0001752724-22-240247.txt : 20221028
0001752724-22-240247.hdr.sgml : 20221028
20221027181021
ACCESSION NUMBER: 0001752724-22-240247
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20220831
FILED AS OF DATE: 20221028
DATE AS OF CHANGE: 20221027
PERIOD START: 20230531
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: 221338481
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
2023-05-31
2022-08-31
N
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0.00000000
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0.00000000
0.00000000
0.00000000
0.00000000
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USD
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Bloomberg Barclays US Agg Total Return Value Unhedged USD (Returns)
LBUSTRUU
PARKER-HANNIFIN CORP
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094AR5
9625000.00000000
PA
USD
9540165.25000000
0.058552637662
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.25000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
3445000.00000000
PA
USD
3010068.75000000
0.018474257021
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411ARB3
80431.03000000
PA
USD
83736.84000000
0.000513933744
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.50000000
N
N
N
N
N
N
SUNSHINE LUXEMBOURG VII
254900CHQOBZNYV4DY60
Sunshine Luxembourg VII Sarl
000000000
2984886.64980000
PA
USD
2871102.77000000
0.017621355163
Long
LON
CORP
LU
N
2
2026-10-02
Floating
6.00043000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FMB9
7163406.21000000
PA
USD
7384075.73000000
0.045319666836
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AA64
13594.03000000
PA
USD
14646.46000000
0.000089892453
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A1CC4
3566454.15000000
PA
USD
3321339.75000000
0.020384678654
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S2P1
538310.64000000
PA
USD
524974.63000000
0.003222024827
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
3.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAS8
27592000.00000000
PA
USD
25691904.51000000
0.157683723102
Long
DBT
CORP
US
N
2
2045-05-14
Fixed
4.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKAT2
2256491.52000000
PA
USD
2205990.34000000
0.013539236447
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
3.00000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAW4
9655000.00000000
PA
USD
9564725.75000000
0.058703377405
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
4.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNR2
9738216.75000000
PA
USD
9498135.33000000
0.058294679586
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179N2K3
9480386.67000000
PA
USD
9456781.17000000
0.058040868977
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TG58
212871.75000000
PA
USD
211947.16000000
0.001300822882
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31356E3X0
574.68000000
PA
USD
601.04000000
0.000003688875
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XTY0
617681.89000000
PA
USD
615395.66000000
0.003776982699
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
3.44371000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LGCY
12434DAJ1
13125000.00000000
PA
USD
12246944.06000000
0.075165456701
Long
ABS-MBS
CORP
US
N
2
2023-10-15
Floating
3.39500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MC6H3
228.31000000
PA
USD
233.77000000
0.000001434760
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WR26
23522109.52000000
PA
USD
21494373.60000000
0.131921432826
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
2.50000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBL8
24674000.00000000
PA
USD
23103573.92000000
0.141797878443
Long
DBT
CORP
GB
N
2
2026-05-07
Fixed
2.85200000
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DG1
16945000.00000000
PA
USD
16576971.55000000
0.101740942979
Long
DBT
CORP
GB
N
2
2028-08-11
Fixed
5.21000000
N
N
N
N
N
N
NTT FINANCE CORP
3538007PR116187GD960
NTT Finance Corp
62954WAD7
26137000.00000000
PA
USD
22596717.21000000
0.138687052109
Long
DBT
CORP
JP
N
2
2028-04-03
Fixed
1.59100000
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
53562000.00000000
PA
USD
46951645.77000000
0.288165103055
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.87900000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MXX0
44070.28000000
PA
USD
47335.58000000
0.000290521494
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022691
87810000.00000000
PA
USD
78397865.63000000
0.481165860282
Long
ABS-MBS
USGSE
US
N
2
2052-09-15
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NG2
20140000.00000000
PA
USD
18659226.64000000
0.114520755970
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
3.07000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2AX7
1847924.91000000
PA
USD
1845112.70000000
0.011324354719
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
36194BZE8
5430976.89000000
PA
USD
5128377.14000000
0.031475346664
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJZW3
1554107.36000000
PA
USD
1462956.69000000
0.008978877277
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
31419AK30
174252.03000000
PA
USD
175576.25000000
0.001077596905
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S5M5
3149620.92000000
PA
USD
3141792.73000000
0.019282711201
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36184BZ34
887932.14000000
PA
USD
878131.09000000
0.005389517915
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKA96
51197.48000000
PA
USD
47612.20000000
0.000292219245
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MNJ5
297351.19000000
PA
USD
299169.86000000
0.001836151046
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
4.00000000
N
N
N
N
N
N
Barclays Mortgage Loan Trust
N/A
Barclays Mortgage Loan Trust 2021-NQM1
06744UAA9
6147252.36000000
PA
USD
5673793.44000000
0.034822831969
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
1.74700000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAL6
17905000.00000000
PA
USD
17815224.33000000
0.109340702989
Long
DBT
CORP
US
N
2
2025-05-13
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EG3M4
5690172.77000000
PA
USD
5695188.60000000
0.034954144480
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBR1
428560000.00000000
PA
USD
407868587.50000000
2.503288045021
Long
DBT
UST
US
N
2
2024-03-15
Fixed
0.25000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413LPV5
68252.91000000
PA
USD
71058.19000000
0.000436118698
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
31410KJJ4
157290.39000000
PA
USD
166647.42000000
0.001022796329
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAJ4
21773000.00000000
PA
USD
20003943.75000000
0.122773939394
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.70000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHM4
42340000.00000000
PA
USD
40529118.20000000
0.248746925295
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.27100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR89
422751.44000000
PA
USD
407939.01000000
0.002503720262
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCE0
15831.50000000
PA
USD
16578.08000000
0.000101747746
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DMM8
46466.58000000
PA
USD
49517.78000000
0.000303914717
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
31402RDF3
166495.96000000
PA
USD
179368.19000000
0.001100869886
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-6 Mortgage Loan Trust
12658YAA3
13215879.87000000
PA
USD
11869662.77000000
0.072849897788
Long
ABS-MBS
CORP
US
N
2
2066-12-25
Variable
1.90700000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYB4
45548000.00000000
PA
USD
37398278.55000000
0.229531438477
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.61500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419FFW1
7989341.01000000
PA
USD
7996442.50000000
0.049078059763
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
3138EJL48
1122822.88000000
PA
USD
1145902.73000000
0.007032962803
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KH3Q7
3046921.99000000
PA
USD
3051493.50000000
0.018728500875
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCD5
12072000.00000000
PA
USD
10498233.72000000
0.064432770187
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.30000000
N
N
N
N
N
N
Highbridge Loan Management Ltd
549300Z5U2GIJ32SH058
HPS Loan Management 11-2017 Ltd
40436VAG6
12070000.00000000
PA
USD
11720673.56000000
0.071935478488
Long
ABS-CBDO
CORP
KY
N
2
2030-05-06
Floating
4.41329000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGVB7
79168.91000000
PA
USD
82617.64000000
0.000507064669
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYN8
17735000.00000000
PA
USD
14679667.41000000
0.090096263989
Long
DBT
CORP
US
N
2
2032-10-21
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412NFD3
300274.37000000
PA
USD
323829.86000000
0.001987501469
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H5BB3
1503736.30000000
PA
USD
1461393.88000000
0.008969285551
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
3138MQX99
6544324.57000000
PA
USD
6354620.96000000
0.039001401841
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 II Pool
36179TCZ6
1780604.47000000
PA
USD
1818622.25000000
0.011161769933
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U3S9
3819205.09000000
PA
USD
3572050.66000000
0.021923413539
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.00000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBQ2
23765000.00000000
PA
USD
23239983.62000000
0.142635091167
Long
DBT
CORP
US
N
2
2027-06-09
Fixed
4.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TH1
321325000.00000000
PA
USD
307367445.31000000
1.886463618072
Long
DBT
UST
US
N
2
2042-05-15
Fixed
3.25000000
N
N
N
N
N
N
Imperial Fund LLC
N/A
Imperial Fund Mortgage Trust 2021-NQM2
452761AA7
13581798.97000000
PA
USD
11358780.37000000
0.069714363835
Long
ABS-MBS
CORP
US
N
2
2056-09-25
Variable
1.07300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VV31
16466873.49000000
PA
USD
16339167.45000000
0.100281423469
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AF69
1066627.16000000
PA
USD
1129861.04000000
0.006934507144
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
31412SER2
8786.62000000
PA
USD
9147.76000000
0.000056144255
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
2806000.00000000
PA
USD
2564939.35000000
0.015742281234
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418SQ77
853093.36000000
PA
USD
890450.18000000
0.005465126167
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2022-A
63942MAA8
35119963.98000000
PA
USD
32005213.01000000
0.196431570269
Long
ABS-O
CORP
US
N
2
2070-07-15
Fixed
2.23000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283GT98
226.35000000
PA
USD
228.80000000
0.000001404256
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
7.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBK4
2658000.00000000
PA
USD
2548357.50000000
0.015640510349
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBR67
8119517.67000000
PA
USD
7589185.93000000
0.046578527967
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZR8
19610000.00000000
PA
USD
18549981.45000000
0.113850265066
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.61500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-5
89169EAA7
3014026.28000000
PA
USD
2988286.50000000
0.018340568751
Long
ABS-MBS
CORP
US
N
2
2057-02-25
Floating
3.04371000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BBT1
18750063.82000000
PA
USD
18766610.38000000
0.115179822250
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
31402RAC3
66123.00000000
PA
USD
68980.38000000
0.000423366167
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413HK56
6983.63000000
PA
USD
7270.67000000
0.000044623640
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
3138MFSZ1
1096404.35000000
PA
USD
1043565.94000000
0.006404872112
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
31403DWK1
5444.37000000
PA
USD
5865.70000000
0.000036000655
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224YZJ1
62.81000000
PA
USD
62.85000000
0.000000385741
Long
ABS-MBS
USGA
US
N
2
2023-01-15
Fixed
8.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WX37
8429.20000000
PA
USD
8775.65000000
0.000053860435
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RXF1
1866115.82000000
PA
USD
1927990.32000000
0.011833015012
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDB4
180530000.00000000
PA
USD
170064901.56000000
1.043771077254
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.62500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DPM5
32451.35000000
PA
USD
33905.49000000
0.000208094495
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAX6
4632000.00000000
PA
USD
4314545.88000000
0.026480468102
Long
DBT
CORP
N/A
N
2
2027-05-01
Fixed
3.15000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV2
92537HAC5
4880309.97000000
PA
USD
4853043.19000000
0.029785488198
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.21900000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACQ6
3680000.00000000
PA
USD
3065870.56000000
0.018816739890
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.70000000
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABN6
11183000.00000000
PA
USD
10165615.39000000
0.062391329599
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
1.80000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9DE2
16605836.02000000
PA
USD
15795591.78000000
0.096945235006
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2020-INV1
36258KAS7
18293258.89000000
PA
USD
16203821.15000000
0.099450737349
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
2.94211000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J95S6
5471468.40000000
PA
USD
5313047.72000000
0.032608759898
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2QW5
1517098.61000000
PA
USD
1588138.30000000
0.009747177748
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7VE6
2930817.54000000
PA
USD
3057225.99000000
0.018763683956
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404KHA3
25452.45000000
PA
USD
26177.41000000
0.000160663506
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31356FK83
1072.52000000
PA
USD
1073.15000000
0.000006586443
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
7.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAM5
13657000.00000000
PA
USD
13810641.25000000
0.084762627460
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAB7
1477000.00000000
PA
USD
1277501.61000000
0.007840649184
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
4.95000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2020-555
17328EAG3
5500000.00000000
PA
USD
4404950.00000000
0.027035322189
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
31405ULZ0
19781.96000000
PA
USD
21054.74000000
0.000129223187
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
3138ABBZ1
67704.92000000
PA
USD
69097.82000000
0.000424086953
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO XXVI Ltd
87190GAC5
14640000.00000000
PA
USD
14386780.70000000
0.088298675692
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
3.78986000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
5554.00000000
NC
USD
-1364611.57000000
-0.00837528540
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-12-20
696655986.57000000
USD
-1364611.57000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193VG22
851805.95000000
PA
USD
805926.24000000
0.004946361606
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.00000000
N
N
N
N
N
N
CHURCHILL DOWNS INC
529900FODTBQC8MIS994
Churchill Downs Inc
17148PAF8
19362863.46500000
PA
USD
18975606.20000000
0.116462531323
Long
LON
CORP
US
N
2
2028-03-17
Floating
4.53000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413MB63
8058.83000000
PA
USD
8390.06000000
0.000051493881
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
31402Q6T3
812371.72000000
PA
USD
847564.73000000
0.005201917286
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403C5F4
53150.21000000
PA
USD
56285.61000000
0.000345452184
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 II Pool
36179UXH0
178543.58000000
PA
USD
166940.12000000
0.001024592771
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGE83
6030600.27000000
PA
USD
6155028.62000000
0.037776406503
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
36179Q3H2
2214319.89000000
PA
USD
2114041.89000000
0.012974904055
Long
ABS-MBS
USGA
US
N
2
2045-02-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MKV3
151240.90000000
PA
USD
160340.62000000
0.000984088428
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
31413HLH9
17572.28000000
PA
USD
18390.91000000
0.000112873966
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
3138ENXG9
1212797.00000000
PA
USD
1265826.76000000
0.007768994947
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA2
35564KRF8
46570000.00000000
PA
USD
45410625.88000000
0.278707113923
Long
ABS-MBS
CORP
US
N
2
2042-02-25
Floating
4.58319000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409ADV8
42056.04000000
PA
USD
45309.85000000
0.000278088603
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DGZ6
23391.87000000
PA
USD
24798.10000000
0.000152198009
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201FRH2
1667.76000000
PA
USD
1669.81000000
0.000010248436
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
8.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAE5
15280000.00000000
PA
USD
14401409.17000000
0.088388457732
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
3.68800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415VZ57
12258.11000000
PA
USD
12257.61000000
0.000075230918
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QJPK6
120595.27000000
PA
USD
120168.07000000
0.000737529935
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Floating
2.27500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FQ82
2559525.36000000
PA
USD
2671767.76000000
0.016397939183
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGYQ6
10381626.81000000
PA
USD
8956527.30000000
0.054970567487
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A4X75
3600.53000000
PA
USD
3686.69000000
0.000022627010
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
31413CBE8
12859.16000000
PA
USD
13387.69000000
0.000082166769
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17327CAQ6
20440000.00000000
PA
USD
17299148.72000000
0.106173295779
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
3.05700000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
13924000.00000000
PA
USD
12272209.80000000
0.075320524845
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
4390000.00000000
PA
USD
3533611.97000000
0.021687496589
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RXE4
179596.15000000
PA
USD
179149.55000000
0.001099527986
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
4.00000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AU2
3530000.00000000
PA
USD
3237910.15000000
0.019872630591
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJCR9
106745.68000000
PA
USD
111523.82000000
0.000684475965
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DGY9
493007.04000000
PA
USD
514414.93000000
0.003157214808
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.00000000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAD7
13836000.00000000
PA
USD
14181900.00000000
0.087041223113
Long
DBT
CORP
US
N
2
2024-06-30
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4QG1
503372.78000000
PA
USD
532750.81000000
0.003269751028
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
54930027GONY06ZX8P67
SMB Private Education Loan Trust 2016-C
78449KAB6
5843620.68000000
PA
USD
5631231.95000000
0.034561611389
Long
ABS-O
CORP
US
N
2
2034-09-15
Fixed
2.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CJA3
5770941.03000000
PA
USD
5439156.07000000
0.033382748224
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BJ4
3540000.00000000
PA
USD
3176916.36000000
0.019498282014
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
2.95000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2022-1
92538WAA5
6101716.19000000
PA
USD
5650092.78000000
0.034677369483
Long
ABS-MBS
CORP
US
N
2
2067-01-25
Variable
2.72400000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBT1
34640000.00000000
PA
USD
33339683.68000000
0.204621866303
Long
DBT
CORP
US
N
2
2032-08-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DUL1
389325.22000000
PA
USD
412731.21000000
0.002533132326
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DSH3
5543.93000000
PA
USD
5803.48000000
0.000035618781
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2022-INV1
17290FBL2
8119706.20000000
PA
USD
7085741.59000000
0.043488645009
Long
ABS-MBS
CORP
US
N
2
2051-11-27
Variable
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XBY5
377602.34000000
PA
USD
385351.87000000
0.002365091990
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK8
06650AAH0
2705000.00000000
PA
USD
2522125.77000000
0.015479513455
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
3.73100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WWU8
49695.79000000
PA
USD
51738.35000000
0.000317543436
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BS8
36236000.00000000
PA
USD
34177940.14000000
0.209766654206
Long
DBT
CORP
GB
N
2
2031-04-01
Fixed
4.64400000
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BB7
15868000.00000000
PA
USD
15092340.42000000
0.092629039113
Long
DBT
CORP
US
N
2
2026-09-26
Fixed
3.20000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJNB0
5768911.71000000
PA
USD
5445807.31000000
0.033423570121
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312933NW0
1346980.94000000
PA
USD
1369235.97000000
0.008403667601
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MY4
10298000.00000000
PA
USD
8484892.93000000
0.052075917797
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
2.56100000
N
N
N
N
N
N
TRANSURBAN FINANCE CO
54930081LPJMUMEA6E57
Transurban Finance Co Pty Ltd
89400PAG8
10230000.00000000
PA
USD
9654562.50000000
0.059254749266
Long
DBT
CORP
AU
N
2
2027-03-22
Fixed
3.37500000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QGG0
2390298.73000000
PA
USD
2559782.48000000
0.015710631013
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
5.50000000
N
N
N
N
N
N
APPLIED SYSTEMS INC
549300NSKGF0SY5SWQ62
Applied Systems Inc
03827FAX9
12550000.00000000
PA
USD
12430775.00000000
0.076293716656
Long
LON
CORP
US
N
2
2024-09-19
Floating
5.25043000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K7MM7
57501.27000000
PA
USD
59871.77000000
0.000367462194
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CD4
12175000.00000000
PA
USD
10010491.98000000
0.061439261728
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617A9KW6
1904410.72000000
PA
USD
1846976.91000000
0.011335796283
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
31417YW45
15563.30000000
PA
USD
15883.75000000
0.000097486304
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
WESTLAKE CORP
GOXNEVUM0LL78B1OS344
Westlake Corp
000000000
11421000.00000000
PA
9174107.66000000
0.056305964060
Long
DBT
CORP
US
N
2
2029-07-17
Fixed
1.62500000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP3 Trust
67113AAP5
2762473.86000000
PA
USD
2623664.80000000
0.016102707904
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JF5
10318000.00000000
PA
USD
8725623.06000000
0.053553395777
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
FWD Securitization Trust
N/A
FWD Securitization Trust 2020-INV1
302985AC0
1416564.97000000
PA
USD
1347492.55000000
0.008270217649
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Variable
2.44000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617B5DY7
2945225.47000000
PA
USD
2857574.21000000
0.017538323805
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7ZN9
397708.44000000
PA
USD
406221.19000000
0.002493177164
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-INV1
46591VBC2
2758230.53000000
PA
USD
2636151.52000000
0.016179344982
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
3.08900000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AP3
4085000.00000000
PA
USD
4000264.85000000
0.024551572449
Long
DBT
CORP
CH
N
2
2028-05-12
Fixed
4.75100000
N
N
N
N
N
N
AUSGRID FINANCE PTY LTD
549300DN8D7YR73BKB57
Ausgrid Finance Pty Ltd
052113AA5
14852000.00000000
PA
USD
14794552.46000000
0.090801369459
Long
DBT
CORP
AU
N
2
2023-05-01
Fixed
3.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312944LP4
902353.61000000
PA
USD
899635.65000000
0.005521501867
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
36179SEH6
3117566.22000000
PA
USD
3047064.67000000
0.018701318989
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36241KYG7
1734648.79000000
PA
USD
1893073.07000000
0.011618710853
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
31374TFV6
1245.89000000
PA
USD
1297.10000000
0.000007960934
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
6.50000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAG7
19620000.00000000
PA
USD
19247023.80000000
0.118128353242
Long
DBT
CORP
US
N
2
2028-06-06
Fixed
4.12300000
N
N
N
N
N
N
UKG INC
529900FKHWSTQ1GXK240
UKG Inc
000000000
3930000.00000000
PA
USD
3818859.60000000
0.023438200134
Long
LON
CORP
US
N
2
2027-05-03
Floating
7.53514000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CJ6
10263000.00000000
PA
USD
9058873.00000000
0.055598712863
Long
DBT
CORP
US
N
2
2030-05-20
Fixed
2.82300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M74T0
1113733.70000000
PA
USD
1200786.81000000
0.007369813116
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LQPW4
984634.22000000
PA
USD
932059.66000000
0.005720503798
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
2.50000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAW1
3955000.00000000
PA
USD
3150675.61000000
0.019337229759
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERNR7
11134909.73000000
PA
USD
10688934.77000000
0.065603195352
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
EUR/USD FORWARD
000000000
1.00000000
NC
USD
262039.00000000
0.001608260886
N/A
DFE
CORP
US
N
2
STATE STREET GLOBAL MARKETS, LLC
549300FDEDF5ORXCMQ56
-11791571.17000000
EUR
12180810.93000000
USD
2022-11-25
262039.00000000
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AV8
14711000.00000000
PA
USD
15161156.60000000
0.093051397505
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409TS58
7692.91000000
PA
USD
8009.10000000
0.000049155745
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AMYW0
2715332.56000000
PA
USD
2429125.38000000
0.014908724795
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7CW4
1166467.33000000
PA
USD
1237793.94000000
0.007596943886
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
BXSC Commercial Mortgage Trust
N/A
BXSC Commercial Mortgage Trust 2022-WSS
05610BAJ5
5815000.00000000
PA
USD
5611489.54000000
0.034440442610
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
4.69900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FE77
525336.21000000
PA
USD
550294.23000000
0.003377423536
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A6LY4
2363672.55000000
PA
USD
2412258.81000000
0.014805206445
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
31245000.00000000
PA
USD
27917407.50000000
0.171342718180
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KVH1
3322.98000000
PA
USD
3637.77000000
0.000022326765
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2017-C39
95000XAK3
5750000.00000000
PA
USD
5389240.40000000
0.033076391461
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
4.02500000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2013-375P
17320QAL3
14725000.00000000
PA
USD
13636386.64000000
0.083693142103
Long
ABS-MBS
CORP
US
N
2
2035-05-10
Variable
3.63483000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412SEE1
35743.15000000
PA
USD
37819.29000000
0.000232115390
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AE7
10677000.00000000
PA
USD
9584508.01000000
0.058824790763
Long
DBT
CORP
US
N
2
2026-08-18
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMTP9
51570682.95000000
PA
USD
44458082.72000000
0.272860892915
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LPMP4
21078604.64000000
PA
USD
18859683.33000000
0.115751056246
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBM1
11713000.00000000
PA
USD
10935151.38000000
0.067114346529
Long
DBT
CORP
GB
N
2
2048-05-30
Fixed
5.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380UPK3
1902773.55000000
PA
USD
1836696.88000000
0.011272702735
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAG0
16295000.00000000
PA
USD
15336875.18000000
0.094129867959
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
4.03700000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGJ7
10940000.00000000
PA
USD
9196185.88000000
0.056441468842
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AH8
4455000.00000000
PA
USD
4482843.75000000
0.027513394046
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417WUE9
5989086.97000000
PA
USD
6112119.83000000
0.037513054373
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132CWG73
3574665.85000000
PA
USD
3471466.75000000
0.021306081125
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402Q6Z9
448210.18000000
PA
USD
473816.71000000
0.002908043772
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DP79
1268520.99000000
PA
USD
1341387.35000000
0.008232747065
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WQB7
13996811.35000000
PA
USD
13155936.39000000
0.080744385067
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296QR44
43368.21000000
PA
USD
44538.30000000
0.000273353225
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
Planet Fitness Master Issuer L
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAB9
24827687.50000000
PA
USD
23928503.14000000
0.146860870587
Long
ABS-O
CORP
US
N
2
2048-09-05
Fixed
4.66600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411ADF9
17411.77000000
PA
USD
18365.79000000
0.000112719792
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
31418EDF4
9272773.99000000
PA
USD
8339261.11000000
0.051182104434
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413QM70
44069.71000000
PA
USD
45881.03000000
0.000281594212
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
36202EAL3
12363.74000000
PA
USD
13330.32000000
0.000081814662
Long
ABS-MBS
USGA
US
N
2
2034-09-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GGR8
19186.37000000
PA
USD
20671.17000000
0.000126869031
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409BDN4
2251.24000000
PA
USD
2425.48000000
0.000014886351
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
3138WKHN8
713138.71000000
PA
USD
672050.62000000
0.004124701764
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
521160.12000000
PA
USD
505473.71000000
0.003102338189
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAN5
4365000.00000000
PA
USD
4477586.45000000
0.027481127437
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
6.50000000
N
N
N
N
N
N
XCEL ENERGY INC
LGJNMI9GH8XIDG5RCM61
Xcel Energy Inc
98388MAD9
6250000.00000000
PA
USD
6181250.00000000
0.037937339874
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
4.60000000
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2021-3
31573JAA8
11678645.01000000
PA
USD
9987078.53000000
0.061295561989
Long
ABS-MBS
CORP
US
N
2
2066-09-25
Variable
1.24100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36192XPK9
1919000.28000000
PA
USD
1859932.86000000
0.011415313254
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
Cedar Funding Ltd
N/A
Cedar Funding XIV CLO Ltd
15034AAA3
9385000.00000000
PA
USD
9229960.93000000
0.056648762763
Long
ABS-CBDO
CORP
KY
N
2
2033-07-15
Floating
3.61200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403C6U0
1010780.08000000
PA
USD
1071536.56000000
0.006576541422
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
3138ENW39
1178463.38000000
PA
USD
1269700.19000000
0.007792768072
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
6.00000000
N
N
N
N
N
N
New Economy Assets Phase 1 Iss
N/A
New Economy Assets Phase 1 Sponsor LLC
643821AA9
6039764.00000000
PA
USD
5240462.24000000
0.032163267478
Long
ABS-O
CORP
US
N
2
2061-10-20
Fixed
1.91000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VHG8
3764427.56000000
PA
USD
3519520.00000000
0.021601007310
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
3.00000000
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
Gray Oak Pipeline LLC
38937LAB7
2741000.00000000
PA
USD
2490140.94000000
0.015283206985
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
3.45000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS GOVERNMENT OF MEXICO
000000000
1.00000000
NC
USD
-5199018.64000000
-0.03190890793
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
MEXICO GOVERNMENT INTERNATIONAL BOND
MEXICO GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2027-06-21
0.00000000
USD
-818625.78000000
USD
209445000.00000000
USD
-4380392.86000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AFV5
3688972.92000000
PA
USD
3767275.02000000
0.023121600458
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAB5
9480000.00000000
PA
USD
9219347.40000000
0.056583622364
Long
DBT
CORP
GB
N
2
2029-04-27
Fixed
4.05000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2018-2
36418GAJ3
2423747.35000000
PA
USD
2351331.11000000
0.014431263495
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.00000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAG6
4940000.00000000
PA
USD
4719038.74000000
0.028963037664
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MSY7
240751.46000000
PA
USD
241872.80000000
0.001484491101
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
4.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBX6
18145000.00000000
PA
USD
16543994.07000000
0.101538544133
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAD4
44076000.00000000
PA
USD
42423150.00000000
0.260371520342
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
Dryden Senior Loan Fund
25490017VKY7XEFZL303
Dryden 86 CLO Ltd
26245XAL1
21235000.00000000
PA
USD
20740330.25000000
0.127293501769
Long
ABS-CBDO
CORP
KY
N
2
2034-07-17
Floating
3.84029000
N
N
N
N
N
N
Morgan Stanley Eaton Vance CLO
549300IR0OSEGDTMK223
Morgan Stanley Eaton Vance Clo 2021-1 Ltd
61773KAC6
14730000.00000000
PA
USD
14095497.30000000
0.086510927688
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
4.43300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335ABF4
17689680.01000000
PA
USD
17234509.51000000
0.105776573485
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292SAV2
22773312.77000000
PA
USD
22186801.13000000
0.136171197606
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBE5
19897000.00000000
PA
USD
17255832.43000000
0.105907442624
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.73900000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAJ2
3745000.00000000
PA
USD
3329402.37000000
0.020434162878
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411VFV6
97981.71000000
PA
USD
101107.01000000
0.000620542932
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
7.00000000
N
N
N
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AD0
9720000.00000000
PA
USD
9779700.24000000
0.060022780486
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
4.95000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FP67
335568.94000000
PA
USD
337619.18000000
0.002072133238
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
4.00000000
N
N
N
N
N
N
Aventura Mall Trust
N/A
Aventura Mall Trust
05359AAA1
39170000.00000000
PA
USD
37066520.08000000
0.227495275268
Long
ABS-MBS
CORP
US
N
2
2040-07-05
Variable
4.24939700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RSN0
733136.75000000
PA
USD
765097.80000000
0.004695777597
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208HQX7
10381.66000000
PA
USD
10396.73000000
0.000063809792
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36209W2W1
12067.23000000
PA
USD
12084.22000000
0.000074166739
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
7.50000000
N
N
N
N
N
N
UNITED AIR 2019-2 A PTT
N/A
United Airlines 2019-2 Class A Pass Through Trust
90932MAA3
7288327.24000000
PA
USD
6055834.66000000
0.037167604889
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
2.90000000
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
17577137.61000000
0.107879448904
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
3138WH6D9
16848808.44000000
PA
USD
15920165.30000000
0.097709803332
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
31410YWF7
37509.91000000
PA
USD
39051.61000000
0.000239678738
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TJF5
866819.36000000
PA
USD
898876.79000000
0.005516844374
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Loan Trust 2017-A
63939XAD3
8525000.00000000
PA
USD
8015520.43000000
0.049195150305
Long
ABS-O
CORP
US
N
2
2058-12-16
Fixed
3.91000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BN1
6720000.00000000
PA
USD
5712692.16000000
0.035061572347
Long
DBT
CORP
US
N
2
2027-11-24
Fixed
1.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2MV1
3203911.53000000
PA
USD
3354067.94000000
0.020585547486
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
5.00000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBK5
27950000.00000000
PA
USD
27529548.15000000
0.168962236565
Long
DBT
CORP
GB
N
2
2028-05-30
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312938BW2
883528.58000000
PA
USD
902547.35000000
0.005539372387
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DD97
1278858.43000000
PA
USD
1355719.54000000
0.008320710691
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
31410FY90
2843.15000000
PA
USD
3014.09000000
0.000018498937
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
3138EPW42
1734433.11000000
PA
USD
1868146.20000000
0.011465722519
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413LAZ2
6313.27000000
PA
USD
6572.75000000
0.000040340165
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CEY3
711855000.00000000
PA
USD
702400675.78000000
4.310974829595
Long
DBT
UST
US
N
2
2025-07-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NZW3
50244.73000000
PA
USD
51145.79000000
0.000313906607
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
3140J9VB4
16300752.69000000
PA
USD
15946393.24000000
0.097870776966
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AL3
23704816.46000000
PA
USD
23112200.79000000
0.141850825743
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
4.04100000
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAL7
4690000.00000000
PA
USD
4590337.50000000
0.028173135511
Long
DBT
CORP
NL
N
2
2030-09-01
Fixed
5.87500000
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DY8
14410000.00000000
PA
USD
15652862.50000000
0.096069235943
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DBY4
358929.07000000
PA
USD
374556.45000000
0.002298835243
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414ALP5
75122.19000000
PA
USD
78209.80000000
0.000480011609
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
3140E0E35
8257729.76000000
PA
USD
7983316.48000000
0.048997498989
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAL8
10305000.00000000
PA
USD
10341531.23000000
0.063471010734
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.05000000
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
34746919.00000000
0.213258754412
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
3.24200000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2021-INV2
64831GAB1
15482312.00000000
PA
USD
13129728.24000000
0.080583532894
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
2.50000000
N
N
N
N
N
N
MILEAGE PLUS HOLDINGS IN
N/A
Mileage Plus Holdings LLC
59921PAB2
5645000.00000000
PA
USD
5725271.90000000
0.035138780335
Long
LON
CORP
US
N
2
2027-06-20
Floating
7.31343000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEC2
364529.18000000
PA
USD
378976.91000000
0.002325965757
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
5.50000000
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
19686182.56743900
NS
USD
183672083.35000000
1.127284974978
Long
EC
RF
US
N
1
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLV5
2401100.09000000
PA
USD
2470903.60000000
0.015165138066
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ACFU9
6228365.43000000
PA
USD
6026184.40000000
0.036985626812
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAF4
22095000.00000000
PA
USD
14549712.17000000
0.089298665427
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGH56
33163.19000000
PA
USD
34454.64000000
0.000211464895
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.00000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CL1
25674000.00000000
PA
USD
20978379.44000000
0.128754525515
Long
DBT
CORP
US
N
2
2031-02-11
Fixed
1.95700000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA5
35564KYN3
29088226.48000000
PA
USD
29794442.08000000
0.182862993014
Long
ABS-MBS
CORP
US
N
2
2042-06-25
Floating
5.13319000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2019-3
78432BAA7
956973.57000000
PA
USD
932510.74000000
0.005723272296
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.70300000
N
N
N
N
N
N
LUXE Commercial Mortgage Trust
N/A
LUXE Trust 2021-TRIP
55066WAC8
10460000.00000000
PA
USD
10093087.26000000
0.061946189163
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
3.79100000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAN0
3675000.00000000
PA
USD
3528106.58000000
0.021653707331
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.20000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGKP2
4071089.80000000
PA
USD
3916131.83000000
0.024035207155
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312943UJ0
592312.39000000
PA
USD
591956.26000000
0.003633123692
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 II Pool
36189MBR8
2797022.81000000
PA
USD
2712882.38000000
0.016650279618
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
3138X3XX5
8690693.09000000
PA
USD
8653283.57000000
0.053109413116
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDS7
186135000.00000000
PA
USD
176159327.34000000
1.081175534630
Long
DBT
UST
US
N
2
2025-01-15
Fixed
1.12500000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AK4
13590000.00000000
PA
USD
10929444.93000000
0.067079323268
Long
DBT
CORP
CH
N
2
2033-02-11
Fixed
2.74600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312942WL5
75698.63000000
PA
USD
75835.34000000
0.000465438393
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 Year US Treasury Note
000000000
-2301.00000000
NC
USD
691568.31000000
0.004244491328
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-12-30
-480054586.24000000
USD
691568.31000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFU8
18903000.00000000
PA
USD
18824420.23000000
0.115534629438
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
4.45000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2018-2
36418GAN4
1192169.40000000
PA
USD
1158721.90000000
0.007111640289
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.50000000
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
Aker BP ASA
00973RAG8
7042000.00000000
PA
USD
6572552.11000000
0.040338951384
Long
DBT
CORP
NO
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030690
37710000.00000000
PA
USD
35392897.36000000
0.217223438027
Long
ABS-MBS
USGA
US
N
2
2052-09-15
Fixed
3.00000000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BH1
8243000.00000000
PA
USD
7083564.35000000
0.043475282227
Long
DBT
CORP
US
N
2
2038-02-01
Fixed
3.80000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC21 Mortgage Trust
12593FBF0
21415000.00000000
PA
USD
20729822.79000000
0.127229012373
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Variable
4.04300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410TAK1
3826.84000000
PA
USD
3984.13000000
0.000024452545
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAP8
8447000.00000000
PA
USD
8003532.50000000
0.049121574544
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410S4H7
3129.22000000
PA
USD
3262.92000000
0.000020026128
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
3138EQCM2
893856.59000000
PA
USD
932938.59000000
0.005725898219
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410XBC9
10231.35000000
PA
USD
10666.99000000
0.000065468509
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
TJX COS INC
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540AW9
9297000.00000000
PA
USD
7465128.42000000
0.045817126645
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
1.60000000
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBU9
41300000.00000000
PA
USD
32541591.60000000
0.199723586750
Long
DBT
CORP
US
N
2
2031-11-19
Fixed
1.76400000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBD0
27641000.00000000
PA
USD
26826281.53000000
0.164645947014
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413NJQ9
26098.15000000
PA
USD
27170.82000000
0.000166760547
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.50000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
549300FU8TZDHFLQZL50
CSAIL 2016-C5 Commercial Mortgage Trust
12636LBC3
5000000.00000000
PA
USD
4790413.50000000
0.029401099306
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Fixed
4.01010000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDC4
155759028.14000000
PA
USD
134081681.28000000
0.822924540136
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412NBD7
561102.03000000
PA
USD
604569.81000000
0.003710539188
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
31406CLH9
302762.87000000
PA
USD
313371.63000000
0.001923314221
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB89
6672623.85000000
PA
USD
6526754.42000000
0.040057868669
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCW4
20020000.00000000
PA
USD
18492694.22000000
0.113498665452
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2021-3
80287EAF2
29300000.00000000
PA
USD
27727808.88000000
0.170179059165
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
1.33000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411GMK5
20469.27000000
PA
USD
21310.58000000
0.000130793402
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
31417SBL3
474665.54000000
PA
USD
483229.73000000
0.002965816057
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H3PR8
4780542.48000000
PA
USD
4646212.44000000
0.028516067214
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBZ2
20625000.00000000
PA
USD
17143891.88000000
0.105220408983
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.44000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419DL74
11564645.85000000
PA
USD
11772405.18000000
0.072252980620
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
3140F5C35
7003698.79000000
PA
USD
6614917.24000000
0.040598966807
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AX4
4495000.00000000
PA
USD
4298343.75000000
0.026381027744
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RVB2
5797502.06000000
PA
USD
5657077.23000000
0.034720236452
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128NGEY7
52510.30000000
PA
USD
54407.66000000
0.000333926291
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Floating
3.09900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDH3
7487141.62000000
PA
USD
6444416.54000000
0.039552521023
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERTV2
12837341.15000000
PA
USD
12141943.54000000
0.074521017402
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D6B41
2645112.42000000
PA
USD
2503899.36000000
0.015367649105
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R03
20754AAB9
11825000.00000000
PA
USD
11113075.88000000
0.068206355788
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
3.83319000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6C47
3350072.16000000
PA
USD
3209719.21000000
0.019699609071
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-4
92537KAA2
2743754.38000000
PA
USD
2694253.48000000
0.016535944991
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.64200000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
85325WAA6
16707000.00000000
PA
USD
15720886.03000000
0.096486729456
Long
DBT
CORP
GB
N
2
2026-01-30
Fixed
2.81900000
N
N
N
N
N
N
Wellfleet CLO Ltd
254900E0WT1R93N8OQ24
Wellfleet CLO 2021-3 Ltd
94951JAC4
8845000.00000000
PA
USD
8474544.42000000
0.052012403954
Long
ABS-CBDO
CORP
KY
N
2
2035-01-15
Floating
4.31200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ABBY4
8642.84000000
PA
USD
8875.30000000
0.000054472036
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
31418MGP1
680543.69000000
PA
USD
733256.41000000
0.004500351489
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040693
11615000.00000000
PA
USD
11336421.43000000
0.069577136138
Long
ABS-MBS
USGSE
US
N
2
2051-09-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SGL5
1320801.44000000
PA
USD
1291677.95000000
0.007927656282
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
31402DCV0
150013.13000000
PA
USD
156418.48000000
0.000960016345
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193UCX0
1702742.32000000
PA
USD
1651899.15000000
0.010138509119
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
31413NMA0
1725.02000000
PA
USD
1795.92000000
0.000011022435
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
31410PAV5
26512.49000000
PA
USD
27700.15000000
0.000170009303
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XMZ4
24892525.96000000
PA
USD
24745650.10000000
0.151876099214
Long
ABS-MBS
CORP
US
N
2
2029-11-25
Floating
3.54371000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AJ5
6817000.00000000
PA
USD
6914483.10000000
0.042437548299
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9ZN5
852446.88000000
PA
USD
864897.01000000
0.005308293925
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CB4
2141000.00000000
PA
USD
2038527.46000000
0.012511435242
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAP3
23114000.00000000
PA
USD
17508855.00000000
0.107460365291
Long
DBT
CORP
NL
N
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
SMRT
N/A
SMRT 2022-MINI
78457JAJ1
20450000.00000000
PA
USD
19580932.26000000
0.120177711986
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
3.85800000
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
11192002.63000000
0.068690767669
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
4.94980000
N
N
N
N
N
N
MEDLINE BORROWER LP
254900QT3R363TVK6F09
Medline Borrower LP
58503UAC7
12294187.50000000
PA
USD
11708000.64000000
0.071857698610
Long
LON
CORP
US
N
2
2028-10-21
Floating
5.77386000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208EXF5
40255.51000000
PA
USD
41517.15000000
0.000254810957
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042695
43670000.00000000
PA
USD
43676823.44000000
0.268065924448
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NH99
27109.40000000
PA
USD
28223.63000000
0.000173222154
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HXN9
2549.47000000
PA
USD
2653.34000000
0.000016284839
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8ZH9
6918273.16000000
PA
USD
7030462.51000000
0.043149370389
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
31409HDV3
15821.39000000
PA
USD
16976.24000000
0.000104191447
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-INV2 Trust
67112VBB0
1146316.17000000
PA
USD
1103905.80000000
0.006775207203
Long
ABS-MBS
CORP
US
N
2
2049-05-27
Variable
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36195KHB3
1103950.08000000
PA
USD
1043311.39000000
0.006403309815
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
ENTEGRIS INC
IYX6OWO7BT5DKO3BYG52
Entegris Inc
29362LAL8
9080000.00000000
PA
USD
9050853.20000000
0.055549491446
Long
LON
CORP
US
N
2
2029-07-06
Floating
5.59685000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312945DS4
2147470.71000000
PA
USD
2151354.65000000
0.013203910624
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
SMB Private Education Loan Tru
5493008SQ2WS8HE83M61
SMB Private Education Loan Trust 2016-B
78449GAB5
7098419.06000000
PA
USD
6890487.91000000
0.042290278138
Long
ABS-O
CORP
US
N
2
2032-02-17
Fixed
2.43000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050698
86225000.00000000
PA
USD
87363439.88000000
0.536191953305
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPY99
796049.88000000
PA
USD
830514.13000000
0.005097269455
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
3138WMW49
1751187.03000000
PA
USD
1704474.05000000
0.010461186870
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KT87
82677.57000000
PA
USD
89076.50000000
0.000546705837
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GK2F2
2389412.24000000
PA
USD
2382216.98000000
0.014620825112
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAL4
18025000.00000000
PA
USD
17213869.59000000
0.105649896250
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
4.32400000
N
N
N
N
N
N
HUB INTERNATIONAL LTD
549300JQT6ATTUNS5E06
HUB International Ltd
44332EAU0
17888009.08680000
PA
USD
17595540.14000000
0.107992394187
Long
LON
CORP
US
N
2
2025-04-25
Floating
5.98120352
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6FL0
26310344.66000000
PA
USD
24647035.98000000
0.151270856361
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NDV7
2522526.89000000
PA
USD
2701223.75000000
0.016578724931
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
5.50000000
N
N
N
N
N
N
CELULOSA ARAUCO CONSTITU
549300QEKV8G0AMNQD28
Celulosa Arauco y Constitucion SA
151191BB8
20227000.00000000
PA
USD
18674375.48000000
0.114613731775
Long
DBT
CORP
CL
N
2
2027-11-02
Fixed
3.87500000
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2019-JWDR
95002NAA5
26355000.00000000
PA
USD
23690960.17000000
0.145402953760
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Variable
2.58387000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
000000000
13335000.00000000
PA
13147863.20000000
0.080694835971
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHFB3
1634295.86000000
PA
USD
1635736.88000000
0.010039313401
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
4070000.00000000
PA
USD
3288812.34000000
0.020185042107
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
5493007CD1Q2V06I4172
Wells Fargo Commercial Mortgage Trust 2014-LC18
94989AAW5
5860000.00000000
PA
USD
5627464.65000000
0.034538489635
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.80800000
N
N
N
N
N
N
UFC HOLDINGS LLC
549300JEOTH7UMZ3C491
UFC Holdings LLC
90266UAJ2
8172761.54920000
PA
USD
7927578.70000000
0.048655409104
Long
LON
CORP
US
N
2
2026-04-29
Floating
5.52000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXY6
4980561.05000000
PA
USD
5241173.39000000
0.032167632152
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
5.50000000
N
N
N
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO 2022-1 Ltd
69689QAA3
40630000.00000000
PA
USD
39535576.10000000
0.242649073837
Long
ABS-CBDO
CORP
KY
N
2
2035-04-20
Floating
1.78639000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335GEJ0
186.02000000
PA
USD
193.83000000
0.000001189629
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
3138EPXJ8
6374511.40000000
PA
USD
6234171.75000000
0.038262146413
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJQC5
13728737.33000000
PA
USD
13178858.70000000
0.080885070441
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
Slide 2018-Fun
N/A
SLIDE 2018-FUN
831350AG8
8866935.62000000
PA
USD
8756101.58000000
0.053740457289
Long
ABS-MBS
CORP
US
N
2
2031-06-15
Floating
3.89100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLZX8
38003582.87000000
PA
USD
32766535.62000000
0.201104177688
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KC93
364726.21000000
PA
USD
392952.68000000
0.002411741860
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179M2Q2
9211240.94000000
PA
USD
9041176.56000000
0.055490101197
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
3.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-INV3
92537MAE0
5937379.34000000
PA
USD
5735946.62000000
0.035204296287
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.10000000
N
N
N
N
N
N
Planet Fitness Master Issuer L
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAD5
21920062.50000000
PA
USD
19689411.18000000
0.120843499918
Long
ABS-O
CORP
US
N
2
2051-12-05
Fixed
3.25100000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AU2
10031000.00000000
PA
USD
7604601.41000000
0.046673140271
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09100000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2021-INV1
64829WAF1
15977533.68000000
PA
USD
14392466.47000000
0.088333572030
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9SN2
1806305.82000000
PA
USD
1695495.55000000
0.010406081445
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QL6V3
72163450.90000000
PA
USD
64516455.98000000
0.395968892705
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A7QM3
2880812.72000000
PA
USD
2883369.41000000
0.017696641503
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
DELTA 2 LUX SARL
549300BBG8Z3D6QSYP53
Delta 2 Lux Sarl
000000000
7925000.00000000
PA
USD
7849078.50000000
0.048173615168
Long
LON
CORP
LU
N
2
2024-02-01
Floating
5.02386000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCXQ4
1095487.08000000
PA
USD
1102185.55000000
0.006764649191
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
4.50000000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAM6
11105000.00000000
PA
USD
11124678.06000000
0.068277564013
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.16500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312940EU9
61111.75000000
PA
USD
63853.16000000
0.000391897922
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
36193EPR5
1744313.24000000
PA
USD
1691963.07000000
0.010384400896
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
31418AAH1
1454138.13000000
PA
USD
1455429.61000000
0.008932679923
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
3138A4AM7
874814.28000000
PA
USD
875592.23000000
0.005373935696
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
31410LHS4
428662.26000000
PA
USD
437469.00000000
0.002684960184
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202BVC6
553.73000000
PA
USD
557.62000000
0.000003422385
Long
ABS-MBS
USGA
US
N
2
2023-12-20
Fixed
7.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAE42
3256559.88000000
PA
USD
3158562.05000000
0.019385632680
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DPZ6
270307.06000000
PA
USD
281988.17000000
0.001730698652
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FDD5
54320.53000000
PA
USD
58134.25000000
0.000356798188
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F050692
81065000.00000000
PA
USD
81805985.17000000
0.502083148747
Long
ABS-MBS
USGSE
US
N
2
2050-09-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2N57
15502.27000000
PA
USD
16664.68000000
0.000102279252
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
5.50000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AY3
11507000.00000000
PA
USD
10990703.92000000
0.067455299507
Long
DBT
CORP
US
N
2
2026-11-19
Fixed
3.55000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194MJQ5
2253696.57000000
PA
USD
2130597.03000000
0.013076511007
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2N3
10950000.00000000
PA
USD
9605241.45000000
0.058952041976
Long
DBT
CORP
FR
N
2
2027-01-13
Fixed
1.32300000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAW5
9075000.00000000
PA
USD
7697968.58000000
0.047246180038
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBX0
3635000.00000000
PA
USD
3199276.19000000
0.019635515174
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DYX4
91180678.37000000
PA
USD
78550810.41000000
0.482104556841
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELN41
4697732.17000000
PA
USD
4592772.53000000
0.028188080475
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNZL9
7929741.33000000
PA
USD
7511324.33000000
0.046100653430
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AM4R4
2610558.97000000
PA
USD
2335392.79000000
0.014333442267
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2019-BWAY Mortgage Trust
05492NAG8
10230000.00000000
PA
USD
9206903.84000000
0.056507250179
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
4.55100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417Y5Z6
390526.38000000
PA
USD
398564.47000000
0.002446184147
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AQ5
17404000.00000000
PA
USD
16394150.30000000
0.100618879982
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.12500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BS2
7698000.00000000
PA
USD
6231954.39000000
0.038248537395
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.12500000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AT7
23575000.00000000
PA
USD
21396033.48000000
0.131317871645
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213EP34
37569.23000000
PA
USD
39204.55000000
0.000240617405
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
6.50000000
N
N
N
N
N
N
HPEFS Equipment Trust
N/A
Hpefs Equipment Trust 2022-2
40441TAE9
4445000.00000000
PA
USD
4373121.24000000
0.026839973596
Long
ABS-O
CORP
US
N
2
2029-09-20
Fixed
4.43000000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-P1
14688DAF8
13955000.00000000
PA
USD
12969855.15000000
0.079602313925
Long
ABS-O
CORP
US
N
2
2028-04-10
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NEW1
525.21000000
PA
USD
565.88000000
0.000003473080
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128CUJX5
8906.99000000
PA
USD
8947.61000000
0.000054915837
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202CRF2
13.05000000
PA
USD
13.03000000
0.000000079971
Long
ABS-MBS
USGA
US
N
2
2026-09-20
Fixed
8.50000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EH6
10490000.00000000
PA
USD
9681661.58000000
0.059421069510
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
3.75000000
N
N
N
N
N
AGL CLO 17 Ltd.
N/A
AGL CLO 17 Ltd
00120DAA4
22400000.00000000
PA
USD
21858962.05000000
0.134159089602
Long
ABS-CBDO
CORP
KY
N
2
2035-01-21
Floating
3.80345000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJF7
73896000.00000000
PA
USD
58574772.84000000
0.359501891256
Long
DBT
CORP
US
N
2
2031-07-23
Fixed
1.89800000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
Equitable Holdings Inc
054561AJ4
36732000.00000000
PA
USD
36069134.33000000
0.221373833459
Long
DBT
CORP
US
N
2
2028-04-20
Fixed
4.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414KE30
79730.22000000
PA
USD
83007.23000000
0.000509455772
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
3138EKF59
2169690.66000000
PA
USD
2214227.75000000
0.013589793441
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.50000000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BP3
5155000.00000000
PA
USD
4807919.01000000
0.029508539142
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FJR8
197369.67000000
PA
USD
206026.72000000
0.001264486260
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
5.00000000
N
N
N
N
N
N
WASTE CONNECTIONS INC
549300HDLRTPBQU69P29
Waste Connections Inc
94106BAF8
9635000.00000000
PA
USD
9251334.30000000
0.056779941538
Long
DBT
CORP
CA
N
2
2033-01-15
Fixed
4.20000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
CarMax Auto Owner Trust 2022-1
14317CAF9
11750000.00000000
PA
USD
10880989.98000000
0.066781931655
Long
ABS-O
CORP
US
N
2
2027-11-15
Fixed
2.20000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
3450000.00000000
PA
USD
2907228.75000000
0.017843077886
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F3D5
39403.38000000
PA
USD
42133.97000000
0.000258596681
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 II Pool
36179RLN7
2426137.93000000
PA
USD
2316153.16000000
0.014215359293
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
3.00000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAX8
5869207.07080000
PA
USD
5366157.33000000
0.032934719425
Long
LON
CORP
US
N
2
2026-12-23
Floating
5.77386000
N
N
N
N
N
N
APA INFRASTRUCTURE LTD
261700SS8OEHDOCOUJ33
APA Infrastructure Ltd
00205GAD9
4605000.00000000
PA
USD
4453081.05000000
0.027330725870
Long
DBT
CORP
AU
N
2
2027-07-15
Fixed
4.25000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAF5
11261000.00000000
PA
USD
10209673.04000000
0.062661732842
Long
DBT
CORP
NL
N
2
2028-04-06
Fixed
3.50000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DF99
4257376.32000000
PA
USD
4052186.75000000
0.024870242422
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAN1
3840000.00000000
PA
USD
3801600.00000000
0.023332269568
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
7.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NGH2
1358.37000000
PA
USD
1463.54000000
0.000008982457
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TB4
141958700.00000000
PA
USD
103408040.53000000
0.634665476948
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31356DT22
417.12000000
PA
USD
436.25000000
0.000002677478
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
6.50000000
N
N
N
N
N
N
Driven Brands Funding, LLC
N/A
DRIVEN BRANDS FUNDING LLC
26209XAD3
14272150.00000000
PA
USD
11717535.06000000
0.071916215986
Long
ABS-O
CORP
US
N
2
2051-10-20
Fixed
2.79100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFK39
5621962.94000000
PA
USD
5444637.96000000
0.033416393251
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109CC3
10375000.00000000
PA
USD
9415696.38000000
0.057788711624
Long
DBT
CORP
CA
N
2
2032-03-15
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FQ74
641893.82000000
PA
USD
655319.67000000
0.004022015781
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCCH7
3815844.03000000
PA
USD
3756330.22000000
0.023054426894
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
3140XH2F3
3525398.00000000
PA
USD
3172833.24000000
0.019473221919
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KCJ7
3010000.00000000
PA
USD
3060697.43000000
0.018784989873
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A46Y6
2724097.47000000
PA
USD
2726517.69000000
0.016733966152
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJAD2
20745.66000000
PA
USD
22369.52000000
0.000137292632
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FAHB9
26589.03000000
PA
USD
4973.85000000
0.000030526938
Long
ABS-MBS
USGSE
US
N
2
2032-02-25
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8AV6
558114.31000000
PA
USD
592244.99000000
0.003634895769
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.50000000
N
N
N
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2021-1
36261RAG3
6650000.00000000
PA
USD
6422947.06000000
0.039420752374
Long
ABS-O
CORP
US
N
2
2025-07-21
Fixed
1.01000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAK1
29186000.00000000
PA
USD
29006710.40000000
0.178028300278
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
4.87500000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2022-GR2
36250BAE6
481684.14000000
PA
USD
482292.36000000
0.002960062961
Long
ABS-MBS
CORP
US
N
2
2044-07-25
Variable
1.94509600
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208DJM8
35037.87000000
PA
USD
36330.23000000
0.000222976304
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
31410UPY2
58397.37000000
PA
USD
61447.16000000
0.000377131129
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312941NS2
344090.52000000
PA
USD
358325.22000000
0.002199216284
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312940AM1
674185.11000000
PA
USD
704394.31000000
0.004323210733
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2021-NQM1 Trust
67114BAA5
9554842.37000000
PA
USD
8524297.20000000
0.052317760982
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
1.07200000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BT8
6040000.00000000
PA
USD
5703789.44000000
0.035006932021
Long
DBT
CORP
US
N
2
2029-03-23
Fixed
3.70000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACA3
16150000.00000000
PA
USD
13406066.55000000
0.082279555606
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
2.10000000
N
N
N
N
N
CAESARS RESORT COLLECTIO
549300V3UCT773B1KR38
Caesars Resort Collection LLC
12769LAD1
5076392.59780000
PA
USD
5028166.87000000
0.030860307461
Long
LON
CORP
US
N
2
2025-07-20
Floating
6.02386000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412AWL4
13495.48000000
PA
USD
14418.27000000
0.000088491940
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
31402DGM6
239407.54000000
PA
USD
256110.90000000
0.001571877251
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R01
20754LAA7
7131284.58000000
PA
USD
7044026.18000000
0.043232617234
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
3.18319000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPY73
560132.91000000
PA
USD
584426.71000000
0.003586911179
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CBU2
30885.80000000
PA
USD
32337.44000000
0.000198470609
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
3140XCG69
2855599.99000000
PA
USD
2554955.68000000
0.015681006592
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
MISSION BROADCASTING INC
N/A
Mission Broadcasting Inc
605024AS7
6241950.00000000
PA
USD
6096325.31000000
0.037416115716
Long
LON
CORP
US
N
2
2028-06-03
Floating
4.87314000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMCC6
55793343.87000000
PA
USD
49881363.43000000
0.306146206328
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FCN4
582525.04000000
PA
USD
600454.05000000
0.003685278766
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENBE8
3430830.87000000
PA
USD
3675000.60000000
0.022555267430
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJRA8
1453043.54000000
PA
USD
1482934.77000000
0.009101492478
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.50000000
N
N
N
N
N
N
Austin Fairmont Hotel Trust
N/A
Austin Fairmont Hotel Trust 2019-FAIR
05223HAG7
11890000.00000000
PA
USD
11592759.51000000
0.071150407703
Long
ABS-MBS
CORP
US
N
2
2032-09-15
Floating
3.64100000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2022-CSMO
05610MAC6
17850000.00000000
PA
USD
17692900.37000000
0.108589941307
Long
ABS-MBS
CORP
US
N
2
2027-06-15
Floating
5.44811000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GRD7
6291937.43000000
PA
USD
6654669.07000000
0.040842943136
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LF68
3216775.53000000
PA
USD
3367414.27000000
0.020667460410
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AL70
1018557.03000000
PA
USD
1097441.30000000
0.006735531420
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AHX8
154406.06000000
PA
USD
166360.27000000
0.001021033950
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCR5
27464000.00000000
PA
USD
27632052.22000000
0.169591353935
Long
DBT
CORP
US
N
2
2024-01-17
Fixed
5.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413BPJ4
10680.30000000
PA
USD
11312.95000000
0.000069433080
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DZ0
4660000.00000000
PA
USD
3228308.20000000
0.019813698750
Long
DBT
CORP
US
N
2
2050-08-20
Fixed
2.40000000
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAV7
18080000.00000000
PA
USD
15969612.00000000
0.098013281798
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AARG1
12289195.83000000
PA
USD
11967095.15000000
0.073447887728
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZU1
12805000.00000000
PA
USD
12495259.86000000
0.076689491629
Long
DBT
CORP
US
N
2
2028-08-23
Fixed
4.48200000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R04
20753YCH3
15674845.81000000
PA
USD
15657753.96000000
0.096099257214
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
4.18319000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A2D74
6420182.91000000
PA
USD
6227173.02000000
0.038219191800
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
3.50000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2022-3
30166YAE2
19445000.00000000
PA
USD
19387211.40000000
0.118988752777
Long
ABS-O
CORP
US
N
2
2027-09-15
Fixed
5.30000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBP0
59518000.00000000
PA
USD
50978833.50000000
0.312881914324
Long
DBT
CORP
US
N
2
2031-05-13
Fixed
2.95600000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
22458000.00000000
PA
USD
20815421.88000000
0.127754375652
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EDH0
1939669.05000000
PA
USD
1836136.36000000
0.011269262551
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BCX1
240101.40000000
PA
USD
245021.44000000
0.001503815837
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFB2
400235000.00000000
PA
USD
389478684.38000000
2.390420258582
Long
DBT
UST
US
N
2
2027-07-31
Fixed
2.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BN61
240952.22000000
PA
USD
254817.84000000
0.001563941112
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417CGZ2
1462880.93000000
PA
USD
1420525.49000000
0.008718456350
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
3138ERB74
2415626.06000000
PA
USD
2250308.95000000
0.013811241328
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2021-PJ6
36262LAJ9
18291283.70000000
PA
USD
16394276.38000000
0.100619653796
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.50000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513CA1
3570000.00000000
PA
USD
3153227.49000000
0.019352891889
Long
DBT
CORP
US
N
2
2032-03-03
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E0Q93
704569.52000000
PA
USD
688703.70000000
0.004226909822
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
3.50000000
N
N
N
N
N
N
KFC HOLDING CO
549300G2LG4YUB3MM115
KFC Holding Co
72584DAF1
17020456.02680000
PA
USD
16884292.38000000
0.103627120496
Long
LON
CORP
US
N
2
2028-03-15
Floating
4.12700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MEE31
6391127.94000000
PA
USD
6128360.55000000
0.037612731577
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KCA6
18905000.00000000
PA
USD
13531404.99000000
0.083048818619
Long
DBT
CORP
US
N
2
2052-01-15
Fixed
3.00000000
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAG2
26250000.00000000
PA
USD
20659616.25000000
0.126798120665
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2019-C7
17328CBK7
12000000.00000000
PA
USD
9407182.80000000
0.057736459639
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Variable
3.91659200
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AKNH9
677032.44000000
PA
USD
606013.87000000
0.003719402087
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNZJ4
1271809.02000000
PA
USD
1203967.62000000
0.007389335295
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
2.50000000
N
N
N
N
N
N
Regatta XIX Funding Ltd
N/A
Regatta XIX Funding Ltd
75888EAG3
15065000.00000000
PA
USD
14265843.03000000
0.087556422346
Long
ABS-CBDO
CORP
KY
N
2
2035-04-20
Floating
2.92908000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JM0
13652000.00000000
PA
USD
12108300.10000000
0.074314531235
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.55000000
N
N
N
N
N
N
ATHENAHEALTH GROUP INC
254900AA3KZN4Q7A5Z33
AthenaHealth Group Inc
04686RAB9
11065000.00000000
PA
USD
10567075.00000000
0.064855282630
Long
LON
CORP
US
N
2
2029-02-15
Floating
5.79980000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MPU0
601589.99000000
PA
USD
648142.20000000
0.003977964154
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFU3
42403000.00000000
PA
USD
29034987.82000000
0.178201852568
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.87500000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CX6
4100000.00000000
PA
USD
4784007.10000000
0.029361780111
Long
DBT
CORP
US
N
2
2030-04-22
Fixed
9.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TZ73
3665395.23000000
PA
USD
3740342.23000000
0.022956300817
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y3YF2
2556950.31000000
PA
USD
2500709.34000000
0.015348070399
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BD4
4435000.00000000
PA
USD
4566040.95000000
0.028024015757
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.75000000
N
N
N
N
N
N
UNITED AIR 2019-2 AA PTT
N/A
United Airlines 2019-2 Class AA Pass Through Trust
90932JAA0
4537516.07000000
PA
USD
3830666.35000000
0.023510663905
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36178WP45
82536.29000000
PA
USD
80057.27000000
0.000491350432
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WY93
16376690.16000000
PA
USD
14956010.16000000
0.091792313951
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
2.50000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BG0
35794000.00000000
PA
USD
35419773.73000000
0.217388391391
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
4.45000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-B
63941GAB0
13717751.31000000
PA
USD
12789623.35000000
0.078496143644
Long
ABS-O
CORP
US
N
2
2069-01-15
Fixed
2.12000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAH4
3910000.00000000
PA
USD
3671935.74000000
0.022536456892
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.70000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAH3
11635000.00000000
PA
USD
11166260.76000000
0.068532777283
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-2
92537UAC6
7815000.00000000
PA
USD
7707001.39000000
0.047301618790
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
31403DDJ5
62902.65000000
PA
USD
65855.21000000
0.000404185477
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
31419JSV1
3171253.23000000
PA
USD
3228235.77000000
0.019813254212
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJF6
35059.26000000
PA
USD
37373.93000000
0.000229381999
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
3138YTK86
1752149.39000000
PA
USD
1713557.56000000
0.010516936792
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202E4H9
1377672.17000000
PA
USD
1447607.96000000
0.008884674650
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Fixed
5.00000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CG5
12383000.00000000
PA
USD
8199886.39000000
0.050326693939
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
2.37500000
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KPV5
18780000.00000000
PA
USD
18004124.96000000
0.110500078100
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
4.03319000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411CKC4
8476.08000000
PA
USD
8824.46000000
0.000054160006
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.50000000
N
N
N
N
N
N
GCAT
N/A
GCAT 2022-INV1 Trust
36168YBC0
9409922.06000000
PA
USD
8041540.60000000
0.049354848753
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
3.00000000
N
N
N
N
N
N
VOLKSWAGEN BANK GMBH
529900GJD3OQLRZCKW37
Volkswagen Bank GmbH
000000000
20000000.00000000
PA
19272529.12000000
0.118284891805
Long
DBT
CORP
DE
N
2
2026-07-31
Fixed
2.50000000
N
N
N
N
N
N
MEDLINE BORROWER LP
254900QT3R363TVK6F09
Medline Borrower LP
62482BAA0
17720000.00000000
PA
USD
14973400.00000000
0.091899043863
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
WOODSIDE FINANCE LTD
254900AIZKU6TGRRNZ98
Woodside Finance Ltd
980236AP8
34813000.00000000
PA
USD
32245541.25000000
0.197906581654
Long
DBT
CORP
AU
N
2
2028-03-15
Fixed
3.70000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAN8
18162000.00000000
PA
USD
14941096.43000000
0.091700781131
Long
DBT
CORP
NL
N
2
2028-07-12
Fixed
1.87500000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BY5
29160000.00000000
PA
USD
24268410.00000000
0.148947044431
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.60000000
N
N
N
N
N
N
HPEFS Equipment Trust
N/A
HPEFS Equipment Trust
40441RAE3
11735000.00000000
PA
USD
11037527.93000000
0.067742681247
Long
ABS-O
CORP
US
N
2
2029-05-21
Fixed
1.96000000
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
Gray Oak Pipeline LLC
38937LAA9
2100000.00000000
PA
USD
2046991.80000000
0.012563385017
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
2.00000000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
254900O9QVOQ1G7RF178
Benefit Street Partners CLO XI
08179CAQ4
16090000.00000000
PA
USD
15667116.02000000
0.096156716733
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
4.01200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DH77
243719.52000000
PA
USD
264052.98000000
0.001620621661
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
6.50000000
N
N
N
N
N
N
MARTIN MARIETTA MATERIAL
5299005MZ4WZECVATV08
Martin Marietta Materials Inc
573284AW6
3940000.00000000
PA
USD
3256776.42000000
0.019988422073
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GFF5
402968.89000000
PA
USD
427192.06000000
0.002621885601
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MP30
1055351.30000000
PA
USD
1137097.17000000
0.006978918796
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB97
11458219.30000000
PA
USD
11431130.69000000
0.070158412965
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
31065000.00000000
PA
USD
25614490.43000000
0.157208595213
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.54500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X0Y36
846373.65000000
PA
USD
803635.12000000
0.004932299888
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A4XY6
2849568.36000000
PA
USD
2845232.26000000
0.017462575251
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
31418EAV2
22957023.49000000
PA
USD
19434455.56000000
0.119278713183
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
1.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCC3
537735000.00000000
PA
USD
509167828.13000000
3.125010790559
Long
DBT
UST
US
N
2
2024-05-15
Fixed
0.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGL8
11645000.00000000
PA
USD
11453824.04000000
0.070297693099
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
4.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312942UJ2
222570.75000000
PA
USD
219572.77000000
0.001347624963
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHVS8
1897722.33000000
PA
USD
1936641.65000000
0.011886112435
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDZ2
2535000.00000000
PA
USD
1867772.79000000
0.011463430720
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419A3K1
1056450.73000000
PA
USD
1138273.35000000
0.006986137585
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WJS8
35939175.63000000
PA
USD
33825372.40000000
0.207602774379
Long
ABS-MBS
USGA
US
N
2
2051-07-20
Fixed
3.00000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AR8
1409000.00000000
PA
USD
1411877.18000000
0.008665377462
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.95000000
N
N
N
N
N
N
REGENCY CENTERS LP
5493008PTR2GAOYBXW28
Regency Centers LP
75884RAX1
9817000.00000000
PA
USD
9428865.27000000
0.057869535511
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FFU5
343258.35000000
PA
USD
359123.48000000
0.002204115594
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
5.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2019-C17 Commercial Mortgage Trust
12597BAY5
7432918.00000000
PA
USD
6496434.26000000
0.039871779089
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
31410FU37
116450.67000000
PA
USD
123451.26000000
0.000757680470
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H7C85
3624179.14000000
PA
USD
3522290.34000000
0.021618010235
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8VP5
7467841.22000000
PA
USD
7100854.03000000
0.043581397409
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TJ7
344530000.00000000
PA
USD
326657506.25000000
2.004856111191
Long
DBT
UST
US
N
2
2052-08-15
Fixed
3.00000000
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YET8
8415000.00000000
PA
USD
8420032.17000000
0.051677835743
Long
DBT
CORP
US
N
2
2026-07-17
Fixed
4.67900000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378FK74
2347998.01000000
PA
USD
358395.36000000
0.002199646767
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UK27
1580347.81000000
PA
USD
1634773.03000000
0.010033397784
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R03
20753XAA2
23681753.12000000
PA
USD
23670620.33000000
0.145278118262
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
4.28319000
N
N
N
N
N
N
Carlyle Global Market Strategi
N/A
CARLYLE US CLO 2019-4 LTD
14317VAQ3
29195000.00000000
PA
USD
28468876.85000000
0.174727354000
Long
ABS-CBDO
CORP
KY
N
2
2035-04-15
Floating
3.64787000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
3985000.00000000
PA
USD
3925225.00000000
0.024091016365
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283GMD6
187.64000000
PA
USD
188.13000000
0.000001154645
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
7.00000000
N
N
N
N
N
N
BINOM Securitization Trust
N/A
BINOM Securitization Trust 2021-INV1
05552UAA2
11233927.71000000
PA
USD
10245273.54000000
0.062880230438
Long
ABS-MBS
CORP
US
N
2
2056-06-25
Variable
2.03400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213TWN9
2576.17000000
PA
USD
2688.31000000
0.000016499466
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FCP9
1396305.20000000
PA
USD
1464245.70000000
0.008986788559
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
36202EWE5
331414.44000000
PA
USD
360169.52000000
0.002210535651
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Fixed
6.00000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2021-4
85573PAB8
13742536.12000000
PA
USD
12174387.69000000
0.074720142942
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
1.36900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CTT9
2036155.45000000
PA
USD
2149780.66000000
0.013194250281
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 II Pool
36179WY85
24886349.31000000
PA
USD
22036280.47000000
0.135247379052
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36224LSS7
5.40000000
PA
USD
5.40000000
0.000000033142
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
7.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAC9
3935000.00000000
PA
USD
3769210.58000000
0.023133479932
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
775.00000000
NC
USD
-297786.00000000
-0.00182765762
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-12-30
86183526.25000000
USD
-297786.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HMT7
1197771.27000000
PA
USD
1290451.25000000
0.007920127427
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
31419KKJ3
82197.18000000
PA
USD
82269.87000000
0.000504930235
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P7B85
7691.75000000
PA
USD
7879.95000000
0.000048363088
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A9S44
1481443.66000000
PA
USD
1545859.51000000
0.009487692235
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312945ZY7
1742283.86000000
PA
USD
1741236.43000000
0.010686815489
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
3138ERN71
8538760.00000000
PA
USD
8218151.59000000
0.050438796362
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-3
03465EAA9
9805164.03000000
PA
USD
8700009.28000000
0.053396191542
Long
ABS-MBS
CORP
US
N
2
2066-05-25
Variable
1.06800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WBQ57
3596215.32000000
PA
USD
3670270.96000000
0.022526239327
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EM5Y3
854007.88000000
PA
USD
889760.01000000
0.005460890257
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.00000000
N
N
N
N
N
N
ELI LILLY & CO
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457BY3
6455000.00000000
PA
USD
4435314.42000000
0.027221683414
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.25000000
N
N
N
N
N
CHENIERE ENERGY INC
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411RAK5
22665000.00000000
PA
USD
21758400.00000000
0.133541891354
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPW34
1171602.40000000
PA
USD
1262256.34000000
0.007747081541
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BE4
12080000.00000000
PA
USD
11432016.72000000
0.070163850962
Long
DBT
CORP
US
N
2
2033-06-06
Fixed
4.62600000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CET4
217990000.00000000
PA
USD
211109690.63000000
1.295682925673
Long
DBT
UST
US
N
2
2027-05-31
Fixed
2.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36207D6P6
462.76000000
PA
USD
482.90000000
0.000002963792
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENF87
237031.48000000
PA
USD
250696.33000000
0.001538645399
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
3140F0T87
2470451.29000000
PA
USD
2404793.32000000
0.014759387099
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDN8
223520000.00000000
PA
USD
211366100.00000000
1.297256634780
Long
DBT
UST
US
N
2
2024-12-15
Fixed
1.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JG3
20828000.00000000
PA
USD
15933149.24000000
0.097789492092
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
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
6009095.84400000
NS
USD
45368673.62000000
0.278449632484
Long
EC
RF
US
N
1
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DG2
3360000.00000000
PA
USD
3072706.56000000
0.018858695749
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.25000000
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2020-III Ltd
12560EAL0
20305000.00000000
PA
USD
19844313.26000000
0.121794209379
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
3.83986000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGH1
12383000.00000000
PA
USD
10936814.20000000
0.067124552065
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-G
63941JAA6
9687457.02000000
PA
USD
9243420.80000000
0.056731372537
Long
ABS-O
CORP
US
N
2
2068-10-15
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DVP6
69307.33000000
PA
USD
68867.20000000
0.000422671526
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
1.59000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36195KHC1
1315182.25000000
PA
USD
1243214.32000000
0.007630211396
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FSK2
47530.72000000
PA
USD
49593.02000000
0.000304376502
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.00000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AK5
15766000.00000000
PA
USD
15166813.17000000
0.093086114628
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.95000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKEW1
762238.94000000
PA
USD
808068.12000000
0.004959507366
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5.50000000
N
N
N
N
N
N
Vista Point Securitization Tru
N/A
Vista Point Securitization Trust 2020-1
92838WAC8
17346000.00000000
PA
USD
16981314.23000000
0.104222590813
Long
ABS-MBS
CORP
US
N
2
2065-03-25
Variable
3.20100000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
05530QAN0
21719000.00000000
PA
USD
19318051.43000000
0.118564284379
Long
DBT
CORP
GB
N
2
2026-03-25
Fixed
1.66800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411ETV9
7733.08000000
PA
USD
8177.37000000
0.000050188499
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEMN6
3003501.25000000
PA
USD
2877390.57000000
0.017659946452
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
31410G7K3
260923.90000000
PA
USD
272288.72000000
0.001671168406
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M76Q4
1322927.45000000
PA
USD
1403832.49000000
0.008616003284
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
31418DTQ5
8666948.50000000
PA
USD
7501958.69000000
0.046043171939
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
Vista Point Securitization Tru
N/A
Vista Point Securitization Trust 2020-2
92838TAA9
2785139.39000000
PA
USD
2622837.62000000
0.016097631098
Long
ABS-MBS
CORP
US
N
2
2065-04-25
Variable
1.47500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CD9
8360000.00000000
PA
USD
7720485.08000000
0.047384374759
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJSU3
2649920.84000000
PA
USD
2652264.48000000
0.016278238061
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31351B3K9
7522.29000000
PA
USD
6882.02000000
0.000042238306
Long
ABS-MBS
USGSE
US
N
2
2028-08-15
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SGK7
3053523.85000000
PA
USD
2916340.72000000
0.017899002481
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31287UEV0
3236.18000000
PA
USD
3274.44000000
0.000020096832
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
7.00000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300INMCHM7L5O6M41
SMB Private Education Loan Trust 2018-B
78449LAB4
7492523.23000000
PA
USD
7309623.25000000
0.044862715727
Long
ABS-O
CORP
US
N
2
2037-01-15
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YVG9
1065653.07000000
PA
USD
1066600.88000000
0.006546248751
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
36181KC81
5586910.75000000
PA
USD
5475853.52000000
0.033607978336
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
31410KBK9
2689.50000000
PA
USD
2751.45000000
0.000016886987
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709AM0
58694000.00000000
PA
USD
56309732.33000000
0.345600235173
Long
DBT
CORP
US
N
2
2027-02-09
Fixed
4.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31287UDJ8
16072.26000000
PA
USD
16242.95000000
0.000099690890
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
7.00000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCS0
8250000.00000000
PA
USD
8012812.50000000
0.049178530421
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
6.37500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FLK49
3289106.54000000
PA
USD
3110589.43000000
0.019091201361
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-INV1
92537TAA3
1309768.85000000
PA
USD
1287410.70000000
0.007901466092
Long
ABS-MBS
CORP
US
N
2
2060-03-25
Variable
1.97700000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332BB7
3360000.00000000
PA
USD
3340424.64000000
0.020501811914
Long
DBT
CORP
US
N
2
2032-08-01
Fixed
4.75000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903AP8
3043000.00000000
PA
USD
2973872.17000000
0.018252100992
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
3.75000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACA1
12155000.00000000
PA
USD
10535978.31000000
0.064664427107
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EH7F3
1239226.65000000
PA
USD
1335196.96000000
0.008194753629
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
36179WLP1
11320231.41000000
PA
USD
10370237.25000000
0.063647193550
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
LAMAR MEDIA CORP
N/A
LAMAR MEDIA CORP
513076BB4
14435000.00000000
PA
USD
14024468.60000000
0.086074989984
Long
LON
CORP
US
N
2
2027-02-05
Floating
3.86814000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-CCRE6 Mortgage Trust
12624XAM0
6715000.00000000
PA
USD
6664364.20000000
0.040902446868
Long
ABS-MBS
CORP
US
N
2
2046-03-10
Fixed
3.14700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SUX3
2377038.33000000
PA
USD
2449706.77000000
0.015035042803
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
4.50000000
N
N
N
N
N
N
NUCOR CORP
549300GGJCRSI2TIEJ46
Nucor Corp
670346AV7
3535000.00000000
PA
USD
3101198.94000000
0.019033567353
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133APTU3
5823336.89000000
PA
USD
5269536.33000000
0.032341709320
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2022-1
30167JAF1
35405000.00000000
PA
USD
32763454.19000000
0.201085265453
Long
ABS-O
CORP
US
N
2
2028-06-15
Fixed
3.02000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWH8
31697562.89000000
PA
USD
27931330.74000000
0.171428171881
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FKN5
3013946.81000000
PA
USD
3106471.36000000
0.019065926761
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.50000000
N
N
N
N
N
N
Deephaven Residential Mortgage
N/A
Deephaven Residential Mortgage Trust 2021-2
24381WAA6
7863908.58000000
PA
USD
6886854.11000000
0.042267975739
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Variable
0.89900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385W2S7
196120.47000000
PA
USD
209028.75000000
0.001282911180
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXGG1
15794423.18000000
PA
USD
15623218.11000000
0.095887293893
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MQ1
23226000.00000000
PA
USD
22313705.95000000
0.136950074255
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.10600000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EVJC2
4281093.32000000
PA
USD
4138823.86000000
0.025401976535
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
3.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397C27
1705000.00000000
PA
USD
1606212.30000000
0.009858106683
Long
DBT
CORP
US
N
2
2027-05-28
Fixed
4.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31356FP70
47.13000000
PA
USD
49.29000000
0.000000302516
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
31402RUW7
875142.16000000
PA
USD
927203.35000000
0.005690698260
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292GLU8
435.24000000
PA
USD
441.08000000
0.000002707122
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
31410KJ39
649448.99000000
PA
USD
673608.67000000
0.004134264276
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5UV9
8718469.62000000
PA
USD
8637647.75000000
0.053013448479
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406KJW1
1460.84000000
PA
USD
1517.08000000
0.000009311058
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
36202FGE0
855883.37000000
PA
USD
894351.64000000
0.005489071326
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
31403DQN2
141140.50000000
PA
USD
141816.74000000
0.000870398360
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Floating
4.13100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418UEK6
5471563.23000000
PA
USD
5693152.84000000
0.034941650030
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AP8
7309000.00000000
PA
USD
6537147.67000000
0.040121657103
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.25000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AN9
6162000.00000000
PA
USD
5877703.81000000
0.036074329160
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9VD0
5568690.09000000
PA
USD
5419478.15000000
0.033261975251
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403C6L0
218198.89000000
PA
USD
227321.08000000
0.001395180112
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KHKY1
10427970.56000000
PA
USD
10313974.28000000
0.063301880318
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109BG8
10020000.00000000
PA
USD
9764600.22000000
0.059930104313
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.95000000
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Y8
10785000.00000000
PA
USD
7346256.68000000
0.045087552918
Long
DBT
CORP
US
N
2
2052-01-25
Fixed
2.80200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R7J2
8551719.19000000
PA
USD
8364595.35000000
0.051337592996
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAB9
13695000.00000000
PA
USD
12186742.26000000
0.074795968952
Long
DBT
CORP
US
N
2
2027-05-04
Fixed
1.59300000
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC40
36257HBU9
12730000.00000000
PA
USD
11229133.00000000
0.068918654822
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Fixed
3.54300000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DAB5
1030792.65000000
PA
USD
971510.32000000
0.005962631701
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413T3K6
21743.00000000
PA
USD
22636.66000000
0.000138932200
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
3140QDEN0
412965.66000000
PA
USD
385221.55000000
0.002364292152
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
HPEFS Equipment Trust
N/A
HPEFS Equipment Trust
40441RAF0
12510000.00000000
PA
USD
11620785.45000000
0.071322416538
Long
ABS-O
CORP
US
N
2
2029-11-20
Fixed
2.40000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCK0
20528000.00000000
PA
USD
20278051.07000000
0.124456269434
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
4.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AX44
2732120.03000000
PA
USD
2788190.76000000
0.017112483801
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
31411RFW3
11836.17000000
PA
USD
12322.65000000
0.000075630100
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
3140FGMN6
9585879.78000000
PA
USD
9045469.67000000
0.055516450102
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Driven Brands Funding, LLC
N/A
DRIVEN BRANDS FUNDING LLC
26208LAD0
15493075.00000000
PA
USD
14731156.56000000
0.090412277964
Long
ABS-O
CORP
US
N
2
2049-04-20
Fixed
4.64100000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-2
89173HAA4
751281.52000000
PA
USD
745314.99000000
0.004574360863
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
2.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8R30
37410.35000000
PA
USD
37477.17000000
0.000230015633
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2L6
15936000.00000000
PA
USD
15305508.10000000
0.093937352921
Long
DBT
CORP
US
N
2
2031-04-04
Fixed
4.47800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DWG0
3474.91000000
PA
USD
3671.14000000
0.000022531573
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.50000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAV2
21685000.00000000
PA
USD
18862296.73000000
0.115767095954
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
1.84000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-INV3
46591LAC5
5542712.03000000
PA
USD
5218410.72000000
0.032027926566
Long
ABS-MBS
CORP
US
N
2
2050-05-25
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJWW6
836166.79000000
PA
USD
834595.31000000
0.005122317643
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R02
20754BAA9
38031989.96000000
PA
USD
37771630.56000000
0.231822881485
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
3.38319000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAE3
29736000.00000000
PA
USD
28397880.00000000
0.174291611775
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
6.00000000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2021-III Ltd
12564DAA2
30055000.00000000
PA
USD
29414480.46000000
0.180530983612
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
3.65200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418M2S0
973869.19000000
PA
USD
1049245.38000000
0.006439729600
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QC4X1
9134219.45000000
PA
USD
8493894.86000000
0.052131167023
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380H5W8
1538932.12000000
PA
USD
1478667.23000000
0.009075300508
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFV6
1100758.50000000
PA
USD
1147901.76000000
0.007045231824
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
36179TQS7
2599076.24000000
PA
USD
2670613.55000000
0.016390855234
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LXQH5
2718388.32000000
PA
USD
2639441.84000000
0.016199539278
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371K7E5
419998.50000000
PA
USD
431180.60000000
0.002646365212
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKBA2
3812780.81000000
PA
USD
3608290.24000000
0.022145833480
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERTY6
12178017.27000000
PA
USD
11906485.11000000
0.073075894411
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DUU3
50865.00000000
PA
USD
54457.45000000
0.000334231876
Long
ABS-MBS
USGA
US
N
2
2032-10-20
Fixed
5.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CJ7
10485000.00000000
PA
USD
10118129.85000000
0.062099887727
Long
DBT
CORP
GB
N
2
2026-03-30
Fixed
3.97100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LC26
212219.03000000
PA
USD
216567.29000000
0.001329178869
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TC29
1733797.14000000
PA
USD
1785552.55000000
0.010958805088
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R01
20754LAB5
19620000.00000000
PA
USD
18302972.18000000
0.112334248948
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
4.08319000
N
N
N
N
N
N
APTIV PLC
N/A
Aptiv PLC
03835VAJ5
3545000.00000000
PA
USD
2246643.75000000
0.013788746211
Long
DBT
CORP
JE
N
2
2051-12-01
Fixed
3.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VDC1
4866511.37000000
PA
USD
4549969.82000000
0.027925379410
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
N/A
Benefit Street Partners CLO XX Ltd
08182FAN9
15245000.00000000
PA
USD
14864692.28000000
0.091231851674
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
3.68200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TJ22
1153281.27000000
PA
USD
1191839.52000000
0.007314899243
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 2020-H
63935BAA1
6999793.59000000
PA
USD
6453733.39000000
0.039609703066
Long
ABS-O
CORP
US
N
2
2069-01-15
Fixed
1.31000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2022-DNA3
35564KUW7
18216004.83000000
PA
USD
18309522.16000000
0.112374449364
Long
ABS-MBS
CORP
US
N
2
2042-04-25
Floating
4.18319000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BA1
5555000.00000000
PA
USD
5334355.40000000
0.032739535502
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48400000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109CB5
6654000.00000000
PA
USD
6323569.01000000
0.038810820910
Long
DBT
CORP
CA
N
2
2027-03-15
Fixed
3.20000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837BA0
8084000.00000000
PA
USD
7876289.70000000
0.048340623547
Long
DBT
CORP
NL
N
2
2026-03-28
Fixed
3.86900000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKA6
32003000.00000000
PA
USD
25649988.46000000
0.157426463902
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.29900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409AF53
9040.91000000
PA
USD
9740.51000000
0.000059782250
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384DTJ1
3918.96000000
PA
USD
4054.97000000
0.000024887324
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
7.00000000
N
N
N
N
N
N
PERKINELMER INC
549300IKL1SDPFI7N655
PerkinElmer Inc
714046AG4
9984000.00000000
PA
USD
8906097.41000000
0.054661054706
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
3.30000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCN3
9245000.00000000
PA
USD
8131134.67000000
0.049904731169
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.27300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W7K8
31511636.41000000
PA
USD
29610644.00000000
0.181734934737
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
3.00000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109CD1
5020000.00000000
PA
USD
4404869.28000000
0.027034826771
Long
DBT
CORP
CA
N
2
2052-03-15
Fixed
4.55000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2020-3 Mortgage Loan Trust
12597QAA4
2485954.07000000
PA
USD
2392438.94000000
0.014683562256
Long
ABS-MBS
CORP
US
N
2
2065-04-27
Variable
1.50600000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAJ2
9190000.00000000
PA
USD
8368092.35000000
0.051359055787
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.05400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410XTS5
15588.70000000
PA
USD
16229.41000000
0.000099607788
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
3138LY2J5
1204785.80000000
PA
USD
1182672.56000000
0.007258637147
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2017-C41
95001ABG0
15000000.00000000
PA
USD
14003832.00000000
0.085948333126
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
3.78500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUE3
1676934.22000000
PA
USD
1771485.74000000
0.010872470228
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGFA7
4486110.91000000
PA
USD
4569741.35000000
0.028046726913
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412P2U4
360939.88000000
PA
USD
368524.22000000
0.002261812511
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38383REY9
9510000.00000000
PA
USD
8861593.94000000
0.054387915249
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
3.50000000
N
N
N
N
N
N
AVIENT CORP
SM8L9RZYIB34LNTWO040
Avient Corp
05368VAA4
1800000.00000000
PA
USD
1775250.00000000
0.010895573324
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
7.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJK80
3762388.11000000
PA
USD
3765698.71000000
0.023111925877
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EAQ3
17935942.68000000
PA
USD
17117127.44000000
0.105056142588
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.50000000
N
N
N
N
N
N
CNTRL PARENT/CDK GLB INC
N/A
Central Parent Inc / CDK Global Inc
15477CAA3
3570000.00000000
PA
USD
3409350.00000000
0.020924840396
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
7.25000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384BYQ3
660.07000000
PA
USD
660.77000000
0.000004055467
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XBF3
111760.67000000
PA
USD
118456.12000000
0.000727022865
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
6.00000000
N
N
N
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AR3
11839000.00000000
PA
USD
10964642.49000000
0.067295347826
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDR1
123777482.71000000
PA
USD
110620291.54000000
0.678930571844
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416TMF3
641587.33000000
PA
USD
653322.54000000
0.004009758422
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413F5B4
28826.37000000
PA
USD
30011.17000000
0.000184193157
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
3140QM4V3
56421968.11000000
PA
USD
50426385.28000000
0.309491270702
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXFP0
417906.29000000
PA
USD
436478.78000000
0.002678882721
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.00000000
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
Gray Oak Pipeline LLC
38937LAC5
6556000.00000000
PA
USD
6011589.76000000
0.036896052402
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNEW8
23665131.42000000
PA
USD
20393337.78000000
0.125163840087
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN Co Ltd
62878U2B7
16981000.00000000
PA
USD
14349573.30000000
0.088070315768
Long
DBT
CORP
AU
N
2
2031-05-05
Fixed
2.62500000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AJ8
25607000.00000000
PA
USD
25037730.78000000
0.153668740513
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECY4
37650091.43000000
PA
USD
33178185.25000000
0.203630671832
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFT6
37223000.00000000
PA
USD
26723359.50000000
0.164014264420
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184BAH0
3162105.32000000
PA
USD
3067061.57000000
0.018824049698
Long
ABS-MBS
USGA
US
N
2
2045-02-20
Fixed
3.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2021-1
03063FAF1
13530000.00000000
PA
USD
12627175.57000000
0.077499122549
Long
ABS-O
CORP
US
N
2
2026-12-18
Fixed
1.21000000
N
N
N
N
N
N
METHANEX CORP
549300TSJHRXT9QXRD13
Methanex Corp
59151KAM0
9230000.00000000
PA
USD
8399300.00000000
0.051550592325
Long
DBT
CORP
CA
N
2
2027-10-15
Fixed
5.12500000
N
N
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AE8
11000000.00000000
PA
USD
11342320.00000000
0.069613338533
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMZC1
36218678.89000000
PA
USD
32514650.01000000
0.199558233099
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DMV2
7684901.61000000
PA
USD
7314512.64000000
0.044892724294
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAX8
17515000.00000000
PA
USD
14378417.30000000
0.088247345435
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
2.59300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHRP9
852962.15000000
PA
USD
870489.99000000
0.005342620765
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
31402C4G4
249693.34000000
PA
USD
264044.79000000
0.001620571395
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB71
5301834.57000000
PA
USD
5063651.72000000
0.031078095257
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
3138ARBE3
1590184.80000000
PA
USD
1591587.12000000
0.009768344835
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.00000000
N
N
N
N
N
N
ESSEX PORTFOLIO LP
5493003GN3O58H286O74
Essex Portfolio LP
29717PAW7
10099000.00000000
PA
USD
7833440.84000000
0.048077639237
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409V5T6
10774.55000000
PA
USD
11217.40000000
0.000068846643
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
36193VFR8
1366631.40000000
PA
USD
1325954.81000000
0.008138030056
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
39483000.00000000
PA
USD
36206226.86000000
0.222215237043
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7XP5
5942210.65000000
PA
USD
5845562.85000000
0.035877064445
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292H4K7
2024.39000000
PA
USD
2182.77000000
0.000013396721
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9DD4
6827468.49000000
PA
USD
6456517.93000000
0.039626793143
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KGP3
309902.57000000
PA
USD
333883.61000000
0.002049206227
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
3138WD5K3
987170.76000000
PA
USD
978001.53000000
0.006002471416
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
3.50000000
N
N
N
N
N
N
BATH & BODY WORKS INC
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
501797AW4
17135000.00000000
PA
USD
15550012.50000000
0.095437995433
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
6.62500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJS9
20116000.00000000
PA
USD
17824445.63000000
0.109397298596
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73400000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHT9
11450000.00000000
PA
USD
10955611.90000000
0.067239922699
Long
DBT
CORP
US
N
2
2027-04-23
Fixed
3.55900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36204L3M1
4877.11000000
PA
USD
5089.40000000
0.000031236124
Long
ABS-MBS
USGA
US
N
2
2026-02-15
Fixed
6.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300FECQ7XLTBL1027
Sequoia Mortgage Trust 2018-CH3
81746WAB4
1141202.83000000
PA
USD
1126769.70000000
0.006915534086
Long
ABS-MBS
CORP
US
N
2
2048-08-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412SEK7
45744.83000000
PA
USD
47625.00000000
0.000292297805
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
31832201.39000000
PA
USD
31589510.46000000
0.193880201383
Long
ABS-CBDO
CORP
KY
N
2
2029-07-17
Floating
3.75029000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMYW5
156101.10000000
PA
USD
162858.13000000
0.000999539612
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.00000000
N
N
N
N
N
N
CROWN CASTLE TOWERS LLC
N/A
Crown Castle Towers LLC
22822RBD1
50986000.00000000
PA
USD
50359489.13000000
0.309080696469
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.66300000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAZ4
4860000.00000000
PA
USD
4500666.18000000
0.027622778974
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.90000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAD7
7096000.00000000
PA
USD
6839181.57000000
0.041975386157
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GHN6
70938.91000000
PA
USD
76431.45000000
0.000469097010
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
3102.00000000
NC
USD
-1361529.84000000
-0.00835637133
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-12-20
364004717.34000000
USD
-1361529.84000000
N
N
N
VISTRA CORP
549300KP43CPCUJOOG15
Vistra Corp
92840MAB8
9640000.00000000
PA
USD
9254400.00000000
0.056798757231
Long
DBT
CORP
US
N
2
N/A
Fixed
8.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYG3
31264000.00000000
PA
USD
27511663.46000000
0.168852469517
Long
DBT
CORP
US
N
2
2027-09-10
Fixed
1.54200000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCE3
11559000.00000000
PA
USD
11050635.18000000
0.067823126820
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
3.65000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFU8
435863.50000000
PA
USD
454692.11000000
0.002790666793
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-INV2 Trust
67112VAE5
3102605.48000000
PA
USD
2987818.07000000
0.018337693768
Long
ABS-MBS
CORP
US
N
2
2049-05-27
Variable
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36206PS27
341.10000000
PA
USD
355.95000000
0.000002184638
Long
ABS-MBS
USGA
US
N
2
2026-03-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KBJ2
802718.06000000
PA
USD
849639.53000000
0.005214651344
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BS7
20542000.00000000
PA
USD
20978517.50000000
0.128755372856
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.87500000
N
N
N
N
N
N
ECOLAB INC
82DYEISM090VG8LTLS26
Ecolab Inc
278865BE9
1388000.00000000
PA
USD
1428891.87000000
0.008769804896
Long
DBT
CORP
US
N
2
2030-03-24
Fixed
4.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419JSM1
1527775.35000000
PA
USD
1525450.49000000
0.009362432145
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
3138LUTV7
1224349.74000000
PA
USD
1188859.31000000
0.007296608243
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7QA6
2130529.65000000
PA
USD
2165104.14000000
0.013288297937
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
UTAH ACQUISITION SUB
254900JOFV74IJ7H9933
Utah Acquisition Sub Inc
62854AAN4
26418000.00000000
PA
USD
24793213.75000000
0.152168020485
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.95000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBC9
12500000.00000000
PA
USD
10848362.50000000
0.066581680930
Long
DBT
CORP
US
N
2
2028-01-06
Fixed
2.49000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8W75
257744.30000000
PA
USD
273909.92000000
0.001681118500
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.50000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300LCOEVXWN75LP18
Neuberger Berman Loan Advisers Clo 43 Ltd
64134AAA0
15105000.00000000
PA
USD
14812266.76000000
0.090910090740
Long
ABS-CBDO
CORP
KY
N
2
2035-07-17
Floating
3.87029000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D4P3
45138.71000000
PA
USD
48324.70000000
0.000296592205
Long
ABS-MBS
USGA
US
N
2
2034-03-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417NCE9
30413.49000000
PA
USD
31038.71000000
0.000190499670
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89115A2E1
3105000.00000000
PA
USD
3045405.74000000
0.018691137329
Long
DBT
CORP
CA
N
2
2032-06-08
Fixed
4.45600000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DQ69
268375.38000000
PA
USD
274312.53000000
0.001683589513
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Floating
2.86900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLS4
2245861.61000000
PA
USD
2196327.29000000
0.013479929606
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AK9
10600000.00000000
PA
USD
10191889.40000000
0.062552585987
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AV5
9137000.00000000
PA
USD
8109215.42000000
0.049770202063
Long
DBT
CORP
NL
N
2
2027-04-01
Fixed
1.72600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CKF2
523417.87000000
PA
USD
563947.92000000
0.003461222877
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
6.00000000
N
N
N
N
N
N
VNO Mortgage Trust
N/A
VNDO Trust 2016-350P
91831UAF4
12524000.00000000
PA
USD
11035751.79000000
0.067731780211
Long
ABS-MBS
CORP
US
N
2
2035-01-10
Variable
4.03271800
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194BZF5
4089706.60000000
PA
USD
3858891.13000000
0.023683893118
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.00000000
N
N
N
N
N
N
Worldwide Plaza Trust
N/A
Worldwide Plaza Trust 2017-WWP
98162JAA4
25087148.00000000
PA
USD
22513901.53000000
0.138178771972
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
3.52630000
N
N
N
N
N
N
522 Funding CLO LTD
549300HKB0UTKU91DG08
522 Funding CLO 2019-5 Ltd
33829WAC3
28800000.00000000
PA
USD
28081525.25000000
0.172349988694
Long
ABS-CBDO
CORP
KY
N
2
2035-04-15
Floating
3.65787000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YUH8
3738368.62000000
PA
USD
3741693.97000000
0.022964597103
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP2 Trust
67113KAX6
4583204.22000000
PA
USD
4317735.87000000
0.026500046623
Long
ABS-MBS
CORP
US
N
2
2059-06-25
Variable
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36206UM63
1237.20000000
PA
USD
1291.05000000
0.000007923802
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
6.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBQ8
20869000.00000000
PA
USD
20090419.35000000
0.123304682242
Long
DBT
CORP
US
N
2
2026-10-06
Fixed
4.00000000
N
N
N
N
N
N
CBAM CLO Management
N/A
CBAM 2019-9 Ltd
14987VAA7
4538151.33000000
PA
USD
4516670.54000000
0.027721005521
Long
ABS-CBDO
CORP
KY
N
2
2030-02-12
Floating
3.79200000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBU3
3275000.00000000
PA
USD
3184937.50000000
0.019547511655
Long
DBT
CORP
US
N
2
2032-09-01
Fixed
4.95000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YED3
15751000.00000000
PA
USD
12694187.68000000
0.077910408485
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.23900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAL9
3189410.47000000
PA
USD
3177418.99000000
0.019501366899
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411GGW6
120670.55000000
PA
USD
124801.11000000
0.000765965157
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K7U63
1096402.93000000
PA
USD
1145380.96000000
0.007029760447
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FRZF1
13174774.61000000
PA
USD
2063824.49000000
0.012666695428
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
3140QPDF1
20112022.70000000
PA
USD
19044194.77000000
0.116883492761
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
2.50000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCV5
3235000.00000000
PA
USD
3187914.58000000
0.019565783444
Long
DBT
CORP
US
N
2
2030-07-26
Fixed
5.24700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X53G0
1545681.49000000
PA
USD
1504490.36000000
0.009233789626
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMVJ1
3901177.18000000
PA
USD
3752474.49000000
0.023030762402
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296QYV6
15669.43000000
PA
USD
16220.25000000
0.000099551569
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUC7
2066316.74000000
PA
USD
2101198.17000000
0.012896075894
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
4.50000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-1
03464MAB0
445192.96000000
PA
USD
442571.49000000
0.002716276648
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
4.02200000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCY5
22623000.00000000
PA
USD
18440233.53000000
0.113176688663
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAC7
5725000.00000000
PA
USD
4464022.95000000
0.027397881636
Long
DBT
CORP
US
N
2
2042-04-22
Fixed
3.21700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYJX8
4123978.81000000
PA
USD
3981774.12000000
0.024438085839
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410VJJ0
9127.43000000
PA
USD
9708.06000000
0.000059583089
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 II Pool
36192STM2
421324.82000000
PA
USD
408645.43000000
0.002508055905
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS47
4377732.32000000
PA
USD
4231380.70000000
0.025970042913
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412CEK2
157.33000000
PA
USD
164.60000000
0.000001010230
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202C6L2
10174.63000000
PA
USD
10594.69000000
0.000065024769
Long
ABS-MBS
USGA
US
N
2
2028-11-20
Fixed
7.00000000
N
N
N
N
N
N
BORAL FINANCE PTY LTD
549300X2TYFVNPM0UT91
Boral Finance Pty Ltd
09952AAA4
5545000.00000000
PA
USD
5531741.91000000
0.033950992588
Long
DBT
CORP
AU
N
2
2022-11-01
Fixed
3.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFW4
323267.25000000
PA
USD
337225.09000000
0.002069714516
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
UKG INC
529900FKHWSTQ1GXK240
UKG Inc
90385KAK7
17691100.00000000
PA
USD
17112954.85000000
0.105030533372
Long
LON
CORP
US
N
2
2026-05-03
Floating
5.53514000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042699
51593000.00000000
PA
USD
51278605.16000000
0.314721758910
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133APV63
2177273.10000000
PA
USD
1947775.45000000
0.011954445985
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RJL4
247483.67000000
PA
USD
257811.78000000
0.001582316379
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
3140X7CA5
9133032.08000000
PA
USD
9062798.70000000
0.055622806794
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPZP2
356260.44000000
PA
USD
362664.77000000
0.002225850214
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCDA3
26498194.80000000
PA
USD
25669302.12000000
0.157545001234
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
3.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2T0
37030000.00000000
PA
USD
32910116.26000000
0.201985401962
Long
DBT
CORP
FR
N
2
2028-01-20
Fixed
2.59100000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCA5
12709000.00000000
PA
USD
11161742.80000000
0.068505048364
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WAXP7
239350.44000000
PA
USD
244279.45000000
0.001499261883
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VSG6
12065605.60000000
PA
USD
11051437.76000000
0.067828052644
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJC3
588024.91000000
PA
USD
629100.03000000
0.003861093088
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
31418MG63
584413.50000000
PA
USD
629656.34000000
0.003864507433
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2022-2
80286MAE8
17240000.00000000
PA
USD
16718783.08000000
0.102611309363
Long
ABS-O
CORP
US
N
2
2029-07-16
Fixed
3.76000000
N
N
N
N
N
N
NTT FINANCE CORP
3538007PR116187GD960
NTT Finance Corp
62954WAE5
3650000.00000000
PA
USD
3057765.60000000
0.018766995805
Long
DBT
CORP
JP
N
2
2031-04-03
Fixed
2.06500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184SPQ7
518779.14000000
PA
USD
504344.30000000
0.003095406450
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207BB0
3565000.00000000
PA
USD
3127870.40000000
0.019197263085
Long
DBT
CORP
US
N
2
2032-03-17
Fixed
3.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408F7B9
53414.70000000
PA
USD
55647.94000000
0.000341538493
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
31416BTB4
285089.57000000
PA
USD
297517.36000000
0.001826008850
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.00000000
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
9698772.33000000
0.059526086512
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
4.24750000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D6CG3
2220952.05000000
PA
USD
2214929.81000000
0.013594102325
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
4.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM5
64830PAA4
5440637.44000000
PA
USD
5134209.31000000
0.031511141530
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
2.70986000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E2K53
1769468.61000000
PA
USD
1766775.97000000
0.010843564077
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7L3
1743435.66000000
PA
USD
1760466.46000000
0.010804839544
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
4.50000000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
37862550.00000000
PA
USD
36360050.43000000
0.223159327163
Long
ABS-O
CORP
US
N
2
2049-06-05
Fixed
4.19400000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAG0
6741000.00000000
PA
USD
6724147.50000000
0.041269366079
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDKJ2
5118892.21000000
PA
USD
5117112.99000000
0.031406213092
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
Cantor Commercial Real Estate
N/A
Cantor Commercial Real Estate Lending 2019-CF2
12528YAK9
9752000.00000000
PA
USD
8397996.24000000
0.051542590515
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.26720000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNDJ8
28581917.01000000
PA
USD
25660077.38000000
0.157488384514
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
KOOKMIN BANK
549300XXMOJSIW8P4769
Kookmin Bank
50050GAN8
2465000.00000000
PA
USD
2053305.98000000
0.012602138213
Long
DBT
CORP
KR
N
2
2030-11-04
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
4953.00000000
NC
USD
-223013.12000000
-0.00136874006
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-12-20
673057106.87000000
USD
-223013.12000000
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBW4
3295000.00000000
PA
USD
2970636.91000000
0.018232244626
Long
DBT
CORP
US
N
2
2032-03-16
Fixed
4.74200000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417CNZ4
3311472.66000000
PA
USD
3184345.75000000
0.019543879797
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VKM5
326739.35000000
PA
USD
350089.28000000
0.002148668311
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBV0
50782000.00000000
PA
USD
47843651.92000000
0.293639778968
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJMU9
18038946.35000000
PA
USD
17029383.91000000
0.104517617836
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XA2E1
24286993.26000000
PA
USD
22667790.11000000
0.139123261090
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELB36
2323704.85000000
PA
USD
2271783.83000000
0.013943043119
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617G8YM9
443385.90000000
PA
USD
451059.13000000
0.002768369426
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292GLS3
40.14000000
PA
USD
40.23000000
0.000000246911
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GXB8
12249.49000000
PA
USD
12753.08000000
0.000078271859
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2019-V Ltd
12554XAU6
11000000.00000000
PA
USD
10436988.21000000
0.064056876682
Long
ABS-CBDO
CORP
KY
N
2
2035-01-15
Floating
4.26200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEAQ5
9891815.20000000
PA
USD
9201659.00000000
0.056475060043
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
3138AJNH1
873611.24000000
PA
USD
889340.09000000
0.005458313004
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418NET3
24776.93000000
PA
USD
25286.15000000
0.000155193410
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
3140QNCC4
17810191.25000000
PA
USD
15348690.13000000
0.094202382058
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BR2
3945000.00000000
PA
USD
3196641.39000000
0.019619344124
Long
DBT
CORP
US
N
2
2032-02-03
Fixed
2.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJY1
1927375.96000000
PA
USD
2076627.52000000
0.012745273855
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBU8
30800000.00000000
PA
USD
26974054.80000000
0.165552903498
Long
DBT
CORP
GB
N
2
2027-11-24
Fixed
2.27900000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKK4
30180000.00000000
PA
USD
25448319.24000000
0.156188721739
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BW8
58991000.00000000
PA
USD
57166054.42000000
0.350855900641
Long
DBT
CORP
US
N
2
2027-06-06
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WLN6
77119531.43000000
PA
USD
68767715.99000000
0.422060944620
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BX6
2175000.00000000
PA
USD
2112379.58000000
0.012964701649
Long
DBT
CORP
GB
N
2
2026-09-12
Fixed
4.29200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGNX3
2284660.43000000
PA
USD
2162752.39000000
0.013273864102
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194CP23
104991.94000000
PA
USD
101871.76000000
0.000625236575
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAQ8
5200000.00000000
PA
USD
4897214.40000000
0.030056588413
Long
DBT
CORP
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EBD1
31232555.91000000
PA
USD
28088774.60000000
0.172394481483
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6QE1
765389.49000000
PA
USD
825401.53000000
0.005065890940
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31336CMZ3
20558.77000000
PA
USD
20360.07000000
0.000124959659
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
3.97500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BWU6
1137901.30000000
PA
USD
1133293.51000000
0.006955573883
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410TY82
5053.12000000
PA
USD
5324.65000000
0.000032679968
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCBF4
9260068.88000000
PA
USD
9133525.50000000
0.056056891591
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
3.50000000
N
N
N
N
N
N
WI TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond - When Issued
91282CBM2
353690000.00000000
PA
USD
336944989.06000000
2.067995400464
Long
DBT
UST
US
N
2
2024-02-15
Fixed
0.12500000
N
N
N
N
N
N
AGL CLO 14, LTD.
N/A
AGL CLO 14 Ltd
00851WAA7
35905000.00000000
PA
USD
35039930.78000000
0.215057110324
Long
ABS-CBDO
CORP
KY
N
2
2034-12-02
Floating
3.88171000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TG3
171660000.00000000
PA
USD
158249062.50000000
0.971251521771
Long
DBT
UST
US
N
2
2052-05-15
Fixed
2.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD63
12653544.49000000
PA
USD
12080291.85000000
0.074142630972
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEL5
8645000.00000000
PA
USD
7361857.23000000
0.045183301087
Long
DBT
CORP
US
N
2
2033-01-21
Fixed
2.94300000
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BP7
6615000.00000000
PA
USD
6466162.50000000
0.039685986564
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.18500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408JR78
167031.46000000
PA
USD
175408.25000000
0.001076565807
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6.50000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2020-1
92536PAA2
2827298.15000000
PA
USD
2753462.98000000
0.016899342512
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.41700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GTZ9
1460407.65000000
PA
USD
1421450.84000000
0.008724135673
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAN5
21200000.00000000
PA
USD
18254344.80000000
0.112035799048
Long
DBT
CORP
ES
N
2
2027-09-14
Fixed
1.72200000
N
N
N
N
N
N
SHINHAN BANK
5493003P813VL21KG928
Shinhan Bank Co Ltd
82460EAJ9
5830000.00000000
PA
USD
5644925.78000000
0.034645657089
Long
DBT
CORP
KR
N
2
2026-03-24
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AQFQ5
2712690.94000000
PA
USD
2426757.04000000
0.014894189139
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
WOODSIDE FINANCE LTD
254900AIZKU6TGRRNZ98
Woodside Finance Ltd
980236AM5
12830000.00000000
PA
USD
12461625.04000000
0.076483058367
Long
DBT
CORP
AU
N
2
2025-03-05
Fixed
3.65000000
N
N
N
N
N
N
YUM! BRANDS INC
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498AR2
9270000.00000000
PA
USD
8528400.00000000
0.052342941862
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
5.37500000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAC7
55609000.00000000
PA
USD
53904917.80000000
0.330840717898
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
4.12500000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2021-A
78448YAH4
28111095.98000000
PA
USD
24967727.28000000
0.153239094960
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
1.07000000
N
N
N
N
N
N
ENI SPA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAE8
30079000.00000000
PA
USD
29752943.64000000
0.182608296889
Long
DBT
CORP
IT
N
2
2028-09-12
Fixed
4.75000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CK3
7995000.00000000
PA
USD
6625312.59000000
0.040662768130
Long
DBT
CORP
US
N
2
2050-05-20
Fixed
3.79400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDD2
25866568.01000000
PA
USD
23117123.58000000
0.141881039301
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
CHARTER NEX US INC
549300KRNU8RNVGYXG75
Charter Next Generation Inc
16125TAJ1
9815176.76760000
PA
USD
9517188.00000000
0.058411615095
Long
LON
CORP
US
N
2
2027-12-01
Floating
6.55586000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LDG1
244573.35000000
PA
USD
254341.40000000
0.001561016968
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond
000000000
1206.00000000
NC
USD
2137056.12000000
0.013116153586
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-12-20
178159943.88000000
USD
2137056.12000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENZ93
9038773.24000000
PA
USD
8776576.96000000
0.053866124662
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDB2
9106000.00000000
PA
USD
8969610.33000000
0.055050864410
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
4.48319000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128LUHZ2
111343.83000000
PA
USD
113604.70000000
0.000697247339
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Floating
2.20400000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2019-1
36418WAJ8
692221.04000000
PA
USD
678411.78000000
0.004163743299
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
4.00000000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AT2
4464000.00000000
PA
USD
3948979.39000000
0.024236808619
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
2.75000000
N
N
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AF5
30749000.00000000
PA
USD
29511137.51000000
0.181124214974
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.45000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HY6
10551000.00000000
PA
USD
7334358.83000000
0.045014530021
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
3.95000000
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAL5
3360000.00000000
PA
USD
3194721.60000000
0.019607561439
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.11000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K6NH9
1256.65000000
PA
USD
1270.17000000
0.000007795651
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 II Pool
36179TZ65
7859.63000000
PA
USD
7936.33000000
0.000048709120
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VL32
1806472.60000000
PA
USD
1688912.85000000
0.010365680211
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
3.00000000
N
N
N
N
N
N
ASCEND LEARNING LLC
549300T466HKRLVCD610
Ascend Learning LLC
04349HAK0
10507200.00000000
PA
USD
10000647.89000000
0.061378843756
Long
LON
CORP
US
N
2
2028-12-10
Floating
6.02386000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AG5
10182000.00000000
PA
USD
10177909.99000000
0.062466787544
Long
DBT
CORP
GB
N
2
2022-09-27
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9NZ2
1539946.34000000
PA
USD
1548214.88000000
0.009502148287
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FGNN5
6004199.54000000
PA
USD
5665639.18000000
0.034772785307
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
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
19909203.88000000
0.122192474699
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
3140XALH3
13187353.83000000
PA
USD
13343112.17000000
0.081893173934
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A5GA7
3012192.73000000
PA
USD
2839575.56000000
0.017427857329
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
36179TAN5
2931885.65000000
PA
USD
3017103.63000000
0.018517433504
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
36179WBX5
20443050.91000000
PA
USD
18172595.18000000
0.111534061840
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413MUF2
57256.86000000
PA
USD
56864.70000000
0.000349006341
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Floating
3.90500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202D3J8
14265.69000000
PA
USD
15355.68000000
0.000094245282
Long
ABS-MBS
USGA
US
N
2
2034-01-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERDM9
7151089.77000000
PA
USD
7160838.64000000
0.043949552157
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.50000000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
00131LAF2
40868000.00000000
PA
USD
39705346.27000000
0.243691036003
Long
DBT
CORP
HK
N
2
2028-04-06
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJMV7
17531045.82000000
PA
USD
16536057.99000000
0.101489836547
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410QTP6
13915.05000000
PA
USD
14543.49000000
0.000089260476
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9HW4
5516386.44000000
PA
USD
5214270.17000000
0.032002513996
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133GG6G3
1704375.98000000
PA
USD
1613378.66000000
0.009902090122
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
2.50000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AJ8
11083218.14000000
PA
USD
10833859.03000000
0.066492666075
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
3.69100000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHZ5
22900000.00000000
PA
USD
19160155.20000000
0.117595198362
Long
DBT
CORP
US
N
2
2031-02-13
Fixed
2.49600000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDP2
2090000.00000000
PA
USD
2001175.00000000
0.012282185015
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
6.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312943GW7
122435.54000000
PA
USD
122656.29000000
0.000752801352
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
PARKER-HANNIFIN CORP
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094AS3
6555000.00000000
PA
USD
6458457.96000000
0.039638700051
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
4.50000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BX6
14362000.00000000
PA
USD
13677923.58000000
0.083948074521
Long
DBT
CORP
US
N
2
2047-06-06
Fixed
4.66900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335GE50
2101.73000000
PA
USD
2190.01000000
0.000013441157
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.50000000
N
N
N
N
N
N
BXSC Commercial Mortgage Trust
N/A
BXSC Commercial Mortgage Trust 2022-WSS
05610BAG1
33195000.00000000
PA
USD
32199143.36000000
0.197621815220
Long
ABS-MBS
CORP
US
N
2
2035-03-15
Floating
4.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4B77
15698.46000000
PA
USD
16792.96000000
0.000103066569
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBR6
32197000.00000000
PA
USD
28610061.02000000
0.175593869970
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.18200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WZWA6
2007019.29000000
PA
USD
1953656.74000000
0.011990542324
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2021-INV1
64829WAD6
6502528.43000000
PA
USD
5351886.52000000
0.032847132518
Long
ABS-MBS
CORP
US
N
2
2051-06-25
Variable
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FX84
3231026.64000000
PA
USD
3250791.25000000
0.019951688172
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
4.00000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBL3
17214000.00000000
PA
USD
16308595.24000000
0.100093786936
Long
DBT
CORP
GB
N
2
2038-05-30
Fixed
5.00000000
N
N
N
N
N
N
WI TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond - When Issued
91282CED9
177965000.00000000
PA
USD
170512715.63000000
1.046519530168
Long
DBT
UST
US
N
2
2025-03-15
Fixed
1.75000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DZ5
9330000.00000000
PA
USD
10402950.00000000
0.063847967620
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
8.50000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNLC5
44127216.99000000
PA
USD
39616389.46000000
0.243145064762
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TCX1
2025602.28000000
PA
USD
1978232.94000000
0.012141378426
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
3.50000000
N
N
N
N
N
N
KOOKMIN BANK
549300XXMOJSIW8P4769
Kookmin Bank
50050HAN6
1410000.00000000
PA
USD
1174507.68000000
0.007208525305
Long
DBT
CORP
KR
N
2
2030-11-04
Fixed
2.50000000
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
25462000.00000000
PA
USD
24443520.00000000
0.150021779733
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F5C5
730471.99000000
PA
USD
762187.36000000
0.004677914810
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335ALP1
4392585.49000000
PA
USD
4485866.26000000
0.027531944661
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
36178NF87
2721353.67000000
PA
USD
2577160.11000000
0.015817285986
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M74W3
659360.24000000
PA
USD
673433.58000000
0.004133189663
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
Americredit Automobile Receivables Trust 2022-1
03066TAF8
36840000.00000000
PA
USD
34853959.28000000
0.213915712710
Long
ABS-O
CORP
US
N
2
2028-02-18
Fixed
3.23000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DJS0
19796.54000000
PA
USD
20933.68000000
0.000128480183
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225BEA2
1622.03000000
PA
USD
1701.37000000
0.000010442135
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
6.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-F
63935CAB7
10464446.50000000
PA
USD
9895078.06000000
0.060730910325
Long
ABS-O
CORP
US
N
2
2068-08-15
Fixed
2.60000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBN4
19858000.00000000
PA
USD
19060045.99000000
0.116980779414
Long
DBT
CORP
US
N
2
2027-03-09
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FGY6
1632641.24000000
PA
USD
1706242.03000000
0.010472037824
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
5.00000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2021-3
85573JAA4
6422648.33000000
PA
USD
5270068.76000000
0.032344977102
Long
ABS-MBS
CORP
US
N
2
2056-06-25
Variable
1.12700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31383JHB9
313.81000000
PA
USD
313.76000000
0.000001925697
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
3138W9NY2
3967823.15000000
PA
USD
3762387.52000000
0.023091603492
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
31405N2B0
356416.10000000
PA
USD
367809.07000000
0.002257423287
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377UYH5
4321.52000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ADK0
983196.81000000
PA
USD
1042296.01000000
0.006397077934
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAZ3
5985000.00000000
PA
USD
5117175.00000000
0.031406593678
Long
LON
CORP
US
N
2
2028-02-03
Floating
7.77386000
N
N
N
N
N
N
PERKINELMER INC
549300IKL1SDPFI7N655
PerkinElmer Inc
714046AN9
7580000.00000000
PA
USD
6067956.76000000
0.037242004117
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TE43
2975168.10000000
PA
USD
3061660.19000000
0.018790898800
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWJ4
24742080.29000000
PA
USD
22513976.29000000
0.138179230810
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WTY4
46787031.94000000
PA
USD
42748332.30000000
0.262367322394
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
38880000.00000000
PA
USD
32768413.92000000
0.201115705730
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERCZ1
5507196.02000000
PA
USD
5512088.17000000
0.033830368020
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GH25
2989468.94000000
PA
USD
2844286.07000000
0.017456768022
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312943DQ3
650213.65000000
PA
USD
664200.84000000
0.004076523844
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7TQ9
993133.86000000
PA
USD
1014348.84000000
0.006225552549
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2021-INV2
64831GAD7
12008583.68000000
PA
USD
9883628.77000000
0.060660640460
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GWA7
101050.60000000
PA
USD
105365.62000000
0.000646680094
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D6BQ2
5549649.95000000
PA
USD
4990646.53000000
0.030630026872
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DV4Y8
11505499.04000000
PA
USD
11318476.58000000
0.069466999859
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
4.00000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AS5
71542000.00000000
PA
USD
71452572.50000000
0.438539215833
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Madison Avenue Trust
N/A
Eleven Madison Trust 2015-11MD Mortgage Trust
556227AA4
23679000.00000000
PA
USD
22564292.13000000
0.138488043611
Long
ABS-MBS
CORP
US
N
2
2035-09-10
Variable
3.67329300
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475AZ8
3650000.00000000
PA
USD
3195027.50000000
0.019609438896
Long
DBT
CORP
US
N
2
2030-01-22
Fixed
2.55000000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2021-4
03464EAC6
5668091.49000000
PA
USD
4675451.66000000
0.028695522538
Long
ABS-MBS
CORP
US
N
2
2065-01-20
Variable
1.44600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BXR4
827603.05000000
PA
USD
877343.41000000
0.005384683540
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
31418ECT5
12428365.63000000
PA
USD
11177155.46000000
0.068599643360
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
1.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCB0
35303000.00000000
PA
USD
31448971.49000000
0.193017645319
Long
DBT
CORP
US
N
2
2027-04-22
Fixed
1.57800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A5BP6
357590.39000000
PA
USD
357907.63000000
0.002196653331
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CEW7
294770000.00000000
PA
USD
293296150.00000000
1.800101229776
Long
DBT
UST
US
N
2
2027-06-30
Fixed
3.25000000
N
N
N
N
N
AON CORP
LTS3U8DGK38SETRUWX71
Aon Corp
037389BE2
3635000.00000000
PA
USD
3168564.07000000
0.019447019945
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJNN4
4426463.13000000
PA
USD
4287444.08000000
0.026314131164
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAC3
8335000.00000000
PA
USD
8120323.74000000
0.049838379230
Long
DBT
CORP
GB
N
2
2032-04-27
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202E7H6
327670.95000000
PA
USD
344266.84000000
0.002112933163
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EG45
84872.92000000
PA
USD
90868.30000000
0.000557702985
Long
ABS-MBS
USGA
US
N
2
2036-02-20
Fixed
5.50000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBS8
3886000.00000000
PA
USD
3458656.58000000
0.021227458877
Long
DBT
CORP
GB
N
2
2049-06-19
Fixed
4.87500000
N
N
N
N
N
N
ENTEGRIS ESCROW CORP
N/A
Entegris Escrow Corp
29365BAB9
6830000.00000000
PA
USD
6522650.00000000
0.040032677845
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
5.95000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31298TQ21
149.83000000
PA
USD
151.40000000
0.000000929215
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
7.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BF8
6075000.00000000
PA
USD
5896777.73000000
0.036191395091
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31283HRL1
1471.43000000
PA
USD
1564.94000000
0.000009604798
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411CNU1
16880.29000000
PA
USD
17735.66000000
0.000108852377
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
36202EYM5
185837.95000000
PA
USD
202836.80000000
0.001244908169
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
31416CGK6
117767.12000000
PA
USD
124580.45000000
0.000764610859
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
3140QA3Y4
1128224.22000000
PA
USD
1136071.49000000
0.006972623698
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WVT2
11887749.14000000
PA
USD
10531625.86000000
0.064637714003
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGA61
3859414.72000000
PA
USD
3756878.14000000
0.023057789745
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9LV2
16454480.88000000
PA
USD
15676180.97000000
0.096212352744
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599EA9
11375000.00000000
PA
USD
13251875.00000000
0.081333207013
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
8.87500000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-EXP1 Trust
67448TAP0
7955472.23000000
PA
USD
7395687.81000000
0.045390935823
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
31416BNN4
798909.03000000
PA
USD
865109.64000000
0.005309598939
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-LTV1
46591NBH9
591457.08000000
PA
USD
579637.40000000
0.003557516853
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPD54
5306348.10000000
PA
USD
4577915.82000000
0.028096897614
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.00000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BN1
8918000.00000000
PA
USD
7605653.87000000
0.046679599730
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H052694
48265000.00000000
PA
USD
49486707.81000000
0.303724012696
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
5.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-P4
29429EAH4
11205000.00000000
PA
USD
10317139.33000000
0.063321305771
Long
ABS-MBS
CORP
US
N
2
2049-07-10
Fixed
3.07500000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2022-N1
14686GAD8
5665000.00000000
PA
USD
5506633.23000000
0.033796888398
Long
ABS-O
CORP
US
N
2
2028-12-11
Fixed
3.32000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-P7
17325HBR4
13478843.00000000
PA
USD
12748282.97000000
0.078242417610
Long
ABS-MBS
CORP
US
N
2
2050-04-14
Fixed
3.91500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETGU4
3749464.95000000
PA
USD
3675020.94000000
0.022555392266
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36183FLP2
782306.32000000
PA
USD
758791.64000000
0.004657073624
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EAK5
18512.45000000
PA
USD
19142.71000000
0.000117488128
Long
ABS-MBS
USGA
US
N
2
2034-09-20
Fixed
5.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DF3
36120000.00000000
PA
USD
34811227.92000000
0.213653449555
Long
DBT
CORP
GB
N
2
2028-06-09
Fixed
4.75500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AK31
2314814.93000000
PA
USD
2247811.34000000
0.013795912279
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
T. ROWE PRICE GOVERNMENT RESERVE FUND
5493002Y0IYARJVQ5N24
T. ROWE PRICE GOVERNMENT RESERVE FUND
76105Y109
961337975.75000000
NS
USD
961337975.75000000
5.900199073115
Long
STIV
RF
US
N
1
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UZH8
939001.48000000
PA
USD
877920.94000000
0.005388228122
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
3.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGN8
21941000.00000000
PA
USD
17890033.17000000
0.109799841252
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAT8
20461000.00000000
PA
USD
20610242.53000000
0.126495090113
Long
DBT
CORP
DK
N
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296QQD5
28648.69000000
PA
USD
29207.44000000
0.000179260275
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M75Q5
601640.59000000
PA
USD
628222.32000000
0.003855706155
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DB3
9230000.00000000
PA
USD
8999683.81000000
0.055235439994
Long
DBT
CORP
US
N
2
2032-08-19
Fixed
6.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413HDE5
686.82000000
PA
USD
710.34000000
0.000004359702
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
2807451.32000000
PA
USD
2834770.57000000
0.017398366767
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLT0
4127780.14000000
PA
USD
4117524.42000000
0.025271251504
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
LSEGA FINANCING PLC
2138009YFYTGEHZNNZ09
LSEGA Financing PLC
50220PAC7
41724000.00000000
PA
USD
36391046.94000000
0.223349567832
Long
DBT
CORP
GB
N
2
2028-04-06
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A26L1
6335246.73000000
PA
USD
6146173.07000000
0.037722055682
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194MH87
1440401.67000000
PA
USD
1361166.72000000
0.008354142686
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
31411HU57
14091.33000000
PA
USD
14670.50000000
0.000090039999
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.50000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
EUR/USD FORWARD
000000000
1.00000000
NC
USD
549964.37000000
0.003375399025
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-23880909.30000000
EUR
24688487.33000000
USD
2022-11-25
549964.37000000
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2015-NXS2
94989MAG4
6215000.00000000
PA
USD
6018396.55000000
0.036937828985
Long
ABS-MBS
CORP
US
N
2
2058-07-15
Variable
4.12100000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
5493007YBEOXQIHH3C54
Neuberger Berman Loan Advisers CLO 32 Ltd
64132DAJ7
49995000.00000000
PA
USD
49096667.34000000
0.301330144485
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
3.72757000
N
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
14880BAH4
3346114.75420000
PA
USD
3301142.97000000
0.020260721185
Long
LON
CORP
US
N
2
2028-02-22
Floating
4.37500000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAB0
11685000.00000000
PA
USD
11387289.57000000
0.069889338672
Long
DBT
CORP
IE
N
2
2025-04-10
Fixed
4.26300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPD8
2224467.45000000
PA
USD
2319897.17000000
0.014238338105
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617G82G7
201018.78000000
PA
USD
203975.90000000
0.001251899380
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
5.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAN9
13866000.00000000
PA
USD
13710007.50000000
0.084144989155
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHCV7
4466762.45000000
PA
USD
4463224.37000000
0.027392980362
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
4.00000000
N
N
N
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296AG8
20720000.00000000
PA
USD
16497595.52000000
0.101253773647
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
1.87500000
N
N
N
N
N
Santander Retail Auto Lease Tr
N/A
Santander Retail Auto Lease Trust 2021-A
80286TAG8
23480000.00000000
PA
USD
21889859.26000000
0.134348720818
Long
ABS-O
CORP
US
N
2
2027-03-22
Fixed
1.38000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HQ9
12650000.00000000
PA
USD
12670391.80000000
0.077764361587
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
4.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MV83
627646.66000000
PA
USD
642326.05000000
0.003942267610
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413CB24
26404.70000000
PA
USD
27489.96000000
0.000168719264
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
3140J9CU3
6421680.60000000
PA
USD
6220671.85000000
0.038179290956
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2021-NQM3 Trust
67114JAA8
11095756.62000000
PA
USD
9133364.43000000
0.056055903026
Long
ABS-MBS
CORP
US
N
2
2061-07-25
Variable
1.05400000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773DG2
3235000.00000000
PA
USD
3210863.67000000
0.019706633179
Long
DBT
CORP
US
N
2
2030-07-28
Fixed
4.77200000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CDS BARCLAYS BANK PLC
000000000
1.00000000
NC
31279.09000000
0.000191974999
N/A
DCR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
BARCLAYS BANK PLC
BARCLAYS BANK PLC
Y
Default Event
2024-06-20
75687.99000000
USD
0.00000000
USD
5777500.00000000
EUR
-44408.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KL53
491345.87000000
PA
USD
520373.37000000
0.003193784655
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BZ2
10354000.00000000
PA
USD
9076999.76000000
0.055709965612
Long
DBT
CORP
GB
N
2
2027-01-14
Fixed
1.45600000
N
N
N
N
N
N
SMB Private Education Loan Tru
54930039BHEBCRK29U41
SMB Private Education Loan Trust 2016-A
78449FAB7
2710505.11000000
PA
USD
2645191.97000000
0.016234830624
Long
ABS-O
CORP
US
N
2
2031-05-15
Fixed
2.70000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE24 Mortgage Trust
12593JBH8
5745000.00000000
PA
USD
5558774.68000000
0.034116905856
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 I Pool
36297FYY2
1184499.14000000
PA
USD
1232592.39000000
0.007565019442
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335APZ5
23671370.85000000
PA
USD
22988412.74000000
0.141091078228
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFW9
12890000.00000000
PA
USD
8655660.78000000
0.053124003211
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.98700000
N
N
N
N
N
N
CNO FINANCIAL GROUP INC
11XPYHB76MPM4Y4P2897
CNO Financial Group Inc
12621EAK9
9438000.00000000
PA
USD
9473392.50000000
0.058142820795
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
5.25000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CE7
9695000.00000000
PA
USD
8604448.23000000
0.052809686865
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WQA9
105927056.52000000
PA
USD
96809517.54000000
0.594167129632
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
Vertical Midco Gmbh
549300C2AFWPAYWS5574
TK Elevator US Newco Inc
000000000
5900387.06250000
PA
USD
5719717.21000000
0.035104688498
Long
LON
CORP
US
N
2
2027-07-31
Floating
6.87071000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
34959000.00000000
PA
USD
33687051.74000000
0.206753833163
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128FWAJ8
48306.97000000
PA
USD
49887.54000000
0.000306184114
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
ASTRAZENECA FINANCE LLC
549300C3HATU4Q460S18
Astrazeneca Finance LLC
04636NAE3
15129000.00000000
PA
USD
13364519.86000000
0.082024563347
Long
DBT
CORP
US
N
2
2028-05-28
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W5A2
43417998.26000000
PA
USD
38430627.07000000
0.235867463823
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
2.00000000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAL1
3345000.00000000
PA
USD
3313914.92000000
0.020339108859
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
4.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6M88
565401.03000000
PA
USD
609746.60000000
0.003742311668
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
3140J7SA4
12689576.10000000
PA
USD
12552465.48000000
0.077040590363
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36206UR27
2449.61000000
PA
USD
2556.24000000
0.000015688889
Long
ABS-MBS
USGA
US
N
2
2026-05-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCLD6
555593.03000000
PA
USD
547720.99000000
0.003361630310
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJ7A0
847456.00000000
PA
USD
913082.93000000
0.005604034369
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJDS6
10051.87000000
PA
USD
10555.11000000
0.000064781847
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7YK6
800117.11000000
PA
USD
847349.48000000
0.005200596192
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
21H020691
15755000.00000000
PA
USD
13912095.74000000
0.085385303047
Long
ABS-MBS
USGA
US
N
2
2051-09-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LX84
3592870.80000000
PA
USD
3547390.41000000
0.021772061581
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FLQ7
1510472.32000000
PA
USD
1581122.25000000
0.009704116834
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
5.00000000
N
N
N
N
N
N
AUSGRID FINANCE PTY LTD
549300DN8D7YR73BKB57
Ausgrid Finance Pty Ltd
052113AB3
23381000.00000000
PA
USD
22448495.58000000
0.137777343821
Long
DBT
CORP
AU
N
2
2028-08-01
Fixed
4.35000000
N
N
N
N
N
N
Mello Mortgage Capital Accepta
N/A
Mello Mortgage Capital Acceptance 2021-INV3
585491BM4
9424105.52000000
PA
USD
7756481.78000000
0.047605304027
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGNC4
1398599.91000000
PA
USD
1506912.51000000
0.009248655539
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
6.00000000
N
N
N
N
N
N
LSEGA FINANCING PLC
2138009YFYTGEHZNNZ09
LSEGA Financing PLC
50220PAE3
6705000.00000000
PA
USD
5332989.38000000
0.032731151572
Long
DBT
CORP
GB
N
2
2041-04-06
Fixed
3.20000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHWG3
5046151.80000000
PA
USD
5050618.05000000
0.030998101280
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
31402RJN0
205735.95000000
PA
USD
214243.24000000
0.001314915043
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BT8
8145000.00000000
PA
USD
7859810.97000000
0.048239485560
Long
DBT
CORP
US
N
2
2029-06-08
Fixed
4.60000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2021-1
30165XAF2
8374000.00000000
PA
USD
7799726.99000000
0.047870720930
Long
ABS-O
CORP
US
N
2
2027-04-15
Fixed
1.40000000
N
N
N
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AH1
17281000.00000000
PA
USD
14630734.00000000
0.089795935834
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.40000000
N
N
N
N
N
N
PERKINELMER INC
549300IKL1SDPFI7N655
PerkinElmer Inc
714046AM1
13950000.00000000
PA
USD
11803680.90000000
0.072444934936
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
1.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KML7
1386.82000000
PA
USD
1494.10000000
0.000009170018
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
Sequoia Mortgage Trust
5493003EWUCLH0O45S72
Sequoia Mortgage Trust 2018-CH4
81747LAB7
1134112.59000000
PA
USD
1120741.63000000
0.006878536886
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FMQW9
703697.24000000
PA
USD
664315.45000000
0.004077227261
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A2TA0
8291597.33000000
PA
USD
8042184.42000000
0.049358800190
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
3.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2021-PJ6
36262LAD2
11038015.62000000
PA
USD
9225540.34000000
0.056621631451
Long
ABS-MBS
CORP
US
N
2
2051-11-25
Variable
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LF50
3213693.74000000
PA
USD
3364188.16000000
0.020647660202
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X56K4
16981515.12000000
PA
USD
16996380.91000000
0.104315062362
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.00000000
N
N
N
N
N
N
Flagstar Mortgage Trust
549300H3PON1KOB2RF56
Flagstar Mortgage Trust 2018-6RR
33851FAP2
1469569.83000000
PA
USD
1433324.36000000
0.008797009245
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFY70
20030826.95000000
PA
USD
17296674.96000000
0.106158113110
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Symphony CLO Ltd
549300OJB1EXT6QKOX87
Symphony CLO XXXI Ltd
87168YAE0
14150000.00000000
PA
USD
13423747.85000000
0.082388074350
Long
ABS-CBDO
CORP
BM
N
2
2035-04-22
Floating
2.15543000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EG8
1675000.00000000
PA
USD
1614544.23000000
0.009909243793
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.35000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-LTV1
46591NAC1
1463228.92000000
PA
USD
1432237.00000000
0.008790335587
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Variable
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA7
35564KMH9
22435000.00000000
PA
USD
21088868.59000000
0.129432651207
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
3.98319000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS INDONESIA GOVERNMENT INTERNATIONAL BOND
000000000
1.00000000
NC
USD
-500713.13000000
-0.00307312019
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
REPUBLIC OF INDONESIA
Indonesia Government International Bond
Y
Default Event
2027-06-21
198884.71000000
USD
0.00000000
USD
83179000.00000000
USD
-699597.84000000
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
18492000.00000000
PA
USD
18538230.00000000
0.113778140697
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F9WP6
1711633.92000000
PA
USD
1615118.00000000
0.009912765298
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QBB3
10055000.00000000
PA
USD
10227895.73000000
0.062773574360
Long
DBT
CORP
N/A
N
2
2026-03-01
Fixed
5.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ANVW1
4657433.30000000
PA
USD
4212703.00000000
0.025855408777
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DBD0
671953.16000000
PA
USD
701134.61000000
0.004303204367
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABD2
12760000.00000000
PA
USD
12425164.84000000
0.076259284374
Long
DBT
CORP
DK
N
2
2025-03-28
Fixed
3.77300000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CG3
17245000.00000000
PA
USD
15266084.52000000
0.093695391222
Long
DBT
CORP
GB
N
2
2028-01-12
Fixed
2.60800000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2018-CH2
81747EAC1
3512009.01000000
PA
USD
3405302.94000000
0.020900001619
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
4.00000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBQ4
5557000.00000000
PA
USD
5404182.50000000
0.033168098402
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412V4C9
738.18000000
PA
USD
771.81000000
0.000004736973
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
31416CJV9
519721.15000000
PA
USD
559968.74000000
0.003436800713
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JNNV3
131083.07000000
PA
USD
130370.79000000
0.000800148994
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Floating
2.09100000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BN1
17913000.00000000
PA
USD
18037925.26000000
0.110707526993
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BN53
3044.58000000
PA
USD
3223.21000000
0.000019782408
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.50000000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-1 Mortgage Loan Trust
19688EAA6
15903410.34000000
PA
USD
13900646.17000000
0.085315031463
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
0.91000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202C2Y8
5639.19000000
PA
USD
5868.76000000
0.000036019436
Long
ABS-MBS
USGA
US
N
2
2028-05-20
Fixed
7.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CJ6
10575000.00000000
PA
USD
9627575.18000000
0.059089114948
Long
DBT
CORP
GB
N
2
2026-04-18
Fixed
1.64500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WPEG5
1019454.40000000
PA
USD
992330.99000000
0.006090418286
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
BORAL FINANCE PTY LTD
549300X2TYFVNPM0UT91
Boral Finance Pty Ltd
09952AAC0
13160000.00000000
PA
USD
12149956.84000000
0.074570198924
Long
DBT
CORP
AU
N
2
2028-05-01
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208HQZ2
74152.26000000
PA
USD
77292.62000000
0.000474382429
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31356FES6
225.12000000
PA
USD
225.32000000
0.000001382898
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
31417GP67
26750.55000000
PA
USD
25419.73000000
0.000156013255
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBB3
4360000.00000000
PA
USD
3736546.16000000
0.022933002488
Long
DBT
CORP
US
N
2
2044-11-15
Fixed
4.50000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGKX1
148183.50000000
PA
USD
159658.14000000
0.000979899716
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
6.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
EUR/USD FORWARD
000000000
1.00000000
NC
USD
270557.98000000
0.001660546013
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-11970231.34000000
EUR
12369917.36000000
USD
2022-11-25
270557.98000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K9GH1
3536.77000000
PA
USD
3685.32000000
0.000022618602
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335GDR3
866.16000000
PA
USD
874.72000000
0.000005368582
Long
ABS-MBS
USGSE
US
N
2
2024-02-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QJQE9
86030.82000000
PA
USD
88214.00000000
0.000541412254
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
2.18600000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAE2
14765000.00000000
PA
USD
14335574.74000000
0.087984399791
Long
DBT
CORP
IE
N
2
2024-04-15
Fixed
3.55000000
N
N
N
N
N
N
Invesco CLO LTD
N/A
Invesco CLO Ltd
46149MAA4
33910000.00000000
PA
USD
32988212.60000000
0.202464717212
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
3.63200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W2T4
663489.26000000
PA
USD
587249.06000000
0.003604233315
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
2.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
79092000.00000000
PA
USD
75557536.70000000
0.463733379154
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EB82
218711094.55000000
PA
USD
188281028.23000000
1.155572313037
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184Y5N3
1595545.07000000
PA
USD
1547678.65000000
0.009498857182
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
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
7492731.52000000
0.045986540305
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
4.54870000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EEA4
33527416.85000000
PA
USD
31737269.71000000
0.194787071820
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
2.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-1
89172EBJ2
256509.89000000
PA
USD
255817.80000000
0.001570078353
Long
ABS-MBS
CORP
US
N
2
2055-02-25
Variable
3.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DA4
20080000.00000000
PA
USD
18991523.44000000
0.116560223172
Long
DBT
CORP
GB
N
2
2026-03-10
Fixed
2.99900000
N
N
N
N
N
N
KKR Financial CLO Ltd
N/A
KKR CLO 36 Ltd
48255AAA6
3315000.00000000
PA
USD
3247445.31000000
0.019931152509
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
3.69200000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAM7
48133000.00000000
PA
USD
43107048.41000000
0.264568937760
Long
DBT
CORP
GB
N
2
2026-08-21
Fixed
1.53200000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300NYO16WLNMVJJ46
Wells Fargo Commercial Mortgage Trust 2015-C29
94989KAX1
6250000.00000000
PA
USD
6016448.13000000
0.036925870584
Long
ABS-MBS
CORP
US
N
2
2048-06-15
Variable
4.01300000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2020-1NV
33851YAL0
4205754.32000000
PA
USD
3966277.41000000
0.024342974987
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
3.29371000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KHU1
736539.90000000
PA
USD
780806.41000000
0.004792188983
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
31408F7A1
101125.23000000
PA
USD
106714.31000000
0.000654957661
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
31417CGY5
3757088.76000000
PA
USD
3649231.53000000
0.022397110104
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TF5
101235000.00000000
PA
USD
83945960.16000000
0.515217216860
Long
DBT
UST
US
N
2
2042-02-15
Fixed
2.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RF87
17255648.86000000
PA
USD
16473310.87000000
0.101104726930
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2KC5
415571.69000000
PA
USD
421548.23000000
0.002587246669
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4DE3
7328974.92000000
PA
USD
6901223.04000000
0.042356164856
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AC2
14633000.00000000
PA
USD
12919870.79000000
0.079295535579
Long
DBT
CORP
CH
N
2
2027-01-30
Fixed
1.36400000
N
N
N
N
N
N
DARLING INGREDIENTS INC
L1N0SPPKS7EXZYUMZ898
Darling Ingredients Inc
237266AJ0
1915000.00000000
PA
USD
1915000.00000000
0.011753287095
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DWU9
540836.08000000
PA
USD
573359.27000000
0.003518984913
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Hardee's Funding
N/A
Hardee's Funding LLC
411707AD4
27801812.50000000
PA
USD
26829833.33000000
0.164667746139
Long
ABS-O
CORP
US
N
2
2048-06-20
Fixed
4.95900000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE24 Mortgage Trust
12593JBF2
7340000.00000000
PA
USD
7176122.76000000
0.044043358241
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Fixed
3.69600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XH4E4
3290000.00000000
PA
USD
3328095.11000000
0.020426139587
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
5.00000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAC5
10315000.00000000
PA
USD
8522768.75000000
0.052308380140
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FB47
212673.76000000
PA
USD
223176.64000000
0.001369743667
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XDK7
6992923.27000000
PA
USD
7221924.02000000
0.044324462867
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Floating
6.89371000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LWU9
182565.18000000
PA
USD
196677.33000000
0.001207104503
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AU6
21055000.00000000
PA
USD
20647964.74000000
0.126726609677
Long
DBT
CORP
US
N
2
2028-11-13
Fixed
4.75000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEC5
25000000.00000000
PA
USD
22080925.00000000
0.135521384263
Long
DBT
CORP
US
N
2
2027-07-20
Fixed
1.51200000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
313989G33
4388.05000000
PA
USD
4585.56000000
0.000028143813
Long
ABS-MBS
USGSE
US
N
2
2024-02-01
Fixed
6.50000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAG8
19721000.00000000
PA
USD
18423338.48000000
0.113072995518
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YR82
2132.60000000
PA
USD
2176.55000000
0.000013358546
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312945AM0
9139.26000000
PA
USD
9155.77000000
0.000056193416
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312939WT4
620434.47000000
PA
USD
648206.89000000
0.003978361188
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36184Q2S2
535350.42000000
PA
USD
519122.16000000
0.003186105370
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
N
N
N
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244BC2
3590000.00000000
PA
USD
3148799.77000000
0.019325716816
Long
DBT
CORP
US
N
2
2032-02-14
Fixed
3.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HML4
409.05000000
PA
USD
433.64000000
0.000002661459
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
BANK LEUMI LE-ISRAEL
7JDSZWRGUQY2DSTWCR57
Bank Leumi Le-Israel BM
06326BAA7
23000000.00000000
PA
USD
20363993.00000000
0.124983736890
Long
DBT
CORP
IL
N
2
2031-01-29
Fixed
3.27500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296QR51
28269.12000000
PA
USD
28853.39000000
0.000177087298
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
31410FYU3
610048.13000000
PA
USD
645716.51000000
0.003963076514
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
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
10108705.66000000
0.062042046886
Long
ABS-MBS
CORP
US
N
2
2038-09-06
Variable
2.94923700
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FLP9
641575.01000000
PA
USD
661278.74000000
0.004058589494
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.50000000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUN
N/A
Bayview Opportunity Master Fund IVa Trust 2017-SPL5
07331UAA6
576450.71000000
PA
USD
567850.12000000
0.003485172578
Long
ABS-MBS
CORP
US
N
2
2057-06-28
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DMU4
3263036.20000000
PA
USD
3105765.49000000
0.019061594493
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
ESSEX PORTFOLIO LP
5493003GN3O58H286O74
Essex Portfolio LP
29717PAR8
5006000.00000000
PA
USD
4785515.74000000
0.029371039369
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.62500000
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-8INV
33852HAP7
9593180.05000000
PA
USD
7895638.06000000
0.048459373850
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
2.50000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CL4
12942000.00000000
PA
USD
11712510.00000000
0.071885374747
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2QJ4
2060756.58000000
PA
USD
2119204.09000000
0.013006586989
Long
ABS-MBS
USGA
US
N
2
2045-09-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617G8VD2
220857.25000000
PA
USD
224104.18000000
0.001375436431
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
5.00000000
N
N
N
N
N
N
Worldwide Plaza Trust
N/A
Worldwide Plaza Trust 2017-WWP
98162JAJ5
6005000.00000000
PA
USD
5160816.50000000
0.031674442805
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
31418WPP9
590934.05000000
PA
USD
594833.55000000
0.003650783022
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAG4
3540000.00000000
PA
USD
3179075.76000000
0.019511535303
Long
DBT
CORP
US
N
2
2032-04-05
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENBH1
4397837.85000000
PA
USD
4270339.34000000
0.026209151049
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418M7D8
404977.96000000
PA
USD
414306.36000000
0.002542799788
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLL7
4820318.30000000
PA
USD
4502792.61000000
0.027635829910
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BCW3
24266.22000000
PA
USD
24764.34000000
0.000151990808
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AM5L6
770290.39000000
PA
USD
689339.36000000
0.004230811177
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KJT2
1181629.46000000
PA
USD
1273079.85000000
0.007813510690
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QYY1
201069.66000000
PA
USD
212825.45000000
0.001306213376
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903AW3
11053000.00000000
PA
USD
10894709.99000000
0.066866138035
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.75000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BG7
3905000.00000000
PA
USD
3251385.01000000
0.019955332366
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGF3
1758663.63000000
PA
USD
1838649.38000000
0.011284686178
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.50000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2021-RR1 Trust
95003JAA3
14932053.39000000
PA
USD
12654915.25000000
0.077669374467
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Variable
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417KXK8
913394.95000000
PA
USD
932520.20000000
0.005723330356
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
CDK Global Inc
N/A
Central Parent Inc
000000000
2280000.00000000
PA
USD
2219511.60000000
0.013622223001
Long
LON
CORP
US
N
2
2029-07-06
Floating
6.60954000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417FU22
18577004.93000000
PA
USD
17662322.99000000
0.108402273043
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2018-C9
90291JAZ0
7230000.00000000
PA
USD
6869700.90000000
0.042162698140
Long
ABS-MBS
CORP
US
N
2
2051-03-15
Variable
4.31800000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBH7
19911000.00000000
PA
USD
19475327.41000000
0.119529563620
Long
DBT
CORP
GB
N
2
2025-05-07
Fixed
3.93200000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBN1
6175000.00000000
PA
USD
6329375.00000000
0.038846455097
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAC7
8505000.00000000
PA
USD
7059150.00000000
0.043325439478
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9JW3
10396206.97000000
PA
USD
10128956.77000000
0.062166337805
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
31402C3Q3
430206.77000000
PA
USD
458483.16000000
0.002813934312
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128K9DJ0
166185.34000000
PA
USD
173165.31000000
0.001062799792
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4TB2
6281767.86000000
PA
USD
5885377.44000000
0.036121425962
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
Jack in the Box Funding, LLC
N/A
Jack in the Box Funding LLC
466365AD5
35186580.00000000
PA
USD
31860251.85000000
0.195541873073
Long
ABS-O
CORP
US
N
2
2052-02-26
Fixed
3.44500000
N
N
N
N
N
N
522 Funding CLO LTD
549300HKB0UTKU91DG08
522 Funding CLO 2019-5 Ltd
33829WAE9
16085000.00000000
PA
USD
15260299.05000000
0.093659882977
Long
ABS-CBDO
CORP
KY
N
2
2035-04-15
Floating
4.17787000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XHT4
1589262.52000000
PA
USD
1586117.53000000
0.009734775299
Long
ABS-MBS
CORP
US
N
2
2029-09-25
Floating
3.79371000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERT59
9980869.36000000
PA
USD
9989734.47000000
0.061311862786
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202ECP2
57269.21000000
PA
USD
60392.51000000
0.000370658228
Long
ABS-MBS
USGA
US
N
2
2035-02-20
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV93
1305455.27000000
PA
USD
1388900.22000000
0.008524356675
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
5.50000000
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBD9
5050000.00000000
PA
USD
4560574.20000000
0.027990463652
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
4.90000000
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYJ7
17287000.00000000
PA
USD
13959650.10000000
0.085677167300
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.38300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178NGA1
15593365.46000000
PA
USD
14821592.42000000
0.090967326855
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAE3
30217000.00000000
PA
USD
28623929.54000000
0.175678987828
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.90000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAF6
11400000.00000000
PA
USD
9897183.60000000
0.060743833049
Long
DBT
CORP
ES
N
2
2030-05-28
Fixed
3.49000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAH6
6284000.00000000
PA
USD
6268290.00000000
0.038471546720
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391LAN5
189319.70000000
PA
USD
203934.66000000
0.001251646270
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36203GUU5
497.50000000
PA
USD
497.85000000
0.000003055547
Long
ABS-MBS
USGA
US
N
2
2023-02-15
Fixed
8.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAA8
1846055.86000000
PA
USD
1830101.51000000
0.011232223739
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
2.75000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-21M
05609CAJ6
11330000.00000000
PA
USD
10643406.53000000
0.065323766383
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
3.56800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MG61
5372490.72000000
PA
USD
5405359.62000000
0.033175322960
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
31403DP52
12873.99000000
PA
USD
13551.21000000
0.000083170371
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
PERRIGO INVESTMENTS LLC
549300POZGC78VHAAJ73
Perrigo Investments LLC
000000000
4515000.00000000
PA
USD
4469850.00000000
0.027433645078
Long
LON
CORP
IE
N
3
2029-04-20
Floating
4.90739000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAW8
2279000.00000000
PA
USD
2171857.37000000
0.013329745796
Long
DBT
CORP
N/A
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A8YF7
33762.69000000
PA
USD
34456.96000000
0.000211479134
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
3140QNRX2
647288.72000000
PA
USD
612862.12000000
0.003761433131
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
2.50000000
N
N
N
N
N
N
LSEGA FINANCING PLC
2138009YFYTGEHZNNZ09
LSEGA Financing PLC
50220PAD5
14998000.00000000
PA
USD
12901534.57000000
0.079182997272
Long
DBT
CORP
GB
N
2
2031-04-06
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QLPR1
26277312.86000000
PA
USD
23501445.59000000
0.144239810539
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ELX73
2133372.18000000
PA
USD
2177211.34000000
0.013362605716
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31288ALH6
8635.18000000
PA
USD
8943.18000000
0.000054888648
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S2Q9
125640.70000000
PA
USD
125107.31000000
0.000767844455
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
4.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAZ9
8846000.00000000
PA
USD
8727914.75000000
0.053567460994
Long
DBT
CORP
US
N
2
2025-07-13
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERA59
742382.09000000
PA
USD
740144.20000000
0.004542625208
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-INV1
46591VAC3
4664172.52000000
PA
USD
4369019.02000000
0.026814796276
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TD0
245868100.00000000
PA
USD
196463978.66000000
1.205795062746
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F020695
119040000.00000000
PA
USD
102399974.55000000
0.628478485368
Long
ABS-MBS
USGSE
US
N
2
2052-09-15
Fixed
2.00000000
N
N
N
N
N
N
CLEAR CHANNEL OUTDOOR HO
N/A
Clear Channel Outdoor Holdings Inc
18452RAD7
9043237.61520000
PA
USD
8356222.85000000
0.051286206888
Long
LON
CORP
US
N
2
2026-08-21
Floating
6.30513506
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKHJ7
3594469.11000000
PA
USD
3588067.40000000
0.022021716068
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NF78
10906840.49000000
PA
USD
10698551.58000000
0.065662218395
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNGN7
37187188.14000000
PA
USD
32050112.41000000
0.196707139741
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NQ65
634.07000000
PA
USD
633.62000000
0.000003888834
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292GK88
512.47000000
PA
USD
533.99000000
0.000003277356
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.50000000
N
N
N
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank NA - SBCLN
80290CAE4
5355155.10000000
PA
USD
5181798.02000000
0.031803216606
Long
ABS-O
CORP
US
N
2
2031-12-15
Fixed
1.83300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TG41
711485.27000000
PA
USD
697476.80000000
0.004280754607
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
Exeter Automobile Receivables
N/A
Exeter Automobile Receivables Trust 2022-2
30166QAE9
17900000.00000000
PA
USD
17350384.08000000
0.106487752121
Long
ABS-O
CORP
US
N
2
2028-07-17
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9YQ8
1739837.97000000
PA
USD
1689400.95000000
0.010368675919
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETUK0
5539623.27000000
PA
USD
5379252.62000000
0.033015091594
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAV3
21957000.00000000
PA
USD
20862707.03000000
0.128044587633
Long
DBT
CORP
DK
N
2
2025-12-20
Fixed
3.24400000
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDV5
15025000.00000000
PA
USD
13882288.65000000
0.085202362427
Long
DBT
CORP
US
N
2
2029-04-06
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MBKY1
2573278.97000000
PA
USD
2498728.53000000
0.015335913204
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2021-1
03063FAE4
13100000.00000000
PA
USD
12345092.85000000
0.075767843597
Long
ABS-O
CORP
US
N
2
2026-10-19
Fixed
0.89000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CX7
13080000.00000000
PA
USD
8971833.60000000
0.055064509700
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.50000000
N
N
N
N
N
N
REALPAGE INC
5493001RSFZX4122A604
RealPage Inc
75605VAD4
5411612.46820000
PA
USD
5198881.98000000
0.031908069184
Long
LON
CORP
US
N
2
2028-04-22
Floating
5.52386000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JACE6
11837259.97000000
PA
USD
11251749.32000000
0.069057462186
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375GQN4
1753967.92000000
PA
USD
18377.55000000
0.000112791969
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Fixed
4.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2J1
52585000.00000000
PA
USD
44742052.42000000
0.274603753182
Long
DBT
CORP
US
N
2
2031-02-11
Fixed
2.57200000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust I LLC 2019-1
03464MAA2
1157752.52000000
PA
USD
1151300.02000000
0.007066088599
Long
ABS-MBS
CORP
US
N
2
2048-11-25
Variable
3.92000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAZ3
3275000.00000000
PA
USD
3150756.33000000
0.019337725177
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
5.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DDX4
158254.33000000
PA
USD
167854.49000000
0.001030204705
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
TRANSURBAN FINANCE CO
54930081LPJMUMEA6E57
Transurban Finance Co Pty Ltd
89400PAK9
12184000.00000000
PA
USD
9932189.67000000
0.060958682339
Long
DBT
CORP
AU
N
2
2031-03-16
Fixed
2.45000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABUR1
8870768.47000000
PA
USD
8677552.22000000
0.053258361634
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
3.50000000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust 2022-1
78433QAA3
17267022.70000000
PA
USD
16134704.88000000
0.099026537159
Long
ABS-MBS
CORP
US
N
2
2062-03-27
Variable
3.16600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCNB8
10762644.92000000
PA
USD
10451926.07000000
0.064148557600
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A2MG4
76462.62000000
PA
USD
83802.01000000
0.000514333724
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128S4CS4
107116.62000000
PA
USD
109560.27000000
0.000672424703
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
2.07900000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-4
92537KAD6
5200000.00000000
PA
USD
4904971.24000000
0.030104195916
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.20700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403DE70
3169.54000000
PA
USD
3414.83000000
0.000020958473
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390MFQ2
59557.67000000
PA
USD
62466.86000000
0.000383389524
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
31417NB34
46717.72000000
PA
USD
47682.80000000
0.000292652552
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-5INV
33851PAS4
10475051.30000000
PA
USD
8621459.55000000
0.052914093616
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300V1P5RKG8RJI005
SMB Private Education Loan Trust 2018-C
78449QAB3
16510944.25000000
PA
USD
16050409.44000000
0.098509175014
Long
ABS-O
CORP
US
N
2
2035-11-15
Fixed
3.63000000
N
N
N
N
N
N
WOODSIDE FINANCE LTD
254900AIZKU6TGRRNZ98
Woodside Finance Ltd
980236AN3
41929000.00000000
PA
USD
40199428.75000000
0.246723460669
Long
DBT
CORP
AU
N
2
2026-09-15
Fixed
3.70000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAH5
8695000.00000000
PA
USD
7575518.75000000
0.046494645831
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.37500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
20767000.00000000
PA
USD
19085745.21000000
0.117138508036
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
2.09900000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKLE3
800251.77000000
PA
USD
780995.31000000
0.004793348354
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RFT1
406753.05000000
PA
USD
424406.06000000
0.002604786563
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
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
6910290.41000000
0.042411815719
Long
ABS-MBS
CORP
US
N
2
2041-12-10
Fixed
3.03100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378TDR8
3280045.07000000
PA
USD
537995.29000000
0.003301938955
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417LCP8
54055.11000000
PA
USD
55165.17000000
0.000338575499
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAKC7
6866064.22000000
PA
USD
6694434.04000000
0.041087000112
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.50000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAL7
3555000.00000000
PA
USD
3077463.96000000
0.018887894229
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.27900000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAQ5
21201000.00000000
PA
USD
13865941.62000000
0.085102032748
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.00000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D6CX6
1800000.00000000
PA
USD
1822231.30000000
0.011183920430
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
4.50000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAF4
8705000.00000000
PA
USD
7855278.84000000
0.048211669672
Long
DBT
CORP
GB
N
2
2028-02-16
Fixed
2.97200000
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDS7
19220000.00000000
PA
USD
13512217.38000000
0.082931054917
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410PAZ6
7482.36000000
PA
USD
7789.89000000
0.000047810346
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.50000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2017-1
36417JAL3
1032016.36000000
PA
USD
972668.30000000
0.005969738787
Long
ABS-MBS
CORP
US
N
2
2057-11-25
Variable
3.50000000
N
N
N
N
N
N
2022-10-26
T. ROWE PRICE NEW INCOME FUND, INC.
Alan S. Dupski
Alan S. Dupski
Treasurer & Vice President
XXXX
NPORT-EX
2
7003TRP103122.htm
T.
ROWE
PRICE
New
Income
Fund
August
31,
2022
(Unaudited)
Portfolio
of
Investments
‡
Par/Shares
$
Value
(Amounts
in
000s)
‡
ASSET-BACKED
SECURITIES
6.7%
Car
Loan
1.5%
AmeriCredit
Automobile
Receivables
Trust
Series
2021-1,
Class
C
0.89%,
10/19/26
13,100
12,345
AmeriCredit
Automobile
Receivables
Trust
Series
2021-1,
Class
D
1.21%,
12/18/26
13,530
12,627
AmeriCredit
Automobile
Receivables
Trust
Series
2022-1,
Class
D
3.23%,
2/18/28
36,840
34,854
CarMax
Auto
Owner
Trust
Series
2022-1,
Class
C
2.20%,
11/15/27
11,750
10,881
Carvana
Auto
Receivables
Trust
Series
2022-N1,
Class
C
3.32%,
12/11/28 (1)
5,665
5,507
Carvana
Auto
Receivables
Trust
Series
2022-P1,
Class
C
3.30%,
4/10/28
13,955
12,970
Exeter
Automobile
Receivables
Trust
Series
2021-2A,
Class
D
1.40%,
4/15/27
8,374
7,800
Exeter
Automobile
Receivables
Trust
Series
2022-1A,
Class
D
3.02%,
6/15/28
35,405
32,763
Exeter
Automobile
Receivables
Trust
Series
2022-2A,
Class
C
3.85%,
7/17/28
17,900
17,350
Exeter
Automobile
Receivables
Trust
Series
2022-3A,
Class
C
5.30%,
9/15/27
19,445
19,387
GM
Financial
Automobile
Leasing
Trust
Series
2021-1,
Class
D
1.01%,
7/21/25
6,650
6,423
Santander
Bank
Series
2021-1A,
Class
B
1.833%,
12/15/31 (1)
5,355
5,182
Santander
Drive
Auto
Receivables
Trust
Series
2021-3,
Class
D
1.33%,
9/15/27
29,300
27,728
Santander
Drive
Auto
Receivables
Trust
Series
2022-2,
Class
C
3.76%,
7/16/29
17,240
16,719
T.
ROWE
PRICE
New
Income
Fund
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Santander
Retail
Auto
Lease
Trust
Series
2021-A,
Class
D
1.38%,
3/22/27 (1)
23,480
21,890
244,426
Other
Asset-Backed
Securities
4.2%
522
Funding
Series
2019-5A,
Class
AR,
CLO,
FRN
3M
TSFR
+
1.33%,
3.658%,
4/15/35 (1)
28,800
28,082
522
Funding
Series
2019-5A,
Class
BR,
CLO,
FRN
3M
TSFR
+
1.85%,
4.178%,
4/15/35 (1)
16,085
15,260
AGL
Series
2021-14A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.15%,
3.882%,
12/2/34 (1)
35,905
35,040
AGL
Series
2022-17A,
Class
A,
CLO,
FRN
3M
TSFR
+
1.33%,
3.803%,
1/21/35 (1)
22,400
21,859
Applebee's
Funding
Series
2019-1A,
Class
A2I
4.194%,
6/5/49 (1)
37,863
36,360
Benefit
Street
Partners
XI
Series
2017-11A,
Class
A2R,
CLO,
FRN
3M
USD
LIBOR
+
1.50%,
4.012%,
4/15/29 (1)
16,090
15,667
Benefit
Street
Partners
XX
Series
2020-20A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.17%,
3.682%,
7/15/34 (1)
15,245
14,865
Carlyle
U.S.
Series
2019-4A,
Class
A11R,
CLO,
FRN
3M
TSFR
+
1.32%,
3.648%,
4/15/35 (1)
29,195
28,469
CBAM
Series
2019-9A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.28%,
3.792%,
2/12/30 (1)
4,538
4,517
Cedar
Funding
XIV
Series
2021-14A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.10%,
3.612%,
7/15/33 (1)
9,385
9,230
CIFC
Funding
Series
2019-5A,
Class
A2RS,
CLO,
FRN
3M
USD
LIBOR
+
1.75%,
4.262%,
1/15/35 (1)
11,000
10,437
CIFC
Funding
Series
2020-3A,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
1.13%,
3.84%,
10/20/34 (1)
20,305
19,844
CIFC
Funding
Series
2021-3A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.14%,
3.652%,
7/15/36 (1)
30,055
29,414
Driven
Brands
Funding
Series
2019-1A,
Class
A2
4.641%,
4/20/49 (1)
15,493
14,731
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Driven
Brands
Funding
Series
2021-1A,
Class
A2
2.791%,
10/20/51 (1)
14,272
11,718
Dryden
Series
2020-86A,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
1.10%,
3.84%,
7/17/34 (1)
21,235
20,740
Hardee's
Funding
Series
2018-1A,
Class
A2II
4.959%,
6/20/48 (1)
27,802
26,830
Hpefs
Equipment
Trust
Series
2022-2A,
Class
C
4.43%,
9/20/29 (1)
4,445
4,373
HPEFS
Equipment
Trust
Series
2022-1A,
Class
C
1.96%,
5/21/29 (1)
11,735
11,038
HPEFS
Equipment
Trust
Series
2022-1A,
Class
D
2.40%,
11/20/29 (1)
12,510
11,621
HPS
Loan
Management
Series
11A-17,
Class
BR,
CLO,
FRN
3M
USD
LIBOR
+
1.55%,
4.413%,
5/6/30 (1)
12,070
11,721
Invesco
Series
2021-2A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.12%,
3.632%,
7/15/34
33,910
32,988
Jack
in
the
Box
Funding
Series
2022-1A,
Class
A2I
3.445%,
2/26/52 (1)
35,187
31,860
KKR
Series
36A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.18%,
3.692%,
10/15/34 (1)
3,315
3,247
Morgan
Stanley
Eaton
Vance
Series
2021-1A,
Class
B,
CLO,
FRN
3M
USD
LIBOR
+
1.65%,
4.433%,
10/20/34 (1)
14,730
14,095
Neuberger
Berman
Loan
Advisers
Series
2019-32A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
0.99%,
3.728%,
1/20/32 (1)
49,995
49,097
Neuberger
Berman
Loan
Advisers
Series
2021-43A,
Class
A,
CLO,
FRN
3M
USD
LIBOR
+
1.13%,
3.87%,
7/17/35 (1)
15,105
14,812
OZLM
VII
Series
2014-7RA,
Class
A1R,
CLO,
FRN
3M
USD
LIBOR
+
1.01%,
3.75%,
7/17/29 (1)
31,832
31,589
Palmer
Square
Series
2022-1A,
Class
A,
CLO,
FRN
3M
TSFR
+
1.32%,
1.786%,
4/20/35 (1)
40,630
39,536
Planet
Fitness
Master
Issuer
Series
2018-1A,
Class
A2II
4.666%,
9/5/48 (1)
24,828
23,928
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Planet
Fitness
Master
Issuer
Series
2022-1A,
Class
A2I
3.251%,
12/5/51 (1)
21,920
19,689
Regatta
XIX
Funding
Series
2022-1A,
Class
B,
CLO,
FRN
3M
TSFR
+
1.85%,
2.929%,
4/20/35 (1)
15,065
14,266
Symphony
XXVI
Series
2021-26A,
Class
AR,
CLO,
FRN
3M
USD
LIBOR
+
1.08%,
3.79%,
4/20/33 (1)
14,640
14,387
Symphony
XXXI
Series
2022-31A,
Class
B,
CLO,
FRN
3M
TSFR
+
1.85%,
2.155%,
4/22/35 (1)
14,150
13,424
Wellfleet
Series
2021-3A,
Class
B,
CLO,
FRN
3M
USD
LIBOR
+
1.80%,
4.312%,
1/15/35 (1)
8,845
8,475
693,209
Student
Loan
1.0%
Navient
Private
Education
Loan
Trust
Series
2017-A,
Class
B
3.91%,
12/16/58 (1)
8,525
8,016
Navient
Private
Education
Refi
Loan
Trust
Series
2019-FA,
Class
A2
2.60%,
8/15/68 (1)
10,464
9,895
Navient
Private
Education
Refi
Loan
Trust
Series
2019-GA,
Class
A
2.40%,
10/15/68 (1)
9,687
9,243
Navient
Private
Education
Refi
Loan
Trust
Series
2020-BA,
Class
A2
2.12%,
1/15/69 (1)
13,718
12,790
Navient
Private
Education
Refi
Loan
Trust
Series
2020-CA,
Class
B
2.83%,
11/15/68 (1)
20,755
17,577
Navient
Private
Education
Refi
Loan
Trust
Series
2020-HA,
Class
A
1.31%,
1/15/69 (1)
7,000
6,454
Navient
Private
Education
Refi
Loan
Trust
Series
2022-A,
Class
A
2.23%,
7/15/70 (1)
35,120
32,005
SMB
Private
Education
Loan
Trust
Series
2016-A,
Class
A2A
2.70%,
5/15/31 (1)
2,711
2,645
SMB
Private
Education
Loan
Trust
Series
2016-B,
Class
A2A
2.43%,
2/17/32 (1)
7,098
6,890
SMB
Private
Education
Loan
Trust
Series
2016-C,
Class
A2A
2.34%,
9/15/34 (1)
5,844
5,631
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
SMB
Private
Education
Loan
Trust
Series
2018-B,
Class
A2A
3.60%,
1/15/37 (1)
7,493
7,310
SMB
Private
Education
Loan
Trust
Series
2018-C,
Class
A2A
3.63%,
11/15/35 (1)
16,511
16,050
SMB
Private
Education
Loan
Trust
Series
2021-A,
Class
APT1
1.07%,
1/15/53 (1)
28,111
24,968
159,474
Total
Asset-Backed
Securities
(Cost
$1,150,760)
1,097,109
BANK
LOANS
1.4%
(2)
FINANCIAL
INSTITUTIONS
0.2%
Insurance
0.2%
Asurion,
FRN
1M
USD
LIBOR
+
3.250%,
5.774%,
12/23/26
5,869
5,366
Asurion,
FRN
1M
USD
LIBOR
+
5.250%,
7.774%,
1/31/28
5,985
5,117
HUB
International,
FRN
1M
USD
LIBOR
+
3.250%,
5.782%,
4/25/25
17,888
17,596
Total
Financial
Institutions
28,079
INDUSTRIAL
1.2%
Airlines
0.0%
Mileage
Plus
Holdings,
FRN
1M
USD
LIBOR
+
5.250%,
7.313%,
6/21/27
5,645
5,725
5,725
Capital
Goods
0.1%
Charter
Next
Generation,
FRN
1M
USD
LIBOR
+
3.750%,
6.556%,
12/1/27
9,815
9,517
9,517
Communications
0.2%
Clear
Channel
Outdoor
Holdings,
FRN
1M
USD
LIBOR
+
3.500%,
6.306%,
8/21/26
9,043
8,356
Lamar
Media,
FRN
1M
USD
LIBOR
+
1.500%,
3.868%,
2/5/27
14,435
14,025
Mission
Broadcasting,
FRN
1M
USD
LIBOR
+
2.500%,
4.873%,
6/2/28
6,242
6,096
28,477
Consumer
Cyclical
0.4%
Caesars
Resort
Collection,
FRN
1M
USD
LIBOR
+
3.500%,
6.024%,
7/21/25
5,076
5,028
Churchill
Downs,
FRN
1M
USD
LIBOR
+
2.000%,
4.53%,
3/17/28
19,363
18,976
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Delta
2,
FRN
3M
USD
LIBOR
+
2.500%,
5.024%,
2/1/24
7,925
7,849
KFC
Holding,
FRN
1M
USD
LIBOR
+
1.750%,
4.127%,
3/15/28
17,020
16,884
UFC
Holdings,
FRN
1M
USD
LIBOR
+
2.750%,
5.52%,
4/29/26 (3)
8,173
7,928
56,665
Consumer
Products
0.0%
Sunshine
Luxembourg
VII,
FRN
1M
USD
LIBOR
+
3.750%,
6.00%,
10/1/26
2,985
2,871
2,871
Diversified
Manufacturing
0.0%
TK
Elevator
U.S.
Newco,
FRN
6M
USD
LIBOR
+
3.500%,
6.871%,
7/30/27
5,900
5,720
5,720
Health
Care
0.1%
Catalent
Pharma
Solutions,
FRN
1M
USD
LIBOR
+
2.000%,
4.375%,
2/22/28
3,346
3,301
Medline
Borrower,
FRN
1M
USD
LIBOR
+
3.250%,
5.774%,
10/23/28
12,294
11,708
15,009
Pharmaceuticals
0.0%
Perrigo
Investments,
FRN
1M
TSFR
+
2.500%,
4.907%,
4/20/29 (4)
4,515
4,470
4,470
Technology
0.4%
Applied
Systems,
FRN
1M
USD
LIBOR
+
3.000%,
5.25%,
9/19/24
12,550
12,431
Ascend
Learning,
FRN
1M
USD
LIBOR
+
3.500%,
6.024%,
12/11/28
10,507
10,000
AthenaHealth
Group,
FRN
1M
TSFR
+
3.500%,
5.80%,
2/15/29 (5)
11,065
10,567
Central
Parent,
FRN
1M
TSFR
+
4.500%,
6.61%,
6/9/29
2,280
2,219
Entegris,
FRN
1M
TSFR
+
3.000%,
5.597%,
3/2/29
9,080
9,051
RealPage,
FRN
1M
USD
LIBOR
+
3.000%,
5.524%,
4/24/28
5,412
5,199
UKG,
FRN
1M
USD
LIBOR
+
3.250%,
5.535%,
5/4/26
17,691
17,113
UKG,
FRN
1M
USD
LIBOR
+
5.250%,
7.535%,
5/3/27
3,930
3,819
70,399
Total
Industrial
198,853
Total
Bank
Loans
(Cost
$232,540)
226,932
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
BOND
MUTUAL
FUNDS
1.4%
Trusts
&
Mutual
Funds
1.4%
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
6.46% (6)(7)
19,794
184,683
T.
Rowe
Price
Institutional
High
Yield
Fund
-
Z
Class,
7.96% (6)(7)
6,043
45,628
Total
Bond
Mutual
Funds
(Cost
$233,059)
230,311
CORPORATE
BONDS
28.6%
FINANCIAL
INSTITUTIONS
12.8%
Banking
9.8%
AIB
Group,
VR,
4.263%,
4/10/25 (1)(8)
11,685
11,387
Ally
Financial,
4.75%,
6/9/27
23,765
23,240
Banco
Santander,
3.49%,
5/28/30
11,400
9,897
Banco
Santander,
VR,
1.722%,
9/14/27 (8)
21,200
18,254
Banco
Santander,
VR,
4.175%,
3/24/28 (8)
5,200
4,897
Bank
Leumi
Le-Israel,
VR,
3.275%,
1/29/31 (1)(8)
23,000
20,364
Bank
of
America,
4.45%,
3/3/26
18,903
18,824
Bank
of
America,
VR,
1.734%,
7/22/27 (8)
20,116
17,825
Bank
of
America,
VR,
1.898%,
7/23/31 (8)
73,896
58,575
Bank
of
America,
VR,
2.299%,
7/21/32 (8)
32,003
25,650
Bank
of
America,
VR,
2.496%,
2/13/31 (8)
22,900
19,160
Bank
of
America,
VR,
2.592%,
4/29/31 (8)(9)
38,880
32,768
Bank
of
America,
VR,
2.972%,
2/4/33 (8)
30,180
25,448
Bank
of
America,
VR,
3.419%,
12/20/28 (8)
22,458
20,815
Bank
of
America,
VR,
3.559%,
4/23/27 (8)
11,450
10,956
Bank
of
America,
VR,
4.271%,
7/23/29 (8)
42,340
40,529
Barclays,
VR,
2.279%,
11/24/27 (8)
30,800
26,974
Barclays,
VR,
2.852%,
5/7/26 (8)(9)
24,674
23,104
Barclays,
VR,
3.932%,
5/7/25 (8)
19,911
19,475
BNP
Paribas,
VR,
1.323%,
1/13/27 (1)(8)
10,950
9,605
BNP
Paribas,
VR,
2.591%,
1/20/28 (1)(8)
37,030
32,910
Capital
One
Financial,
3.65%,
5/11/27 (9)
11,559
11,051
Capital
One
Financial,
3.75%,
3/9/27
19,858
19,060
Capital
One
Financial,
VR,
3.273%,
3/1/30 (8)
9,245
8,131
Capital
One
Financial,
VR,
5.247%,
7/26/30 (8)
3,235
3,188
Citigroup,
VR,
2.561%,
5/1/32 (8)
10,298
8,485
Citigroup,
VR,
3.057%,
1/25/33 (8)
20,440
17,299
Citigroup,
VR,
3.106%,
4/8/26 (8)(9)
23,226
22,314
Citigroup,
Series
VAR,
VR,
3.07%,
2/24/28 (8)
20,140
18,659
Credit
Suisse
Group,
VR,
3.091%,
5/14/32 (1)(8)
10,031
7,605
Credit
Suisse
Group,
VR,
4.194%,
4/1/31 (1)(8)
3,450
2,907
Danske
Bank,
5.375%,
1/12/24 (1)
20,461
20,610
Danske
Bank,
VR,
3.244%,
12/20/25 (1)(8)(9)
21,957
20,863
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Danske
Bank,
VR,
3.773%,
3/28/25 (1)(8)
12,760
12,425
Discover
Financial
Services,
4.10%,
2/9/27
58,694
56,310
Fifth
Third
Bancorp,
VR,
4.772%,
7/28/30 (8)
3,235
3,211
Goldman
Sachs
Group,
3.50%,
11/16/26
11,635
11,166
Goldman
Sachs
Group,
VR,
1.542%,
9/10/27 (8)
31,264
27,512
Goldman
Sachs
Group,
VR,
2.383%,
7/21/32 (8)
17,287
13,960
Goldman
Sachs
Group,
VR,
2.615%,
4/22/32 (8)
45,548
37,398
Goldman
Sachs
Group,
VR,
2.65%,
10/21/32 (8)
17,735
14,680
Goldman
Sachs
Group,
VR,
3.615%,
3/15/28 (8)
19,610
18,550
Goldman
Sachs
Group,
VR,
4.482%,
8/23/28 (8)
12,805
12,495
HSBC
Holdings,
VR,
1.645%,
4/18/26 (8)
10,575
9,628
HSBC
Holdings,
VR,
2.099%,
6/4/26 (8)(9)
20,767
19,086
HSBC
Holdings,
VR,
2.999%,
3/10/26 (8)
20,080
18,992
HSBC
Holdings,
VR,
4.292%,
9/12/26 (8)
2,175
2,112
HSBC
Holdings,
VR,
4.755%,
6/9/28 (8)
36,120
34,811
HSBC
Holdings,
VR,
5.21%,
8/11/28 (8)
16,945
16,577
ING
Groep,
VR,
1.726%,
4/1/27 (8)
9,137
8,109
ING
Groep,
VR,
3.869%,
3/28/26 (8)
8,084
7,876
JPMorgan
Chase,
VR,
1.578%,
4/22/27 (8)
35,303
31,449
JPMorgan
Chase,
VR,
1.764%,
11/19/31 (8)
41,300
32,542
JPMorgan
Chase,
VR,
2.182%,
6/1/28 (8)
32,197
28,610
JPMorgan
Chase,
VR,
2.545%,
11/8/32 (8)
31,065
25,615
JPMorgan
Chase,
VR,
2.739%,
10/15/30 (8)
19,897
17,256
JPMorgan
Chase,
VR,
2.947%,
2/24/28 (8)
20,020
18,493
JPMorgan
Chase,
VR,
2.956%,
5/13/31 (8)
59,518
50,979
Kookmin
Bank,
2.50%,
11/4/30 (1)
2,465
2,053
Kookmin
Bank,
2.50%,
11/4/30 (9)
1,410
1,175
Morgan
Stanley,
VR,
1.512%,
7/20/27 (8)(9)
25,000
22,081
Morgan
Stanley,
VR,
1.593%,
5/4/27 (8)(9)
13,695
12,187
Morgan
Stanley,
VR,
2.239%,
7/21/32 (8)
15,751
12,694
Morgan
Stanley,
VR,
2.802%,
1/25/52 (8)
10,785
7,346
Morgan
Stanley,
VR,
2.943%,
1/21/33 (8)
8,645
7,362
Morgan
Stanley,
VR,
3.217%,
4/22/42 (8)
5,725
4,464
Morgan
Stanley,
VR,
4.679%,
7/17/26 (8)(9)
8,415
8,420
Nationwide
Building
Society,
VR,
2.972%,
2/16/28 (1)(8)(9)
8,705
7,855
PNC
Financial
Services
Group,
2.55%,
1/22/30
3,650
3,195
PNC
Financial
Services
Group,
VR,
4.626%,
6/6/33 (8)
12,080
11,432
Santander
Holdings
USA,
VR,
2.49%,
1/6/28 (8)
12,500
10,848
Santander
UK
Group
Holdings,
VR,
1.532%,
8/21/26 (8)
48,133
43,107
Shinhan
Bank,
3.875%,
3/24/26
5,830
5,645
Standard
Chartered,
VR,
1.456%,
1/14/27 (1)(8)
10,354
9,077
Standard
Chartered,
VR,
2.608%,
1/12/28 (1)(8)
17,245
15,266
Standard
Chartered,
VR,
2.819%,
1/30/26 (1)(8)
16,707
15,721
Standard
Chartered,
VR,
3.971%,
3/30/26 (1)(8)
10,485
10,118
Standard
Chartered,
VR,
4.644%,
4/1/31 (1)(8)(9)
36,236
34,178
Toronto-Dominion
Bank,
4.456%,
6/8/32 (9)
3,105
3,045
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Truist
Financial,
VR,
4.123%,
6/6/28 (8)
19,620
19,247
UBS
Group,
VR,
1.364%,
1/30/27 (1)(8)
14,633
12,920
UBS
Group,
VR,
2.746%,
2/11/33 (1)(8)
13,590
10,929
UBS
Group,
VR,
4.751%,
5/12/28 (1)(8)
4,085
4,000
Wells
Fargo,
4.30%,
7/22/27
11,645
11,454
Wells
Fargo,
VR,
2.393%,
6/2/28 (8)(9)
31,245
27,917
Wells
Fargo,
VR,
2.572%,
2/11/31 (8)
52,585
44,742
Wells
Fargo,
VR,
2.879%,
10/30/30 (8)(9)
53,562
46,952
Wells
Fargo,
VR,
4.478%,
4/4/31 (8)
15,936
15,306
1,601,407
Brokerage
Asset
Managers
Exchanges
0.4%
Charles
Schwab,
2.90%,
3/3/32
3,570
3,153
Intercontinental
Exchange,
4.60%,
3/15/33
9,655
9,565
LSEGA
Financing,
2.00%,
4/6/28 (1)
41,724
36,391
LSEGA
Financing,
2.50%,
4/6/31 (1)
14,998
12,902
LSEGA
Financing,
3.20%,
4/6/41 (1)(9)
6,705
5,333
67,344
Finance
Companies
0.5%
AerCap
Ireland
Capital,
2.45%,
10/29/26
18,080
15,970
AerCap
Ireland
Capital,
3.00%,
10/29/28
9,075
7,698
AerCap
Ireland
Capital,
3.30%,
1/30/32
4,390
3,534
AerCap
Ireland
Capital,
3.50%,
1/15/25
3,935
3,769
AerCap
Ireland
Capital,
4.875%,
1/16/24
29,186
29,007
AerCap
Ireland
Capital,
6.50%,
7/15/25
4,365
4,477
SMBC
Aviation
Capital
Finance,
3.55%,
4/15/24 (1)
14,765
14,335
78,790
Insurance
0.9%
AIA
Group,
3.90%,
4/6/28 (1)
40,868
39,705
Aon,
2.80%,
5/15/30
3,635
3,168
Berkshire
Hathaway
Finance,
2.50%,
1/15/51
13,080
8,972
CNO
Financial
Group,
5.25%,
5/30/25
9,438
9,473
Corebridge
Financial,
3.90%,
4/5/32 (1)
3,540
3,179
Equitable
Holdings,
4.35%,
4/20/28
36,732
36,069
Humana,
2.15%,
2/3/32
3,945
3,197
Humana,
3.70%,
3/23/29
6,040
5,704
Humana,
3.95%,
3/15/27
6,075
5,897
Humana,
4.875%,
4/1/30
17,913
18,038
Marsh
&
McLennan,
2.25%,
11/15/30
8,918
7,606
UnitedHealth
Group,
2.90%,
5/15/50
2,535
1,868
142,876
Real
Estate
Investment
Trusts
1.2%
Alexandria
Real
Estate
Equities,
3.95%,
1/15/27
25,607
25,038
Alexandria
Real
Estate
Equities,
3.95%,
1/15/28 (9)
15,766
15,167
Brixmor
Operating
Partnership,
3.90%,
3/15/27
30,217
28,624
Brixmor
Operating
Partnership,
4.05%,
7/1/30
3,745
3,329
Brixmor
Operating
Partnership,
4.125%,
6/15/26
55,609
53,905
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Essex
Portfolio,
1.65%,
1/15/31
10,099
7,833
Essex
Portfolio,
3.625%,
5/1/27 (9)
5,006
4,785
Extra
Space
Storage,
2.35%,
3/15/32
26,250
20,660
Highwoods
Realty,
4.125%,
3/15/28
17,404
16,394
Highwoods
Realty,
4.20%,
4/15/29
11,839
10,965
Realty
Income,
3.95%,
8/15/27 (9)
10,020
9,765
Regency
Centers,
4.125%,
3/15/28
9,817
9,429
205,894
Total
Financial
Institutions
2,096,311
INDUSTRIAL
13.8%
Basic
Industry
0.5%
Anglo
American
Capital,
4.125%,
9/27/22 (1)
10,182
10,178
Avient,
7.125%,
8/1/30 (1)
1,800
1,775
Celanese
U.S.
Holdings,
6.05%,
3/15/25
10,305
10,342
Celanese
U.S.
Holdings,
6.165%,
7/15/27
11,105
11,125
Celulosa
Arauco
y
Constitucion,
3.875%,
11/2/27 (9)
20,227
18,674
Ecolab,
4.80%,
3/24/30
1,388
1,429
Methanex,
5.125%,
10/15/27 (9)
9,230
8,399
Nucor,
3.125%,
4/1/32
3,535
3,101
Sherwin-Williams,
2.95%,
8/15/29
3,540
3,177
Westlake,
1.625%,
7/17/29
(EUR)
11,421
9,174
77,374
Capital
Goods
0.3%
Boral
Finance,
3.00%,
11/1/22 (1)(9)
5,545
5,532
Boral
Finance,
3.75%,
5/1/28 (1)
13,160
12,150
Martin
Marietta
Materials,
2.40%,
7/15/31
3,940
3,257
Parker-Hannifin,
4.25%,
9/15/27
9,625
9,540
Parker-Hannifin,
4.50%,
9/15/29
6,555
6,458
Waste
Connections,
4.20%,
1/15/33
9,635
9,251
46,188
Communications
3.1%
Altice
France,
5.50%,
1/15/28 (1)
10,315
8,523
CCO
Holdings,
6.375%,
9/1/29 (1)(9)
8,250
8,013
Charter
Communications
Operating,
2.25%,
1/15/29
12,175
10,010
Charter
Communications
Operating,
2.80%,
4/1/31
4,070
3,289
Charter
Communications
Operating,
5.125%,
7/1/49
7,698
6,232
Charter
Communications
Operating,
6.484%,
10/23/45
5,555
5,334
Comcast,
2.887%,
11/1/51
19,220
13,512
Comcast,
3.25%,
11/1/39
22,623
18,440
Crown
Castle,
2.10%,
4/1/31
3,955
3,151
Crown
Castle,
2.90%,
3/15/27
4,860
4,501
Crown
Castle
Towers,
3.663%,
5/15/25 (1)
50,986
50,359
Magallanes,
3.755%,
3/15/27 (1)
20,840
19,469
Magallanes,
4.054%,
3/15/29 (1)
9,190
8,368
Magallanes,
4.279%,
3/15/32 (1)
3,555
3,077
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Netflix,
4.625%,
5/15/29
(EUR)
13,335
13,148
NTT
Finance,
1.591%,
4/3/28 (1)(9)
26,137
22,597
NTT
Finance,
2.065%,
4/3/31 (1)
3,650
3,058
Rogers
Communications,
3.20%,
3/15/27 (1)
6,654
6,324
Rogers
Communications,
3.80%,
3/15/32 (1)
10,375
9,416
Rogers
Communications,
4.55%,
3/15/52 (1)
5,020
4,405
SBA
Tower
Trust,
1.84%,
4/15/27 (1)
21,685
18,862
SBA
Tower
Trust,
2.593%,
10/15/31 (1)
17,515
14,378
T-Mobile
USA,
2.05%,
2/15/28
12,155
10,536
T-Mobile
USA,
2.70%,
3/15/32 (9)
3,680
3,066
T-Mobile
USA,
3.75%,
4/15/27
79,092
75,557
Verizon
Communications,
2.10%,
3/22/28 (9)
12,383
10,937
Verizon
Communications,
2.355%,
3/15/32
21,941
17,890
Verizon
Communications,
2.55%,
3/21/31 (9)
10,940
9,196
Verizon
Communications,
2.65%,
11/20/40
37,223
26,723
Verizon
Communications,
2.875%,
11/20/50
42,403
29,035
Verizon
Communications,
2.987%,
10/30/56
12,890
8,656
Vodafone
Group,
4.375%,
5/30/28
27,950
27,529
Vodafone
Group,
4.875%,
6/19/49
3,886
3,459
Vodafone
Group,
5.00%,
5/30/38
17,214
16,309
Vodafone
Group,
5.25%,
5/30/48
11,713
10,935
504,294
Consumer
Cyclical
2.0%
Aptiv,
3.10%,
12/1/51
3,545
2,247
AutoZone,
4.75%,
8/1/32
3,360
3,340
Bath
&
Body
Works,
6.625%,
10/1/30 (1)
17,135
15,550
Ford
Motor,
6.10%,
8/19/32
9,230
9,000
Ford
Motor,
9.625%,
4/22/30
4,100
4,784
Ford
Motor
Credit,
4.95%,
5/28/27
1,705
1,606
General
Motors,
4.20%,
10/1/27 (9)
3,675
3,528
General
Motors,
5.60%,
10/15/32
3,275
3,151
General
Motors
Financial,
4.00%,
10/6/26
20,869
20,090
General
Motors
Financial,
4.30%,
7/13/25
8,846
8,728
General
Motors
Financial,
4.30%,
4/6/29
15,025
13,882
General
Motors
Financial,
4.35%,
4/9/25
20,528
20,278
General
Motors
Financial,
5.10%,
1/17/24
27,464
27,632
GLP
Capital,
3.35%,
9/1/24
6,162
5,878
Home
Depot,
2.375%,
3/15/51 (9)
12,383
8,200
Hyundai
Capital
America,
1.80%,
10/15/25 (1)(9)
11,183
10,166
Hyundai
Capital
America,
2.10%,
9/15/28 (1)(9)
16,150
13,406
Las
Vegas
Sands,
3.50%,
8/18/26
10,677
9,584
Lowe's,
3.35%,
4/1/27
1,675
1,615
Lowe's,
3.75%,
4/1/32 (9)
10,490
9,682
Marriott
International,
3.75%,
3/15/25
11,053
10,895
Marriott
International,
3.75%,
10/1/25
3,043
2,974
Marriott
International,
Series
EE,
5.75%,
5/1/25
4,435
4,566
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Marriott
International,
Series
HH,
2.85%,
4/15/31
3,905
3,251
O'Reilly
Automotive,
4.70%,
6/15/32
3,345
3,314
Ross
Stores,
1.875%,
4/15/31 (9)
20,720
16,498
Starbucks,
3.00%,
2/14/32 (9)
3,590
3,149
TJX,
1.60%,
5/15/31 (9)
9,297
7,465
Volkswagen
Bank,
2.50%,
7/31/26
(EUR)
20,000
19,272
Volkswagen
Group
of
America
Finance,
1.625%,
11/24/27 (1)
6,720
5,713
Volkswagen
Group
of
America
Finance,
3.20%,
9/26/26 (1)(9)
15,868
15,092
Volkswagen
Group
of
America
Finance,
4.60%,
6/8/29 (1)
8,145
7,860
Volkswagen
Group
of
America
Finance,
4.75%,
11/13/28 (1)
21,055
20,648
Yum!
Brands,
5.375%,
4/1/32
9,270
8,528
321,572
Consumer
Non-Cyclical
3.5%
AbbVie,
2.95%,
11/21/26
50,782
47,844
AbbVie,
3.20%,
11/21/29
18,145
16,544
AbbVie,
4.05%,
11/21/39
12,709
11,162
AbbVie,
4.25%,
11/21/49
13,924
12,272
AbbVie,
4.70%,
5/14/45
27,592
25,692
AbbVie,
4.875%,
11/14/48
27,641
26,826
Anheuser-Busch
InBev
Worldwide,
4.50%,
6/1/50 (9)
23,575
21,396
Astrazeneca
Finance,
1.75%,
5/28/28
15,129
13,365
BAT
Capital,
3.557%,
8/15/27
39,483
36,206
BAT
Capital,
4.742%,
3/16/32 (9)
3,295
2,971
BAT
International
Finance,
1.668%,
3/25/26
21,719
19,318
Becton
Dickinson
&
Company,
1.957%,
2/11/31
25,674
20,978
Becton
Dickinson
&
Company,
2.823%,
5/20/30
10,263
9,059
Becton
Dickinson
&
Company,
3.70%,
6/6/27
58,991
57,166
Becton
Dickinson
&
Company,
3.794%,
5/20/50
7,995
6,625
Becton
Dickinson
&
Company,
4.669%,
6/6/47
14,362
13,678
Cardinal
Health,
4.50%,
11/15/44 (9)
4,360
3,737
Cardinal
Health,
4.90%,
9/15/45 (9)
5,050
4,561
Cigna,
3.40%,
3/1/27
2,141
2,039
CSL
Finance,
4.05%,
4/27/29 (1)
9,480
9,219
CSL
Finance,
4.25%,
4/27/32 (1)
8,335
8,120
CVS
Health,
3.25%,
8/15/29 (9)
3,360
3,073
CVS
Health,
5.05%,
3/25/48
34,959
33,687
Darling
Ingredients,
6.00%,
6/15/30 (1)
1,915
1,915
Eli
Lilly,
2.25%,
5/15/50 (9)
6,455
4,435
Hasbro,
3.55%,
11/19/26 (9)
11,507
10,991
HCA,
3.125%,
3/15/27 (1)
8,360
7,720
HCA,
3.375%,
3/15/29 (1)
9,695
8,604
HCA,
3.50%,
9/1/30
3,445
3,010
HCA,
5.375%,
9/1/26
4,455
4,483
HCA,
5.875%,
2/15/26
20,542
20,978
Mondelez
International,
2.75%,
4/13/30 (9)
4,464
3,949
Mondelez
International,
3.00%,
3/17/32 (9)
3,565
3,128
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Mozart
Debt
Merger
Sub,
3.875%,
4/1/29 (1)
17,720
14,973
PerkinElmer,
1.90%,
9/15/28
13,950
11,804
PerkinElmer,
2.25%,
9/15/31
7,580
6,068
PerkinElmer,
3.30%,
9/15/29
9,984
8,906
Reynolds
American,
4.45%,
6/12/25
35,794
35,420
Tenet
Healthcare,
6.125%,
6/15/30 (1)
2,090
2,001
Teva
Pharmaceutical
Finance
Netherlands
III,
7.125%,
1/31/25
3,840
3,802
Utah
Acquisition
Sub,
3.95%,
6/15/26
26,418
24,793
582,518
Energy
3.5%
Aker
BP,
2.875%,
1/15/26 (1)
7,042
6,573
Boardwalk
Pipelines,
3.40%,
2/15/31
17,281
14,631
Boardwalk
Pipelines,
4.45%,
7/15/27
30,749
29,511
Boardwalk
Pipelines,
4.95%,
12/15/24 (9)
9,720
9,780
Boardwalk
Pipelines,
5.95%,
6/1/26
11,000
11,342
Cheniere
Corpus
Christi
Holdings,
3.70%,
11/15/29
21,773
20,004
Cheniere
Corpus
Christi
Holdings,
5.125%,
6/30/27
6,741
6,724
Cheniere
Corpus
Christi
Holdings,
7.00%,
6/30/24
13,836
14,182
Cheniere
Energy,
4.625%,
10/15/28
22,665
21,758
Diamondback
Energy,
3.25%,
12/1/26
25,462
24,444
Energy
Transfer,
2.90%,
5/15/25
8,447
8,004
Energy
Transfer,
4.20%,
4/15/27
2,658
2,548
Energy
Transfer,
4.25%,
4/1/24
13,866
13,710
Energy
Transfer,
4.50%,
4/15/24
6,284
6,268
Energy
Transfer,
5.875%,
1/15/24
13,657
13,811
Energy
Transfer,
6.00%,
6/15/48
29,736
28,398
Energy
Transfer,
6.25%,
4/15/49
3,985
3,925
Eni,
Series
X-R,
4.75%,
9/12/28 (1)
30,079
29,753
Enterprise
Products
Operating,
2.80%,
1/31/30
3,635
3,199
Gray
Oak
Pipeline,
2.00%,
9/15/23 (1)
2,100
2,047
Gray
Oak
Pipeline,
2.60%,
10/15/25 (1)
6,556
6,012
Gray
Oak
Pipeline,
3.45%,
10/15/27 (1)
2,741
2,490
MPLX,
4.95%,
9/1/32
3,275
3,185
Occidental
Petroleum,
8.00%,
7/15/25
14,410
15,653
Occidental
Petroleum,
8.50%,
7/15/27 (9)
9,330
10,403
Occidental
Petroleum,
8.875%,
7/15/30
11,375
13,252
Sabine
Pass
Liquefaction,
4.50%,
5/15/30
4,495
4,298
Sabine
Pass
Liquefaction,
5.00%,
3/15/27
71,542
71,453
Sabine
Pass
Liquefaction,
5.75%,
5/15/24
6,817
6,914
Sabine
Pass
Liquefaction,
5.875%,
6/30/26
14,711
15,161
Targa
Resources,
4.95%,
4/15/52
1,477
1,278
Targa
Resources
Partners,
5.50%,
3/1/30
5,557
5,404
Targa
Resources
Partners,
6.875%,
1/15/29
6,175
6,329
Transcontinental
Gas
Pipe
Line,
3.25%,
5/15/30
7,309
6,537
Transcontinental
Gas
Pipe
Line,
4.00%,
3/15/28
10,600
10,192
Transcontinental
Gas
Pipe
Line,
4.60%,
3/15/48
2,806
2,565
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Venture
Global
Calcasieu
Pass,
3.875%,
11/1/33 (1)
8,505
7,059
Williams,
2.60%,
3/15/31
29,160
24,268
Williams,
3.75%,
6/15/27 (9)
7,096
6,839
Woodside
Finance,
3.65%,
3/5/25 (1)
12,830
12,462
Woodside
Finance,
3.70%,
9/15/26 (1)
41,929
40,199
Woodside
Finance,
3.70%,
3/15/28 (1)
34,813
32,246
574,811
Technology
0.6%
Alphabet,
2.05%,
8/15/50
22,095
14,550
Apple,
2.40%,
8/20/50 (9)
4,660
3,228
Broadcom,
4.11%,
9/15/28
3,360
3,195
Central
Parent,
7.25%,
6/15/29 (1)(9)
3,570
3,409
Entegris
Escrow,
5.95%,
6/15/30 (1)(9)
6,830
6,523
Fiserv,
3.50%,
7/1/29
3,530
3,238
Micron
Technology,
4.185%,
2/15/27
6,615
6,466
NXP,
2.70%,
5/1/25
2,279
2,172
NXP,
3.15%,
5/1/27
4,632
4,315
NXP,
5.35%,
3/1/26
10,055
10,228
Oracle,
2.30%,
3/25/28
12,072
10,498
Sensata
Technologies,
5.875%,
9/1/30 (1)(9)
4,690
4,590
Visa,
2.00%,
8/15/50 (9)
21,201
13,866
Workday,
3.50%,
4/1/27
4,940
4,719
Workday,
3.70%,
4/1/29
3,910
3,672
94,669
Transportation
0.3%
Mileage
Plus
Holdings,
6.50%,
6/20/27 (1)
18,492
18,538
Transurban
Finance,
2.45%,
3/16/31 (1)(9)
12,184
9,932
Transurban
Finance,
3.375%,
3/22/27 (1)(9)
10,230
9,654
United
Airlines
PTT,
Series
2019-2,
Class
A,
2.90%,
5/1/28
7,288
6,056
United
Airlines
PTT,
Series
2019-2,
Class
AA,
2.70%,
5/1/32
4,538
3,831
48,011
Total
Industrial
2,249,437
UTILITY
2.0%
Electric
1.9%
Ausgrid
Finance,
3.85%,
5/1/23 (1)
14,852
14,795
Ausgrid
Finance,
4.35%,
8/1/28 (1)
23,381
22,448
Duke
Energy,
4.50%,
8/15/32
34,640
33,340
Edison
International,
4.95%,
4/15/25
1,409
1,412
Enel
Finance
International,
1.875%,
7/12/28 (1)
18,162
14,941
Enel
Finance
International,
2.25%,
7/12/31 (1)(9)
23,114
17,509
Enel
Finance
International,
3.50%,
4/6/28 (1)(9)
11,261
10,210
NextEra
Energy
Capital
Holdings,
2.44%,
1/15/32
20,625
17,144
NextEra
Energy
Capital
Holdings,
3.00%,
1/15/52 (9)
18,905
13,531
NextEra
Energy
Capital
Holdings,
5.00%,
7/15/32
3,010
3,061
NRG
Energy,
4.45%,
6/15/29 (1)
12,942
11,713
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Pacific
Gas
&
Electric,
2.10%,
8/1/27
10,318
8,726
Pacific
Gas
&
Electric,
2.50%,
2/1/31
20,828
15,933
Pacific
Gas
&
Electric,
3.95%,
12/1/47 (9)
10,551
7,334
Pacific
Gas
&
Electric,
4.55%,
7/1/30
13,652
12,108
Southern
California
Edison,
Series
D,
4.70%,
6/1/27
12,650
12,670
Vistra,
VR,
8.00% (1)(8)(10)
9,640
9,254
Vistra
Operations,
3.55%,
7/15/24 (1)
44,076
42,423
Vistra
Operations,
4.375%,
5/1/29 (1)
8,695
7,576
Vistra
Operations,
5.125%,
5/13/25 (1)
17,905
17,815
Xcel
Energy,
4.60%,
6/1/32 (9)
6,250
6,181
300,124
Natural
Gas
0.1%
APA
Infrastructure,
4.25%,
7/15/27 (1)
4,605
4,453
Sempra
Energy,
3.70%,
4/1/29
5,155
4,808
Sempra
Energy,
3.80%,
2/1/38
8,243
7,084
16,345
Total
Utility
316,469
Total
Corporate
Bonds
(Cost
$5,180,298)
4,662,217
FOREIGN
GOVERNMENT
OBLIGATIONS
&
MUNICIPALITIES
0.1%
Owned
No
Guarantee
0.1%
NBN,
2.625%,
5/5/31 (1)
16,981
14,350
Total
Foreign
Government
Obligations
&
Municipalities
(Cost
$16,973)
14,350
NON-U.S.
GOVERNMENT
MORTGAGE-BACKED
SECURITIES
7.9%
Collateralized
Mortgage
Obligations
4.2%
Angel
Oak
Mortgage
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.068%,
5/25/66 (1)
9,805
8,700
Angel
Oak
Mortgage
Trust
Series
2021-4,
Class
A3,
CMO,
ARM
1.446%,
1/20/65 (1)
5,668
4,675
Angel
Oak
Mortgage
Trust
I
Series
2019-1,
Class
A1,
CMO,
ARM
3.92%,
11/25/48 (1)
1,158
1,151
Angel
Oak
Mortgage
Trust
I
Series
2019-1,
Class
A2,
CMO,
ARM
4.022%,
11/25/48 (1)
445
443
Barclays
Mortgage
Loan
Trust
Series
2021-NQM1,
Class
A1,
CMO,
ARM
1.747%,
9/25/51 (1)
6,147
5,674
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
BINOM
Securitization
Trust
Series
2021-INV1,
Class
A1,
CMO,
ARM
2.034%,
6/25/56 (1)
11,234
10,245
Citigroup
Mortgage
Loan
Trust
Series
2022-INV1,
Class
A4B,
CMO,
ARM
3.00%,
11/27/51 (1)
8,120
7,086
COLT
Mortgage
Loan
Trust
Series
2020-3,
Class
A1,
CMO,
ARM
1.506%,
4/27/65 (1)
2,486
2,392
COLT
Mortgage
Loan
Trust
Series
2021-1,
Class
A1,
CMO,
ARM
0.91%,
6/25/66 (1)
15,903
13,901
COLT
Mortgage
Loan
Trust
Series
2021-6,
Class
A1,
CMO,
ARM
1.907%,
12/25/66 (1)
13,216
11,870
Connecticut
Avenue
Securities
Series
2016-C05,
Class
2M2,
CMO,
ARM
1M
USD
LIBOR
+
4.45%,
6.894%,
1/25/29
6,993
7,222
Connecticut
Avenue
Securities
Series
2017-C02,
Class
2ED3,
CMO,
ARM
1M
USD
LIBOR
+
1.35%,
3.794%,
9/25/29
1,589
1,586
Connecticut
Avenue
Securities
Series
2017-C04,
Class
2ED2,
CMO,
ARM
1M
USD
LIBOR
+
1.10%,
3.544%,
11/25/29
24,893
24,746
Connecticut
Avenue
Securities
Series
2017-C06,
Class
2ED1,
CMO,
ARM
1M
USD
LIBOR
+
1.00%,
3.444%,
2/25/30
618
615
Connecticut
Avenue
Securities
Series
2021-R03,
Class
1M2,
CMO,
ARM
SOFR30A
+
1.65%,
3.833%,
12/25/41 (1)
11,825
11,113
Connecticut
Avenue
Securities
Series
2022-R01,
Class
1M2,
CMO,
ARM
SOFR30A
+
1.90%,
4.083%,
12/25/41 (1)
19,620
18,303
Connecticut
Avenue
Securities
Trust
Series
2022-R01,
Class
1M1,
CMO,
ARM
SOFR30A
+
1.00%,
3.183%,
12/25/41 (1)
7,131
7,044
Connecticut
Avenue
Securities
Trust
Series
2022-R02,
Class
2M1,
CMO,
ARM
SOFR30A
+
1.20%,
3.383%,
1/25/42 (1)
38,032
37,772
Connecticut
Avenue
Securities
Trust
Series
2022-R03,
Class
1M1,
CMO,
ARM
SOFR30A
+
2.10%,
4.283%,
3/25/42 (1)
23,682
23,671
Connecticut
Avenue
Securities
Trust
Series
2022-R04,
Class
1M1,
CMO,
ARM
SOFR30A
+
2.00%,
4.183%,
3/25/42 (1)
15,675
15,658
Deephaven
Residential
Mortgage
Trust
Series
2021-2,
Class
A1,
CMO,
ARM
0.899%,
4/25/66 (1)
7,864
6,887
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Ellington
Financial
Mortgage
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.241%,
9/25/66 (1)
11,679
9,987
Flagstar
Mortgage
Trust
Series
2018-6RR,
Class
2A4,
CMO,
ARM
4.00%,
9/25/48 (1)
1,470
1,433
Flagstar
Mortgage
Trust
Series
2020-1INV,
Class
A11,
CMO,
ARM
1M
USD
LIBOR
+
0.85%,
3.294%,
3/25/50 (1)
4,206
3,966
Flagstar
Mortgage
Trust
Series
2021-5INV,
Class
A16,
CMO,
ARM
2.50%,
7/25/51 (1)
10,475
8,621
Flagstar
Mortgage
Trust
Series
2021-8INV,
Class
A18,
CMO,
ARM
2.50%,
9/25/51 (1)
9,593
7,896
FWD
Securitization
Trust
Series
2020-INV1,
Class
A3,
CMO,
ARM
2.44%,
1/25/50 (1)
1,417
1,347
Galton
Funding
Mortgage
Trust
Series
2018-1,
Class
A23,
CMO,
ARM
3.50%,
11/25/57 (1)
1,032
973
Galton
Funding
Mortgage
Trust
Series
2018-2,
Class
A22,
CMO,
ARM
4.00%,
10/25/58 (1)
2,424
2,351
Galton
Funding
Mortgage
Trust
Series
2018-2,
Class
A31,
CMO,
ARM
4.50%,
10/25/58 (1)
1,192
1,159
Galton
Funding
Mortgage
Trust
Series
2019-1,
Class
A22,
CMO,
ARM
4.00%,
2/25/59 (1)
692
678
GCAT
Trust
Series
2022-INV1,
Class
A26,
CMO,
ARM
3.00%,
12/25/51 (1)
9,410
8,042
GS
Mortgage-Backed
Securities
Trust
Series
2014-EB1A,
Class
2A1,
CMO,
ARM
1.945%,
7/25/44 (1)
482
482
GS
Mortgage-Backed
Securities
Trust
Series
2020-INV1,
Class
A14,
CMO,
ARM
2.942%,
10/25/50 (1)
18,293
16,204
GS
Mortgage-Backed
Securities
Trust
Series
2021-PJ6,
Class
A4,
CMO,
ARM
2.50%,
11/25/51 (1)
11,038
9,226
GS
Mortgage-Backed
Securities
Trust
Series
2021-PJ6,
Class
A8,
CMO,
ARM
2.50%,
11/25/51 (1)
18,291
16,394
Imperial
Fund
Mortgage
Trust
Series
2021-NQM2,
Class
A1,
CMO,
ARM
1.073%,
9/25/56 (1)
13,582
11,359
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
JPMorgan
Mortgage
Trust
Series
2019-INV3,
Class
A3,
CMO,
ARM
3.50%,
5/25/50 (1)
5,543
5,218
JPMorgan
Mortgage
Trust
Series
2020-INV1,
Class
A11,
CMO,
ARM
1M
USD
LIBOR
+
0.83%,
3.089%,
8/25/50 (1)
2,758
2,636
JPMorgan
Mortgage
Trust
Series
2020-INV1,
Class
A3,
CMO,
ARM
3.50%,
8/25/50 (1)
4,664
4,369
JPMorgan
Mortgage
Trust
Series
2020-LTV1,
Class
A15,
CMO,
ARM
3.50%,
6/25/50 (1)
591
580
JPMorgan
Mortgage
Trust
Series
2020-LTV1,
Class
A3,
CMO,
ARM
3.50%,
6/25/50 (1)
1,463
1,432
Mello
Mortgage
Capital
Acceptance
Series
2021-INV3,
Class
A15,
CMO,
ARM
2.50%,
10/25/51 (1)
9,424
7,756
New
Residential
Mortgage
Loan
Trust
Series
2019-NQM5,
Class
A1,
CMO,
ARM
2.71%,
11/25/59 (1)
5,441
5,134
New
Residential
Mortgage
Loan
Trust
Series
2021-INV1,
Class
A4,
CMO,
ARM
2.50%,
6/25/51 (1)
6,503
5,352
New
Residential
Mortgage
Loan
Trust
Series
2021-INV1,
Class
A6,
CMO,
ARM
2.50%,
6/25/51 (1)
15,978
14,392
New
Residential
Mortgage
Loan
Trust
Series
2021-INV2,
Class
A2,
CMO,
ARM
2.50%,
9/25/51 (1)
15,482
13,130
New
Residential
Mortgage
Loan
Trust
Series
2021-INV2,
Class
A4,
CMO,
ARM
2.50%,
9/25/51 (1)
12,009
9,884
OBX
Trust
Series
2019-EXP2,
Class
1A3,
CMO,
ARM
4.00%,
6/25/59 (1)
4,583
4,318
OBX
Trust
Series
2019-EXP3,
Class
1A8,
CMO,
ARM
3.50%,
10/25/59 (1)
2,762
2,624
OBX
Trust
Series
2019-INV2,
Class
A25,
CMO,
ARM
4.00%,
5/27/49 (1)
1,146
1,104
OBX
Trust
Series
2019-INV2,
Class
A5,
CMO,
ARM
4.00%,
5/27/49 (1)
3,103
2,988
OBX
Trust
Series
2020-EXP1,
Class
1A8,
CMO,
ARM
3.50%,
2/25/60 (1)
7,955
7,396
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
OBX
Trust
Series
2021-NQM1,
Class
A1,
CMO,
ARM
1.072%,
2/25/66 (1)
9,555
8,524
OBX
Trust
Series
2021-NQM3,
Class
A1,
CMO,
ARM
1.054%,
7/25/61 (1)
11,096
9,133
Sequoia
Mortgage
Trust
Series
2018-CH1,
Class
A2,
CMO,
ARM
3.50%,
3/25/48 (1)
1,031
972
Sequoia
Mortgage
Trust
Series
2018-CH2,
Class
A3,
CMO,
ARM
4.00%,
6/25/48 (1)
3,512
3,405
Sequoia
Mortgage
Trust
Series
2018-CH3,
Class
A2,
CMO,
ARM
4.00%,
8/25/48 (1)
1,141
1,127
Sequoia
Mortgage
Trust
Series
2018-CH4,
Class
A2,
CMO,
ARM
4.00%,
10/25/48 (1)
1,134
1,121
SG
Residential
Mortgage
Trust
Series
2019-3,
Class
A1,
CMO,
ARM
2.703%,
9/25/59 (1)
957
933
SG
Residential
Mortgage
Trust
Series
2022-1,
Class
A1,
CMO,
ARM
3.166%,
3/27/62 (1)
17,267
16,135
Starwood
Mortgage
Residential
Trust
Series
2021-3,
Class
A1,
CMO,
ARM
1.127%,
6/25/56 (1)
6,423
5,270
Starwood
Mortgage
Residential
Trust
Series
2021-4,
Class
A2,
CMO,
ARM
1.369%,
8/25/56 (1)
13,743
12,174
Structured
Agency
Credit
Risk
Debt
Notes
Series
2021-DNA2,
Class
M2,
CMO,
ARM
SOFR30A
+
2.30%,
4.483%,
8/25/33 (1)
9,106
8,970
Structured
Agency
Credit
Risk
Debt
Notes
Series
2021-DNA7,
Class
M2,
CMO,
ARM
SOFR30A
+
1.80%,
3.983%,
11/25/41 (1)
22,435
21,089
Structured
Agency
Credit
Risk
Debt
Notes
Series
2022-DNA1,
Class
M1B,
CMO,
ARM
SOFR30A
+
1.85%,
4.033%,
1/25/42 (1)
18,780
18,004
Structured
Agency
Credit
Risk
Debt
Notes
Series
2022-DNA2,
Class
M1B,
CMO,
ARM
SOFR30A
+
2.40%,
4.583%,
2/25/42 (1)
46,570
45,411
Structured
Agency
Credit
Risk
Debt
Notes
Series
2022-DNA3,
Class
M1A,
CMO,
ARM
SOFR30A
+
2.00%,
4.183%,
4/25/42 (1)
18,216
18,310
Structured
Agency
Credit
Risk
Debt
Notes
Series
2022-DNA5,
Class
M1A,
CMO,
ARM
SOFR30A
+
2.95%,
5.133%,
6/25/42 (1)
29,088
29,794
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Towd
Point
Mortgage
Trust
Series
2016-1,
Class
A3B,
CMO,
ARM
3.00%,
2/25/55 (1)
257
256
Towd
Point
Mortgage
Trust
Series
2017-1,
Class
A1,
CMO,
ARM
2.75%,
10/25/56 (1)
1,846
1,830
Towd
Point
Mortgage
Trust
Series
2017-2,
Class
A1,
CMO,
ARM
2.75%,
4/25/57 (1)
751
745
Towd
Point
Mortgage
Trust
Series
2017-5,
Class
A1,
CMO,
ARM
1M
USD
LIBOR
+
0.60%,
3.044%,
2/25/57 (1)
3,014
2,988
Verus
Securitization
Trust
Series
2019-4,
Class
A1,
CMO,
STEP
2.642%,
11/25/59 (1)
2,744
2,694
Verus
Securitization
Trust
Series
2019-4,
Class
M1,
CMO,
ARM
3.207%,
11/25/59 (1)
5,200
4,905
Verus
Securitization
Trust
Series
2019-INV2,
Class
A3,
CMO,
ARM
3.219%,
7/25/59 (1)
4,880
4,853
Verus
Securitization
Trust
Series
2019-INV3,
Class
A3,
CMO,
ARM
3.10%,
11/25/59 (1)
5,937
5,736
Verus
Securitization
Trust
Series
2020-1,
Class
A1,
CMO,
STEP
2.417%,
1/25/60 (1)
2,827
2,753
Verus
Securitization
Trust
Series
2020-2,
Class
A3,
CMO,
ARM
3.995%,
5/25/60 (1)
7,815
7,707
Verus
Securitization
Trust
Series
2020-INV1,
Class
A1,
CMO,
ARM
1.977%,
3/25/60 (1)
1,310
1,287
Verus
Securitization
Trust
Series
2022-1,
Class
A1,
CMO,
STEP
2.724%,
1/25/67 (1)
6,102
5,650
Vista
Point
Securitization
Trust
Series
2020-1,
Class
A3,
CMO,
ARM
3.201%,
3/25/65 (1)
17,346
16,981
Vista
Point
Securitization
Trust
Series
2020-2,
Class
A1,
CMO,
ARM
1.475%,
4/25/65 (1)
2,785
2,623
Wells
Fargo
Mortgage
Backed
Securities
Trust
Series
2021-RR1,
Class
A1,
CMO,
ARM
2.50%,
12/25/50 (1)
14,932
12,655
683,220
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Commercial
Mortgage-Backed
Securities
3.7%
Austin
Fairmont
Hotel
Trust
Series
2019-FAIR,
Class
B,
ARM
1M
USD
LIBOR
+
1.25%,
3.641%,
9/15/32 (1)
11,890
11,593
Aventura
Mall
Trust
Series
2018-AVM,
Class
A,
ARM
4.249%,
7/5/40 (1)
39,170
37,067
BAMLL
Commercial
Mortgage-Backed
Securities
Trust
Series
2018-DSNY,
Class
A,
ARM
1M
USD
LIBOR
+
0.85%,
3.242%,
9/15/34 (1)
35,456
34,747
BANK
Series
2017-BNK8,
Class
AS
3.731%,
11/15/50
2,705
2,522
BBCMS
Mortgage
Trust
Series
2019-BWAY,
Class
D,
ARM
1M
USD
LIBOR
+
2.16%,
4.551%,
11/15/34 (1)
10,230
9,207
BX
Commercial
Mortgage
Trust
Series
2021-21M,
Class
C,
ARM
1M
USD
LIBOR
+
1.177%,
3.568%,
10/15/36 (1)
11,330
10,643
BX
Commercial
Mortgage
Trust
Series
2022-CSMO,
Class
B,
ARM
1M
TSFR
+
3.141%,
5.448%,
6/15/27 (1)
17,850
17,693
BX
Trust
Series
2021-ARIA,
Class
B,
ARM
1M
USD
LIBOR
+
1.297%,
3.688%,
10/15/36 (1)
15,280
14,401
BX
Trust
Series
2021-ARIA,
Class
C,
ARM
1M
USD
LIBOR
+
1.646%,
4.037%,
10/15/36 (1)
16,295
15,337
BX
Trust
Series
2021-LGCY,
Class
C,
ARM
1M
USD
LIBOR
+
1.004%,
3.395%,
10/15/23 (1)
13,125
12,247
BXSC
Commercial
Mortgage
Trust
Series
2022-WSS,
Class
B,
ARM
1M
TSFR
+
2.092%,
4.40%,
3/15/35 (1)
33,195
32,199
BXSC
Commercial
Mortgage
Trust
Series
2022-WSS,
Class
C,
ARM
1M
TSFR
+
2.391%,
4.699%,
3/15/35 (1)
5,815
5,612
Cantor
Commercial
Real
Estate
Lending
Series
2019-CF2,
Class
B
3.267%,
11/15/52
9,752
8,398
Citigroup
Commercial
Mortgage
Trust
Series
2013-375P,
Class
D,
ARM
3.635%,
5/10/35 (1)
14,725
13,636
Citigroup
Commercial
Mortgage
Trust
Series
2016-P4,
Class
AS
3.075%,
7/10/49
11,205
10,317
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Citigroup
Commercial
Mortgage
Trust
Series
2017-P7,
Class
AS
3.915%,
4/14/50
13,479
12,748
Citigroup
Commercial
Mortgage
Trust
Series
2019-C7,
Class
805A,
ARM
3.917%,
12/15/72 (1)
12,000
9,407
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
C
3.031%,
12/10/41 (1)
8,370
6,910
Citigroup
Commercial
Mortgage
Trust
Series
2020-555,
Class
D
3.233%,
12/10/41 (1)
5,500
4,405
Cold
Storage
Trust
Series
2020-ICE5,
Class
B,
ARM
1M
USD
LIBOR
+
1.30%,
3.691%,
11/15/37 (1)
11,083
10,834
Cold
Storage
Trust
Series
2020-ICE5,
Class
C,
ARM
1M
USD
LIBOR
+
1.65%,
4.041%,
11/15/37 (1)
23,705
23,112
Commercial
Mortgage
Trust
Series
2013-CR6,
Class
AM
3.147%,
3/10/46 (1)
6,715
6,664
Commercial
Mortgage
Trust
Series
2015-CR24,
Class
A5
3.696%,
8/10/48
7,340
7,176
Commercial
Mortgage
Trust
Series
2015-CR24,
Class
AM,
ARM
4.028%,
8/10/48
5,745
5,559
Commercial
Mortgage
Trust
Series
2015-LC21,
Class
AM,
ARM
4.043%,
7/10/48
21,415
20,730
CSAIL
Commercial
Mortgage
Trust
Series
2016-C5,
Class
AS
4.01%,
11/15/48
5,000
4,790
CSAIL
Commercial
Mortgage
Trust
Series
2019-C17,
Class
AS
3.278%,
9/15/52
7,433
6,496
Eleven
Madison
Mortgage
Trust
Series
2015-11MD,
Class
A,
ARM
3.673%,
9/10/35 (1)
23,679
22,564
Great
Wolf
Trust
Series
2019-WOLF,
Class
D,
ARM
1M
USD
LIBOR
+
1.933%,
4.324%,
12/15/36 (1)
18,025
17,214
GS
Mortgage
Securities
Trust
Series
2019-GC40,
Class
B
3.543%,
7/10/52
12,730
11,229
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2016-NINE,
Class
B,
ARM
2.949%,
9/6/38 (1)
11,320
10,109
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
AFX
4.248%,
7/5/33 (1)
9,825
9,699
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
BFX
4.549%,
7/5/33 (1)
7,620
7,493
JPMorgan
Chase
Commercial
Mortgage
Securities
Trust
Series
2018-WPT,
Class
CFX
4.95%,
7/5/33 (1)
11,395
11,192
LUXE
Trust
Series
2021-TRIP,
Class
B,
ARM
1M
USD
LIBOR
+
1.40%,
3.791%,
10/15/38 (1)
10,460
10,093
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
Series
2014-C17,
Class
B,
ARM
4.464%,
8/15/47
20,470
19,909
SLIDE
Series
2018-FUN,
Class
B,
ARM
1M
USD
LIBOR
+
1.50%,
3.891%,
6/15/31 (1)
8,867
8,756
SMRT
Series
2022-MINI,
Class
C,
ARM
1M
TSFR
+
1.55%,
3.858%,
1/15/39 (1)
20,450
19,581
UBS
Commercial
Mortgage
Trust
Series
2018-C9,
Class
AS,
ARM
4.318%,
3/15/51
7,230
6,870
VNDO
Trust
Series
2016-350P,
Class
D,
ARM
4.033%,
1/10/35 (1)
12,524
11,036
Wells
Fargo
Commercial
Mortgage
Trust
Series
2014-LC18,
Class
AS
3.808%,
12/15/47
5,860
5,628
Wells
Fargo
Commercial
Mortgage
Trust
Series
2015-C29,
Class
AS,
ARM
4.013%,
6/15/48
6,250
6,017
Wells
Fargo
Commercial
Mortgage
Trust
Series
2015-NXS2,
Class
AS,
ARM
4.121%,
7/15/58
6,215
6,018
Wells
Fargo
Commercial
Mortgage
Trust
Series
2017-C39,
Class
B
4.025%,
9/15/50
5,750
5,389
Wells
Fargo
Commercial
Mortgage
Trust
Series
2017-C41,
Class
AS,
ARM
3.785%,
11/15/50
15,000
14,004
Wells
Fargo
Commercial
Mortgage
Trust
Series
2019-JWDR,
Class
A,
ARM
2.584%,
9/15/31 (1)
26,355
23,691
Worldwide
Plaza
Trust
Series
2017-WWP,
Class
A
3.526%,
11/10/36 (1)
25,087
22,514
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Worldwide
Plaza
Trust
Series
2017-WWP,
Class
C,
ARM
3.715%,
11/10/36 (1)
6,005
5,161
608,617
Other
Asset-Backed
Securities
0.0%
New
Economy
Assets
Phase
1
Sponsor
Series
2021-1,
Class
A1
1.91%,
10/20/61 (1)
6,040
5,240
5,240
Total
Non-U.S.
Government
Mortgage-Backed
Securities
(Cost
$1,393,802)
1,297,077
U.S.
GOVERNMENT
&
AGENCY
MORTGAGE-BACKED
SECURITIES
23.0%
Conventional
15
Yr
0.2%
Federal
Home
Loan
Mortgage,
UMBS
1.50%,
4/1/37
5,550
4,991
4.00%,
6/1/37
2,221
2,215
4.50%,
9/1/37
1,800
1,822
Federal
National
Mortgage
Assn.,
UMBS
1.50%,
4/1/37
-
5/1/37
21,701
19,516
4.00%,
6/1/37
4,467
4,463
33,007
Conventional
30
Yr
2.2%
Federal
Home
Loan
Mortgage,
UMBS
2.00%,
3/1/52
-
4/1/52
163,246
140,526
2.50%,
3/1/52
25,867
23,117
Federal
National
Mortgage
Assn.,
UMBS
2.00%,
5/1/51
91,181
78,551
2.50%,
3/1/52
3,525
3,173
3.00%,
3/1/50
26,310
24,647
5.00%,
8/1/52
3,290
3,328
UMBS,
TBA,
5.00%,
9/1/52 (11)
81,065
81,806
355,148
Gnma
30
Yr
1.9%
Government
National
Mortgage
Assn.
2.00%,
3/20/51
20,443
18,173
2.50%,
3/20/52
16,377
14,956
3.00%,
6/20/52
31,512
29,611
3.50%,
1/20/47
-
9/20/47
11,816
11,535
4.00%,
4/20/47
-
5/20/47
3,275
3,267
4.50%,
3/20/48
-
1/20/49
6,625
6,704
Government
National
Mortgage
Assn.,
TBA (11)
2.00%,
9/20/51
15,755
13,912
3.00%,
9/20/52
37,710
35,393
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
4.50%,
9/20/52
43,670
43,677
5.00%,
9/20/52
86,225
87,363
5.50%,
9/20/52
48,265
49,487
314,078
U.S.
Government
&
Agency
Mortgage-Backed
Securities
4.1%
Federal
Home
Loan
Mortgage,
UMBS
2.00%,
5/1/51
-
5/1/52
43,310
37,344
2.50%,
4/1/37
-
5/1/52
152,869
137,252
Federal
National
Mortgage
Assn.,
UMBS
1.50%,
2/1/37
-
1/1/42
54,190
47,523
2.00%,
4/1/42
-
3/1/52
336,916
290,957
2.50%,
3/1/37
-
2/1/52
153,701
141,127
3.50%,
1/1/52
17,936
17,117
671,320
U.S.
Government
Agency
Obligations
11.5%
Federal
Home
Loan
Mortgage
2.50%,
5/1/30
6,391
6,128
3.00%,
12/1/42
-
4/1/47
18,009
17,139
3.50%,
9/1/42
-
3/1/46
84,439
82,169
4.00%,
10/1/40
-
8/1/45
9,077
9,066
4.50%,
6/1/39
-
5/1/42
13,865
14,148
5.00%,
7/1/25
-
8/1/40
4,133
4,313
5.50%,
4/1/26
-
12/1/39
3,855
4,089
6.00%,
10/1/32
-
8/1/38
2,517
2,713
6.50%,
2/1/24
-
9/1/39
948
1,001
7.00%,
2/1/24
-
6/1/32
22
22
7.50%,
5/1/24
-
6/1/24
2
2
Federal
Home
Loan
Mortgage,
ARM
12M
USD
LIBOR
+
1.725%,
3.975%,
7/1/35
21
20
12M
USD
LIBOR
+
1.829%,
2.204%,
2/1/37
111
114
12M
USD
LIBOR
+
1.83%,
2.079%,
3/1/36
107
110
12M
USD
LIBOR
+
1.842%,
2.091%,
1/1/37
131
130
12M
USD
LIBOR
+
1.929%,
2.186%,
12/1/36
86
88
12M
USD
LIBOR
+
2.03%,
2.275%,
11/1/36
121
120
1Y
CMT
+
2.25%,
3.099%,
10/1/36
53
55
Federal
Home
Loan
Mortgage,
CMO,
IO,
4.50%,
5/25/50
13,175
2,064
Federal
Home
Loan
Mortgage,
CMO,
PO,
Zero
Coupon,
8/15/28
8
7
Federal
Home
Loan
Mortgage,
UMBS
2.00%,
3/1/42
-
12/1/51
68,885
59,981
2.50%,
5/1/51
-
1/1/52
66,271
59,533
3.00%,
11/1/34
-
12/1/50
14,974
14,135
3.50%,
11/1/47
-
11/1/50
14,201
13,695
4.00%,
1/1/50
-
2/1/50
21,933
21,632
4.50%,
5/1/50
3,047
3,052
Federal
National
Mortgage
Assn.
3.00%,
6/1/33
-
8/1/46
6,993
6,579
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
3.50%,
6/1/42
-
5/1/46
50,894
49,393
4.00%,
11/1/40
15,794
15,623
Federal
National
Mortgage
Assn.,
ARM
12M
USD
LIBOR
+
1.34%,
1.59%,
12/1/35
69
69
12M
USD
LIBOR
+
1.599%,
2.869%,
7/1/36
268
274
12M
USD
LIBOR
+
1.655%,
3.905%,
8/1/37
57
57
12M
USD
LIBOR
+
1.881%,
4.131%,
8/1/36
141
142
Federal
National
Mortgage
Assn.,
CMO,
IO,
6.50%,
2/25/32
27
5
Federal
National
Mortgage
Assn.,
UMBS
2.00%,
12/1/51
51,571
44,458
2.50%,
5/1/30
-
1/1/52
220,741
197,916
3.00%,
6/1/27
-
4/1/51
343,500
326,222
3.50%,
11/1/32
-
12/1/48
133,854
130,540
4.00%,
11/1/40
-
12/1/49
134,367
134,151
4.50%,
7/1/39
-
5/1/50
94,469
95,895
5.00%,
3/1/23
-
12/1/47
24,348
25,360
5.50%,
2/1/23
-
9/1/41
20,424
21,606
6.00%,
11/1/32
-
1/1/41
23,053
24,775
6.50%,
8/1/27
-
3/1/41
9,541
10,195
7.00%,
10/1/29
-
4/1/37
103
106
Government
National
Mortgage
Assn.
2.00%,
8/20/51
-
5/20/52
157,975
140,354
2.50%,
8/20/50
-
12/20/51
93,695
85,664
5.00%,
6/20/48
3,665
3,740
Government
National
Mortgage
Assn.,
CMO,
3.50%,
10/20/50
9,510
8,862
UMBS,
TBA (11)
2.00%,
9/1/52
119,040
102,400
2.50%,
9/1/52
87,810
78,398
4.00%,
9/1/52
11,615
11,336
4.50%,
9/1/52
51,593
51,279
1,880,925
U.S.
Government
Obligations
3.1%
Government
National
Mortgage
Assn.
2.50%,
10/20/51
105,927
96,809
3.00%,
9/15/42
-
10/20/51
143,016
135,291
3.50%,
9/15/41
-
4/20/48
133,523
130,242
4.00%,
2/20/41
-
10/20/50
54,592
54,448
4.50%,
7/15/26
-
7/20/47
20,543
21,145
5.00%,
9/15/33
-
5/20/48
40,043
41,620
5.50%,
10/20/32
-
3/20/49
19,146
20,199
6.00%,
1/20/34
-
12/20/38
2,355
2,568
6.50%,
1/15/26
-
12/15/31
51
53
7.00%,
12/20/23
-
11/20/28
16
17
7.50%,
12/15/22
-
8/15/28
47
48
8.00%,
9/15/27
-
5/15/32
126
131
8.50%,
1/15/23
-
9/20/26
1
1
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
Government
National
Mortgage
Assn.,
CMO
3.00%,
11/20/47
-
12/20/47
3,442
3,315
Government
National
Mortgage
Assn.,
CMO,
IO
3.50%,
5/20/43
3,280
538
4.00%,
5/20/37
-
2/20/43
4,102
377
4.50%,
12/20/39
4
—
506,802
Total
U.S.
Government
&
Agency
Mortgage-Backed
Securities
(Cost
$3,979,296)
3,761,280
U.S.
GOVERNMENT
AGENCY
OBLIGATIONS
(EXCLUDING
MORTGAGE-BACKED)
29.5%
Treasuries
11.8%
U.S.
Treasury
Bonds,
3.00%,
8/15/52 (9)
344,530
326,657
U.S.
Treasury
Notes,
2.625%,
5/31/27
217,990
211,110
U.S.
Treasury
Notes,
2.75%,
7/31/27 (9)
400,235
389,479
U.S.
Treasury
Notes,
3.00%,
7/15/25 (12)
711,855
702,401
U.S.
Treasury
Notes,
3.25%,
6/30/27 (9)
294,770
293,296
1,922,943
U.S.
Treasury
Obligations
17.7%
U.S.
Treasury
Bonds,
1.875%,
11/15/51
39,818
29,005
U.S.
Treasury
Bonds,
2.25%,
2/15/52
406,765
325,030
U.S.
Treasury
Bonds,
2.375%,
2/15/42
101,235
83,946
U.S.
Treasury
Bonds,
2.875%,
5/15/52
308,933
284,798
U.S.
Treasury
Bonds,
3.25%,
5/15/42
321,325
307,367
U.S.
Treasury
Notes,
0.125%,
2/15/24
353,690
336,945
U.S.
Treasury
Notes,
0.25%,
3/15/24 (9)
310,037
295,068
U.S.
Treasury
Notes,
0.25%,
5/15/24
537,735
509,168
U.S.
Treasury
Notes,
0.625%,
10/15/24 (9)
180,530
170,065
U.S.
Treasury
Notes,
1.00%,
12/15/24
223,520
211,366
U.S.
Treasury
Notes,
1.125%,
1/15/25
186,135
176,159
U.S.
Treasury
Notes,
1.75%,
3/15/25
177,965
170,513
2,899,430
Total
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-
Backed)
(Cost
$5,030,500)
4,822,373
SHORT-TERM
INVESTMENTS
4.9%
Money
Market
Funds
4.9%
T.
Rowe
Price
Government
Reserve
Fund,
2.36% (6)(13)
799,388
799,388
Total
Short-Term
Investments
(Cost
$799,388)
799,388
T.
ROWE
PRICE
New
Income
Fund
Par/Shares
$
Value
(Amounts
in
000s)
SECURITIES
LENDING
COLLATERAL
0.7%
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
JPMORGAN
CHASE
BANK
0.1%
Money
Market
Funds
0.1%
T.
Rowe
Price
Government
Reserve
Fund,
2.36% (6)(13)
18,744
18,744
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
JPMorgan
Chase
Bank
18,744
INVESTMENTS
IN
A
POOLED
ACCOUNT
THROUGH
SECURITIES
LENDING
PROGRAM
WITH
STATE
STREET
BANK
AND
TRUST
COMPANY
0.6%
Money
Market
Funds
0.6%
T.
Rowe
Price
Government
Reserve
Fund,
2.36% (6)(13)
93,310
93,310
Total
Investments
in
a
Pooled
Account
through
Securities
Lending
Program
with
State
Street
Bank
and
Trust
Company
93,310
Total
Securities
Lending
Collateral
(Cost
$112,054)
112,054
Total
Investments
in
Securities
104.2%
(Cost
$18,128,670)
$
17,023,091
Other
Assets
Less
Liabilities
(4.2)%
(692,601)
Net
Assets
100.0%
$
16,330,490
‡
Par/Shares
and
Notional
Amount
are
denominated
in
U.S.
dollars
unless
otherwise
noted.
(1)
Security
was
purchased
pursuant
to
Rule
144A
under
the
Securities
Act
of
1933
and
may
be
resold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers.
Total
value
of
such
securities
at
period-end
amounts
to
$3,060,465
and
represents
18.7%
of
net
assets.
(2)
Bank
loan
positions
may
involve
multiple
underlying
tranches.
In
those
instances,
the
position
presented
reflects
the
aggregate
of
those
respective
underlying
tranches
and
the
rate
presented
reflects
the
weighted
average
rate
of
the
settled
positions.
(3)
All
or
a
portion
of
this
loan
is
unsettled
as
of
August
31,
2022.
The
interest
rate
for
unsettled
loans
will
be
determined
upon
settlement
after
period
end.
(4)
Level
3
in
fair
value
hierarchy.
(5)
All
or
a
portion
of
the
position
represents
an
unfunded
commitment;
a
liability
to
fund
the
commitment
has
been
recognized.
The
fund's
total
unfunded
commitment
at
August
31,
2022,
was
$1,604
and
was
valued
at
$1,597
(0.0%
of
net
assets).
(6)
Affiliated
Companies
(7)
SEC
30-day
yield
T.
ROWE
PRICE
New
Income
Fund
.
.
.
.
.
.
.
.
.
.
(8)
Security
is
a
fix-to-float
security,
which
carries
a
fixed
coupon
until
a
certain
date,
upon
which
it
switches
to
a
floating
rate.
Reference
rate
and
spread
are
provided
if
the
rate
is
currently
floating.
(9)
All
or
a
portion
of
this
security
is
on
loan
at
August
31,
2022.
(10)
Perpetual
security
with
no
stated
maturity
date.
(11)
To-Be-Announced
purchase
commitment.
Total
value
of
such
securities
at
period-end
amounts
to
$555,051
and
represents
3.4%
of
net
assets.
(12)
At
August
31,
2022,
all
or
a
portion
of
this
security
is
pledged
as
collateral
and/
or
margin
deposit
to
cover
future
funding
obligations.
(13)
Seven-day
yield
1M
TSFR
One
month
term
SOFR
(Secured
overnight
financing
rate)
1M
USD
LIBOR
One
month
USD
LIBOR
(London
interbank
offered
rate)
3M
TSFR
Three
month
term
SOFR
(Secured
overnight
financing
rate)
3M
USD
LIBOR
Three
month
USD
LIBOR
(London
interbank
offered
rate)
6M
USD
LIBOR
Six
month
USD
LIBOR
(London
interbank
offered
rate)
12M
USD
LIBOR
Twelve
month
USD
LIBOR
(London
interbank
offered
rate)
1Y
CMT
One
year
U.S.
Treasury
note
constant
maturity
ARM
Adjustable
Rate
Mortgage
(ARM);
rate
shown
is
effective
rate
at
period-end.
The
rates
for
certain
ARMs
are
not
based
on
a
published
reference
rate
and
spread
but
may
be
determined
using
a
formula
based
on
the
rates
of
the
underlying
loans.
CLO
Collateralized
Loan
Obligation
CMO
Collateralized
Mortgage
Obligation
EUR
Euro
FRN
Floating
Rate
Note
IO
Interest-only
security
for
which
the
fund
receives
interest
on
notional
principal
PO
Principal-only
security
for
which
the
fund
receives
regular
cash
flows
based
on
principal
repayments
PTT
Pass-Through
Trust
SOFR30A
30-day
Average
SOFR
(Secured
overnight
financing
rate)
STEP
Stepped
coupon
bond
for
which
the
coupon
rate
of
interest
adjusts
on
specified
date(s);
rate
shown
is
effective
rate
at
period-end.
TBA
To-Be-Announced
UMBS
Uniform
Mortgage-Backed
Securities
USD
U.S.
Dollar
VR
Variable
Rate;
rate
shown
is
effective
rate
at
period-end.
The
rates
for
certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
based
on
current
market
conditions.
T.
ROWE
PRICE
New
Income
Fund
(Amounts
in
000s)
SWAPS
(0.0)%
Description
Notional
Amount
$
Value
Upfront
Payments/
$
(Receipts)
Unrealized
$
Gain/(Loss)
BILATERAL
SWAPS
0.0%
Credit
Default
Swaps,
Protection
Sold
0.0%
JPMorgan
Chase,
Protection
Sold
(Relevant
Credit:
Barclays
Bank,
A*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/20/24
(EUR)
5,778
32
76
(44)
Total
Bilateral
Credit
Default
Swaps,
Protection
Sold
76
(44)
Total
Bilateral
Swaps
76
(44)
Description
Notional
Amount
$
Value
Initial
$
Value
Unrealized
$
Gain/(Loss)
CENTRALLY
CLEARED
SWAPS
(0.0)%
Credit
Default
Swaps,
Protection
Sold
(0.0)%
Protection
Sold
(Relevant
Credit:
Republic
of
Indonesia,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
83,179
(501)
199
(700)
Protection
Sold
(Relevant
Credit:
United
Mexican
States,
Baa2*),
Receive
1.00%
Quarterly,
Pay
upon
credit
default,
6/21/27
*
209,445
(5,199)
(819)
(4,380)
Total
Centrally
Cleared
Credit
Default
Swaps,
Protection
Sold
(5,080)
Total
Centrally
Cleared
Swaps
(5,080)
Net
payments
(receipts)
of
variation
margin
to
date
4,788
Variation
margin
receivable
(payable)
on
centrally
cleared
swaps
$
(292)
*
Credit
ratings
as
of
August
31,
2022.
Ratings
shown
are
from
Moody’s
Investors
Service
and
if
Moody’s
does
not
rate
a
security,
then
Standard
&
Poor’s
(S&P)
is
used.
Fitch
is
used
for
securities
that
are
not
rated
by
either
Moody’s
or
S&P.
T.
ROWE
PRICE
New
Income
Fund
(Amounts
in
000s)
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
Counterparty
Settlement
Receive
Deliver
Unrealized
Gain/(Loss)
HSBC
Bank
11/25/22
USD
12,370
EUR
11,970
$
271
State
Street
11/25/22
USD
12,181
EUR
11,792
262
UBS
Investment
Bank
11/25/22
USD
24,688
EUR
23,881
550
Net
unrealized
gain
(loss)
on
open
forward
currency
exchange
contracts
$
1,083
T.
ROWE
PRICE
New
Income
Fund
FUTURES
CONTRACTS
($000s)
Expiration
Date
Notional
Amount
Value
and
Unrealized
Gain
(Loss)
Long,
4,953
U.S.
Treasury
Long
Bond
contracts
12/22
672,834
$
(223)
Long,
775
U.S.
Treasury
Notes
five
year
contracts
12/22
85,886
(298)
Long,
4,488
U.S.
Treasury
Notes
ten
year
contracts
12/22
524,675
(1,345)
Short,
2,301
U.S.
Treasury
Notes
two
year
contracts
12/22
(479,363)
692
Long,
907
Ultra
U.S.
Treasury
Bonds
contracts
12/22
135,597
1,607
Long,
5,554
Ultra
U.S.
Treasury
Notes
ten
year
contracts
12/22
695,291
(1,365)
Net
payments
(receipts)
of
variation
margin
to
date
(4,316)
Variation
margin
receivable
(payable)
on
open
futures
contracts
$
(5,248)
T.
ROWE
PRICE
New
Income
Fund
The
accompanying
notes
are
an
integral
part
of
this
Portfolio
of
Investments.
AFFILIATED
COMPANIES
($000s)
The
fund
may
invest
in
certain
securities
that
are
considered
affiliated
companies.
As
defined
by
the
1940
Act,
an
affiliated
company
is
one
in
which
the
fund
owns
5%
or
more
of
the
outstanding
voting
securities,
or
a
company
that
is
under
common
ownership
or
control.
The
following
securities
were
considered
affiliated
companies
for
all
or
some
portion
of
the
three
months
ended
August
31,
2022.
Net
realized
gain
(loss),
investment
income,
change
in
net
unrealized
gain/loss,
and
purchase
and
sales
cost
reflect
all
activity
for
the
period
then
ended.
Affiliate
Net
Realized
Gain
(Loss)
Change
in
Net
Unrealized
Gain/Loss
Investment
Income
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
6.46%
$
5,527
$
5,044
$
2,812
T.
Rowe
Price
Institutional
High
Yield
Fund
-
Z
Class,
7.96%
—
(2,319)
756
T.
Rowe
Price
Government
Reserve
Fund,
2.36%
—
—
4,351++
Totals
$
5,527#
$
2,725
$
7,919+
Supplementary
Investment
Schedule
Affiliate
Value
05/31/22
Purchase
Cost
Sales
Cost
Value
08/31/22
T.
Rowe
Price
Institutional
Floating
Rate
Fund
-
Z
Class,
6.46%
$
294,292
$
2,864
$
117,517
$
184,683
T.
Rowe
Price
Institutional
High
Yield
Fund
-
Z
Class,
7.96%
47,190
757
—
45,628
T.
Rowe
Price
Government
Reserve
Fund,
2.36%
1,529,312
¤
¤
911,442
Total
$
1,141,753^
#
Capital
gain
distributions
from
underlying
Price
funds
represented
$0
of
the
net
realized
gain
(loss).
++
Excludes
earnings
on
securities
lending
collateral,
which
are
subject
to
rebates
and
fees.
+
Investment
income
comprised
$7,919
of
dividend
income
and
$0
of
interest
income.
¤
Purchase
and
sale
information
not
shown
for
cash
management
funds.
^
The
cost
basis
of
investments
in
affiliated
companies
was
$1,144,501.
T.
ROWE
PRICE
New
Income
Fund
Unaudited
Notes
to
Portfolio
of
Investments
T.
Rowe
Price
New
Income
Fund,
Inc. (the
fund) is
registered
under
the
Investment
Company
Act
of
1940
(the
1940
Act)
as
an
open-end
management
investment
company
and
follows
accounting
and
reporting
guidance
of
the
Financial
Accounting
Standards
Board
Accounting
Standards
Codification
Topic
946.
The
accompanying
Portfolio
of
Investments
was
prepared
in
accordance
with
accounting
principles
generally
accepted
in
the
United
States
of
America
(GAAP).
For
additional
information
on
the
fund’s
significant
accounting
policies
and
investment
related
disclosures,
please
refer
to
the
fund’s most
recent
semiannual
or
annual
shareholder
report
and
its
prospectus.
VALUATION
Fair
Value
The
fund’s
financial
instruments
are
valued
at
the
close
of
the
New
York
Stock
Exchange
(NYSE),
normally
4
p.m.
ET,
each
day
the
NYSE
is
open
for
business,
and
are
reported
at
fair
value,
which
GAAP
defines
as
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date. The
T.
Rowe
Price
Valuation
Committee
(the
Valuation
Committee)
is
an
internal
committee
that
has
been
delegated
certain
responsibilities
by
the
fund’s
Board
of
Directors
(the
Board)
to
ensure
that
financial
instruments
are
appropriately
priced
at
fair
value
in
accordance
with
GAAP
and
the
1940
Act.
Subject
to
oversight
by
the
Board,
the
Valuation
Committee
develops
and
oversees
pricing-related
policies
and
procedures
and
approves
all
fair
value
determinations.
Specifically,
the
Valuation
Committee
establishes
policies
and
procedures
used
in
valuing
financial
instruments,
including
those
which
cannot
be
valued
in
accordance
with
normal
procedures
or
using
pricing
vendors;
determines
pricing
techniques,
sources,
and
persons
eligible
to
effect
fair
value
pricing
actions;
evaluates
the
services
and
performance
of
the
pricing
vendors;
oversees
the
pricing
process
to
ensure
policies
and
procedures
are
being
followed;
and
provides
guidance
on
internal
controls
and
valuation-related
matters.
The
Valuation
Committee
provides
periodic
reporting
to
the
Board
on
valuation
matters.
Various
valuation
techniques
and
inputs
are
used
to
determine
the
fair
value
of
financial
instruments.
GAAP
establishes
the
following
fair
value
hierarchy
that
categorizes
the
inputs
used
to
measure
fair
value:
Level
1
–
quoted
prices
(unadjusted)
in
active
markets
for
identical
financial
instruments
that
the
fund
can
access
at
the
reporting
date
Level
2
–
inputs
other
than
Level
1
quoted
prices
that
are
observable,
either
directly
or
indirectly
(including,
but
not
limited
to,
quoted
prices
for
similar
financial
instruments
in
active
markets,
quoted
prices
for
identical
or
similar
financial
T.
ROWE
PRICE
New
Income
Fund
instruments
in
inactive
markets,
interest
rates
and
yield
curves,
implied
volatilities,
and
credit
spreads)
Level
3
–
unobservable
inputs
(including
the fund’s
own
assumptions
in
determining
fair
value)
Observable
inputs
are
developed
using
market
data,
such
as
publicly
available
information
about
actual
events
or
transactions,
and
reflect
the
assumptions
that
market
participants
would
use
to
price
the
financial
instrument.
Unobservable
inputs
are
those
for
which
market
data
are
not
available
and
are
developed
using
the
best
information
available
about
the
assumptions
that
market
participants
would
use
to
price
the
financial
instrument.
GAAP
requires
valuation
techniques
to
maximize
the
use
of
relevant
observable
inputs
and
minimize
the
use
of
unobservable
inputs.
When
multiple
inputs
are
used
to
derive
fair
value,
the
financial
instrument
is
assigned
to
the
level
within
the
fair
value
hierarchy
based
on
the
lowest-level
input
that
is
significant
to
the
fair
value
of
the
financial
instrument.
Input
levels
are
not
necessarily
an
indication
of
the
risk
or
liquidity
associated
with
financial
instruments
at
that
level
but
rather
the
degree
of
judgment
used
in
determining
those
values.
Valuation
Techniques
Debt
securities
generally
are
traded
in
the over-the-counter
(OTC)
market
and
are
valued
at
prices
furnished
by
independent
pricing
services
or
by
broker
dealers
who
make
markets
in
such
securities.
When
valuing
securities,
the
independent
pricing
services
consider
the
yield
or
price
of
bonds
of
comparable
quality,
coupon,
maturity,
and
type,
as
well
as
prices
quoted
by
dealers
who
make
markets
in
such
securities.
Investments
denominated
in
foreign
currencies
are
translated
into
U.S.
dollar
values
each
day
at
the
prevailing
exchange
rate,
using
the
mean
of
the
bid
and
asked
prices
of
such
currencies
against
U.S.
dollars
as
provided
by
an
outside
pricing
service.
Investments
in
mutual
funds
are
valued
at
the
mutual
fund’s
closing
NAV
per
share
on
the
day
of
valuation.
Futures
contracts
are
valued
at
closing
settlement
prices.
Forward
currency
exchange
contracts
are
valued
using
the
prevailing
forward
exchange
rate.
Swaps
are
valued
at
prices
furnished
by
an
independent
pricing
service
or
independent
swap
dealers.
Investments
for
which
market
quotations
or
market-based
valuations
are
not
readily
available
or
deemed
unreliable
are
valued
at
fair
value
as
determined
in
good
faith
by
the
Valuation
Committee,
in
accordance
with
fair
valuation
policies
and
procedures.
The
objective
of
any
fair
value
pricing
determination
is
to
arrive
at
a
price
that
could
reasonably
be
expected
from
a
current
sale.
Financial
instruments
fair
valued
by
the
Valuation
Committee
are
primarily
private
placements,
restricted
securities,
warrants,
T.
ROWE
PRICE
New
Income
Fund
rights,
and
other
securities
that
are
not
publicly
traded.
Factors
used
in
determining
fair
value
vary
by
type
of
investment
and
may
include
market
or
investment
specific
considerations.
The
Valuation
Committee
typically
will
afford
greatest
weight
to
actual
prices
in
arm’s
length
transactions,
to
the
extent
they
represent
orderly
transactions
between
market
participants,
transaction
information
can
be
reliably
obtained,
and
prices
are
deemed
representative
of
fair
value.
However,
the
Valuation
Committee
may
also
consider
other
valuation
methods
such
as
market-based
valuation
multiples;
a
discount
or
premium
from
market
value
of
a
similar,
freely
traded
security
of
the
same
issuer;
discounted
cash
flows;
yield
to
maturity;
or
some
combination.
Fair
value
determinations
are
reviewed
on
a
regular
basis
and
updated
as
information
becomes
available,
including
actual
purchase
and
sale
transactions
of
the
investment.
Because
any
fair
value
determination
involves
a
significant
amount
of
judgment,
there
is
a
degree
of
subjectivity
inherent
in
such
pricing
decisions,
and
fair
value
prices
determined
by
the
Valuation
Committee
could
differ
from
those
of
other
market
participants.
T.
ROWE
PRICE
New
Income
Fund
Valuation
Inputs
The
following
table
summarizes
the
fund’s
financial
instruments,
based
on
the
inputs
used
to
determine
their
fair
values
on
August
31,
2022
(for
further
detail
by
category,
please
refer
to
the
accompanying
Portfolio
of
Investments):
($000s)
Level
1
Level
2
Level
3
Total
Value
Assets
Fixed
Income
Securities
1
$
—
$
15,654,406
$
—
$
15,654,406
Bank
Loans
—
222,462
4,470
226,932
Bond
Mutual
Funds
230,311
—
—
230,311
Short-Term
Investments
799,388
—
—
799,388
Securities
Lending
Collateral
112,054
—
—
112,054
Total
Securities
1,141,753
15,876,868
4,470
17,023,091
Swaps*
—
32
—
32
Forward
Currency
Exchange
Contracts
—
1,083
—
1,083
Futures
Contracts*
2,299
—
—
2,299
Total
$
1,144,052
$
15,877,983
$
4,470
$
17,026,505
Liabilities
Swaps*
$
—
$
5,080
$
—
$
5,080
Futures
Contracts*
3,231
—
—
3,231
Total
$
3,231
$
5,080
$
—
$
8,311
1
Includes
Asset-Backed
Securities,
Corporate
Bonds,
Foreign
Government
Obligations
&
Municipalities,
Non-U.S.
Government
Mortgage-Backed
Securities,
U.S.
Government
&
Agency
Mortgage-Backed
Securities
and
U.S.
Government
Agency
Obligations
(Excluding
Mortgage-Backed).
*
The
fair
value
presented
includes
cumulative
gain
(loss)
on
open
futures
contracts
and
centrally
cleared
swaps;
however,
the
net
value
reflected
on
the
accompanying
Portfolio
of
Investments
is
only
the
unsettled
variation
margin
receivable
(payable)
at
that
date.
T.
ROWE
PRICE
New
Income
Fund
OTHER
MATTERS
Unpredictable
events
such
as
environmental
or
natural
disasters,
war,
terrorism,
pandemics,
outbreaks
of
infectious
diseases,
and
similar
public
health
threats
may
significantly
affect
the
economy
and
the
markets
and
issuers
in
which
a
fund
invests.
Certain
events
may
cause
instability
across
global
markets,
including
reduced
liquidity
and
disruptions
in
trading
markets,
while
some
events
may
affect
certain
geographic
regions,
countries,
sectors,
and
industries
more
significantly
than
others,
and
exacerbate
other
pre-existing
political,
social,
and
economic
risks.
Since
2020,
a
novel
strain
of
coronavirus
(COVID-19)
has
resulted
in
disruptions
to
global
business
activity
and
caused
significant
volatility
and
declines
in
global
financial
markets.
In
February
2022,
Russian
forces
entered
Ukraine
and
commenced
an
armed
conflict
leading
to
economic
sanctions
being
imposed
on
Russia
and
certain
of
its
citizens,
creating
impacts
on
Russian-related
stocks
and
debt
and
greater
volatility
in
global
markets.
These
are
recent
examples
of
global
events
which
may
have
an
impact
on
the
fund’s
performance,
which
could
be
negatively
impacted
if
the
value
of
a
portfolio
holding
were
harmed
by
these
and
such
other
events.
Management
is
actively
monitoring
the
risks
and
financial
impacts
arising
from
these
events.
F43-054Q1
08/22