0001752724-21-014335.txt : 20210127
0001752724-21-014335.hdr.sgml : 20210127
20210127171534
ACCESSION NUMBER: 0001752724-21-014335
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201130
FILED AS OF DATE: 20210127
PERIOD START: 20210531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: T. Rowe Price New Income Fund, Inc.
CENTRAL INDEX KEY: 0000080249
IRS NUMBER: 520980581
STATE OF INCORPORATION: MD
FISCAL YEAR END: 0531
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-02396
FILM NUMBER: 21560892
BUSINESS ADDRESS:
STREET 1: 100 EAST PRATT STREET
CITY: BALTIMORE
STATE: MD
ZIP: 21202
BUSINESS PHONE: 410-345-2000
MAIL ADDRESS:
STREET 1: 100 EAST PRATT STREET
CITY: BALTIMORE
STATE: MD
ZIP: 21202
FORMER COMPANY:
FORMER CONFORMED NAME: PRICE T ROWE NEW INCOME FUND INC
DATE OF NAME CHANGE: 19940727
0000080249
S000002136
T. Rowe Price New Income Fund, Inc.
C000005529
T. Rowe Price New Income Fund, Inc.
PRCIX
C000005530
T. Rowe Price New Income Fund-Advisor Class
PANIX
C000005531
T. Rowe Price New Income Fund-R Class
RRNIX
C000159679
T. Rowe Price New Income Fund-I Class
PRXEX
C000219349
T. Rowe Price New Income Fund-Z Class
TRVZX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000080249
XXXXXXXX
S000002136
C000005530
C000005529
C000219349
C000005531
C000159679
T. ROWE PRICE NEW INCOME FUND, INC.
811-02396
0000080249
549300KL6GYU8HTJ4G78
100 East Pratt Street
Baltimore
21202
410-345-2000
T. Rowe Price New Income Fund, Inc.
S000002136
5F373D85WF2X2XQOCV26
2021-05-31
2020-11-30
N
22112461762.14
957371803.95
21155089958.19
0.00000000
0.00000000
273278.37000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
61278987.96000000
631344952.26000000
0.00000000
0.00000000
USD
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617A9KW6
3243506.56000000
PA
USD
3562776.98000000
0.016841228219
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410TNA9
8711.77000000
PA
USD
8774.58000000
0.000041477393
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410D3R9
323.29000000
PA
USD
326.76000000
0.000001544592
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-IMC1
85572TAA3
12761179.42000000
PA
USD
12850534.47000000
0.060744409479
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
3.46800000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-LTV1
46591NAC1
21667821.31000000
PA
USD
22364183.92000000
0.105715380857
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Variable
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCX0
9550000.00000000
PA
USD
12678035.65000000
0.059929008456
Long
DBT
CORP
US
N
2
2048-09-15
Fixed
4.52200000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300O0S47F5VVOH518
Neuberger Berman CLO XIX Ltd
64130CAN2
6278297.69000000
PA
USD
6243899.21000000
0.029514879030
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
1.03688000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
11823LAH8
19009475.00000000
PA
USD
18833637.36000000
0.089026505664
Long
LON
CORP
US
N
2
2026-11-01
Floating
2.89913000
N
N
N
N
N
N
Galton Funding Mortgage Trust
N/A
Galton Funding Mortgage Trust 2020-H1
36418HAA0
24283153.50000000
PA
USD
24699327.90000000
0.116753594283
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.31000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAE42
5416593.27000000
PA
USD
5845622.99000000
0.027632229414
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B3 Mortgage Trust
08161BBA0
14540000.00000000
PA
USD
16801753.71000000
0.079421802238
Long
ABS-MBS
CORP
US
N
2
2051-04-10
Variable
4.19500000
N
N
N
N
N
N
Austin Fairmont Hotel Trust
N/A
Austin Fairmont Hotel Trust 2019-FAIR
05223HAL6
4935000.00000000
PA
USD
4613576.05000000
0.021808349948
Long
ABS-MBS
CORP
US
N
2
2032-09-15
Floating
1.94100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HLHA7
774332.11000000
PA
USD
867062.16000000
0.004098598312
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
5.00000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15137TAA8
16545000.00000000
PA
USD
17413612.50000000
0.082314055550
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.37500000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-3
92537BAC8
10629114.10000000
PA
USD
10672709.41000000
0.050449841769
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.28200000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032XAT1
25688000.00000000
PA
USD
26248144.82000000
0.124074843793
Long
DBT
CORP
KY
N
2
2026-01-26
Fixed
1.81000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CJ6
10880000.00000000
PA
USD
11008732.16000000
0.052038219557
Long
DBT
CORP
GB
N
2
2026-04-18
Fixed
1.64500000
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDT6
5310000.00000000
PA
USD
6288123.24000000
0.029723925790
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MXX0
66981.20000000
PA
USD
75977.49000000
0.000359145199
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-K94 Mortgage Trust
30310XAE9
6610000.00000000
PA
USD
7482599.32000000
0.035370207996
Long
ABS-MBS
CORP
US
N
2
2052-07-25
Variable
4.10107900
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194MH87
2285016.01000000
PA
USD
2476847.40000000
0.011708044753
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409W2E0
15580.63000000
PA
USD
15667.38000000
0.000074059623
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJWW6
1790190.35000000
PA
USD
1948243.37000000
0.009209336258
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312942WL5
172492.88000000
PA
USD
187803.13000000
0.000887744416
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XMZ4
36661027.93000000
PA
USD
36171590.38000000
0.170982919247
Long
ABS-MBS
CORP
US
N
2
2029-11-25
Floating
1.25013000
N
N
N
N
N
N
APT PIPELINES LTD
261700SS8OEHDOCOUJ33
APT Pipelines Ltd
00205GAA5
19635000.00000000
PA
USD
20519969.09000000
0.096997786965
Long
DBT
CORP
AU
N
2
2022-10-11
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380UPK3
8837109.02000000
PA
USD
9356702.75000000
0.044229085144
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36206UR27
3415.50000000
PA
USD
3782.09000000
0.000017877919
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
6.50000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
32440000.00000000
PA
USD
35521800.00000000
0.167911363507
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411ETV9
14303.96000000
PA
USD
16946.94000000
0.000080108097
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.00000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-1
43789EAA4
16124273.29000000
PA
USD
16288005.61000000
0.076993317646
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
3.45400000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
549300FU8TZDHFLQZL50
CSAIL 2016-C5 Commercial Mortgage Trust
12636LBC3
5000000.00000000
PA
USD
5529050.50000000
0.026135792903
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Fixed
4.01010000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419DL74
22830585.48000000
PA
USD
25501795.72000000
0.120546855486
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEAQ5
16506632.82000000
PA
USD
17553135.84000000
0.082973581651
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
SHANGHAI PORT GRP DEV CO
30030018E34GXWP2RS97
Shanghai Port Group BVI Development Co Ltd
000000000
3890000.00000000
PA
USD
4249319.65000000
0.020086511843
Long
DBT
CORP
VG
N
2
2029-06-18
Fixed
3.37500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDKJ2
14925906.94000000
PA
USD
16247853.62000000
0.076803519399
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413RNS1
67175.07000000
PA
USD
75121.57000000
0.000355099269
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2019-C54
95001YAK0
10535000.00000000
PA
USD
10525450.02000000
0.049753747399
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
3.81000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31356ETT1
30.56000000
PA
USD
34.18000000
0.000000161568
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
6.50000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2018-3
80285GAG7
13090000.00000000
PA
USD
13575069.59000000
0.064169283216
Long
ABS-O
CORP
US
N
2
2024-08-15
Fixed
4.07000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410D5M8
186.92000000
PA
USD
188.03000000
0.000000888816
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DQN2
205547.75000000
PA
USD
210698.14000000
0.000995969009
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Floating
2.63700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RDF3
253732.56000000
PA
USD
304416.85000000
0.001438976863
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
46645WBA0
7620000.00000000
PA
USD
7929637.94000000
0.037483357223
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
4.54870000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP2 Trust
67113KAX6
16137170.62000000
PA
USD
16831441.73000000
0.079562137354
Long
ABS-MBS
CORP
US
N
2
2059-06-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2AX7
3490640.09000000
PA
USD
3816364.28000000
0.018039934065
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FCN4
1016946.91000000
PA
USD
1132552.14000000
0.005353568064
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NF78
18624238.75000000
PA
USD
20237723.23000000
0.095663612255
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
3.50000000
N
N
N
N
N
N
VOLKSWAGEN BANK GMBH
529900GJD3OQLRZCKW37
Volkswagen Bank GmbH
000000000
20000000.00000000
PA
26652563.26000000
0.125986527652
Long
DBT
CORP
DE
N
2
2026-07-31
Fixed
2.50000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAM5
14050000.00000000
PA
USD
15560375.00000000
0.073553811544
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2J1
31465000.00000000
PA
USD
33351043.57000000
0.157650209173
Long
DBT
CORP
US
N
2
2031-02-11
Fixed
2.57200000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617G8YM9
1564269.26000000
PA
USD
1730448.08000000
0.008179819057
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
5.00000000
N
N
N
N
N
N
WOODSIDE FINANCE LTD
254900AIZKU6TGRRNZ98
Woodside Finance Ltd
980236AM5
13200000.00000000
PA
USD
14059201.20000000
0.066457770814
Long
DBT
CORP
AU
N
2
2025-03-05
Fixed
3.65000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBR6
33125000.00000000
PA
USD
34729773.75000000
0.164167459550
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.18200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERN71
13781523.98000000
PA
USD
14730575.81000000
0.069631355097
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGNC4
2192834.12000000
PA
USD
2586989.19000000
0.012228684421
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
6.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-P4
29429EAH4
11205000.00000000
PA
USD
11733267.57000000
0.055463094665
Long
ABS-MBS
CORP
US
N
2
2049-07-10
Fixed
3.07500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABE4
24855000.00000000
PA
USD
28448063.66000000
0.134473848687
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
CIFC Funding Ltd
549300H3BLEZ8XSDXO87
CIFC Funding 2015-V Ltd
12547UAL2
45484713.70000000
PA
USD
45187760.83000000
0.213602309984
Long
ABS-CBDO
CORP
KY
N
2
2027-10-25
Floating
1.07475000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-INV2 Trust
67112VAE5
13384644.97000000
PA
USD
13813894.55000000
0.065298207558
Long
ABS-MBS
CORP
US
N
2
2049-05-27
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410TCC7
354.15000000
PA
USD
356.14000000
0.000001683471
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
6.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DH0
5145000.00000000
PA
USD
5833838.33000000
0.027576523387
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202E7H6
551388.29000000
PA
USD
635267.22000000
0.003002904838
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Fixed
5.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-INV3
12557LAQ8
11151561.96000000
PA
USD
11406153.90000000
0.053916830051
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJZW3
3007649.39000000
PA
USD
3146648.99000000
0.014874193379
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BBT1
35463398.40000000
PA
USD
38751432.42000000
0.183177819128
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TAA7
12380000.00000000
PA
USD
12380000.00000000
0.058520195491
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Floating
1.19100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413VQ83
12569.36000000
PA
USD
14057.86000000
0.000066451430
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409JJ84
1489.20000000
PA
USD
1500.79000000
0.000007094226
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410VFC9
1884.82000000
PA
USD
1895.74000000
0.000008961153
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
5.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AJ9
17444000.00000000
PA
USD
22723513.82000000
0.107413931422
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
4.80000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C25
46643PBE9
3745000.00000000
PA
USD
4110172.33000000
0.019428763187
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
3.67200000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAD4
45346000.00000000
PA
USD
48690267.50000000
0.230158640763
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FLP9
1071551.46000000
PA
USD
1193373.60000000
0.005641070788
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.50000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAD5
5540000.00000000
PA
USD
6085551.50000000
0.028766370230
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
4.25000000
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2017-3
03065HAF5
7310000.00000000
PA
USD
7424768.46000000
0.035096841822
Long
ABS-O
CORP
US
N
2
2023-06-19
Fixed
2.69000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202ECP2
86077.62000000
PA
USD
99005.77000000
0.000467999758
Long
ABS-MBS
USGA
US
N
2
2035-02-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GZG1
0.77000000
PA
USD
0.81000000
0.000000003828
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283GMD6
520.38000000
PA
USD
526.46000000
0.000002488573
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493005RUXPCBST1N217
Freddie Mac Stacr Trust 2018-HQA2
35563XAA0
3641587.58000000
PA
USD
3641587.22000000
0.017213763813
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Floating
0.90013000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128K7U63
1399601.03000000
PA
USD
1622994.44000000
0.007671886260
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare Conduit Receivables Funding LLC
82652KAA2
1912486.38000000
PA
USD
1948925.94000000
0.009212562763
Long
ABS-O
CORP
US
N
2
2034-03-20
Fixed
2.91000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-DC1 Mortgage Trust
12629NAH8
5360000.00000000
PA
USD
5770061.44000000
0.027275050360
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.72400000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31356E3X0
1169.59000000
PA
USD
1308.29000000
0.000006184280
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
6.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
United States 10 Year Treasury Note/Bond
000000000
-4468.00000000
NC
USD
853432.68000000
0.004034171831
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
-702887932.68000000
USD
853432.68000000
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-2
92535TAC1
3836464.89000000
PA
USD
3862890.08000000
0.018259861279
Long
ABS-MBS
CORP
US
N
2
2058-06-01
Variable
3.83000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312940EU9
110571.63000000
PA
USD
128402.19000000
0.000606956483
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFU3
43625000.00000000
PA
USD
45535207.88000000
0.215244690379
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.87500000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITE
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
71429MAB1
26485000.00000000
PA
USD
29571005.72000000
0.139781989953
Long
DBT
CORP
IE
N
2
2026-03-15
Fixed
4.37500000
N
N
N
N
N
N
AMER AIRLINE 16-1 AA PTT
N/A
American Airlines 2016-1 Class AA Pass Through Trust
02376UAA3
17927531.95500000
PA
USD
17546320.92000000
0.082941367560
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.57500000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2018-3
24381KAC8
1550379.60000000
PA
USD
1536217.66000000
0.007261692874
Long
ABS-MBS
CORP
US
N
2
2058-08-25
Variable
3.96300000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBW4
43030000.00000000
PA
USD
49015473.00000000
0.231695885467
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
3.80000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CK3
18410000.00000000
PA
USD
21746702.04000000
0.102796547228
Long
DBT
CORP
US
N
2
2050-05-20
Fixed
3.79400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409ADV8
78153.61000000
PA
USD
93629.22000000
0.000442584835
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CT2
3357862.40000000
PA
USD
3339701.40000000
0.015786751115
Long
ABS-MBS
CORP
US
N
2
2048-05-25
Variable
3.81006900
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAH2
42365000.00000000
PA
USD
43900731.25000000
0.207518527866
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
5.37500000
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-2
92535TAA5
10034948.00000000
PA
USD
10105574.97000000
0.047769000226
Long
ABS-MBS
CORP
US
N
2
2058-06-01
Variable
3.67700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208HQZ2
96396.47000000
PA
USD
108611.11000000
0.000513404151
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9SN2
4120163.51000000
PA
USD
4302707.35000000
0.020338875223
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
KKR Financial CLO Ltd
635400ZS4BDP68TETX94
KKR CLO 13 Ltd
48250VAU1
37205733.46000000
PA
USD
36914628.36000000
0.174495255907
Long
ABS-CBDO
CORP
KY
N
2
2028-01-16
Floating
1.03013000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM2
64830QAA2
16929278.17000000
PA
USD
17174366.72000000
0.081183141995
Long
ABS-MBS
CORP
US
N
2
2049-04-25
Variable
3.59987000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5C35
11052502.58000000
PA
USD
11854157.72000000
0.056034541774
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAA2
19908075.58000000
PA
USD
20277889.98000000
0.095853480273
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.41700000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAG1
19955000.00000000
PA
USD
19805010.24000000
0.093618180206
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.74100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410VJJ0
14100.82000000
PA
USD
16235.41000000
0.000076744698
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335GDR3
4265.22000000
PA
USD
4551.64000000
0.000021515578
Long
ABS-MBS
USGSE
US
N
2
2024-02-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417CGY5
7930200.85000000
PA
USD
8548009.89000000
0.040406398209
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AX44
4963460.11000000
PA
USD
5568615.89000000
0.026322818295
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Hardee's Funding
N/A
Hardee's Funding LLC
411707AD4
28307300.00000000
PA
USD
30140763.82000000
0.142475233523
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.95900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKEW1
1126519.07000000
PA
USD
1335387.23000000
0.006312368477
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5.50000000
N
N
N
N
N
N
CIFC Funding Ltd
549300ZXX0SJBZWIWI81
CIFC Funding 2015-IV Ltd
12550TAN5
26840000.00000000
PA
USD
26683565.21000000
0.126133073708
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
1.36838000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
-37450.62000000
-0.00017702888
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
922.88000000
USD
0.00000000
USD
2445000.00000000
USD
-38373.50000000
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AD0
10000000.00000000
PA
USD
11070510.00000000
0.052330243085
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GG43
437.91000000
PA
USD
437.42000000
0.000002067682
Long
ABS-MBS
USGSE
US
N
2
2020-12-01
Fixed
5.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS GENERAL ELECTRIC CO
000000000
1.00000000
NC
USD
40725.54000000
0.000192509415
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
GENERAL ELECTRIC CO
General Electric Co
Y
Default Event
2020-12-20
5664.81000000
USD
0.00000000
USD
17800000.00000000
USD
35060.73000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828TY6
414420000.00000000
PA
USD
426334575.00000000
2.015281314532
Long
DBT
UST
US
N
2
2022-11-15
Fixed
1.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENXG9
2186109.48000000
PA
USD
2524801.28000000
0.011934722494
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
5.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAZ9
9101000.00000000
PA
USD
10141098.68000000
0.047936920618
Long
DBT
CORP
US
N
2
2025-07-13
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412EX35
2791.02000000
PA
USD
2811.10000000
0.000013288055
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
6.00000000
N
N
N
N
N
N
SHANGHAI PORT GRP DEV CO
30030018E34GXWP2RS97
Shanghai Port Group BVI Development Co Ltd
000000000
14625000.00000000
PA
USD
15386825.03000000
0.072733441741
Long
DBT
CORP
VG
N
2
2029-09-11
Fixed
2.85000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGFA7
8185804.99000000
PA
USD
9177467.46000000
0.043381840862
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B13K8
9495015.53000000
PA
USD
9694016.81000000
0.045823566948
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GENERAL ELECTRIC CO
000000000
1.00000000
NC
USD
32031.32000000
0.000151411882
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GENERAL ELECTRIC CO
General Electric Co
Y
Default Event
2020-12-20
4308.44000000
USD
0.00000000
USD
14000000.00000000
USD
27722.88000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412SEK7
48621.65000000
PA
USD
54942.16000000
0.000259711304
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384DTJ1
4596.86000000
PA
USD
5206.40000000
0.000024610625
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NZW3
96718.06000000
PA
USD
108019.28000000
0.000510606573
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BN53
4736.73000000
PA
USD
5623.14000000
0.000026580553
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0TS8
23288515.10000000
PA
USD
22817507.44000000
0.107858238774
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
1.20013000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LXQH5
4448055.34000000
PA
USD
4820271.81000000
0.022785399728
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV4Y8
34336080.95000000
PA
USD
36623674.96000000
0.173119920701
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
4.00000000
N
N
N
N
N
N
Aventura Mall Trust
N/A
Aventura Mall Trust
05359AAA1
39170000.00000000
PA
USD
42255217.22000000
0.199740191620
Long
ABS-MBS
CORP
US
N
2
2040-07-05
Variable
4.24939700
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MG61
9193554.58000000
PA
USD
10164041.65000000
0.048045371918
Long
ABS-MBS
USGA
US
N
2
2042-07-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7SA4
22458778.07000000
PA
USD
24125672.62000000
0.114041928763
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413LAZ2
14927.20000000
PA
USD
16693.02000000
0.000078907818
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
549300C2HE5FJAWYZL57
CSAIL 2016-C6 Commercial Mortgage Trust
12636MAE8
5000000.00000000
PA
USD
5431339.00000000
0.025673911152
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Fixed
3.08980000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAE3
42120000.00000000
PA
USD
47385000.00000000
0.223988648092
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410T2X2
330.81000000
PA
USD
334.73000000
0.000001582266
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPXJ8
11003682.48000000
PA
USD
11737705.79000000
0.055484074107
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312944LP4
1544356.81000000
PA
USD
1700030.49000000
0.008036035267
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CX46
18558.51000000
PA
USD
18718.25000000
0.000088481070
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ADK0
1621645.80000000
PA
USD
1924565.77000000
0.009097412366
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410PAZ6
8135.44000000
PA
USD
9343.07000000
0.000044164643
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2020-GC46
17328RBD0
19445000.00000000
PA
USD
19539389.92000000
0.092362594338
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Variable
3.55400000
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
-47100.47000000
-0.00022264367
N/A
DCR
CORP
US
N
2
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
0.00000000
USD
-15048.92000000
USD
3075000.00000000
USD
-32051.55000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EWE5
539012.52000000
PA
USD
622071.06000000
0.002940526659
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413NJQ9
40627.07000000
PA
USD
45433.07000000
0.000214761885
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.50000000
N
N
N
N
N
N
FWD Securitization Trust
N/A
FWD Securitization Trust 2020-INV1
302985AC0
3950938.01000000
PA
USD
3951741.24000000
0.018679860250
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Variable
2.44000000
N
N
N
N
N
N
Flagstar Mortgage Trust
549300H3PON1KOB2RF56
Flagstar Mortgage Trust 2018-6RR
33851FAP2
8896726.42000000
PA
USD
9538546.94000000
0.045088661683
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Variable
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184Y5N3
2649484.86000000
PA
USD
2923932.97000000
0.013821415913
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412LPK0
25915.47000000
PA
USD
29690.64000000
0.000140347500
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV1
92537FAC9
8309208.44000000
PA
USD
8450481.60000000
0.039945382490
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
3.65800000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2020-2 Receivables Funding LLC
826525AB3
9396696.23000000
PA
USD
9499692.48000000
0.044904996853
Long
ABS-O
CORP
US
N
2
2037-07-20
Fixed
2.32000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403C5F4
94430.38000000
PA
USD
111062.20000000
0.000524990440
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213TWN9
3530.61000000
PA
USD
3909.56000000
0.000018480469
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
6.50000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2016-1
59980TAA4
3454533.92000000
PA
USD
3490201.64000000
0.016498164965
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9YQ8
3140773.95000000
PA
USD
3412477.72000000
0.016130764401
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.50000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AJ8
11275000.00000000
PA
USD
11274995.49000000
0.053296844930
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
1.44088000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CK4
30675000.00000000
PA
USD
34535049.98000000
0.163247001304
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
3.40000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7QA6
4016067.38000000
PA
USD
4471953.52000000
0.021138900987
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBX6
15175000.00000000
PA
USD
17095365.90000000
0.080809705530
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-3
92537BAA2
9411035.54000000
PA
USD
9657664.90000000
0.045651731659
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.10800000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VBE3
10225000.00000000
PA
USD
13793412.53000000
0.065201389156
Long
DBT
CORP
US
N
2
2041-11-01
Fixed
4.75000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17
61763UBC5
20470000.00000000
PA
USD
21634204.64000000
0.102264772604
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Variable
4.46400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELN41
7097775.41000000
PA
USD
7797331.44000000
0.036857945087
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
38245000.00000000
PA
USD
37371866.65000000
0.176656618921
Long
ABS-O
CORP
US
N
2
2049-06-07
Fixed
4.19400000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAN4
51255000.00000000
PA
USD
51812910.68000000
0.244919358803
Long
DBT
CORP
US
N
2
2032-09-15
Fixed
1.85000000
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
71568PAE9
60500000.00000000
PA
USD
72741872.50000000
0.343850452273
Long
DBT
CORP
ID
N
2
2028-05-21
Fixed
5.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132CWG73
6074131.88000000
PA
USD
6491655.74000000
0.030686022857
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
3.00000000
N
N
N
N
N
N
SMB Private Education Loan Tru
5493008SQ2WS8HE83M61
SMB Private Education Loan Trust 2016-B
78449GAB5
13481666.36000000
PA
USD
13774529.95000000
0.065112131299
Long
ABS-O
CORP
US
N
2
2032-02-17
Fixed
2.43000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENBH1
7990763.60000000
PA
USD
8680076.91000000
0.041030678324
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
3.50000000
N
N
N
N
N
N
AMER AIRLINE 17-2B PTT
N/A
American Airlines 2017-2 Class B Pass Through Trust
02377DAA0
22409562.67050000
PA
USD
15462643.06000000
0.073091833173
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCNB8
18099861.39000000
PA
USD
19249476.44000000
0.090992174829
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
3.00000000
N
N
N
N
N
N
BBVA BANCOMER SA TEXAS
549300WIWQK5Q9MCUN92
BBVA Bancomer SA/Texas
000000000
24500000.00000000
PA
USD
25700500.00000000
0.121486129582
Long
DBT
CORP
MX
N
2
2033-01-18
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MQX99
10230334.92000000
PA
USD
11111365.43000000
0.052523366489
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224H6F8
168.93000000
PA
USD
171.22000000
0.000000809356
Long
ABS-MBS
USGA
US
N
2
2022-09-15
Fixed
8.50000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAF5
11585000.00000000
PA
USD
13156273.55000000
0.062189636517
Long
DBT
CORP
NL
N
2
2028-04-06
Fixed
3.50000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAK7
13130000.00000000
PA
USD
14295287.50000000
0.067573749524
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2N2
16835000.00000000
PA
USD
17562760.22000000
0.083019076046
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
2.18800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9NW9
6818638.84000000
PA
USD
7396484.93000000
0.034963145723
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF K-100 Mortgage Trust
30313PAS2
11325000.00000000
PA
USD
12315558.11000000
0.058215579013
Long
ABS-MBS
CORP
US
N
2
2052-11-25
Variable
3.60961800
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
5091976.90000000
PA
USD
5499925.26000000
0.025998118045
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBL8
25385000.00000000
PA
USD
26849435.27000000
0.126917140617
Long
DBT
CORP
GB
N
2
2026-05-07
Fixed
2.85200000
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVb Trust 2017-RT2
07332MAA3
3588788.71000000
PA
USD
3657444.39000000
0.017288720573
Long
ABS-MBS
CORP
US
N
2
2057-08-28
Variable
3.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABC8
61370000.00000000
PA
USD
69202039.40000000
0.327117679654
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DVP6
76729.92000000
PA
USD
77122.38000000
0.000364557088
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
3.34000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LF68
4716758.41000000
PA
USD
5446283.82000000
0.025744555238
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2020-555
17328EAE8
8370000.00000000
PA
USD
8216762.88000000
0.038840595318
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Fixed
3.03100000
N
N
N
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAB5
61885000.00000000
PA
USD
67478351.96000000
0.318969818106
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.35000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
NZD/USD FORWARD
000000000
1.00000000
NC
USD
680498.08000000
0.003216710878
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-23214837.49000000
USD
34075000.00000000
NZD
2021-01-22
680498.08000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NET3
42688.33000000
PA
USD
47868.72000000
0.000226275190
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2017-C41
95001ABG0
15000000.00000000
PA
USD
15883143.00000000
0.075079534199
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
3.78500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-K94 Mortgage Trust
30310XAG4
8000000.00000000
PA
USD
8280576.00000000
0.039142239604
Long
ABS-MBS
CORP
US
N
2
2052-07-25
Variable
4.10107900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9NY2
5855103.10000000
PA
USD
6355539.58000000
0.030042602477
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFT1
684279.93000000
PA
USD
794117.42000000
0.003753788906
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A5BP6
675326.46000000
PA
USD
740992.46000000
0.003502667497
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413MUF2
110006.65000000
PA
USD
111562.53000000
0.000527355497
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Floating
2.62000000
N
N
N
N
N
N
CROWN CASTLE TOWERS LLC
N/A
Crown Castle Towers LLC
22822RBD1
52455000.00000000
PA
USD
55654405.13000000
0.263078083052
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.66300000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JF5
23845000.00000000
PA
USD
23933035.74000000
0.113131335235
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGH56
57220.96000000
PA
USD
65814.21000000
0.000311103427
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.00000000
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
95810DAR2
14960441.85000000
PA
USD
14890277.38000000
0.070386263586
Long
LON
CORP
US
N
2
2023-04-29
Floating
1.89550000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31336SD88
8229.51000000
PA
USD
8241.81000000
0.000038958992
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Floating
2.28500000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-4
92537KAD6
5200000.00000000
PA
USD
5317817.96000000
0.025137297787
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.20700000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-IMC
05608BAN0
32870000.00000000
PA
USD
29740450.59000000
0.140582954971
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
2.29100000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YW4
246475000.00000000
PA
USD
253869250.00000000
1.200038621919
Long
DBT
UST
US
N
2
2022-12-15
Fixed
1.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FKN5
5272384.08000000
PA
USD
5871010.15000000
0.027752234387
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/CAD FORWARD
000000000
1.00000000
NC
USD
102756.08000000
0.000485727454
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-33661876.81000000
USD
43835000.00000000
CAD
2021-01-22
102756.08000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410TAK1
8722.08000000
PA
USD
9826.33000000
0.000046449010
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414DUB0
121461.34000000
PA
USD
137269.54000000
0.000648872400
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.50000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2017-1
553896AB7
1598221.15000000
PA
USD
1628838.27000000
0.007699510014
Long
ABS-O
CORP
US
N
2
2034-12-20
Fixed
2.75000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAA3
1385000.00000000
PA
USD
1420058.51000000
0.006712609177
Long
DBT
CORP
IE
N
2
2022-05-26
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QGG0
3919630.43000000
PA
USD
4573798.29000000
0.021620320684
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
5.50000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-1
03464MAA2
21699224.35000000
PA
USD
22233921.45000000
0.105099630840
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
3.92000000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807DJ3
10145000.00000000
PA
USD
10783221.95000000
0.050972233969
Long
DBT
CORP
US
N
2
2050-07-15
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A2D74
11556909.30000000
PA
USD
12753371.97000000
0.060285122848
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
3.50000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABE6
23640000.00000000
PA
USD
24286223.04000000
0.114800849762
Long
DBT
CORP
US
N
2
2023-02-10
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XTY0
10134225.02000000
PA
USD
10004213.05000000
0.047289862958
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
1.15013000
N
N
N
N
N
N
TJX COS INC
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540AT6
22305000.00000000
PA
USD
26713070.24000000
0.126272543831
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BB4
9845000.00000000
PA
USD
11110358.16000000
0.052518605129
Long
DBT
CORP
GB
N
2
2026-05-25
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFSZ3
21956348.82000000
PA
USD
23084702.71000000
0.109121269423
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MBHP5
90255.66000000
PA
USD
91968.42000000
0.000434734242
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY/USD FORWARD
000000000
1.00000000
NC
USD
84866.26000000
0.000401162368
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-10525407.12000000
USD
1106515000.00000000
JPY
2021-01-22
84866.26000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M4B77
30334.93000000
PA
USD
35263.16000000
0.000166688773
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410QCE9
284.55000000
PA
USD
288.50000000
0.000001363737
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
6.00000000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2014-A LLC
284157AA2
1653326.81000000
PA
USD
1657034.40000000
0.007832792974
Long
ABS-O
CORP
US
N
2
2027-02-25
Fixed
2.53000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AX5
24315000.00000000
PA
USD
26114382.95000000
0.123442552131
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
3.00000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBU8
8795000.00000000
PA
USD
9678580.88000000
0.045750601387
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
2.80000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AA64
21503.38000000
PA
USD
25639.69000000
0.000121198681
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411EYZ4
2622.54000000
PA
USD
2662.59000000
0.000012586049
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
5.50000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2019-1
36418WAJ8
4804656.39000000
PA
USD
4960546.83000000
0.023448479017
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
4.00000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBB3
4825000.00000000
PA
USD
5564383.00000000
0.026302809446
Long
DBT
CORP
US
N
2
2044-11-15
Fixed
4.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-5
89171VAK3
3682127.05000000
PA
USD
3710535.40000000
0.017539681501
Long
ABS-MBS
CORP
US
N
2
2055-05-25
Variable
2.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133A1CC4
5817102.20000000
PA
USD
6203255.87000000
0.029322758174
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128S4CS4
170738.38000000
PA
USD
179513.75000000
0.000848560560
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
2.77400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JVEF5
2172950.27000000
PA
USD
2291344.64000000
0.010831174173
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-4
89171UAU3
2993995.58000000
PA
USD
3006159.59000000
0.014210100717
Long
ABS-MBS
CORP
US
N
2
2055-04-25
Variable
2.75000000
N
N
N
N
N
N
InTown Hotel Portfolio Trust
N/A
InTown Hotel Portfolio Trust 2018-STAY
46117MAJ3
3510000.00000000
PA
USD
3443854.05000000
0.016279080149
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
1.19088000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAA6
5963315.45000000
PA
USD
5964277.33000000
0.028193107860
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
0.90013000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FYU3
952721.91000000
PA
USD
1131116.49000000
0.005346781754
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411ARB3
85731.37000000
PA
USD
95873.00000000
0.000453191171
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-K98 Mortgage Trust
30312DAG6
15125000.00000000
PA
USD
16735342.11000000
0.079107874951
Long
ABS-MBS
CORP
US
N
2
2052-10-25
Variable
3.86156700
N
N
N
N
N
N
Jack in the Box Funding, LLC
N/A
Jack in the Box Funding LLC
466365AA1
28107600.00000000
PA
USD
28801576.64000000
0.136144902701
Long
ABS-O
CORP
US
N
2
2049-08-25
Fixed
3.98200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SBL3
890147.43000000
PA
USD
997005.90000000
0.004712841694
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GRD7
9471001.05000000
PA
USD
11223360.52000000
0.053052766696
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2018-CH2
81747EAC1
21391480.99000000
PA
USD
22025723.43000000
0.104115479884
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
4.00000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAF6
11800000.00000000
PA
USD
13127075.20000000
0.062051616069
Long
DBT
CORP
ES
N
2
2030-05-28
Fixed
3.49000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJGD4
22547851.17000000
PA
USD
24415394.08000000
0.115411440595
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AT6
17305000.00000000
PA
USD
18819187.50000000
0.088958201251
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UK27
2668010.87000000
PA
USD
2937103.46000000
0.013883672751
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KHKY1
25528784.77000000
PA
USD
27348001.20000000
0.129273859170
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P7B85
16730.42000000
PA
USD
18672.46000000
0.000088264621
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413LPV5
110244.01000000
PA
USD
130714.37000000
0.000617886145
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411NCF2
281.31000000
PA
USD
285.72000000
0.000001350596
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
6.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBL9
58665000.00000000
PA
USD
62846993.19000000
0.297077409333
Long
DBT
CORP
US
N
2
2031-04-22
Fixed
2.52200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DMU4
4658636.45000000
PA
USD
5056726.30000000
0.023903118871
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/CHF FORWARD
000000000
1.00000000
NC
USD
104310.95000000
0.000493077317
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-33469664.12000000
USD
30425000.00000000
CHF
2021-02-19
104310.95000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.35.5Y
000000000
1.00000000
NC
USD
36778789.10000000
0.173853144433
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.35.V1
Y
Default Event
2025-12-20
29751238.86000000
USD
0.00000000
USD
1371724000.00000000
USD
7027550.24000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VKM5
501000.10000000
PA
USD
600778.12000000
0.002839875042
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBD3
7460000.00000000
PA
USD
7851858.88000000
0.037115696012
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
3.85000000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032XAM6
29472000.00000000
PA
USD
32582122.69000000
0.154015524180
Long
DBT
CORP
KY
N
2
2026-04-11
Fixed
3.57500000
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB Finance Ltd
000000000
10572000.00000000
PA
USD
11075225.72000000
0.052352534269
Long
DBT
CORP
KY
N
2
2025-05-12
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E0E35
18660943.78000000
PA
USD
19924659.16000000
0.094183760028
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384HGD9
759.71000000
PA
USD
806.17000000
0.000003810761
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411VFV6
104197.25000000
PA
USD
114083.42000000
0.000539271731
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
7.00000000
N
N
N
N
N
N
CLEAR CHANNEL OUTDOOR HO
N/A
Clear Channel Outdoor Holdings Inc
18452RAD7
7130000.00000000
PA
USD
6702200.00000000
0.031681264476
Long
LON
CORP
US
N
2
2026-08-21
Floating
3.71430000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414KE30
110319.58000000
PA
USD
123369.88000000
0.000583168779
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8ZH9
12883688.48000000
PA
USD
14344990.18000000
0.067808693833
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ARBE3
2949161.68000000
PA
USD
3226301.51000000
0.015250710426
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHWG3
8450995.10000000
PA
USD
9276464.81000000
0.043849800820
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AJNH1
1676203.50000000
PA
USD
1869288.92000000
0.008836118984
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAF0
43450000.00000000
PA
USD
46327910.75000000
0.218991792715
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.65000000
N
N
N
N
N
N
TRANSURBAN FINANCE CO
54930081LPJMUMEA6E57
Transurban Finance Co Pty Ltd
89400PAG8
10525000.00000000
PA
USD
11626451.78000000
0.054958176982
Long
DBT
CORP
AU
N
2
2027-03-22
Fixed
3.37500000
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
00131LAF2
42045000.00000000
PA
USD
47807813.84000000
0.225987286910
Long
DBT
CORP
HK
N
2
2028-04-06
Fixed
3.90000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UZH8
2864235.72000000
PA
USD
2947994.48000000
0.013935154545
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DP52
20929.32000000
PA
USD
24363.19000000
0.000115164672
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807CV7
16470000.00000000
PA
USD
18137225.16000000
0.085734568824
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5ZM8
10856542.08000000
PA
USD
11551484.86000000
0.054603808742
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409X4C0
827.68000000
PA
USD
830.67000000
0.000003926572
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
5.50000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AN3
7255000.00000000
PA
USD
7667120.28000000
0.036242437612
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.25000000
N
N
N
N
N
N
SUNOCO LOGISTICS PARTNER
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAN9
14265000.00000000
PA
USD
15156562.50000000
0.071644991961
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36195KHB3
1742195.41000000
PA
USD
1872750.31000000
0.008852480957
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
SEVEN GENERATIONS ENERGY
549300XZHTA2VXQWAL67
Seven Generations Energy Ltd
81783QAC9
15260000.00000000
PA
USD
15527355.20000000
0.073397727122
Long
DBT
CORP
CA
N
2
2025-09-30
Fixed
5.37500000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292GLS3
393.23000000
PA
USD
414.70000000
0.000001960284
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M76Q4
2148467.40000000
PA
USD
2529935.09000000
0.011958989987
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AK31
4438078.14000000
PA
USD
4821777.69000000
0.022792518015
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KL53
808969.19000000
PA
USD
959208.48000000
0.004534173486
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.50000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2019-C17 Commercial Mortgage Trust
12597BAY5
14473000.00000000
PA
USD
15846169.29000000
0.074904759664
Long
ABS-MBS
CORP
US
N
2
2052-09-15
Fixed
3.27830000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MFSZ1
1681726.75000000
PA
USD
1814234.66000000
0.008575877784
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419JSV1
6162587.25000000
PA
USD
6912943.44000000
0.032677447619
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
21365000.00000000
PA
USD
21984585.00000000
0.103921018740
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
2.09900000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAL4
71745000.00000000
PA
USD
72446280.83000000
0.342453191989
Long
DBT
CORP
US
N
2
2022-04-11
Fixed
3.16800000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-LTV1
46591NBH9
8758428.77000000
PA
USD
9010082.95000000
0.042590615156
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Variable
3.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-INV1
92536MAA9
6457097.85000000
PA
USD
6514259.31000000
0.030792869814
Long
ABS-MBS
CORP
US
N
2
2058-03-25
Variable
3.62600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F5C5
1202061.43000000
PA
USD
1395765.79000000
0.006597777616
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM3
64829PAA7
16289520.19000000
PA
USD
16484800.59000000
0.077923566491
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.80181000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CHILE
000000000
1.00000000
NC
USD
2349362.28000000
0.011105423255
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
REPUBLIC OF CHILE
Chile Government International Bond
Y
Default Event
2025-12-20
1166705.42000000
USD
0.00000000
USD
86490000.00000000
USD
1182656.86000000
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAH3
51235000.00000000
PA
USD
54191223.12000000
0.256161629315
Long
DBT
CORP
US
N
2
2024-10-08
Fixed
3.86900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413MMS3
25056.49000000
PA
USD
29429.87000000
0.000139114842
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.50000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29279FAA7
4100000.00000000
PA
USD
4786750.00000000
0.022626942307
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419KKJ3
144725.04000000
PA
USD
158912.37000000
0.000751177944
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178NGA1
28439041.22000000
PA
USD
30167494.76000000
0.142601590537
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
55105000.00000000
PA
USD
59698387.49000000
0.282193966596
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.87900000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CJV9
791785.71000000
PA
USD
934750.32000000
0.004418559891
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCM1
5687000.00000000
PA
USD
8018237.79000000
0.037902168252
Long
DBT
CORP
US
N
2
2048-10-15
Fixed
4.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXY6
10717288.69000000
PA
USD
11895212.71000000
0.056228608498
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208HQX7
13570.14000000
PA
USD
13628.43000000
0.000064421517
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
8.00000000
N
N
N
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
92340LAA7
47755000.00000000
PA
USD
54549151.61000000
0.257853555422
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
4.87500000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BA9
14545000.00000000
PA
USD
15507835.37000000
0.073305456987
Long
DBT
CORP
US
N
2
2024-09-26
Fixed
2.85000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AY3
12060000.00000000
PA
USD
13301757.90000000
0.062877340282
Long
DBT
CORP
US
N
2
2026-11-19
Fixed
3.55000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RCK8
27796000.00000000
PA
USD
28157562.03000000
0.133100648995
Long
ABS-O
CORP
US
N
2
2022-11-20
Fixed
2.72000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M75Q5
1109445.52000000
PA
USD
1283638.93000000
0.006067754533
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FU37
170420.69000000
PA
USD
201662.33000000
0.000953256783
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2018-IMC2
85572PAA1
8084558.03000000
PA
USD
8383680.21000000
0.039629612668
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
4.12100000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128FWAJ8
83032.90000000
PA
USD
96105.19000000
0.000454288732
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3
46590RAK5
12846518.00000000
PA
USD
13144016.38000000
0.062131696939
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Variable
3.39670000
N
N
N
N
N
N
Octagon Investment Partners Lt
549300EY2ULL20U3RR38
Octagon Investment Partners XXIII Ltd
67590WCE2
24745820.65000000
PA
USD
24675630.37000000
0.116641576182
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
1.08688000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAU5
7575000.00000000
PA
USD
7706418.68000000
0.036428200944
Long
DBT
CORP
DK
N
2
2022-09-20
Fixed
3.00100000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERTV2
19153359.47000000
PA
USD
20530540.99000000
0.097047760281
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE22 Mortgage Trust
12592XBF2
14415000.00000000
PA
USD
15667646.20000000
0.074060881948
Long
ABS-MBS
CORP
US
N
2
2048-03-10
Variable
3.60300000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAR4
4295000.00000000
PA
USD
4509750.00000000
0.021317564751
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKH4
71930000.00000000
PA
USD
72752735.34000000
0.343901800861
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.25000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223UNE4
168.46000000
PA
USD
169.11000000
0.000000799382
Long
ABS-MBS
USGA
US
N
2
2021-12-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GP67
54983.79000000
PA
USD
58144.27000000
0.000274847661
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417Y5Z6
595271.29000000
PA
USD
666248.24000000
0.003149351958
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413T3K6
23070.45000000
PA
USD
25799.58000000
0.000121954480
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413HLH9
30903.91000000
PA
USD
35874.16000000
0.000169576967
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2019-SOHO
36257XAL5
36850000.00000000
PA
USD
35046457.82000000
0.165664423499
Long
ABS-MBS
CORP
US
N
2
2036-06-15
Floating
1.74088000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312939WT4
967518.88000000
PA
USD
1105755.43000000
0.005226900155
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJC3
882751.79000000
PA
USD
1033613.48000000
0.004885885534
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409BFQ5
653.77000000
PA
USD
655.09000000
0.000003096607
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A26L1
11640839.14000000
PA
USD
12714074.57000000
0.060099364243
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
EUR/USD FORWARD
000000000
1.00000000
NC
USD
140685.81000000
0.000665021090
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-15960837.82000000
USD
13468496.42000000
EUR
2021-02-19
140685.81000000
N
N
N
TRANSURBAN FINANCE CO
54930081LPJMUMEA6E57
Transurban Finance Co Pty Ltd
89400PAE3
7105000.00000000
PA
USD
8086868.37000000
0.038226584646
Long
DBT
CORP
AU
N
2
2026-02-02
Fixed
4.12500000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FP67
587093.79000000
PA
USD
649559.32000000
0.003070463520
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CBU2
68845.38000000
PA
USD
82484.94000000
0.000389905881
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300XVEYZNG956Y145
Neuberger Berman CLO XVII Ltd
64129UBU8
16785000.00000000
PA
USD
16552947.38000000
0.078245696013
Long
ABS-CBDO
CORP
KY
N
2
2029-04-22
Floating
1.71575000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2017-1
36417JAL3
4622195.56000000
PA
USD
4765643.55000000
0.022527172228
Long
ABS-MBS
CORP
US
N
2
2057-11-25
Variable
3.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-2
89172PAJ8
5331195.12000000
PA
USD
5439426.91000000
0.025712142660
Long
ABS-MBS
CORP
US
N
2
2055-08-25
Variable
2.75000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAN0
12265000.00000000
PA
USD
13016994.38000000
0.061531264606
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.83600000
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAB7
39095000.00000000
PA
USD
41098618.75000000
0.194272956679
Long
DBT
CORP
KY
N
2
2023-10-01
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGVB7
127544.39000000
PA
USD
148174.20000000
0.000700418671
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.00000000
N
N
N
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AF5
31635000.00000000
PA
USD
34504326.14000000
0.163101769872
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.45000000
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAE4
18290000.00000000
PA
USD
18473265.80000000
0.087323031178
Long
DBT
CORP
NL
N
2
2021-04-23
Fixed
3.93300000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
28155000.00000000
PA
USD
29641668.47000000
0.140116012404
Long
DBT
CORP
CH
N
2
2025-09-11
Fixed
2.59300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194CP23
418654.08000000
PA
USD
453346.50000000
0.002142966543
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-H1
61691JBA1
4520300.00000000
PA
USD
4563471.13000000
0.021571504252
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
4.28100000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-4
89172UAA6
6702655.40000000
PA
USD
6806444.01000000
0.032174025369
Long
ABS-MBS
CORP
US
N
2
2056-07-25
Variable
2.25000000
N
N
N
N
N
N
QVC INC
549300WBLU5NKPX5X472
QVC Inc
747262AK9
41030000.00000000
PA
USD
43081500.00000000
0.203646026016
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.37500000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BD4
40109000.00000000
PA
USD
46526440.00000000
0.219930239445
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0FF1
420944.88000000
PA
USD
420944.96000000
0.001989804632
Long
ABS-MBS
CORP
US
N
2
2025-05-25
Floating
2.10013000
N
N
N
N
N
N
Palmer Square CLO Ltd
549300U5OXIEE44RUY48
Palmer Square CLO 2020-2 Ltd
69701BAA0
6490000.00000000
PA
USD
6496490.00000000
0.030708874378
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
1.90398000
N
N
N
N
N
N
SMB Private Education Loan Tru
54930027GONY06ZX8P67
SMB Private Education Loan Trust 2016-C
78449KAB6
11169850.42000000
PA
USD
11386259.57000000
0.053822789657
Long
ABS-O
CORP
US
N
2
2034-09-15
Fixed
2.34000000
N
N
N
N
N
N
TJX COS INC
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540AW9
9565000.00000000
PA
USD
9621261.33000000
0.045479652173
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
1.60000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5UV9
16130628.54000000
PA
USD
17315758.08000000
0.081851498217
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
3.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDY5
12375000.00000000
PA
USD
13562368.88000000
0.064109247026
Long
DBT
CORP
US
N
2
2040-05-15
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202C6L2
14635.66000000
PA
USD
16920.77000000
0.000079984391
Long
ABS-MBS
USGA
US
N
2
2028-11-20
Fixed
7.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Loan Trust 2017-A
63939XAD3
8525000.00000000
PA
USD
8695173.49000000
0.041102039779
Long
ABS-O
CORP
US
N
2
2058-12-16
Fixed
3.91000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U3S9
18426158.06000000
PA
USD
18905979.82000000
0.089368468096
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.00000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709AM0
49385000.00000000
PA
USD
56165659.27000000
0.265494778708
Long
DBT
CORP
US
N
2
2027-02-09
Fixed
4.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YUH8
7110198.31000000
PA
USD
7748129.07000000
0.036625365740
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2019-1
36418WAW9
2835514.70000000
PA
USD
2862885.36000000
0.013532844179
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
4.00000000
N
N
N
N
N
N
TSMC GLOBAL LTD
549300N2ZLI21P85T117
TSMC Global Ltd
872882AF2
23860000.00000000
PA
USD
23670551.60000000
0.111890574073
Long
DBT
CORP
VG
N
2
2027-09-28
Fixed
1.00000000
N
N
N
N
N
BX Trust
N/A
BX Trust 2018-GW
12433UAG0
9610000.00000000
PA
USD
9224805.25000000
0.043605606349
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
1.16100000
N
N
N
N
N
N
Reese Park CLO, Ltd.
N/A
REESE PARK CLO LTD
758465AC2
25490000.00000000
PA
USD
25490000.00000000
0.120491097179
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Floating
0.01000000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
254900O9QVOQ1G7RF178
Benefit Street Partners CLO XI
08179CAQ4
16090000.00000000
PA
USD
15828554.56000000
0.074821494927
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
1.73688000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BS2
7920000.00000000
PA
USD
9707678.64000000
0.045888146347
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.12500000
N
N
N
N
N
N
SHINHAN BANK
5493003P813VL21KG928
Shinhan Bank Co Ltd
82460EAJ9
5830000.00000000
PA
USD
6500217.21000000
0.030726492881
Long
DBT
CORP
KR
N
2
2026-03-24
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411CAB7
13.95000000
PA
USD
14.02000000
0.000000066272
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
6.00000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
40620000.00000000
PA
USD
44930391.30000000
0.212385725557
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LWU9
260628.98000000
PA
USD
312559.13000000
0.001477465378
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
USD/GBP FORWARD
000000000
1.00000000
NC
USD
353067.53000000
0.001668948374
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-23110221.07000000
USD
17585000.00000000
GBP
2021-02-19
353067.53000000
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2020-C55
95002EBE6
19525000.00000000
PA
USD
19004611.89000000
0.089834701377
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Variable
3.54200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F0T87
4721659.94000000
PA
USD
5106115.01000000
0.024136579045
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D4P3
68279.25000000
PA
USD
81119.43000000
0.000383451122
Long
ABS-MBS
USGA
US
N
2
2034-03-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TC29
4095474.84000000
PA
USD
4554712.15000000
0.021530100599
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0204C0
73575000.00000000
PA
USD
76588413.48000000
0.362033031442
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335ALP1
9077268.46000000
PA
USD
10147705.80000000
0.047968152440
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKHJ7
6349856.82000000
PA
USD
6977836.64000000
0.032984197438
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAK0
10000000.00000000
PA
USD
10485850.00000000
0.049566558311
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31383JHB9
400.76000000
PA
USD
404.70000000
0.000001913014
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411FGF5
5293.86000000
PA
USD
5330.03000000
0.000025195024
Long
ABS-MBS
USGSE
US
N
2
2021-11-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223NUE2
176.48000000
PA
USD
178.40000000
0.000000843295
Long
ABS-MBS
USGA
US
N
2
2021-12-15
Fixed
8.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-K92 Mortgage Trust
302973AG7
11400000.00000000
PA
USD
13048205.16000000
0.061678797801
Long
ABS-MBS
CORP
US
N
2
2052-05-25
Variable
4.33661800
N
N
N
N
N
N
BOSTON PROPERTIES LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAY0
26708000.00000000
PA
USD
28746942.14000000
0.135886645704
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
2.75000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDZ2
17580000.00000000
PA
USD
19533999.42000000
0.092337113472
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.90000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephave Residential Mortgage Trust 2019-2
24381PAA1
12323909.15000000
PA
USD
12433482.26000000
0.058773005856
Long
ABS-MBS
CORP
US
N
2
2059-04-25
Variable
3.55800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9VB4
53404972.48000000
PA
USD
55989863.94000000
0.264663795099
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224EN66
11.74000000
PA
USD
11.73000000
0.000000055447
Long
ABS-MBS
USGA
US
N
2
2022-04-15
Fixed
8.00000000
N
N
N
N
N
N
Vista Point Securitization Tru
N/A
Vista Point Securitization Trust 2020-1
92838WAA2
16450449.58000000
PA
USD
16573892.11000000
0.078344701642
Long
ABS-MBS
CORP
US
N
2
2065-03-25
Variable
1.76300000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2018-IMC1
85572KAA2
7607345.30000000
PA
USD
7632508.12000000
0.036078826112
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
3.79300000
N
N
N
N
N
N
Hilton USA Trust
N/A
Hilton Orlando Trust 2018-ORL
432885AG6
5540000.00000000
PA
USD
5283453.13000000
0.024974855415
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Floating
1.19088000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410QTP6
14936.92000000
PA
USD
17275.71000000
0.000081662191
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.50000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-INV1 Trust
67098AAK5
16378000.00000000
PA
USD
16595090.39000000
0.078444905801
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AK30
332163.75000000
PA
USD
370792.75000000
0.001752735397
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DPM5
44227.59000000
PA
USD
50568.63000000
0.000239037650
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
Barclays Commercial Mortgage Trust 2019-C3
05550MAX2
13348000.00000000
PA
USD
15318477.14000000
0.072410361621
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Fixed
3.89500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468U6
32467000.00000000
PA
USD
32704398.70000000
0.154593522242
Long
DBT
CORP
US
N
2
2032-02-13
Fixed
1.79400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KHU1
1174783.51000000
PA
USD
1394462.11000000
0.006591615127
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DUL1
659306.80000000
PA
USD
779862.62000000
0.003686406541
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
5.50000000
N
N
N
N
N
N
ENI SPA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAE8
30945000.00000000
PA
USD
36963802.50000000
0.174727701811
Long
DBT
CORP
IT
N
2
2028-09-12
Fixed
4.75000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAV3
22590000.00000000
PA
USD
24085277.28000000
0.113850980201
Long
DBT
CORP
DK
N
2
2025-12-20
Fixed
3.24400000
N
N
N
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
USD/EUR FORWARD
000000000
1.00000000
NC
USD
11178.62000000
0.000052841278
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-2038745.42000000
USD
1714706.96000000
EUR
2021-02-19
11178.62000000
N
N
N
TJX COS INC
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540AU3
5695000.00000000
PA
USD
8134618.41000000
0.038452298837
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.50000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2019-BWAY Mortgage Trust
05492NAG8
10230000.00000000
PA
USD
9536811.11000000
0.045080456423
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
2.30100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MBKY1
4526686.13000000
PA
USD
4922424.33000000
0.023268274158
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CTT9
3094963.49000000
PA
USD
3697745.88000000
0.017479225506
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312943DQ3
1201591.64000000
PA
USD
1348981.33000000
0.006376627717
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KBJ2
1199466.50000000
PA
USD
1369517.91000000
0.006473704024
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.50000000
N
N
N
N
N
N
Homeward Opportunities Fund Tr
N/A
Homeward Opportunities Fund I Trust 2018-1
43789AAA2
2894722.09000000
PA
USD
2911898.79000000
0.013764530407
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.76600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0206C4
25735000.00000000
PA
USD
26919400.62000000
0.127247866462
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-P7
17325HBR4
27657000.00000000
PA
USD
31258784.94000000
0.147760113531
Long
ABS-MBS
CORP
US
N
2
2050-04-14
Fixed
3.91500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDQ2
2455000.00000000
PA
USD
3434218.49000000
0.016233532907
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AF69
1710018.43000000
PA
USD
2028884.13000000
0.009590524710
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M4QG1
810912.85000000
PA
USD
928317.30000000
0.004388151039
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410DZN3
350.12000000
PA
USD
351.77000000
0.000001662814
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CBE8
13995.88000000
PA
USD
15651.53000000
0.000073984700
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VII Ltd
67108WBE8
40684966.10000000
PA
USD
40194307.04000000
0.189998279938
Long
ABS-CBDO
CORP
KY
N
2
2029-07-17
Floating
1.22775000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DMV2
11104486.41000000
PA
USD
12022846.98000000
0.056831935027
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411GMK5
76070.51000000
PA
USD
89830.28000000
0.000424627265
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DGZ6
37560.67000000
PA
USD
44542.64000000
0.000210552827
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J95S6
9825393.12000000
PA
USD
10677259.32000000
0.050471349169
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A46Y6
4707513.16000000
PA
USD
5169975.44000000
0.024438446965
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
ONSLOW BAY FINANCIAL LLC
N/A
OBX 2020-EXP1 TRUST
67448TBE4
4712516.23000000
PA
USD
4734211.24000000
0.022378591863
Long
ABS-MBS
CORP
US
N
2
2060-02-25
Floating
0.90013000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AN3
7520000.00000000
PA
USD
8324527.20000000
0.039349996697
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0226C0
71385000.00000000
PA
USD
75202947.49000000
0.355483940926
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJQC5
20597634.16000000
PA
USD
22166433.19000000
0.104780614186
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCA5
13075000.00000000
PA
USD
15379024.20000000
0.072696567258
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERCZ1
10354341.07000000
PA
USD
11323579.36000000
0.053526500631
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJF7
63430000.00000000
PA
USD
63648770.07000000
0.300867404467
Long
DBT
CORP
US
N
2
2031-07-23
Fixed
1.89800000
N
N
N
N
N
N
Sequoia Mortgage Trust
5493003EWUCLH0O45S72
Sequoia Mortgage Trust 2018-CH4
81747LAB7
15923991.44000000
PA
USD
16309369.55000000
0.077094304879
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
4.00000000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAD4
5951000.00000000
PA
USD
6346467.75000000
0.029999719984
Long
DBT
CORP
IE
N
2
2023-07-15
Fixed
4.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EGQ6
8523086.30000000
PA
USD
10127241.09000000
0.047871415862
Long
ABS-MBS
USGA
US
N
2
2036-01-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412CEK2
655.15000000
PA
USD
762.32000000
0.000003603482
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.50000000
N
N
N
N
N
N
Planet Fitness Master Issuer L
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAB9
25279100.00000000
PA
USD
25167366.38000000
0.118966009739
Long
ABS-O
CORP
US
N
2
2048-09-05
Fixed
4.66600000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DH7
587000.00000000
PA
USD
669210.52000000
0.003163354640
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.90000000
N
N
N
N
N
N
Palisades Center Trust
N/A
Palisades Center Trust 2016-PLSD
69640GAA3
16795000.00000000
PA
USD
13939850.00000000
0.065893598313
Long
ABS-MBS
CORP
US
N
2
2033-04-13
Fixed
2.71298000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
3232.00000000
NC
USD
273155.71000000
0.001291205617
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-31
713519092.67000000
USD
273155.71000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBP0
61233000.00000000
PA
USD
66687145.78000000
0.315229790616
Long
DBT
CORP
US
N
2
2031-05-13
Fixed
2.95600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCLD6
2029316.14000000
PA
USD
2166749.83000000
0.010242215156
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
4.00000000
N
N
N
N
N
N
Barings CLO Ltd
N/A
Barings CLO Ltd 2013-I
06760EAA4
31014655.06000000
PA
USD
30831012.64000000
0.145738036098
Long
ABS-CBDO
CORP
KY
N
2
2028-01-20
Floating
1.01838000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-1
03464MAB0
7401803.87000000
PA
USD
7435508.72000000
0.035147610975
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
4.02200000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM1
64829YAA8
16637838.76000000
PA
USD
16747997.89000000
0.079167698757
Long
ABS-MBS
CORP
US
N
2
2049-01-25
Variable
3.67461000
N
N
N
N
N
N
KOOKMIN BANK
549300XXMOJSIW8P4769
Kookmin Bank
50050GAN8
21350000.00000000
PA
USD
21919557.37000000
0.103613633472
Long
DBT
CORP
KR
N
2
2030-11-04
Fixed
2.50000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ABBZ1
125351.65000000
PA
USD
139977.58000000
0.000661673291
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409T3B2
2073.86000000
PA
USD
2078.96000000
0.000009827233
Long
ABS-MBS
USGSE
US
N
2
2021-02-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EYM5
291403.81000000
PA
USD
336690.35000000
0.001591533530
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LY2J5
2400437.21000000
PA
USD
2538802.68000000
0.012000907039
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
3.00000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AT5
14100000.00000000
PA
USD
15798020.70000000
0.074677161530
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LXFP0
666620.67000000
PA
USD
773581.94000000
0.003656717799
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564AAK7
14343816.24000000
PA
USD
14235945.00000000
0.067293237836
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
1.40013000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2019-3
78432BAA7
13785614.19000000
PA
USD
13974056.64000000
0.066055292922
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.70300000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335ABF4
31299746.56000000
PA
USD
33955313.46000000
0.160506589795
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AV8
15135000.00000000
PA
USD
18086325.00000000
0.085493964032
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QYY1
330585.27000000
PA
USD
392482.06000000
0.001855260652
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EAK5
29123.24000000
PA
USD
34605.21000000
0.000163578647
Long
ABS-MBS
USGA
US
N
2
2034-09-20
Fixed
5.50000000
N
N
N
N
N
N
CNOOC FINANCE 2015 US
549300Q3CTIH31RFPO82
CNOOC Finance 2015 USA LLC
12634MAB6
11580000.00000000
PA
USD
12537400.82000000
0.059264228347
Long
DBT
CORP
US
N
2
2025-05-05
Fixed
3.50000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7VE6
4812654.54000000
PA
USD
5525677.95000000
0.026119850877
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XHT4
32230287.64000000
PA
USD
31889686.66000000
0.150742382674
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
1.50013000
N
N
N
N
N
N
BRE Grand Islander Timeshare I
N/A
BRE Grand Islander Timeshare Issuer 2019-A LLC
05588UAA0
10001677.68000000
PA
USD
10369951.45000000
0.049018706469
Long
ABS-O
CORP
US
N
2
2033-09-26
Fixed
3.28000000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AF5
37652000.00000000
PA
USD
39161656.94000000
0.185116948296
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405YB83
4124.75000000
PA
USD
4619.79000000
0.000021837723
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TJ22
2947908.09000000
PA
USD
3277723.00000000
0.015493779541
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
5.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-G
63941JAA6
26290101.62000000
PA
USD
26916415.97000000
0.127233758037
Long
ABS-O
CORP
US
N
2
2068-10-15
Fixed
2.40000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Trust 2018-CBM
05549RAA5
10463000.00000000
PA
USD
10043706.78000000
0.047476549614
Long
ABS-MBS
CORP
US
N
2
2037-07-15
Floating
1.14100000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296QR44
60667.12000000
PA
USD
70067.31000000
0.000331207809
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
T. Rowe Price Institutional Floating Rate Fund - Class Z
863VOPTBPYYVTH00FU88
T. Rowe Price Institutional Floating Rate Fund - Class Z
77958B873
46751438.07906300
NS
USD
448813805.56000000
2.121540520257
Long
EC
RF
US
N
1
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RCY8
18960000.00000000
PA
USD
19948301.38000000
0.094295516679
Long
ABS-O
CORP
US
N
2
2024-09-20
Fixed
3.70000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAX6
10345000.00000000
PA
USD
12390320.30000000
0.058568979496
Long
DBT
CORP
NL
N
2
2026-03-01
Fixed
5.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJMV7
26906722.47000000
PA
USD
28868323.17000000
0.136460413201
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CDS CHILE
000000000
1.00000000
NC
USD
1312399.57000000
0.006203705928
N/A
DCR
CORP
CH
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
REPUBLIC OF CHILE
Chile Government International Bond
Y
Default Event
2025-12-20
864007.29000000
USD
0.00000000
USD
48315000.00000000
USD
448392.28000000
N
N
N
Freddie Mac - STACR
549300BL200YC56BUV20
STACR Trust 2018-DNA3
35563WAA2
25532.62000000
PA
USD
25532.62000000
0.000120692561
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Floating
0.90013000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GXY8
1341056.35000000
PA
USD
20993.43000000
0.000099235834
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Fixed
3.50000000
N
N
N
N
N
N
KKR Financial CLO Ltd
635400ZS4BDP68TETX94
KKR CLO 13 Ltd
48250VAW7
11320000.00000000
PA
USD
10945888.26000000
0.051741156769
Long
ABS-CBDO
CORP
KY
N
2
2028-01-16
Floating
1.38013000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184BAH0
5267936.87000000
PA
USD
5812654.71000000
0.027476388526
Long
ABS-MBS
USGA
US
N
2
2045-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BWU6
2273204.59000000
PA
USD
2469980.34000000
0.011675584196
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-K97 Mortgage Trust
30298PAS1
9820000.00000000
PA
USD
10925498.28000000
0.051644773440
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
3.89317400
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202E4H9
2302804.29000000
PA
USD
2651662.17000000
0.012534393260
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Fixed
5.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK23
06541RBF9
6770000.00000000
PA
USD
7386780.17000000
0.034917271373
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
3.45500000
N
N
N
N
N
N
Driven Brands Funding, LLC
N/A
DRIVEN BRANDS FUNDING LLC
26208LAD0
15774037.50000000
PA
USD
16878062.38000000
0.079782512924
Long
ABS-O
CORP
US
N
2
2049-04-20
Fixed
4.64100000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YBB5
8270000.00000000
PA
USD
8236762.87000000
0.038935135167
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
2.15000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ7A0
1365147.70000000
PA
USD
1610309.57000000
0.007611924946
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RXE4
384189.46000000
PA
USD
419454.64000000
0.001982759897
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418WPP9
1130463.11000000
PA
USD
1262540.76000000
0.005968023593
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A4AM7
1694314.87000000
PA
USD
1860153.68000000
0.008792936752
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AG2
6682000.00000000
PA
USD
6965109.66000000
0.032924037069
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2018-INV2
92537LAA0
17881795.21000000
PA
USD
18179949.11000000
0.085936524713
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.14800000
N
N
N
N
N
N
BOSTON PROPERTIES LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RBD5
10455000.00000000
PA
USD
11397037.32000000
0.053873736025
Long
DBT
CORP
US
N
2
2031-01-30
Fixed
3.25000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
25168000.00000000
PA
USD
29852771.52000000
0.141113895421
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22300000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBU9
33085000.00000000
PA
USD
33255751.69000000
0.157199764953
Long
DBT
CORP
US
N
2
2031-11-19
Fixed
1.76400000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAA8
8178409.93000000
PA
USD
8380880.37000000
0.039616377838
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
2.75000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-1
89172EAU8
4004803.74000000
PA
USD
4059742.04000000
0.019190379469
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
2.75000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2019-C51
95001VAU4
18141634.00000000
PA
USD
20492065.92000000
0.096865888826
Long
ABS-MBS
CORP
US
N
2
2052-06-15
Fixed
3.31100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409H6A7
674.37000000
PA
USD
676.44000000
0.000003197528
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
5.50000000
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BP7
30185000.00000000
PA
USD
34750481.25000000
0.164265343795
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.18500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WAA0
8018703.80000000
PA
USD
8028736.80000000
0.037951797018
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Floating
1.64925000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELX73
3695969.04000000
PA
USD
4144741.47000000
0.019592171331
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31356DT22
844.07000000
PA
USD
944.20000000
0.000004463228
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0UM9
16885697.02000000
PA
USD
16240659.85000000
0.076769514486
Long
ABS-MBS
CORP
US
N
2
2030-09-25
Floating
1.25013000
N
N
N
N
N
N
MVW 2020-1 LLC
N/A
MVW 2020-1 LLC
55400EAA7
10190963.59000000
PA
USD
10367491.46000000
0.049007078109
Long
ABS-O
CORP
US
N
2
2037-10-20
Fixed
1.74000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
40000000.00000000
PA
USD
42587600.00000000
0.201311363289
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
4040000.00000000
PA
USD
4337230.88000000
0.020502067769
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36192STM2
776440.68000000
PA
USD
856879.62000000
0.004050465498
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAH3
11970000.00000000
PA
USD
13358974.86000000
0.063147804553
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
Vista Point Securitization Tru
N/A
Vista Point Securitization Trust 2020-1
92838WAC8
17346000.00000000
PA
USD
17931944.41000000
0.084764207788
Long
ABS-MBS
CORP
US
N
2
2065-03-25
Variable
3.20100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MPU0
903709.57000000
PA
USD
1085240.32000000
0.005129925337
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413QM70
56694.55000000
PA
USD
64526.85000000
0.000305018083
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC40
36257HBT2
21395000.00000000
PA
USD
23901283.04000000
0.112981240388
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Fixed
3.41200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193EPR5
2821485.62000000
PA
USD
3113551.08000000
0.014717739731
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KGP3
501813.14000000
PA
USD
602614.75000000
0.002848556783
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
SUNCOR ENERGY INC
549300W70ZOQDVLCHY06
Suncor Energy Inc
867224AD9
2250000.00000000
PA
USD
2447520.75000000
0.011569417832
Long
DBT
CORP
CA
N
2
2025-05-15
Fixed
3.10000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QJQE9
110940.49000000
PA
USD
117566.29000000
0.000555735240
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
4.07300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409BDN4
2467.22000000
PA
USD
2945.57000000
0.000013923694
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DSH3
11278.56000000
PA
USD
13065.55000000
0.000061760786
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DQ69
471476.18000000
PA
USD
491625.17000000
0.002323909616
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Floating
2.95900000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAL7
10540000.00000000
PA
USD
12365601.78000000
0.058452135180
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404KHA3
29232.78000000
PA
USD
33016.58000000
0.000156069201
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DDK2
1297.71000000
PA
USD
1299.55000000
0.000006142966
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409FMJ4
403.29000000
PA
USD
404.53000000
0.000001912211
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERJM3
37016616.80000000
PA
USD
39713544.96000000
0.187725720091
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Wind River CLO Ltd
635400WBNY8VGBBADK15
Wind River 2016-1 CLO Ltd
88433AAL3
12980000.00000000
PA
USD
12772444.09000000
0.060375276660
Long
ABS-CBDO
CORP
KY
N
2
2028-07-15
Floating
1.88688000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223XCA8
34.80000000
PA
USD
34.93000000
0.000000165113
Long
ABS-MBS
USGA
US
N
2
2022-02-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411CNU1
20048.89000000
PA
USD
23627.89000000
0.000111688912
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411EH26
3648.39000000
PA
USD
3671.25000000
0.000017353979
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FLK49
5620367.43000000
PA
USD
6054921.14000000
0.028621580678
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAJ6
11000000.00000000
PA
USD
10819609.90000000
0.051144239619
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
3.03862000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VDC1
25616819.90000000
PA
USD
26365866.73000000
0.124631314648
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390WYP1
1705.06000000
PA
USD
1710.60000000
0.000008085997
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WTW8
223.76000000
PA
USD
229.67000000
0.000001085648
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
6.00000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CDS BARCLAYS BANK PLC
000000000
1.00000000
NC
156753.47000000
0.000740972835
N/A
DCR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
BARCLAYS BANK PLC
BARCLAYS BANK PLC
Y
Default Event
2024-06-20
51643.01000000
USD
0.00000000
USD
5777500.00000000
EUR
105110.46000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312943UJ0
1180515.07000000
PA
USD
1286711.66000000
0.006082279312
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJWS3
199707.51000000
PA
USD
210974.34000000
0.000997274605
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HML4
662.48000000
PA
USD
785.25000000
0.000003711872
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R7J2
19204718.87000000
PA
USD
20661285.60000000
0.097665789371
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP3 Trust
67113AAP5
10652761.54000000
PA
USD
10948455.57000000
0.051753292430
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.50000000
N
N
N
N
N
N
BORAL FINANCE PTY LTD
549300X2TYFVNPM0UT91
Boral Finance Pty Ltd
09952AAC0
52215000.00000000
PA
USD
54782098.26000000
0.258954693023
Long
DBT
CORP
AU
N
2
2028-05-01
Fixed
3.75000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BW8
77505000.00000000
PA
USD
88823985.21000000
0.419870515254
Long
DBT
CORP
US
N
2
2027-06-06
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9CU3
11764053.30000000
PA
USD
12783081.12000000
0.060425557845
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9LV2
23190202.55000000
PA
USD
25115296.17000000
0.118719874127
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2018-2
24381HAB7
1931418.28000000
PA
USD
1929640.02000000
0.009121398319
Long
ABS-MBS
CORP
US
N
2
2058-04-25
Variable
3.53000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407HXU5
644.37000000
PA
USD
647.71000000
0.000003061721
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
5.50000000
N
N
N
N
N
N
T. Rowe Price High Yield Institutional Fund - Class Z
E81VH37I6Q4XM5FXIK06
T. Rowe Price High Yield Institutional Fund - Class Z
77958B865
28553582.72500000
NS
USD
248701705.53000000
1.175611666135
Long
EC
RF
US
N
1
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCT6
14955000.00000000
PA
USD
17954255.16000000
0.084869670587
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36241KYG7
2625296.08000000
PA
USD
3032246.14000000
0.014333411703
Long
ABS-MBS
USGA
US
N
2
2038-12-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CB62
0.65000000
PA
USD
0.69000000
0.000000003261
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NH99
43439.40000000
PA
USD
48578.08000000
0.000229628331
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
6.50000000
N
N
N
N
N
N
WPP FINANCE 2010
549300OJB3S151W7KN44
WPP Finance 2010
92936MAF4
18332000.00000000
PA
USD
20165603.30000000
0.095322701722
Long
DBT
CORP
GB
N
2
2024-09-19
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417LCP8
109684.68000000
PA
USD
121662.84000000
0.000575099610
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAM6
2910000.00000000
PA
USD
3193492.20000000
0.015095620989
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FCP9
2399595.38000000
PA
USD
2763410.08000000
0.013062625048
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EG45
135976.36000000
PA
USD
161625.00000000
0.000764000532
Long
ABS-MBS
USGA
US
N
2
2036-02-20
Fixed
5.50000000
N
N
N
N
N
N
EXPORT-IMPORT BK THAILND
549300ITFBNFH0H6FK36
Export Import Bank of Thailand
000000000
13925000.00000000
PA
USD
14010339.08000000
0.066226799827
Long
DBT
NUSS
TH
N
2
2025-10-15
Fixed
1.45700000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XE26
15031035.04000000
PA
USD
14594735.20000000
0.068989237241
Long
ABS-MBS
CORP
US
N
2
2030-08-25
Floating
1.05013000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBD0
37285000.00000000
PA
USD
50711552.21000000
0.239713243055
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411UWA5
511.52000000
PA
USD
522.87000000
0.000002471603
Long
ABS-MBS
USGSE
US
N
2
2022-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A7QM3
5613684.55000000
PA
USD
6162000.74000000
0.029127745389
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412FSM6
23902.88000000
PA
USD
24423.01000000
0.000115447441
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SGL5
3091855.61000000
PA
USD
3324873.65000000
0.015716660418
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418UEK6
9182654.02000000
PA
USD
10666144.83000000
0.050418811033
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXGG1
29774227.63000000
PA
USD
32450933.08000000
0.153395391577
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412WHR0
4522.91000000
PA
USD
4617.17000000
0.000021825338
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
5.50000000
N
N
N
N
N
N
FIDELITY NATL FINANCIAL
549300CAZYIH39SYQ287
Fidelity National Financial Inc
31620RAH8
7205000.00000000
PA
USD
8380056.25000000
0.039612482227
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.50000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AN9
6340000.00000000
PA
USD
6494993.98000000
0.030701802700
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292GLU8
997.45000000
PA
USD
1064.04000000
0.000005029711
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410CJ94
470.49000000
PA
USD
472.37000000
0.000002232890
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
6.00000000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AE8
16895000.00000000
PA
USD
18236615.06000000
0.086204384363
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
3.30000000
N
N
N
N
N
N
HEATHROW FUNDING LTD
7TI96JO3DYEIQWZ7Z726
Heathrow Funding Ltd
05607MAA5
26640000.00000000
PA
USD
27272486.88000000
0.128916903373
Long
DBT
CORP
JE
N
2
2021-07-15
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKBA2
4923105.62000000
PA
USD
5289925.38000000
0.025005449707
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-1
03067DAF2
13295000.00000000
PA
USD
13504963.95000000
0.063837894221
Long
ABS-O
CORP
US
N
2
2025-10-20
Fixed
1.59000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-H1
61691JAZ7
9225000.00000000
PA
USD
9820064.16000000
0.046419392115
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
4.07500000
N
N
N
N
N
N
CBAM CLO Management
N/A
CBAM 2019-9 Ltd
14987VAA7
4815000.00000000
PA
USD
4806880.90000000
0.022722100967
Long
ABS-CBDO
CORP
KY
N
2
2030-02-12
Floating
1.51688000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DKV3
11762540.74000000
PA
USD
12543351.60000000
0.059292357653
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA3
35565MAA2
13000000.00000000
PA
USD
13015766.40000000
0.061525459951
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Floating
1.70013000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DHB8
1308.58000000
PA
USD
1314.17000000
0.000006212074
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
6.00000000
N
N
N
N
N
N
Liberty Street Trust
N/A
225 Liberty Street Trust 2016-225L
902055AA0
13535000.00000000
PA
USD
14868142.01000000
0.070281629808
Long
ABS-MBS
CORP
US
N
2
2036-02-10
Fixed
3.59700000
N
N
N
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
92340LAC3
29214000.00000000
PA
USD
32488801.76000000
0.153574396630
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.95000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AE7
10985000.00000000
PA
USD
11545575.54000000
0.054575875417
Long
DBT
CORP
US
N
2
2026-08-18
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7TQ9
1893090.10000000
PA
USD
2119877.64000000
0.010020650558
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617G9KV2
37553.19000000
PA
USD
41949.74000000
0.000198296202
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335APZ5
40399132.71000000
PA
USD
43784755.77000000
0.206970312376
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-K731 Mortgage Trust
30296NAN9
8375000.00000000
PA
USD
9117777.91000000
0.043099688670
Long
ABS-MBS
CORP
US
N
2
2025-02-25
Variable
4.06327800
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAJ4
25110000.00000000
PA
USD
29026306.26000000
0.137207198444
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132H5BB3
3526206.39000000
PA
USD
3805348.72000000
0.017987863570
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.50000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXVII Ltd
55817EAA4
5795000.00000000
PA
USD
5786315.27000000
0.027351882130
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Floating
1.53688000
N
N
N
N
N
N
Cantor Commercial Real Estate
N/A
Cantor Commercial Real Estate Lending 2019-CF2
12528YAL7
3875000.00000000
PA
USD
3816527.80000000
0.018040707023
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Variable
3.79423700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EM5Y3
1383600.16000000
PA
USD
1602662.32000000
0.007575776435
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PFAQ8
5279.55000000
PA
USD
5346.00000000
0.000025270514
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292H4K7
2954.83000000
PA
USD
3544.34000000
0.000016754076
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7YK6
1219006.16000000
PA
USD
1447493.65000000
0.006842294941
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EH7F3
1961518.13000000
PA
USD
2315680.25000000
0.010946208475
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLV5
6034080.93000000
PA
USD
6709753.24000000
0.031716968603
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
5.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z29
782180000.00000000
PA
USD
804301028.13000000
3.801926769016
Long
DBT
UST
US
N
2
2023-01-15
Fixed
1.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GENERAL ELECTRIC CO
000000000
1.00000000
NC
USD
20122.53000000
0.000095119094
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GENERAL ELECTRIC CO
General Electric Co
Y
Default Event
2020-12-20
2706.79000000
USD
0.00000000
USD
8795000.00000000
USD
17415.74000000
N
N
N
CSAIL Commercial Mortgage Trus
5493006MX7HG5PC85C29
CSAIL 2016-C7 Commercial Mortgage Trust
12637UBA6
22584000.00000000
PA
USD
25216673.34000000
0.119199083482
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Variable
3.95790000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZP8
225080000.00000000
PA
USD
224868987.50000000
1.062954532192
Long
DBT
UST
US
N
2
2023-05-15
Fixed
0.12500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAM3
100760000.00000000
PA
USD
100256200.00000000
0.473910534997
Long
DBT
UST
US
N
2
2025-09-30
Fixed
0.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128NGEY7
99618.11000000
PA
USD
104977.66000000
0.000496228851
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Floating
2.56700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409AWR6
833.59000000
PA
USD
835.29000000
0.000003948411
Long
ABS-MBS
USGSE
US
N
2
2021-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128LUHZ2
189256.76000000
PA
USD
198600.15000000
0.000938781874
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Floating
3.73400000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312945AM0
18648.94000000
PA
USD
20392.80000000
0.000096396659
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LUTV7
2539222.71000000
PA
USD
2758276.10000000
0.013038356752
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184SPQ7
906778.22000000
PA
USD
1005175.26000000
0.004751458216
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEMN6
4987623.37000000
PA
USD
5304649.93000000
0.025075052578
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RJN0
325258.65000000
PA
USD
376141.76000000
0.001778020139
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
38760000.00000000
PA
USD
40984281.36000000
0.193732484432
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411UPL9
33786.40000000
PA
USD
39208.61000000
0.000185338895
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RGQ9
14030000.00000000
PA
USD
16737986.42000000
0.079120374591
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.30000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300XVEYZNG956Y145
Neuberger Berman CLO XVII Ltd
64129UBW4
12440000.00000000
PA
USD
12175043.43000000
0.057551366853
Long
ABS-CBDO
CORP
KY
N
2
2029-04-22
Floating
2.21575000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390MFQ2
134480.61000000
PA
USD
155747.18000000
0.000736216108
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
CNO FINANCIAL GROUP INC
11XPYHB76MPM4Y4P2897
CNO Financial Group Inc
12621EAK9
34660000.00000000
PA
USD
39685700.00000000
0.187594097110
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
5.25000000
N
N
N
N
N
CNH Equipment Trust
N/A
CNH Equipment Trust 2017-C
18978CAE3
1095000.00000000
PA
USD
1111762.26000000
0.005255294409
Long
ABS-O
CORP
US
N
2
2025-05-15
Fixed
2.54000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPW34
1937503.81000000
PA
USD
2320838.09000000
0.010970589558
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300MTK92VF84VT259
SLM Student Loan Trust 2008-9
78445JAA5
13880746.85000000
PA
USD
13844296.01000000
0.065441915101
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
1.71475000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194BZF5
5706622.24000000
PA
USD
6106720.77000000
0.028866437259
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
7215000.00000000
PA
USD
7332243.75000000
0.034659478000
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust
36250BAE6
1458593.54000000
PA
USD
1472818.33000000
0.006962004571
Long
ABS-MBS
CORP
US
N
2
2044-07-25
Variable
2.39635800
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2020-III Ltd
12560EAA4
21990000.00000000
PA
USD
22005379.81000000
0.104019315698
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
1.55511000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Loan Trust 2017-A
63939XAB7
3510943.67000000
PA
USD
3568115.53000000
0.016866463518
Long
ABS-O
CORP
US
N
2
2058-12-16
Fixed
2.88000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAM7
28505000.00000000
PA
USD
28422791.58000000
0.134354387696
Long
DBT
CORP
GB
N
2
2026-08-21
Fixed
1.53200000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-2 Receivables Funding LLC
82652MAA8
6516825.32000000
PA
USD
6733826.48000000
0.031830762683
Long
ABS-O
CORP
US
N
2
2036-05-20
Fixed
2.59000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BA1
5715000.00000000
PA
USD
8121049.29000000
0.038388157677
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48400000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAB0
24875000.00000000
PA
USD
27049746.63000000
0.127864011372
Long
DBT
CORP
IE
N
2
2025-04-10
Fixed
4.26300000
N
N
N
N
N
ALIBABA GROUP HOLDING
5493001NTNQJDH60PM02
Alibaba Group Holding Ltd
01609WAT9
11715000.00000000
PA
USD
13166998.81000000
0.062240334765
Long
DBT
CORP
KY
N
2
2027-12-06
Fixed
3.40000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-2
92537UAC6
7815000.00000000
PA
USD
8027241.33000000
0.037944727939
Long
ABS-MBS
CORP
US
N
2
2060-05-25
Variable
3.99500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385W2S7
307274.82000000
PA
USD
361974.03000000
0.001711049353
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Cole Park CLO Limited
N/A
Cole Park CLO Ltd 2015-1
19329LAN7
39460000.00000000
PA
USD
39382311.55000000
0.186159981488
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
1.26838000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
14325000.00000000
PA
USD
18196918.58000000
0.086016739309
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QJPK6
132863.74000000
PA
USD
133519.25000000
0.000631144799
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Floating
3.46500000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAN5
4515000.00000000
PA
USD
5214156.78000000
0.024647291929
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FRZF1
22268360.78000000
PA
USD
3423263.89000000
0.016181750570
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJJ4
248135.96000000
PA
USD
294474.33000000
0.001391978623
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAE2
15190000.00000000
PA
USD
16156828.31000000
0.076373243233
Long
DBT
CORP
IE
N
2
2024-04-15
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DPF3
7589365.94000000
PA
USD
8005324.59000000
0.037841127623
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
QNB FINANCE LTD
549300MY0DXTHQEX5O57
QNB Finance Ltd
000000000
21028000.00000000
PA
USD
22138694.54000000
0.104649493732
Long
DBT
CORP
KY
N
2
2027-02-12
Fixed
2.75000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS REPUBLIC OF INDONESIA
000000000
1.00000000
NC
USD
1411917.88000000
0.006674128461
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Indonesia Government International Bond
REPUBLIC OF INDONESIA
Y
Default Event
2025-12-20
72891.22000000
USD
0.00000000
USD
91295000.00000000
USD
1339026.66000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DGY9
813978.19000000
PA
USD
945005.13000000
0.004467034325
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2019-C17 Commercial Mortgage Trust
12597BAZ2
16560000.00000000
PA
USD
17423358.91000000
0.082360126780
Long
ABS-MBS
CORP
US
N
2
2052-09-15
Fixed
3.48020000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6QE1
1017566.25000000
PA
USD
1196343.61000000
0.005655110010
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFM1
41925000.00000000
PA
USD
44440500.00000000
0.210070011934
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.98700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2KC5
1131979.71000000
PA
USD
1185193.17000000
0.005602401938
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
4.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2019-3
24381NAD0
9060000.00000000
PA
USD
8733175.00000000
0.041281672719
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.40500000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807CW5
7155000.00000000
PA
USD
7816529.84000000
0.036948695824
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.30000000
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAJ4
22400000.00000000
PA
USD
24296832.00000000
0.114850998261
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.70000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DUU3
77345.93000000
PA
USD
91977.76000000
0.000434778392
Long
ABS-MBS
USGA
US
N
2
2032-10-20
Fixed
5.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC21 Mortgage Trust
12593FBG8
28450000.00000000
PA
USD
30526098.92000000
0.144296710533
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
4.47926400
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
Aker BP ASA
00973RAG8
7245000.00000000
PA
USD
7251679.89000000
0.034278653053
Long
DBT
CORP
NO
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVa Trust 2017-RT1
07332BAA7
3779596.96000000
PA
USD
3844363.76000000
0.018172287461
Long
ABS-MBS
CORP
US
N
2
2057-03-28
Variable
3.00000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
CDS REPUBLIC OF INDONESIA
000000000
1.00000000
NC
USD
245977.91000000
0.001162736298
N/A
DCR
CORP
US
N
2
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
Indonesia Government International Bond
REPUBLIC OF INDONESIA
Y
Default Event
2025-12-20
32009.87000000
USD
0.00000000
USD
15905000.00000000
USD
213968.04000000
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2020-INV1
36258KAS7
47023399.81000000
PA
USD
47928882.40000000
0.226559577362
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312942UJ2
312809.48000000
PA
USD
343832.31000000
0.001625293537
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RXF1
3458306.39000000
PA
USD
3852621.17000000
0.018211320195
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
4.50000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FAHB9
41379.15000000
PA
USD
6734.05000000
0.000031831819
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31287UEV0
3623.86000000
PA
USD
3800.44000000
0.000017964660
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128K6NH9
1519.40000000
PA
USD
1680.54000000
0.000007943903
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204L3M1
8250.08000000
PA
USD
9135.58000000
0.000043183839
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
6.50000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-IMC1
85572TAC9
9262484.49000000
PA
USD
9288085.07000000
0.043904729728
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
3.75400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DE70
4911.85000000
PA
USD
5898.75000000
0.000027883360
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6.00000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BD2
13898000.00000000
PA
USD
15048921.18000000
0.071136172002
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.87500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-UBS5 Mortgage Trust
12592KBC7
12535000.00000000
PA
USD
13770589.99000000
0.065093507128
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Fixed
3.83800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AHX8
236102.53000000
PA
USD
280845.18000000
0.001327553702
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
Highbridge Loan Management Ltd
549300Z5U2GIJ32SH058
HPS Loan Management 11-2017 Ltd
40436VAG6
12070000.00000000
PA
USD
11869356.41000000
0.056106385902
Long
ABS-CBDO
CORP
KY
N
2
2030-05-06
Floating
1.79850000
N
N
N
N
N
N
HKT CAPITAL NO 4 LTD
254900MLP05EG5KFTB45
HKT Capital No 4 Ltd
000000000
22686000.00000000
PA
USD
24214582.68000000
0.114462206153
Long
DBT
CORP
VG
N
2
2026-07-14
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375GQN4
9392527.65000000
PA
USD
362023.71000000
0.001711284190
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
CDS BOEING CO
000000000
1.00000000
NC
USD
163666.77000000
0.000773651968
N/A
DCR
CORP
US
N
2
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BOEING CO
Boeing Co/The
Y
Default Event
2021-12-20
371731.22000000
USD
0.00000000
USD
63655000.00000000
USD
-208064.45000000
N
N
N
STATE GRID OVERSEAS INV
3003006V8BHG5158QO96
State Grid Overseas Investment 2016 Ltd
000000000
24000000.00000000
PA
USD
26849541.84000000
0.126917644373
Long
DBT
CORP
VG
N
2
2027-05-04
Fixed
3.50000000
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
Gray Oak Pipeline LLC
38937LAA9
2160000.00000000
PA
USD
2176264.80000000
0.010287192369
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31356EKL7
2000.28000000
PA
USD
2237.48000000
0.000010576556
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJSU3
4212268.43000000
PA
USD
4668488.10000000
0.022067918922
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BN1
18429000.00000000
PA
USD
23161419.77000000
0.109483910566
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.87500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDN9
7850000.00000000
PA
USD
8988532.60000000
0.042488746763
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208DJM8
44530.51000000
PA
USD
49437.10000000
0.000233688914
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WTS7
1757.70000000
PA
USD
1798.07000000
0.000008499467
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FY90
5067.20000000
PA
USD
6009.27000000
0.000028405787
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412V4C9
1621.07000000
PA
USD
1867.17000000
0.000008826102
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KT87
130020.26000000
PA
USD
155955.58000000
0.000737201214
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust 2018-ASHF
04410RAG1
21605000.00000000
PA
USD
20306241.35000000
0.095987497052
Long
ABS-MBS
CORP
US
N
2
2035-04-15
Floating
1.39100000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2019-1
24380RAA8
6736829.48000000
PA
USD
6813057.38000000
0.032205286734
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
3.74300000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAE6
18020000.00000000
PA
USD
17985778.22000000
0.085018679927
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.57100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DDX4
256357.40000000
PA
USD
303872.82000000
0.001436405236
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300WG00K34O9YA435
Magnetite XXIII Ltd
55954NAA7
9735000.00000000
PA
USD
9719876.77000000
0.045945806844
Long
ABS-CBDO
CORP
KY
N
2
2032-10-25
Floating
1.51475000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VIII Ltd
67107FBE6
21030000.00000000
PA
USD
20819700.00000000
0.098414613415
Long
ABS-CBDO
CORP
KY
N
2
2029-10-17
Floating
2.01775000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JVR87
20945602.53000000
PA
USD
22086628.05000000
0.104403375706
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2020-3
362569AF2
11310000.00000000
PA
USD
11347449.67000000
0.053639335462
Long
ABS-O
CORP
US
N
2
2024-10-21
Fixed
1.11000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
Americredit Automobile Receivables Trust 2018-3
03066MAG1
7315000.00000000
PA
USD
7814008.09000000
0.036936775525
Long
ABS-O
CORP
US
N
2
2024-11-18
Fixed
4.04000000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Inc
40414LAQ2
3455000.00000000
PA
USD
3857624.97000000
0.018234973132
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
3.25000000
N
N
N
N
N
N
Slide 2018-Fun
N/A
SLIDE 2018-FUN
831350AG8
9147712.12000000
PA
USD
8711696.48000000
0.041180143867
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Floating
1.39088000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X56K4
34308402.70000000
PA
USD
37484914.78000000
0.177190996843
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410E4B1
333.23000000
PA
USD
334.91000000
0.000001583117
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194CT94
1425226.94000000
PA
USD
1560827.22000000
0.007378022135
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-2
92537GAA1
14120693.96000000
PA
USD
14297453.98000000
0.067583990464
Long
ABS-MBS
CORP
US
N
2
2059-05-25
Variable
3.21100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GHN6
116580.51000000
PA
USD
138179.34000000
0.000653173020
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2015-NXS2
94989MAL3
4900000.00000000
PA
USD
4693717.84000000
0.022187179772
Long
ABS-MBS
CORP
US
N
2
2058-07-15
Variable
4.43673700
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224HSG2
145.29000000
PA
USD
145.87000000
0.000000689526
Long
ABS-MBS
USGA
US
N
2
2022-09-15
Fixed
8.00000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
000000000
19830000.00000000
PA
28614504.49000000
0.135260613623
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415VZ57
80065.05000000
PA
USD
83409.09000000
0.000394274333
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.50000000
N
N
N
N
N
N
SLM Student Loan Trust
549300OORAXMFXOHG132
SLM Student Loan Trust 2008-3
78444GAC8
1932904.57000000
PA
USD
1898419.62000000
0.008973819651
Long
ABS-O
CORP
US
N
2
2021-10-25
Floating
1.21475000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust 2017-GM
056083AJ7
23065000.00000000
PA
USD
25020231.58000000
0.118270504306
Long
ABS-MBS
CORP
US
N
2
2039-06-13
Variable
3.53896000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DMN68
8517027.62000000
PA
USD
8918477.38000000
0.042157596103
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFK39
10827055.49000000
PA
USD
11659390.69000000
0.055113879038
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TE43
7427557.71000000
PA
USD
8294140.90000000
0.039206360816
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
5.00000000
N
N
N
N
N
N
ECOLAB INC
82DYEISM090VG8LTLS26
Ecolab Inc
278865BE9
2040000.00000000
PA
USD
2601522.24000000
0.012297382072
Long
DBT
CORP
US
N
2
2030-03-24
Fixed
4.80000000
N
N
N
N
N
N
L BRANDS INC
GR3KVMWVCR54YWQNXU90
L Brands Inc
501797AW4
17135000.00000000
PA
USD
18848500.00000000
0.089096761286
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
6.62500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X0Y36
1519268.69000000
PA
USD
1618831.37000000
0.007652207450
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9ZN5
1872670.60000000
PA
USD
2108626.80000000
0.009967467896
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AD0
18040000.00000000
PA
USD
19814612.84000000
0.093663571647
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.62500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDL3
15025000.00000000
PA
USD
20383305.65000000
0.096351779596
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377GJV2
319646.00000000
PA
USD
3593.72000000
0.000016987495
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBE5
20470000.00000000
PA
USD
22207145.61000000
0.104973061584
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.73900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410CX49
1239.27000000
PA
USD
1249.48000000
0.000005906285
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
5.50000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GT95
20985000.00000000
PA
USD
24930410.84000000
0.117845922136
Long
DBT
CORP
US
N
2
2026-01-05
Fixed
5.55000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335GEJ0
443.92000000
PA
USD
496.58000000
0.000002347331
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D3J8
20690.05000000
PA
USD
23906.16000000
0.000113004293
Long
ABS-MBS
USGA
US
N
2
2034-01-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QP7
1291782.39000000
PA
USD
1291782.26000000
0.006106248011
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Floating
0.90013000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36183FLP2
1336596.91000000
PA
USD
1475031.51000000
0.006972466261
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410PAV5
41920.72000000
PA
USD
48222.88000000
0.000227949302
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENZ93
16111948.76000000
PA
USD
17506428.74000000
0.082752797433
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
VISTRA CORP
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAG7
30215000.00000000
PA
USD
33085425.00000000
0.156394631577
Long
DBT
CORP
US
N
2
2027-01-30
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DDJ5
98866.46000000
PA
USD
116842.25000000
0.000552312706
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417CNZ4
6767818.45000000
PA
USD
7293880.37000000
0.034478134502
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL Commercial Mortgage Securities Trust 2018-DSNY
054967AA2
35456000.00000000
PA
USD
34697638.71000000
0.164015557383
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
0.99100000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2020-1
31574PAA3
9282942.81000000
PA
USD
9418161.87000000
0.044519602084
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
2.00600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409TS58
8565.80000000
PA
USD
9579.09000000
0.000045280308
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RUW7
1481508.10000000
PA
USD
1765127.20000000
0.008343747076
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CN8
1305000.00000000
PA
USD
1756682.69000000
0.008303829922
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.12500000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBL3
17710000.00000000
PA
USD
23057339.69000000
0.108991924570
Long
DBT
CORP
GB
N
2
2038-05-30
Fixed
5.00000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBS8
25250000.00000000
PA
USD
32953876.00000000
0.155772800139
Long
DBT
CORP
GB
N
2
2049-06-19
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KBK9
17080.00000000
PA
USD
18039.81000000
0.000085274087
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
CONTL AIRLINES 2010-A
N/A
Continental Airlines 2010-1 Class A Pass Through Trust
21079VAA1
1811784.81300000
PA
USD
1811766.70000000
0.008564211750
Long
DBT
CORP
US
N
2
2021-01-12
Fixed
4.75000000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVa Trust 2017-SPL5
07331UAA6
1173139.48000000
PA
USD
1212573.74000000
0.005731829750
Long
ABS-MBS
CORP
US
N
2
2057-06-28
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7CW4
2095650.38000000
PA
USD
2471015.08000000
0.011680475407
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194BZE8
7262955.26000000
PA
USD
7842474.30000000
0.037071335151
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
Taco Bell Funding, LLC
N/A
Taco Bell Funding LLC
87342RAD6
37543800.00000000
PA
USD
38124602.59000000
0.180214797787
Long
ABS-O
CORP
US
N
2
2048-11-25
Fixed
4.31800000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBV0
31070000.00000000
PA
USD
34311874.87000000
0.162192053722
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FGE0
1452826.10000000
PA
USD
1674050.46000000
0.007913227801
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERNR7
17516475.24000000
PA
USD
18850571.86000000
0.089106554957
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418M2S0
1633682.22000000
PA
USD
1959552.80000000
0.009262795875
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300WSX4P5CXVKVR97
BLUEMOUNTAIN CLO 2012-2 Ltd
09626RAW5
19305000.00000000
PA
USD
19229037.72000000
0.090895561106
Long
ABS-CBDO
CORP
KY
N
2
2028-11-20
Floating
1.27375000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2017-C39
95000XAK3
5750000.00000000
PA
USD
6309721.68000000
0.029826021503
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
4.02500000
N
N
N
N
N
N
Towd Point Mortgage Trust
549300ZHISOOIT5VZP03
Towd Point Mortgage Trust 2015-3
89172HAK3
2112701.26000000
PA
USD
2122150.74000000
0.010031395490
Long
ABS-MBS
CORP
US
N
2
2054-03-25
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A4XY6
5493678.62000000
PA
USD
6004949.14000000
0.028385363294
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW Owner Trust 2019-1
55389PAA7
8624536.60000000
PA
USD
8946914.02000000
0.042292015953
Long
ABS-O
CORP
US
N
2
2036-11-20
Fixed
2.89000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311RAH9
8155000.00000000
PA
USD
6524000.00000000
0.030838914005
Long
DBT
CORP
US
N
2
2043-05-21
Fixed
5.85000000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PETK4
3977.39000000
PA
USD
3999.20000000
0.000018904197
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DF99
5740131.71000000
PA
USD
6230640.95000000
0.029452207304
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden Senior Loan Fund
26245XAA5
27670000.00000000
PA
USD
27715142.50000000
0.131009334182
Long
ABS-CBDO
CORP
KY
N
2
2030-07-17
Floating
1.88375000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36178WP45
148708.33000000
PA
USD
160270.08000000
0.000757595833
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
3.50000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDC5
75700000.00000000
PA
USD
81269771.33000000
0.384161785606
Long
ABS-O
CORP
US
N
2
2025-03-20
Fixed
4.00000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-EXP2 Trust
67448VAF7
37527700.88000000
PA
USD
38572280.68000000
0.182330969786
Long
ABS-MBS
CORP
US
N
2
2060-05-25
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402Q6T3
1350351.43000000
PA
USD
1566573.27000000
0.007405183684
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2015-MS1
61765DAW8
3355000.00000000
PA
USD
3715096.18000000
0.017561240284
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
4.16562300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412NBD7
706711.34000000
PA
USD
826850.55000000
0.003908518241
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M1TU3
196.73000000
PA
USD
197.88000000
0.000000935377
Long
ABS-MBS
USGSE
US
N
2
2021-11-01
Fixed
5.50000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortg
N/A
DBJPM 16-C1 Mortgage Trust
23312LAT5
4820000.00000000
PA
USD
5226115.85000000
0.024703822391
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Fixed
3.53900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DWK1
9163.23000000
PA
USD
11004.37000000
0.000052017599
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJF6
53672.85000000
PA
USD
63145.72000000
0.000298489489
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2018-3
24381KAA2
14671849.50000000
PA
USD
14744049.67000000
0.069695045963
Long
ABS-MBS
CORP
US
N
2
2058-08-25
Variable
3.78900000
N
N
N
N
N
N
REGENCY CENTERS LP
5493008PTR2GAOYBXW28
Regency Centers LP
75884RBA0
12500000.00000000
PA
USD
14104962.50000000
0.066674084241
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.70000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK8
06650AAH0
2705000.00000000
PA
USD
3055817.40000000
0.014444832926
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
3.73100000
N
N
N
N
N
N
EQUATE PETROCHEMICAL BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
000000000
7737000.00000000
PA
USD
8462962.71000000
0.040004380632
Long
DBT
CORP
NL
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408JR78
242118.28000000
PA
USD
283988.57000000
0.001342412490
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6.50000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAR2
33734000.00000000
PA
USD
35589370.00000000
0.168230766545
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAS8
28387000.00000000
PA
USD
36823474.47000000
0.174064371944
Long
DBT
CORP
US
N
2
2045-05-14
Fixed
4.70000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-C
63941KAD7
20755000.00000000
PA
USD
20171973.37000000
0.095352813010
Long
ABS-O
CORP
US
N
2
2068-11-15
Fixed
2.83000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FSK2
75530.48000000
PA
USD
87723.10000000
0.000414666636
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-5
89169EAA7
8467366.11000000
PA
USD
8411554.31000000
0.039761373393
Long
ABS-MBS
CORP
US
N
2
2057-02-25
Floating
0.75013000
N
N
N
N
N
N
Hilton USA Trust
N/A
Hilton Orlando Trust 2018-ORL
432885AA9
25314000.00000000
PA
USD
24552704.23000000
0.116060504958
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Floating
0.91088000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409WRN3
1682.15000000
PA
USD
1690.07000000
0.000007988952
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419JSM1
2926679.59000000
PA
USD
3198801.20000000
0.015120716604
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413MB63
8656.06000000
PA
USD
9680.03000000
0.000045757451
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417NCE9
47957.64000000
PA
USD
53770.98000000
0.000254175142
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WD5K3
1735505.40000000
PA
USD
1863815.01000000
0.008810243840
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GK2F2
4564269.08000000
PA
USD
4962457.74000000
0.023457511879
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193VJC7
4706450.00000000
PA
USD
5154229.51000000
0.024364016036
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
PTTEP TREASURY CENTER CO
2549006WFOUPZX6TZG08
PTTEP Treasury Center Co Ltd
000000000
15100000.00000000
PA
USD
15738579.00000000
0.074396180924
Long
DBT
CORP
TH
N
2
2027-06-10
Fixed
2.58700000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300INMCHM7L5O6M41
SMB Private Education Loan Trust 2018-B
78449LAB4
12255365.14000000
PA
USD
13094607.64000000
0.061898142082
Long
ABS-O
CORP
US
N
2
2037-01-15
Fixed
3.60000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAZ8
24530000.00000000
PA
USD
26437281.09000000
0.124968889956
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.22200000
N
N
N
N
N
N
Symphony CLO Ltd
549300X84MR2MGY6OR68
Symphony CLO XVII Ltd
87165UAN1
39103404.20000000
PA
USD
38876458.99000000
0.183768819073
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
1.11688000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AM0
12910000.00000000
PA
USD
14204469.56000000
0.067144453595
Long
DBT
CORP
KY
N
2
2024-05-14
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408F7B9
85146.28000000
PA
USD
98278.27000000
0.000464560870
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374TFV6
2152.16000000
PA
USD
2406.75000000
0.000011376694
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
6.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
5208.00000000
NC
USD
562203.60000000
0.002657533487
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-31
655808546.40000000
USD
562203.60000000
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-2
89173HAA4
3383201.44000000
PA
USD
3458183.67000000
0.016346816188
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.75000000
N
N
N
N
N
N
Ford Credit Auto Owner Trust/F
N/A
Ford Credit Auto Owner Trust 2019-REV1
34532PAA8
62400000.00000000
PA
USD
68075698.08000000
0.321793470103
Long
ABS-O
CORP
US
N
2
2030-07-15
Fixed
3.52000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409EFU0
1618.25000000
PA
USD
1624.30000000
0.000007678057
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
5.50000000
N
N
N
N
N
N
ARES CLO LTD
N/A
ARES LVIII CLO LTD
04018AAC3
11035000.00000000
PA
USD
11035000.00000000
0.052162387500
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
0.01000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-2
43789VAD0
17361000.00000000
PA
USD
17384142.21000000
0.082174749643
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
3.28700000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31356FK83
3965.12000000
PA
USD
3980.70000000
0.000018816748
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
7.50000000
N
N
N
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AC2
15250000.00000000
PA
USD
15610449.00000000
0.073790511081
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409AF53
13283.39000000
PA
USD
15916.07000000
0.000075235179
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208EXF5
84216.35000000
PA
USD
94415.14000000
0.000446299874
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4TB2
9224166.42000000
PA
USD
10017652.28000000
0.047353390128
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
ESSEX PORTFOLIO LP
5493003GN3O58H286O74
Essex Portfolio LP
29717PAR8
11045000.00000000
PA
USD
12316025.47000000
0.058217788221
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERT59
22052958.79000000
PA
USD
24059956.01000000
0.113731286690
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBT1
41427000.00000000
PA
USD
45150955.88000000
0.213428333177
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
3.30000000
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAM7
27226000.00000000
PA
USD
29725047.31000000
0.140510143746
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BGYN3
105250.37000000
PA
USD
106210.56000000
0.000502056763
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
Fixed
4.00000000
N
N
N
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
92340LAH2
4380000.00000000
PA
USD
4408951.80000000
0.020841092184
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
2.20000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AJ5
4770000.00000000
PA
USD
4903660.17000000
0.023179576072
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
2.00000000
N
N
N
N
N
N
BOSTON PROPERTIES LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAZ7
1549000.00000000
PA
USD
1675048.33000000
0.007917944727
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A3BS8
22902001.44000000
PA
USD
25202260.37000000
0.119130953448
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
4.00000000
N
N
N
N
N
N
YILI HOLDING INVESTMENT
549300SF6W72SOPKF392
Yili Holding Investment Ltd
000000000
21007000.00000000
PA
USD
21013306.30000000
0.099329789386
Long
DBT
CORP
VG
N
2
2025-11-19
Fixed
1.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QA3Y4
2934070.07000000
PA
USD
3187790.02000000
0.015068666813
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FU22
25389927.17000000
PA
USD
27559677.73000000
0.130274453025
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AH1
18725000.00000000
PA
USD
18833642.45000000
0.089026529725
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.40000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CB4
6330000.00000000
PA
USD
7086238.77000000
0.033496613741
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERDM9
14322357.88000000
PA
USD
16073704.25000000
0.075980316234
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.50000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857LAR9
13000000.00000000
PA
USD
15972125.00000000
0.075500151649
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LX84
6387514.41000000
PA
USD
6866896.60000000
0.032459784447
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJY1
3104916.48000000
PA
USD
3657036.86000000
0.017286794181
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JACE6
18432013.04000000
PA
USD
19581594.10000000
0.092562093277
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417NB34
81954.72000000
PA
USD
91850.90000000
0.000434178725
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36206UM63
1959.18000000
PA
USD
2169.46000000
0.000010255026
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
6.50000000
N
N
N
N
N
N
REGENCY CENTERS LP
5493008PTR2GAOYBXW28
Regency Centers LP
75884RAX1
10100000.00000000
PA
USD
11371579.90000000
0.053753398933
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.12500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2019-JWDR
95002NAA5
36095000.00000000
PA
USD
36050715.04000000
0.170411542145
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
2.58387000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29273RBK4
2735000.00000000
PA
USD
2940125.00000000
0.013897955554
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
4.20000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AV1
12330000.00000000
PA
USD
12207822.03000000
0.057706311124
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
1.87500000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-30HY Mortgage Trust
44421GAJ2
25505000.00000000
PA
USD
26362659.19000000
0.124616152623
Long
ABS-MBS
CORP
US
N
2
2039-07-10
Variable
3.55789700
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2018-2
36418GAN4
8072622.70000000
PA
USD
8322561.59000000
0.039340705269
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-4
92537KAA2
16836286.03000000
PA
USD
17217457.86000000
0.081386833589
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.64200000
N
N
N
N
N
N
US AIRWAYS 2012-2A PTT
N/A
US Airways 2012-2 Class A Pass Through Trust
90345WAD6
9954956.41098800
PA
USD
8171884.35000000
0.038628454741
Long
DBT
CORP
US
N
2
2025-06-03
Fixed
4.62500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2L6
16395000.00000000
PA
USD
19969191.98000000
0.094394266436
Long
DBT
CORP
US
N
2
2031-04-04
Fixed
4.47800000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6C47
6589944.67000000
PA
USD
6865084.22000000
0.032451217336
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CGK6
192057.38000000
PA
USD
227320.83000000
0.001074544378
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31287UDJ8
17938.56000000
PA
USD
18663.99000000
0.000088224583
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
7.00000000
N
N
N
N
N
N
Galaxy CLO Ltd
549300BSLQRD3CFUV847
Galaxy XXIX CLO Ltd
36321HAC2
13100000.00000000
PA
USD
12997572.93000000
0.061439459513
Long
ABS-CBDO
CORP
KY
N
2
2026-11-15
Floating
1.62100000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128JNNV3
174075.55000000
PA
USD
174603.99000000
0.000825352150
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Floating
3.88000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XDK7
10037816.47000000
PA
USD
10417132.51000000
0.049241731094
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Floating
4.60013000
N
N
N
N
N
N
AMER AIRLINE 17-2 AA PTT
N/A
American Airlines 2017-2 Class AA Pass Through Trust
02376AAA7
25495514.25000000
PA
USD
24096855.83000000
0.113905711947
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.35000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAL8
4703000.00000000
PA
USD
5166052.68000000
0.024419904099
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJMU9
26190610.07000000
PA
USD
28215712.04000000
0.133375523790
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK22
06540XBM2
16000000.00000000
PA
USD
15807932.80000000
0.074724015975
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Variable
3.57658500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S2P1
1317338.16000000
PA
USD
1411009.28000000
0.006669833514
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
3.50000000
N
N
N
N
N
N
Babson CLO Ltd
549300Z33CTC4YAKLT16
Barings CLO Ltd 2016-II
06761CAA7
29655000.00000000
PA
USD
29569497.81000000
0.139774862070
Long
ABS-CBDO
CORP
KY
N
2
2028-07-20
Floating
1.29838000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409JUH1
340.56000000
PA
USD
342.18000000
0.000001617483
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
6.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-K103 Mortgage Trust
30315DAS7
9280000.00000000
PA
USD
9953129.44000000
0.047048391000
Long
ABS-MBS
USGSE
US
N
2
2051-12-25
Variable
3.57185100
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DD97
2052450.62000000
PA
USD
2435996.64000000
0.011514943424
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAV3
23860000.00000000
PA
USD
25112650.00000000
0.118707365696
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
13283.00000000
NC
USD
811325.64000000
0.003835132072
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
1834525756.40000000
USD
811325.64000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SQ2
354020000.00000000
PA
USD
339306043.75000000
1.603897900791
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201FRH2
5723.17000000
PA
USD
5747.54000000
0.000027168591
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMYW5
261958.81000000
PA
USD
303851.70000000
0.001436305402
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-INV1
46591VAC3
15308573.10000000
PA
USD
15878304.61000000
0.075056663154
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.50000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2019-C18 Commercial Mortgage Trust
12597DAK1
13276000.00000000
PA
USD
12973078.85000000
0.061323676125
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Variable
4.08116000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
313989G33
10023.99000000
PA
USD
11213.07000000
0.000053004123
Long
ABS-MBS
USGSE
US
N
2
2024-02-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409VQJ5
1622.06000000
PA
USD
1625.10000000
0.000007681839
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
5.50000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
Barclays Commercial Mortgage Trust 2019-C5
05492JAZ5
13525000.00000000
PA
USD
13260344.15000000
0.062681577701
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.71000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS GENERAL ELECTRIC CO
000000000
1.00000000
NC
USD
22559.20000000
0.000106637220
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
GENERAL ELECTRIC CO
General Electric Co
Y
Default Event
2020-12-20
2982.70000000
USD
0.00000000
USD
9860000.00000000
USD
19576.50000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128CUJX5
29956.48000000
PA
USD
31745.33000000
0.000150060009
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
6.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.34.V1
000000000
1.00000000
NC
USD
3913922.38000000
0.018501090696
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.34
Y
Default Event
2025-06-20
0.00000000
USD
-2116912.53000000
USD
213780000.00000000
USD
6030834.91000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENF87
378355.64000000
PA
USD
448841.90000000
0.002121673322
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AAH1
2529910.81000000
PA
USD
2758390.88000000
0.013038899316
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413BPJ4
11597.74000000
PA
USD
13050.93000000
0.000061691678
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2QW5
2520501.01000000
PA
USD
2908957.68000000
0.013750627795
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
5.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BX6
2375000.00000000
PA
USD
2690117.38000000
0.012716170837
Long
DBT
CORP
GB
N
2
2026-09-12
Fixed
4.29200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENBE8
5614710.01000000
PA
USD
6556791.87000000
0.030993921004
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
6.50000000
N
N
N
N
N
N
BOSTON PROPERTIES LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAX2
20960000.00000000
PA
USD
23582934.40000000
0.111476408025
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410MZG8
3832.04000000
PA
USD
3857.71000000
0.000018235375
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BCX1
424464.91000000
PA
USD
475938.60000000
0.002249759282
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV2
92537HAA9
5341686.64000000
PA
USD
5481564.58000000
0.025911327206
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.91300000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-4
89171UAE9
14707000.00000000
PA
USD
15653424.86000000
0.073993657748
Long
ABS-MBS
CORP
US
N
2
2055-04-25
Variable
3.75000000
N
N
N
N
N
N
WOODSIDE FINANCE LTD
254900AIZKU6TGRRNZ98
Woodside Finance Ltd
980236AP8
35816000.00000000
PA
USD
37875420.00000000
0.179036912983
Long
DBT
CORP
AU
N
2
2028-03-15
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933NW0
2487913.51000000
PA
USD
2781309.94000000
0.013147237593
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412SEE1
37815.80000000
PA
USD
45068.72000000
0.000213039604
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292HXN9
4026.62000000
PA
USD
4646.06000000
0.000021961901
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BEA2
2622.51000000
PA
USD
3007.35000000
0.000014215727
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCCH7
10596953.25000000
PA
USD
11323748.26000000
0.053527299020
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413HDE5
729.10000000
PA
USD
815.82000000
0.000003856376
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DMCR4
10276326.42000000
PA
USD
11155696.64000000
0.052732919888
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709AL2
18180000.00000000
PA
USD
20024088.30000000
0.094653761055
Long
DBT
CORP
US
N
2
2025-03-04
Fixed
3.75000000
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
Gray Oak Pipeline LLC
38937LAB7
2820000.00000000
PA
USD
2897730.48000000
0.013697556879
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
3.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312941NS2
669401.33000000
PA
USD
778284.50000000
0.003678946776
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BG0
36825000.00000000
PA
USD
41947099.73000000
0.198283721850
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
4.45000000
N
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2020-B
80286RAF4
9500000.00000000
PA
USD
9531821.20000000
0.045056869145
Long
ABS-O
CORP
US
N
2
2024-12-20
Fixed
1.18000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ6B9
2126360.43000000
PA
USD
2264081.24000000
0.010702300224
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203GUU5
2571.18000000
PA
USD
2582.47000000
0.000012207322
Long
ABS-MBS
USGA
US
N
2
2023-02-15
Fixed
8.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NDV7
3772492.67000000
PA
USD
4489430.08000000
0.021221512595
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411CKC4
9059.15000000
PA
USD
10409.03000000
0.000049203430
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.50000000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAL9
15390000.00000000
PA
USD
15339259.17000000
0.072508598168
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.70000000
N
N
N
N
N
N
CELULOSA ARAUCO CONSTITU
549300QEKV8G0AMNQD28
Celulosa Arauco y Constitucion SA
151191BB8
20810000.00000000
PA
USD
22678946.10000000
0.107203260042
Long
DBT
CORP
CL
N
2
2027-11-02
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DBD0
1079128.53000000
PA
USD
1252552.91000000
0.005920811078
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.00000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BE0
40780000.00000000
PA
USD
42325072.64000000
0.200070397826
Long
DBT
CORP
GB
N
2
2023-05-15
Fixed
3.49800000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2020-4
80286WAG1
9460000.00000000
PA
USD
9483662.30000000
0.044829222275
Long
ABS-O
CORP
US
N
2
2027-01-15
Fixed
1.48000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132H3PR8
8125790.03000000
PA
USD
8835029.79000000
0.041763139780
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409JD72
352.77000000
PA
USD
354.25000000
0.000001674537
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
5.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABH7
12505000.00000000
PA
USD
12842547.47000000
0.060706654972
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B17 Mortgage Trust
08162MBC1
18955000.00000000
PA
USD
19999392.07000000
0.094537022104
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.91620000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KH3Q7
8803182.54000000
PA
USD
9550063.12000000
0.045143098605
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
THAIOIL TRSRY CENTER
549300NH03B9E8VGJR89
Thaioil Treasury Center Co Ltd
88323AAC6
4595000.00000000
PA
USD
5349203.50000000
0.025285657071
Long
DBT
CORP
TH
N
2
2028-11-20
Fixed
4.62500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETUK0
10328073.02000000
PA
USD
11217303.38000000
0.053024134627
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AX6
4155000.00000000
PA
5247473.89000000
0.024804781735
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
1.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NGH2
2242.26000000
PA
USD
2660.45000000
0.000012575933
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409HDV3
17487.98000000
PA
USD
20829.34000000
0.000098460181
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBQ8
21470000.00000000
PA
USD
23981131.20000000
0.113358682224
Long
DBT
CORP
US
N
2
2026-10-06
Fixed
4.00000000
N
N
N
N
N
N
APT PIPELINES LTD
261700SS8OEHDOCOUJ33
APT Pipelines Ltd
00205GAD9
4738000.00000000
PA
USD
5350808.18000000
0.025293242385
Long
DBT
CORP
AU
N
2
2027-07-15
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MSY7
415555.07000000
PA
USD
459368.79000000
0.002171433876
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
4.00000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/JPY FORWARD
000000000
1.00000000
NC
USD
222863.67000000
0.001053475406
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-22663372.74000000
USD
2386740000.00000000
JPY
2021-01-22
222863.67000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36195KHC1
2099586.16000000
PA
USD
2300360.14000000
0.010873790395
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
BANCO SANTANDER CHILE
3YJP8HORPAEXJ80D6368
Banco Santander Chile
05967BAB1
18645000.00000000
PA
USD
19745334.68000000
0.093336094145
Long
DBT
CORP
CL
N
2
2022-09-20
Fixed
3.87500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BTB4
460287.12000000
PA
USD
534792.09000000
0.002527959422
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELB36
3300605.19000000
PA
USD
3625942.71000000
0.017139812296
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31351B3K9
12083.67000000
PA
USD
11713.89000000
0.000055371496
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DGM6
375719.53000000
PA
USD
451012.77000000
0.002131935013
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E2K53
4049239.70000000
PA
USD
4426059.60000000
0.020921960666
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KML7
2058.28000000
PA
USD
2466.93000000
0.000011661165
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312940AM1
1121976.45000000
PA
USD
1288624.73000000
0.006091322384
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAN5
6559022.08000000
PA
USD
7294913.20000000
0.034483016684
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FB47
360102.33000000
PA
USD
414759.68000000
0.001960566846
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAD7
12744098.76000000
PA
USD
12724507.26000000
0.060148679514
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
1.91475000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MNJ5
485401.95000000
PA
USD
536812.59000000
0.002537510315
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
4.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C9
90291JAZ0
12230000.00000000
PA
USD
14161139.01000000
0.066939630311
Long
ABS-MBS
CORP
US
N
2
2051-03-15
Variable
4.31800000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-H
63935BAA1
16550000.00000000
PA
USD
16678328.70000000
0.078838372859
Long
ABS-O
CORP
US
N
2
2069-01-15
Fixed
1.31000000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
6935000.00000000
PA
USD
8035931.25000000
0.037985805146
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.12500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F9WP6
2395245.81000000
PA
USD
2581111.62000000
0.012200901178
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412BKP6
7239.17000000
PA
USD
7349.64000000
0.000034741709
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
5.50000000
N
N
N
N
N
N
FLAGSTAR MORTGAGE TRUST
N/A
FLAGSTAR MORTGAGE TRUST 2020-1NV
33851YAL0
10099203.99000000
PA
USD
10109138.58000000
0.047785845392
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
1.00013000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/NZD FORWARD
000000000
1.00000000
NC
USD
215644.42000000
0.001019350049
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-10492551.45000000
USD
15270000.00000000
NZD
2021-01-22
215644.42000000
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAZ1
29127000.00000000
PA
USD
32728699.19000000
0.154708390532
Long
DBT
CORP
NL
N
2
2024-03-01
Fixed
4.87500000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDV3
6500000.00000000
PA
USD
6559735.00000000
0.031007833164
Long
ABS-O
CORP
US
N
2
2026-08-20
Fixed
2.68000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411GGW6
129334.45000000
PA
USD
144689.64000000
0.000683947174
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412BKM3
233.93000000
PA
USD
235.61000000
0.000001113727
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
6.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAP6
12821000.00000000
PA
USD
13812537.68000000
0.065291793640
Long
DBT
CORP
DK
N
2
2023-09-12
Fixed
3.87500000
N
N
N
N
N
US AIRWAYS 2013-1A PTT
N/A
US Airways 2013-1 Class A Pass Through Trust
90346WAA1
13315596.44000000
PA
USD
11386020.04000000
0.053821657400
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.95000000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Inc
40414LAR0
3910000.00000000
PA
USD
4402304.19000000
0.020809668967
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
3.50000000
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0206C8
123010000.00000000
PA
USD
127787148.70000000
0.604049186047
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV2
92537HAC5
11313175.55000000
PA
USD
11581564.80000000
0.054745996461
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.21900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERTY6
20678853.90000000
PA
USD
22707589.88000000
0.107338659040
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBE7
14000000.00000000
PA
USD
15831620.00000000
0.074835985246
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
3.75000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300INMCHM7L5O6M41
SMB Private Education Loan Trust 2018-B
78449LAC2
18095305.73000000
PA
USD
18079358.34000000
0.085461032667
Long
ABS-O
CORP
US
N
2
2037-01-15
Floating
0.86088000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MV83
989479.66000000
PA
USD
1145859.91000000
0.005416473823
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB97
24731615.81000000
PA
USD
26939996.26000000
0.127345221945
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
4.00000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AH0
13095000.00000000
PA
USD
14348152.22000000
0.067823640780
Long
DBT
CORP
US
N
2
2027-07-15
Variable
3.90000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2017-A
43283AAA3
3123996.25000000
PA
USD
3195019.06000000
0.015102838448
Long
ABS-O
CORP
US
N
2
2028-12-26
Fixed
2.66000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-1
85571KAB1
9845123.58000000
PA
USD
10003117.14000000
0.047284682597
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
3.14600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FFU5
584567.83000000
PA
USD
673170.87000000
0.003182075194
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
5.00000000
N
N
N
N
N
N
VENTAS REALTY LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAJ6
51880000.00000000
PA
USD
56603622.12000000
0.267565026817
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296QYV6
30676.03000000
PA
USD
34603.12000000
0.000163568767
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312943GW7
245511.49000000
PA
USD
269763.15000000
0.001275169004
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207JAN3
1932.76000000
PA
USD
2140.21000000
0.000010116761
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
6.50000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAF0
19529000.00000000
PA
USD
21799246.25000000
0.103044923434
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409WWL1
3467.56000000
PA
USD
3498.69000000
0.000016538289
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31336WDC0
326.64000000
PA
USD
327.11000000
0.000001546247
Long
ABS-MBS
USGSE
US
N
2
2021-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0226C4
110940000.00000000
PA
USD
116240797.51000000
0.549469644136
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AQ1
22165000.00000000
PA
USD
23037347.91000000
0.108897423530
Long
DBT
CORP
CH
N
2
2026-06-05
Fixed
2.19300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410XTS5
16660.46000000
PA
USD
18631.32000000
0.000088070152
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411WBW6
3998.08000000
PA
USD
4087.93000000
0.000019323623
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
6.00000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-INV1 Trust
67113CAE6
7809559.37000000
PA
USD
8104538.92000000
0.038310113244
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBN5
3488000.00000000
PA
USD
3921833.95000000
0.018538488646
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.10900000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAT8
21050000.00000000
PA
USD
23640434.05000000
0.111748208571
Long
DBT
CORP
DK
N
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RVB2
12483301.01000000
PA
USD
13385177.31000000
0.063271663398
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414ALP5
135659.33000000
PA
USD
156890.44000000
0.000741620292
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410TY82
7189.19000000
PA
USD
8418.86000000
0.000039795907
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224LSS7
72.04000000
PA
USD
72.33000000
0.000000341903
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
7.50000000
N
N
N
N
N
N
GM Financial Securitized Term
N/A
GM Financial Consumer Automobile 2017-1
36254AAG9
1800000.00000000
PA
USD
1801561.86000000
0.008515973524
Long
ABS-O
CORP
US
N
2
2023-07-17
Fixed
2.45000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BF8
6250000.00000000
PA
USD
7178081.25000000
0.033930752666
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-INV3
46591LAC5
18396748.65000000
PA
USD
19076105.62000000
0.090172651866
Long
ABS-MBS
CORP
US
N
2
2050-05-25
Variable
3.50000000
N
N
N
N
N
N
Austin Fairmont Hotel Trust
N/A
Austin Fairmont Hotel Trust 2019-FAIR
05223HAG7
11890000.00000000
PA
USD
11443186.88000000
0.054091884754
Long
ABS-MBS
CORP
US
N
2
2032-09-15
Floating
1.39100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DMM8
76266.42000000
PA
USD
89717.78000000
0.000424095478
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJT2
1947764.64000000
PA
USD
2339052.81000000
0.011056690444
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
26195000.00000000
PA
USD
27668468.75000000
0.130788707609
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/EUR FORWARD
000000000
1.00000000
NC
USD
86951.00000000
0.000411016923
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-16852979.17000000
USD
14169801.20000000
EUR
2021-02-19
86951.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BXR4
1280584.98000000
PA
USD
1518786.39000000
0.007179295351
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MC6H3
1522.73000000
PA
USD
1608.56000000
0.000007603654
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410XBC9
11183.16000000
PA
USD
12825.27000000
0.000060624984
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410S4H7
5181.18000000
PA
USD
6005.39000000
0.000028387447
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LC26
383001.22000000
PA
USD
429653.81000000
0.002030971321
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GFY8
731.59000000
PA
USD
732.32000000
0.000003461672
Long
ABS-MBS
USGSE
US
N
2
2021-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409JCM0
3196.83000000
PA
USD
3214.52000000
0.000015195019
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ABBY4
15428.76000000
PA
USD
17453.03000000
0.000082500381
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U6X5
9193428.35000000
PA
USD
9929081.06000000
0.046934714433
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
4.50000000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300261OAC6YQ54P29
BlueMountain CLO 2015-2 Ltd
09628BAN8
5145967.00000000
PA
USD
5066591.28000000
0.023949750580
Long
ABS-CBDO
CORP
KY
N
2
2027-07-18
Floating
1.71775000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413F5B4
31606.54000000
PA
USD
35345.45000000
0.000167077757
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LDG1
390483.25000000
PA
USD
450393.77000000
0.002129009003
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGA61
8898934.77000000
PA
USD
9544100.96000000
0.045114915506
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RF87
31038344.84000000
PA
USD
33167052.30000000
0.156780483399
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.00000000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2019-A LLC
28416TAA3
6384656.98000000
PA
USD
6600136.60000000
0.031198811317
Long
ABS-O
CORP
US
N
2
2034-01-25
Fixed
2.61000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296QQD5
42466.63000000
PA
USD
48493.23000000
0.000229227245
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAP8
8690000.00000000
PA
USD
8994150.00000000
0.042515300184
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
Octagon Investment Partners Lt
549300EY2ULL20U3RR38
Octagon Investment Partners XXIII Ltd
67590WCJ1
23930000.00000000
PA
USD
23480734.83000000
0.110993311190
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
1.43688000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9HW4
7899957.08000000
PA
USD
8555172.81000000
0.040440257294
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
3.00000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AK5
16220000.00000000
PA
USD
18712640.94000000
0.088454556217
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.95000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CDS DEVON ENERGY CORP
000000000
1.00000000
NC
USD
-79726.15000000
-0.00037686509
N/A
DCR
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
DEVON ENERGY CORPORATION
Devon Energy Corp
Y
Default Event
2024-12-20
0.00000000
USD
-21572.26000000
USD
5205000.00000000
USD
-58153.89000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBH7
20485000.00000000
PA
USD
22238393.09000000
0.105120768259
Long
DBT
CORP
GB
N
2
2025-05-07
Fixed
3.93200000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AT7
30305000.00000000
PA
USD
37822428.00000000
0.178786420075
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193VJB9
2709886.77000000
PA
USD
2981117.36000000
0.014091726227
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
SEK/USD FORWARD
000000000
1.00000000
NC
USD
58302.96000000
0.000275597788
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-10542310.33000000
USD
90785000.00000000
SEK
2021-02-19
58302.96000000
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBM1
12050000.00000000
PA
USD
16412690.45000000
0.077582702235
Long
DBT
CORP
GB
N
2
2048-05-30
Fixed
5.25000000
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BL6
46312000.00000000
PA
USD
51406320.00000000
0.242997406778
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
4.64000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412SER2
9316.10000000
PA
USD
10418.15000000
0.000049246540
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJK80
7029397.42000000
PA
USD
7684977.30000000
0.036326847653
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2019-2
31573TAA6
10136376.22000000
PA
USD
10380341.56000000
0.049067820465
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.73900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408F7A1
124515.91000000
PA
USD
147321.99000000
0.000696390279
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406CLH9
479226.31000000
PA
USD
557870.41000000
0.002637050521
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2018-1
24380PAA2
2878548.95000000
PA
USD
2885253.09000000
0.013638576322
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
2.97600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YW45
27050.09000000
PA
USD
30253.60000000
0.000143008609
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJRA8
2975940.40000000
PA
USD
3343243.28000000
0.015803493563
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EAL3
18681.05000000
PA
USD
22040.70000000
0.000104186274
Long
ABS-MBS
USGA
US
N
2
2034-09-20
Fixed
6.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
AUD/USD FORWARD
000000000
1.00000000
NC
USD
282409.74000000
0.001334949369
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-33670915.17000000
USD
46230000.00000000
AUD
2021-01-22
282409.74000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FX84
5582779.80000000
PA
USD
6181335.02000000
0.029219138430
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
4.00000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAA6
41755000.00000000
PA
USD
47183150.00000000
0.223034504193
Long
DBT
CORP
NL
N
2
2027-05-25
Fixed
3.62500000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2019-3
43800KAA5
25022594.19000000
PA
USD
25460614.70000000
0.120352193019
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.67500000
N
N
N
N
N
N
Symphony CLO Ltd
54930001DQI1CFLYVB48
Symphony CLO XXIII Ltd
87167NAC9
9560000.00000000
PA
USD
9557819.46000000
0.045179762784
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Floating
0.01000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YK0
740440000.00000000
PA
USD
757331287.50000000
3.579901049802
Long
DBT
UST
US
N
2
2022-10-15
Fixed
1.37500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGL8
11980000.00000000
PA
USD
14004009.02000000
0.066196877667
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
4.30000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-INV1
46591VBC2
9052961.40000000
PA
USD
9039097.69000000
0.042727767680
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
0.97925000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409HZA5
2904.71000000
PA
USD
2914.51000000
0.000013776873
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CRF2
68.09000000
PA
USD
74.14000000
0.000000350459
Long
ABS-MBS
USGA
US
N
2
2026-09-20
Fixed
8.50000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-INV1
85572JAA5
22920653.44000000
PA
USD
23326326.09000000
0.110263421881
Long
ABS-MBS
CORP
US
N
2
2049-09-27
Variable
2.61000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378TDR8
5021423.97000000
PA
USD
718314.70000000
0.003395469843
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
3.50000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AS5
73603000.00000000
PA
USD
85232274.00000000
0.402892515080
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDX7
6000000.00000000
PA
USD
6368568.00000000
0.030104187751
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133A2PJ3
12036669.03000000
PA
USD
12598550.25000000
0.059553281384
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHT9
11780000.00000000
PA
USD
13202175.84000000
0.062406616403
Long
DBT
CORP
US
N
2
2027-04-23
Fixed
3.55900000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0124C7
63055000.00000000
PA
USD
64654774.08000000
0.305622780180
Long
ABS-MBS
USGSE
US
N
2
2035-01-12
Fixed
1.50000000
N
N
N
N
N
N
T. ROWE PRICE GOVERNMENT RESERVE FUND
5493007QR86JJLYO6D96
T. ROWE PRICE GOVERNMENT RESERVE FUND
000000000
1207833021.63000000
NS
USD
1207833021.63000000
5.709420399615
Long
STIV
RF
US
N
1
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AQ5
17905000.00000000
PA
USD
19964039.19000000
0.094369909224
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DBY4
592606.92000000
PA
USD
687891.80000000
0.003251660954
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE24 Mortgage Trust
12593JBF2
7340000.00000000
PA
USD
8179198.35000000
0.038663027981
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Fixed
3.69600000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8AV6
907409.26000000
PA
USD
1067657.49000000
0.005046811392
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.50000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300SM4FYZ8US63U33
Neuberger Berman Loan Advisers CLO 38 Ltd
64133RAA4
27735000.00000000
PA
USD
27725040.64000000
0.131056122639
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Floating
1.52981000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2019-C50
95001XAJ5
12000000.00000000
PA
USD
9352066.80000000
0.044207171032
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BVC6
1933.75000000
PA
USD
2034.28000000
0.000009616030
Long
ABS-MBS
USGA
US
N
2
2023-12-20
Fixed
7.00000000
N
N
N
N
N
N
TRANSURBAN FINANCE CO
54930081LPJMUMEA6E57
Transurban Finance Co Pty Ltd
89400PAK9
12535000.00000000
PA
USD
13114129.54000000
0.061990422002
Long
DBT
CORP
AU
N
2
2031-03-16
Fixed
2.45000000
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BX6
26335000.00000000
PA
USD
34497875.61000000
0.163071278251
Long
DBT
CORP
US
N
2
2047-06-06
Fixed
4.66900000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2019-1
85571KAA3
26514642.46000000
PA
USD
26901347.91000000
0.127162531396
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
2.94100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FDD5
80914.65000000
PA
USD
94550.28000000
0.000446938680
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402C3Q3
651024.70000000
PA
USD
748059.51000000
0.003536073405
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.50000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBD9
5195000.00000000
PA
USD
6207624.99000000
0.029343410981
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
4.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FE77
884725.85000000
PA
USD
1018845.09000000
0.004816075431
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312945ZY7
3746242.97000000
PA
USD
4113755.21000000
0.019445699442
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GTZ9
2230818.16000000
PA
USD
2434628.47000000
0.011508476091
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8VP5
12354827.24000000
PA
USD
13126037.55000000
0.062046711103
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Homeward Opportunities Fund I
N/A
Homeward Opportunities Fund I Trust 2020-2
43789XAA2
11353308.12000000
PA
USD
11469576.21000000
0.054216626980
Long
ABS-MBS
CORP
US
N
2
2065-05-25
Variable
1.65700000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS COLOMBIA
000000000
1.00000000
NC
USD
442848.88000000
0.002093344348
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
REPUBLIC OF COLOMBIA
Colombia Government International Bond
Y
Default Event
2025-12-20
0.00000000
USD
-956112.65000000
USD
57930000.00000000
USD
1398961.53000000
N
N
N
Credit Suisse AG
ANGGYXNX0JLX3X63JN86
GBP/USD FORWARD
000000000
1.00000000
NC
USD
144448.98000000
0.000682809575
N/A
DFE
CORP
US
N
2
Credit Suisse AG
ANGGYXNX0JLX3X63JN86
-10449722.84000000
USD
7940000.00000000
GBP
2021-02-19
144448.98000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HY6
15405000.00000000
PA
USD
16063378.89000000
0.075931508311
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
3.95000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857LAP3
8995000.00000000
PA
USD
10150767.55000000
0.047982625316
Long
DBT
CORP
US
N
2
2025-04-13
Fixed
4.10000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JM0
41980000.00000000
PA
USD
47880163.06000000
0.226329281296
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.55000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RAC3
109753.90000000
PA
USD
127331.20000000
0.000601893918
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
CAESARS RESORT COLLECTIO
549300V3UCT773B1KR38
Caesars Resort Collection LLC
12769LAD1
8910000.00000000
PA
USD
8819474.40000000
0.041689609533
Long
LON
CORP
US
N
2
2025-07-20
Floating
4.64550000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHM4
43560000.00000000
PA
USD
51835311.00000000
0.245025244999
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.27100000
N
N
N
N
N
N
Freddie Mac - STACR
549300L8K4CLYS7FCQ06
STACR Trust 2018-DNA2
35563TAA9
6936594.49000000
PA
USD
6936593.80000000
0.032789242748
Long
ABS-MBS
CORP
US
N
2
2030-12-25
Floating
0.95013000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LF50
4712239.57000000
PA
USD
5441066.02000000
0.025719890724
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
5.00000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAE3
31087000.00000000
PA
USD
33997054.07000000
0.160703897441
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.90000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2020-555
17328EAG3
5500000.00000000
PA
USD
5270637.90000000
0.024914277889
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Fixed
3.23300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X3XX5
18620766.98000000
PA
USD
20275607.39000000
0.095842690482
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAC9
4085000.00000000
PA
USD
4204813.05000000
0.019876129377
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A9S44
2514973.16000000
PA
USD
2883574.24000000
0.013630640407
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408BMB1
43.91000000
PA
USD
44.04000000
0.000000208176
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
5.50000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164Q6M5
53835000.00000000
PA
USD
58902811.56000000
0.278433283320
Long
DBT
CORP
IE
N
2
2025-11-15
Fixed
3.37300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224XXC0
177.73000000
PA
USD
178.21000000
0.000000842397
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
8.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31356FP70
223.55000000
PA
USD
250.06000000
0.000001182032
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.50000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
15350000.00000000
PA
USD
16555358.75000000
0.078257094546
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
36880000.00000000
PA
USD
39922600.00000000
0.188713922176
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6M88
721829.70000000
PA
USD
847699.64000000
0.004007071781
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417CGZ2
3160956.63000000
PA
USD
3404815.68000000
0.016094545977
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AL70
1632802.69000000
PA
USD
1924962.28000000
0.009099286667
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
6.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BN1
6920000.00000000
PA
USD
6910810.24000000
0.032667363994
Long
DBT
CORP
US
N
2
2027-11-24
Fixed
1.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DCV0
242417.20000000
PA
USD
281070.83000000
0.001328620348
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300NYO16WLNMVJJ46
Wells Fargo Commercial Mortgage Trust 2015-C29
94989KAX1
6250000.00000000
PA
USD
6868849.38000000
0.032469015227
Long
ABS-MBS
CORP
US
N
2
2048-06-15
Variable
4.01300000
N
N
N
N
N
N
GOLUB CAPITAL PARTNERS CLO 39(
254900UTQO35BUTIHC49
Golub Capital Partners CLO 39B Ltd
38176LAA9
26820000.00000000
PA
USD
26702847.29000000
0.126224219999
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
1.36838000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NEW1
889.20000000
PA
USD
1051.63000000
0.000004971049
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MKV3
243436.44000000
PA
USD
287366.93000000
0.001358381980
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
BANGKOK BANK PCL/HK
549300CCL2BKJGMYXV60
Bangkok Bank PCL/Hong Kong
000000000
5665000.00000000
PA
USD
6545171.05000000
0.030938989448
Long
DBT
CORP
TH
N
2
2028-09-19
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FGMN6
13139061.83000000
PA
USD
14150051.02000000
0.066887217440
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CDS COLOMBIA
000000000
1.00000000
NC
USD
403861.67000000
0.001909052009
N/A
DCR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
REPUBLIC OF COLOMBIA
Colombia Government International Bond
Y
Default Event
2025-12-20
0.00000000
USD
-802127.61000000
USD
52830000.00000000
USD
1205989.28000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780099CH8
22657000.00000000
PA
USD
25321372.57000000
0.119693996196
Long
DBT
CORP
GB
N
2
2024-05-28
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPW42
2831904.93000000
PA
USD
3324838.51000000
0.015716494312
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.50000000
N
N
N
N
N
N
Cantor Commercial Real Estate
N/A
Cantor Commercial Real Estate Lending 2019-CF2
12528YAK9
9752000.00000000
PA
USD
10136133.23000000
0.047913448962
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.26720000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193VG22
1255738.37000000
PA
USD
1368397.84000000
0.006468409459
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413HK56
9391.27000000
PA
USD
10672.65000000
0.000050449560
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184Q2S2
1074775.23000000
PA
USD
1181062.64000000
0.005582876945
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBV6
34425000.00000000
PA
USD
38531041.88000000
0.182136034193
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GGR8
30072.98000000
PA
USD
36115.42000000
0.000170717402
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223CNW4
201.51000000
PA
USD
202.37000000
0.000000956601
Long
ABS-MBS
USGA
US
N
2
2022-04-15
Fixed
8.00000000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
9505000.00000000
PA
USD
10673392.62000000
0.050453071299
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411BCV3
406.96000000
PA
USD
411.12000000
0.000001943362
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKHN8
1473732.64000000
PA
USD
1583364.55000000
0.007484555977
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36185BPB6
547307.29000000
PA
USD
601691.74000000
0.002844193719
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BB7
16325000.00000000
PA
USD
17997871.73000000
0.085075845886
Long
DBT
CORP
US
N
2
2026-09-26
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPY73
896595.16000000
PA
USD
1040271.15000000
0.004917356305
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-1
92537DAC4
15592348.50000000
PA
USD
15707095.71000000
0.074247359576
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
4.04000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416TMF3
1204371.94000000
PA
USD
1348982.61000000
0.006376633768
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE24 Mortgage Trust
12593JBH8
5745000.00000000
PA
USD
6327634.35000000
0.029910694601
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Variable
4.02800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SEH6
7243747.29000000
PA
USD
7849272.26000000
0.037103469072
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128K9DJ0
215469.60000000
PA
USD
252472.21000000
0.001193434821
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.50000000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITD
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
714295AC6
6275000.00000000
PA
USD
6840615.95000000
0.032335555951
Long
DBT
CORP
IE
N
2
2024-12-15
Fixed
3.90000000
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-H1
61691JAY0
20075000.00000000
PA
USD
22341333.00000000
0.105607364677
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
3.77300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410YWF7
64627.05000000
PA
USD
74886.24000000
0.000353986866
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2QJ4
3315850.58000000
PA
USD
3708856.03000000
0.017531743128
Long
ABS-MBS
USGA
US
N
2
2045-09-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KVH1
5155.14000000
PA
USD
5952.63000000
0.000028138050
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.50000000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVAB
N/A
GreatAmerica Leasing Receivables Funding LLC Series 2018-1
39154TAR9
4205000.00000000
PA
USD
4261234.73000000
0.020142834364
Long
ABS-O
CORP
US
N
2
2024-06-17
Fixed
2.83000000
N
N
N
N
N
N
Hudson Yards
N/A
Hudson Yards 2019-30HY Mortgage Trust
44421GAG8
12000000.00000000
PA
USD
13062814.80000000
0.061747857493
Long
ABS-MBS
CORP
US
N
2
2039-07-10
Variable
3.55789700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GFD0
1098.99000000
PA
USD
1160.75000000
0.000005486859
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335GE50
6029.07000000
PA
USD
6744.26000000
0.000031880081
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQCM2
1927044.67000000
PA
USD
2234167.03000000
0.010560895909
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178NF87
4779412.69000000
PA
USD
4998058.68000000
0.023625797337
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
MVW Owner Trust
5493004KX4H48P1FVD32
MVW Owner Trust 2014-1
553891AA0
3596336.69000000
PA
USD
3605834.97000000
0.017044763114
Long
ABS-O
CORP
US
N
2
2031-09-22
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F3D5
59622.51000000
PA
USD
69045.87000000
0.000326379467
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410XAB2
564.27000000
PA
USD
570.16000000
0.000002695143
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB71
12118263.49000000
PA
USD
12884022.62000000
0.060902707790
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.00000000
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
Elara HGV Timeshare Issuer 2017-A LLC
28416DAA8
3032536.97000000
PA
USD
3113346.80000000
0.014716774100
Long
ABS-O
CORP
US
N
2
2030-03-25
Fixed
2.69000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2Q5
29995000.00000000
PA
USD
32664435.02000000
0.154404614135
Long
DBT
CORP
US
N
2
2041-04-30
Fixed
3.06800000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-3
92537JAC1
12762656.85000000
PA
USD
12991830.77000000
0.061412316353
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.04000000
N
N
N
N
N
N
Jimmy John's Funding LLC
N/A
Jimmy Johns Funding LLC
47760QAA1
3886758.34000000
PA
USD
3884659.49000000
0.018362765167
Long
ABS-O
CORP
US
N
2
2047-07-30
Fixed
3.61000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAA1
6175000.00000000
PA
USD
6668944.43000000
0.031524065570
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB89
15186844.33000000
PA
USD
16367552.68000000
0.077369336232
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCY5
42755000.00000000
PA
USD
48623380.28000000
0.229842465222
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
3.25000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2018-2
24381HAC5
4048017.35000000
PA
USD
4041101.72000000
0.019102266773
Long
ABS-MBS
CORP
US
N
2
2058-04-25
Variable
3.68400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384BYQ3
1286.08000000
PA
USD
1336.62000000
0.000006318195
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
7.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK21
06540BBJ7
10355000.00000000
PA
USD
10199568.34000000
0.048213306396
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Variable
3.51700000
N
N
N
N
N
N
CROWN CASTLE TOWERS LLC
N/A
Crown Castle Towers LLC
22822RBB5
4785000.00000000
PA
USD
4833277.83000000
0.022846879117
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
3.22200000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311RAA4
4310000.00000000
PA
USD
4439300.00000000
0.020984547968
Long
DBT
CORP
US
N
2
2037-09-15
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DWG0
6009.53000000
PA
USD
6989.09000000
0.000033037392
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.50000000
N
N
N
N
N
N
VISTRA CORP
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAE2
15240000.00000000
PA
USD
16973550.00000000
0.080233882406
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.30000000
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RDJ8
28110000.00000000
PA
USD
34201184.01000000
0.161668818603
Long
DBT
CORP
US
N
2
2048-03-09
Fixed
4.50000000
N
N
N
N
N
N
CPT MORTGAGE TRUST
N/A
Century Plaza Towers 2019-CPT
12654YAJ8
46583000.00000000
PA
USD
46347378.53000000
0.219083816810
Long
ABS-MBS
CORP
US
N
2
2039-11-13
Variable
3.09669300
N
N
N
N
N
N
VOLKSWAGEN LEASING GMBH
5299004GLEUX88BSNB74
Volkswagen Leasing GmbH
000000000
6855000.00000000
PA
8700886.29000000
0.041129044155
Long
DBT
CORP
DE
N
2
2025-08-15
Fixed
1.62500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MQ1
23895000.00000000
PA
USD
25985979.77000000
0.122835590968
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.10600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGE83
11255258.22000000
PA
USD
12608593.28000000
0.059600754735
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193VJD5
3847577.01000000
PA
USD
4175523.81000000
0.019737679292
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AR3
12180000.00000000
PA
USD
13696190.76000000
0.064741822356
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.20000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
22845000.00000000
PA
USD
22979664.42000000
0.108624753973
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-INV2 Trust
67112VBB0
4945209.76000000
PA
USD
5075913.14000000
0.023993814963
Long
ABS-MBS
CORP
US
N
2
2049-05-27
Variable
4.00000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAC7
57211000.00000000
PA
USD
63566055.09000000
0.300476411188
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
4.12500000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABN6
11505000.00000000
PA
USD
11602838.52000000
0.054846557225
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
1.80000000
N
N
N
N
N
WESTLAKE CHEMICAL CORP
GOXNEVUM0LL78B1OS344
Westlake Chemical Corp
000000000
11421000.00000000
PA
13996824.84000000
0.066162918085
Long
DBT
CORP
US
N
2
2029-07-17
Fixed
1.62500000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AD2
7080000.00000000
PA
USD
8014793.64000000
0.037885887773
Long
DBT
CORP
US
N
2
2039-01-15
Fixed
3.70100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297FYY2
2188362.79000000
PA
USD
2485562.37000000
0.011749240371
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
5.00000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP2 Trust
67113KAJ7
5160812.60000000
PA
USD
5162514.12000000
0.024403177345
Long
ABS-MBS
CORP
US
N
2
2059-06-25
Floating
1.05013000
N
N
N
N
N
N
KOREA SOUTH-EAST POWER
988400L19KVH3DIO8255
Korea South-East Power Co Ltd
000000000
5765000.00000000
PA
USD
5773187.68000000
0.027289828081
Long
DBT
NUSS
KR
N
2
2026-02-03
Fixed
1.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9JW3
18878958.44000000
PA
USD
20500595.27000000
0.096906207019
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENW39
1708413.82000000
PA
USD
2027298.69000000
0.009583030344
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
6.00000000
N
N
N
N
N
N
TENGIZCHEVROIL FIN CO IN
5493001VEV2XTJIBZH31
Tengizchevroil Finance Co International Ltd
000000000
39000000.00000000
PA
USD
42875352.00000000
0.202671565494
Long
DBT
CORP
BM
N
2
2026-08-15
Fixed
4.00000000
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAH6
6465000.00000000
PA
USD
6949875.00000000
0.032852022911
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJCR9
193623.14000000
PA
USD
224818.98000000
0.001062718147
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
KEYSIGHT TECHNOLOGIES
549300GLKVIO8YRCYN02
Keysight Technologies Inc
49338LAE3
5653000.00000000
PA
USD
6726012.89000000
0.031793827883
Long
DBT
CORP
US
N
2
2027-04-06
Fixed
4.60000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391LAN5
293522.80000000
PA
USD
339247.63000000
0.001603621779
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GXB8
13124.06000000
PA
USD
15068.33000000
0.000071227917
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BQ5
9746000.00000000
PA
USD
8917590.00000000
0.042153401463
Long
DBT
CORP
US
N
2
N/A
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WH6D9
27607901.98000000
PA
USD
29611696.48000000
0.139974334963
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKAT2
4446128.81000000
PA
USD
4700550.04000000
0.022219475546
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WX37
9002.26000000
PA
USD
10067.19000000
0.000047587554
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M74T0
1762111.01000000
PA
USD
2080419.94000000
0.009834134215
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QC6
17740955.44000000
PA
USD
17816828.18000000
0.084220053969
Long
ABS-MBS
USGSE
US
N
2
2029-12-25
Floating
1.20013000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A8YF7
61823.85000000
PA
USD
69041.82000000
0.000326360323
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WWU8
215591.92000000
PA
USD
253989.41000000
0.001200606617
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2019-H1
36418XAA5
17949128.55000000
PA
USD
18304011.54000000
0.086522967173
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
2.65700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGKX1
217693.00000000
PA
USD
257528.91000000
0.001217337815
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213EP34
43834.14000000
PA
USD
50006.59000000
0.000236380890
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418SQ77
1336394.11000000
PA
USD
1552928.34000000
0.007340684171
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8WZ4
4909219.41000000
PA
USD
5338997.56000000
0.025237413646
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TCZ6
4487327.03000000
PA
USD
4903791.50000000
0.023180196868
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
4.50000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AU6
21662000.00000000
PA
USD
26398526.27000000
0.124785696124
Long
DBT
CORP
US
N
2
2028-11-13
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPZP2
690613.91000000
PA
USD
775118.98000000
0.003663983379
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.50000000
N
N
N
N
N
N
WOODSIDE FINANCE LTD
254900AIZKU6TGRRNZ98
Woodside Finance Ltd
980236AN3
43137000.00000000
PA
USD
46159307.63000000
0.218194806645
Long
DBT
CORP
AU
N
2
2026-09-15
Fixed
3.70000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
000000000
18280000.00000000
PA
USD
20366363.85000000
0.096271695796
Long
DBT
CORP
IN
N
2
2027-11-30
Fixed
3.66700000
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2015-NXS2
94989MAG4
6215000.00000000
PA
USD
6859433.97000000
0.032424508633
Long
ABS-MBS
CORP
US
N
2
2058-07-15
Variable
4.12100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RSN0
1208330.00000000
PA
USD
1402824.60000000
0.006631144574
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AG5
58525000.00000000
PA
USD
67121034.95000000
0.317280782462
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DJS0
30728.82000000
PA
USD
36393.60000000
0.000172032357
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFT6
38295000.00000000
PA
USD
39177967.82000000
0.185194049741
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9VD0
9376803.42000000
PA
USD
9898770.97000000
0.046791438795
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
3.00000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
42515000.00000000
PA
USD
49955125.00000000
0.236137615574
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
LAMAR MEDIA CORP
N/A
LAMAR MEDIA CORP
513076BB4
16245000.00000000
PA
USD
15684547.50000000
0.074140774305
Long
LON
CORP
US
N
2
2027-02-05
Floating
1.62663000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAD7
14235000.00000000
PA
USD
16423631.25000000
0.077634419340
Long
DBT
CORP
US
N
2
2024-06-30
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKLE3
1494582.72000000
PA
USD
1623779.56000000
0.007675597519
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.50000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDL5
24415000.00000000
PA
USD
25863351.51000000
0.122255927822
Long
ABS-O
CORP
US
N
2
2025-09-22
Fixed
3.35000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VBJ8
7830203.89000000
PA
USD
8456983.60000000
0.039976117410
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
4.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV3
92537MAE0
11106470.96000000
PA
USD
11396541.99000000
0.053871394603
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.10000000
N
N
N
N
N
N
KOREA NATIONAL OIL CORP
988400ZTQ08W926ONT36
Korea National Oil Corp
50066PAN0
18020000.00000000
PA
USD
17907302.92000000
0.084647727593
Long
DBT
NUSS
KR
N
2
2030-10-05
Fixed
1.62500000
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903AP8
3131000.00000000
PA
USD
3351863.87000000
0.015844243048
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FLQ7
2474931.37000000
PA
USD
2852871.41000000
0.013485508289
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402C4G4
386964.87000000
PA
USD
454640.82000000
0.002149084787
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WAXP7
445580.26000000
PA
USD
493223.78000000
0.002331466238
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380H5W8
7274619.78000000
PA
USD
7548500.49000000
0.035681722483
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0306C7
116575000.00000000
PA
USD
121782168.60000000
0.575663676404
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
3.00000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300UVB571ELWL8972
WFRBS Commercial Mortgage Trust 2014-C20
92890FBB1
20974000.00000000
PA
USD
22702805.02000000
0.107316041032
Long
ABS-MBS
CORP
US
N
2
2047-05-15
Fixed
4.17600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406JTG8
84.77000000
PA
USD
84.98000000
0.000000401700
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
5.50000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2020-1
64034GAA8
12646990.18000000
PA
USD
12539736.12000000
0.059275267298
Long
ABS-O
CORP
US
N
2
2068-03-26
Floating
0.89013000
N
N
N
N
N
N
CHINA SOUTHERN PW GRID
549300HJ3WN6EBE05751
China Southern Power Grid International Finance BVI 2018 Co Ltd
000000000
5400000.00000000
PA
USD
6332929.65000000
0.029935725456
Long
DBT
CORP
VG
N
2
2028-09-18
Fixed
4.25000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAC2
4765000.00000000
PA
USD
5197447.58000000
0.024568307628
Long
DBT
CORP
N/A
N
2
2027-05-01
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A6LY4
5196978.68000000
PA
USD
5760692.67000000
0.027230764233
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
METHANEX CORP
549300TSJHRXT9QXRD13
Methanex Corp
59151KAM0
18855000.00000000
PA
USD
19939162.50000000
0.094252317240
Long
DBT
CORP
CA
N
2
2027-10-15
Fixed
5.12500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y3YF2
4694084.59000000
PA
USD
4916617.29000000
0.023240824310
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296AG8
18400000.00000000
PA
USD
18518496.00000000
0.087536834098
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
1.87500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566AAH2
14000000.00000000
PA
USD
14078874.60000000
0.066550766873
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Floating
2.88767000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194CTV5
7661145.79000000
PA
USD
8390050.57000000
0.039659725326
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKA96
362906.33000000
PA
USD
379556.25000000
0.001794160416
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
3.00000000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AK4
20211000.00000000
PA
USD
21755568.88000000
0.102838460734
Long
DBT
CORP
KY
N
2
2023-09-29
Fixed
3.87500000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FJR8
326818.34000000
PA
USD
376483.21000000
0.001779634171
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
5.00000000
N
N
N
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AE8
11317000.00000000
PA
USD
13174561.06000000
0.062276081482
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.95000000
N
N
N
N
N
N
BANK LEUMI LE-ISRAEL
7JDSZWRGUQY2DSTWCR57
Bank Leumi Le-Israel BM
06326BAA7
23000000.00000000
PA
USD
23670887.00000000
0.111892159507
Long
DBT
CORP
IL
N
2
2031-01-29
Fixed
3.27500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE
46646GAE7
11320000.00000000
PA
USD
11845868.34000000
0.055995357918
Long
ABS-MBS
CORP
US
N
2
2038-09-06
Variable
2.94923700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408JLU3
47.41000000
PA
USD
47.35000000
0.000000223823
Long
ABS-MBS
USGSE
US
N
2
2021-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412P2U4
763206.85000000
PA
USD
855416.09000000
0.004043547400
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31298TQ21
169.99000000
PA
USD
177.10000000
0.000000837150
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
7.00000000
N
N
N
N
N
N
Madison Avenue Trust
N/A
Eleven Madison Trust 2015-11MD Mortgage Trust
556227AA4
23679000.00000000
PA
USD
25805222.65000000
0.121981153003
Long
ABS-MBS
CORP
US
N
2
2035-09-10
Variable
3.67329300
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BH1
8480000.00000000
PA
USD
9821408.80000000
0.046425748221
Long
DBT
CORP
US
N
2
2038-02-01
Fixed
3.80000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2020-555
17328EAA6
19685000.00000000
PA
USD
20724082.57000000
0.097962630321
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Fixed
2.64700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETGU4
5224461.14000000
PA
USD
5760970.25000000
0.027232076353
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
3.50000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAP9
15325000.00000000
PA
USD
15891396.68000000
0.075118549301
Long
DBT
CORP
US
N
2
2040-09-15
Fixed
2.65000000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AH1
31475000.00000000
PA
USD
32450537.09000000
0.153393519735
Long
DBT
CORP
KY
N
2
2022-07-06
Fixed
2.87500000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-F
63935CAB7
23080000.00000000
PA
USD
23830046.92000000
0.112644507620
Long
ABS-O
CORP
US
N
2
2068-08-15
Fixed
2.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184BZ34
1434138.91000000
PA
USD
1583949.79000000
0.007487322403
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283GT98
638.42000000
PA
USD
677.93000000
0.000003204571
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224YZJ1
304.45000000
PA
USD
305.79000000
0.000001445467
Long
ABS-MBS
USGA
US
N
2
2023-01-15
Fixed
8.50000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/SEK FORWARD
000000000
1.00000000
NC
USD
119146.71000000
0.000563205877
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-23244588.63000000
USD
200090000.00000000
SEK
2021-02-19
119146.71000000
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BF5
23985000.00000000
PA
USD
26430582.56000000
0.124937226039
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.73400000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJY9
21840000.00000000
PA
USD
23103400.32000000
0.109209652928
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DPZ6
448098.49000000
PA
USD
519949.67000000
0.002457799380
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMW49
2424693.79000000
PA
USD
2647656.39000000
0.012515457959
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FMB9
12498226.24000000
PA
USD
13917510.19000000
0.065787998148
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
4.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCK0
21119000.00000000
PA
USD
23569606.52000000
0.111413407206
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
4.35000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAS4
8630000.00000000
PA
USD
8895484.69000000
0.042048909778
Long
DBT
CORP
GB
N
2
2023-01-10
Fixed
3.68400000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBN4
17285000.00000000
PA
USD
19649017.60000000
0.092880803810
Long
DBT
CORP
US
N
2
2027-03-09
Fixed
3.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJNB0
8299683.94000000
PA
USD
8969112.21000000
0.042396946681
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194MJQ5
3366206.98000000
PA
USD
3689229.95000000
0.017438970750
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/NOK FORWARD
000000000
1.00000000
NC
USD
248672.57000000
0.001175473942
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-10467280.81000000
USD
95305000.00000000
NOK
2021-01-22
248672.57000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405N2B0
631438.50000000
PA
USD
744173.23000000
0.003517702980
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419A3K1
1538135.04000000
PA
USD
1813028.75000000
0.008570177454
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292GK88
1523.62000000
PA
USD
1704.36000000
0.000008056500
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.50000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAL3
25205000.00000000
PA
USD
26055668.75000000
0.123165010413
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
2.87500000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224DFE0
71.79000000
PA
USD
72.59000000
0.000000343132
Long
ABS-MBS
USGA
US
N
2
2022-06-15
Fixed
8.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-CCRE6 Mortgage Trust
12624XAM0
6715000.00000000
PA
USD
6956927.35000000
0.032885359333
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Fixed
3.14700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7XP5
12673880.45000000
PA
USD
13694178.40000000
0.064732309940
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NQ65
8703.49000000
PA
USD
9007.98000000
0.000042580674
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ6A1
2712863.04000000
PA
USD
2883175.09000000
0.013628753627
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FQ74
1108403.22000000
PA
USD
1234272.38000000
0.005834399108
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179M2Q2
15698439.76000000
PA
USD
17233044.82000000
0.081460513068
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335AFV5
6912508.13000000
PA
USD
7756121.82000000
0.036663147428
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
AUSGRID FINANCE PTY LTD
549300DN8D7YR73BKB57
Ausgrid Finance Pty Ltd
052113AB3
24055000.00000000
PA
USD
27716507.77000000
0.131015787806
Long
DBT
CORP
AU
N
2
2028-08-01
Fixed
4.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MP30
1608227.31000000
PA
USD
1892065.23000000
0.008943782483
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132H7C85
6505651.59000000
PA
USD
7071641.07000000
0.033427610489
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M74W3
1200787.86000000
PA
USD
1342063.47000000
0.006343927029
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8R30
68301.22000000
PA
USD
75010.42000000
0.000354573864
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300V1P5RKG8RJI005
SMB Private Education Loan Trust 2018-C
78449QAB3
26752472.31000000
PA
USD
28369308.80000000
0.134101574874
Long
ABS-O
CORP
US
N
2
2035-11-15
Fixed
3.63000000
N
N
N
N
N
N
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
EUR/USD FORWARD
000000000
1.00000000
NC
USD
216480.75000000
0.001023303377
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
-26348100.78000000
USD
22220566.17000000
EUR
2021-02-19
216480.75000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAQ7
22215000.00000000
PA
USD
24378363.35000000
0.115236396527
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.90000000
N
N
N
N
N
N
AFLAC INC
549300N0B7DOGLXWPP39
Aflac Inc
001055BJ0
7455000.00000000
PA
USD
8734278.00000000
0.041286886594
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.60000000
N
N
N
N
N
Worldwide Plaza Trust
N/A
Worldwide Plaza Trust 2017-WWP
98162JAJ5
6005000.00000000
PA
USD
6188121.87000000
0.029251219835
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.71539400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BNN4
1107089.49000000
PA
USD
1298964.66000000
0.006140199179
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AM5
14965000.00000000
PA
USD
17395091.53000000
0.082226507022
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371K7E5
675406.74000000
PA
USD
777050.03000000
0.003673111442
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV3
92537MAA8
16314817.38000000
PA
USD
16740550.91000000
0.079132496921
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.69200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KC93
583030.14000000
PA
USD
700151.78000000
0.003309613815
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
Metlife Securitization Trust
N/A
METLIFE SECURITIZATION TRUST 2018-1
59166DAA5
23017160.91000000
PA
USD
24760637.19000000
0.117043402977
Long
ABS-MBS
CORP
US
N
2
2057-03-25
Variable
3.75000000
N
N
N
N
N
N
Hardee's Funding
N/A
Hardee's Funding LLC
411707AB8
22309700.00000000
PA
USD
22333794.48000000
0.105571730132
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LHS4
763649.63000000
PA
USD
855507.93000000
0.004043981527
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
BBVA BANCOMER SA TEXAS
549300WIWQK5Q9MCUN92
BBVA Bancomer SA/Texas
000000000
13550000.00000000
PA
USD
14860149.50000000
0.070243849255
Long
DBT
CORP
MX
N
2
2034-09-13
Fixed
5.87500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FMQW9
1006656.42000000
PA
USD
1081766.78000000
0.005113505932
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E0Q93
1092853.70000000
PA
USD
1205430.14000000
0.005698061990
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TQS7
5957779.58000000
PA
USD
6621745.87000000
0.031300958223
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36206PS27
656.78000000
PA
USD
727.27000000
0.000003437801
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312945DS4
4186907.44000000
PA
USD
4578230.13000000
0.021641269968
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
AVNET INC
XJI53DCPL7QABOWK4Z75
Avnet Inc
053807AR4
30360000.00000000
PA
USD
32615687.28000000
0.154174183822
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
4.87500000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-INV1
92537TAA3
6024289.75000000
PA
USD
6105912.25000000
0.028862615389
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Variable
1.97700000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAG8
14145000.00000000
PA
USD
16019212.50000000
0.075722734016
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403C6U0
1723436.08000000
PA
USD
2044859.53000000
0.009666040343
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BCW3
50262.42000000
PA
USD
56406.01000000
0.000266630915
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CB24
39479.88000000
PA
USD
47023.23000000
0.000222278563
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AK9
10905000.00000000
PA
USD
12359225.37000000
0.058421993924
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A2TA0
14484910.60000000
PA
USD
15842308.52000000
0.074886509824
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
3.50000000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VIII Ltd
67107FBC0
21346991.15000000
PA
USD
21250411.81000000
0.100450585896
Long
ABS-CBDO
CORP
KY
N
2
2029-10-17
Floating
1.38775000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617G82G7
2004536.14000000
PA
USD
2217871.81000000
0.010483868489
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
5.00000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BN1
9175000.00000000
PA
USD
9816176.53000000
0.046401015308
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.25000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFV6
1795752.42000000
PA
USD
2083277.86000000
0.009847643588
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
UNITED AIR 2019-2 A PTT
N/A
United Airlines 2019-2 Class A Pass Through Trust
90932MAA3
8134838.99000000
PA
USD
6914613.14000000
0.032685340282
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
2.90000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2015-GC27
17323CAJ6
9880000.00000000
PA
USD
10656907.87000000
0.050375147971
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.57100000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAG6
15400000.00000000
PA
USD
15823500.00000000
0.074797602048
Long
DBT
CORP
KY
N
2
2026-05-01
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128K9GH1
3803.47000000
PA
USD
4254.65000000
0.000020111708
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377UYH5
820178.98000000
PA
USD
24073.40000000
0.000113794836
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
4.50000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CJ6
13810000.00000000
PA
USD
15078462.31000000
0.071275812770
Long
DBT
CORP
US
N
2
2030-05-20
Fixed
2.82300000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
46645WAU7
9825000.00000000
PA
USD
10355576.53000000
0.048950756297
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
4.24750000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
43761000.00000000
PA
USD
59013021.33000000
0.278954244329
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2020-3
03465LAA3
21399501.20000000
PA
USD
21543753.10000000
0.101837208646
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.69100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SGK7
7014915.25000000
PA
USD
7456843.55000000
0.035248460605
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CL2
9555000.00000000
PA
USD
10152474.15000000
0.047990692405
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJ39
1049524.63000000
PA
USD
1218143.68000000
0.005758158828
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.00000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2019-2
80286GAG6
6785000.00000000
PA
USD
7042468.36000000
0.033289711241
Long
ABS-O
CORP
US
N
2
2025-07-15
Fixed
3.22000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JH1
22880000.00000000
PA
USD
23187095.36000000
0.109605278946
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AA8
8690000.00000000
PA
USD
9491695.95000000
0.044867197297
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
HKT CAPITAL NO 2 LTD
254900H0XCXGQBS2GA24
HKT Capital No 2 Ltd
000000000
2714000.00000000
PA
USD
2934186.82000000
0.013869885809
Long
DBT
CORP
VG
N
2
2025-04-02
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFU8
702945.04000000
PA
USD
815558.21000000
0.003855139409
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RLN7
4811289.58000000
PA
USD
5116692.49000000
0.024186578738
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
3.00000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2018-2
36418GAJ3
16412095.32000000
PA
USD
16997580.41000000
0.080347474029
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DP2
7485000.00000000
PA
USD
7561594.01000000
0.035743615484
Long
DBT
CORP
US
N
2
2040-08-21
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410UPY2
107590.18000000
PA
USD
122468.82000000
0.000578909473
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJDS6
15191.50000000
PA
USD
18241.08000000
0.000086225490
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0CG2
809474.97000000
PA
USD
809475.05000000
0.003826384343
Long
ABS-MBS
CORP
US
N
2
2024-09-25
Floating
2.35013000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36189MBR8
4782990.15000000
PA
USD
5253810.86000000
0.024834736559
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417KXK8
1702458.57000000
PA
USD
1907732.55000000
0.009017841823
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-883051.82000000
-0.00417418135
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-92745271.34000000
EUR
109993480.44000000
USD
2021-02-19
-883051.82000000
N
N
N
CHENIERE ENERGY INC
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411RAJ8
22665000.00000000
PA
USD
23458275.00000000
0.110887143691
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.62500000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBK5
28755000.00000000
PA
USD
34456426.38000000
0.162875347956
Long
DBT
CORP
GB
N
2
2028-05-30
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YR82
4065.82000000
PA
USD
4540.50000000
0.000021462919
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523BZ2
43040000.00000000
PA
USD
49968837.44000000
0.236202434207
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
4.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2019-1
33852AAC1
9926980.52000000
PA
USD
10294346.30000000
0.048661321319
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCXQ4
2890080.88000000
PA
USD
3134832.32000000
0.014818336042
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2018-B2
17327FAH9
3320000.00000000
PA
USD
3281868.14000000
0.015513373597
Long
ABS-MBS
CORP
US
N
2
2051-03-10
Variable
4.82764000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36192XPK9
3581194.90000000
PA
USD
3952187.10000000
0.018681967828
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERTD2
30170580.45000000
PA
USD
32492046.71000000
0.153589735492
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AG5
10475000.00000000
PA
USD
10946375.00000000
0.051743457586
Long
DBT
CORP
GB
N
2
2022-09-27
Fixed
4.12500000
N
N
N
N
N
N
VNO Mortgage Trust
N/A
VNDO Trust 2016-350P
91831UAF4
10909000.00000000
PA
USD
11173775.61000000
0.052818379085
Long
ABS-MBS
CORP
US
N
2
2035-01-10
Variable
4.03271800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPY99
1271473.38000000
PA
USD
1475057.63000000
0.006972589730
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CKF2
858734.57000000
PA
USD
1014369.85000000
0.004794920995
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
6.00000000
N
N
N
N
N
N
UNITED AIR 2019-2 AA PTT
N/A
United Airlines 2019-2 Class AA Pass Through Trust
90932JAA0
5054236.96000000
PA
USD
4737548.58000000
0.022394367451
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292SAV2
40581893.25000000
PA
USD
44031992.12000000
0.208138997314
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283HRL1
2302.76000000
PA
USD
2688.13000000
0.000012706776
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31288ALH6
9738.43000000
PA
USD
10913.51000000
0.000051588104
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.00000000
N
N
N
N
N
N
PERRIGO FINANCE UNLIMITE
549300E86RB6YCTMRM83
Perrigo Finance Unlimited Co
71429MAC9
3640000.00000000
PA
USD
3861213.72000000
0.018251937134
Long
DBT
CORP
IE
N
2
2030-06-15
Fixed
3.15000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2017-C5
46590TAJ4
15745000.00000000
PA
USD
17556024.54000000
0.082987236521
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
3.85750000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312938BW2
1706310.44000000
PA
USD
1914413.92000000
0.009049424624
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36223S5C3
317.48000000
PA
USD
320.42000000
0.000001514623
Long
ABS-MBS
USGA
US
N
2
2021-12-15
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179N2K3
17690184.30000000
PA
USD
19354094.02000000
0.091486701584
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJL48
1915003.45000000
PA
USD
2150575.22000000
0.010165757858
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DWU9
861602.35000000
PA
USD
1020933.30000000
0.004825946389
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XBF3
210588.56000000
PA
USD
250766.46000000
0.001185371749
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
6.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2013-375P
17320QAL3
14725000.00000000
PA
USD
14686095.08000000
0.069421094918
Long
ABS-MBS
CORP
US
N
2
2035-05-10
Variable
3.63483000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BS8
45875000.00000000
PA
USD
54820625.00000000
0.259136808722
Long
DBT
CORP
GB
N
2
2031-04-01
Fixed
4.64400000
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
32145000.00000000
PA
USD
33993016.05000000
0.160684809741
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202C2Y8
9655.06000000
PA
USD
11129.18000000
0.000052607575
Long
ABS-MBS
USGA
US
N
2
2028-05-20
Fixed
7.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
NOK/USD FORWARD
000000000
1.00000000
NC
USD
425108.81000000
0.002009487129
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-23454022.39000000
USD
212375000.00000000
NOK
2021-01-22
425108.81000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193VGZ9
2497199.75000000
PA
USD
2747136.88000000
0.012985701717
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.00000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CL4
13315000.00000000
PA
USD
15145812.50000000
0.071594176767
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC21 Mortgage Trust
12593FBF0
21415000.00000000
PA
USD
23712745.98000000
0.112090026687
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
4.04300000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHZ5
23560000.00000000
PA
USD
24909045.60000000
0.117744928758
Long
DBT
CORP
US
N
2
2031-02-13
Fixed
2.49600000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
88.00000000
NC
USD
-44124.96000000
-0.00020857845
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
15435874.96000000
USD
-44124.96000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402Q6Z9
712146.67000000
PA
USD
840829.84000000
0.003974598272
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2018-1
89176EAA8
13214264.08000000
PA
USD
13720951.82000000
0.064858867757
Long
ABS-MBS
CORP
US
N
2
2058-01-25
Variable
3.00000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAC5
10315000.00000000
PA
USD
10727600.00000000
0.050709309301
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FGNN5
7826415.30000000
PA
USD
8431553.73000000
0.039855910547
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT
46645WBC6
11395000.00000000
PA
USD
11765931.18000000
0.055617495379
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
4.94980000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Inc
42250PAB9
3585000.00000000
PA
USD
3851085.87000000
0.018204062840
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MGP1
1006214.47000000
PA
USD
1181345.39000000
0.005584213502
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.00000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AL3
24115000.00000000
PA
USD
24114985.53000000
0.113991410944
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
1.79088000
N
N
N
N
N
N
KFC HOLDING CO
549300G2LG4YUB3MM115
KFC Holding Co
72584DAE4
29706338.18000000
PA
USD
29186477.26000000
0.137964325926
Long
LON
CORP
US
N
2
2025-04-03
Floating
1.89350000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TJF5
1558324.94000000
PA
USD
1802518.17000000
0.008520493997
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.00000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDU5
13740000.00000000
PA
USD
14115062.15000000
0.066721825234
Long
ABS-O
CORP
US
N
2
2026-08-20
Fixed
2.33000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GWA7
159451.72000000
PA
USD
184869.82000000
0.000873878675
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.00000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300UHUHCR3388B324
Neuberger Berman CLO XVI-S Ltd
64131TAC8
37208929.26000000
PA
USD
36981129.87000000
0.174809608198
Long
ABS-CBDO
CORP
KY
N
2
2028-01-15
Floating
1.08688000
N
N
N
N
N
N
CNOOC FINANCE 2014 ULC
549300QK7VNAZ4SHZS12
CNOOC Finance 2014 ULC
12591DAC5
12080000.00000000
PA
USD
13198185.20000000
0.062387752668
Long
DBT
CORP
CA
N
2
2024-04-30
Fixed
4.25000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAB1
6920000.00000000
PA
USD
7707150.00000000
0.036431657890
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond Future
000000000
2784.00000000
NC
USD
-4661517.22000000
-0.02203496760
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
606092517.22000000
USD
-4661517.22000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411HU57
15124.55000000
PA
USD
17373.42000000
0.000082124065
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409AFY0
273.95000000
PA
USD
274.24000000
0.000001296331
Long
ABS-MBS
USGSE
US
N
2
2021-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HMT7
1934200.70000000
PA
USD
2322800.96000000
0.010979868034
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WBQ57
6809480.25000000
PA
USD
7642223.98000000
0.036124752932
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XZZ0
30770271.12000000
PA
USD
30256579.91000000
0.143022695577
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
1.00013000
N
N
N
N
N
N
Independence Plaza Trust
N/A
Independence Plaza Trust 2018-INDP
45378YAL8
12220000.00000000
PA
USD
12727519.82000000
0.060162919870
Long
ABS-MBS
CORP
US
N
2
2035-07-10
Fixed
3.91100000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AW6
4625000.00000000
PA
USD
5388125.00000000
0.025469638799
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.50000000
N
N
N
N
N
Bluemountain CLO Ltd
549300261OAC6YQ54P29
BlueMountain CLO 2015-2 Ltd
09628BAL2
2760775.84000000
PA
USD
2745806.31000000
0.012979412119
Long
ABS-CBDO
CORP
KY
N
2
2027-07-18
Floating
1.14775000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-INV2
46651DAC0
10614121.75000000
PA
USD
11035863.26000000
0.052166468125
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WPEG5
1989114.31000000
PA
USD
2137425.46000000
0.010103599011
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
ENEL CHILE SA
549300YM5CWCAUVOPB53
Enel Chile SA
29278DAA3
30886000.00000000
PA
USD
36059405.00000000
0.170452619541
Long
DBT
CORP
CL
N
2
2028-06-12
Fixed
4.87500000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JG3
27580000.00000000
PA
USD
27719609.96000000
0.131030451842
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJAD2
30094.79000000
PA
USD
36146.15000000
0.000170862662
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDG6
10835000.00000000
PA
USD
11120436.16000000
0.052566243783
Long
ABS-O
CORP
US
N
2
2023-03-20
Fixed
3.45000000
N
N
N
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
92340LAG4
21132000.00000000
PA
USD
21651889.46000000
0.102348368656
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
2.85000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300FECQ7XLTBL1027
Sequoia Mortgage Trust 2018-CH3
81746WAB4
14575531.50000000
PA
USD
14990922.49000000
0.070862012497
Long
ABS-MBS
CORP
US
N
2
2048-08-25
Variable
4.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-1
89172EBJ2
7226538.43000000
PA
USD
7398121.75000000
0.034970882963
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHFB3
3061803.01000000
PA
USD
3345517.73000000
0.015814244877
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PFBH7
2602.15000000
PA
USD
2618.86000000
0.000012379337
Long
ABS-MBS
USGSE
US
N
2
2021-10-01
Fixed
6.00000000
N
N
N
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
03879QAF1
42230000.00000000
PA
USD
45809921.56000000
0.216543260513
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
4.60000000
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2019-C7
17328CBK7
12000000.00000000
PA
USD
11419131.60000000
0.053978175571
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Variable
3.91659200
N
N
N
N
N
N
Planet Fitness Master Issuer L
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAA1
16238600.00000000
PA
USD
16187935.57000000
0.076520287089
Long
ABS-O
CORP
US
N
2
2048-09-05
Fixed
4.26200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413NMA0
3545.36000000
PA
USD
3992.34000000
0.000018871770
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617G9PB1
1353024.77000000
PA
USD
1504105.26000000
0.007109897726
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
5.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CW3
48800000.00000000
PA
USD
45506000.00000000
0.215106624882
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410G7K3
415710.62000000
PA
USD
482211.00000000
0.002279408884
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7ZN9
757563.94000000
PA
USD
846812.90000000
0.004002880165
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617G8VD2
1114297.28000000
PA
USD
1233296.42000000
0.005829785751
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
5.00000000
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
Gray Oak Pipeline LLC
38937LAC5
6745000.00000000
PA
USD
6846626.92000000
0.032363969775
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
2.60000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2019-C52
95002MBB4
13765000.00000000
PA
USD
14415379.73000000
0.068141424869
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
3.37500000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2018-1
59980VAA9
14218989.07000000
PA
USD
14705114.98000000
0.069511001886
Long
ABS-MBS
CORP
US
N
2
2062-05-25
Variable
3.25000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2020-1
80287AAF0
9920000.00000000
PA
USD
10604717.09000000
0.050128442426
Long
ABS-O
CORP
US
N
2
2025-12-15
Fixed
4.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412BKK7
3767.01000000
PA
USD
3790.63000000
0.000017918288
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403C6L0
359456.74000000
PA
USD
417378.37000000
0.001972945380
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.00000000
N
N
N
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
92340LAF6
10350000.00000000
PA
USD
11190492.45000000
0.052897399501
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.40000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GFF5
605279.01000000
PA
USD
718285.12000000
0.003395330019
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.50000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DX2
5600000.00000000
PA
USD
5593711.20000000
0.026441443695
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
1.30000000
N
N
N
N
N
N
SMB Private Education Loan Tru
54930039BHEBCRK29U41
SMB Private Education Loan Trust 2016-A
78449FAB7
5392639.24000000
PA
USD
5526033.72000000
0.026121532600
Long
ABS-O
CORP
US
N
2
2031-05-15
Fixed
2.70000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2017-A
43283AAB1
1327932.47000000
PA
USD
1343089.23000000
0.006348775791
Long
ABS-O
CORP
US
N
2
2028-12-26
Fixed
2.96000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKF59
4186718.57000000
PA
USD
4678411.07000000
0.022114824750
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2015-GC33
29425AAF0
8061000.00000000
PA
USD
8882574.70000000
0.041987884322
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Fixed
4.11400000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
18465000.00000000
PA
USD
26403989.82000000
0.124811522296
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
23105000.00000000
PA
USD
25968379.55000000
0.122752394819
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCR5
28255000.00000000
PA
USD
31407099.55000000
0.148461195920
Long
DBT
CORP
US
N
2
2024-01-17
Fixed
5.10000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296QR51
35913.25000000
PA
USD
40326.25000000
0.000190621973
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X53G0
3053115.90000000
PA
USD
3305866.02000000
0.015626811450
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617G9MY4
1942482.49000000
PA
USD
2162334.35000000
0.010221343205
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
5.00000000
N
N
N
N
N
N
TACONIC PARK CLO LTD.
5493003DVTX8QGKNET67
TACONIC PARK CLO LTD 2016-1A
873549AN9
11645000.00000000
PA
USD
11295573.38000000
0.053394116509
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Floating
2.11838000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EG3M4
10865718.63000000
PA
USD
11906605.47000000
0.056282462015
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409VGF4
207.95000000
PA
USD
208.20000000
0.000000984160
Long
ABS-MBS
USGSE
US
N
2
2021-03-01
Fixed
6.00000000
N
N
N
N
N
N
PERKINELMER INC
549300IKL1SDPFI7N655
PerkinElmer Inc
714046AG4
10272000.00000000
PA
USD
11456156.16000000
0.054153190473
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
3.30000000
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
95810DAQ4
14521923.08000000
PA
USD
14358551.45000000
0.067872797886
Long
LON
CORP
US
N
2
2023-02-27
Floating
1.64550000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-3
89172YAA8
3678968.22000000
PA
USD
3721029.13000000
0.017589285308
Long
ABS-MBS
CORP
US
N
2
2056-04-25
Variable
2.25000000
N
N
N
N
N
N
Worldwide Plaza Trust
N/A
Worldwide Plaza Trust 2017-WWP
98162JAA4
33185000.00000000
PA
USD
36582052.21000000
0.172923170179
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
3.52630000
N
N
N
N
N
N
Vista Point Securitization Tru
N/A
Vista Point Securitization Trust 2020-2
92838TAA9
16609439.53000000
PA
USD
16675925.46000000
0.078827012756
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.47500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QY8
30119000.00000000
PA
USD
30258014.24000000
0.143029475647
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Floating
1.25013000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBE4
26585000.00000000
PA
USD
27818065.47000000
0.131495850525
Long
DBT
CORP
GB
N
2
2023-02-15
Fixed
4.61000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FQ82
4033159.04000000
PA
USD
4646663.39000000
0.021964753632
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
5.00000000
N
N
N
N
N
N
BRAMBLES USA INC
549300ELM3HO6HFZSW59
Brambles USA Inc
10510KAC1
13445000.00000000
PA
USD
15137066.70000000
0.071552835416
Long
DBT
CORP
US
N
2
2025-10-23
Fixed
4.12500000
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2016-C4
46646RAN3
15210000.00000000
PA
USD
16686675.02000000
0.078877825870
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.38450000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377LFF0
517466.45000000
PA
USD
11364.03000000
0.000053717710
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
4.50000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2020-INV1
12560AAB0
16426211.38000000
PA
USD
16924986.72000000
0.080004324034
Long
ABS-MBS
CORP
US
N
2
2050-04-25
Variable
2.50000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-EXP1 Trust
67448TAP0
17952072.18000000
PA
USD
18508473.32000000
0.087489456941
Long
ABS-MBS
CORP
US
N
2
2060-02-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409V5T6
11676.14000000
PA
USD
13057.37000000
0.000061722119
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36181KC81
8700425.82000000
PA
USD
9401222.24000000
0.044439528541
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412BKL5
2351.81000000
PA
USD
2381.26000000
0.000011256203
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193VFR8
3356047.51000000
PA
USD
3647003.81000000
0.017239368006
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411RFW3
12629.69000000
PA
USD
14123.72000000
0.000066762750
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209W2W1
14779.26000000
PA
USD
14843.46000000
0.000070164958
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.50000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AR8
1450000.00000000
PA
USD
1623211.20000000
0.007672910884
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.95000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DAB5
4894053.87000000
PA
USD
5019322.07000000
0.023726309270
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378FK74
4202920.48000000
PA
USD
605267.62000000
0.002861096885
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418M7D8
1433145.94000000
PA
USD
1515113.60000000
0.007161934092
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
5.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAP6
9300000.00000000
PA
USD
9745116.60000000
0.046065115389
Long
DBT
CORP
IE
N
2
2022-07-01
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MG63
900471.51000000
PA
USD
1072399.99000000
0.005069229164
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D2X8
28634.28000000
PA
USD
34128.45000000
0.000161325005
Long
ABS-MBS
USGA
US
N
2
2033-12-20
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
14585296.82000000
PA
USD
15755673.25000000
0.074476985355
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300ZLJ4U248VKSJ66
SMB Private Education Loan Trust 2015-B
78448QAB4
6818558.21000000
PA
USD
6936372.67000000
0.032788197467
Long
ABS-O
CORP
US
N
2
2027-07-15
Fixed
2.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410CG30
725.00000000
PA
USD
726.90000000
0.000003436052
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
5.50000000
N
N
N
N
N
N
SHANGHAI PORT GROUP BV
300300H5N2QPO1NZL057
Shanghai Port Group BVI Development 2 Co Ltd
000000000
21110000.00000000
PA
USD
21411965.67000000
0.101214250151
Long
DBT
CORP
VG
N
2
2030-07-13
Fixed
2.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2MG4
114016.19000000
PA
USD
137785.29000000
0.000651310347
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFNV7
30504081.82000000
PA
USD
32314584.18000000
0.152750871037
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYJX8
51972845.12000000
PA
USD
54955492.38000000
0.259774326124
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8W75
420586.14000000
PA
USD
481920.08000000
0.002278033707
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.50000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Mortgage Trust 2020-C6
05492TAJ9
15000000.00000000
PA
USD
14364931.50000000
0.067902956349
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Variable
3.04500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DP79
2010978.56000000
PA
USD
2383189.70000000
0.011265325293
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
Americredit Automobile Receivables Trust 2019-1
03066GAE9
7140000.00000000
PA
USD
7402444.98000000
0.034991318848
Long
ABS-O
CORP
US
N
2
2025-02-18
Fixed
3.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MEE31
38566665.32000000
PA
USD
40661512.86000000
0.192206759415
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
ARES CLO Ltd
N/A
Ares LVII CLO Ltd
04017NAC6
27170000.00000000
PA
USD
27170000.00000000
0.128432448425
Long
ABS-CBDO
CORP
KY
N
2
2031-10-25
Floating
0.01000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC40
36257HBU9
12730000.00000000
PA
USD
13904056.08000000
0.065724400640
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Fixed
3.54300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412XW26
3234.88000000
PA
USD
3313.06000000
0.000015660817
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
6.00000000
N
N
N
N
N
N
BAIDU INC
254900AL64IANZYI1E02
Baidu Inc
056752AJ7
6360000.00000000
PA
USD
7031457.00000000
0.033237660600
Long
DBT
CORP
KY
N
2
2027-07-06
Fixed
3.62500000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SUX3
4908085.63000000
PA
USD
5414011.69000000
0.025592005047
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
4.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BN3
1580000.00000000
PA
USD
2079096.72000000
0.009827879361
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2019-2
36418AAW7
7967364.40000000
PA
USD
8049037.06000000
0.038047756241
Long
ABS-MBS
CORP
US
N
2
2059-06-25
Variable
3.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-PC1 Mortgage Trust
12593GAJ1
13560000.00000000
PA
USD
14445609.02000000
0.068284318566
Long
ABS-MBS
CORP
US
N
2
2050-07-10
Variable
4.57631300
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AJ5
7013000.00000000
PA
USD
7956248.50000000
0.037609145202
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406KJW1
2278.64000000
PA
USD
2582.01000000
0.000012205147
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJE0
30280000.00000000
PA
USD
31633485.72000000
0.149531322166
Long
DBT
CORP
US
N
2
2041-06-19
Fixed
2.67600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A4X75
6839.33000000
PA
USD
7670.50000000
0.000036258413
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405ULZ0
28291.49000000
PA
USD
33924.75000000
0.000160362116
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BN61
382970.50000000
PA
USD
454141.45000000
0.002146724267
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31356FES6
421.13000000
PA
USD
422.82000000
0.000001998667
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417WUE9
11219594.88000000
PA
USD
12579872.36000000
0.059464991096
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GH25
5680839.30000000
PA
USD
5997981.41000000
0.028352426871
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B13 Mortgage Trust
08162DAG3
15940000.00000000
PA
USD
17442026.20000000
0.082448366962
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
3.18300000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
31336CMZ3
42183.20000000
PA
USD
42486.69000000
0.000200834362
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
2.72500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WZWA6
2778542.67000000
PA
USD
3009324.59000000
0.014225061656
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AJ8
26345000.00000000
PA
USD
30138838.07000000
0.142466130513
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.95000000
N
N
N
N
N
N
BORAL FINANCE PTY LTD
549300X2TYFVNPM0UT91
Boral Finance Pty Ltd
09952AAA4
5705000.00000000
PA
USD
5817451.26000000
0.027499061793
Long
DBT
CORP
AU
N
2
2022-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GFX0
531.60000000
PA
USD
532.18000000
0.000002515612
Long
ABS-MBS
USGSE
US
N
2
2021-01-01
Fixed
5.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
5493007CD1Q2V06I4172
Wells Fargo Commercial Mortgage Trust 2014-LC18
94989AAW5
5860000.00000000
PA
USD
6377770.85000000
0.030147689575
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.80800000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PFCH6
512.01000000
PA
USD
515.14000000
0.000002435064
Long
ABS-MBS
USGSE
US
N
2
2021-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RJL4
393992.86000000
PA
USD
455560.59000000
0.002153432535
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411ADF9
19134.58000000
PA
USD
22376.96000000
0.000105775773
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLT0
9941778.54000000
PA
USD
10736669.67000000
0.050752181584
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM5
64830PAA4
16056172.88000000
PA
USD
16479606.27000000
0.077899012968
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.70986000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-DC2 Mortgage Trust
12594CBF6
13097000.00000000
PA
USD
14513972.29000000
0.068607471387
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
3.76500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DH77
302515.62000000
PA
USD
367061.13000000
0.001735096048
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
6.50000000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust
39152TAL4
18025000.00000000
PA
USD
16535105.77000000
0.078161358815
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.07400000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAE8
2345000.00000000
PA
USD
2511919.45000000
0.011873830151
Long
DBT
CORP
N/A
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BV5
53300000.00000000
PA
USD
55651382.80000000
0.263063796514
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHRP9
1655311.17000000
PA
USD
1858213.67000000
0.008783766335
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207D6P6
1864.46000000
PA
USD
2064.58000000
0.000009759258
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2MV1
5093156.52000000
PA
USD
5880512.93000000
0.027797153978
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
5.00000000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
05530QAN0
7875000.00000000
PA
USD
8010828.00000000
0.037867142214
Long
DBT
CORP
GB
N
2
2026-03-25
Fixed
1.66800000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAN3
3820000.00000000
PA
USD
4393000.00000000
0.020765688109
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
OCP CLO Ltd
254900ZMV4RGFPV8TK42
OCP CLO 2020-19 Ltd
670881AA9
26060000.00000000
PA
USD
26130646.05000000
0.123519427719
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
2.06969000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-2
92537GAE3
16404508.97000000
PA
USD
16592150.31000000
0.078431008059
Long
ABS-MBS
CORP
US
N
2
2059-05-25
Variable
3.44800000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2020-3 Mortgage Loan Trust
12597QAA4
13874222.46000000
PA
USD
13979043.60000000
0.066078866256
Long
ABS-MBS
CORP
US
N
2
2065-04-27
Variable
1.50600000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
000000000
6120000.00000000
PA
USD
6801431.52000000
0.032150331354
Long
DBT
CORP
IN
N
2
2025-01-28
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHVS8
3599844.56000000
PA
USD
4037931.60000000
0.019087281632
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409G7K6
84.28000000
PA
USD
84.59000000
0.000000399856
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
6.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK23
06541RBG7
11530000.00000000
PA
USD
11686735.36000000
0.055243137150
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
3.62550000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412NFD3
477570.22000000
PA
USD
561596.98000000
0.002654665998
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SP4
323525000.00000000
PA
USD
307348750.00000000
1.452835939754
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPD8
6451705.66000000
PA
USD
7088883.01000000
0.033509113050
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERA59
1614539.80000000
PA
USD
1756322.45000000
0.008302127069
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
5165000.00000000
PA
USD
6188305.30000000
0.029252086907
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2N57
25041.10000000
PA
USD
29387.81000000
0.000138916024
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XBY5
754104.19000000
PA
USD
845399.69000000
0.003996199929
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
T. ROWE PRICE SHORT-TERM FUND
549300SIV6FPS9Y7IH33
T. ROWE PRICE SHORT-TERM FUND
000000000
20306051.66000000
NS
USD
203060516.60000000
0.959866003885
Long
STIV
RF
US
N
1
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128K7MM7
98370.35000000
PA
USD
111957.86000000
0.000529224220
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERB74
3998688.33000000
PA
USD
4197748.75000000
0.019842736468
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YVG9
2117140.60000000
PA
USD
2325362.54000000
0.010991976609
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FGY6
2723070.76000000
PA
USD
3136929.89000000
0.014828251244
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
5.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV1
92537FAA3
11123496.16000000
PA
USD
11448825.05000000
0.054118536355
Long
ABS-MBS
CORP
US
N
2
2059-12-25
Variable
3.40200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9NZ2
4572502.04000000
PA
USD
4962326.04000000
0.023456889333
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
AUSGRID FINANCE PTY LTD
549300DN8D7YR73BKB57
Ausgrid Finance Pty Ltd
052113AA5
15280000.00000000
PA
USD
16119911.04000000
0.076198735490
Long
DBT
CORP
AU
N
2
2023-05-01
Fixed
3.85000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419FFW1
15720119.12000000
PA
USD
17167989.09000000
0.081152994971
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
ESSEX PORTFOLIO LP
5493003GN3O58H286O74
Essex Portfolio LP
29717PAW7
10390000.00000000
PA
USD
10264883.62000000
0.048522051384
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.65000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DL1
15925000.00000000
PA
USD
19966828.70000000
0.094383095224
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193UCX0
1964473.92000000
PA
USD
2168006.09000000
0.010248153490
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857LAQ1
9480000.00000000
PA
USD
11197899.24000000
0.052932411358
Long
DBT
CORP
US
N
2
2027-04-13
Fixed
4.50000000
N
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
Altice Financing SA
02154CAE3
12800000.00000000
PA
USD
13504000.00000000
0.063833337635
Long
DBT
CORP
LU
N
2
2026-05-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194PGZ1
3542415.25000000
PA
USD
3896993.52000000
0.018421068063
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2018-2
24381HAA9
11445993.53000000
PA
USD
11675020.99000000
0.055187763384
Long
ABS-MBS
CORP
US
N
2
2058-04-25
Variable
3.47900000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2017-1
30166JAG0
6000000.00000000
PA
USD
6228251.40000000
0.029440911914
Long
ABS-O
CORP
US
N
2
2023-11-15
Fixed
6.20000000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807DK0
18417000.00000000
PA
USD
19317904.39000000
0.091315633392
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
2.65000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YTK86
2270235.50000000
PA
USD
2379903.81000000
0.011249792908
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAK1
30027000.00000000
PA
USD
32242512.17000000
0.152410187022
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
4.87500000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKA9
21630000.00000000
PA
USD
22865137.89000000
0.108083387663
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
3.65000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH70
5847685.29000000
PA
USD
6425208.95000000
0.030371929226
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412AWL4
15268.92000000
PA
USD
18268.83000000
0.000086356664
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFW4
530765.28000000
PA
USD
615480.32000000
0.002909372265
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2020-1
03067DAG0
12745000.00000000
PA
USD
12915296.14000000
0.061050537556
Long
ABS-O
CORP
US
N
2
2025-12-18
Fixed
1.80000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AC2
15055000.00000000
PA
USD
15153625.31000000
0.071631107879
Long
DBT
CORP
CH
N
2
2027-01-30
Fixed
1.36400000
N
N
N
N
N
N
2021-01-26
T. ROWE PRICE NEW INCOME FUND, INC.
Alan S. Dupski
Alan S. Dupski
Treasurer & Vice President