0001752724-20-034428.txt : 20200225
0001752724-20-034428.hdr.sgml : 20200225
20200225115134
ACCESSION NUMBER: 0001752724-20-034428
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200225
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY GARRISON STREET TRUST
CENTRAL INDEX KEY: 0000803013
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0731
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04861
FILM NUMBER: 20648875
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY ADVISOR SERIES V
DATE OF NAME CHANGE: 19930706
FORMER COMPANY:
FORMER CONFORMED NAME: FIDELITY INVESTMENT SERIES
DATE OF NAME CHANGE: 19930706
FORMER COMPANY:
FORMER CONFORMED NAME: PLYMOUTH INVESTMENT SERIES /NY/
DATE OF NAME CHANGE: 19920206
0000803013
S000013236
Fidelity VIP Investment Grade Central Fund
C000035576
Fidelity VIP Investment Grade Central Fund
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000803013
XXXXXXXX
S000013236
C000035576
FIDELITY GARRISON STREET TRUST
811-04861
0000803013
GZF76QJ38YQDHAIO0Y79
245 Summer Street
Boston
02210
1-800-FIDELITY
VIP Investment Grade Central Fund
S000013236
OWUVAQDA1170JQA75H59
2019-12-31
2019-12-31
N
7163049845.36
1164350821.48
5998699023.88
0
0
0
0
0
0
0
0
0
0
617357323.27
0
0
80123717.56
USD
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18136
3132J9PW2
28197.95660000
PA
USD
30114.44000000
0.000502016185
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 4.45% 06/12/2025
761713BG0
2341000.00000000
PA
USD
2518553.73000000
0.041984999080
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
0.04450000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORPORATION 3.666% 01/25/2022 144A
35137LAA3
721000.00000000
PA
USD
744308.01000000
0.012407823880
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
0.03666000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AS4992
3138WERN1
288657.93810000
PA
USD
302273.44000000
0.005038983266
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/26 #345142
31375ULX1
2848.67440000
PA
USD
3153.06000000
0.000052562397
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/22 #339989
36224VUN3
5854.85110000
PA
USD
6205.34000000
0.000103444763
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPE 3.95% 2/15/23
105340AM5
5510000.00000000
PA
USD
5712770.09000000
0.095233484248
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.03950000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.75% 09/21/2047
71654QCC4
12105000.00000000
PA
USD
12210918.75000000
0.203559450163
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
0.06750000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORPORATION 5.476% 01/25/2039
35137LAD7
1809000.00000000
PA
USD
2208348.04000000
0.036813782975
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
0.05476000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745068
3620C0W53
250943.07650000
PA
USD
274415.16000000
0.004574577902
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2048#MA3521
31418C4F8
170928.21100000
PA
USD
178053.47000000
0.002968201426
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.04000000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.5% 01/15/2025
681936BD1
2677000.00000000
PA
USD
2854082.61000000
0.047578359885
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.04500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 5.375 1/31/44
02209SAR4
6678000.00000000
PA
USD
7525622.45000000
0.125454242995
Long
DBT
CORP
US
N
2
2044-01-31
Fixed
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2032#MA3187
31418CRH9
452618.04200000
PA
USD
457688.50000000
0.007629796030
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 2.85% 07/25/2022
87165BAQ6
1524000.00000000
PA
USD
1542090.81000000
0.025707087551
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
0.02850000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #458374
36208RFP4
274.14330000
PA
USD
306.97000000
0.000005117276
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AR0530
3138NWSU4
156711.19510000
PA
USD
162053.03000000
0.002701469591
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2048#Q59935
3132Y4BD3
1408937.96300000
PA
USD
1502055.24000000
0.025039683338
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/01/2047#Q48759
3132WNWV0
1471355.43000000
PA
USD
1578016.05000000
0.026305971406
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#Q24255
3132M4MC6
35798.66640000
PA
USD
38186.99000000
0.000636587864
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 06/01/2043#Q19747
3132JBHZ9
42943.96670000
PA
USD
45862.67000000
0.000764543608
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 11/20/2047#MA4837
36179TLS2
1851046.78080000
PA
USD
1926041.57000000
0.032107654715
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 03/15/2045#AL2575
36183X2G4
36581.31500000
PA
USD
37671.67000000
0.000627997334
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/01/2047#Q49499
3132WPRV1
467088.79200000
PA
USD
501386.61000000
0.008358255815
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 5.45% 01/23/2039
03523TBU1
4690000.00000000
PA
USD
5888225.31000000
0.098158372116
Long
DBT
CORP
US
N
2
2039-01-23
Fixed
0.05450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AB7766
31417ETY7
1251519.47310000
PA
USD
1294180.14000000
0.021574346951
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.797%/VAR 07/23/2024
46647PAU0
5719000.00000000
PA
USD
6024692.56000000
0.100433319558
Long
DBT
CORP
US
N
2
2024-07-23
Variable
0.03797000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2043#AD5682
36180HJ33
32427.63400000
PA
USD
34738.56000000
0.000579101566
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2027#MA1257
31418AMF2
133835.28370000
PA
USD
137560.17000000
0.002293166725
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2044#AW1064
3138XQFE6
207144.00020000
PA
USD
223183.91000000
0.003720538555
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AU3195
3138X2RR7
386426.09140000
PA
USD
397545.35000000
0.006627192803
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2046#G60393
31335ANJ3
15237.58800000
PA
USD
16004.07000000
0.000266792348
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/33 #726949
31402ETE8
316863.44630000
PA
USD
340519.90000000
0.005676562512
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/42#G60488
31335ARH3
8150261.70730000
PA
USD
8739854.90000000
0.145695839467
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2048#MA3536
31418C4W1
1867501.46500000
PA
USD
1945349.57000000
0.032429524506
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 5.55% 03/15/2026
674599DC6
5174000.00000000
PA
USD
5871522.31000000
0.097879928408
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.05550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/28 #251409
31371GGS3
1418.24850000
PA
USD
1584.93000000
0.000026421228
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07000000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.75% 01/15/2025 144A
15135BAN1
4565000.00000000
PA
USD
4741802.45000000
0.079047180582
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.04750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.627% 6/1/41#1B8372
3128UGVQ7
119306.88550000
PA
USD
124255.85000000
0.002071379969
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.04734000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/40 #741372
3620AVT51
138154.70090000
PA
USD
151077.07000000
0.002518497250
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 02/01/2042#AL7343
3138EQER9
580252.27210000
PA
USD
647147.12000000
0.010788124515
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.05500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q33791
3132QQF98
775887.74660000
PA
USD
812976.73000000
0.013552550757
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
LIBERTY PPTY LTD PARTNERSHIP
549300N6GNCW2Y4RH795
LIBERTY PPTY LTD PARTNERSHIP 4.125% 06/15/2022
53117CAN2
2007000.00000000
PA
USD
2099488.92000000
0.034999070825
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#Q24349
3132M4QA6
43150.86280000
PA
USD
46029.69000000
0.000767327879
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AQ3751
3138MKEZ5
99119.38860000
PA
USD
102498.08000000
0.001708671823
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.375% 01/15/2027
912828V49
16460000.00000000
PA
USD
17805190.93000000
0.296817540922
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.00375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21900
3132JPDD1
52178.02280000
PA
USD
55659.10000000
0.000927852852
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
METROPOLITAN LIFE GLBL FDG I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLBL FDG I 3% 01/10/2023 144A
59217GAX7
2636000.00000000
PA
USD
2710807.02000000
0.045189915500
Long
DBT
CORP
US
N
2
2023-01-10
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#BD8012
3140FF3W9
582495.18160000
PA
USD
609424.40000000
0.010159276162
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
AFFILIATED MANAGERS GRP INC
2JE75BUE3T1BLCYYGK54
AFFILIATED MANAGERS GRP INC 3.5% 08/01/2025
008252AN8
5541000.00000000
PA
USD
5786410.00000000
0.096461082260
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q34164
3132QQTW2
4811541.80010000
PA
USD
5040039.51000000
0.084018876258
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/24 #283715
31372VDU7
748.74730000
PA
USD
809.11000000
0.000013488091
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2041#
3132GKK96
59855.59380000
PA
USD
64905.39000000
0.001081991107
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.125% 11/15/2025
125523AG5
3582000.00000000
PA
USD
3883222.49000000
0.064734411153
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q34311
3132QQYH9
1134594.91770000
PA
USD
1192021.87000000
0.019871339856
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2043#AV3928
3138XFLJ2
669305.02130000
PA
USD
723223.30000000
0.012056335834
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/27 #444741
36207XBJ0
4606.84290000
PA
USD
5183.86000000
0.000086416404
Long
ABS-MBS
USGA
US
N
2
2027-02-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/27 #447692
36208DKD6
414.07740000
PA
USD
461.47000000
0.000007692834
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2049#BO6208
3140K13S3
11950000.00000000
PA
USD
11813489.18000000
0.196934187445
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.02500000
N
N
N
N
N
N
CANADIAN NATL RESOURCES LTD
549300T15RIMIKZC5Q38
CANADIAN NATL RESOURCES LTD 3.8% 04/15/2024
136385AT8
6783000.00000000
PA
USD
7166266.16000000
0.119463672564
Long
DBT
CORP
CA
N
2
2024-04-15
Fixed
0.03800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2047#BE3663
3140FPB99
1882252.60300000
PA
USD
2017414.53000000
0.033630867659
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2034#FM1577
3140X4XF8
18380753.84000000
PA
USD
19257956.94000000
0.321035558932
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03500000
N
N
N
N
N
N
TOLEDO HOSP
5493009DCR7NWV6K4T34
TOLEDO HOSP 5.325% 11/15/2028
889184AC1
2109000.00000000
PA
USD
2283520.17000000
0.038066923526
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.05325000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 12/01/2042#Q13899
3132HQKL5
125846.21640000
PA
USD
134556.71000000
0.002243098202
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #338522
36224UAX5
308.31570000
PA
USD
326.27000000
0.000005439012
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
0.07500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.7% 10/27/2022
172967LQ2
9998000.00000000
PA
USD
10158895.01000000
0.169351637239
Long
DBT
CORP
US
N
2
2022-10-27
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/32 #634194
31389SRP1
2644.93220000
PA
USD
2989.99000000
0.000049843974
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/27#MA1162
31418AJG4
114753.17180000
PA
USD
117946.97000000
0.001966209165
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 8.5% 05/01/2027#
31283GYN1
1077.14540000
PA
USD
1200.44000000
0.000020011672
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.08500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33801
3132QQGK2
66346.19420000
PA
USD
69517.67000000
0.001158879112
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/22 #315891
36223R2Y0
62.84900000
PA
USD
65.67000000
0.000001094737
Long
ABS-MBS
USGA
US
N
2
2022-04-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2049#FM1277
3140X4M37
5073873.66200000
PA
USD
5336120.37000000
0.088954627474
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.04000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 4.3% 03/25/2028
126650CX6
13403000.00000000
PA
USD
14625827.80000000
0.243816663276
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
0.04300000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS INC 3.125% 06/15/2023
92277GAH0
1289000.00000000
PA
USD
1321280.05000000
0.022026110073
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.03125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/40 #734042
3620AMP30
345755.20290000
PA
USD
369746.88000000
0.006163784489
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 7/37 #G03508
3128M5GR5
16130.63870000
PA
USD
18567.73000000
0.000309529281
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 07/01/2041#AL5970
3138ENT41
159930.31090000
PA
USD
178368.00000000
0.002973444730
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/32 #581866
36201FMP9
13070.53700000
PA
USD
15028.74000000
0.000250533322
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/01/2045#AZ2626
3138YT4L5
17354.63390000
PA
USD
17778.08000000
0.000296365594
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
DB MASTER FIN LLC
549300F17UZJL70BPB08
DNKN 2017-1A A2II 4.03% 11/20/2047 144A
233046AF8
5907440.00000000
PA
USD
6044965.20000000
0.100771270169
Long
ABS-CBDO
CORP
US
N
2
2047-11-20
Fixed
0.04030000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2049#CA4142
3140QBS82
2201494.20900000
PA
USD
2251081.99000000
0.037526169941
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AH7281
36182QCS3
13648.82590000
PA
USD
14055.65000000
0.000234311638
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2048#Q54499
3132XW7M7
31239.37000000
PA
USD
33167.32000000
0.000552908553
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #452409
36208JR61
3283.27210000
PA
USD
3677.15000000
0.000061299124
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#BC0824
3140EU4J5
4281399.73570000
PA
USD
4492711.64000000
0.074894766717
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #552668
36213E6D3
2708.37310000
PA
USD
3124.13000000
0.000052080125
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/40#V82128
3132L7LH0
358737.28140000
PA
USD
374540.38000000
0.006243693482
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.03500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.125% 12/15/2026
46625HJZ4
14080000.00000000
PA
USD
15408463.91000000
0.256863427364
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.04125000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 4.25% 09/15/2024
00912XAN4
3565000.00000000
PA
USD
3815972.58000000
0.063613336238
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.04250000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 4.25% 02/01/2024
00914AAA0
5740000.00000000
PA
USD
6153481.24000000
0.102580263078
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.04250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 06/15/2045#AN5721
36186NLA5
46121.00990000
PA
USD
47495.71000000
0.000791766844
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#738107
3620ASAG4
32067.39180000
PA
USD
34292.52000000
0.000571665953
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 07/01/2032#J37270
31307UCF3
74681.76530000
PA
USD
77221.90000000
0.001287310793
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2043#Q15372
3132J6MW1
31523.47730000
PA
USD
33705.39000000
0.000561878331
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.04000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 4.5% 01/23/2026
71654QBW1
6809000.00000000
PA
USD
6767465.10000000
0.112815546722
Long
DBT
CORP
MX
N
2
2026-01-23
Fixed
0.04500000
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS ALL AM PIPELN/PAA FIN C 3.6% 11/01/2024
72650RBF8
1389000.00000000
PA
USD
1428216.53000000
0.023808771273
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.03600000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/40 #004833
36202FLN4
921908.74160000
PA
USD
982359.50000000
0.016376209176
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04000000
N
N
N
N
N
N
IMPERIAL TOBACCO FINANCE
2138008L3B3MCG1DFS50
IMPERIAL TOBACCO FINANCE 4.25% 07/21/2025 144A
453140AF2
15488000.00000000
PA
USD
16329776.05000000
0.272221959878
Long
DBT
CORP
GB
N
2
2025-07-21
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK6409
3138EBDP7
149705.19200000
PA
USD
160390.13000000
0.002673748580
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2046#MA3803
36179SGL5
4111782.83700000
PA
USD
4293790.08000000
0.071578688360
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/31 #550985
36213DCW6
18879.50710000
PA
USD
21612.11000000
0.000360279952
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2044#AX3008
3138Y4KW8
9088.86100000
PA
USD
9666.56000000
0.000161144274
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04000000
N
N
N
N
N
N
PINE STR TR I
N/A
PINE STR TR I 4.572% 02/15/2029 144A
722844AA5
5707000.00000000
PA
USD
6138920.43000000
0.102337530280
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.04572000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21255
3132JNMC8
186446.03840000
PA
USD
199117.92000000
0.003319351732
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 3/40 #AD2341
31418PS71
11539.31400000
PA
USD
12541.03000000
0.000209062497
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2046#AS6620
3138WGLA0
1290395.35360000
PA
USD
1350454.61000000
0.022512458195
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #444633
36207W4S0
1881.24530000
PA
USD
2122.64000000
0.000035385005
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
DUQUESNE LIGHT HLDGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LT 6.4% 9/15/20 144A
266233AC9
7513000.00000000
PA
USD
7730534.93000000
0.128870191673
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
0.06400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/27 #399910
31378JGT8
12234.94080000
PA
USD
13647.79000000
0.000227512498
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.07000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.95% 06/15/2028
29278NAF0
4048000.00000000
PA
USD
4430496.98000000
0.073857630835
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.04950000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.224% 4/41#1B8179
3128UGPP6
34999.40860000
PA
USD
36355.32000000
0.000606053410
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Variable
0.04817000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2041#AH4043
3138A5P55
198117.82530000
PA
USD
214820.86000000
0.003581124159
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL C 1ML+130 10/15/2036 144A
056054AF6
3890000.00000000
PA
USD
3894870.67000000
0.064928589590
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.02989750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/28 #313946
31374GWF0
1434.80450000
PA
USD
1604.82000000
0.000026752800
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #743665
3620AYFE1
103229.90460000
PA
USD
113701.63000000
0.001895438153
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.293% 3/35 #815586
31406PCX5
6724.22350000
PA
USD
7068.25000000
0.000117829715
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Variable
0.04833000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2042#Q11138
3132HMHP9
180431.47630000
PA
USD
193032.88000000
0.003217912404
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.35% 02/12/2048
71654QCL4
16930000.00000000
PA
USD
16392155.91000000
0.273261849690
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
0.06350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783262
36241LTT3
585114.46110000
PA
USD
639843.43000000
0.010666369948
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 7.25% 03/17/44
71647NAK5
24245000.00000000
PA
USD
29404639.06000000
0.490183603860
Long
DBT
CORP
NL
N
2
2044-03-17
Fixed
0.07250000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC ENERGY GROUP INC FRN 3ML+211.25 05/15/2067
976657AH9
1426000.00000000
PA
USD
1328071.85000000
0.022139331290
Long
DBT
CORP
US
N
2
2067-05-15
Variable
0.04022380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#727060
31402EWV6
135313.51520000
PA
USD
145642.42000000
0.002427900106
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.6% 08/13/2021
674599CU7
1544000.00000000
PA
USD
1555147.68000000
0.025924749246
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
0.02600000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 5.093% 01/15/2030 144A
71647NBF5
3804000.00000000
PA
USD
4068378.00000000
0.067821005584
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
0.05093000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 12/01/2042#Q13420
3132HPYR9
114097.44960000
PA
USD
121994.75000000
0.002033686796
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
NOBLE HLDG INTL LTD
549300GNEZBJHMST9U32
NOBLE HLDG INTL LTD VAR 04/01/2025
65504LAN7
2180000.00000000
PA
USD
1122700.00000000
0.018715724785
Long
DBT
CORP
KY
N
2
2025-04-01
Variable
0.07950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2045#AS6020
3138WFVN3
1384667.51680000
PA
USD
1472677.95000000
0.024549955651
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5% 05/01/2040#
312940LA5
45107.06580000
PA
USD
49760.22000000
0.000829516863
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #564604
36213UGM6
1310.61130000
PA
USD
1493.12000000
0.000024890730
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
LIBERTY MUTUAL GROUP INC 4.569% 02/01/2029 144A
53079EBG8
4093000.00000000
PA
USD
4568025.39000000
0.076150268113
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.04569000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 3/41 #A97528
312946LH7
88294.55860000
PA
USD
95798.84000000
0.001596993608
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 09/01/2049#FM1459
3140X4TR7
17078712.40000000
PA
USD
17351324.52000000
0.289251460207
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #510978
36211EUB2
12030.12980000
PA
USD
13599.05000000
0.000226699988
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2028#MA1358
31418AQL5
174374.84020000
PA
USD
179337.01000000
0.002989598399
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.03000000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.584% 03/18/2024
345397ZQ9
6246000.00000000
PA
USD
6756349.60000000
0.112630248210
Long
DBT
CORP
US
N
2
2024-03-18
Fixed
0.05584000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AY0356
3138YDME6
350500.66570000
PA
USD
372450.14000000
0.006208848593
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33623
3132QQAZ5
23923.95710000
PA
USD
25134.86000000
0.000419005185
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/44#AL7377
3138EQFT4
983977.92870000
PA
USD
1037770.33000000
0.017299923297
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 02/15/2045#AL3843
36184AHU6
59707.15520000
PA
USD
61486.80000000
0.001025002250
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #729562
3620AGQP3
59681.04840000
PA
USD
65735.14000000
0.001095823273
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERN 7.25% 6/15/37
761713AT3
2962000.00000000
PA
USD
3852424.68000000
0.064221002998
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
0.07250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 11/30/2024
9128283J7
36586000.00000000
PA
USD
37297550.14000000
0.621760651626
Long
DBT
UST
US
N
2
2024-11-30
Fixed
0.02125000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC 4.272% 08/28/2023
28414HAE3
3166000.00000000
PA
USD
3342238.68000000
0.055716058877
Long
DBT
CORP
US
N
2
2023-08-28
Fixed
0.04272000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036
674599DF9
4602000.00000000
PA
USD
5643643.14000000
0.094081118548
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
0.06450000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2047#MA4900
36179TNR2
796649.05840000
PA
USD
827929.32000000
0.013801814638
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/01/2050 #TBA
21H032621
17500000.00000000
PA
USD
18043915.75000000
0.300797150818
Long
ABS-MBS
USGA
US
N
2
2050-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #780732
36225AY53
2571.81300000
PA
USD
2863.72000000
0.000047739017
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
PUGET ENERGY INC NEW
SYBSJ96YIDMIUY7WDR33
PUGET ENERG IN 6.5% 12/15/20
745310AB8
1534000.00000000
PA
USD
1595416.60000000
0.026596043469
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 9/41 #G06719
3128M8YQ1
2364349.65920000
PA
USD
2565299.05000000
0.042764256712
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AN7590
36186QNF5
19444.87270000
PA
USD
20024.45000000
0.000333813213
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#BC6168
3140F12A9
470328.83410000
PA
USD
492072.51000000
0.008202987148
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2046#G08687
3128MJXR6
283816.19390000
PA
USD
296318.86000000
0.004939718742
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AO2123
3138LSLD0
125176.73950000
PA
USD
131785.23000000
0.002196896851
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST 2018-H4
N/A
MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051
61691RAE6
9252000.00000000
PA
USD
10406892.00000000
0.173485816817
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Fixed
0.04310000
N
N
N
N
N
N
CLECO CORPORATE HLDGS LLC
5493002H80P81B3HXL31
CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026
18551PAC3
6947000.00000000
PA
USD
7171970.54000000
0.119558766183
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.03743000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #698474
36296Q6K0
413620.66540000
PA
USD
451530.16000000
0.007527134770
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783261
36241LTS5
1672760.57940000
PA
USD
1829223.08000000
0.030493663254
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 2.836% 01/15/2050 144A
78403DAN0
6201000.00000000
PA
USD
6264206.79000000
0.104426089141
Long
ABS-CBDO
CORP
US
N
2
2050-01-15
Fixed
0.02836000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2046#BA7483
3140ECJ59
48901.54980000
PA
USD
52025.05000000
0.000867272216
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 02/01/2048#G61896
31335CC93
494917.00600000
PA
USD
513935.18000000
0.008567444006
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2044#AX6333
3138Y8BB5
48358.00690000
PA
USD
52631.46000000
0.000877381242
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2043#Q20780
3132JM2M0
22674.35150000
PA
USD
24006.23000000
0.000400190606
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2045#AZ7012
3138YYYJ6
843026.59500000
PA
USD
895029.28000000
0.014920389845
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #443941
36207WEN0
949.50510000
PA
USD
1061.34000000
0.000017692836
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2045#MA3310
36179RVB2
20535621.92000000
PA
USD
21470296.64000000
0.357915884003
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2037#AB8009
31417E3T6
70886.02650000
PA
USD
75819.49000000
0.001263932224
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.04500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.004%/VAR 12/20/2023
06051GHC6
30548000.00000000
PA
USD
31284164.03000000
0.521515813769
Long
DBT
CORP
US
N
2
2023-12-20
Variable
0.03004000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BC0625
3140EUVT3
1128534.20570000
PA
USD
1191447.96000000
0.019861772615
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/41 #005280
36202F2M7
5801823.68690000
PA
USD
6176817.60000000
0.102969286763
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2044#AW6964
3138XWW20
148744.50730000
PA
USD
159936.95000000
0.002666193942
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04500000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 3.9% 03/01/2038
20030NCJ8
1072000.00000000
PA
USD
1184860.17000000
0.019751952303
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
0.03900000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST BUILD AMERICA BONDS-IL ST
452152BM2
12290000.00000000
PA
USD
14410516.60000000
0.240227365010
Long
DBT
MUN
US
N
2
2035-02-01
Fixed
0.06630000
N
N
N
N
N
N
AMERADA HESS CORP
N/A
AMERADA HESS CORP 7.3% 08/15/2031
023551AJ3
1341000.00000000
PA
USD
1706575.68000000
0.028449096599
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
0.07300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/25 #303347
31373T5G1
303.85400000
PA
USD
325.44000000
0.000005425176
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 3/40 #727841
3620AES68
364053.54340000
PA
USD
390793.90000000
0.006514644232
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04000000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.45% 04/01/2024
00206RDC3
480000.00000000
PA
USD
519951.19000000
0.008667732585
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2043#Q15019
3132J6AV6
161842.55210000
PA
USD
170388.16000000
0.002840418552
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 07/01/2041#AI6050
3138AKWL9
139271.44050000
PA
USD
145608.56000000
0.002427335650
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.04499000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2042#794559
36177PB53
29124.06910000
PA
USD
31172.27000000
0.000519650508
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.04000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.3% 08/15/2039
674599CX1
278000.00000000
PA
USD
282784.50000000
0.004714097154
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
0.04300000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 03/31/2024
912828W71
197361000.00000000
PA
USD
200857784.96000000
3.348355771149
Long
DBT
UST
US
N
2
2024-03-31
Fixed
0.02125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 09/15/2040#783095
36241LNL6
71071.19420000
PA
USD
76069.40000000
0.001268098294
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/30 #527717
31384MG22
48.60170000
PA
USD
56.32000000
0.000000938870
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.07500000
N
N
N
N
N
N
COLUMBIA PIPELINE GROUP INC
549300SRP1TQM9JJBG80
COLUMBIA PIPELINE GROUP INC 3.3% 06/01/2020
198280AD1
4379000.00000000
PA
USD
4393893.11000000
0.073247434027
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
0.03300000
N
N
N
N
N
N
TEACHERS INS and ANNUITY ASSN AMER
O06XD7BJ4EPXNABVFN69
TEACHERS INS and ANNUITY ASSN AMER 4.9% 09/15/2044 144A
878091BD8
5347000.00000000
PA
USD
6557295.64000000
0.109311962708
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
0.04900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.0% 12/44#AX8317
3138YAG33
19014.65280000
PA
USD
19627.15000000
0.000327190111
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 8/45#Q35578
3132QSFU7
72034.92770000
PA
USD
74669.78000000
0.001244766235
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 7/40 #A92914
312941GX9
83362.08550000
PA
USD
91701.04000000
0.001528682129
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BK4845
3140HJL33
325884.53600000
PA
USD
334750.84000000
0.005580390659
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/45#AS4469
3138WD6F3
60717.42600000
PA
USD
63581.36000000
0.001059919154
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2045#AZ8288
3140E1F65
393986.83950000
PA
USD
405569.89000000
0.006760964142
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 05/01/2026#
3128FCVY6
657.48350000
PA
USD
738.75000000
0.000012315170
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 09/01/2043#AT3936
3138WRLS7
220717.57950000
PA
USD
227068.64000000
0.003785298097
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 5/39 #G05457
3128M7ME3
457938.83590000
PA
USD
498004.55000000
0.008301875923
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 8/41 #Q02511
3132GFYG6
43609.62130000
PA
USD
47316.06000000
0.000788772028
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.5% 9/13/25
172967HB0
5524000.00000000
PA
USD
6310287.26000000
0.105194263537
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
0.05500000
N
N
N
N
N
N
GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS
549300M8ZYFG0OCMTT87
GNR 2007-35 SC -1ML+4020 6/37
38375KVH2
20714.27210000
PA
USD
36589.69000000
0.000609960423
Long
ABS-CBDO
USGA
US
N
2
2037-06-16
Variable
0.29761500
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #447529
36208DEA9
1484.03480000
PA
USD
1657.19000000
0.000027625823
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 07/15/2040#783030
36241LLK0
146924.15330000
PA
USD
157406.75000000
0.002624014796
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04000000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 3.85% 07/15/2029
92936UAF6
1275000.00000000
PA
USD
1344750.94000000
0.022417376411
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
0.03850000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/01/2048#Q55992
3132XYUS4
4370109.56000000
PA
USD
4637081.30000000
0.077301449556
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/27 #443920
36207WDZ4
640.75060000
PA
USD
716.92000000
0.000011951258
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#796180
36177Q2N2
34901.35110000
PA
USD
37355.85000000
0.000622732526
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/32#MA3218
31418CSG0
2520245.28200000
PA
USD
2588813.34000000
0.043156246541
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 8/40 #A93459
312941ZY6
29882.35180000
PA
USD
32496.80000000
0.000541730796
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BC1976
3140EWFS9
862554.79190000
PA
USD
910640.67000000
0.015180636107
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 3.3% 11/16/2022
251526BL2
9310000.00000000
PA
USD
9401321.32000000
0.156722670742
Long
DBT
CORP
US
N
2
2022-11-16
Fixed
0.03300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AU3735
3138X3EH1
3001959.66380000
PA
USD
3088339.85000000
0.051483493966
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25265
3132M5QS4
879156.25930000
PA
USD
947832.78000000
0.015800639042
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 4.2% 03/01/21
37045XBF2
5411000.00000000
PA
USD
5527370.32000000
0.092142817934
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0198
3138MFGG6
916843.68490000
PA
USD
966965.97000000
0.016119594701
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2043#AU2854
3138X2E42
695876.75950000
PA
USD
742716.71000000
0.012381296461
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 06/45#AN5733
36186NLN7
12244.25490000
PA
USD
12609.21000000
0.000210199077
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
0.03000000
N
N
N
N
N
N
THUNDERBOLT III AIRCRAFT LEASE LTD
N/A
THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A
88607AAA7
7823154.60000000
PA
USD
7780119.43000000
0.129696779235
Long
ABS-CBDO
CORP
US
N
2
2039-11-15
Fixed
0.03671000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1
N/A
CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A
14855MAB4
2095960.98000000
PA
USD
2112796.58000000
0.035220913261
Long
ABS-CBDO
CORP
US
N
2
2039-04-15
Fixed
0.05095000
N
N
N
N
N
N
OPTEUM MTG ACCEP CORP
N/A
OPMAC 2005-3 A1PT 1ML+29 7/35
68383NBZ5
12904.11530000
PA
USD
12907.15000000
0.000215165820
Long
ABS-CBDO
CORP
US
N
2
2035-07-25
Variable
0.02082000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2040#V81792
3132L67D7
1003230.76140000
PA
USD
1049306.14000000
0.017492228495
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #436199
36207MRU2
61740.99710000
PA
USD
69238.77000000
0.001154229770
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3% 09/15/23
00912XAT1
877000.00000000
PA
USD
897682.09000000
0.014964612934
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.03000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS LTD
635400CPI3EOIFF6OC33
PARK AEROSPACE HOLDINGS LTD 5.5% 02/15/2024 144A
70014LAB6
6100000.00000000
PA
USD
6697251.00000000
0.111645057925
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BM4614
3140J9DU2
731766.64300000
PA
USD
754419.87000000
0.012576391430
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719228
3620A5A58
207492.56660000
PA
USD
226900.49000000
0.003782494989
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AL2860
3138EKFA8
187445.62080000
PA
USD
193835.10000000
0.003231285637
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY INC 4.25% 04/15/2027
15135UAM1
6400000.00000000
PA
USD
6773250.24000000
0.112911986633
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2034#CA3585
3140QA6X3
1220294.63000000
PA
USD
1257308.48000000
0.020959686008
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15992
3132J7C67
183956.03620000
PA
USD
196688.63000000
0.003278854785
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 01/42#G60517
31335ASE9
3977543.23670000
PA
USD
4320572.13000000
0.072025152667
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/29 #495058
31382W5T5
1974.32050000
PA
USD
2266.20000000
0.000037778191
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/40 #737311
3620ARDQ1
142891.76570000
PA
USD
157386.82000000
0.002623682558
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2044#Q25663
3132M55Y4
45885.76770000
PA
USD
48889.70000000
0.000815005050
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04000000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 4.25% 05/15/2023
37045XAL0
2080000.00000000
PA
USD
2190323.22000000
0.036513304156
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.04250000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG 4.5% 04/01/2025
251525AP6
10381000.00000000
PA
USD
10314990.96000000
0.171953800631
Long
DBT
CORP
DE
N
2
2025-04-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #464693
36208YGA1
14512.30770000
PA
USD
15615.76000000
0.000260319111
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33347
3132QPWH3
23460.74720000
PA
USD
24648.20000000
0.000410892426
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2028#MA1387
31418ARH3
180267.31700000
PA
USD
185397.17000000
0.003090622971
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.25% 01/15/2025
912828H45
6800000.00000000
PA
USD
7454804.00000000
0.124273679514
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.00250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR3691
3138W1C54
144032.82750000
PA
USD
148942.49000000
0.002482913201
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BK NEW CASTLE DEL 3.2% 08/09/2021
25466AAF8
6841000.00000000
PA
USD
6959058.63000000
0.116009464757
Long
DBT
CORP
US
N
2
2021-08-09
Fixed
0.03200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 2/1/43 #Q15635
3132J6V50
62671.98190000
PA
USD
64846.85000000
0.001081015229
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 7/25 #307018
31373YAT6
2232.59210000
PA
USD
2438.99000000
0.000040658649
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.07000000
N
N
N
N
N
N
DB MASTER FIN LLC
549300F17UZJL70BPB08
DB MASTER FIN LLC 1A A2I 3.629% 11/20/2047 144A
233046AE1
3489780.00000000
PA
USD
3535565.91000000
0.058938878178
Long
ABS-CBDO
CORP
US
N
2
2047-11-20
Fixed
0.03629000
N
N
N
N
N
N
AXA EQUITABLE HLDGS INC
549300FIBAKMNHPZ4009
AXA EQUITABLE HLDGS INC 3.9% 04/20/2023
054561AC9
1041000.00000000
PA
USD
1090268.40000000
0.018175080891
Long
DBT
CORP
US
N
2
2023-04-20
Fixed
0.03900000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/41 #005055
36202FTL0
153640.94700000
PA
USD
167424.58000000
0.002791014840
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AT4363
3138WRZ52
196968.43180000
PA
USD
202636.12000000
0.003378001116
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21845
3132JPBN1
171952.22250000
PA
USD
183424.08000000
0.003057731005
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2032#C91403
3128P7RY1
3349157.65190000
PA
USD
3496632.12000000
0.058289840948
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #430354
36207FBX8
1257933.85160000
PA
USD
1342862.25000000
0.022385891418
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.5% 08/15/2029
674599CS2
1909000.00000000
PA
USD
1946082.78000000
0.032441747323
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
0.03500000
N
N
N
N
N
N
MYLAN INC
30ZMPDNA1RHIBH89C294
MYLAN INC 4.55% 04/15/2028
628530BK2
4000000.00000000
PA
USD
4301091.08000000
0.071700398084
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
0.04550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE1526
3140FLVU9
972729.46670000
PA
USD
1016483.62000000
0.016945067854
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST BUILD AMERICA BONDS-TAXABLE-SE
452152FA4
9480000.00000000
PA
USD
11126391.60000000
0.185480077525
Long
DBT
MUN
US
N
2
2035-04-01
Fixed
0.06725000
N
N
N
N
N
N
VERDE CDO LTD
N/A
VERDE CDO LTD 2019-1A 3ML+135 04/15/2032 144A
92338BAC9
6307000.00000000
PA
USD
6310336.40000000
0.105195082715
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Variable
0.03350880
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.5% 03/13/2027
71654QCG5
4830000.00000000
PA
USD
5117264.25000000
0.085306234395
Long
DBT
CORP
MX
N
2
2027-03-13
Fixed
0.06500000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO 4.85% 11/15/2035
406216BJ9
2154000.00000000
PA
USD
2432088.29000000
0.040543595875
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
0.04850000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 3.875% 09/10/2024
46625HJY7
43751000.00000000
PA
USD
46803877.84000000
0.780233808258
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR0910
3138NXAL1
83634.54490000
PA
USD
86485.40000000
0.001441735944
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AU5137
3138X4V72
187903.76760000
PA
USD
193310.62000000
0.003222542408
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BH6415
3140GVDV4
688853.10600000
PA
USD
707594.66000000
0.011795802009
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 3.6% 02/17/2023
00206RCS9
6270000.00000000
PA
USD
6540791.83000000
0.109036839554
Long
DBT
CORP
US
N
2
2023-02-17
Fixed
0.03600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AP4325
3138M7YX7
67321.67080000
PA
USD
69616.47000000
0.001160526136
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/44#Q28370
3132M86F8
220483.78180000
PA
USD
234642.24000000
0.003911552139
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04000000
N
N
N
N
N
N
AASET 2019-2 TR
N/A
AASET 2019-2 TR 3.376% 10/16/2039 144A
00038RAA4
6593190.90000000
PA
USD
6534195.69000000
0.108926880044
Long
ABS-CBDO
CORP
US
N
2
2039-10-16
Fixed
0.03376000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #475908
36209MU93
833.66550000
PA
USD
937.68000000
0.000015631389
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #745138
3620C0ZB7
250994.47580000
PA
USD
274471.37000000
0.004575514939
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
CGBAM COML MTG TR 2015-SMRT
N/A
CGBAM COML MTG TR 15-SMRT D 3.768% 04/10/2028 144A
12528RAJ7
2236000.00000000
PA
USD
2234728.83000000
0.037253558164
Long
ABS-MBS
CORP
US
N
2
2028-04-10
Fixed
0.03768000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q16935
3132J8EH9
859541.14670000
PA
USD
904926.64000000
0.015085381620
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2048#BK2527
3140HFYZ6
101524.09000000
PA
USD
107659.77000000
0.001794718647
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
BEECHWOOD PARK CLO LTD
N/A
BEECHWOOD PARK CLO LTD 3ML+133 01/17/2033 144A
07355TAA0
2600000.00000000
PA
USD
2600000.00000000
0.043342731309
Long
ABS-CBDO
CORP
KY
N
2
2033-01-17
Variable
0.03233170
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 02/01/2045#Q31307
3132QMNZ0
12927.77900000
PA
USD
13586.15000000
0.000226484941
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 05/01/2033#G18687
3128MMXR9
135003.11200000
PA
USD
136588.85000000
0.002276974548
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#BM5108
3140J9VA6
19399086.29300000
PA
USD
19957186.37000000
0.332691910205
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2044#AV6611
3138XJKZ9
450626.78560000
PA
USD
485802.08000000
0.008098457316
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04500000
N
N
N
N
N
N
TIME WARNER CABLE INC
B1WXCWLJVJXMWJX6O298
TIME WARNER CABLE INC 5.5% 09/01/2041
88732JBB3
1700000.00000000
PA
USD
1894467.01000000
0.031581297919
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #773113
36176QVE1
35935.59370000
PA
USD
38664.96000000
0.000644555758
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.125% 07/03/2023
00774MAF2
4192000.00000000
PA
USD
4425899.77000000
0.073780994051
Long
DBT
CORP
IE
N
2
2023-07-03
Fixed
0.04125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 02/15/2042#616913
36290TK24
559035.03480000
PA
USD
590716.84000000
0.009847415875
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
HCP INC
PZ9HF5U52KPF0MH0QN75
HCP INC 3.5% 07/15/2029
40414LAR0
656000.00000000
PA
USD
683324.47000000
0.011391211115
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.00% 4/42 #MA1044
31418AES3
27320.43550000
PA
USD
28072.42000000
0.000467975137
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/32 #569233
36200QLN2
185.03020000
PA
USD
212.24000000
0.000003538100
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2045#G07949
3128MAEW5
1899691.35500000
PA
USD
2030585.60000000
0.033850433100
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 3/41 #A97661
312946QN9
595747.89270000
PA
USD
647126.03000000
0.010787772939
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #779843
36176YEQ6
120065.01690000
PA
USD
129184.16000000
0.002153536283
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN 6.55% 9/15/40
494550BF2
460000.00000000
PA
USD
586406.42000000
0.009775559961
Long
DBT
CORP
US
N
2
2040-09-15
Fixed
0.06550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2048#G67710
3132XCR72
3024577.97900000
PA
USD
3163487.77000000
0.052736230929
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#MA3312
31418CVE1
3297315.74400000
PA
USD
3387025.48000000
0.056462667430
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A97151
3129455L8
84021.61120000
PA
USD
91267.75000000
0.001521459063
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 06/20/2046#MA3736
36179SEH6
1827481.69480000
PA
USD
1908374.81000000
0.031813144856
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/20/2046#MA3520
36179R4D8
779293.97170000
PA
USD
804057.91000000
0.013403871519
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#AS7009
3138WGYF5
3221932.07860000
PA
USD
3380953.11000000
0.056361439314
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2043#Q15174
3132J6FQ2
22792.23810000
PA
USD
24369.81000000
0.000406251587
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/28 #412599
31378YKL7
2727.06700000
PA
USD
3080.90000000
0.000051359469
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 6/25 #307158
31373YE70
199.18640000
PA
USD
221.88000000
0.000003698802
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
0.08500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/20/2047#MA4381
36179S2N6
227868.38830000
PA
USD
234682.20000000
0.003912218283
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 05/01/2034#MA3674
31418DCL4
3544188.46600000
PA
USD
3576139.33000000
0.059615248502
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.02500000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY CORP 4.25% 3/15/23
337932AF4
11729000.00000000
PA
USD
12358910.40000000
0.206026512595
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04250000
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTY LTD 3.85% 2/01/23
10112RAU8
4708000.00000000
PA
USD
4930695.98000000
0.082196088858
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
0.03850000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.21% 3/36 #1G1851
3128QSBU9
61895.33670000
PA
USD
64047.77000000
0.001067694340
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.03767000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #449499
36208FKL3
7591.94560000
PA
USD
8460.58000000
0.000141040248
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 4.75% 03/01/2020
00912XAJ3
3519000.00000000
PA
USD
3533070.79000000
0.058897283826
Long
DBT
CORP
US
N
2
2020-03-01
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3% 2/1/43 #Q15788
3132J62W3
177968.72290000
PA
USD
184144.66000000
0.003069743277
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PART 3.875% 8/15/22
11120VAB9
5542000.00000000
PA
USD
5771505.41000000
0.096212618553
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.03875000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 4.75% 5/01/23
404121AF2
215000.00000000
PA
USD
230184.81000000
0.003837245527
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.04750000
N
N
N
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
DDR CORP 4.625% 7/15/22
23317HAA0
896000.00000000
PA
USD
934150.17000000
0.015572546085
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
0.04625000
N
N
N
N
N
N
TERWIN MORTGAGE TRUST
N/A
TMTS 2003-4HE A 1ML+43 9/34
881561BU7
8753.22500000
PA
USD
8612.31000000
0.000143569630
Long
ABS-CBDO
CORP
US
N
2
2034-09-25
Variable
0.02652000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2047#BE9622
3140FVVQ6
1674179.49680000
PA
USD
1757571.55000000
0.029299212095
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 6/41 #AE1246
31419BL45
218856.34170000
PA
USD
234545.21000000
0.003909934621
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK AMER FDG CORP 4.2% 08/26/2024
06051GFH7
19977000.00000000
PA
USD
21443012.34000000
0.357461047047
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
0.04200000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2042#792254
36177LQG2
38676.53910000
PA
USD
41481.14000000
0.000691502271
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.04000000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
N/A
BHP BILLITON FIN USA LTD 6.75%/VAR 10/19/2075 144A
055451AX6
4773000.00000000
PA
USD
5604313.41000000
0.093425480886
Long
DBT
CORP
AU
N
2
2075-10-19
Variable
0.06750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34677
31307RFS9
25889.18080000
PA
USD
26705.02000000
0.000445180194
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4% 05/01/2037#C91938
3128P8EK3
8416856.34810000
PA
USD
8909440.24000000
0.148522874785
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/32 #567624
36213XSM7
65914.60290000
PA
USD
76033.02000000
0.001267491829
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 05/01/2034#ZT2022
3132AEG75
6354417.43700000
PA
USD
6413688.27000000
0.106917987458
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2033#BJ6880
3140H8UE3
1842916.54000000
PA
USD
1901695.26000000
0.031701794879
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 4.25% 12/01/2026
29250NAL9
1773000.00000000
PA
USD
1950568.98000000
0.032516533538
Long
DBT
CORP
CA
N
2
2026-12-01
Fixed
0.04250000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031
674599DD4
7680000.00000000
PA
USD
9985404.36000000
0.166459499305
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
0.07500000
N
N
N
N
N
N
THUNDERBOLT AIRCRAFT LEASE LIM
N/A
THUNDERBOLT AIRCRAFT LEASE 2018-A A 4.147% 07/15/2038 144A
886065AA9
6436017.89000000
PA
USD
6526310.07000000
0.108795424541
Long
ABS-CBDO
CORP
US
N
2
2038-09-15
Variable
0.04147000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/33 #726923
31402ESL3
159135.56500000
PA
USD
170945.75000000
0.002849713734
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 04/01/2048#Q55500
3132XYDE4
958841.41600000
PA
USD
1024154.24000000
0.017072939247
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 4/40 #A91937
312940EJ4
399361.97390000
PA
USD
440559.32000000
0.007344247781
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#670029
36295GLJ9
15666.80960000
PA
USD
16133.78000000
0.000268954650
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2047#MA4586
36179TCX1
34065897.09500000
PA
USD
35446070.10000000
0.590895958588
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 3/39 #930685
31412N6W1
108627.13950000
PA
USD
122230.10000000
0.002037610147
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
0.05500000
N
N
N
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GRP AG 2.593%/VAR 09/11/2025 144A
225401AM0
10580000.00000000
PA
USD
10609639.55000000
0.176865675503
Long
DBT
CORP
CH
N
2
2025-09-11
Variable
0.02593000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2046#BC9079
3140F5CR2
151320.38600000
PA
USD
162233.78000000
0.002704482744
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.04500000
N
N
N
N
N
N
RETAIL OPPTY INVTS PRTNRSHP LP
549300KH0PNTJK9NTE57
RETAIL OPPTY INVTS PRTNRSHP LP 4.0% 12/15/2024
76132FAB3
978000.00000000
PA
USD
997322.03000000
0.016625638759
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/39 #664574
36295AJT3
15618.91380000
PA
USD
17284.41000000
0.000288135976
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 10/01/2041#AL4242
3138ELWC3
1649341.84160000
PA
USD
1810626.53000000
0.030183653535
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.05000000
N
N
N
N
N
N
EL PASO PIPELINE PARTNERS OPER CO L L C
N/A
EL PASO PIPELINE PRT OP CO LLC 5% 10/01/2021
28370TAE9
1517000.00000000
PA
USD
1580943.25000000
0.026354768654
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
0.05000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 5.8% 06/15/2038
29278NAD5
2257000.00000000
PA
USD
2550667.66000000
0.042520347326
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
0.05800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2047#Q52086
3132XUJ89
163242.63180000
PA
USD
169515.56000000
0.002825872065
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 12/45#G60412
31335AN53
2800762.86690000
PA
USD
2975363.54000000
0.049600147101
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/47#BM1277
3140J5M30
2418369.35900000
PA
USD
2569059.65000000
0.042826946972
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AZ0727
3138YRYZ5
304494.23350000
PA
USD
319808.25000000
0.005331293480
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FIN 3.85% 11/22 WI
254709AJ7
5040000.00000000
PA
USD
5266267.62000000
0.087790162484
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
0.03850000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 2/1/43#Q15558
3132J6TQ7
33264.91250000
PA
USD
34481.66000000
0.000574818970
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 2.6% 11/19/2022
418056AW7
1931000.00000000
PA
USD
1941749.61000000
0.032369512160
Long
DBT
CORP
US
N
2
2022-11-19
Fixed
0.02600000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 5.25% 04/15/2029
29278NAG8
2052000.00000000
PA
USD
2302859.34000000
0.038389312929
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.05250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 05/01/2046#V82275
3132L7Q44
2825000.60720000
PA
USD
2908027.09000000
0.048477629539
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/28 #251822
31371GVP2
4477.33120000
PA
USD
5090.81000000
0.000084865234
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2042#Q10392
3132HLNH2
2727123.37940000
PA
USD
2871973.17000000
0.047876600552
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/01/2042#Q10843
3132HL5C3
28179.49700000
PA
USD
29676.24000000
0.000494711267
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 03/01/2033#G18680
3128MMXJ7
1081899.20400000
PA
USD
1094607.08000000
0.018247407906
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2044#AX1002
3138Y2DG5
684161.38930000
PA
USD
735641.87000000
0.012263356889
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #471672
36209G6H5
524.25940000
PA
USD
585.65000000
0.000009762950
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5.5% 06/01/2041#G07794
3128M97F3
3700216.84680000
PA
USD
4167061.37000000
0.069466085119
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2033#
3140JAUL0
2313928.53200000
PA
USD
2380498.87000000
0.039683585732
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2045#AS4972
3138WEQ28
366271.18810000
PA
USD
377268.33000000
0.006289169176
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/27 #353881
36203NCS5
1238.71420000
PA
USD
1398.91000000
0.000023320223
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
0.07500000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 5.75% 8/15/42
91529YAJ5
7278000.00000000
PA
USD
8218365.78000000
0.137002469156
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
0.05750000
N
N
N
N
N
N
KEYBANK NATL ASSN
HUX2X73FUCYHUVH1BK78
KEY BK NA 6.95% 2/01/28
49306CAB7
800000.00000000
PA
USD
1010304.54000000
0.016842060853
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.06950000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTN TII 0.75% 02/15/2045
912810RL4
33835000.00000000
PA
USD
38376850.60000000
0.639752893872
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.00750000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.8% 08/15/2038
125523AJ9
3776000.00000000
PA
USD
4394011.20000000
0.073249402620
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
0.04800000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #563599
36213TDC4
371.93780000
PA
USD
428.65000000
0.000007145716
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #453633
36208K4S5
7377.00180000
PA
USD
8352.86000000
0.000139244525
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
SUNOCO LOGISTICS PRTNR OPER LP
5493006LL0CKP8WQW329
SUNOCO LOGISTICS PRTNR OPER LP 5.4% 10/01/2047
86765BAV1
1349000.00000000
PA
USD
1462794.38000000
0.024385193759
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
0.05400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2044#AS2751
3138WCBV4
375204.14850000
PA
USD
404257.56000000
0.006739087231
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 06/01/2049#ZT2090
3132AEKB1
40675027.04500000
PA
USD
41248020.22000000
0.687616099020
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
0.03000000
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029
72650RBM3
1322000.00000000
PA
USD
1301186.30000000
0.021691141609
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.03550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/27 #397591
31378FUQ6
239.09270000
PA
USD
263.40000000
0.000004390952
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
0.07500000
N
N
N
N
N
N
AXA EQUITABLE HLDGS INC
549300FIBAKMNHPZ4009
AXA EQUITABLE HLDGS INC 4.35% 04/20/2028
054561AJ4
4250000.00000000
PA
USD
4610093.19000000
0.076851550171
Long
DBT
CORP
US
N
2
2028-04-20
Fixed
0.04350000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 5.088%/VAR 06/20/2030
06738EBK0
7347000.00000000
PA
USD
8180852.32000000
0.136377109227
Long
DBT
CORP
GB
N
2
2030-06-20
Variable
0.05088000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/32 #572976
36200UQ57
35079.39820000
PA
USD
40353.89000000
0.000672710696
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/29 #506813
36211AAN6
217.78690000
PA
USD
238.14000000
0.000003969860
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 4/41 #Q00114
3132GDDT6
215782.05750000
PA
USD
234121.68000000
0.003902874257
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.75% 02/01/2022
00912XAQ7
4522000.00000000
PA
USD
4655116.24000000
0.077602097079
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
0.03750000
N
N
N
N
N
N
INGERSOLL-RAND GLOBAL HLDG CO LTD
549300UCF0D858BIOV83
INGERSOLL RAND GLB HLDG CO LTD 4.25% 06/15/2023
45687AAJ1
2932000.00000000
PA
USD
3139050.04000000
0.052328847096
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.04250000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.8% 01/31/2028
14040HBW4
6237000.00000000
PA
USD
6698064.86000000
0.111658625200
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
0.03800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33578
3132QP6Q2
19677.53830000
PA
USD
20679.66000000
0.000344735748
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2049#FM1338
3140X4PY6
7396949.69300000
PA
USD
7881883.36000000
0.131393212571
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.05% 07/30/2022
172967GK1
1800000.00000000
PA
USD
1880619.21000000
0.031350451198
Long
DBT
CORP
US
N
2
2022-07-30
Fixed
0.04050000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/28 #415853
31379C5N7
3325.81790000
PA
USD
3764.15000000
0.000062749439
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/28 #506236
31383LLR4
38068.74470000
PA
USD
42137.67000000
0.000702446811
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #510166
31383QW34
3504.81590000
PA
USD
4061.16000000
0.000067700679
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ8767
3138MQW58
113951.93250000
PA
USD
117836.22000000
0.001964362931
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15893
3132J67F5
97844.33090000
PA
USD
104616.67000000
0.001743989314
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #550867
36213C6C9
23252.91590000
PA
USD
26632.10000000
0.000443964597
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 4/26 #343282
31375SJ35
1237.53890000
PA
USD
1347.27000000
0.000022459369
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 06/20/2045#MA2893
36179RGA1
627397.92900000
PA
USD
661479.00000000
0.011027040986
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/45#AY3962
3138YHML1
118560.62600000
PA
USD
125651.82000000
0.002094651181
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2048#ZT0712
3132ACYH7
2076711.44000000
PA
USD
2161463.49000000
0.036032204339
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/32 #587033
36201MEE8
13589.83690000
PA
USD
15572.62000000
0.000259599955
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 1999-57 PH 6.5% 12/29
31359XGQ6
191974.51900000
PA
USD
215132.58000000
0.003586320619
Long
ABS-CBDO
USGSE
US
N
2
2029-12-25
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2045#Q33114
3132QPN83
45478.19170000
PA
USD
47652.14000000
0.000794374577
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#727221
31402E4E5
117123.58520000
PA
USD
125986.74000000
0.002100234392
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #303505
31373UDJ3
1656.38790000
PA
USD
1809.31000000
0.000030161706
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 02/01/2033#MA3283
31418CUH5
8210237.22000000
PA
USD
8433612.32000000
0.140590689521
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/01/2045#Q38812
3132QVYJ4
388007.98830000
PA
USD
411347.79000000
0.006857283360
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 8/45#Q35375
3132QR6M7
79453.00240000
PA
USD
82036.41000000
0.001367570029
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A
61771LAE2
1211000.00000000
PA
USD
1223491.22000000
0.020395942772
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03177090
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #564296
36213T3D3
391.76550000
PA
USD
443.77000000
0.000007397770
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
0.07000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.875% 07/03/2023
00912XBC7
5581000.00000000
PA
USD
5876770.68000000
0.097967420212
Long
DBT
CORP
US
N
2
2023-07-03
Fixed
0.03875000
N
N
N
N
N
N
CORPOARATE OFFICE PPTYS LP
H0TWO5VRNEP6CQAWPX27
CORPORATE OFFICE PPTYS LP 5.0% 07/01/2025
22003BAK2
3156000.00000000
PA
USD
3400024.86000000
0.056679370751
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2045#AY5622
3138YKG80
8644316.94900000
PA
USD
9076366.83000000
0.151305587992
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96876
312945T99
116866.58160000
PA
USD
126945.32000000
0.002116214190
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#BC6149
3140F1ZP0
879525.98980000
PA
USD
920187.18000000
0.015339779114
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 4.0% 06/12/2022
761713BF2
3228000.00000000
PA
USD
3358545.74000000
0.055987902153
Long
DBT
CORP
US
N
2
2022-06-12
Fixed
0.04000000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019 IMC B 1ML+130 04/15/2034
05608BAG5
3284000.00000000
PA
USD
3281051.30000000
0.054696048042
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.03039750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q12215
3132HNN88
49064.39790000
PA
USD
52491.08000000
0.000875041067
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 4% 06/15/2029
91529YAN6
4410000.00000000
PA
USD
4625653.67000000
0.077110947750
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 11/42#AB9233
36178WHJ1
200180.77890000
PA
USD
212180.88000000
0.003537114950
Long
ABS-MBS
USGA
US
N
2
2042-11-20
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 02/28/2026
9128286F2
153467000.00000000
PA
USD
159761033.11000000
2.663261358404
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/39 #710924
36297FYV8
112634.46850000
PA
USD
124767.95000000
0.002079916820
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.05000000
N
N
N
N
N
N
PROVIDENCE PLACE GROUP LTD PARTNERSHIP
N/A
PPGLP 2000-C1 A2 7.75% 7/28
743784AB6
3762450.71980000
PA
USD
4610036.81000000
0.076850610301
Long
ABS-MBS
CORP
US
N
2
2028-07-20
Fixed
0.07750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 8.5% 01/01/2028#
31283G7J0
3025.25200000
PA
USD
3402.63000000
0.000056722799
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.08500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 01/01/2050#TBA
01F022618
11950000.00000000
PA
USD
11811994.23000000
0.196909266208
Long
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2042#AL2866
3138EKFG5
8277742.85300000
PA
USD
8712165.42000000
0.145234248048
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 5/46#Q40310
3132WDKY9
393023.44340000
PA
USD
404574.36000000
0.006744368377
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2041#Q04636
3132GKY91
13617.42410000
PA
USD
14598.26000000
0.000243357100
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 01/01/2050 #TBA
21H040616
-110000000.00000000
PA
USD
-113867182.00000000
-1.89819795170
Short
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2040#AE0675
31419AXD4
1793034.03930000
PA
USD
1946443.52000000
0.032447760960
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/24 #368294
36204FC77
903.86110000
PA
USD
974.64000000
0.000016247522
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 01/01/2050 #TBA
01F032617
74400000.00000000
PA
USD
76536031.44000000
1.275877171622
Long
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
0.03500000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV FIN INC
5493000EYEKDT0FBSQ91
ANHUESER-BUSCH INBEV FIN INC 4.9% 02/01/2046
035242AN6
11511000.00000000
PA
USD
13557128.25000000
0.226001141181
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
0.04900000
N
N
N
N
N
N
AON CORP2
LTS3U8DGK38SETRUWX71
AON CORP 5% 9/30/20
037389AW3
1402000.00000000
PA
USD
1432023.34000000
0.023872231867
Long
DBT
CORP
US
N
2
2020-09-30
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6% 11/35 #AD0687
31418MXR8
189110.92130000
PA
USD
215179.05000000
0.003587095287
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.06000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3% 02/15/2049
912810SF6
158563000.00000000
PA
USD
178674870.88000000
2.978560353982
Long
DBT
UST
US
N
2
2049-02-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 8/41 #Q02592
3132GF2Z9
280602.06280000
PA
USD
304801.58000000
0.005081128071
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 02/15/2042#778869
36176XCE7
33643.24280000
PA
USD
35914.64000000
0.000598707150
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 09/30/2026
912828YG9
207060000.00000000
PA
USD
204347516.07000000
3.406530570320
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.01625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/32 #552505
36213EYA8
5587.84640000
PA
USD
6415.79000000
0.000106953023
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AQ1886
3138MHCY7
94629.39440000
PA
USD
97855.04000000
0.001631271040
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
MADISON PK FDG XXXVII LLC
N/A
MADISON PK FDG XXXVII LLC 2019-37A A1 3ML+130 07/15/2032 144A
55817EAA4
6260000.00000000
PA
USD
6263405.44000000
0.104412730411
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Variable
0.03603010
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 7/40 #004746
36202FHX7
414005.00470000
PA
USD
452052.40000000
0.007535840658
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
0.04500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.9% 08/15/2024
674599CW3
4509000.00000000
PA
USD
4578646.37000000
0.076327322837
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.02900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2047#Q51124
3132XTHA9
44421.53500000
PA
USD
47190.79000000
0.000786683742
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 1/40 #A90893
3129387E7
314466.64660000
PA
USD
346906.37000000
0.005783026763
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.05000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 3.75% 08/15/2021
87165BAC7
2203000.00000000
PA
USD
2252499.52000000
0.037549800565
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/27 #461022
36208UD38
2067.14130000
PA
USD
2334.47000000
0.000038916271
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/41 #AH4545
3138A6BP4
63683.20530000
PA
USD
68248.38000000
0.001137719691
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1
N/A
CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A
14855MAA6
6110163.55000000
PA
USD
6168210.10000000
0.102825797317
Long
ABS-CBDO
CORP
US
N
2
2039-04-15
Fixed
0.03967000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 9/25 #318376
31374MT95
1474.50130000
PA
USD
1624.40000000
0.000027079204
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2041#
312946BR6
198874.63100000
PA
USD
216025.86000000
0.003601211848
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS 4.25% 03/14/24
404280AP4
2200000.00000000
PA
USD
2335906.89000000
0.038940224883
Long
DBT
CORP
GB
N
2
2024-03-14
Fixed
0.04250000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
DOMINION RESOURCE 6.3/VAR 9/66
25746UAZ2
15230000.00000000
PA
USD
14125825.00000000
0.235481475962
Long
DBT
CORP
US
N
2
2066-09-30
Variable
0.04260500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 5/33 #G01785
31283H6W0
135970.18350000
PA
USD
152405.62000000
0.002540644552
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.06000000
N
N
N
N
N
N
COLUMBIA PIPELINE GROUP INC
549300SRP1TQM9JJBG80
COLUMBIA PIPELINE GROUP INC 4.5% 06/01/2025
198280AF6
1336000.00000000
PA
USD
1464558.58000000
0.024414603469
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 10/44#AL6325
3138EPA38
3622138.65770000
PA
USD
3726364.25000000
0.062119540173
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 5/40 #AL2129
3138EJLK2
452748.43540000
PA
USD
521332.58000000
0.008690760745
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/41 #737995
3620AR3C3
393619.76780000
PA
USD
415927.11000000
0.006933621912
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/47#V84700
3132LAGH9
40624.65800000
PA
USD
42642.77000000
0.000710866970
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 1999-54 PH 6.5% 11/29
31359XBH1
155303.63600000
PA
USD
164695.33000000
0.002745517475
Long
ABS-CBDO
USGSE
US
N
2
2029-11-18
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 11/1/42 #Q13634
3132HQBB7
539988.40950000
PA
USD
559739.78000000
0.009331019572
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 07/31#BC1465
3140EVTX5
24977038.96600000
PA
USD
25295870.87000000
0.421689282447
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL5244
36184BZH3
14621.35410000
PA
USD
15057.16000000
0.000251007092
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #484199
36209W3G5
144.04410000
PA
USD
162.49000000
0.000002708754
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/23 #050946
313615TB2
1450.73360000
PA
USD
1543.61000000
0.000025732412
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552552
36213EZR0
248123.27920000
PA
USD
266115.74000000
0.004436224236
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/01/2042#Q11866
3132HNCB3
124508.31330000
PA
USD
131121.51000000
0.002185832452
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AB7280
31417ECS8
500284.61150000
PA
USD
517337.86000000
0.008624167639
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 5.15% 03/19/2029
87165BAP8
6556000.00000000
PA
USD
7450315.24000000
0.124198850623
Long
DBT
CORP
US
N
2
2029-03-19
Fixed
0.05150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 2/28 #313983
31374GXL6
1029.33240000
PA
USD
1159.25000000
0.000019325023
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/28 #436662
31380DB70
12491.92880000
PA
USD
14096.52000000
0.000234992953
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2046#BD3432
3140FAY63
781185.39600000
PA
USD
816811.98000000
0.013616485453
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 01/01/2043#AQ9316
3138MRK67
4213986.44040000
PA
USD
4200086.61000000
0.070016625159
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.02500000
N
N
N
N
N
N
ENBRIDGE ENERGY PARTNERS LP
CZ6VG2MNE1J6YDI02G48
ENBRIDGE ENRGY PRTNRS 4.2 9/21
29250RAU0
4399000.00000000
PA
USD
4531965.98000000
0.075549147606
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
0.04200000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/39 #723339
3620A9S44
92806.01600000
PA
USD
102760.75000000
0.001713050606
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/22 #179985
31367U2S3
61.14780000
PA
USD
64.09000000
0.000001068398
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/40 #737674
3620ARQ38
80891.65360000
PA
USD
88945.70000000
0.001482749837
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.05000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.8% 02/14/2029
02209SBD4
5504000.00000000
PA
USD
6127140.97000000
0.102141163369
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
0.04800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18481
3132J92P2
216818.55860000
PA
USD
231554.72000000
0.003860082312
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/29 #480551
36209SZQ7
7290.27170000
PA
USD
8117.73000000
0.000135324842
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
0.07000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 7% 4/15/20
25466AAB7
2309000.00000000
PA
USD
2339975.24000000
0.039008045422
Long
DBT
CORP
US
N
2
2020-04-15
Fixed
0.07000000
N
N
N
N
N
N
TIME WARNER CABLE INC
B1WXCWLJVJXMWJX6O298
TIME WARNER CABLE INC 4.5% 09/15/2042
88732JBD9
924000.00000000
PA
USD
942184.27000000
0.015706476791
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
0.04500000
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GRP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SC 6% 12/19/23
780097AZ4
10433000.00000000
PA
USD
11595251.54000000
0.193296104602
Long
DBT
CORP
GB
N
2
2023-12-19
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19690
3132JBF81
150941.08180000
PA
USD
161199.85000000
0.002687246840
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GRP INC 3.75% 07/10/2025
026874DD6
8311000.00000000
PA
USD
8886792.73000000
0.148145334423
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR2904
3138W0GN3
594649.89470000
PA
USD
614919.79000000
0.010250885859
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2044#AX8928
3138YA4N2
317768.80380000
PA
USD
341083.85000000
0.005685963717
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2045#G61796
31335B7H3
261798.58500000
PA
USD
284703.71000000
0.004746090925
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/45#G60179
31335AFU7
116655.00880000
PA
USD
124146.06000000
0.002069549739
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2047#BJ4279
3140H5XH9
274829.77500000
PA
USD
291611.07000000
0.004861238559
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 3.25% 09/15/2023
11120VAD5
5952000.00000000
PA
USD
6122811.92000000
0.102068996887
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.03250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 01/01/2050 #TBA
21H030617
101625000.00000000
PA
USD
104390226.41000000
1.740214436404
Long
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/43#AL7261
3138EQB76
749843.47070000
PA
USD
789430.18000000
0.013160023145
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
CHC COML MTG TR 2019-CHC
N/A
CHC COML MTG TR 2019-CHC B 1ML+140 06/15/2034 144A
162665AG8
1565000.00000000
PA
USD
1561086.72000000
0.026023754713
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.03239750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 06/01/2032#C91456
3128P7TM5
15204435.14850000
PA
USD
15897693.53000000
0.265019022736
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 12/01/2034#
3132D54D1
5350960.75000000
PA
USD
5397527.49000000
0.089978301436
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.02500000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.75% 05/15/2046
00206RCQ3
15700000.00000000
PA
USD
17716566.09000000
0.295340139911
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
0.04750000
N
N
N
N
N
N
AASET 2019-2 TR
N/A
AASET 2019-2 B TR 4.458% 10/16/2039 144A
00038RAB2
1159940.80000000
PA
USD
1147945.62000000
0.019136576371
Long
ABS-CBDO
CORP
US
N
2
2039-10-16
Fixed
0.04458000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 03/15/2043#AB3930
36178QLK6
197869.60470000
PA
USD
208897.83000000
0.003482385583
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 02/01/2042#AJ5602
3138AXGL9
747366.03750000
PA
USD
800240.84000000
0.013340239888
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AL2884
3138EKF26
285337.54620000
PA
USD
295063.88000000
0.004918797873
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE D CSTR 04/15/2036 144A
12690CAJ2
1519000.00000000
PA
USD
1566532.09000000
0.026114530563
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04782040
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 05/01/2044#AL7668
3138EQQW5
161096.37600000
PA
USD
179668.50000000
0.002995124430
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 01/15/2045#AI6880
36198TUD2
15309.18790000
PA
USD
15765.50000000
0.000262815319
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 11/01/2029#
31292G6T8
7414.54470000
PA
USD
8551.50000000
0.000142555910
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07500000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.625% 12/15/2029 144A
15135BAS0
8925000.00000000
PA
USD
9405611.25000000
0.156794185081
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.04625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479596
36209RXZ1
41943.95880000
PA
USD
44775.77000000
0.000746424680
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/01/2047#Q49393
3132WPNK9
1066770.55200000
PA
USD
1144102.24000000
0.019072506145
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.58% 7/35 #995273
31416BT65
14836.54160000
PA
USD
15459.41000000
0.000257712713
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.04647000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029
681936BL3
5913000.00000000
PA
USD
5911556.10000000
0.098547302947
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR0739
3138NWZD4
288156.37830000
PA
USD
297978.79000000
0.004967390242
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/42 #AL2128
3138EJLJ5
35275.77830000
PA
USD
40696.64000000
0.000678424435
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.06000000
N
N
N
N
N
N
NIAGARA PARK CLO LLC
N/A
NIAGARA PARK CLO LLC 3ML+130 07/17/2032 144A
65357LAA3
6261000.00000000
PA
USD
6264487.38000000
0.104430766655
Long
ABS-CBDO
CORP
KY
N
2
2032-07-17
Variable
0.03302130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 3/26 #303780
31373UM53
1367.25670000
PA
USD
1501.64000000
0.000025032761
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/24 #279712
31372QVD6
1716.38150000
PA
USD
1840.74000000
0.000030685653
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AM8979
36185B6Q4
17322.57690000
PA
USD
17838.90000000
0.000297379480
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY GL 7.375 11/15/31C
337932AC1
5363000.00000000
PA
USD
7561480.71000000
0.126052010275
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
0.07375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #709061
36297DWW3
42729.86770000
PA
USD
45975.27000000
0.000766420682
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/39 #AB0042
31416VBL7
7623759.51020000
PA
USD
8215980.01000000
0.136962697699
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AK6572
3138EBJS5
1702793.08110000
PA
USD
1792689.15000000
0.029884632365
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #743475
3620AX6L7
72001.77530000
PA
USD
79305.69000000
0.001322048158
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #484239
36209W4Y5
83.01920000
PA
USD
93.38000000
0.000001556670
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC 4.9% 03/15/2049
571748BJ0
3633000.00000000
PA
USD
4599358.45000000
0.076672599036
Long
DBT
CORP
US
N
2
2049-03-15
Fixed
0.04900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2048#BM3877
3140J8JX2
1350227.02100000
PA
USD
1431828.94000000
0.023868991164
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 12/29 #535033
31384VLN0
1019.23160000
PA
USD
1177.51000000
0.000019629422
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21526
3132JNVT1
76975.56120000
PA
USD
82111.02000000
0.001368813799
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.45% 09/29/27
172967KA8
17100000.00000000
PA
USD
18818089.33000000
0.313702842151
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
0.04450000
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GRP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 6.125% 12/15/2022
780099CE5
8239000.00000000
PA
USD
9013423.07000000
0.150256297809
Long
DBT
CORP
GB
N
2
2022-12-15
Fixed
0.06125000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINANCE CORP 5.45% 06/15/2023 144A
25272KAG8
4500000.00000000
PA
USD
4878264.29000000
0.081322037838
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.05450000
N
N
N
N
N
N
FIDELITY REVERE STREET TRUST
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
24482075.13600000
NS
USD
24486971.55000000
0.408204703261
Long
STIV
RF
US
N
1
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 01/01/2050 #TBA
01F032617
-25800000.00000000
PA
USD
-26540720.58000000
-0.44244127725
Short
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
0.03500000
N
N
N
N
N
N
UBS GROUP FUNDING JERSEY LTD
N/A
UBS GROUP FUNDING JERSEY LTD 4.125% 09/24/2025 144A
90351DAB3
5261000.00000000
PA
USD
5718122.87000000
0.095322716596
Long
DBT
CORP
JE
N
2
2025-09-24
Fixed
0.04125000
N
N
N
N
N
N
CITIZENS FINANCIAL GRP INC
2138004JDDA4ZQUPFW65
CITIZENS FINANCIAL GRP INC 4.15% 09/28/2022 144A
75524RAA7
4857000.00000000
PA
USD
5065414.45000000
0.084441883645
Long
DBT
CORP
US
N
2
2022-09-28
Fixed
0.04150000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 9/41 #Q03529
3132GJSS9
19632.63170000
PA
USD
21288.97000000
0.000354893117
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 03/01/2045#AZ3300
3138YUU25
20487.97780000
PA
USD
21771.00000000
0.000362928693
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/29 #323500
31374TKM0
1028.44440000
PA
USD
1148.32000000
0.000019142817
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 8% 04/01/2027#
3128FMF97
1330.35700000
PA
USD
1495.76000000
0.000024934739
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AD8812
36180MYH4
1252172.61650000
PA
USD
1292354.71000000
0.021543916520
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2043#Q16616
3132J7YN6
8206930.04130000
PA
USD
8473777.55000000
0.141260255203
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q32124
3132QNLE7
23228.96100000
PA
USD
24411.94000000
0.000406953906
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
EMERA US FINANCE LP
N/A
EMERA US FINANCE LP 3.55% 06/15/2026
29103DAJ5
1891000.00000000
PA
USD
1962557.77000000
0.032716390040
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.03550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.25% 6/36 #886983
31410EM88
18369.05750000
PA
USD
19154.20000000
0.000319305901
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.04345000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS REALTY LP 3.5% 02/01/2025
92277GAE7
6443000.00000000
PA
USD
6722625.94000000
0.112068065312
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17646
3132J85G1
3777440.97570000
PA
USD
3976897.41000000
0.066295998418
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9282
36184HJ39
127054.40950000
PA
USD
130841.43000000
0.002181163440
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2048#BJ2731
3140H4A95
7534003.66000000
PA
USD
7989326.44000000
0.133184318936
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #768137
36176KEJ2
117191.02610000
PA
USD
125982.02000000
0.002100155708
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #486599
36210ARU3
267.48990000
PA
USD
299.52000000
0.000004993082
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
PINE STR TR I
N/A
PINE STR TR I 5.568% 02/15/2049 144A
72284LAA7
5700000.00000000
PA
USD
6395050.25000000
0.106607286422
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
0.05568000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.125% 09/15/2020 144A
125523CG3
2723000.00000000
PA
USD
2761551.58000000
0.046035841588
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2046#Q39899
3132QW7M5
161644.62480000
PA
USD
171266.99000000
0.002855068896
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.2% 08/15/2026
674599CR4
607000.00000000
PA
USD
614163.06000000
0.010238270957
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.03200000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 4.125% 01/15/2026
92277GAG2
1557000.00000000
PA
USD
1666384.22000000
0.027779093656
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/26 #331636
31375DLR2
2087.87250000
PA
USD
2236.20000000
0.000037278082
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.50% 1/38 #G05871
3128M72C9
82480.67460000
PA
USD
92762.44000000
0.001546375966
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/26 #331637
31375DLS0
1211.75290000
PA
USD
1322.12000000
0.000022040112
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/40 #711491
36297GNG1
27989.20130000
PA
USD
30045.06000000
0.000500859601
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG7744
3617GSS91
2214924.13600000
PA
USD
2340779.00000000
0.039021444327
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-IMC D 1ML+185 04/15/2034 144A
05608BAL4
2279000.00000000
PA
USD
2287501.58000000
0.038133294750
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.03639750
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2.5% 01/01/2035#TBA
01F022410
5000000.00000000
PA
USD
5043999.50000000
0.084084890405
Long
ABS-MBS
USGA
US
N
2
2035-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2039#AB0050
31416VBU7
1461273.66830000
PA
USD
1573472.74000000
0.026230233151
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552554
36213EZT6
144045.64130000
PA
USD
153770.77000000
0.002563401987
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 12/40 #G06185
3128M8F25
255575.63240000
PA
USD
277936.30000000
0.004633276296
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029
11120VAH6
5051000.00000000
PA
USD
5419330.89000000
0.090341770247
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/47#BE9387
3140FVND4
62414.48800000
PA
USD
66896.39000000
0.001115181637
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #511104
31383RX98
3962.17580000
PA
USD
4587.16000000
0.000076469247
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 12/01/2044#Q30848
3132QL5J8
340200.98920000
PA
USD
349030.02000000
0.005818428606
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #772072
36176PQZ2
45513.10380000
PA
USD
48585.88000000
0.000809940285
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA
N/A
BLACKBIRD AIRCRAF 2016-1A A STEP 12/16/2041 144A
09228YAB8
8036437.43730000
PA
USD
8202495.95000000
0.136737914626
Long
ABS-CBDO
CORP
KY
N
2
2041-12-16
Variable
0.04213000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2047#MA4452
36179S5M5
840150.22160000
PA
USD
877911.87000000
0.014635037805
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/20/2047#MA4196
36179SUV7
649146.12200000
PA
USD
677271.87000000
0.011290312571
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
0.03500000
N
N
N
N
N
N
BX TR 2018-IND
N/A
BX COML MTG TR 2018-IND F 1ML+188.9 11/15/2035 144A
056059AQ1
2048200.00000000
PA
USD
2052681.05000000
0.034218770467
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Variable
0.03539750
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 5.5% 02/15/2049
55336VAT7
3377000.00000000
PA
USD
3825594.80000000
0.063773741352
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
0.05500000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.5% 04/01/2027
681936BF6
16195000.00000000
PA
USD
17465579.70000000
0.291156126194
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/29 #252874
31371H2F4
1793.70120000
PA
USD
2062.52000000
0.000034382788
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2046#BC6338
3140F2BG4
1330547.11180000
PA
USD
1405554.31000000
0.023430985692
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #738240
3620ASEM7
33691.20190000
PA
USD
36993.05000000
0.000616684548
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BK NEW CASTLE DEL 4.2% 08/08/2023
25466AAD3
2849000.00000000
PA
USD
3027781.96000000
0.050473976906
Long
DBT
CORP
US
N
2
2023-08-08
Fixed
0.04200000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/27 #780580
36225AUD0
4032.03760000
PA
USD
4520.08000000
0.000075351004
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/45#Q34074
3132QQQ47
15478.17700000
PA
USD
16261.60000000
0.000271085445
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.5% 01/43 #Q16224
3132J7LE0
62844.31220000
PA
USD
66162.62000000
0.001102949485
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
PACIFIC LIFECORP
VFN8KLUEIK7XMVX1JM30
PACIFIC LCP 5.125 1/30/43 144A
694476AD4
5252000.00000000
PA
USD
6095659.01000000
0.101616350240
Long
DBT
CORP
US
N
2
2043-01-30
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2045#AY2657
3138YF5T7
193216.75080000
PA
USD
202934.26000000
0.003382971194
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 07/47#BE3749
3140FPEX3
1677603.97400000
PA
USD
1797546.12000000
0.029965599421
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/25 #780453
36225AQE3
963.37730000
PA
USD
1058.67000000
0.000017648326
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07500000
N
N
N
N
N
N
CLECO CORPORATE HLDGS LLC
5493002H80P81B3HXL31
CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029 144A
18551QAA5
3447000.00000000
PA
USD
3456864.73000000
0.057626907371
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.03375000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 5.55% 01/23/2049
03523TBV9
10715000.00000000
PA
USD
13880288.47000000
0.231388312944
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
0.05550000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.431/VAR 01/23/2030
6174468G7
4395000.00000000
PA
USD
4964385.26000000
0.082757698631
Long
DBT
CORP
US
N
2
2030-01-23
Variable
0.04431000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1611
3138WAYH4
620533.48440000
PA
USD
649027.33000000
0.010819468144
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2044#AX6700
3138Y8NS5
55189.33720000
PA
USD
59342.12000000
0.000989249831
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 07/01/2045#Q34759
3132QRJD3
213494.76140000
PA
USD
220436.52000000
0.003674738791
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
R6ZXK5P01NP6HXSY1S07
MASSACHUSETTS MUTUAL LIFE INS 3.729% 10/15/2070 144A
575767AN8
6306000.00000000
PA
USD
6072798.76000000
0.101235263443
Long
DBT
CORP
US
N
2
2070-10-15
Fixed
0.03729000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019 1ML+185 10/15/2036 144A
056054AH2
7741000.00000000
PA
USD
7748276.54000000
0.129165949302
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.03539750
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/31 #535750
36212KEX7
10853.40110000
PA
USD
12411.48000000
0.000206902862
Long
ABS-MBS
USGA
US
N
2
2031-05-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2043#Q20763
3132JMZ44
94936.60260000
PA
USD
101389.01000000
0.001690183314
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24971
3132M5FL1
26968.11710000
PA
USD
28733.60000000
0.000478997193
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 11/1/42 #Q13148
3132HPP99
102009.17640000
PA
USD
105612.90000000
0.001760596749
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
PERRIGO FINANCE PLC
549300E86RB6YCTMRM83
PERRIGO FINANCE PLC 3.5% 12/15/2021
714295AB8
449000.00000000
PA
USD
454952.73000000
0.007584189975
Long
DBT
CORP
IE
N
2
2021-12-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/41 #738002
3620AR3K5
45342.90540000
PA
USD
48489.21000000
0.000808328769
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2028#MA1481
31418AUF3
192796.31130000
PA
USD
198282.70000000
0.003305428380
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
0.03000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3% 08/15/2026
126650DF4
625000.00000000
PA
USD
636921.52000000
0.010617660887
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2047#BH4095
3140GSRR5
9642305.85300000
PA
USD
10122595.86000000
0.168746520198
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/28 #428795
31379TKG8
8757.53440000
PA
USD
10009.28000000
0.000166857512
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2034#G16829
3128MFY28
1911295.05200000
PA
USD
1969733.47000000
0.032836010977
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2048#BM5119
3140J9VM0
2988229.83000000
PA
USD
3198141.32000000
0.053313915355
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
BX TR 2018-IND
N/A
BX TR 2018-EXCL 1ML+262.5 7/19 144A
12433WAG6
1924568.38100000
PA
USD
1925044.90000000
0.032091039946
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.04364750
N
N
N
N
N
N
HORIZON 2018
N/A
HORIZON 2018-1 A 4.458% 12/15/2038 144A
440405AE8
2776734.52000000
PA
USD
2850626.76000000
0.047520749893
Long
ABS-CBDO
CORP
US
N
2
2038-12-15
Fixed
0.04458000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/23 #354111
36203NKY3
378.84690000
PA
USD
403.93000000
0.000006733626
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
0.07500000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DIAMOND 1 FINANCE CORP / DIAMOND 2 FINANCE CORP 6.02% 06/15/2026 144A
25272KAK9
1564000.00000000
PA
USD
1798792.11000000
0.029986370425
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.06020000
N
N
N
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GRP AG 3.869%/VAR 01/12/2029 144A
225401AF5
4020000.00000000
PA
USD
4278663.52000000
0.071326524350
Long
DBT
CORP
CH
N
2
2029-01-12
Variable
0.03869000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/47#Q47942
3132WMZG2
537133.67200000
PA
USD
576071.24000000
0.009603269604
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.24% 9/33 #555935
31385XSY4
135626.36650000
PA
USD
139649.18000000
0.002327991110
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
0.03879000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2033#MA3391
31418CXV1
77967.48600000
PA
USD
79991.28000000
0.001333477136
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/31 #559037
36213NBE5
14223.44300000
PA
USD
16204.10000000
0.000270126904
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2048#BK3836
3140HHHN8
610390.82300000
PA
USD
647661.71000000
0.010796702875
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AS0303
3138W9KR0
1983840.70710000
PA
USD
2040924.93000000
0.034022792640
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96766
312945QT8
138116.89050000
PA
USD
150028.28000000
0.002501013626
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2032#J36710
31307TN31
41487.52330000
PA
USD
42872.70000000
0.000714699967
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/27 #417005
36206PGN4
3984.90820000
PA
USD
4471.49000000
0.000074540996
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 4/32 #C01344
31292HP57
300877.70800000
PA
USD
339431.97000000
0.005658426412
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 9/27 #379293
31377KKE4
16392.70120000
PA
USD
18476.04000000
0.000308000783
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2045#AS4796
3138WEKJ7
318148.22300000
PA
USD
333154.73000000
0.005553783056
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/46#MA3664
36179SB97
6435036.55900000
PA
USD
6768508.52000000
0.112832940826
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#741529
31402XY26
88820.18250000
PA
USD
95562.64000000
0.001593056087
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.95% 04/01/24
681936BB5
1354000.00000000
PA
USD
1480880.93000000
0.024686701634
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04950000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.84% 01/23/2030 144A
71654QCT7
20585000.00000000
PA
USD
22023891.50000000
0.367144466030
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
0.06840000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 4.6% 08/15/2045
20030NBQ3
2841000.00000000
PA
USD
3410036.50000000
0.056846267606
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
0.04600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2046#BC6383
3140F2CV0
599312.32040000
PA
USD
627206.29000000
0.010455705270
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL2295
36183XRQ5
28709.24190000
PA
USD
29564.96000000
0.000492856199
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2043#Q20707
3132JMYC7
166511.57060000
PA
USD
176912.78000000
0.002949185803
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/01/2046#Q39717
3132QWYP8
178548.88910000
PA
USD
183796.42000000
0.003063938018
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
TIAA ASSET MANAGEMENT FINANCE LLC
N/A
TIAA ASSET MGMT FIN LLC 4.125% 11/01/2024 144A
87246YAC0
1771000.00000000
PA
USD
1922867.29000000
0.032054738574
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.04125000
N
N
N
N
N
N
THOMSON REUTERS CORP
549300561UZND4C7B569
THOMSON REUTERS CORP 3.85% 09/29/2024
884903BT1
1034000.00000000
PA
USD
1083675.72000000
0.018065179061
Long
DBT
CORP
CA
N
2
2024-09-29
Fixed
0.03850000
N
N
N
N
N
N
BECTON DICKINSON and CO
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON and CO 2.404% 06/05/2020
075887BR9
3144000.00000000
PA
USD
3147332.70000000
0.052466921368
Long
DBT
CORP
US
N
2
2020-06-05
Fixed
0.02404000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2047#BJ0760
3140H1Z29
268132.73560000
PA
USD
281739.99000000
0.004696684879
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.3% 11/20/2026
172967JC6
1733000.00000000
PA
USD
1884935.87000000
0.031422411134
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
0.04300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 12/22 #967586
31414JNB5
11129.40680000
PA
USD
11434.86000000
0.000190622332
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 4/1/43 #AB8881
31417F2P2
569071.99580000
PA
USD
588470.01000000
0.009809960587
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 9/41 #Q03090
3132GJC31
385294.02480000
PA
USD
418522.32000000
0.006976884793
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2043#Q16749
3132J75K4
38120.27190000
PA
USD
40758.78000000
0.000679460326
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 5.71% 01/15/2026 144A
46115HAW7
9864000.00000000
PA
USD
10666794.56000000
0.177818465596
Long
DBT
CORP
IT
N
2
2026-01-15
Fixed
0.05710000
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTYS LTD PARTNERSHIP 4.5% 12/01/2028
10112RBA1
3891000.00000000
PA
USD
4406649.25000000
0.073460082468
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BA6972
3140EBXA4
912799.91690000
PA
USD
967109.87000000
0.016121993554
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 4.78% 03/25/2038
126650CY4
5967000.00000000
PA
USD
6763338.99000000
0.112746763307
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
0.04780000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 3/25 #250212
31371E3V5
116.40870000
PA
USD
128.69000000
0.000002145298
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
0.08500000
N
N
N
N
N
N
MAGNETITE XXI LTD 2019-21A A
N/A
MAGNETITE CLO LTD 2019-24A A 3ML+133 01/15/2033 144A
55954WAA7
4021000.00000000
PA
USD
4020911.54000000
0.067029726345
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.03237140
N
N
N
N
N
N
DCP MIDSTREAM LLC
VQOHU6HCVU6YY1KUKU03
DCP MIDSTREAM LLC 4.75% 09/30/2021 144A
23311RAE6
3739000.00000000
PA
USD
3841822.50000000
0.064044261675
Long
DBT
CORP
US
N
2
2021-09-30
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22486
3132JPXP2
14412.20210000
PA
USD
15373.72000000
0.000256284236
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 6.15% 09/15/2043
761713AZ9
4000000.00000000
PA
USD
4688242.64000000
0.078154323484
Long
DBT
CORP
US
N
2
2043-09-15
Fixed
0.06150000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552550
36213EZP4
352646.70350000
PA
USD
379430.82000000
0.006325218493
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 01/01/2050 #TBA
21H040616
110000000.00000000
PA
USD
113867182.00000000
1.898197951701
Long
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #582173
36201FXA0
1074.38020000
PA
USD
1236.50000000
0.000020612802
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 05/01/2045#Q33441
3132QPZF4
47473.45280000
PA
USD
49209.91000000
0.000820343041
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 03/01/2044#Q25226
3132M5PK2
80119.09970000
PA
USD
85364.13000000
0.001423044057
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #436779
36207NFU3
1045.70700000
PA
USD
1174.50000000
0.000019579245
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A97152
3129455M6
149041.34610000
PA
USD
161894.88000000
0.002698833186
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
DUKE REALTY LP NEW
2549009GZDBNY1KE9O81
DUKE REALTY LP 3.625 4/15/23
26441YAX5
2123000.00000000
PA
USD
2205619.79000000
0.036768302280
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.03625000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.625% 01/23/2046
71654QBX9
4526000.00000000
PA
USD
4086129.38000000
0.068116926082
Long
DBT
CORP
MX
N
2
2046-01-23
Fixed
0.05625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #449564
36208FMM9
3819.84270000
PA
USD
4270.54000000
0.000071191102
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AB7767
31417ETZ4
2764968.69110000
PA
USD
2859218.46000000
0.047663975949
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/32 #582976
36201GT96
42489.42970000
PA
USD
47790.98000000
0.000796689078
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 9/42 #Q11420
3132HMSH5
99437.52360000
PA
USD
104719.10000000
0.001745696851
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 3/1/43 #AT0170
3138WMFL0
789154.34270000
PA
USD
830323.18000000
0.013841720958
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03500000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC 4.375% 03/15/2029
571748BG6
3978000.00000000
PA
USD
4529411.07000000
0.075506556537
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.04375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 7.50% 8/26 #G00529
31283GSS7
452.74720000
PA
USD
500.92000000
0.000008350477
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #AE0746
31419AZL4
243627.24130000
PA
USD
279500.60000000
0.004659353617
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 11/40 #004853
36202FMA1
3671395.87420000
PA
USD
3912134.07000000
0.065216375324
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2046#BC1552
3140EVWN3
298219.09630000
PA
USD
315962.60000000
0.005267185413
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #319647
31374PBQ9
3414.30810000
PA
USD
3749.67000000
0.000062508053
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2046#G08733
3128MJY79
27676.17300000
PA
USD
28782.93000000
0.000479819538
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 10/01/2042#AQ1768
3138MG6E0
147256.60860000
PA
USD
151309.79000000
0.002522376758
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.5% 03/09/2048
00206RDJ8
13000000.00000000
PA
USD
14342721.12000000
0.239097195290
Long
DBT
CORP
US
N
2
2048-03-09
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/26 #365347
31376TZL4
12326.40790000
PA
USD
12963.01000000
0.000216097022
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 03/01/2043#Q16049
3132J7EX6
76049.69570000
PA
USD
81313.51000000
0.001355519082
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.04000000
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 3.75% 03/26/2025
225433AC5
4660000.00000000
PA
USD
4928002.52000000
0.082151188122
Long
DBT
CORP
GG
N
2
2025-03-26
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18363
3132J9WZ7
49795.71690000
PA
USD
53180.10000000
0.000886527225
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/40 #734032
3620AMPR7
36075.83950000
PA
USD
39667.76000000
0.000661272716
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25146
3132M5L34
522673.87560000
PA
USD
563503.28000000
0.009393758175
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5.75% 1/25/21
61747WAF6
3512000.00000000
PA
USD
3647461.60000000
0.060804210804
Long
DBT
CORP
US
N
2
2021-01-25
Fixed
0.05750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 11/31 #575375
36200XFQ7
299.90050000
PA
USD
344.83000000
0.000005748413
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
0.07000000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
CAMDEN PROPERTY 2.95% 12/15/22
133131AT9
1607000.00000000
PA
USD
1640808.36000000
0.027352736876
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
0.02950000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #778681
36176W2N0
75179.75850000
PA
USD
80255.46000000
0.001337881091
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2045#BA3565
3140E76B1
549590.20000000
PA
USD
582289.83000000
0.009706935248
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
METROPOLITAN LIFE GLBL FDG I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLBL FDG I FRN SOFR+50 05/28/2021 144A
59217GCY3
27560000.00000000
PA
USD
27614677.66000000
0.460344443854
Long
DBT
CORP
US
N
2
2021-05-28
Variable
0.02030000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 10/42 #Q11886
3132HNCX5
534784.91980000
PA
USD
563189.75000000
0.009388531542
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03500000
N
N
N
N
N
N
COMMONWEALTH BANK OF AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A
202712BK0
2615000.00000000
PA
USD
2626734.84000000
0.043788408612
Long
DBT
CORP
AU
N
2
2034-09-12
Variable
0.03610000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#727139
31402EZC5
317564.04030000
PA
USD
341813.55000000
0.005698128021
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 7/38 #909209
31411JDN3
171601.60790000
PA
USD
186260.49000000
0.003105014758
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
0.04500000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / A 3.5% 05/26/22
00774MAA3
1724000.00000000
PA
USD
1771502.13000000
0.029531438782
Long
DBT
CORP
IE
N
2
2022-05-26
Fixed
0.03500000
N
N
N
N
N
N
MADISON PK FDG X LTD/LLC
N/A
MADISON PK FDG X LTD/LLC 2012-10A AR2 3ML+122 01/20/2029 144A
55818HBE7
2547000.00000000
PA
USD
2545764.71000000
0.042438613770
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Variable
0.03185880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2042#AP4258
3138M7WU5
24315.33790000
PA
USD
24984.61000000
0.000416500476
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#AS7594
3138WHNL2
664840.91130000
PA
USD
695577.04000000
0.011595464903
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 8/40 #G05969
3128M76E1
389210.35260000
PA
USD
428144.19000000
0.007137284072
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 7/38 #889733
31410KPS7
68632.03070000
PA
USD
79042.54000000
0.001317661374
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719232
3620A5A90
157186.52480000
PA
USD
171889.04000000
0.002865438644
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/01/2043#G08545
3128MJTB6
193832.67190000
PA
USD
203946.28000000
0.003399841852
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR1276
3138NXM20
178049.68190000
PA
USD
184118.88000000
0.003069313517
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 04/03/2026
00774MAL9
3126000.00000000
PA
USD
3352472.42000000
0.055886658201
Long
DBT
CORP
IE
N
2
2026-04-03
Fixed
0.04450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 11/15/2040#749947
3620C6EU5
39134.08580000
PA
USD
41849.57000000
0.000697644103
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AO2138
3138LSLU2
2057141.33600000
PA
USD
2165744.62000000
0.036103571980
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2045#AL7619
3138EQPD8
1276291.72200000
PA
USD
1357413.72000000
0.022628468516
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #435836
36207MEH5
6105.64450000
PA
USD
6761.97000000
0.000112723941
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/48#ZA5379
31329N6Q6
7629523.97400000
PA
USD
8040550.84000000
0.134038244092
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7567
31417EMR9
61208.54680000
PA
USD
63294.97000000
0.001055144953
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AR0532
3138NWSW0
70232.62850000
PA
USD
72626.66000000
0.001210706850
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
ALLERGAN FUNDING SCS
222100FLFVOSKCBCAR54
ACTAVIS FUNDING SCS 3.45% 03/15/22
00507UAR2
6868000.00000000
PA
USD
7022942.01000000
0.117074418670
Long
DBT
CORP
LU
N
2
2022-03-15
Fixed
0.03450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#BC0532
3140EUSW0
251178.04400000
PA
USD
266201.18000000
0.004437648545
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 10/01/2027#
31283G3D7
332.15940000
PA
USD
375.42000000
0.000006258356
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 6/40 #A92350
312940TF6
188205.57240000
PA
USD
207620.46000000
0.003461091466
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 1/41 #737901
3620ARX63
230718.62400000
PA
USD
243793.98000000
0.004064114219
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 10/26 #313182
31374F2P3
10053.38310000
PA
USD
11265.46000000
0.000187798386
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/30 #479580
36209RXH1
3635.11160000
PA
USD
4195.11000000
0.000069933663
Long
ABS-MBS
USGA
US
N
2
2030-09-15
Fixed
0.08000000
N
N
N
N
N
N
KEYBANK NATL ASSN
HUX2X73FUCYHUVH1BK78
KEYBANK NATL ASSN 2.25% 03/16/2020
49327M2G8
9000000.00000000
PA
USD
9005295.06000000
0.150120801596
Long
DBT
CORP
US
N
2
2020-03-16
Fixed
0.02250000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST TAXM 7.35% 7/01/35
452152GS4
5540000.00000000
PA
USD
6724452.00000000
0.112098506246
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
0.07350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q11800
3132HM7M7
12935.37420000
PA
USD
13838.79000000
0.000230696521
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #565960
36213VWV6
5381.14370000
PA
USD
6169.35000000
0.000102844799
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 4.5% 01/30/2026
254709AP3
4686000.00000000
PA
USD
5117764.38000000
0.085314571703
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 4/42 #C03856
31292LH99
2694198.61100000
PA
USD
2889098.02000000
0.048162076618
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
RABOBANK NEDERLAND GLOBAL MEDIUM TERM NTS BOOK ENTRY REGS
N/A
RABOBANK NEDERLAND 4.375% 08/04/2025
21684AAC0
7451000.00000000
PA
USD
8077941.97000000
0.134661564746
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
0.04375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #738885
3620AS2S7
397537.01580000
PA
USD
427730.63000000
0.007130389911
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.65% 7/15/42
20030NBE0
2539000.00000000
PA
USD
3046646.09000000
0.050788447259
Long
DBT
CORP
US
N
2
2042-07-15
Fixed
0.04650000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP FRN 3ML+90 09/09/2021
55336VBG4
1583000.00000000
PA
USD
1587845.36000000
0.026469828769
Long
DBT
CORP
US
N
2
2021-09-09
Variable
0.02785000
N
N
N
N
N
N
CITIGROUP COML MTG TR 2012-GC8
N/A
CITIGROUP COMMERCIAL MORTGAGE 2018-C6 A4 4.569%11/10/2051
17327GAY0
1059000.00000000
PA
USD
1199987.42000000
0.020004127815
Long
ABS-MBS
CORP
US
N
2
2051-11-10
Fixed
0.04412000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2043#Q20882
3132JM6T1
38329.77440000
PA
USD
40934.87000000
0.000682395796
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AK8998
36183S7K1
45821.97480000
PA
USD
47187.76000000
0.000786633231
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/31 #541391
36212RNG9
460.21780000
PA
USD
527.10000000
0.000008786905
Long
ABS-MBS
USGA
US
N
2
2031-02-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/27 #251335
31371GEG1
2419.09380000
PA
USD
2691.18000000
0.000044862727
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 03/01/2045#AV2186
3138XDNC0
30956.10280000
PA
USD
32894.67000000
0.000548363401
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/32 #735415
31402RAQ2
34676.61870000
PA
USD
39718.22000000
0.000662113899
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #553440
36213FZD8
10759.06270000
PA
USD
12284.09000000
0.000204779235
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
0.07000000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 3.65% 05/24/2021
87166FAC7
4766000.00000000
PA
USD
4865405.18000000
0.081107672857
Long
DBT
CORP
US
N
2
2021-05-24
Fixed
0.03650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 7/41 #AL0913
3138EHAP7
947419.94020000
PA
USD
1091067.47000000
0.018188401612
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #458552
36208RL93
8909.07460000
PA
USD
9642.47000000
0.000160742687
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #466052
36209AWM8
8771.34100000
PA
USD
9798.52000000
0.000163344084
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/35 #745092
31403CXV8
40056.10220000
PA
USD
46188.01000000
0.000769967118
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #509683
31383QFY5
375.64950000
PA
USD
425.53000000
0.000007093704
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
LIBERTY PPTY LTD PARTNERSHIP
549300N6GNCW2Y4RH795
LIBERTY PPTY LTD PARTNERSHIP 4.4% 02/15/2024
53117CAQ5
4876000.00000000
PA
USD
5268111.78000000
0.087820905150
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.04400000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 4.5% 10/01/2040#
3129424K8
17079.68120000
PA
USD
18552.66000000
0.000309278060
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 11/35 #600498
36200GDB9
10375.13790000
PA
USD
11983.02000000
0.000199760313
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/01/2047#G61047
31335BEU6
906668.07900000
PA
USD
983160.40000000
0.016389560404
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #711189
36297GC24
129292.42960000
PA
USD
141385.86000000
0.002356942054
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #320929
31374QPN9
1687.53010000
PA
USD
1701.67000000
0.000028367317
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/25 #418624
36206RAZ9
2253.05330000
PA
USD
2495.25000000
0.000041596519
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR3682
3138W1CU9
71403.65140000
PA
USD
73837.59000000
0.001230893393
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.625% 01/15/2026
912828N71
65147500.00000000
PA
USD
72730842.94000000
1.212443609030
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.00625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2028#MA1580
31418AXJ2
205731.61810000
PA
USD
211586.10000000
0.003527199800
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.419%/VAR 12/20/2028
06051GHD4
18965000.00000000
PA
USD
19888443.02000000
0.331545939224
Long
DBT
CORP
US
N
2
2028-12-20
Variable
0.03419000
N
N
N
N
N
N
NEW CENTURY HOME EQUITY LN TR
N/A
NCHET 2005-4 M2 1ML+51 9/35
64352VMV0
190714.84000000
PA
USD
190412.10000000
0.003174223264
Long
ABS-CBDO
CORP
US
N
2
2035-09-25
Variable
0.02302000
N
N
N
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
DDR CORP 3.625% 02/01/2025
23317HAD4
2262000.00000000
PA
USD
2331248.91000000
0.038862575047
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 12/01/2032#G18669
3128MMW74
5053092.11900000
PA
USD
5112445.23000000
0.085225899976
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/40 #747153
3620C3BW1
113225.17710000
PA
USD
125029.28000000
0.002084273264
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.05000000
N
N
N
N
N
N
TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12
N/A
WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052
95001RAX7
6575000.00000000
PA
USD
7398479.30000000
0.123334730923
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Fixed
0.04302000
N
N
N
N
N
N
TANGER PPTYS LTD PARTNERSHIP
PQPGJDNFN35EXH363L31
TANGER PPTYS LTD PARTNERSHIP 3.875% 12/01/2023
875484AG2
1792000.00000000
PA
USD
1843749.14000000
0.030735816760
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE0504
31419AR25
1000531.08400000
PA
USD
1087385.79000000
0.018127026971
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 12/01/2046#G60989
31335BC20
10901568.52170000
PA
USD
11191303.87000000
0.186562183324
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2046#BC4760
3140F0JE5
5787126.85280000
PA
USD
6070946.65000000
0.101204388248
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #567100
36213W7M2
12474.21500000
PA
USD
14167.72000000
0.000236179877
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC 4.375% 1/12/26
06738EAN5
6221000.00000000
PA
USD
6720546.30000000
0.112033397129
Long
DBT
CORP
GB
N
2
2026-01-12
Fixed
0.04375000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2044#MA2074
36179QJT9
31742.54700000
PA
USD
33605.72000000
0.000560216804
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2049#MA5875
36179UQ47
35000001.05000000
PA
USD
35977785.58000000
0.599759805197
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2046#BD3322
3140FAVQ2
552058.90180000
PA
USD
577235.99000000
0.009622686314
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2028#MA1514
31418AVG0
180636.47860000
PA
USD
185776.83000000
0.003096952010
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.03000000
N
N
N
N
N
N
ENABLE MIDSTREAM PARTNERS LP
549300TLGDBYE711G509
ENABLE MIDSTREAM PARTNERS LP VAR 05/15/2024
292480AH3
1322000.00000000
PA
USD
1353320.40000000
0.022560231720
Long
DBT
CORP
US
N
2
2024-05-15
Variable
0.03900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #511414
31383SDT4
160.51960000
PA
USD
186.00000000
0.000003100672
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/40 #AE4428
31419E4N6
161160.29860000
PA
USD
172763.55000000
0.002880016972
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2042#AB8144
36178VBM2
21829.20050000
PA
USD
23316.62000000
0.000388694613
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.04000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 3% 11/19/2024
418056AX5
4395000.00000000
PA
USD
4413541.58000000
0.073574979548
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 08/15/2029
912828YB0
112757000.00000000
PA
USD
109760051.99000000
1.829730939209
Long
DBT
UST
US
N
2
2029-08-15
Fixed
0.01625000
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #336156
36224RMD3
762.77120000
PA
USD
807.20000000
0.000013456251
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
0.07500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.7% 10/23/2024
61761JVL0
3281000.00000000
PA
USD
3483421.00000000
0.058069607862
Long
DBT
CORP
US
N
2
2024-10-23
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 02/01/2043#Q15786
3132J62U7
153502.68500000
PA
USD
158925.54000000
0.002649333453
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 5.625% 9/15/20
91529YAH9
2889000.00000000
PA
USD
2963082.77000000
0.049395423211
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
0.05625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 4/26 #303856
31373UQH3
21919.21160000
PA
USD
24047.31000000
0.000400875421
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/27#AP4736
3138M8HN6
111914.62750000
PA
USD
115029.42000000
0.001917572786
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2027#MA1294
31418ANL8
199804.66660000
PA
USD
205490.49000000
0.003425584267
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 08/20/2048#MA5398
36179T7K5
4153555.87900000
PA
USD
4318501.47000000
0.071990634182
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 2/27 #250932
31371FVZ2
1939.92620000
PA
USD
2196.21000000
0.000036611438
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
0.07500000
N
N
N
N
N
N
PEACHTREE CORNERS FDG TR
N/A
PEACHTREE CORNERS FUNDING TR 3.976% 02/15/2025 144A
70466WAA7
5000000.00000000
PA
USD
5281586.20000000
0.088045527521
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.03976000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #768770
36176K2B2
22400.03420000
PA
USD
23954.35000000
0.000399325752
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
TOLEDO HOSP
5493009DCR7NWV6K4T34
TOLEDO HOSP 6.015% 11/15/2048
889184AE7
4201000.00000000
PA
USD
4762073.80000000
0.079385109688
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
0.06015000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ8634
3138MQSY0
230700.52140000
PA
USD
238564.43000000
0.003976936149
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
N/A
BHP BILLITON FIN USA LTD 6.25%/VAR 10/19/2075 144A
055451AW8
1921000.00000000
PA
USD
1980551.00000000
0.033016342245
Long
DBT
CORP
AU
N
2
2075-10-19
Variable
0.06250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#AL9776
3138ER2J8
5336102.95050000
PA
USD
5579460.19000000
0.093011170718
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.0% 08/01/2028#MA1557
31418AWT1
202478.09800000
PA
USD
208240.00000000
0.003471419372
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AT6494
3138WUGC1
147786.97820000
PA
USD
152039.49000000
0.002534541062
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.5% 02/43 #Q15869
3132J66F6
502332.26960000
PA
USD
528856.42000000
0.008816185274
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2045#AS6191
3138WF2Z8
40347.13010000
PA
USD
42225.02000000
0.000703902960
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.03500000
N
N
N
N
N
N
LG and E and KU ENERGY LLC
N/A
LG and E and KU ENERG 3.75% 11/20
50188FAD7
525000.00000000
PA
USD
530408.48000000
0.008842058551
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 9/40#V81958
3132L7E70
385116.81880000
PA
USD
402804.08000000
0.006714857311
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 07/01/2045#Q34979
3132QRQ94
67336.96520000
PA
USD
69547.46000000
0.001159375720
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 5.012% 04/15/2049
92343VDS0
2962000.00000000
PA
USD
3785528.62000000
0.063105826862
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
0.05012000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2048#Q58998
3132Y27L4
518160.63800000
PA
USD
546978.87000000
0.009118291613
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/38 #889371
31410KCG7
332272.86770000
PA
USD
382042.36000000
0.006368753599
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #711188
36297GCZ1
5093.70240000
PA
USD
5570.14000000
0.000092855800
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR2880
3138W0FW4
97242.63370000
PA
USD
100557.35000000
0.001676319308
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/26 #372364
36204KTV5
1860.88900000
PA
USD
1998.33000000
0.000033312723
Long
ABS-MBS
USGA
US
N
2
2026-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/27 #438884
36207QRD1
1957.20230000
PA
USD
2208.35000000
0.000036813815
Long
ABS-MBS
USGA
US
N
2
2027-03-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.0% 08/45#AS5634
3138WFHL3
837779.22210000
PA
USD
862409.60000000
0.014376610604
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT SECURITIZATION
N/A
CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A
14856CAA7
6249590.74000000
PA
USD
6352905.85000000
0.105904727420
Long
ABS-CBDO
CORP
US
N
2
2043-06-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21258
3132JNMF1
191291.18700000
PA
USD
204292.37000000
0.003405611269
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2043#AU8060
3138X75W9
38621.94060000
PA
USD
41793.62000000
0.000696711400
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04500000
N
N
N
N
N
N
DCP MIDSTREAM LLC
VQOHU6HCVU6YY1KUKU03
DCP MIDSTREAM LLC 5.35% 03/15/2020 144A
23311RAD8
3724000.00000000
PA
USD
3742620.00000000
0.062390528097
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
0.05350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #408838
36206EEK7
131.78820000
PA
USD
145.95000000
0.000002433027
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
N
N
N
N
N
N
NOBLE HLDG INTL LTD
549300GNEZBJHMST9U32
NOBLE HLDG INTL LTD VAR 04/01/2045
65504LAL1
2104000.00000000
PA
USD
883680.00000000
0.014731194155
Long
DBT
CORP
KY
N
2
2045-04-01
Variable
0.08950000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.875% 12/01/2024
55336VAG5
2736000.00000000
PA
USD
2971973.11000000
0.049543627679
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.04875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2032#J36729
31307TPN5
52564.44740000
PA
USD
54319.46000000
0.000905520676
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19988
3132JBRJ4
143189.00620000
PA
USD
152920.90000000
0.002549234415
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2045#MA3035
36179RLQ0
5359458.19900000
PA
USD
5647241.27000000
0.094141100387
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/32#MA3125
31418CPK4
560446.24800000
PA
USD
576569.95000000
0.009611583240
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 4.063% 11/01/2024
345397ZX4
17607000.00000000
PA
USD
17956809.71000000
0.299345068630
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.04063000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19764
3132JBJJ3
62264.53680000
PA
USD
66496.37000000
0.001108513191
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/01/2047#Q50433
3132XSPT1
104307.65400000
PA
USD
110810.23000000
0.001847237702
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/24 #282104
31372TKR1
1352.96190000
PA
USD
1456.62000000
0.000024282265
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21605
3132JNYA9
129844.68930000
PA
USD
138669.64000000
0.002311661902
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
INTERCONTINENTAL EXCHANGE INC 2.75% 12/01/20
45866FAC8
1628000.00000000
PA
USD
1638923.55000000
0.027321316563
Long
DBT
CORP
US
N
2
2020-12-01
Fixed
0.02750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2034#C91764
3128P75Z2
1452180.03150000
PA
USD
1519300.95000000
0.025327174174
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2046#BM3627
3140J8A52
5788648.36100000
PA
USD
5955214.40000000
0.099275099088
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BD7448
3140FFH20
1307838.88340000
PA
USD
1377887.65000000
0.022969774688
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 3/30 #534274
31384UQ31
2680.81080000
PA
USD
3119.73000000
0.000052006776
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AL4759
36184BJC2
31937.31540000
PA
USD
32889.25000000
0.000548273048
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO 3.8% 11/15/2025
406216BG5
2467000.00000000
PA
USD
2631154.72000000
0.043862089255
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.03800000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.375% 06/01/2021
00912XAS3
2523000.00000000
PA
USD
2565303.17000000
0.042764325394
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#CA1545
3140Q8WF8
665687.54400000
PA
USD
706542.92000000
0.011778269207
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 05/01/2045#AX9659
3138YBWV1
50315.06720000
PA
USD
53465.96000000
0.000891292591
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 04/01/2028#MA1419
31418ASH2
172266.77700000
PA
USD
177168.96000000
0.002953456396
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
0.03000000
N
N
N
N
N
N
PARK PL SECS INC
N/A
PPSI 2005-WCH1 M4 1ML+83 1/36
70069FFL6
520000.00000000
PA
USD
522334.07000000
0.008707455865
Long
ABS-CBDO
CORP
US
N
2
2036-01-25
Variable
0.03037000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 10/20/2047#MA4778
36179TJX4
949460.89320000
PA
USD
987928.11000000
0.016469039471
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1614
3138WAYL5
83926.30360000
PA
USD
87780.06000000
0.001463318290
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2046#Q40046
3132WDBQ6
1748807.64800000
PA
USD
1830764.64000000
0.030519361493
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
CONAGRA BRANDS INC
54930035UDEIH090K650
CONAGRA BRANDS INC 3.8% 10/22/2021
205887BZ4
1121000.00000000
PA
USD
1156501.52000000
0.019279205631
Long
DBT
CORP
US
N
2
2021-10-22
Fixed
0.03800000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/45#AO0257
3617A0JA5
14223.88670000
PA
USD
14647.85000000
0.000244183779
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2045#AY7630
3138YMPQ6
42971.86370000
PA
USD
44317.13000000
0.000738779022
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026
11120VAC7
4647000.00000000
PA
USD
4946375.82000000
0.082457476201
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.04125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 01/15/2045#AK3531
36183L4Q6
13776.07720000
PA
USD
14199.61000000
0.000236711492
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/28 #409487
31378U2U5
686.49170000
PA
USD
750.56000000
0.000012512046
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 12/01/2032#J38057
31307U5S3
912483.95600000
PA
USD
937817.07000000
0.015633674339
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 4.375% 03/19/2024
87165BAN3
2280000.00000000
PA
USD
2430789.58000000
0.040521946014
Long
DBT
CORP
US
N
2
2024-03-19
Fixed
0.04375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/40 #783143
36241LP42
122868.05910000
PA
USD
131508.96000000
0.002192291353
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 03/01/2044#AS2238
3138WBPY5
232507.56800000
PA
USD
240360.42000000
0.004006875808
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/49#CA4421
3140QB4F2
2206364.30800000
PA
USD
2249166.89000000
0.037494244686
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #508736
36211CEH1
6940.25530000
PA
USD
7771.20000000
0.000129548089
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07000000
N
N
N
N
N
N
PLANET FITNESS MASTER ISSUER LLC 18-1A
N/A
PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A
72703PAC7
4782000.00000000
PA
USD
4712087.16000000
0.078551818339
Long
ABS-CBDO
CORP
US
N
2
2049-12-05
Fixed
0.03858000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 11/01/2033#G16677
3128MFUA4
168134.44600000
PA
USD
176465.71000000
0.002941733020
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03500000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.5% 06/20/2065
38376RGD2
932776.95610000
PA
USD
932528.56000000
0.015545513390
Long
ABS-CBDO
USGA
US
N
2
2065-06-20
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2048#MA5137
36179TV69
5172371.88800000
PA
USD
5383030.18000000
0.089736627201
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/27 #251298
31371GDB3
70.21050000
PA
USD
79.30000000
0.000001321953
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 03/01/2033#G18683
3128MMXM0
435667.64600000
PA
USD
440784.95000000
0.007348009097
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.02500000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC 4.75% 03/15/2039
571748BH4
1825000.00000000
PA
USD
2201210.37000000
0.036694796008
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 09/01/2046#G61420
31335BSH0
993026.47700000
PA
USD
1043288.02000000
0.017391904742
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA 6.572% 01/14/2022 144A
904678AJ8
5565000.00000000
PA
USD
5974655.12000000
0.099599181359
Long
DBT
CORP
IT
N
2
2022-01-14
Fixed
0.06572000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2046#Q40085
3132WDCX0
2767603.73090000
PA
USD
2905954.86000000
0.048443084882
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERSHIP LP 4.1% 10/01/2024
105340AN3
5070000.00000000
PA
USD
5368860.38000000
0.089500412649
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.04100000
N
N
N
N
N
N
NAKILAT INC
2549006RMTDJWLLWF072
NAKILAT INC 6.067% 12/33 144A
62983PAA3
1808000.00000000
PA
USD
2200110.00000000
0.036676452531
Long
DBT
CORP
MH
N
2
2033-12-31
Fixed
0.06067000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 5.7% 08/15/2035
761713BA3
1215000.00000000
PA
USD
1409637.00000000
0.023499045282
Long
DBT
CORP
US
N
2
2035-08-15
Fixed
0.05700000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/22 #331820
36224LSH1
153.27030000
PA
USD
155.02000000
0.000002584227
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
SEQUOIA MTG TR
N/A
SEMT 2004-6 A3B 6ML+44 7/34
81744FCU9
3319.63870000
PA
USD
3250.51000000
0.000054186915
Long
ABS-CBDO
CORP
US
N
2
2034-07-20
Variable
0.02784880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2047#AS9968
3138WLCE1
1426244.78700000
PA
USD
1514669.40000000
0.025249964933
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q20358
3132JMMF3
62865.66020000
PA
USD
67138.35000000
0.001119215178
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 3/39 #697924
36296QLD9
69020.81120000
PA
USD
76335.85000000
0.001272540090
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
0.05000000
N
N
N
N
N
N
LIBERTY PPTY LTD PARTNERSHIP
549300N6GNCW2Y4RH795
LIBERTY PPTY LTD PARTNERSHIP 3.375% 06/15/2023
53117CAP7
2202000.00000000
PA
USD
2287821.39000000
0.038138626073
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.03375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 8% 05/01/2027#
31283HA70
616.54750000
PA
USD
693.80000000
0.000011565841
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.08000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 01/46#MA3377
36179RXE4
9040.09700000
PA
USD
9508.57000000
0.000158510536
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/24 #313987
31374GXQ5
4542.61940000
PA
USD
4865.47000000
0.000081108753
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9324
3138YPLE0
527606.11170000
PA
USD
553976.29000000
0.009234940572
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19597
3132JBDB6
166939.71130000
PA
USD
178285.84000000
0.002972075099
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 11/36 #995606
31416CAF3
199425.14370000
PA
USD
208156.71000000
0.003470030904
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.04346000
N
N
N
N
N
N
CALIFORNIA ST
N/A
CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA
13063A5G5
3585000.00000000
PA
USD
5750411.70000000
0.095860980474
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
0.07550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9863
3138YP5Z1
167689.39810000
PA
USD
176070.65000000
0.002935147259
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2044#AX4256
3138Y5WS1
93286.45690000
PA
USD
100218.44000000
0.001670669583
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
CANADIAN NATL RESOURCES LTD
549300T15RIMIKZC5Q38
CAN NATURAL YANK 5.85 2/1/35
136385AG6
2497000.00000000
PA
USD
3070322.89000000
0.051183146175
Long
DBT
CORP
CA
N
2
2035-02-01
Fixed
0.05850000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13653
3132HQBW1
75572.30180000
PA
USD
80803.07000000
0.001347009904
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A
61771LAG7
1162000.00000000
PA
USD
1157916.73000000
0.019302797579
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03177090
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/27 #455078
36208MQ73
15952.42610000
PA
USD
17983.24000000
0.000299785668
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.07500000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 4.65% 07/01/2026
958254AF1
9056000.00000000
PA
USD
9264533.06000000
0.154442371972
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
0.04650000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/30 #493530
36210JHF8
16535.81810000
PA
USD
18919.46000000
0.000315392719
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2048#G67716
3132XCSD8
7669892.30300000
PA
USD
8314576.66000000
0.138606331587
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AO0693
3138LQXX7
138264.96000000
PA
USD
145564.42000000
0.002426599824
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2044#AX4421
3138Y54F0
634906.12860000
PA
USD
682680.34000000
0.011380473287
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2046#784232
3622A2VZ2
4629396.33010000
PA
USD
4892758.98000000
0.081563668397
Long
ABS-MBS
USGA
US
N
2
2046-04-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/32 #545762
31385JJF6
18494.03350000
PA
USD
21170.46000000
0.000352917522
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5109
3140J9VB4
2510528.98600000
PA
USD
2583539.94000000
0.043068337479
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #779846
36176YET0
58903.89990000
PA
USD
63377.75000000
0.001056524918
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 10/35 #1N0063
3128QGB84
19497.58140000
PA
USD
20421.26000000
0.000340428148
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.04488000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
CAMDEN PROP TRST 4.25% 1/15/24
133131AU6
3408000.00000000
PA
USD
3656897.08000000
0.060961502909
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
0.04250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 06/47#MA4511
36179TAL9
4028921.36340000
PA
USD
4210006.47000000
0.070181992015
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #303450
31373UBT3
6493.30920000
PA
USD
7051.89000000
0.000117556989
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07000000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 3% 06/15/2022
87166FAA1
4542000.00000000
PA
USD
4628942.96000000
0.077165781139
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/26 #358195
31376K3C8
376.69890000
PA
USD
417.10000000
0.000006953174
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 8/45#Q35579
3132QSFV5
146724.58100000
PA
USD
151724.57000000
0.002529291257
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
CALIFORNIA ST
N/A
CA ST BUILD AMERICA BONDS
13063BBU5
805000.00000000
PA
USD
1236576.60000000
0.020614079737
Long
DBT
MUN
US
N
2
2039-11-01
Fixed
0.07350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/46#BC1443
3140EVS99
1947580.88900000
PA
USD
2087194.59000000
0.034794120886
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CREDIT SUISSE MORTGAGE TRUST 2017-RPL3 4.5349% 04/15/2036 144A
12690CAE3
1132000.00000000
PA
USD
1188697.92000000
0.019815928675
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
0.04534900
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 8/42 #Q10323
3132HLLC5
88270.88510000
PA
USD
92959.35000000
0.001549658511
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2041#792596
36177L3E2
17948.94660000
PA
USD
19160.76000000
0.000319415258
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.69% 01/23/2050 144A
71654QCW0
16210000.00000000
PA
USD
17761459.10000000
0.296088519015
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
0.07690000
N
N
N
N
N
N
CAPITAL ONE NATL ASSN MCLEAN VA
207ALC1P1YM0OVDV0K75
CAPITAL ONE NATL ASN MCLEAN VA 2.95% 07/23/2021
14042E3Y4
5645000.00000000
PA
USD
5724855.69000000
0.095434954599
Long
DBT
CORP
US
N
2
2021-07-23
Fixed
0.02950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2046#BC8095
3140F37H5
1578284.97310000
PA
USD
1666271.52000000
0.027777214915
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34653
31307RE27
257513.25700000
PA
USD
265628.22000000
0.004428097141
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 04/48#Q55724
3132XYLE5
1422091.97000000
PA
USD
1518070.95000000
0.025306669728
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 3.75% 02/15/2025
29379VBE2
2900000.00000000
PA
USD
3092866.70000000
0.051558957828
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.59% 9/36 #893081
31410PFW8
74984.93500000
PA
USD
77803.00000000
0.001296997893
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Variable
0.04648000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 4/42 #G06973
3128M9CJ9
4480402.45820000
PA
USD
4800316.19000000
0.080022621086
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/29 #514340
31383VLV3
342.88410000
PA
USD
391.25000000
0.000006522247
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/28 #482687
36209VF41
3459.87980000
PA
USD
3889.64000000
0.000064841392
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/25 #303237
31373TZA1
1712.09350000
PA
USD
1836.15000000
0.000030609136
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 04/01/2044#AV7161
3138XJ5X1
804569.00570000
PA
USD
856713.69000000
0.014281658182
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GSINC 6.75% 10/01/37
38141GFD1
2246000.00000000
PA
USD
3113229.47000000
0.051898410932
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
0.06750000
N
N
N
N
N
N
CALIFORNIA ST
N/A
CALIFORNIA ST BUILD AMERICA BONDS
13063BFS6
4360000.00000000
PA
USD
4701780.40000000
0.078380001751
Long
DBT
MUN
US
N
2
2022-03-01
Fixed
0.06650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AB7273
31417ECK5
199382.06370000
PA
USD
206178.42000000
0.003437052253
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR1270
3138NXMU8
105417.65470000
PA
USD
109011.04000000
0.001817244698
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP 4.11%/VAR 07/24/2034
961214EF6
3712000.00000000
PA
USD
3885606.75000000
0.064774157438
Long
DBT
CORP
AU
N
2
2034-07-24
Variable
0.04110000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2018-BOP
N/A
MORGAN STANLEY CAP I TR 2018-BOP C 1ML+150 06/15/2035 144A
61768FAJ9
10400000.00000000
PA
USD
10400015.60000000
0.173371185295
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.03239750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BC4754
3140F0H80
1828095.33200000
PA
USD
1958572.35000000
0.032649951967
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/30 #528329
36212A4N2
2020.71150000
PA
USD
2300.82000000
0.000038355316
Long
ABS-MBS
USGA
US
N
2
2030-02-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 12/27 #251336
31371GEH9
2030.14220000
PA
USD
2303.71000000
0.000038403493
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 10/01/2042#AP9539
3138MDS52
3233705.90240000
PA
USD
3322712.36000000
0.055390549630
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 08/01/2042#Q10538
3132HLS38
46454.11490000
PA
USD
48051.67000000
0.000801034854
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.5% 04/19/2026
06051GFX2
5024000.00000000
PA
USD
5337895.60000000
0.088984221057
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/29 #517793
31384AGA0
358.62610000
PA
USD
409.21000000
0.000006821645
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07500000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.9% 12/15/2048
125523AK6
3772000.00000000
PA
USD
4491736.68000000
0.074878513859
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
0.04900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/46#BC6151
3140F1ZR6
124570.33000000
PA
USD
132527.04000000
0.002209263033
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
EMPRESA NACIONAL DEL PETROLEO
549300YP3P0JZBLIV197
EMPRESA NACIONAL DEL PETROLEO 4.375% 10/30/2024 144A
29245JAH5
3540000.00000000
PA
USD
3740231.25000000
0.062350706963
Long
DBT
CORP
CL
N
2
2024-10-30
Fixed
0.04375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.5% 09/30/2024
912828YH7
41299000.00000000
PA
USD
40915891.89000000
0.682079426340
Long
DBT
UST
US
N
2
2024-09-30
Fixed
0.01500000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 2.95% 07/15/2026
00206RHV7
12000000.00000000
PA
USD
12220665.48000000
0.203721930894
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.02950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2029#MA1775
31418A6M5
195447.25760000
PA
USD
201009.08000000
0.003350877902
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
0.03000000
N
N
N
N
N
N
CHC COML MTG TR 2019-CHC
N/A
CHC COML MTG TR 2019-CHC 1ML+175 06/15/2034 144A
162665AJ2
1768000.00000000
PA
USD
1763573.81000000
0.029399271458
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.03489750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.5% 02/43 #Q15871
3132J66H2
280537.52500000
PA
USD
295350.47000000
0.004923575409
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/29 #499474
36210Q2F8
10533.22870000
PA
USD
11881.78000000
0.000198072614
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
0.07000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM OPER LP 5.6% 04/01/2044
23311VAF4
1227000.00000000
PA
USD
1187122.50000000
0.019789665980
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
0.05600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK2525
3138E6YX8
101795.87190000
PA
USD
108740.08000000
0.001812727719
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.00% 1/30 #525935
31384KHL3
364.40090000
PA
USD
421.08000000
0.000007019522
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q32008
3132QNGS2
358537.72010000
PA
USD
376796.97000000
0.006281311472
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #782989
36241LKA3
301284.85520000
PA
USD
329465.68000000
0.005492285555
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS OP PRTNRSHP LP
RDKVCX5HITZ2GPIR7153
AMERICAN CAMPUS CMNTYS INC 3.75% 03/28/2023
024836AA6
1184000.00000000
PA
USD
1233157.63000000
0.020557084546
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/25 #328844
31375AHV4
1093.96330000
PA
USD
1208.94000000
0.000020153369
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
0.07000000
N
N
N
N
N
N
SOUTHERN NAT GAS CO / SOUTHN NAT ISSUING CORP
N/A
SOUTHERN NAT GAS MTN 4.4% 6/21
84345PAB8
1182000.00000000
PA
USD
1213667.09000000
0.020232171762
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
0.04400000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/31 #547493
36212YGA5
11606.76330000
PA
USD
13045.43000000
0.000217470987
Long
ABS-MBS
USGA
US
N
2
2031-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/22 #334981
36224QCS3
203.10520000
PA
USD
211.50000000
0.000003525764
Long
ABS-MBS
USGA
US
N
2
2022-10-15
Fixed
0.07500000
N
N
N
N
N
N
AVOLON HLDGS FDG LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 4.375% 05/01/2026 144A
05401AAG6
2546000.00000000
PA
USD
2689339.80000000
0.044832050904
Long
DBT
CORP
KY
N
2
2026-05-01
Fixed
0.04375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #338597
36224UDA2
102.40950000
PA
USD
108.04000000
0.000001801057
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
0.07500000
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
ZOETIS INC 3.25% 2/1/23
98978VAB9
1649000.00000000
PA
USD
1696700.87000000
0.028284480739
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/26 #303913
31373USA6
6543.41690000
PA
USD
7200.76000000
0.000120038694
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2042#AJ6217
3138AX4B4
24661.54300000
PA
USD
26406.30000000
0.000440200448
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 10/27 #399572
31378H2D2
2988.89290000
PA
USD
3401.87000000
0.000056710129
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AB9814
31417G3Y0
156816.31140000
PA
USD
162161.72000000
0.002703281484
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
AASET 2018-1 TR
N/A
AASET 2018-1A A 3.844% 1/38 144A
000367AA0
3624695.72870000
PA
USD
3634551.28000000
0.060588992138
Long
ABS-CBDO
CORP
US
N
2
2038-01-16
Fixed
0.03844000
N
N
N
N
N
N
AMERADA HESS CORP
N/A
AMERADA HESS CORP 7.875% 10/01/2029
023551AF1
4387000.00000000
PA
USD
5732618.94000000
0.095564370160
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.07875000
N
N
N
N
N
N
IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
IPALCO ENTERPRISES INC 3.45% 07/15/2020
462613AK6
7767000.00000000
PA
USD
7800482.60000000
0.130036239006
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
0.03450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2041#AL4469
3138EL6F5
133159.24070000
PA
USD
148510.61000000
0.002475713640
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 01/15/2045#AL1871
36183XCG3
8130.88660000
PA
USD
8373.24000000
0.000139584265
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/01/2050 #TBA
21H032613
-149700000.00000000
PA
USD
-154282631.37000000
-2.57193486047
Short
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 4.25% 10/21/2025
38141GVR2
2269000.00000000
PA
USD
2461867.61000000
0.041040025515
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AB7079
31417D2M4
27373.59220000
PA
USD
28127.04000000
0.000468885668
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 06/01/2043#AT3665
3138WRCB4
255849.86160000
PA
USD
264571.04000000
0.004410473653
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 06/01/2045#Q34030
3132QQPQ9
233145.36680000
PA
USD
241673.22000000
0.004028760553
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 09/01/2041#AI9813
3138AP3X4
49432.67050000
PA
USD
51660.65000000
0.000861197566
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.04068000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 5.8% 01/23/2059
03523TBW7
11321000.00000000
PA
USD
15408287.76000000
0.256860490894
Long
DBT
CORP
US
N
2
2059-01-23
Fixed
0.05800000
N
N
N
N
N
N
HCP INC
PZ9HF5U52KPF0MH0QN75
HCP INC 3.25% 07/15/2026
40414LAQ2
573000.00000000
PA
USD
593678.62000000
0.009896789581
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21524
3132JNVR5
28021.10010000
PA
USD
29890.54000000
0.000498283709
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.0% 08/45#AZ9030
3140E2A84
35130.68660000
PA
USD
37297.75000000
0.000621763983
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GNR 2013-H06 HA 1.65% 01/20/2063
38375BJ60
912693.08310000
PA
USD
909240.91000000
0.015157301714
Long
ABS-CBDO
USGA
US
N
2
2063-01-20
Fixed
0.01650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.83% 10/33 #879911
31409VR88
136221.61890000
PA
USD
143444.57000000
0.002391261328
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.04189000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 3/41 #004978
36202FQ74
78738.09160000
PA
USD
85974.19000000
0.001433213929
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AQ6832
3138MNSW1
68312.13440000
PA
USD
70640.70000000
0.001177600338
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.25% 03/15/2023
29278NAL7
1017000.00000000
PA
USD
1061660.09000000
0.017698172316
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04250000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.125% 01/23/2023
61744YAN8
26000000.00000000
PA
USD
26724127.82000000
0.445498727534
Long
DBT
CORP
US
N
2
2023-01-23
Fixed
0.03125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 01/01/2045#Q30621
3132QLVP5
74424.98760000
PA
USD
79936.45000000
0.001332563105
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/26 #348509
31375YDN4
1050.62550000
PA
USD
1179.85000000
0.000019668431
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AX7918
3138Y9YQ5
71489.61250000
PA
USD
75966.52000000
0.001266383255
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 06/01/2045#AU2444
3138X1WE2
424924.80330000
PA
USD
435292.80000000
0.007256453412
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0170
3138MFFL6
271220.96780000
PA
USD
285454.86000000
0.004758612806
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 01/01/2034#J40154
31307YE30
884924.97400000
PA
USD
907280.66000000
0.015124623795
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 7/25 #250328
31371FA51
374.52020000
PA
USD
395.06000000
0.000006585761
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22682
3132JP6T4
31714.90650000
PA
USD
33830.78000000
0.000563968618
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
CORPORACION NACIONAL DEL COBRE DE CHILE
549300UVMBCBCIPSUI70
CORPORACION NACIONAL DEL COBRE DE CHILE 3.625% 08/01/2027 144A
21987BAW8
1696000.00000000
PA
USD
1765960.00000000
0.029439049916
Long
DBT
CORP
CL
N
2
2027-08-01
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2042#C09007
31292SAG5
1763158.83300000
PA
USD
1856808.13000000
0.030953513797
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 4.3% 04/01/2027
42809HAG2
870000.00000000
PA
USD
927739.45000000
0.015465677579
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.04300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22677
3132JP6N7
55885.21330000
PA
USD
59613.62000000
0.000993775813
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
HUNTINGTON BANCSHARES INC
549300XTVCVV9I7B5T19
HUNTINGTON BANK 7% 12/15/20
446150AG9
1004000.00000000
PA
USD
1049605.28000000
0.017497215243
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/26 #323242
31374TBK4
559.24610000
PA
USD
611.55000000
0.000010194710
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15107
3132J6DM3
84503.03930000
PA
USD
90351.95000000
0.001506192420
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.5% 07/15/2023
55336VAE0
1975000.00000000
PA
USD
2097618.80000000
0.034967895399
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/40#V81744
3132L65D9
470633.48190000
PA
USD
493130.70000000
0.008220627473
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/45#AK8997
36183S7J4
13882.22050000
PA
USD
14296.00000000
0.000238318341
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2048#BM3700
3140J8DE0
2409632.43200000
PA
USD
2558272.30000000
0.042647118813
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1406
3138WAR41
207970.57450000
PA
USD
217520.23000000
0.003626123416
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783295
36241LUU8
2386042.07410000
PA
USD
2605493.52000000
0.043434309833
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #464695
36208YGC7
19576.18820000
PA
USD
21725.07000000
0.000362163027
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2046#BE0548
3140FKTE0
466744.65440000
PA
USD
488030.92000000
0.008135612706
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2045#AY5052
3138YJTJ5
47113.64250000
PA
USD
51277.13000000
0.000854804179
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/29 #487575
36210BT88
7043.41140000
PA
USD
7956.42000000
0.000132635759
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2043#Q15149
3132J6EX8
207959.38930000
PA
USD
218940.06000000
0.003649792382
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/40 #AE6935
31419HV58
7844.70460000
PA
USD
8407.06000000
0.000140148054
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
DIGITAL REALTY TRUST LP
CD4SPTZ3YBTHY0C1AH38
DIGITAL REALTY TRUST LP 4.75% 10/01/2025
25389JAQ9
3533000.00000000
PA
USD
3922560.84000000
0.065390192513
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BJ0673
3140H1XB1
3459491.38200000
PA
USD
3553613.42000000
0.059239735246
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/45#AZ0560
3138YRTS7
412529.63410000
PA
USD
437074.40000000
0.007286153185
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST 6.20% 07/01/2021
452152GR6
904000.00000000
PA
USD
936950.80000000
0.015619233374
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
0.06200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 02/01/2034#G16752
3128MFWM6
2271434.29100000
PA
USD
2379017.82000000
0.039658896212
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13654
3132HQBX9
58343.02100000
PA
USD
62381.26000000
0.001039913150
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
CSAIL 2018-C14 COML MTG TR
N/A
CSAIL 2018-C14 A4 COML MTG TR 4.422% 11/15/2051
12596GAZ2
2763000.00000000
PA
USD
3105295.64000000
0.051766151754
Long
ABS-MBS
CORP
US
N
2
2051-11-15
Fixed
0.04421600
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2049#CA4628
3140QCEA0
12733859.26100000
PA
USD
13515376.95000000
0.225305135266
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q33724
3132QQD66
44242.83720000
PA
USD
46661.90000000
0.000777866997
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.65% 7/37 #942609
31413DVA2
19222.43290000
PA
USD
20178.37000000
0.000336379103
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Variable
0.04782000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 3.95% 12/01/2027
87165BAM5
7681000.00000000
PA
USD
8063775.80000000
0.134425410708
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 07/01/2034#MA3729
31418DEB4
394662.58000000
PA
USD
398343.80000000
0.006640503189
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.02500000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 4% 02/01/2025
92936UAC3
5360000.00000000
PA
USD
5621534.82000000
0.093712566635
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/27 #451506
36208HR32
4042.78510000
PA
USD
4544.95000000
0.000075765594
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13425
3132HPYW8
248325.72340000
PA
USD
265513.69000000
0.004426187894
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 09/01/2044#AX3195
3138Y4RR2
8912.35600000
PA
USD
9478.83000000
0.000158014762
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 08/01/2028#
31293CM35
2692.25510000
PA
USD
2917.01000000
0.000048627377
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 7/40#V81831
3132L7A82
207209.21440000
PA
USD
216725.71000000
0.003612878544
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.03500000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 3.25% 01/15/2028
615369AM7
2386000.00000000
PA
USD
2500387.51000000
0.041682163083
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 06/01/2034#SB0021
3132CWAW4
4962020.87100000
PA
USD
5008304.12000000
0.083489838380
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2046#Q45028
3132WJSS1
131486.39200000
PA
USD
141059.11000000
0.002351495039
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.04500000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN EN 3.45 2/15/23
494550BM7
1700000.00000000
PA
USD
1752534.64000000
0.029215245389
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.03450000
N
N
N
N
N
N
CHICAGO IL
N/A
CHICAGO ILL TAXABLE PROJ C1
167486MM8
2940000.00000000
PA
USD
3671677.80000000
0.061207901669
Long
DBT
MUN
US
N
2
2035-01-01
Fixed
0.07781000
N
N
N
N
N
N
REGIONS BANK OF ALABAMA
EQTWLK1G7ODGC2MGLV11
REGIONS BANK OF ALABAMA 6.45% 06/26/2037
75913MAA7
7720000.00000000
PA
USD
10108484.70000000
0.168511283192
Long
DBT
CORP
US
N
2
2037-06-26
Fixed
0.06450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 02/01/2047#Q46222
3132WK4G0
585675.66600000
PA
USD
628132.11000000
0.010471138950
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2044#Q25624
3132M54H2
35555.67630000
PA
USD
37883.34000000
0.000631525933
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04000000
N
N
N
N
N
N
TANGER PPTYS LTD PARTNERSHIP
PQPGJDNFN35EXH363L31
TANGER PPTYS LTD PARTNERSHIP 3.75% 12/01/2024
875484AH0
3470000.00000000
PA
USD
3553514.68000000
0.059238089223
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/24 #382114
36204WN78
1151.29130000
PA
USD
1244.79000000
0.000020750999
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
0.07500000
N
N
N
N
N
N
AVOLON HLDGS FDG LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 3.625% 05/01/2022 144A
05401AAE1
1572000.00000000
PA
USD
1610671.20000000
0.026850341942
Long
DBT
CORP
KY
N
2
2022-05-01
Fixed
0.03625000
N
N
N
N
N
N
TECO FINANCE INC
N/A
TECO FINANCE INC MTN 5.15 3/20
87875UAK8
1545000.00000000
PA
USD
1554442.42000000
0.025912992364
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
0.05150000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 04/20/2047#MA4384
36179S2R7
11989511.46000000
PA
USD
12731671.81000000
0.212240550147
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2045#AY4820
3138YJLA2
190166.22690000
PA
USD
204475.49000000
0.003408663931
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #509663
31383QFC3
3164.61790000
PA
USD
3623.36000000
0.000060402430
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/29 #510989
36211EUN6
54.66130000
PA
USD
58.24000000
0.000000970877
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 9/35 #550659
36213CWU0
40387.81300000
PA
USD
46558.34000000
0.000776140623
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AB1801
31416XAB6
10458930.22040000
PA
USD
11208685.95000000
0.186851947486
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
NBC UNIVERSAL INC
VTBDOQJ6KOGQ6K786R46
NBCUNIVERSAL ME 4.45% 1/15/43
63946BAJ9
2012000.00000000
PA
USD
2341806.44000000
0.039038572041
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
0.04450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 6/41 #Q01208
3132GEKV1
70339.65990000
PA
USD
76317.93000000
0.001272241359
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 01/01/2033#J38387
31307VJ80
261609.86900000
PA
USD
269347.06000000
0.004490091250
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 09/01/2031#
31292HMA9
13170.05590000
PA
USD
15353.25000000
0.000255942995
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2046#BC9751
3140F5ZR7
388393.25330000
PA
USD
410045.48000000
0.006835573486
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 06/20/2047#MA4512
36179TAM7
10877767.40500000
PA
USD
11551109.91000000
0.192560251214
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
0.04500000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.375% 08/01/2023
681936BJ8
6023000.00000000
PA
USD
6386206.11000000
0.106459852120
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
0.04375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q31974
3132QNFQ7
52997.56950000
PA
USD
55696.58000000
0.000928477654
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2044#AL7546
3138EQL42
1563517.78650000
PA
USD
1608018.79000000
0.026806125521
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 9/25 #AE0552
31419ATJ6
227998.79530000
PA
USD
237500.90000000
0.003959206805
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 12/20/2045#MA3311
36179RVC0
10509.58800000
PA
USD
11054.21000000
0.000184276789
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BC5369
3140F06F6
544206.65550000
PA
USD
574885.33000000
0.009583500150
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/25 #331012
31375CVD4
789.50530000
PA
USD
862.46000000
0.000014377450
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
0.07000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 4.1% 03/25/2025
126650CW8
11542000.00000000
PA
USD
12380432.35000000
0.206385289555
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
0.04100000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AN8980
36186S6R4
87936.02680000
PA
USD
90557.07000000
0.001509611828
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #773499
36176RDC3
83296.65830000
PA
USD
89623.18000000
0.001494043619
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.3% 02/15/2030
00206RGQ9
2799000.00000000
PA
USD
3109603.21000000
0.051837960158
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2041#AB3875
31417AJV2
6598.75550000
PA
USD
7069.73000000
0.000117854387
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR5360
3138W25W1
131599.97780000
PA
USD
136085.84000000
0.002268589230
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 12/39 #AC5490
31417SC40
191349.02490000
PA
USD
214006.82000000
0.003567553883
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/01/2050 #TBA
21H032613
173700000.00000000
PA
USD
179017321.77000000
2.984269106640
Long
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AB9238
31417GHQ2
169294.46140000
PA
USD
175065.22000000
0.002918386458
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AR8535
3138W6PV2
475428.16080000
PA
USD
489108.42000000
0.008153574934
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST TXBL
452151LF8
4805000.00000000
PA
USD
5179934.15000000
0.086350959255
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
0.05100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2042#AL6997
3138EPX33
609633.30700000
PA
USD
661792.68000000
0.011032270119
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 04/01/2041#
3132GDGH9
170993.15460000
PA
USD
185526.10000000
0.003092772270
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/39 #710776
36297FT93
92634.06580000
PA
USD
102555.92000000
0.001709636032
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #888034
31410FSX4
67141.47150000
PA
USD
76818.45000000
0.001280585168
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019-BPR CNM CSTR 11/05/2032 144A
05492PAG3
358000.00000000
PA
USD
364866.44000000
0.006082426181
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Variable
0.03842500
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.49% 01/23/2027 144A
71654QCQ3
3830000.00000000
PA
USD
4078950.00000000
0.067997243798
Long
DBT
CORP
MX
N
2
2027-01-23
Fixed
0.06490000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 4.75% 08/15/2028
958254AK0
1155000.00000000
PA
USD
1163927.13000000
0.019402992638
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/27 #393574
31378BFP4
1972.94070000
PA
USD
2186.96000000
0.000036457238
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/29 #323542
31374TLX5
77058.44220000
PA
USD
86346.16000000
0.001439414774
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/01/2041#
3132GDVM1
16776.98440000
PA
USD
18223.86000000
0.000303796872
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027
105340AQ6
4613000.00000000
PA
USD
4817481.79000000
0.080308776466
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
0.03950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 4/42 #G06993
3128M9C67
186238.62580000
PA
USD
196188.80000000
0.003270522478
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 05/01/2028#MA1449
31418ATF5
195783.73540000
PA
USD
201355.13000000
0.003356646652
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
0.03000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP FRN 3ML+110 09/09/2022
55336VBH2
2383000.00000000
PA
USD
2392522.06000000
0.039884015691
Long
DBT
CORP
US
N
2
2022-09-09
Variable
0.02985000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/47#AL9779
3138ER2M1
7508656.48360000
PA
USD
7999990.68000000
0.133362094816
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2048#MA5019
36179TSG1
635834.78600000
PA
USD
660651.67000000
0.011013249162
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BD7571
3140FFMV0
1312139.29270000
PA
USD
1385698.74000000
0.023099987755
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 6.484% 10/23/2045
161175BA1
2744000.00000000
PA
USD
3421988.37000000
0.057045508640
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
0.06484000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.409% 5/35 #829985
31407GCW6
22765.87830000
PA
USD
23927.24000000
0.000398873820
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
0.04657000
N
N
N
N
N
N
CEDAR FDG XI CLO LTD
N/A
CEDAR FDG XI CLO LTD 2019-11A A1A 3ML+135 05/29/2032 144A
15033LAA0
3185000.00000000
PA
USD
3186662.57000000
0.053122561363
Long
ABS-CBDO
CORP
KY
N
2
2032-05-29
Variable
0.03263750
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/32 #539799
36212PUY6
46924.64900000
PA
USD
53716.48000000
0.000895468830
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07000000
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 5% 02/14/2022
251526CA5
9082000.00000000
PA
USD
9483061.76000000
0.158085306868
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
0.05000000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029
105340AP8
5842000.00000000
PA
USD
6348850.28000000
0.105837119927
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.04550000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/35 #637141
36291SZE3
13943.88500000
PA
USD
16062.89000000
0.000267772894
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
0.06500000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.085% 01/07/2021
345397ZK2
2973000.00000000
PA
USD
3043618.14000000
0.050737970481
Long
DBT
CORP
US
N
2
2021-01-07
Fixed
0.05085000
N
N
N
N
N
N
PROJECT SILVER 2019
N/A
SILVER AIRCRAFT LEASE INVT LTD 2019-1 A 3.967% 07/15/2044 144A
827304AA4
5100121.81000000
PA
USD
5149582.79000000
0.085844993547
Long
ABS-CBDO
CORP
US
N
2
2044-07-15
Fixed
0.03967000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #457782
36208QRB4
119.07180000
PA
USD
133.33000000
0.000002222648
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
WILLIAMS PARTNERS LP
N/A
WILLIAMS PARTNERS LP 4% 11/15/2021
96950FAH7
2221000.00000000
PA
USD
2282677.13000000
0.038052869812
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY CAP CITIGROUP TR 2016-SNR
N/A
MORGAN STANLEY CAP CITIGROUP TR 2016-SNR A CSTR 11/15/2034 144A
61691CAA7
462964.80000000
PA
USD
464173.18000000
0.007737897469
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Variable
0.03348000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/40 #AD0732
31418MY63
320908.76720000
PA
USD
369755.19000000
0.006163923019
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #490635
36210FBC9
780.77960000
PA
USD
880.11000000
0.000014671681
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.25% 8/9/42
02209SAM5
5531000.00000000
PA
USD
5519755.53000000
0.092015877243
Long
DBT
CORP
US
N
2
2042-08-09
Fixed
0.04250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479607
36209RYC1
111576.76450000
PA
USD
119109.78000000
0.001985593534
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GRP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 6.1% 06/10/2023
780097AY7
13369000.00000000
PA
USD
14710676.34000000
0.245231112303
Long
DBT
CORP
GB
N
2
2023-06-10
Fixed
0.06100000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/44#Q28495
3132M9C85
151880.41250000
PA
USD
161633.47000000
0.002694475408
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/27 #391266
31377YTX3
12613.61870000
PA
USD
14343.40000000
0.000239108512
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
0.07500000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-IMC A 1ML+105 04/15/34 144A
05608BAA8
5400000.00000000
PA
USD
5403316.14000000
0.090074799860
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.02739750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 2/36 #880258
31409V5T6
6164.80710000
PA
USD
7209.75000000
0.000120188560
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/31 #781324
36225BPH5
6606.22250000
PA
USD
7536.42000000
0.000125634241
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/46#MA3663
36179SB89
3788614.16900000
PA
USD
3956316.42000000
0.065952907526
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/28 #456712
36208PKZ0
10523.69510000
PA
USD
11985.51000000
0.000199801822
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/25 #328609
31375AAJ8
2456.68440000
PA
USD
2680.58000000
0.000044686022
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AN7592
36186QNH1
46959.16700000
PA
USD
48358.85000000
0.000806155631
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2042#MA0699
36179MX47
3221285.38290000
PA
USD
3381994.67000000
0.056378802412
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/40 #733607
3620AMAG7
12257.76650000
PA
USD
13404.30000000
0.000223453451
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/40 #733601
3620AMAA0
13087.28610000
PA
USD
14451.68000000
0.000240913570
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.05000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046
674599DL6
5708000.00000000
PA
USD
7337867.00000000
0.122324306833
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
0.06600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 03/01/2033#G18681
3128MMXK4
868957.11700000
PA
USD
893081.80000000
0.014887924805
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#G07921
3128MAD22
7691135.40020000
PA
USD
8099646.21000000
0.135023380532
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
HEALTHCARE TRUST OF AMERICA HOLDINGS LP
549300IYGAS4GE6VDL07
HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.5% 08/01/2026
42225UAD6
1366000.00000000
PA
USD
1424546.65000000
0.023747593341
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
0.03500000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL B 1ML+110 10/15/2036 144A
056054AE9
3094000.00000000
PA
USD
3097876.47000000
0.051642472103
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.02819750
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 4.5% 03/01/2028
958254AH7
2000000.00000000
PA
USD
1972125.98000000
0.032875894792
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE5602
3140FRGL3
3992507.57870000
PA
USD
4188313.33000000
0.069820361270
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PAR 5.375% 6/1/21
958254AA2
6322000.00000000
PA
USD
6521166.01000000
0.108709671614
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.05375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 11/01/2032#G18665
3128MMW33
161190.48800000
PA
USD
163083.82000000
0.002718653150
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/46#G60551
31335ATG3
1432210.84800000
PA
USD
1527761.37000000
0.025468211755
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7497
31417EKK6
62785.16530000
PA
USD
64925.33000000
0.001082323512
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #748242
3620C4HT0
49862.32470000
PA
USD
53649.45000000
0.000894351421
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 4.875% 02/15/2024
615369AC9
2240000.00000000
PA
USD
2461676.69000000
0.041036842825
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/01/2033#BM5111
3140J9VD0
5905478.30000000
PA
USD
6084602.68000000
0.101432038109
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03000000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.5% 01/15/2025
00774MAC9
8300000.00000000
PA
USD
8549604.16000000
0.142524306119
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 9/26 #313264
31374F5Z8
964.01150000
PA
USD
1059.75000000
0.000017666330
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/39 #698329
36296QY29
41241.80690000
PA
USD
44997.89000000
0.000750127482
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/45#AZ5847
3138YXP90
145662.44360000
PA
USD
150309.02000000
0.002505693641
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 10/29 #518567
31384BCC8
1078.34960000
PA
USD
1242.11000000
0.000020706323
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AB9341
31417GLX2
221966.21380000
PA
USD
229532.40000000
0.003826369669
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
SWISS RE FINANCE LUXEMBOURG
549300CLQZ6TM98LW631
SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A
87089NAA8
2200000.00000000
PA
USD
2450250.00000000
0.040846356689
Long
DBT
CORP
LU
N
2
2049-04-02
Variable
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 04/01/2042#MA1028
31418AEA2
12833.76600000
PA
USD
13741.73000000
0.000229078504
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/22 #306588
36223FRH6
266.45280000
PA
USD
276.52000000
0.000004609666
Long
ABS-MBS
USGA
US
N
2
2022-04-15
Fixed
0.07500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 2.625% 08/15/2024
126650DE7
770000.00000000
PA
USD
775930.72000000
0.012934983350
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.02625000
N
N
N
N
N
N
DRYDEN 72 CLO LTD
N/A
DRYDEN 72 CLO LTD 2019-72A A 3ML+133 05/15/2032 144A
26252NAC3
5210000.00000000
PA
USD
5209421.69000000
0.086842524841
Long
ABS-CBDO
CORP
KY
N
2
2032-05-15
Variable
0.03239880
N
N
N
N
N
N
TIME WARNER CABLE INC
B1WXCWLJVJXMWJX6O298
TIME WARNER CABLE INC 4% 09/01/2021
88732JBA5
7363000.00000000
PA
USD
7533010.42000000
0.125577402533
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.99% 5/34 #725828
31402DLH1
138862.41340000
PA
USD
142872.90000000
0.002381731429
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Variable
0.03313000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2047#MA4383
36179S2Q9
5704895.14200000
PA
USD
5961309.07000000
0.099376698952
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 08/01/2042#Q10217
3132HLG23
58919.02450000
PA
USD
60945.24000000
0.001015974293
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/31 #550143
36213CEQ9
3015.60360000
PA
USD
3446.71000000
0.000057457625
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/28 #457257
31381C5S2
6806.61390000
PA
USD
7524.57000000
0.000125436698
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 8/45#Q35367
3132QR6D7
133792.62360000
PA
USD
138351.93000000
0.002306365587
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.375% 10/15/2028
125523AH3
6064000.00000000
PA
USD
6709634.26000000
0.111851490352
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 10/01/2033#BM5832
3140JAPS1
3636493.18900000
PA
USD
3735430.90000000
0.062270683778
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.03000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 5.85% 08/15/2045
761713BB1
9320000.00000000
PA
USD
10668568.68000000
0.177848040675
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
0.05850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 6/41 #AB3143
31416YP51
281448.56050000
PA
USD
301624.40000000
0.005028163586
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04000000
N
N
N
N
N
N
DUKE ENERGY FIELD SVCS LLC
N/A
DUKE ENRG FLD 6.45 11/3/36 144
26439XAH6
2477000.00000000
PA
USD
2600850.00000000
0.043356901048
Long
DBT
CORP
US
N
2
2036-11-03
Fixed
0.06450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/01/2042#AK2717
3138E7AT1
61259.73180000
PA
USD
65593.75000000
0.001093466262
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
HUDSON PAC PPTYS LP
5493007NTUGLGZ8T3526
HUDSON PAC PPTYS INC 4.65% 04/01/2029
44409MAB2
7741000.00000000
PA
USD
8510756.99000000
0.141876712869
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
0.04650000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2043#AD7475
36180KJU6
39066.66110000
PA
USD
41972.80000000
0.000699698381
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY CAP CITIGROUP TR 2016-SNR
N/A
MSCCG 2016-SNR C 5.205% 11/34
61691CAJ8
1144100.00000000
PA
USD
1166736.59000000
0.019449827126
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Fixed
0.05205000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 6/35 #G01827
3128LXA42
1931.36960000
PA
USD
2087.72000000
0.000034802879
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 6/46#V82414
3132L7VF3
2774050.22940000
PA
USD
2855579.29000000
0.047603309961
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 10/37 #995073
31416BMW5
335627.79600000
PA
USD
385305.04000000
0.006423143392
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 9/40 #004800
36202FKM7
1504019.17160000
PA
USD
1603579.68000000
0.026732124309
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 02/15/2045#AK6887
36183QUL7
15221.69060000
PA
USD
15675.39000000
0.000261313160
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2035#AB8197
31417FDB1
662019.69720000
PA
USD
714951.55000000
0.011918443435
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.04500000
N
N
N
N
N
N
RETAIL OPPTY INVTS PRTNRSHP LP
549300KH0PNTJK9NTE57
RETAIL OPPORTUNITY 5% 12/15/23
76132FAA5
737000.00000000
PA
USD
777966.42000000
0.012968919042
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
0.05000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 4.682%/VAR 08/09/2028
25466AAN1
2761000.00000000
PA
USD
2885245.00000000
0.048097845691
Long
DBT
CORP
US
N
2
2028-08-09
Variable
0.04682000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 07/47#MA4587
36179TCY9
1243735.94700000
PA
USD
1298471.27000000
0.021645881295
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 06/01/2045#Q34104
3132QQR20
136898.98170000
PA
USD
141564.14000000
0.002359914031
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2045#Q37070
3132QT2C9
19431.64280000
PA
USD
20409.09000000
0.000340225270
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/27 #353490
36203MUP3
2754.55100000
PA
USD
3113.52000000
0.000051903254
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/01/2041#
3132GET67
96184.05040000
PA
USD
104358.87000000
0.001739691716
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2045#AY3988
3138YHNE6
99468.16320000
PA
USD
106704.08000000
0.001778787026
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34598
31307RDB8
68657.29590000
PA
USD
70820.88000000
0.001180603989
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2040#V82091
3132L7KC2
278133.08570000
PA
USD
290385.40000000
0.004840806295
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 03/01/2048#Q54622
3132XXD48
57242.37900000
PA
USD
60775.12000000
0.001013138344
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2045#AZ3728
3138YVEA3
153297.60090000
PA
USD
157804.49000000
0.002630645234
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.737%/VAR 04/24/2024
61744YAQ1
5000000.00000000
PA
USD
5223078.55000000
0.087070188539
Long
DBT
CORP
US
N
2
2024-04-24
Variable
0.03737000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE4784
3140FQJ65
763935.04900000
PA
USD
793284.13000000
0.013224269576
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/47#784304
3622A2X98
1522531.47110000
PA
USD
1614277.39000000
0.026910458143
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 2.95% 10/01/2026
46625HRV4
8028000.00000000
PA
USD
8266231.86000000
0.137800410173
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
0.02950000
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP 1ML+215 03/15/2036 144A
74952PAJ6
4971000.00000000
PA
USD
4983434.46000000
0.083075254153
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.03839750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/28 #422181
31379K6S7
2232.52920000
PA
USD
2476.45000000
0.000041283118
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
0.07000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORPORATION 4.03% 01/25/2024 144A
35137LAB1
1268000.00000000
PA
USD
1350998.72000000
0.022521528661
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
0.04030000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19606
3132JBDL4
136418.88930000
PA
USD
145690.65000000
0.002428704114
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 7/39 #AA9611
31416TVD8
12634.83310000
PA
USD
13546.25000000
0.000225819797
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2038#AB8124
31417FA24
86726.93110000
PA
USD
93377.18000000
0.001556623855
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2046#BC1823
3140EWAZ8
78691.69810000
PA
USD
83890.13000000
0.001398472063
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 11/01/2044#AL7307
3138EQDM1
4713847.83650000
PA
USD
5164558.15000000
0.086094637011
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.05000000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.875% 08/14/2024
00774MAM7
5996000.00000000
PA
USD
6034382.01000000
0.100594845415
Long
DBT
CORP
IE
N
2
2024-08-14
Fixed
0.02875000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-IMC C 1ML+160 04/15/34 144A
05608BAJ9
2171000.00000000
PA
USD
2170995.44000000
0.036191104627
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.03339750
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MOTORS FIN 4.375% 09/25/21
37045XAQ9
15702000.00000000
PA
USD
16267153.76000000
0.271178028689
Long
DBT
CORP
US
N
2
2021-09-25
Fixed
0.04375000
N
N
N
N
N
N
TANGER PPTYS LTD PARTNERSHIP
PQPGJDNFN35EXH363L31
TANGER PPTYS LTD PARTNERSHIP 3.125% 09/01/2026
875484AJ6
6109000.00000000
PA
USD
6049919.68000000
0.100853862744
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.03125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2046#BD4423
3140FB4H0
481763.34570000
PA
USD
504035.65000000
0.008402416057
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
NBC UNIVERSAL INC
VTBDOQJ6KOGQ6K786R46
NBCUNIVERSAL MED 5.95% 4/1/41
63946BAG5
1407000.00000000
PA
USD
1932006.39000000
0.032207089942
Long
DBT
CORP
US
N
2
2041-04-01
Fixed
0.05950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2048#BN2842
3140JKEQ5
100064.50100000
PA
USD
105561.40000000
0.001759738229
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 06/01/2045#AZ4601
3138YWDF1
24744.31460000
PA
USD
26278.42000000
0.000438068652
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34669
31307RFJ9
27610.31530000
PA
USD
28480.39000000
0.000474776112
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.21% 5/36 #872503
31409JKQ2
88175.67210000
PA
USD
92309.36000000
0.001538822995
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.04705000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 4/29 #323645
31374TP60
610.50340000
PA
USD
688.28000000
0.000011473821
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 8/45#Q35372
3132QR6J4
89865.90410000
PA
USD
92815.97000000
0.001547268326
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.228% 7/41#AI3469
3138AG2B3
80685.40700000
PA
USD
84008.01000000
0.001400437155
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.04537000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/29 #252492
31371HNH7
2243.09770000
PA
USD
2581.03000000
0.000043026496
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 03/01/2033#AB0066
31416VCC6
64588.45820000
PA
USD
70436.19000000
0.001174191099
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2047#AL9846
3138ER5G1
2239951.90420000
PA
USD
2406399.59000000
0.040115358020
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04500000
N
N
N
N
N
N
WILLIAMS PARTNERS LP
N/A
WILLIAMS PARTNERS LP 4.3% 03/04/2024
96950FAM6
5449000.00000000
PA
USD
5811019.46000000
0.096871328880
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
0.04300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/27 #250990
31371FXT4
957.18990000
PA
USD
1078.00000000
0.000017970563
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 02/01/2028#
31292GUK0
595.37790000
PA
USD
676.10000000
0.000011270777
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0214
3138MFGY7
359272.82120000
PA
USD
378913.66000000
0.006316597290
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
PNC BK N A PITTSBURGH PA MEDIUM TERM SR BK NTS BOOK ENTRY
N/A
PNC BK N A PITTSBURGH PA MEDIUM TERM SR BK NTS BOOK ENTRY 2.3% 06/01/2020
69353REP9
1450000.00000000
PA
USD
1451879.74000000
0.024203243640
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
0.02300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 4/35 #A32438
31297MV70
3445.10080000
PA
USD
3723.69000000
0.000062074959
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/27 #404846
31378PWF6
2498.78350000
PA
USD
2841.09000000
0.000047361769
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/44#Q28991
3132M9UQ5
282111.91910000
PA
USD
300227.85000000
0.005004882705
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04000000
N
N
N
N
N
N
PUGET ENERGY INC NEW
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC 6% 9/01/21
745310AD4
4807000.00000000
PA
USD
5103825.86000000
0.085082212654
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/44#AX7267
3138Y9CD8
7237.35070000
PA
USD
7695.99000000
0.000128294317
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/28 #457547
31381DHY4
1115.47490000
PA
USD
1228.71000000
0.000020482941
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
0.07000000
N
N
N
N
N
N
EQUITY ONE INC
54930052LBJBIKJPIO43
EQUITY ONE INC 3.75% 11/15/2022
294752AH3
5500000.00000000
PA
USD
5725638.38000000
0.095448002261
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AK4826
3138E9LG3
791989.88200000
PA
USD
833801.64000000
0.013899707864
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/29 #501816
31383FN95
11879.76250000
PA
USD
13808.32000000
0.000230188578
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AK7286
36183RCX9
9138.53160000
PA
USD
9410.92000000
0.000156882683
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8237
3138EDEK3
997185.04090000
PA
USD
1068357.33000000
0.017809817191
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY8779
3138YNXH5
240413.73000000
PA
USD
252429.80000000
0.004208075767
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2044#AX8858
3138YAZY4
329742.82210000
PA
USD
354348.59000000
0.005907090663
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34584
31307RCV5
37087.09240000
PA
USD
38255.81000000
0.000637735113
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM1884
3140J6CW5
609484.40000000
PA
USD
627018.90000000
0.010452581426
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 4.0% 10/01/2023
29250NAF2
2813000.00000000
PA
USD
2970250.89000000
0.049514917787
Long
DBT
CORP
CA
N
2
2023-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2042#AL2607
3138EJ3R7
25271.75180000
PA
USD
27020.20000000
0.000450434334
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AO1215
3138LRK50
612889.75470000
PA
USD
645246.23000000
0.010756436144
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/40 #004801
36202FKN5
1833740.17000000
PA
USD
2002262.36000000
0.033378276723
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18564
3132J96A1
22490.19440000
PA
USD
24018.75000000
0.000400399318
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.0% 09/45#AZ8147
3140E1BR3
66514.35020000
PA
USD
70638.12000000
0.001177557328
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2040#V81886
3132L7CX5
425832.31220000
PA
USD
445389.51000000
0.007424768407
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 5/45#Q33470
3132QP2C7
46574.33600000
PA
USD
48176.02000000
0.000803107804
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 05/01/2041#1B8124
3128UGMY0
106923.58500000
PA
USD
111230.23000000
0.001854239220
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.04813000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/01/2048#Q55839
3132XYPZ4
1895132.31800000
PA
USD
2023037.45000000
0.033724603317
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2047#BE5696
3140FRKJ3
543306.17210000
PA
USD
567744.52000000
0.009464460839
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2045#AY8424
3138YNLE5
6632678.04660000
PA
USD
6943457.48000000
0.115749389198
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772060
36176PQM1
107736.55310000
PA
USD
115919.33000000
0.001932407836
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 06/01/2045#Q34103
3132QQRZ7
73374.74940000
PA
USD
76058.61000000
0.001267918421
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/45#AY7636
3138YMPW3
20228.78190000
PA
USD
20856.06000000
0.000347676386
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
WALGREENS BOOTS ALLIANCE INC
549300RPTUOIXG4LIH86
WALGREENS BOOTS ALLIANCE INC 3.3% 11/18/2021
931427AF5
2918000.00000000
PA
USD
2972536.37000000
0.049553017382
Long
DBT
CORP
US
N
2
2021-11-18
Fixed
0.03300000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2042#AB9201
36178WGJ2
20194.05800000
PA
USD
21626.86000000
0.000360525839
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2045#AY0364
3138YDMN6
222536.32180000
PA
USD
238585.89000000
0.003977293894
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04500000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6% 06/15/2048
29278NAE3
1470000.00000000
PA
USD
1710569.73000000
0.028515678536
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
0.06000000
N
N
N
N
N
N
MACK-CALI REALTY LP
549300MJC9VNA6VSEE11
MACK-CALI REALTY LP 4.5% 04/18/2022
55448QAQ9
1218000.00000000
PA
USD
1237568.63000000
0.020630617156
Long
DBT
CORP
US
N
2
2022-04-18
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/26 #339193
31375MXW8
3091.98230000
PA
USD
3384.45000000
0.000056419733
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 01/31/2024
9128285Z9
77300000.00000000
PA
USD
79780024.40000000
1.329955446712
Long
DBT
UST
US
N
2
2024-01-31
Fixed
0.02500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.0% 05/15/2045
912810RM2
34384000.00000000
PA
USD
38339144.76000000
0.639124326914
Long
DBT
UST
US
N
2
2045-05-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/45#AZ9583
3140E2UH2
56661.71270000
PA
USD
60032.98000000
0.001000766662
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/41 #489862
36210EFB0
233841.16600000
PA
USD
249628.77000000
0.004161381809
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24839
3132M5BG6
26188.22510000
PA
USD
27902.65000000
0.000465145023
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.75% 04/15/2058
035240AP5
5750000.00000000
PA
USD
6701243.66000000
0.111711616690
Long
DBT
CORP
US
N
2
2058-04-15
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 4/41 #A97945
312946ZJ8
980331.90970000
PA
USD
1063651.69000000
0.017731372848
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4% 1/31/24
02209SAS2
2227000.00000000
PA
USD
2361053.37000000
0.039359423778
Long
DBT
CORP
US
N
2
2024-01-31
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR4275
3138W1XD4
54191.61830000
PA
USD
56038.85000000
0.000934183391
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 01/01/2050 #TBA
01F030611
104250000.00000000
PA
USD
105716776.65000000
1.762328402027
Long
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15400
3132J6NS9
127457.90860000
PA
USD
136279.96000000
0.002271825265
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 06/01/2044#Q26541
3132M65A4
38774.09380000
PA
USD
41312.46000000
0.000688690328
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/46#BC6150
3140F1ZQ8
186009.40890000
PA
USD
198297.32000000
0.003305672100
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AA6146
36178DZK0
3037390.96300000
PA
USD
3134860.54000000
0.052259006953
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2047#BH0561
3140GNTT0
351593.07300000
PA
USD
375412.13000000
0.006258225800
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 4/41 #762904
36176DKR3
229612.15270000
PA
USD
250299.75000000
0.004172567235
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2047#G08761
3128MJZ37
33804.22490000
PA
USD
35124.35000000
0.000585532794
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.03500000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
NORTHEAST UTILITIES 2.8% 05/01/2023
664397AK2
5110000.00000000
PA
USD
5183664.38000000
0.086413143239
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.02800000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/42 #MA0462
36179MQP8
7808143.39100000
PA
USD
8200130.15000000
0.136698476075
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.03500000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019 1ML+145 10/15/2036 144A
056054AG4
5509000.00000000
PA
USD
5515888.45000000
0.091951411931
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.03189750
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE 4.284% 04/15/2036 144A
12690CAA1
3682000.00000000
PA
USD
3868708.70000000
0.064492462192
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
0.04284000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 02/01/2044#Q25157
3132M5ME9
394257.09450000
PA
USD
425055.04000000
0.007085787073
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/40 #004696
36202FGD2
559953.15970000
PA
USD
611413.30000000
0.010192431685
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/40 #AH1016
3138A2DW6
27955.74660000
PA
USD
29959.77000000
0.000499437792
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/41 #AJ3402
3138AUX85
88188.59470000
PA
USD
95568.53000000
0.001593154275
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 10/15/2041#775540
36176TLV8
38074.61750000
PA
USD
40645.19000000
0.000677566749
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
CALIFORNIA ST
N/A
CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA
13063A5E0
5055000.00000000
PA
USD
7612021.20000000
0.126894534459
Long
DBT
MUN
US
N
2
2034-04-01
Fixed
0.07500000
N
N
N
N
N
N
CITIZENS BANK NA
DRMSV1Q0EKMEXLAU1P80
CITIZENS BANK NA 2.55% 05/13/2021
17401QAE1
1560000.00000000
PA
USD
1571675.04000000
0.026200264986
Long
DBT
CORP
US
N
2
2021-05-13
Fixed
0.02550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 02/34#G30703
3132J4AD1
29998944.93510000
PA
USD
31394894.84000000
0.523361727518
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.0% 11/01/2031#MA0908
31418AAJ7
1639353.28280000
PA
USD
1739453.34000000
0.028997176439
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.04000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.5% 01/23/2029
71654QCP5
5560000.00000000
PA
USD
5857112.50000000
0.097639712822
Long
DBT
CORP
MX
N
2
2029-01-23
Fixed
0.06500000
N
N
N
N
N
N
KINDER MORGAN INC DEL
549300WR7IX8XE0TBO16
KINDER MORGAN INC DEL 5.55% 06/01/2045
49456BAH4
2436000.00000000
PA
USD
2912000.37000000
0.048543865234
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
0.05550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/47#BH4269
3140GSW73
141368.76900000
PA
USD
150177.56000000
0.002503502166
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #339158
36224UWT0
6112.56830000
PA
USD
6407.60000000
0.000106816494
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/23 #342527
36224YPL7
235.83000000
PA
USD
249.95000000
0.000004166736
Long
ABS-MBS
USGA
US
N
2
2023-02-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.283 6/1/41
3128UGXF9
61351.88600000
PA
USD
63884.69000000
0.001064975751
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.04660000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2045#AS4797
3138WEKK4
127742.08300000
PA
USD
133767.46000000
0.002229941183
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 08/01/2032#G18654
3128MMWQ2
117000.21200000
PA
USD
118374.48000000
0.001973335877
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 10/27 #401788
31378LJ94
922.58380000
PA
USD
1030.47000000
0.000017178224
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2049#FM1534
3140X4V45
10277864.66600000
PA
USD
11015903.74000000
0.183638213821
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2043#AQ9328
3138MRLJ8
605862.42690000
PA
USD
637469.24000000
0.010626791533
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/28 #313947
31374GWG8
69.54350000
PA
USD
77.72000000
0.000001295614
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.344% 7/35 #834917
31407MSE6
9754.48060000
PA
USD
10097.36000000
0.000168325831
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.04085000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 5/42 #766751
36176HTG9
1040591.05890000
PA
USD
1099563.75000000
0.018330036990
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 04/01/2048#Q55660
3132XYJE8
1136418.23000000
PA
USD
1213826.95000000
0.020234836673
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 4/1/43 #AT0668
3138WMW64
12302.86190000
PA
USD
12944.68000000
0.000215791456
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC 4.9% 08/28/2028
28414HAG8
1334000.00000000
PA
USD
1449897.25000000
0.024170194974
Long
DBT
CORP
US
N
2
2028-08-28
Fixed
0.04900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ6625
3138MNLF5
95579.07660000
PA
USD
98837.09000000
0.001647642090
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
CHICAGO IL
N/A
CHICAGO IL 5.63% 01/01/2022
1674856E6
595000.00000000
PA
USD
604888.90000000
0.010083668101
Long
DBT
MUN
US
N
2
2022-01-01
Fixed
0.05630000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 8/37 #G06089
3128M8C28
157913.73080000
PA
USD
181933.51000000
0.003032882784
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #442336
36207ULR7
2916.17230000
PA
USD
3252.46000000
0.000054219423
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/01/2041#
3132GEQJ2
71060.67630000
PA
USD
77100.22000000
0.001285282353
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33547
3132QP5H3
3988289.75630000
PA
USD
4178937.98000000
0.069664071548
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/47#MA4382
36179S2P1
110187.88500000
PA
USD
114858.73000000
0.001914727335
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.03500000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORPORATION 5.576% 01/25/2049 144A
35137LAE5
1201000.00000000
PA
USD
1525507.59000000
0.025430640609
Long
DBT
CORP
US
N
2
2049-01-25
Fixed
0.05576000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC 3.691/VAR 06/05/2028
38141GWL4
41645000.00000000
PA
USD
44207796.65000000
0.736956404613
Long
DBT
CORP
US
N
2
2028-06-05
Variable
0.03691000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.875% 01/16/2024
00774MAK1
5015000.00000000
PA
USD
5432609.18000000
0.090563123076
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
0.04875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/01/2048#G67713
3132XCSA4
9732697.01700000
PA
USD
10354644.58000000
0.172614837630
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/26 #358481
31376LFW9
766.22790000
PA
USD
832.13000000
0.000013871841
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 10/41 #Q03643
3132GJWC9
730298.58370000
PA
USD
793280.56000000
0.013224210063
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
GENERAL MTRS FINL CO INC
5493008B6JBRUJ90QL97
GENERAL MTRS FINL CO INC 3.2% 07/13/2020
37045XAY2
10000000.00000000
PA
USD
10045668.20000000
0.167464114468
Long
DBT
CORP
US
N
2
2020-07-13
Fixed
0.03200000
N
N
N
N
N
N
POST APT HOMES LP
5493005D04NMMCMCB212
POST APT HOMES LP 3.375% 12/01/2022
737415AL3
790000.00000000
PA
USD
813642.87000000
0.013563655498
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
0.03375000
N
N
N
N
N
N
VOYA FINANCIAL INC
549300T065Z4KJ686G75
VOYA FINANCIAL INC 3.125% 07/15/2024
929089AD2
2851000.00000000
PA
USD
2938529.38000000
0.048986111293
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.03125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/27 #190289
31368HKA0
8448.04530000
PA
USD
9424.67000000
0.000157111899
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/27 #250912
31371FVD1
1169.96720000
PA
USD
1312.13000000
0.000021873576
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#AS7010
3138WGYG3
2448151.50890000
PA
USD
2561331.51000000
0.042698116705
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP 4.2% 06/10/2024
04010LAX1
8906000.00000000
PA
USD
9318628.87000000
0.155344164341
Long
DBT
CORP
US
N
2
2024-06-10
Fixed
0.04200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2040#V81750
3132L65K3
572813.86920000
PA
USD
600195.52000000
0.010005428137
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 9/41 #Q03358
3132GJMF3
258453.21960000
PA
USD
277149.83000000
0.004620165620
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04000000
N
N
N
N
N
N
TEVA PHARMACEUTICAL FIN NETH III B V
5493004T21MOAFINJP35
TEVA PHARMACEUTICAL FIN NETH III B V 2.2% 07/21/2021
88167AAC5
939000.00000000
PA
USD
909374.55000000
0.015159529530
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
0.02200000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #534007
36212HGQ7
20658.45390000
PA
USD
23753.46000000
0.000395976859
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/28 #323327
31374TD89
4535.17720000
PA
USD
5081.64000000
0.000084712368
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/30 #443191
36207VKC9
2966.48350000
PA
USD
3217.94000000
0.000053643964
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/26 #250551
31371FH47
16011.20790000
PA
USD
17582.04000000
0.000293097552
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #471698
36209G7K7
44559.01000000
PA
USD
49777.15000000
0.000829799091
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AY3020
3138YGLA8
349891.43410000
PA
USD
371802.76000000
0.006198056587
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 1/41 #A96413
312945DS4
3204184.41770000
PA
USD
3435976.40000000
0.057278693035
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A
61771LAA0
8381000.00000000
PA
USD
8653061.51000000
0.144248969244
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03170000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2048#Q54727
3132XXHD4
1773356.69400000
PA
USD
1838730.60000000
0.030652156287
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BD5294
3140FC3C0
824670.46080000
PA
USD
861764.80000000
0.014365861607
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2043#C09039
31292SBG4
88906.05520000
PA
USD
93544.91000000
0.001559419961
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2047#784303
3622A2X80
1407301.00770000
PA
USD
1498700.00000000
0.024983750543
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2047#Q53017
3132XVK77
1429276.67900000
PA
USD
1527973.81000000
0.025471753190
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 1/1/43 #Q14696
3132HRGD6
423333.13050000
PA
USD
438023.81000000
0.007301980116
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9287
3138YPJ94
322550.59140000
PA
USD
338671.93000000
0.005645756332
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
DUKE REALTY LP NEW
2549009GZDBNY1KE9O81
DUKE REALTY LP NEW 3.75% 12/01/2024
26441YAY3
1576000.00000000
PA
USD
1673891.40000000
0.027904240458
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.03750000
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 4.464% 07/23/2022
161175BB9
5742000.00000000
PA
USD
6033049.35000000
0.100572629598
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
0.04464000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/27 #366829
31376VPN6
5355.65830000
PA
USD
5952.73000000
0.000099233683
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/45#AL2996
36183YKH0
19845.67620000
PA
USD
20437.20000000
0.000340693872
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783276
36241LT97
27402.52730000
PA
USD
29965.64000000
0.000499535647
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.2% 09/15/2023
29278NAC7
1186000.00000000
PA
USD
1244551.31000000
0.020747020396
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.04200000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC 3.912% 08/27/2021
28414HAF0
1003000.00000000
PA
USD
1028745.31000000
0.017149473675
Long
DBT
CORP
US
N
2
2021-08-27
Fixed
0.03912000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AR6434
3138W4EG2
243630.00470000
PA
USD
250640.36000000
0.004178245299
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 01/01/2050 #TBA
21H030617
-18600000.00000000
PA
USD
-19106107.86000000
-0.31850419205
Short
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/32 #545759
31385JJC3
95102.05050000
PA
USD
108982.49000000
0.001816768762
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 3.25% 06/12/2020
761713BE5
939000.00000000
PA
USD
943270.95000000
0.015724592053
Long
DBT
CORP
US
N
2
2020-06-12
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 12/28 #323424
31374TG94
371.87860000
PA
USD
420.47000000
0.000007009353
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #443873
36207WCJ1
1535.26300000
PA
USD
1732.26000000
0.000028877261
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/22 #332060
36224LZZ3
7359.39760000
PA
USD
7788.05000000
0.000129828984
Long
ABS-MBS
USGA
US
N
2
2022-10-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2045#AZ5987
3138YXUM5
154621.87940000
PA
USD
159554.26000000
0.002659814392
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.50% #MA0022
31417YAY3
6085.18700000
PA
USD
6491.73000000
0.000108218965
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AR1624
3138NXYW1
283928.68720000
PA
USD
293606.99000000
0.004894511107
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 1/35 #G06928
3128M9A51
236290.40400000
PA
USD
258985.77000000
0.004317365631
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/27 #447696
36208DKH7
2059.52730000
PA
USD
2313.19000000
0.000038561527
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/27 #397679
31378FXG5
2322.18530000
PA
USD
2545.73000000
0.000042438035
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/32 #582105
36201FU62
830.22640000
PA
USD
955.50000000
0.000015928453
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/44#Q27794
3132M8KF2
120930.92640000
PA
USD
128696.55000000
0.002145407687
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/31 #557595
36213LNL0
15159.92490000
PA
USD
17261.35000000
0.000287751559
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.05% 7/34 #801635
31405WSY2
17265.86230000
PA
USD
17941.15000000
0.000299084016
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Variable
0.04221000
N
N
N
N
N
N
MACK-CALI REALTY LP
549300MJC9VNA6VSEE11
MACK CALI RLTY 3.15% 5/15/23
55448QAS5
4988000.00000000
PA
USD
4897675.80000000
0.081645633169
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.03150000
N
N
N
N
N
N
REGENCY ENERGY PARTNERS LP / REGENCY ENERGY FIN CORP
N/A
REGENCY ENGY P LP/ REG EN F CP 5.875% 03/01/2022
75886AAL2
2030000.00000000
PA
USD
2153777.99000000
0.035904084892
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
0.05875000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 12/40 #004881
36202FM60
539221.03900000
PA
USD
566628.19000000
0.009445851304
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9019
3138EEAV1
294761.04790000
PA
USD
315799.09000000
0.005264459656
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #773473
36176RCJ9
83988.36830000
PA
USD
90367.43000000
0.001506450476
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q11868
3132HNCD9
27868.34930000
PA
USD
29814.69000000
0.000497019268
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 04/01/2039#AD0333
31418MLP5
2233205.29770000
PA
USD
2512250.33000000
0.041879919629
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2046#BC2847
3140EXEV1
130040.05250000
PA
USD
138549.31000000
0.002309655967
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 4.25% 08/15/2024
87165BAD5
2218000.00000000
PA
USD
2365415.00000000
0.039432133377
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/32 #555211
31385WYG8
209.89930000
PA
USD
241.42000000
0.000004024539
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/23 #050930
313615ST4
422.08060000
PA
USD
450.85000000
0.000007515796
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/28 #446737
36208CHN0
14089.29080000
PA
USD
16059.29000000
0.000267712881
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0199
3138MFGH4
42827.21410000
PA
USD
45168.51000000
0.000752971766
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 1/41 #004922
36202FPF7
1821299.77400000
PA
USD
1940724.77000000
0.032352427789
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/45#MA3174
36179RQ36
8224.75100000
PA
USD
8666.39000000
0.000144471158
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 12/01/2041#AL6067
3138ENW54
132174.35770000
PA
USD
146792.62000000
0.002447074264
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AN5754
36186NMB2
33325.71980000
PA
USD
34319.04000000
0.000572108049
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/47 #MA2864
31418CFE9
2257787.22230000
PA
USD
2346644.24000000
0.039119219528
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AR7305
3138W5DK1
256376.55460000
PA
USD
263753.69000000
0.004396848199
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 6/41 #G06596
3128M8UV4
936286.57020000
PA
USD
1037589.97000000
0.017296916645
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/01/2047#Q48095
3132WM7H1
1202227.16900000
PA
USD
1289378.30000000
0.021494298928
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04500000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV FIN INC
5493000EYEKDT0FBSQ91
ANHUESER-BUSCH INBEV FIN INC 4.7% 02/01/2036
035242AM8
9265000.00000000
PA
USD
10685804.33000000
0.178135363809
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
0.04700000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 11/30/2026
912828YU8
20000000.00000000
PA
USD
19722838.20000000
0.328785260295
Long
DBT
UST
US
N
2
2026-11-30
Fixed
0.01625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2046#BD0997
3140F8DB0
1545935.12650000
PA
USD
1617404.94000000
0.026962595282
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.7% 08/15/2022
674599CP8
1364000.00000000
PA
USD
1377851.46000000
0.022969171390
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.02700000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3.7% 03/09/2023
126650CV0
2500000.00000000
PA
USD
2602561.35000000
0.043385429734
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
0.03700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM5110
3140J9VC2
2160434.86300000
PA
USD
2221239.01000000
0.037028679071
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2046#BE1891
3140FMC53
674019.63670000
PA
USD
704758.84000000
0.011748528092
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/31 #533678
36212G2K7
10590.26340000
PA
USD
12051.28000000
0.000200898227
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2049#CA4406
3140QB3Q9
2205703.22100000
PA
USD
2262967.91000000
0.037724311571
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE6903
3140FSU50
473227.48260000
PA
USD
494513.63000000
0.008243681305
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 02/01/2043#Q15789
3132J62X1
338763.41330000
PA
USD
350519.32000000
0.005843255656
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/24 #377131
36204Q4Q0
354.96510000
PA
USD
383.79000000
0.000006397887
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AK9784
3138EE2S7
1339896.65190000
PA
USD
1410634.22000000
0.023515669220
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24973
3132M5FN7
59139.78480000
PA
USD
63011.39000000
0.001050417594
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 9/37 #942981
31413ECS2
23618.56530000
PA
USD
27198.99000000
0.000453414813
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2048#Q54192
3132XWUS8
105282.20300000
PA
USD
111779.74000000
0.001863399706
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2048#BJ0648
3140H1WJ5
15495294.49000000
PA
USD
16056701.41000000
0.267669728820
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 1/41 #AE9338
31419LLU5
76134.69400000
PA
USD
81592.46000000
0.001360169257
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2046#MA3597
36179R7J2
964594.23000000
PA
USD
1007291.80000000
0.016791837629
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 01/15/2045#AL1889
36183XC24
14175.15690000
PA
USD
14597.67000000
0.000243347264
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/25 #329280
31375AXH7
2181.26610000
PA
USD
2401.11000000
0.000040027179
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/20/2043#MA1376
36179NQ50
16838467.99000000
PA
USD
17858395.89000000
0.297704482570
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q32328
3132QNSS9
95637.89360000
PA
USD
100508.44000000
0.001675503965
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2035#AB0067
31416VCD4
143165.37540000
PA
USD
156507.94000000
0.002609031381
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2043#Q23085
3132M3CW5
28294.01160000
PA
USD
30181.66000000
0.000503136761
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04000000
N
N
N
N
N
N
MOLSON COORS BREWING CO
54930073LBBH6ZCBE225
MOLSON COORS BREWING CO 3% 07/15/2026
60871RAG5
3500000.00000000
PA
USD
3539976.83000000
0.059012409455
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 05/01/2036#745512
31403DGV5
2761900.66670000
PA
USD
3164805.08000000
0.052758190857
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #745236
3620C04V7
423759.02780000
PA
USD
463395.54000000
0.007724933992
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#MB0249
3138MTH34
78444.40020000
PA
USD
81118.34000000
0.001352265544
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2049#CA4557
3140QCB39
15338458.22900000
PA
USD
16018807.81000000
0.267038031850
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.75% 11/15/2029
912828YS3
33000000.00000000
PA
USD
32475996.30000000
0.541383992941
Long
DBT
UST
US
N
2
2029-11-15
Fixed
0.01750000
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#MA1489
31418AUP1
55089.65050000
PA
USD
56674.83000000
0.000944785357
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 4.375% 02/01/45
92277GAF4
763000.00000000
PA
USD
816534.21000000
0.013611854949
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
0.04375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96695
312945NL8
55665.21700000
PA
USD
60465.86000000
0.001007982893
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
TIME WARNER CABLE INC
B1WXCWLJVJXMWJX6O298
TIME WARNER CABLE INC 7.3% 07/01/2038
88732JAN8
3781000.00000000
PA
USD
4922101.19000000
0.082052811291
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
0.07300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 2/26 #336195
31375JNL0
518.38640000
PA
USD
579.52000000
0.000009660761
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
0.07500000
N
N
N
N
N
N
STORE CAP CORP
5493004EA6C9IHDZ7N66
STORE CAP CORP 4.625% 03/15/2029
862121AB6
1793000.00000000
PA
USD
1987744.65000000
0.033136262414
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.04625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/26 #442038
36207UBF4
35.49010000
PA
USD
36.64000000
0.000000610799
Long
ABS-MBS
USGA
US
N
2
2026-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/26 #420660
36206TJD5
164.00960000
PA
USD
182.03000000
0.000003034491
Long
ABS-MBS
USGA
US
N
2
2026-01-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/24 #436781
31380DFW1
1316.47160000
PA
USD
1408.29000000
0.000023476590
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
0.07000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT CFX 4.95% 07/05/2023 144A
46645WBC6
729000.00000000
PA
USD
777299.90000000
0.012957807966
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04949800
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/01/2040#V81966
3132L7FF1
277294.77310000
PA
USD
290030.09000000
0.004834883177
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AQ1978
3138MHFU2
172767.91790000
PA
USD
178657.08000000
0.002978263775
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2046#Q41359
3132WEQM7
17796.75300000
PA
USD
18686.40000000
0.000311507543
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
CAPITAL ONE NATL ASSN MCLEAN VA
207ALC1P1YM0OVDV0K75
CAPITAL ONE NATL ASN MCLEAN VA 2.15% 09/06/2022
14042RNW7
3839000.00000000
PA
USD
3844939.74000000
0.064096226943
Long
DBT
CORP
US
N
2
2022-09-06
Fixed
0.02150000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL2277
36183XQ60
48512.91270000
PA
USD
49958.90000000
0.000832828915
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.7% 01/15/2023
969457BU3
1208000.00000000
PA
USD
1250510.08000000
0.020846354768
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03700000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.88% 1/35 #848084
3128JR6V3
8712.39720000
PA
USD
9141.96000000
0.000152399044
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
0.04939000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2044#AV8482
3138XLM82
117513.52440000
PA
USD
126686.47000000
0.002111899088
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2029#MA1837
31418BBF2
185762.76780000
PA
USD
191049.00000000
0.003184840566
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
0.03000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.5% 05/02/2043
02209SAQ6
3707000.00000000
PA
USD
3779125.21000000
0.062999080216
Long
DBT
CORP
US
N
2
2043-05-02
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2046#BD2536
3140F9ZA6
434019.39170000
PA
USD
454084.46000000
0.007569715669
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9077
3138YPCP5
112399.96880000
PA
USD
118052.93000000
0.001967975548
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
DRYDEN 36 SENIOR LOAN FUND
549300XLLT7H0EYXK263
DRYDEN 36 SENIOR LOAN FUND 3ML+128 04/15/2029 144A
26249KAR2
7519000.00000000
PA
USD
7518601.49000000
0.125337201617
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Variable
0.03280880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.00% 3/30 #534269
31384UQW7
957.00980000
PA
USD
1028.03000000
0.000017137549
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 04/01/2043#AB9247
31417GHZ2
382805.92680000
PA
USD
393701.39000000
0.006563112908
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.31% 2/36 #822116
31406WK52
129908.30160000
PA
USD
135449.15000000
0.002257975428
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
0.04913000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5.0% 11/24/2025
6174467X1
14636000.00000000
PA
USD
16473020.56000000
0.274609886150
Long
DBT
CORP
US
N
2
2025-11-24
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/27 #313644
31374GLZ8
909.06680000
PA
USD
1010.43000000
0.000016844152
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 06/01/2045#AY8494
3138YNNL7
63500.37580000
PA
USD
67417.44000000
0.001123867687
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
BAYER US FIN II LLC 4.25% 12/15/2025 144A
07274NAJ2
4363000.00000000
PA
USD
4703735.99000000
0.078412601987
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 8/37 #AE0265
31419AJK4
580304.97930000
PA
USD
658947.91000000
0.010984847003
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL2303
36183XRY8
46375.10890000
PA
USD
47757.38000000
0.000796128957
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK3548
3138E75J9
40328.68470000
PA
USD
43079.79000000
0.000718152216
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2045#AY5060
3138YJTS5
151316.65700000
PA
USD
158926.87000000
0.002649355624
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AT9323
3138WXLD7
204278.55870000
PA
USD
210156.59000000
0.003503369466
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/27 #451572
36208HT55
9115.57560000
PA
USD
10266.72000000
0.000171149110
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.07500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.464% 5/1/41#1B8304
3128UGTL1
95244.06550000
PA
USD
99992.40000000
0.001666901433
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.04785000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2049#FM1675
3140X42H8
10160222.90600000
PA
USD
10322401.40000000
0.172077334750
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 09/01/2040#AE3951
31419EL98
253942.87870000
PA
USD
272226.31000000
0.004538089157
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3% 2/43 #Q15438
3132J6PY4
1222172.16930000
PA
USD
1265348.33000000
0.021093712569
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORPORATION 4.709% 01/25/2029 144A
35137LAC9
1835000.00000000
PA
USD
2089874.84000000
0.034838801408
Long
DBT
CORP
US
N
2
2029-01-25
Fixed
0.04709000
N
N
N
N
N
N
AFFILIATED MANAGERS GRP INC
2JE75BUE3T1BLCYYGK54
AFFILIATED MANAGERS GRP INC 4.25% 02/15/2024
008252AM0
4287000.00000000
PA
USD
4588115.45000000
0.076485175064
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.04250000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 2.45% 06/30/2020
00206RCL4
3187000.00000000
PA
USD
3197803.61000000
0.053308285634
Long
DBT
CORP
US
N
2
2020-06-30
Fixed
0.02450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2041#AJ2301
3138ATRX0
35074.74110000
PA
USD
38009.92000000
0.000633636057
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 06/01/2042#AO2244
3138LSP61
89456.96990000
PA
USD
92384.83000000
0.001540081101
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Variable
0.04585000
N
N
N
N
N
N
HORIZON AIRCRAFT FINANCE LTD
N/A
HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A
44040HAA0
2818666.63000000
PA
USD
2815196.01000000
0.046930109325
Long
ABS-CBDO
CORP
US
N
2
2039-07-15
Fixed
0.03721000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2033#G18684
3128MMXN8
425138.92600000
PA
USD
436941.97000000
0.007283945539
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 3/30 #479229
36209RLJ0
3603.57320000
PA
USD
4153.89000000
0.000069246514
Long
ABS-MBS
USGA
US
N
2
2030-03-15
Fixed
0.08000000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LDP MTN 4% 3/01/28
92277GAM9
2243000.00000000
PA
USD
2402808.34000000
0.040055490872
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 10/01/2041#AI6819
3138ALSH1
43546.85230000
PA
USD
45259.50000000
0.000754488595
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Variable
0.03907000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
AMERICAN TOWER CORP 2.8% 06/01/2020
03027XAF7
9000000.00000000
PA
USD
9025894.53000000
0.150464200555
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
0.02800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2028#MA1320
31418APE2
187430.40270000
PA
USD
192764.09000000
0.003213431599
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 5/1/43 #AT5066
3138WSTY4
752838.78330000
PA
USD
793995.20000000
0.013236123313
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.625% 01/31/2027
61746BEF9
11000000.00000000
PA
USD
11699959.15000000
0.195041609912
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #507035
31383MHL0
2382.53670000
PA
USD
2764.25000000
0.000046080825
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/27 #411814
36206HN79
12993.72850000
PA
USD
14436.22000000
0.000240655847
Long
ABS-MBS
USGA
US
N
2
2027-07-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 5/42 #766750
36176HTF1
583597.29730000
PA
USD
616671.10000000
0.010280080689
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2048#BM5106
3140J9U82
7067109.88600000
PA
USD
7576797.62000000
0.126307347473
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22499
3132JPX49
220605.24710000
PA
USD
235323.01000000
0.003922900766
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
WILLIAMS PARTNERS L P NEW
WUURD1P1N0874ONXXO03
WILLIAMS PARTNERS L P NEW 3.6% 03/15/2022
96949LAA3
3522000.00000000
PA
USD
3620075.73000000
0.060347680648
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.03600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.358% 10/33 #754672
31403QMV9
8027.56980000
PA
USD
8300.80000000
0.000138376670
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.03807000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.0% 06/45#AZ3703
3138YVDH9
28779.89690000
PA
USD
29697.96000000
0.000495073346
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25336
3132M5SZ6
79829.19640000
PA
USD
86090.11000000
0.001435146348
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #754197
36230NUW3
31421.67230000
PA
USD
33808.20000000
0.000563592203
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 4.889% 3/33 #847126
3128HD4K2
1588.76340000
PA
USD
1658.34000000
0.000027644994
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Variable
0.04726000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 7/45#Q34956
3132QRQJ2
19146.28980000
PA
USD
19768.83000000
0.000329551956
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772063
36176PQQ2
134889.91980000
PA
USD
143996.90000000
0.002400468825
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
AMERADA HESS CORP
N/A
AMERADA HESS CO 7.125% 3/15/33
023551AM6
1003000.00000000
PA
USD
1266573.75000000
0.021114140665
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
0.07125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2045#AS5366
3138WE6C8
172298.29630000
PA
USD
180371.47000000
0.003006843138
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AZ1192
3138YSKE5
415982.06520000
PA
USD
436773.18000000
0.007281131763
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR1910
3138NYDQ5
490219.48240000
PA
USD
506929.64000000
0.008450659684
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 5.25% 01/15/2026
681936BH2
5686000.00000000
PA
USD
6320179.37000000
0.105359167793
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.05250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 01/01/2027#
31283GW60
2880.33990000
PA
USD
3197.67000000
0.000053306058
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2043#AV2148
3138XDL65
50548.55520000
PA
USD
54620.68000000
0.000910542098
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 03/01/2045#AL6541
3138EPHT4
5221889.00990000
PA
USD
5578273.54000000
0.092991388929
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/23 #355342
36203PWB5
1188.46510000
PA
USD
1255.75000000
0.000020933705
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
0.07500000
N
N
N
N
N
N
ROYAL BANK OF SCOTLAND GRP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 5.125% 05/28/2024
780099CH8
20522000.00000000
PA
USD
22235652.88000000
0.370674587797
Long
DBT
CORP
GB
N
2
2024-05-28
Fixed
0.05125000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.75% 07/15/28
912828Y38
26500000.00000000
PA
USD
28588323.04000000
0.476575386199
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.00750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34623
31307RD44
25770.17360000
PA
USD
26582.26000000
0.000443133751
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 5.5% 03/16/2047
92343VDV3
7027000.00000000
PA
USD
9513219.92000000
0.158588051878
Long
DBT
CORP
US
N
2
2047-03-16
Fixed
0.05500000
N
N
N
N
N
N
NV ENERGY INC
549300WSWTEW6DURBO45
NV ENERGY INC 6.25% 11/15/20
67073YAA4
1238000.00000000
PA
USD
1281451.22000000
0.021362152274
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
0.06250000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.875% 09/16/2046
02209SAV5
4590000.00000000
PA
USD
4256435.84000000
0.070955982673
Long
DBT
CORP
US
N
2
2046-09-16
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21835
3132JPBC5
194662.50450000
PA
USD
207649.49000000
0.003461575404
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AR1680
3138NX2N6
79223.73700000
PA
USD
81924.24000000
0.001365700123
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3.25% 08/15/2029
126650DG2
1435000.00000000
PA
USD
1456361.88000000
0.024277962174
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2044#AV8078
3138XK6Q2
62722.73120000
PA
USD
67579.58000000
0.001126570606
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2046#BA4474
3140E86L7
1120976.59620000
PA
USD
1186972.08000000
0.019787158436
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7458
31417EJC6
64207.86400000
PA
USD
66396.52000000
0.001106848663
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #733234
3620ALSX3
45251.00490000
PA
USD
49483.58000000
0.000824905196
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 3.15% 01/22/2021
251526BP3
6514000.00000000
PA
USD
6542525.65000000
0.109065742821
Long
DBT
CORP
US
N
2
2021-01-22
Fixed
0.03150000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2047#MA4652
36179TEZ4
2845969.30330000
PA
USD
2961273.18000000
0.049365256836
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.352%/VAR 04/24/2025
172967MF5
4959000.00000000
PA
USD
5157412.52000000
0.085975517349
Long
DBT
CORP
US
N
2
2025-04-24
Variable
0.03352000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.753% 10/33 #746320
31403EDZ7
20985.75100000
PA
USD
22083.54000000
0.000368138823
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.04264000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.451% 11/35 #1G1790
3128QJ7B6
45554.81190000
PA
USD
47868.38000000
0.000797979358
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Variable
0.04285000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 10/15/2041#757458
36230SJB1
471074.84020000
PA
USD
506706.56000000
0.008446940878
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NISOURCE INC 2.95% 09/01/2029
65473PAH8
8554000.00000000
PA
USD
8512843.37000000
0.141911493410
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
0.02950000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.4% 08/15/2049
674599CY9
279000.00000000
PA
USD
287190.56000000
0.004787547414
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
0.04400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/46#Q38783
3132QVXM8
710192.50990000
PA
USD
752912.65000000
0.012551265649
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 12/29 #535040
31384VLV2
70.37170000
PA
USD
80.91000000
0.000001348792
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
0.07500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.875% 11/01/22
6174824M3
7751000.00000000
PA
USD
8303739.39000000
0.138425671248
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
0.04875000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
SOUTHWESTERN ENERGY CO 4.95%/VAR 01/23/2025
845467AL3
2509000.00000000
PA
USD
2301254.80000000
0.038362564796
Long
DBT
CORP
US
N
2
2025-01-23
Variable
0.06200000
N
N
N
N
N
N
MERRILL LYNCH ALTERNATIVE NT ASSET SER 2007 OAR1
N/A
MANA 2007-OAR1 A1 1ML+17 2/37
59023TAA3
12758.91380000
PA
USD
12720.82000000
0.000212059647
Long
ABS-CBDO
CORP
US
N
2
2037-02-25
Variable
0.01878000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 03/01/2043#AB8610
31417FR83
242517.66560000
PA
USD
250784.39000000
0.004180646320
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
CEDAR FUNDING LTD
549300ZKTUZSV15HAV29
CEDAR FUNDING LTD 3ML+134 10/20/2032 144A
15033XAA4
4495000.00000000
PA
USD
4494788.74000000
0.074929392558
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Variable
0.03470540
N
N
N
N
N
N
WESTERN GAS PARTNERS LP
L6D8A6MLSY454J2JXJ60
WESTERN GAS PARTNERS LP 3.95% 06/01/25
958254AE4
868000.00000000
PA
USD
875786.24000000
0.014599602955
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.03950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 4.50% 7/25 #G13844
3128MCP58
174038.42700000
PA
USD
182124.74000000
0.003036070642
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.04500000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.5% 04/15/2024
29278NAH6
1262000.00000000
PA
USD
1342510.01000000
0.022380019478
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR1584
3138NXXN2
1151038.48350000
PA
USD
1190274.05000000
0.019842203205
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 12/01/2028#
31292GX43
290.28410000
PA
USD
328.15000000
0.000005470352
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
0.07500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 5.05% 03/25/2048
126650CZ1
8772000.00000000
PA
USD
10363952.30000000
0.172769999940
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
0.05050000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040
674599DJ1
1700000.00000000
PA
USD
2038171.85000000
0.033976898022
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
0.06200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 12/01/2044#AX5347
3138Y65H3
306971.50670000
PA
USD
326482.83000000
0.005442560606
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL2282
36183XRB8
56350.48460000
PA
USD
58030.08000000
0.000967377755
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
DUQUESNE LIGHT HLDGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LT HLD 5.9% 12/21 144
266233AD7
2664000.00000000
PA
USD
2830783.26000000
0.047189953167
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
0.05900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2042#G06881
3128M86S8
22548.76720000
PA
USD
23753.48000000
0.000395977192
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 05/01/2044#AS9099
3138WKDD4
70444.21300000
PA
USD
77446.69000000
0.001291058105
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2041#AI7563
3138AMMM4
52208.75610000
PA
USD
56577.77000000
0.000943167339
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 2.25% 01/15/2023
00914AAD4
1326000.00000000
PA
USD
1326343.79000000
0.022110524043
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.02250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #439864
36207RTV7
1886.50930000
PA
USD
2108.71000000
0.000035152788
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
EMERA US FINANCE LP
N/A
EMERA US FINANCE LP 2.7% 06/15/2021
29103DAF3
1182000.00000000
PA
USD
1192699.42000000
0.019882634805
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BJ8569
3140HAQX1
906785.89000000
PA
USD
931456.72000000
0.015527645516
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2043#Q17518
3132J8YQ7
90158.87540000
PA
USD
96286.56000000
0.001605124038
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2044#AX9232
3138YBHJ5
181203.79120000
PA
USD
194612.17000000
0.003244239613
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2046#BC9478
3140F5Q89
1487512.62240000
PA
USD
1570438.77000000
0.026179656017
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 5/30 #479341
36209RP23
1778.34820000
PA
USD
2055.79000000
0.000034270597
Long
ABS-MBS
USGA
US
N
2
2030-05-15
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/45#AY8537
3138YNPX9
181698.82110000
PA
USD
192907.04000000
0.003215814616
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 10/01/2043#AS0774
3138W92G4
2498889.09850000
PA
USD
2570793.63000000
0.042855852906
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2048#Q56870
3132Y0T42
214006.02700000
PA
USD
225372.85000000
0.003757028800
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/33 #713686
31401N2T5
93548.73320000
PA
USD
100587.89000000
0.001676828418
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#BC0997
3140EVDB0
245220.68920000
PA
USD
259810.88000000
0.004331120447
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK1510
3138E5VC9
111780.49500000
PA
USD
119758.63000000
0.001996410046
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #464690
36208YF79
9940.02150000
PA
USD
11188.38000000
0.000186513441
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
FLATIRON CLO LTD
N/A
FLATIRON CLO LTD 3ML+132 11/16/2032 144A
33883JAB7
6083000.00000000
PA
USD
6081941.56000000
0.101387676490
Long
ABS-CBDO
CORP
KY
N
2
2032-11-16
Variable
0.03214910
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.3% 1/11/23
06051GEU9
4342000.00000000
PA
USD
4487969.49000000
0.074815713742
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
0.03300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/38 #889219
31410G4C4
113388.10670000
PA
USD
130704.07000000
0.002178873610
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/32 #569702
36200Q3K8
2525.50890000
PA
USD
2893.98000000
0.000048243460
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR0938
3138NXBG1
43455.27700000
PA
USD
44936.54000000
0.000749104761
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BK NEW CASTLE DEL 3.1% 06/04/2020
25466AAG6
6380000.00000000
PA
USD
6403731.75000000
0.106752009469
Long
DBT
CORP
US
N
2
2020-06-04
Fixed
0.03100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2045#AZ0814
3138YR3Y2
3867655.32540000
PA
USD
4048877.41000000
0.067495925264
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/32#BJ6650
3140H8L86
220631.50800000
PA
USD
226978.94000000
0.003783802772
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 6/26 #349733
31376APS1
2784.60920000
PA
USD
3055.27000000
0.000050932210
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
0.07000000
N
N
N
N
N
N
MYLAN NV
549300A0CD4KNFGIIS89
MYLAN NV 3.95% 06/15/2026
62854AAN4
2549000.00000000
PA
USD
2654795.10000000
0.044256181039
Long
DBT
CORP
NL
N
2
2026-06-15
Fixed
0.03950000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST 4.95% 06/01/23
452151LE1
4320000.00000000
PA
USD
4508308.80000000
0.075154775761
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
0.04950000
N
N
N
N
N
N
FORD MTR CR CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.596% 01/07/2022
345397ZM8
6152000.00000000
PA
USD
6480997.33000000
0.108040048420
Long
DBT
CORP
US
N
2
2022-01-07
Fixed
0.05596000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.25% 12/15/2027 144A
15135BAQ4
5745000.00000000
PA
USD
5910168.75000000
0.098524175433
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.04250000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3.75% 07/15/2023
125523AF7
4859000.00000000
PA
USD
5092600.90000000
0.084895089414
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #444641
36207W5A8
24297.62840000
PA
USD
27143.03000000
0.000452481944
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9314
36184HK37
22326.67360000
PA
USD
22992.15000000
0.000383285607
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.30% 8/36 #888199
31410FX42
272408.00760000
PA
USD
286414.08000000
0.004774603274
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Variable
0.04923000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 5% 04/48#784805
3622AAGN8
5493115.88000000
PA
USD
5898318.87000000
0.098326634600
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 5.50% 4/40 #AE0009
31419AAK3
221526.54200000
PA
USD
247411.54000000
0.004124419961
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.05500000
N
N
N
N
N
N
SHIRE ACQ INV IRELAND DA
549300XK5HGW68R8K327
SHIRE ACQ INV IRELAND DA 2.4% 09/23/2021
82481LAB5
9847000.00000000
PA
USD
9900424.41000000
0.165042859636
Long
DBT
CORP
IE
N
2
2021-09-23
Fixed
0.02400000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/32 #552578
36213E2K1
4145.01260000
PA
USD
4716.92000000
0.000078632383
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/01/2049#SD0114
3132DMDT9
8984523.90700000
PA
USD
9416731.62000000
0.156979564777
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/40 #737454
3620ARH79
133578.18230000
PA
USD
147128.46000000
0.002452672811
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/25 #325499
31374VRU0
916.69170000
PA
USD
1008.53000000
0.000016812478
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
0.07500000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
FIFTH THIRD BANK 8.25 3/1/38
316773CH1
4319000.00000000
PA
USD
6585807.24000000
0.109787259100
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
0.08250000
N
N
N
N
N
N
VOYA CLO 2019-2 LLC
N/A
VOYA CLO 2019-2 LLC 3ML+127 07/20/2032 144A
92917RAC3
6552000.00000000
PA
USD
6548566.75000000
0.109166449657
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Variable
0.03522890
N
N
N
N
N
N
CORPORACION NACIONAL DEL COBRE DE CHILE
549300UVMBCBCIPSUI70
CORPORACION NACIONAL DEL COBRE DE CHILE 4.5% 08/01/2047 144A
21987BAX6
1720000.00000000
PA
USD
1874800.00000000
0.031253443330
Long
DBT
CORP
CL
N
2
2047-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2045#AZ1128
3138YSHE9
211491.31030000
PA
USD
221070.45000000
0.003685306582
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/40 #719262
3620A5B73
188988.19390000
PA
USD
208159.31000000
0.003470074247
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#BK2485
3140HFXP9
175906.27800000
PA
USD
186647.24000000
0.003111461989
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2046#AS7189
3138WG7B4
354502.74640000
PA
USD
374487.20000000
0.006242806957
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2044#AW9240
3138XZHS3
212208.81660000
PA
USD
228176.70000000
0.003803769768
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04500000
N
N
N
N
N
N
BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA
N/A
BBIRD 2016-1A AA 2.487% 12/16/2041 144A
09228YAA0
1610145.86180000
PA
USD
1599529.85000000
0.026664612504
Long
ABS-CBDO
CORP
KY
N
2
2041-12-16
Variable
0.02487000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.875% 01/15/2029
9128285W6
27018100.00000000
PA
USD
29248354.51000000
0.487578296453
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.00875000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
FIFTH THIRD BANCORP 2.875% 07/27/2020
316773CT5
3000000.00000000
PA
USD
3012433.08000000
0.050218106759
Long
DBT
CORP
US
N
2
2020-07-27
Fixed
0.02875000
N
N
N
N
N
N
ARES XLI CLO LTD / ARES XLI CLO LLC
549300X38KZ67Q2FQG11
ARES XLI CLO LTD / ARES XLI CLO LLC 3ML+120 01/15/2029 144A
04016DAJ4
6857000.00000000
PA
USD
6851171.55000000
0.114210956787
Long
ABS-CBDO
CORP
KY
N
2
2029-01-15
Variable
0.03200880
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 4.55% 04/17/2026
225433AR2
2575000.00000000
PA
USD
2856042.50000000
0.047611031802
Long
DBT
CORP
GG
N
2
2026-04-17
Fixed
0.04550000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 08/15/2042#AB2759
36178NB40
651012.62740000
PA
USD
687907.01000000
0.011467603346
Long
ABS-MBS
USGA
US
N
2
2042-08-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2043#Q23023
3132M3AY3
1179429.76580000
PA
USD
1266224.47000000
0.021108318069
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04000000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE C CSTR 04/15/2036 144A
12690CAG8
760000.00000000
PA
USD
795874.43000000
0.013267450606
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04782040
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/24 #354828
36203PD91
119.50960000
PA
USD
129.56000000
0.000002159801
Long
ABS-MBS
USGA
US
N
2
2024-05-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #510172
31383QW91
2294.84260000
PA
USD
2647.19000000
0.000044129401
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 11/1/42 #Q13479
3132HP2L7
43920.28810000
PA
USD
45444.43000000
0.000757571430
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG3507
3617GM3Q3
3148625.15200000
PA
USD
3327534.13000000
0.055470929892
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #336788
36224SCZ3
493.17740000
PA
USD
523.49000000
0.000008726725
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 11/01/2031#
31298YN64
237.03140000
PA
USD
278.25000000
0.000004638505
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 06/01/2043#Q19744
3132JBHW6
112364.53010000
PA
USD
120001.43000000
0.002000457591
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q12164
3132HNMM8
57766.91540000
PA
USD
61801.38000000
0.001030246387
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #552619
36213E4C7
3620.06320000
PA
USD
4152.37000000
0.000069221175
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 08/01/2032#J37406
31307UGP7
98117.26660000
PA
USD
101454.51000000
0.001691275218
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2045#AY5352
3138YJ5N2
236850.70510000
PA
USD
248762.71000000
0.004146944345
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 4.0% 03/15/2024
91529YAK2
5930000.00000000
PA
USD
6261198.98000000
0.104375948102
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/47#Q48877
3132WN2K7
2680535.07140000
PA
USD
2855179.70000000
0.047596648683
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24546
3132M4WF8
71485.54780000
PA
USD
76254.73000000
0.001271187797
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 4.908% 07/23/2025
161175AY0
3860000.00000000
PA
USD
4248922.10000000
0.070830726513
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
0.04908000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34571
31307RCG8
84982.00790000
PA
USD
87660.03000000
0.001461317356
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN 4.8% 7/15/21
571748AR3
2278000.00000000
PA
USD
2359937.36000000
0.039340819577
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
0.04800000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2046#MA3937
36179SLS4
2726660.89000000
PA
USD
2844799.74000000
0.047423611831
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#733816
3620AMGZ9
98768.87760000
PA
USD
105437.18000000
0.001757667447
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 09/45#MA3106
36179RNX3
7990.40600000
PA
USD
8419.46000000
0.000140354766
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 02/01/2045#AX3982
3138Y5M86
51552.25960000
PA
USD
54780.63000000
0.000913208510
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/31 #545304
31385HX98
29185.97570000
PA
USD
33901.55000000
0.000565148374
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/32 #582134
36201FV38
1397.77320000
PA
USD
1612.34000000
0.000026878161
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9557
36184HTN4
23913.27330000
PA
USD
24626.04000000
0.000410523013
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 4.50% 5/25 #AB1004
31416WDJ8
97947.55700000
PA
USD
102317.36000000
0.001705659170
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII 30YR 4% 05/01/2048#MA5192
36179TXV2
32524077.53800000
PA
USD
33835998.00000000
0.564055603811
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 12/39 #728451
3620AFH42
127650.41350000
PA
USD
141477.81000000
0.002358474886
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q20360
3132JMMH9
44726.51750000
PA
USD
47766.37000000
0.000796278823
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
AASET 2019-1 TRUST
549300TXM3PCKZJKD061
AASET 2019-1 TRUST 3.844% 05/15/2039 144A
00256DAA0
4064524.00000000
PA
USD
4091968.48000000
0.068214265521
Long
ABS-CBDO
CORP
US
N
2
2039-05-15
Fixed
0.03844000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/45#BA6404
3140EBDJ7
82856.75550000
PA
USD
87734.80000000
0.001462563793
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
TEVA PHARMACEUTICAL FIN NETH III B V
5493004T21MOAFINJP35
TEVA PHARMACEUTICAL FIN NETH III B V 2.8% 07/21/2023
88167AAD3
1463000.00000000
PA
USD
1356932.50000000
0.022620446443
Long
DBT
CORP
NL
N
2
2023-07-21
Fixed
0.02800000
N
N
N
N
N
N
LEXINGTON CORP PPTYS TR REIT
549300S4MH2ICXDBFV43
LEXINGTON CORP PPTYS TR REIT 4.4% 06/15/2024
529043AD3
1441000.00000000
PA
USD
1497801.60000000
0.024968773963
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
0.04400000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 11/15/2042#AB9211
36178WGU7
1333100.67960000
PA
USD
1407400.78000000
0.023461766866
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2043#Q20785
3132JM2S7
74983.34650000
PA
USD
80079.62000000
0.001334949789
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/40 #AE4446
31419E5G0
11398.24830000
PA
USD
12215.34000000
0.000203633153
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
TIME WARNER CABLE INC
B1WXCWLJVJXMWJX6O298
TIME WARNER CABLE INC 5.875% 11/15/2040
88732JAY4
1500000.00000000
PA
USD
1717641.99000000
0.028633575099
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
0.05875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2046#AL9285
3138ERJ76
117841.50910000
PA
USD
122516.08000000
0.002042377514
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 6/41 #Q01393
3132GERN2
196556.10840000
PA
USD
213261.69000000
0.003555132357
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 3/23 #889342
31410KBK9
11131.61120000
PA
USD
11257.27000000
0.000187661857
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2046#G60553
31335ATJ7
2313104.43370000
PA
USD
2438855.20000000
0.040656402168
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 3/29 #323688
31374TRH4
1664.11250000
PA
USD
1876.21000000
0.000031276948
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 09/01/2033#AL7521
3138EQLB6
6710649.65180000
PA
USD
7350397.36000000
0.122533191459
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 12/01/2041#AL6717
3138EPPB4
139545.55080000
PA
USD
155851.21000000
0.002598083507
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
0.05500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.862% 08/21/2046
92343VCK8
3398000.00000000
PA
USD
4205473.16000000
0.070106420463
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
0.04862000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/28 #190294
31368HKF9
889.13630000
PA
USD
997.13000000
0.000016622437
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.07000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 4.45% 03/03/2026
06051GFU8
1517000.00000000
PA
USD
1664786.46000000
0.027752458547
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
0.04450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK7441
3138ECHT3
105622.92970000
PA
USD
113161.58000000
0.001886435367
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17578
3132J82L3
516814.21110000
PA
USD
543780.03000000
0.009064966050
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2047#BE9653
3140FVWP7
4464154.15460000
PA
USD
4685121.75000000
0.078102297370
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 06/01/2045#AZ3115
3138YUN98
11422.72670000
PA
USD
12130.92000000
0.000202225848
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.875% 03/26/2025
172967JL6
9500000.00000000
PA
USD
10040767.93000000
0.167382425589
Long
DBT
CORP
US
N
2
2025-03-26
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 7/42 #Q09199
3132GURU0
352766.23140000
PA
USD
371503.23000000
0.006193063337
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #511255
31383R5Q1
377.45460000
PA
USD
430.26000000
0.000007172555
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96783
312945RC4
122161.60490000
PA
USD
132696.99000000
0.002212096147
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/29 #505849
31383K5J2
1924.19050000
PA
USD
2230.82000000
0.000037188396
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.07500000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM OPER LP 3.875% 3/15/23
23311VAD9
1771000.00000000
PA
USD
1810847.50000000
0.030187337167
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.03875000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 3.95% 11/06/2024
254709AK4
2847000.00000000
PA
USD
3020508.76000000
0.050352730616
Long
DBT
CORP
US
N
2
2024-11-06
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/48#BJ5454
3140H7BY2
788773.45400000
PA
USD
841716.80000000
0.014031655808
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/01/2047#Q47935
3132WMY99
1336222.95500000
PA
USD
1433087.63000000
0.023889973880
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04500000
N
N
N
N
N
N
WILLIAMS PARTNERS LP
N/A
WILLIAMS PARTNERS LP 3.9% 01/15/2025
96950FAQ7
1216000.00000000
PA
USD
1279386.81000000
0.021327737979
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.03900000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING MLP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6.25% 04/15/2049
29279FAA7
1409000.00000000
PA
USD
1695730.37000000
0.028268302231
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
0.06250000
N
N
N
N
N
N
WILLIAMS PARTNERS LP
N/A
WILLIAMS PARTNERS LP 4.5% 11/15/2023
96950FAL8
1751000.00000000
PA
USD
1873865.50000000
0.031237864952
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/25 #330740
31375CLV5
3346.04090000
PA
USD
3678.86000000
0.000061327630
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 08/01/2032#J37452
31307UH50
89531.92200000
PA
USD
92577.15000000
0.001543287129
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2043#BM1167
3140J5JM2
910926.88600000
PA
USD
978219.97000000
0.016307202046
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2043#AC9441
36179KP24
63306.13810000
PA
USD
67619.77000000
0.001127240585
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2049#FM1449
3140X4TF3
11333579.15800000
PA
USD
11722953.34000000
0.195424929527
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9074
3138YPCL4
267870.47540000
PA
USD
281342.57000000
0.004690059775
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.125% 07/27/2026
61761J3R8
21964000.00000000
PA
USD
22654804.92000000
0.377661970200
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
0.03125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13381
3132HPXJ8
42576.78210000
PA
USD
45278.93000000
0.000754812498
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/48#MA4962
36179TQP3
469281.94080000
PA
USD
487598.20000000
0.008128399142
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #507037
31383MHN6
3170.62440000
PA
USD
3641.85000000
0.000060710663
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1612
3138WAYJ0
415659.93340000
PA
USD
434746.33000000
0.007247343603
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
IMPERIAL TOBACCO FINANCE
2138008L3B3MCG1DFS50
IMPERIAL TOBACCO FINANCE 3.75% 07/21/2022 144A
453140AE5
4804000.00000000
PA
USD
4944137.00000000
0.082420154442
Long
DBT
CORP
GB
N
2
2022-07-21
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #738886
3620AS2T5
165263.24320000
PA
USD
177815.27000000
0.002964230565
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
UBS AG STAMFORD BRH
BFM8T61CT2L1QCEMIK50
UBS AG STAMFORD BRH MTN SR BE 2.35% 03/26/2020
90261XHK1
1450000.00000000
PA
USD
1451595.49000000
0.024198505112
Long
DBT
CORP
US
N
2
2020-03-26
Fixed
0.02350000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GRP INC 3.3% 03/01/2021
026874DG9
2355000.00000000
PA
USD
2388863.16000000
0.039823020799
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.03300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/27 #395783
31378DUG3
222.28110000
PA
USD
248.01000000
0.000004134396
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/41 #004945
36202FP67
59052.64320000
PA
USD
62924.80000000
0.001048974115
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2043#Q14863
3132HRML1
1164831.43460000
PA
USD
1226336.86000000
0.020443380391
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2045#AY4526
3138YJA48
29305.66470000
PA
USD
31140.88000000
0.000519127228
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04000000
N
N
N
N
N
N
CHARTER COMM OPER LLC/CAP CORP
N/A
CHARTER COMM OPER LLC/CAP CORP 5.375% 05/01/2047
161175BL7
18172000.00000000
PA
USD
20330421.64000000
0.338913847136
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
0.05375000
N
N
N
N
N
N
DIGITAL REALTY TRUST LP
CD4SPTZ3YBTHY0C1AH38
DIGITAL REALTY TRUST LP 3.95% 07/01/2022
25389JAL0
3320000.00000000
PA
USD
3455499.56000000
0.057604149603
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
0.03950000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 01/01/2050#TBA
01F022618
-11950000.00000000
PA
USD
-11811994.23000000
-0.19690926620
Short
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2046#MA3454
36179RZT9
5154051.71100000
PA
USD
5388637.34000000
0.089830100135
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/46#BC0287
3140EUJ91
154885.96400000
PA
USD
166201.72000000
0.002770629420
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 01/01/2047#Q45635
3132WKHM3
138912.85100000
PA
USD
149026.25000000
0.002484309504
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#BC0791
3140EU2Z1
1992847.06400000
PA
USD
2084977.98000000
0.034757169374
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.375% 07/15/2027
9128282L3
16152500.00000000
PA
USD
17336842.00000000
0.289010032525
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.00375000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A
05492PAA6
3856000.00000000
PA
USD
3945532.85000000
0.065773142381
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03112000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2046#V82292
3132L7RM3
705203.33200000
PA
USD
750708.62000000
0.012514523849
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.85% 03/15/2021
674599CZ6
1620000.00000000
PA
USD
1668492.46000000
0.027814238610
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
0.04850000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 06/45#AN5715
36186NK40
11166.72160000
PA
USD
11499.56000000
0.000191700899
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
0.03000000
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN TR
N/A
FFML 2004-FF2 M3 1ML+55 3/34
32027NHK0
527.38870000
PA
USD
508.19000000
0.000008471670
Long
ABS-CBDO
CORP
US
N
2
2034-03-25
Variable
0.02617000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/22 #321719
36223YK82
7494.98970000
PA
USD
7943.67000000
0.000132423213
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #353415
36203MSC5
8476.14570000
PA
USD
9520.10000000
0.000158702744
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AQ9344
3138MRL25
678960.70110000
PA
USD
698285.35000000
0.011640613193
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 01/01/2041#
3129444V0
138995.14070000
PA
USD
150982.28000000
0.002516917074
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY CAP CITIGROUP TR 2016-SNR
N/A
MSCCG 2016-SNR B 4.181% 11/34
61691CAG4
1632000.00000000
PA
USD
1650165.63000000
0.027508725199
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Fixed
0.04181000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AQ5772
3138MMMW9
92155.77280000
PA
USD
95297.10000000
0.001588629461
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 12/20/2042#AA5872
36178DQZ7
4628722.20420000
PA
USD
4777257.44000000
0.079638225238
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AS0203
3138W9GM6
1316270.70080000
PA
USD
1361138.55000000
0.022690562479
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2045#670008
36295GKV3
38760.77930000
PA
USD
39916.09000000
0.000665412447
Long
ABS-MBS
USGA
US
N
2
2045-05-15
Fixed
0.03000000
N
N
N
N
N
N
MAGNETITE XXI LTD 2019-21A A
N/A
MAGNETITE XXI LTD 19-21A A 3ML+128 04/20/2030 144A
55954PAC8
5650000.00000000
PA
USD
5651339.05000000
0.094209411532
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Variable
0.03245880
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2018-BOP
N/A
MORGAN STANLEY CAP I TR 2018-BOP 1ML+125 06/15/2035 144A
61768FAG5
4318000.00000000
PA
USD
4317992.66000000
0.071982152176
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.02989750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2030#BM4299
3140J8X57
5360826.14000000
PA
USD
5494950.79000000
0.091602375250
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
0.03000000
N
N
N
N
N
N
MOLSON COORS BREWING CO
54930073LBBH6ZCBE225
MOLSON COORS BRW 5% 5/1/42
60871RAD2
13093000.00000000
PA
USD
14279493.94000000
0.238043180415
Long
DBT
CORP
US
N
2
2042-05-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 02/15/2045#AL2187
36183XNC0
33247.54880000
PA
USD
34238.54000000
0.000570766092
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
0.03000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.242% 9/1/41#1B8659
3128UHAK1
58545.08900000
PA
USD
61163.54000000
0.001019613415
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.04130000
N
N
N
N
N
N
BENCHMARK 2018-B8 MTG TR
N/A
BENCHMARK 2018-B8 A5 MORTGAGE TRUST 4.2317% 01/15/2052
08162UAW0
5520000.00000000
PA
USD
6202418.28000000
0.103396057300
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Fixed
0.04231700
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2046#BD0998
3140F8DC8
152984.30830000
PA
USD
160056.90000000
0.002668193542
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
HEALTHCARE TRUST OF AMERICA HOLDINGS LP
549300IYGAS4GE6VDL07
HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.1% 02/15/2030
42225UAG9
1312000.00000000
PA
USD
1301015.12000000
0.021688287990
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.03100000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 01/33#J38270
31307VFK7
49642.87200000
PA
USD
50225.97000000
0.000837281047
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 05/01/2045#Q33468
3132QP2A1
127364.20520000
PA
USD
131266.63000000
0.002188251643
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.125% 11/15/2028
9128285M8
66103000.00000000
PA
USD
72632236.57000000
1.210799813107
Long
DBT
UST
US
N
2
2028-11-15
Fixed
0.03125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 7/41 #769093
36176LGA7
71708.63910000
PA
USD
77087.81000000
0.001285075475
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 07/01/2045#AZ1783
3138YS6V3
1255051.32130000
PA
USD
1332862.24000000
0.022219188438
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 12/16/2021
00774MAH8
2938000.00000000
PA
USD
3061225.36000000
0.051031487791
Long
DBT
CORP
IE
N
2
2021-12-16
Fixed
0.04450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2043#AV2696
3138XD7J3
31098.48020000
PA
USD
33613.45000000
0.000560345666
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13121
3132HPPE8
234416.31260000
PA
USD
250641.53000000
0.004178264803
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 3.8% 09/15/22 WI
225433AH4
7240000.00000000
PA
USD
7533998.95000000
0.125593881606
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
0.03800000
N
N
N
N
N
N
DUKE REALTY LP NEW
2549009GZDBNY1KE9O81
DUKE REALTY LP 3.875% 10/15/22
26441YAW7
3512000.00000000
PA
USD
3659537.15000000
0.061005513619
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
0.03875000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 4.55% 06/24/2024
969457BW9
13337000.00000000
PA
USD
14387915.19000000
0.239850593149
Long
DBT
CORP
US
N
2
2024-06-24
Fixed
0.04550000
N
N
N
N
N
N
WEINGARTEN REALTY INVESTORS
549300JMKTJNB8GWHU88
WEINGARTEN REALTY INVESTORS 3.375% 10/15/2022
948741AH6
812000.00000000
PA
USD
831120.98000000
0.013855020508
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
0.03375000
N
N
N
N
N
N
MYLAN NV
549300A0CD4KNFGIIS89
MYLAN NV 3.15% 06/15/2021
62854AAM6
5002000.00000000
PA
USD
5066639.90000000
0.084462312241
Long
DBT
CORP
NL
N
2
2021-06-15
Fixed
0.03150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 6/26 #366201
31376UX66
8951.50400000
PA
USD
9949.12000000
0.000165854628
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#BK4838
3140HJLU3
63164.97100000
PA
USD
66982.39000000
0.001116615281
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2044#Q28059
3132M8TQ9
31978.25550000
PA
USD
34031.75000000
0.000567318844
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #739706
3620ATYB7
92157.14180000
PA
USD
101505.64000000
0.001692127569
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC 3.25% 01/12/2021
06738EAL9
4610000.00000000
PA
USD
4648908.40000000
0.077498610640
Long
DBT
CORP
GB
N
2
2021-01-12
Fixed
0.03250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 07/31/2024
9128282N9
10638000.00000000
PA
USD
10835045.12000000
0.180623249755
Long
DBT
UST
US
N
2
2024-07-31
Fixed
0.02125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/41 #AB3872
31417AJS9
1194805.75610000
PA
USD
1280456.24000000
0.021345565678
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 06/01/2040#AD4884
31418SNA3
22576.26430000
PA
USD
25178.99000000
0.000419740845
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.05500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC 3.2% 2/23/23
38141GWT7
7150000.00000000
PA
USD
7347937.67000000
0.122492187735
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
0.03200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE6917
3140FSVK6
409205.02090000
PA
USD
427611.39000000
0.007128402146
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 07/15/2043#AF0101
36181FDE8
291007.14390000
PA
USD
306862.61000000
0.005115486020
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03500000
N
N
N
N
N
N
CHC COML MTG TR 2019-CHC
N/A
CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034
162665AA1
7948000.00000000
PA
USD
7938455.25000000
0.132336281890
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.02859750
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #471043
36209GHU4
364.60610000
PA
USD
407.63000000
0.000006795306
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
AVOLON HLDGS FDG LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 5.25% 05/15/2024 144A
05401AAD3
3813000.00000000
PA
USD
4162194.54000000
0.069384953694
Long
DBT
CORP
KY
N
2
2024-05-15
Fixed
0.05250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 03/15/2045#AL5046
36184BTB3
90856.97540000
PA
USD
93565.09000000
0.001559756367
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 05/15/2042#766754
36176HTK0
357506.14100000
PA
USD
377766.84000000
0.006297479478
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03500000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AIG INTL GRP 4.875% 6/01/22
026874CU9
3597000.00000000
PA
USD
3838469.16000000
0.063988360554
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY3425
3138YGYX4
310480.95720000
PA
USD
325125.82000000
0.005419938868
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A
05492PAE8
865000.00000000
PA
USD
885145.85000000
0.014755630287
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03465000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 01/15/2045#AL1884
36183XCV0
22484.94870000
PA
USD
23155.14000000
0.000386002696
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #443199
36207VKL9
816.69230000
PA
USD
912.89000000
0.000015218133
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 3/28 #251570
31371GMT4
1643.78230000
PA
USD
1878.79000000
0.000031319957
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.07500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 5.95% 02/14/2049
02209SBF9
3700000.00000000
PA
USD
4473485.67000000
0.074574264389
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
0.05950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 06/01/2033#MA3397
31418CX33
357965.53600000
PA
USD
361528.19000000
0.006026776615
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 12/01/2033#C91737
3128P74W0
1078351.66720000
PA
USD
1128530.93000000
0.018812928028
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.125% 07/15/2024
912828WU0
16814000.00000000
PA
USD
18333367.33000000
0.305622390071
Long
DBT
UST
US
N
2
2024-07-15
Fixed
0.00125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 08/01/2034#C91782
3128P76T5
2396271.12440000
PA
USD
2507028.69000000
0.041792873421
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 06/20/2048#MA5264
36179TZ57
10879887.40800000
PA
USD
11315348.37000000
0.188630040029
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
0.04000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A
46645WBE2
1121000.00000000
PA
USD
1194900.47000000
0.019919326928
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.05350300
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 2.876%/VAR 10/31/2022
38148YAC2
22903000.00000000
PA
USD
23222770.77000000
0.387130120673
Long
DBT
CORP
US
N
2
2022-10-31
Variable
0.02876000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 01/01/2050 #TBA
01F030611
-104250000.00000000
PA
USD
-105716776.65000000
-1.76232840202
Short
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/47#MA4262
36179SWX1
3299803.80100000
PA
USD
3439681.82000000
0.057340463428
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
0.03500000
N
N
N
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
DDR CORP 4.25% 02/01/26
23317HAE2
2954000.00000000
PA
USD
3114961.36000000
0.051927282025
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
0.04250000
N
N
N
N
N
N
ENTERPRISE PRODS OPER LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 3.7% 02/15/2026
29379VBH5
4800000.00000000
PA
USD
5105492.98000000
0.085110004013
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.03700000
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS AA PIPELINE 3.65% 6/22
72650RAZ5
2155000.00000000
PA
USD
2210519.22000000
0.036849977156
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.03650000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #565700
36213VNR5
692.56150000
PA
USD
795.94000000
0.000013268543
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
0.07000000
N
N
N
N
N
N
AVALONBAY COMMUNITIES INC
K9G90K85RBWD2LAGQX17
AVALONBAY COMMUNITIES INC 3.625% 10/01/2020
05348EAS8
1872000.00000000
PA
USD
1886956.64000000
0.031456097938
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2046#BM4548
3140J9BS9
1823485.48000000
PA
USD
1981779.70000000
0.033036825020
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK AMER FDG CORP 4.25% 10/22/2026
06051GFL8
4261000.00000000
PA
USD
4643474.18000000
0.077408020664
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2033#MA3246
31418CTC8
234632.50200000
PA
USD
237260.97000000
0.003955207104
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/41 #AI7910
3138AMYG4
126755.82650000
PA
USD
137442.43000000
0.002291203966
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 10/34 #AL2130
3138EJLL0
130216.42370000
PA
USD
148280.96000000
0.002471885310
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AB8529
31417FPP7
2492866.30400000
PA
USD
2577840.89000000
0.042973332713
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 01/48#Q53730
3132XWEC1
171814.12100000
PA
USD
183517.48000000
0.003059288010
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 05/01/2045#Q33442
3132QPZG2
78803.53390000
PA
USD
81488.95000000
0.001358443717
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2045#AZ3198
3138YURU7
823855.93820000
PA
USD
865032.92000000
0.014420342086
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/35 #AD0723
31418MYV8
360047.54720000
PA
USD
412663.96000000
0.006879224284
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2044#AV5414
3138XHAQ4
103507.90880000
PA
USD
111878.71000000
0.001865049564
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2043#Q14864
3132HRMM9
747657.87710000
PA
USD
787135.71000000
0.013121773685
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479494
36209RUT8
1178490.63430000
PA
USD
1258055.49000000
0.020972138875
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2027#MA1219
31418AK98
386311.99880000
PA
USD
397063.80000000
0.006619165229
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
0.03000000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 5.2% 05/12/2026
06738EAP0
6222000.00000000
PA
USD
6805268.51000000
0.113445740199
Long
DBT
CORP
GB
N
2
2026-05-12
Fixed
0.05200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 9/25 #319653
31374PBW6
396.82740000
PA
USD
433.45000000
0.000007225733
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.875% 03/31/2022
912828W89
219649000.00000000
PA
USD
220965055.54000000
3.683549627350
Long
DBT
UST
US
N
2
2022-03-31
Fixed
0.01875000
N
N
N
N
N
N
DRYDEN 76 CLO LTD
N/A
DRYDEN 76 CLO LTD 3ML+133 10/20/2032 144A
26252WAA7
2036000.00000000
PA
USD
2037374.30000000
0.033963602639
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Variable
0.03264000
N
N
N
N
N
N
ARES CLO
N/A
ARES CLO 2019-54A A 3ML+132 10/15/2032 144A
04017WAC6
5467000.00000000
PA
USD
5465966.74000000
0.091119202984
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.03165750
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
MARATHON PETROL 5.125% 3/01/21
56585AAD4
2187000.00000000
PA
USD
2263991.63000000
0.037741377271
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ8934
3138MQ4U4
42244.66480000
PA
USD
43684.66000000
0.000728235569
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
MADISON PARK FUNDING XXXIII LTD
N/A
MADISON PARK FUNDING XXXIII LTD 2019-33A A 3ML+133 10/15/2032 144A
55819JAA1
2954000.00000000
PA
USD
2953583.49000000
0.049237067541
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.03174050
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/46#AS7188
3138WG7A6
658408.59750000
PA
USD
696553.96000000
0.011611750435
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.5% 05/01/2041#AL5398
3138EM7L9
79254.07010000
PA
USD
88514.77000000
0.001475566112
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE5530
3140FREC5
895817.71060000
PA
USD
936112.31000000
0.015605255510
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #738229
3620ASEA3
46357.61070000
PA
USD
50900.81000000
0.000848530819
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
ALLEGANY PK CLO LTD / ALLEGANY PK CLO LLC
N/A
ALLEGANY PK CLO LTD / ALLEGANY PK CLO LLC 3ML+133 01/20/2033 144A
017154AA3
3021000.00000000
PA
USD
3021000.00000000
0.050360919725
Long
ABS-CBDO
CORP
XX
N
2
2033-01-20
Variable
0.00000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #545176
36212VT90
2449.60930000
PA
USD
2791.07000000
0.000046527921
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2% 12/31/21
912828U81
384319000.00000000
PA
USD
387276945.77000000
6.456015616524
Long
DBT
UST
US
N
2
2021-12-31
Fixed
0.02000000
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 2.75% 03/26/2020
225433AD3
4667000.00000000
PA
USD
4672780.36000000
0.077896562928
Long
DBT
CORP
GG
N
2
2020-03-26
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #888544
31410GER0
289862.05530000
PA
USD
332900.69000000
0.005549548138
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.864% 07/23/2024
06051GHL6
4370000.00000000
PA
USD
4598400.37000000
0.076656627573
Long
DBT
CORP
US
N
2
2024-07-23
Variable
0.03864000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2044#Q27808
3132M8KV7
96246.36700000
PA
USD
102426.87000000
0.001707484732
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.875% 04/01/2021
00912XAM6
3180000.00000000
PA
USD
3244618.74000000
0.054088707019
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/47#Q48876
3132WN2J0
505217.55800000
PA
USD
542473.01000000
0.009043177659
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9337
36184HLS1
88976.14190000
PA
USD
91628.19000000
0.001527467699
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 5/41 #Q00753
3132GDZS4
158027.29310000
PA
USD
171458.25000000
0.002858257254
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD
549300PXR5FKNXF0OH19
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 3.8% 06/09/2023
225433AT8
8582000.00000000
PA
USD
8979159.25000000
0.149685110292
Long
DBT
CORP
GG
N
2
2023-06-09
Fixed
0.03800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#V80950
3132L6BT7
186217.18510000
PA
USD
198640.74000000
0.003311397008
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2047#MA4322
36179SYT8
1537914.63000000
PA
USD
1607038.20000000
0.026789778810
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
N
N
N
N
N
N
AIMCO 2019
N/A
AIMCO CLO 2019-10A A 3ML+132 07/22/2032 144A
00901AAA5
6268000.00000000
PA
USD
6264659.16000000
0.104433630276
Long
ABS-CBDO
CORP
US
N
2
2032-07-22
Variable
0.03618420
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/39 #723228
3620A9PM7
52104.33870000
PA
USD
57676.95000000
0.000961490979
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/46#BC2843
3140EXER0
2057085.74600000
PA
USD
2203906.54000000
0.036739741921
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 9/20 #838480
31407RQ98
3139.14530000
PA
USD
3157.37000000
0.000052634245
Long
ABS-MBS
USGSE
US
N
2
2020-09-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2046#Q39975
3132QXCM7
117276.12000000
PA
USD
124843.70000000
0.002081179594
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK AMER FDG CORP 3.95% 04/21/2025
06051GFP9
4125000.00000000
PA
USD
4398579.32000000
0.073325554465
Long
DBT
CORP
US
N
2
2025-04-21
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR2943
3138W0HV4
244237.69080000
PA
USD
252563.05000000
0.004210297082
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2043#MA1225
36179NLE6
221657.77100000
PA
USD
235083.87000000
0.003918914235
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2047#Q51189
3132XTKB3
121238.60600000
PA
USD
128796.67000000
0.002147076715
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 3.35% 02/06/2023
25466AAK7
3206000.00000000
PA
USD
3307204.19000000
0.055132024074
Long
DBT
CORP
US
N
2
2023-02-06
Fixed
0.03350000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/40 #749953
3620C6E27
65894.70250000
PA
USD
70467.08000000
0.001174706044
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.15% 4/35 #1N0006
3128QGAF9
96199.14500000
PA
USD
99875.56000000
0.001664953677
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
0.03874000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.30% 12/35 #850837
31408GHN0
99643.76540000
PA
USD
104185.66000000
0.001736804256
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Variable
0.04820000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#BJ8805
3140HAYB0
135204.05100000
PA
USD
143459.70000000
0.002391513550
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #738218
3620ASDX4
50675.55060000
PA
USD
55641.92000000
0.000927566456
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTN TII 1% 02/15/2049
912810SG4
7810000.00000000
PA
USD
8883255.28000000
0.148086364137
Long
DBT
UST
US
N
2
2049-02-15
Fixed
0.01000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25069
3132M5JN3
396302.18550000
PA
USD
427259.89000000
0.007122542542
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/26 #303884
31373URD1
2698.84300000
PA
USD
2963.78000000
0.000049407046
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AB9239
31417GHR0
182805.22270000
PA
USD
189036.52000000
0.003151291959
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 11/46#MA4126
36179SSP3
4377652.89460000
PA
USD
4509923.24000000
0.075181688930
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2046#AS7493
3138WHKF8
312298.63340000
PA
USD
329903.91000000
0.005499590972
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/29 #502726
31383GPK6
24953.22000000
PA
USD
28934.63000000
0.000482348420
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #567088
36213W6Z4
5573.75370000
PA
USD
6402.70000000
0.000106734809
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 4.1% 02/09/2027
254709AM0
3673000.00000000
PA
USD
3953655.36000000
0.065908546907
Long
DBT
CORP
US
N
2
2027-02-09
Fixed
0.04100000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/01/2046#Q40165
3132WDFF6
212340.87200000
PA
USD
218581.55000000
0.003643815919
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
IPALCO ENTERPRISES INC 3.7% 09/01/2024
462613AM2
2157000.00000000
PA
USD
2229582.36000000
0.037167765062
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.03700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 4/26 #343081
31375SCS7
4949.93730000
PA
USD
5464.46000000
0.000091094085
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #780717
36225AYN4
609.04870000
PA
USD
680.37000000
0.000011341959
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #552666
36213E6B7
3851.90320000
PA
USD
4447.11000000
0.000074134574
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 5/41 #Q00736
3132GDY97
149801.77470000
PA
USD
162533.64000000
0.002709481495
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 5.017% 06/26/2024 144A
46115HAT4
4337000.00000000
PA
USD
4553487.64000000
0.075907919731
Long
DBT
CORP
IT
N
2
2024-06-26
Fixed
0.05017000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.8% 02/15/2029
55336VAS9
1126000.00000000
PA
USD
1234296.57000000
0.020576070996
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.04800000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030
92277GAU1
7629000.00000000
PA
USD
7552322.98000000
0.125899348340
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.03000000
N
N
N
N
N
N
CHICAGO IL
N/A
CHICAGO IL TXBL-REF-PROJ-SER B
167486PG8
1205000.00000000
PA
USD
1244042.00000000
0.020738530055
Long
DBT
MUN
US
N
2
2042-01-01
Fixed
0.05432000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479430
36209RST1
775198.16470000
PA
USD
834075.78000000
0.013904277855
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
AVOLON HLDGS FDG LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 3.95% 07/01/2024 144A
05401AAF8
2088000.00000000
PA
USD
2175904.80000000
0.036272945039
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #250329
31371FA69
452.14470000
PA
USD
493.90000000
0.000008233451
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07000000
N
N
N
N
N
N
TIME WARNER CABLE INC
B1WXCWLJVJXMWJX6O298
TIME WARNER CABLE INC 6.55% 05/01/2037
88732JAJ7
20209000.00000000
PA
USD
24739825.26000000
0.412419845728
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
0.06550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 08/01/2048#ZS4785
3132A5J63
18436950.66700000
PA
USD
19202628.01000000
0.320113210107
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/23 #358282
36203S6T9
490.92190000
PA
USD
525.70000000
0.000008763566
Long
ABS-MBS
USGA
US
N
2
2023-05-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/28 #490998
36210FNP7
2194.89200000
PA
USD
2461.44000000
0.000041032897
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2041#AB2083
31416XJ50
12920.16400000
PA
USD
13846.36000000
0.000230822715
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 2/42 #AJ9901
3138E3AB9
232426.04860000
PA
USD
244696.59000000
0.004079160981
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2047#Q51234
3132XTLQ9
43940.58000000
PA
USD
46679.85000000
0.000778166229
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT EFX 5.5422% 07/05/2033 144A
46645WBG7
1533000.00000000
PA
USD
1620342.52000000
0.027011565566
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.05542200
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028
681936BK5
6382000.00000000
PA
USD
6943223.19000000
0.115745483518
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 07/01/2031#
31298RZH2
282.93360000
PA
USD
327.85000000
0.000005465351
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #440301
36207SDE0
1308.13560000
PA
USD
1471.98000000
0.000024538320
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 3.875% 11/05/2025
91529YAL0
4860000.00000000
PA
USD
5123073.45000000
0.085403075393
Long
DBT
CORP
US
N
2
2025-11-05
Fixed
0.03875000
N
N
N
N
N
N
2020-01-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer