137H9D71
2050000.00000000
PA
USD
1861216.32000000
0.074929090660
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 03/01/2036#CA9438
3140QHPY5
33358.58100000
PA
USD
29333.88000000
0.001180927187
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.02000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FEDERAL NAT MTG ASN GTD REM PA 4% 06/25/2048
3136B2EX6
420550.02010000
PA
USD
84011.47000000
0.003382144775
Long
ABS-CBDO
USGSE
US
N
2
2048-06-25
Fixed
0.04000000
N
N
N
N
N
N
NUVEEN FINANCE LLC
N/A
NUVEEN FINANCE LLC 4.125% 11/01/2024 144A
87246YAC0
80000.00000000
PA
USD
78125.40000000
0.003145182597
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#RA6076
3133KMXD2
1031331.75980000
PA
USD
829366.99000000
0.033388765033
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/01/2051#FM9973
3140XECK8
332119.74600000
PA
USD
289139.07000000
0.011640198593
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.03000000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A
05401AAG6
880000.00000000
PA
USD
829572.23000000
0.033397027612
Long
DBT
CORP
KY
N
2
2026-05-01
Fixed
0.04375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745231
3620C04Q8
9170.67160000
PA
USD
8915.16000000
0.000358907680
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 2.967% 8/41#AI8879
3138AN2M4
2110.79870000
PA
USD
2135.00000000
0.000085951109
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Variable
0.04579000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.65% 10/29/2024
00774MAU9
2378000.00000000
PA
USD
2260806.60000000
0.091015848548
Long
DBT
CORP
IE
N
2
2024-10-29
Fixed
0.01650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2046#BC0214
3140EUGY9
54567.01150000
PA
USD
51350.35000000
0.002067269123
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 6% 06/15/2048
29278NAE3
1279000.00000000
PA
USD
1182289.63000000
0.047596770950
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 01/01/2048#V83906
3132L9KT1
32409.69570000
PA
USD
30416.45000000
0.001224509432
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.12% 10/36 #1A1201
3128NFKN6
17670.07540000
PA
USD
17757.64000000
0.000714889399
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Variable
0.04488000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3189 PD 6% 7/36
31396UAR1
9504.46520000
PA
USD
9702.78000000
0.000390615789
Long
ABS-CBDO
USGSE
US
N
2
2036-07-15
Fixed
0.06000000
N
N
N
N
N
N
BANK 2018-BNK10
N/A
BANK 2018-BNK10 3.688% 02/15/2061
065404BB0
500000.00000000
PA
USD
462031.70000000
0.018600532761
Long
ABS-MBS
CORP
US
N
2
2061-02-15
Fixed
0.03688000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479430
36209RST1
11600.48370000
PA
USD
11020.58000000
0.000443667954
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FHLMC MFD HSG COP GTD (FREDMAC
N/A
FHR 2043 ZH 6% 4/28
3133TDPN0
1040.12770000
PA
USD
1042.14000000
0.000041954608
Long
ABS-CBDO
USGSE
US
N
2
2028-04-15
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/40#AE7390
31419JF86
10699.86860000
PA
USD
10172.22000000
0.000409514566
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIEMAE 20YR 3.5% 05/01/2036#BM3697
3140J8DB6
16564.54180000
PA
USD
15668.49000000
0.000630784124
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.03500000
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS ALL AM PIPELN/PAA FIN C 3.6% 11/01/2024
72650RBF8
266000.00000000
PA
USD
258960.70000000
0.010425273816
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.03600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 1.5% 04/01/2041#RB5107
3133KYU80
64411.64500000
PA
USD
51878.35000000
0.002088525416
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.01500000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2001-52 YZ 6.5% 10/31
313921MN5
417.48700000
PA
USD
424.45000000
0.000017087563
Long
ABS-CBDO
USGSE
US
N
2
2031-10-25
Fixed
0.06500000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 2.328% 07/15/2052 144A
78403DAR1
381000.00000000
PA
USD
327560.14000000
0.013186959067
Long
ABS-CBDO
CORP
US
N
2
2052-07-15
Fixed
0.02328000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6312
3140QEAN2
634299.95060000
PA
USD
553402.48000000
0.022278949604
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #888034
31410FSX4
10309.53930000
PA
USD
10604.95000000
0.000426935467
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/41 #Q00736
3132GDY97
3537.43020000
PA
USD
3442.40000000
0.000138584590
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2044#MA2149
36179QL66
13796.42370000
PA
USD
13143.49000000
0.000529132343
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
130000.00000000
NC
USD
31268.76000000
0.001258821840
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
32410.47000000
USD
0.00000000
USD
130000.00000000
USD
-1141.71000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 02/01/2041#AH3520
3138A44E2
7535.15880000
PA
USD
7147.86000000
0.000287759485
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 7/25 #780195
36225AGC8
6.92200000
PA
USD
6.97000000
0.000000280599
Long
ABS-MBS
USGA
US
N
2
2025-07-15
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7% 04/01/2032#
31287RQL6
179.24340000
PA
USD
187.30000000
0.000007540347
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/01/2047#Q48754
3132WNWQ1
448609.03730000
PA
USD
422280.58000000
0.017000226960
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8237
3138EDEK3
23020.08580000
PA
USD
21810.22000000
0.000878038696
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2040#A94586
312943CX9
8698.59400000
PA
USD
8468.31000000
0.000340918334
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA TSFR1M+31.448 04/63
38376RFZ4
4874.54750000
PA
USD
4794.64000000
0.000193023245
Long
ABS-CBDO
USGA
US
N
2
2063-04-20
Variable
0.04931360
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 08/01/2051#FM8415
3140XCK56
185288.36200000
PA
USD
147555.94000000
0.005940326380
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02000000
N
N
N
N
N
N
DRYDEN 83 CLO LTD
2549001LFFVBUD1OX384
DRYDEN 83 CLO LTD TSFR3M+148.161 01/18/2032 144A
26246EAC2
1259000.00000000
PA
USD
1255891.53000000
0.050559845892
Long
ABS-CBDO
CORP
KY
N
2
2032-01-18
Variable
0.06791500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7% 04/01/2032#
31283HRL1
529.82780000
PA
USD
549.16000000
0.000022108155
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 4/41 #005017
36202FSE7
25232.97720000
PA
USD
24718.03000000
0.000995101692
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2017-H1
N/A
MORGAN STANLEY CAPITAL I TRUST 2017-H1 A4 3.259% 06/15/2050
61691JAU8
500000.00000000
PA
USD
458410.75000000
0.018454760082
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
0.03259000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2040#AE7374
31419JFQ6
8197.86580000
PA
USD
7778.61000000
0.000313152301
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/30 #538847
31385ATC1
7.29400000
PA
USD
7.32000000
0.000000294689
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2051#
3140XCYJ1
30194.02150000
PA
USD
27128.83000000
0.001092155995
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.03500000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2019-XL
N/A
BX TRUST 2019 TSFR1M+191.448 10/15/2036 144A
056054AH2
4313750.00000000
PA
USD
4270100.03000000
0.171906246919
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.07224960
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 07/01/2033#G16661
3128MFTS7
176251.12050000
PA
USD
162502.72000000
0.006542055809
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#AL8321
3138ETG75
101960.70250000
PA
USD
96141.42000000
0.003870473892
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.25% 12/15/2027
15135BAR2
880000.00000000
PA
USD
823159.23000000
0.033138852217
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.54% 12/39 #AC8301
31417VGK3
437.72610000
PA
USD
443.41000000
0.000017850857
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Variable
0.04060000
N
N
N
N
N
N
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
GSCOFI SWAP CY873248 04/17/65 B
N/A
40000.00000000
NC
USD
9621.16000000
0.000387329920
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS and CO LLC (GOV REPO)
FOR8UP27PHTHYVLBNG30
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
10714.73000000
USD
0.00000000
USD
40000.00000000
USD
-1093.57000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2043#AB9671
31417GW93
33484.61200000
PA
USD
30735.71000000
0.001237362243
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.4% 10/01/2047
86765BAV1
1023000.00000000
PA
USD
881159.57000000
0.035473837510
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
0.05400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2035#A38837
31297UZA1
1373.37670000
PA
USD
1337.99000000
0.000053864976
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2040#
31418DUA8
17175.53100000
PA
USD
14348.80000000
0.000577655871
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.02000000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 4.897%/VAR 07/25/2033
95000U3B7
4711000.00000000
PA
USD
4432754.30000000
0.178454403849
Long
DBT
CORP
US
N
2
2033-07-25
Variable
0.04897000
N
N
N
N
N
N
VLS COMMERCIAL MORTGAGE TRUST 2020
N/A
VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A
92858TAA4
1382000.00000000
PA
USD
1078279.93000000
0.043409534810
Long
ABS-MBS
CORP
US
N
2
2042-10-10
Fixed
0.02130000
N
N
N
N
N
N
GS MTG SECS CORP TR 2021-IP
N/A
GSMS 2021-IP B TSFR1M+166.448 10/15/2036 144A
36262MAE8
132000.00000000
PA
USD
121581.36000000
0.004894638333
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.06975480
N
N
N
N
N
N
VICI PROPERTIES LP
254900X4QE7SGKQLLN38
VICI PROPERTIES LP 4.95% 02/15/2030
925650AC7
2092000.00000000
PA
USD
1967735.20000000
0.079217341698
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2031#AS8387
3138WJJ90
7803.12600000
PA
USD
7237.87000000
0.000291383119
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 11/41 #005233
36202FY67
5520.47190000
PA
USD
5266.81000000
0.000212031927
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.308% 10/25/2048
3137BM7C4
248000.00000000
PA
USD
238697.79000000
0.009609526928
Long
ABS-MBS
USGSE
US
N
2
2025-09-25
Fixed
0.03308000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2048#Q55661
3132XYJF5
19634.97290000
PA
USD
18439.66000000
0.000742346250
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 6/41 #AB3143
31416YP51
10371.83700000
PA
USD
9854.04000000
0.000396705234
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04000000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 3.875% 11/05/2025
91529YAL0
50000.00000000
PA
USD
47738.10000000
0.001921846689
Long
DBT
CORP
US
N
2
2025-11-05
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 09/01/2051#RA5901
3133KMRW7
365209.61800000
PA
USD
316463.01000000
0.012740209352
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 5/1/43 #AT2720
3138WQAW2
52584.68470000
PA
USD
46913.59000000
0.001888653457
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL NAT MTG ASN GTD REM PA
N/A
FNR 2008-12 SG SOFR30A+623.552 3/38
31396YMM1
15613.03740000
PA
USD
1333.47000000
0.000053683010
Long
ABS-CBDO
USGSE
US
N
2
2038-03-25
Variable
0.00947940
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2289
3140QMRK2
855069.44360000
PA
USD
713492.09000000
0.028723858115
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 12/01/2046#Q45023
3132WJSM4
39442.84780000
PA
USD
35937.99000000
0.001446796313
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2052#SD2467
3132DPW46
634847.84000000
PA
USD
602348.90000000
0.024249440998
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 09/01/2053 #TBA
01F032690
12800000.00000000
PA
USD
11437500.16000000
0.460452381170
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.03500000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 1.884% 07/15/2050 144A
78403DAP5
498000.00000000
PA
USD
449612.28000000
0.018100550123
Long
ABS-CBDO
CORP
US
N
2
2050-07-15
Fixed
0.01884000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 09/01/2053 #TBA
01F030694
-500000.00000000
PA
USD
-430761.70000000
-0.01734166100
Short
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 6/35 #G01839
3128LXBG4
725.37870000
PA
USD
720.81000000
0.000029018463
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.05000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 3.5% 02/15/2041 144A
11135FBJ9
2410000.00000000
PA
USD
1765507.97000000
0.071076051356
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 11/01/2051#FM9505
3140XDR32
705194.07100000
PA
USD
588652.57000000
0.023698052349
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 11/01/2040#FM9485
3140XDRF5
312161.87800000
PA
USD
270426.12000000
0.010886850198
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.02500000
N
N
N
N
N
N
LIFE FINANCIAL SERVICES TRUST 2022
N/A
LIFE FINANCIAL SERVICES TRUST 2022-BMR2 C TSFR1M+209.31 05/15/2039 144A
53218DAG3
913000.00000000
PA
USD
887813.25000000
0.035741702231
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Variable
0.07403600
N
N
N
N
N
N
TOYOTA LEASE OWNER TRUST 2023-A
N/A
TOYOTA LEASE OWNER TRUST 2023-A 4.93% 04/20/2026 144A
89239MAC1
891000.00000000
PA
USD
881774.94000000
0.035498611156
Long
ABS-CBDO
CORP
US
N
2
2026-04-20
Fixed
0.04930000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 4.3% 03/04/2024
96950FAM6
2000000.00000000
PA
USD
1982124.14000000
0.079796613531
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
0.04300000
N
N
N
N
N
N
CFMT 2023-HB12 LLC
N/A
CFMT 2023-HB12 LLC 4.25% 04/25/2033 144A
12530QAA4
704170.72000000
PA
USD
674069.53000000
0.027136779525
Long
ABS-CBDO
CORP
US
N
2
2033-04-25
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE3874
31419EJU4
6983.43340000
PA
USD
6788.72000000
0.000273301179
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2046#G60553
31335ATJ7
445551.50580000
PA
USD
407909.49000000
0.016421673735
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 07/20/2040#004737
36202FHN9
342.09220000
PA
USD
331.38000000
0.000013340739
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
SBLOFI SWAP CY873248 04/17/65 B
N/A
160000.00000000
NC
USD
38484.62000000
0.001549318878
N/A
DCR
CORP
GB
N
2
CITIGROUP GLOBAL MARKETS LIMITED
XKZZ2JZF41MRHTR1V493
CMBX BBB- CDSI S16 PRC CORP
CY873248
Y
2065-04-17
42881.30000000
USD
0.00000000
USD
160000.00000000
USD
-4396.68000000
N
N
N
IMPERIAL BRANDS FINANCE PLC
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FINANCE PLC 4.25% 07/21/2025 144A
453140AF2
1564000.00000000
PA
USD
1512468.41000000
0.060889151570
Long
DBT
CORP
GB
N
2
2025-07-21
Fixed
0.04250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4.5% 11/20/2040#004850
36202FL79
8805.46280000
PA
USD
8528.74000000
0.000343351133
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 07/31/2028
91282CHQ7
52000000.00000000
PA
USD
51695312.24000000
2.081156658645
Long
DBT
UST
US
N
2
2028-07-31
Fixed
0.04125000
N
N
N
N
N
PLANET FITNESS MASTER ISSUER LLC 18-1A
N/A
PLANET FITNESS MASTER ISSUER LLC 18-1A 4.666% 09/05/2048 144A
72703PAB9
1903095.00000000
PA
USD
1827115.84000000
0.073556269065
Long
ABS-CBDO
CORP
US
N
2
2048-09-05
Fixed
0.04666000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2048#Q54334
3132XWY88
138987.64030000
PA
USD
126159.55000000
0.005078947706
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/33 #726928
31402ESR0
1545.52800000
PA
USD
1504.03000000
0.000060549436
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-B
N/A
HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-B 5.47% 09/15/2025 144A
448980AB8
1100000.00000000
PA
USD
1096987.98000000
0.044162685940
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
0.05470000
N
N
N
N
N
N
CANADIAN NATURAL RESOURCES LTD
549300T15RIMIKZC5Q38
CANADIAN NATL RESOURCES LTD 2.05% 07/15/2025
136385AZ4
5400000.00000000
PA
USD
5058820.49000000
0.203658658618
Long
DBT
CORP
CA
N
2
2025-07-15
Fixed
0.02050000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#QD3434
3133B0Y72
153674.62610000
PA
USD
123340.55000000
0.004965460034
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/26 #358464
31376LFD1
74.52630000
PA
USD
75.39000000
0.000003035060
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 6/41 #G06596
3128M8UV4
135055.33500000
PA
USD
135087.22000000
0.005438359015
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042
3137AWAE5
43700.74790000
PA
USD
39119.35000000
0.001574871921
Long
ABS-CBDO
USGSE
US
N
2
2042-06-15
Fixed
0.01750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 06/15/2043#AD2454
36180DWP8
3983.58410000
PA
USD
3585.28000000
0.000144336672
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHR 3806 UP 4.5% 2/41
3137A6ZL9
21502.63400000
PA
USD
20928.90000000
0.000842558400
Long
ABS-CBDO
USGSE
US
N
2
2041-02-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 06/01/2031#J34571
31307RCG8
7102.12440000
PA
USD
6722.28000000
0.000270626429
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/46#Q38783
3132QVXM8
13429.68460000
PA
USD
12637.31000000
0.000508754483
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 12/28 #323424
31374TG94
65.52210000
PA
USD
66.87000000
0.000002692061
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/39 #698479
36296Q6Q7
1718.10620000
PA
USD
1636.68000000
0.000065889678
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2% 03/01/2036#SB0802
3132CW3K8
1705120.01300000
PA
USD
1503127.74000000
0.060513113652
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 11/01/2040#V82091
3132L7KC2
18841.97070000
PA
USD
17214.80000000
0.000693035675
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2040#A95413
312944AN1
2231.25560000
PA
USD
2171.91000000
0.000087437037
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2052#SD1772
3132DN6H1
788172.60600000
PA
USD
735183.68000000
0.029597120989
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 08/15/2033
91282CHT1
458000.00000000
PA
USD
449841.88000000
0.018109793390
Long
DBT
UST
US
N
2
2033-08-15
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/33 #726949
31402ETE8
5431.83440000
PA
USD
5287.34000000
0.000212858427
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MA 2016-H20 FM TSFR1M+51.448 12/20/2062
38376RYJ9
1872.60630000
PA
USD
1826.90000000
0.000073547579
Long
ABS-CBDO
USGA
US
N
2
2062-12-20
Variable
0.04589120
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
MAGALLANES INC 4.054% 03/15/2029
55903VBB8
337000.00000000
PA
USD
309903.99000000
0.012476155465
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.04054000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 10/34 #AL2130
3138EJLL0
6628.09380000
PA
USD
6761.51000000
0.000272205756
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 09/01/2053 #TBA
21H020691
-9950000.00000000
PA
USD
-8208753.98000000
-0.33046909409
Short
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 07/01/2036#CB1180
3140QLJ23
847669.08900000
PA
USD
747782.14000000
0.030104311444
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2051#MA4239
31418DV90
466201.92800000
PA
USD
404703.74000000
0.016292616231
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.03000000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
FANNIE MAE 2010-95 ZC 5% 09/25/2040
31398NFC3
169169.49420000
PA
USD
167298.65000000
0.006735130988
Long
ABS-CBDO
USGSE
US
N
2
2040-09-25
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 1/40 #A90893
3129387E7
7214.98830000
PA
USD
7212.78000000
0.000290373043
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2035#FS0112
3140XFDS7
575749.52400000
PA
USD
544276.35000000
0.021911548665
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2043#Q17578
3132J82L3
11948.91730000
PA
USD
10997.98000000
0.000442758120
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
2023-09-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer