0001752724-21-031164.txt : 20210219
0001752724-21-031164.hdr.sgml : 20210219
20210219154601
ACCESSION NUMBER: 0001752724-21-031164
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201231
FILED AS OF DATE: 20210219
PERIOD START: 20201231
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: 21655371
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
2020-12-31
2020-12-31
N
7566256760.33
490507661.16
7075749099.17
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
270453377.54000000
0.00000000
0.00000000
0.00000000
USD
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3% 04/01/2040#RB5044
3133KYS91
806752.95000000
PA
USD
845286.29000000
0.011946244534
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.03000000
N
N
N
N
N
N
CITIZENS FINANCIAL GRP INC
2138004JDDA4ZQUPFW65
CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032 144A
174610AV7
4857000.00000000
PA
USD
5134894.81000000
0.072570334787
Long
DBT
CORP
US
N
2
2032-09-30
Fixed
0.02638000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/38 #889371
31410KCG7
270842.17770000
PA
USD
324546.01000000
0.004586737113
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.06000000
N
N
N
N
N
N
RETAIL PROPERTIES OF AMERICA INC.
549300OVTYLM7DH6CM14
RETAIL PPTYS AMER INC 4.0% 03/15/2025
76131VAA1
6232000.00000000
PA
USD
6380293.81000000
0.090171283924
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2032#J36710
31307TN31
29989.13330000
PA
USD
32382.89000000
0.000457660235
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.125% 07/15/2030
912828ZZ6
52500000.00000000
PA
USD
59839103.15000000
0.845692834939
Long
DBT
UST
US
N
2
2030-07-15
Fixed
0.00125000
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
7554422.23000000
0.106764981687
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 3.0% 01/01/2043#AQ5772
3138MMMW9
77593.93280000
PA
USD
84040.13000000
0.001187720604
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% 04/48#BJ8805
3140HAYB0
80357.87100000
PA
USD
87253.20000000
0.001233130213
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% 02/01/2043#AR1584
3138NXXN2
926209.78350000
PA
USD
1003155.59000000
0.014177376500
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK9019
3138EEAV1
216616.52790000
PA
USD
240348.56000000
0.003396793139
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/45#AS4469
3138WD6F3
43977.65600000
PA
USD
47577.66000000
0.000672404565
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.03500000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG 4.5% 04/01/2025
251525AP6
11961000.00000000
PA
USD
12975585.72000000
0.183381088534
Long
DBT
CORP
DE
N
2
2025-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33578
3132QP6Q2
19077.57830000
PA
USD
20853.51000000
0.000294718053
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% 04/01/2044#AV6611
3138XJKZ9
375564.78560000
PA
USD
415072.21000000
0.005866123913
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% 01/01/2043#AR2904
3138W0GN3
497990.28470000
PA
USD
539361.33000000
0.007622674609
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% 9/41 #773113
36176QVE1
24352.33370000
PA
USD
27023.33000000
0.000381914757
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% 02/01/2044#Q24839
3132M5BG6
25545.11510000
PA
USD
28015.14000000
0.000395931789
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 15YR 3% 09/01/2032#BM1884
3140J6CW5
448881.28000000
PA
USD
473496.72000000
0.006691824616
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 4% 04/01/2046#BC1823
3140EWAZ8
77081.97810000
PA
USD
84900.62000000
0.001199881720
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 4.00% 10/41 #479607
36209RYC1
85885.41450000
PA
USD
95144.40000000
0.001344654801
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 03/20/2047#MA4322
36179SYT8
948759.86000000
PA
USD
1023705.91000000
0.014467809636
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/29 #517793
31384AGA0
324.31610000
PA
USD
371.06000000
0.000005244109
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07500000
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
3898519.73000000
0.055096918719
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03112000
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
7448533.86730000
PA
USD
7098709.75000000
0.100324497809
Long
ABS-CBDO
CORP
KY
N
2
2041-12-16
Variable
0.04213000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #545176
36212VT90
2253.89930000
PA
USD
2601.20000000
0.000036762185
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18136
3132J9PW2
27396.40660000
PA
USD
30190.98000000
0.000426682455
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 30YR 3% 09/01/2049#CA4142
3140QBS82
1735040.89900000
PA
USD
1852613.34000000
0.026182575357
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2046#AS7493
3138WHKF8
195009.90340000
PA
USD
211865.16000000
0.002994243535
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 30YR 4.0% 10/01/2042#Q12164
3132HNMM8
28684.02540000
PA
USD
31699.58000000
0.000448003166
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.242% 9/1/41#1B8659
3128UHAK1
53404.08900000
PA
USD
55105.44000000
0.000778793018
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.02463000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY CORP 4.25% 3/15/23
337932AF4
11729000.00000000
PA
USD
12384950.78000000
0.175033775313
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04250000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.5% 05/02/2043
02209SAQ6
3707000.00000000
PA
USD
4241186.74000000
0.059939755926
Long
DBT
CORP
US
N
2
2043-05-02
Fixed
0.04500000
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP 1ML+215 03/15/2036 144A
74952PAJ6
5621000.00000000
PA
USD
5412008.41000000
0.076486720121
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.02259000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479494
36209RUT8
852810.03430000
PA
USD
944748.33000000
0.013351919588
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 11/40 #004853
36202FMA1
2594706.35420000
PA
USD
2863130.28000000
0.040463988192
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
0.04000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPER LLC/CAP CORP 4.464% 07/23/2022
161175BB9
5742000.00000000
PA
USD
6053297.53000000
0.085549917685
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 6.00% 7/38 #889733
31410KPS7
49413.52070000
PA
USD
59071.62000000
0.000834846165
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
0.06000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.5% 08/15/2029
674599CS2
1909000.00000000
PA
USD
1747059.53000000
0.024690806662
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/27 #393574
31378BFP4
1594.40070000
PA
USD
1776.76000000
0.000025110556
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 30YR 3.5% 04/01/2045#AS4797
3138WEKK4
88112.47300000
PA
USD
95325.35000000
0.001347212127
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03500000
N
N
N
N
N
N
CANADIAN NATL RESOURCES LTD
549300T15RIMIKZC5Q38
CAN NATURAL YANK 5.85 2/1/35
136385AG6
2497000.00000000
PA
USD
3141432.90000000
0.044397177683
Long
DBT
CORP
CA
N
2
2035-02-01
Fixed
0.05850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2048#BM5106
3140J9U82
4798626.94600000
PA
USD
5322911.49000000
0.075227533020
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.375% 06/01/2021
00912XAS3
2523000.00000000
PA
USD
2549896.04000000
0.036037117826
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.03375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9557
36184HTN4
16419.65330000
PA
USD
17263.75000000
0.000243984767
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 3.50% 5/42 #AK9784
3138EE2S7
982221.66190000
PA
USD
1077666.50000000
0.015230422742
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/22 #306588
36223FRH6
105.34280000
PA
USD
108.20000000
0.000001529166
Long
ABS-MBS
USGA
US
N
2
2022-04-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 12/01/2046#G60989
31335BC20
8434581.15170000
PA
USD
9016362.29000000
0.127426257822
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.03000000
N
N
N
N
N
N
CORP ANDINA DE FOMENTO
UKZ46SXGNYCZK0UOZE76
CORP ANDINA DE FOMENTO 2.375% 05/12/2023
219868CC8
5900000.00000000
PA
USD
6112636.00000000
0.086388535183
Long
DBT
CORP
VE
N
2
2023-05-12
Fixed
0.02375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2028#MA1481
31418AUF3
146928.80130000
PA
USD
154389.08000000
0.002181946785
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 7/39 #AA9611
31416TVD8
8550.88310000
PA
USD
9463.76000000
0.000133749230
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #738240
3620ASEM7
27921.33190000
PA
USD
31777.42000000
0.000449103261
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
BX COML MTG TR 2020-FOX
N/A
BX COML MTG TR 2020-FOX A 1ML+90 11/15/2032 144A
12433AAA7
5117000.00000000
PA
USD
5125204.60000000
0.072433385188
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
0.01159000
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
5692503.59000000
0.080450896579
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 30YR 3.0% 02/01/2043#AB7766
31417ETY7
1015859.43310000
PA
USD
1100252.97000000
0.015549632336
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 4.00% 10/41 #773499
36176RDC3
74101.91830000
PA
USD
82229.51000000
0.001162131512
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 1ML+143 05/15/2036 144A
12653VAE6
3615000.00000000
PA
USD
3610643.20000000
0.051028423272
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.01589000
N
N
N
N
N
N
DUKE REALTY LP NEW
2549009GZDBNY1KE9O81
DUKE REALTY LP 3.625 4/15/23
26441YAX5
2123000.00000000
PA
USD
2250578.50000000
0.031806929110
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.03625000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 01/01/2051 #TBA
01F022618
7900000.00000000
PA
USD
8330485.22000000
0.117732908604
Long
ABS-MBS
USGA
US
N
2
2051-01-01
Fixed
0.02500000
N
N
N
N
N
N
TOLEDO HOSP
5493009DCR7NWV6K4T34
TOLEDO HOSP 6.015% 11/15/2048
889184AE7
4201000.00000000
PA
USD
5259831.38000000
0.074336035750
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
0.06015000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 11/01/2033#G16677
3128MFUA4
121690.25600000
PA
USD
132968.48000000
0.001879214174
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.375% 08/15/2050
912810SP4
130822100.00000000
PA
USD
122236899.69000000
1.727547118711
Long
DBT
UST
US
N
2
2050-08-15
Fixed
0.01375000
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #464693
36208YGA1
11397.12770000
PA
USD
12204.46000000
0.000172482938
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% 7/40 #745236
3620C04V7
302277.34780000
PA
USD
342607.58000000
0.004841997295
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 08/01/2039#MA3742
31418DEQ1
277277.90300000
PA
USD
294256.99000000
0.004158669080
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #780717
36225AYN4
503.25870000
PA
USD
566.02000000
0.000007999435
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.75% 09/21/2047
71654QCC4
12105000.00000000
PA
USD
11348437.50000000
0.160384961944
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
0.06750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 4/35 #637141
36291SZE3
13402.83500000
PA
USD
15926.93000000
0.000225091785
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
0.06500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.431/VAR 01/23/2030
6174468G7
4395000.00000000
PA
USD
5355596.08000000
0.075689457115
Long
DBT
CORP
US
N
2
2030-01-23
Variable
0.04431000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2.5% 11/01/2050#SD7530
3132DVLK9
12890451.82500000
PA
USD
13703495.16000000
0.193668471958
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 4/42 #G06973
3128M9CJ9
3834632.92820000
PA
USD
4250949.44000000
0.060077730010
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 4.0% 08/45#AZ9030
3140E2A84
27045.55660000
PA
USD
29526.86000000
0.000417296594
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AR1624
3138NXYW1
231744.73720000
PA
USD
250779.90000000
0.003544216965
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% 07/46#BC6150
3140F1ZQ8
160177.67890000
PA
USD
176274.78000000
0.002491252551
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 4.50% 2/41 #A96783
312945RC4
97231.12490000
PA
USD
108827.15000000
0.001538030086
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.737%/VAR 04/24/2024
61744YAQ1
5000000.00000000
PA
USD
5379621.40000000
0.076029001659
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 15YR 3% 10/01/2033#BM5832
3140JAPS1
2307113.80900000
PA
USD
2427861.92000000
0.034312436548
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
0.03000000
N
N
N
N
N
N
ARES XXXIV CLO LTD
549300VDFIIXSFET0S73
ARES XXXIV CLO LTD 3ML+125 04/17/2033 144A
04015GAP4
2171000.00000000
PA
USD
2179141.25000000
0.030797322226
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Variable
0.01467750
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
2122379.51000000
0.029995121085
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
0.05875000
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
1293395.87180000
PA
USD
1248908.74000000
0.017650551517
Long
ABS-CBDO
CORP
KY
N
2
2041-12-16
Variable
0.02487000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BJ0673
3140H1XB1
2383524.13200000
PA
USD
2508271.35000000
0.035448845272
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC
N/A
MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC 3ML+165 07/15/2031 144A
55820BAA5
6840000.00000000
PA
USD
6849931.68000000
0.096808572265
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Variable
0.01918380
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
1191193.94000000
0.016834880990
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 30YR 4.5% 12/01/2044#AX8858
3138YAZY4
208943.54210000
PA
USD
230139.76000000
0.003252514423
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
AIMCO CLO 12 LTD
N/A
AIMCO CLO 20-12A A LTD 3ML+121 01/17/2032 144A
00140LAB0
6650000.00000000
PA
USD
6650000.00000000
0.093982981968
Long
ABS-CBDO
CORP
KY
N
2
2032-01-17
Variable
0.00000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 8/42 #Q10323
3132HLLC5
77948.21510000
PA
USD
85618.51000000
0.001210027500
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
0.03500000
N
N
N
N
N
N
DISNEY (WALT) CO
549300GZKULIZ0WOW665
DISNEY (WALT) CO 3.8% 03/22/2030
254687FQ4
23020000.00000000
PA
USD
27421242.37000000
0.387538364993
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
0.03800000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL2282
36183XRB8
35144.08460000
PA
USD
36950.75000000
0.000522216792
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
J P MORGAN CHASE COML MTG SECS TR 2018-WPT
N/A
J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A
46645WBE2
1121000.00000000
PA
USD
1121748.72000000
0.015853427026
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.05350300
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.8% 02/15/2029
55336VAS9
1126000.00000000
PA
USD
1360181.46000000
0.019223144305
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.04800000
N
N
N
N
N
N
GB 2020-FLIX A
N/A
GB 2020-FLIX A 1ML+120 08/25/2025 144A
368306AA4
4400000.00000000
PA
USD
4405985.32000000
0.062268817877
Long
ABS-MBS
CORP
TC
N
2
2037-08-15
Variable
0.01278630
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030 144A
785592AW6
7977000.00000000
PA
USD
9450263.20000000
0.133558483597
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/31 #545304
31385HX98
23915.13570000
PA
USD
28002.43000000
0.000395752161
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.07500000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 5.476% 01/25/2039
35137LAJ4
1809000.00000000
PA
USD
2477752.59000000
0.035017530374
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
0.05476000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 5/39 #698329
36296QY29
29481.35690000
PA
USD
33418.86000000
0.000472301370
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 4% 05/01/2037#C91938
3128P8EK3
5991359.99810000
PA
USD
6484478.88000000
0.091643708519
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q20360
3132JMMH9
31295.35750000
PA
USD
34380.06000000
0.000485885798
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
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
5434977.10500000
PA
USD
5168630.07000000
0.073047107769
Long
ABS-CBDO
CORP
US
N
2
2039-04-15
Fixed
0.03967000
N
N
N
N
N
N
MARSH and MCLENNAN COS INC
549300XMP3KDCKJXIU47
MARSH and MCLENNAN COS INC 4.375% 03/15/2029
571748BG6
3978000.00000000
PA
USD
4841101.37000000
0.068418216956
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.04375000
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
2107537.50000000
0.029785362234
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% 01/01/2047#BE4784
3140FQJ65
595255.03900000
PA
USD
635611.78000000
0.008982960971
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 4% 01/15/2043#AC9441
36179KP24
56216.19810000
PA
USD
61890.17000000
0.000874680109
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2047#G08761
3128MJZ37
17311.06490000
PA
USD
18445.82000000
0.000260690702
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.03500000
N
N
N
N
N
N
VOYA 2020
N/A
VOYA 2020-1A A 3ML+170 07/16/2031 144A
92918EAA5
6885000.00000000
PA
USD
6905558.61000000
0.097594735387
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Variable
0.02002670
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2048#BK3836
3140HHHN8
396291.36300000
PA
USD
430296.25000000
0.006081281910
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% 05/45#AY7636
3138YMPW3
17217.49190000
PA
USD
18604.81000000
0.000262937672
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 4.5% 08/01/2041#AI7563
3138AMMM4
30521.07610000
PA
USD
34246.77000000
0.000484002040
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 05/01/2045#Q33442
3132QPZG2
76660.66390000
PA
USD
83628.33000000
0.001181900726
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN 6.55% 9/15/40
494550BF2
460000.00000000
PA
USD
600357.19000000
0.008484715633
Long
DBT
CORP
US
N
2
2040-09-15
Fixed
0.06550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2043#AS0203
3138W9GM6
1141360.95080000
PA
USD
1236180.65000000
0.017470668231
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% 05/01/2047#Q48095
3132WM7H1
890963.60900000
PA
USD
981317.03000000
0.013868736952
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 02/01/2043#Q15789
3132J62X1
261213.62330000
PA
USD
282996.15000000
0.003999522114
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
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
936652.50000000
0.013237503010
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
0.02200000
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
2544045.48000000
0.035954433153
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Variable
0.01438380
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
4551174.46000000
0.064320743941
Long
DBT
CORP
CH
N
2
2029-01-12
Variable
0.03869000
N
N
N
N
N
N
CEDAR FUNDING LTD
549300ZKTUZSV15HAV29
CEDAR FUNDING LTD 3ML+134 10/20/2032 144A
15033XAA4
4495000.00000000
PA
USD
4492586.19000000
0.063492728855
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Variable
0.01558380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#AS7010
3138WGYG3
1676333.97890000
PA
USD
1808319.97000000
0.025556586937
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
WESTPAC BANKING CORPORATION
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP 4.11%/VAR 07/24/2034
961214EF6
3712000.00000000
PA
USD
4244721.48000000
0.059989711626
Long
DBT
CORP
AU
N
2
2034-07-24
Variable
0.04110000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 6.25% 6/36 #886983
31410EM88
11321.49750000
PA
USD
11901.32000000
0.000168198728
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.02553000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST 6.20% 07/01/2021
452152GR6
452000.00000000
PA
USD
459720.97000000
0.006497134982
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 30YR 4.0% 09/01/2043#Q21524
3132JNVR5
23151.28010000
PA
USD
25433.24000000
0.000359442366
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #511255
31383R5Q1
340.13460000
PA
USD
388.69000000
0.000005493269
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
MCDONALDS CORP
UE2136O97NLB5BYP9H04
MCDONALDS CORP 3.5% 07/01/2027
58013MFP4
1685000.00000000
PA
USD
1932148.74000000
0.027306631607
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#Q24349
3132M4QA6
30454.49280000
PA
USD
33399.21000000
0.000472023661
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
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
6158339.60000000
0.087034454072
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR2880
3138W0FW4
90497.04370000
PA
USD
97930.34000000
0.001384027876
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 6.50% 11/35 #600498
36200GDB9
10004.69790000
PA
USD
11931.82000000
0.000168629778
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/31 #781324
36225BPH5
5320.18250000
PA
USD
6149.51000000
0.000086909667
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% 7/27 #250990
31371FXT4
435.53990000
PA
USD
489.77000000
0.000006921811
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AO0693
3138LQXX7
97530.81000000
PA
USD
107008.11000000
0.001512321995
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 5.0% 11/01/2044#AL7307
3138EQDM1
3758134.71650000
PA
USD
4284865.48000000
0.060557057916
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL2295
36183XRQ5
14250.57190000
PA
USD
14983.16000000
0.000211753692
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% 03/01/2043#Q16049
3132J7EX6
73665.02570000
PA
USD
81179.23000000
0.001147288136
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 1/41 #737901
3620ARX63
191598.93400000
PA
USD
209637.90000000
0.002962766161
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 30YR 3.5% 10/01/2046#BC4760
3140F0JE5
4371648.04280000
PA
USD
4759565.79000000
0.067265892604
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 30YR 4% 04/01/2045#AY4526
3138YJA48
23616.79470000
PA
USD
25798.29000000
0.000364601537
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04000000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019 1ML+145 10/15/2036 144A
056054AG4
5229681.66000000
PA
USD
5228046.34000000
0.073886824797
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01609000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ8934
3138MQ4U4
40902.86480000
PA
USD
44262.56000000
0.000625552989
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% 02/01/2050#CA5122
3140QCVQ6
3947592.80900000
PA
USD
4222497.25000000
0.059675621489
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.875% 11/15/2030
91282CAV3
102317000.00000000
PA
USD
101917324.22000000
1.440375044275
Long
DBT
UST
US
N
2
2030-11-15
Fixed
0.00875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 05/01/2045#AX9659
3138YBWV1
27273.99720000
PA
USD
29793.30000000
0.000421062131
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.04000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO 4.85% 11/15/2035
406216BJ9
2154000.00000000
PA
USD
2511989.57000000
0.035501394054
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
0.04850000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 3% 06/15/2022
87166FAA1
4542000.00000000
PA
USD
4689953.02000000
0.066282070693
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.03000000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP 1ML+112 12/15/2029 144A
05607QAN8
2812425.88000000
PA
USD
2801847.50000000
0.039597892191
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01279000
N
N
N
N
N
N
BFLD TR 2020 -OBRK
N/A
BFLD TR 2020 - OBRK A 1ML+225 11/15/2022 144A
05553JAA6
3518000.00000000
PA
USD
3517996.83000000
0.049719072577
Long
ABS-MBS
CORP
US
N
2
2028-11-15
Variable
0.02200000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/01/2051 #TBA
21H032613
7650000.00000000
PA
USD
8106734.84000000
0.114570693878
Long
ABS-MBS
USGA
US
N
2
2051-01-01
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
16465276.61000000
0.232700119510
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.04125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#796180
36177Q2N2
20031.36110000
PA
USD
22115.75000000
0.000312557012
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
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
1473816.43000000
0.020829122250
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04950000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.875% 04/01/2021
00912XAM6
3180000.00000000
PA
USD
3195964.40000000
0.045167859334
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
0.03875000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 4.0% 10/01/2023
29250NAF2
2813000.00000000
PA
USD
3059553.01000000
0.043239987273
Long
DBT
CORP
CA
N
2
2023-10-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783261
36241LTS5
1254528.64940000
PA
USD
1426221.93000000
0.020156479688
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% 8/31 #567088
36213W6Z4
5257.99370000
PA
USD
6131.03000000
0.000086648493
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #471043
36209GHU4
323.00610000
PA
USD
363.67000000
0.000005139667
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 3.05% 06/05/2023
02005NBK5
9631000.00000000
PA
USD
10154320.32000000
0.143508767448
Long
DBT
CORP
US
N
2
2023-06-05
Fixed
0.03050000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 0.0% 05/01/2041#1B8124
3128UGMY0
94640.30500000
PA
USD
99997.03000000
0.001413235949
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.03321000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.875% 11/01/22
6174824M3
7751000.00000000
PA
USD
8350149.20000000
0.118010815292
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
0.04875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 12/39 #728451
3620AFH42
90510.07350000
PA
USD
103519.14000000
0.001463013153
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 2/27 #444741
36207XBJ0
4055.92290000
PA
USD
4571.42000000
0.000064606869
Long
ABS-MBS
USGA
US
N
2
2027-02-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 06/01/2039#MA3702
31418DDG4
312040.64400000
PA
USD
327139.82000000
0.004623394857
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2042#794559
36177PB53
21294.95910000
PA
USD
23557.42000000
0.000332931816
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 05/01/2043#AB9239
31417GHR0
152292.26270000
PA
USD
164944.09000000
0.002331118411
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% 12/01/2042#AR0532
3138NWSW0
67757.03850000
PA
USD
73322.50000000
0.001036250706
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% 11/01/2042#Q13425
3132HPYW8
197196.78340000
PA
USD
217928.08000000
0.003079929445
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
RETAIL OPPTY INVTS PRTNRSHP LP
549300KH0PNTJK9NTE57
RETAIL OPPORTUNITY 5% 12/15/23
76132FAA5
737000.00000000
PA
USD
790362.82000000
0.011170023257
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #338597
36224UDA2
45.29950000
PA
USD
47.20000000
0.000000667067
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 3% 11/01/2049#SD7509
3132DVKW4
3103813.11700000
PA
USD
3329657.42000000
0.047057313272
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 3/26 #303780
31373UM53
1091.31670000
PA
USD
1202.61000000
0.000016996221
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 11/30/2024
9128283J7
11586000.00000000
PA
USD
12429153.08000000
0.175658476661
Long
DBT
UST
US
N
2
2024-11-30
Fixed
0.02125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/27 #455078
36208MQ73
14204.99610000
PA
USD
16067.12000000
0.000227073060
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 3.5% 01/43 #Q16224
3132J7LE0
48599.90220000
PA
USD
52850.69000000
0.000746927134
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
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
184452.45310000
PA
USD
184865.04000000
0.002612656800
Long
ABS-CBDO
USGA
US
N
2
2063-01-20
Fixed
0.01650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/01/2048#G67713
3132XCSA4
6685134.56700000
PA
USD
7312735.00000000
0.103349269420
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.04000000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST TAXM 7.35% 7/01/35
452152GS4
5540000.00000000
PA
USD
6605120.40000000
0.093348708489
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
0.07350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 12/22 #967586
31414JNB5
5766.09680000
PA
USD
5929.53000000
0.000083800738
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
0.05000000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT SECURITIZATION
N/A
CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A
14856CAA7
5422205.34000000
PA
USD
5153827.32000000
0.072837903771
Long
ABS-CBDO
CORP
US
N
2
2043-06-15
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 10/27 #401788
31378LJ94
747.47380000
PA
USD
837.33000000
0.000011833800
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 8.50% 6/25 #307158
31373YE70
167.25640000
PA
USD
185.86000000
0.000002626718
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
0.08500000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 3.25% 01/15/2031
756109AX2
1020000.00000000
PA
USD
1155643.13000000
0.016332449240
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
0.03250000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 5.85% 08/15/2045
761713BB1
9320000.00000000
PA
USD
11901474.29000000
0.168200908811
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
0.05850000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 3.8% 12/01/2057 144A
00206RMG4
15250000.00000000
PA
USD
15838684.77000000
0.223844635359
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
0.03800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2049#FM1534
3140X4V45
6682262.59600000
PA
USD
7373924.89000000
0.104214052627
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 7.50% 11/29 #252874
31371H2F4
1323.79120000
PA
USD
1531.86000000
0.000021649439
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/27 #447696
36208DKH7
1767.38730000
PA
USD
1982.34000000
0.000028015973
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 3.5% 08/01/43#AL7261
3138EQB76
560251.46070000
PA
USD
614692.44000000
0.008687312557
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE INC 5.5% 09/01/2041
88732JBB3
1700000.00000000
PA
USD
2181449.69000000
0.030829946899
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
0.05500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/41 #005055
36202FTL0
108851.38700000
PA
USD
121369.08000000
0.001715282414
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 01/01/2034#J40154
31307YE30
623729.87400000
PA
USD
655974.03000000
0.009270736155
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03000000
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
3152211.11000000
0.044549503746
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01459000
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
7227897.35000000
0.102150277641
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
0.04900000
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
6548055.70000000
0.092542225681
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Variable
0.01488380
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #779843
36176YEQ6
110893.49690000
PA
USD
123056.44000000
0.001739129500
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTN TII 0.25% 02/15/2050
912810SM1
5000000.00000000
PA
USD
6044079.75000000
0.085419644836
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.00250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96766
312945QT8
88741.21050000
PA
USD
99324.71000000
0.001403734199
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 15YR 3.0% 08/01/2028#MA1557
31418AWT1
152735.59800000
PA
USD
160490.72000000
0.002268179916
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.03000000
N
N
N
N
N
N
RETAIL PROPERTIES OF AMERICA INC.
549300OVTYLM7DH6CM14
RETAIL PPTYS AMER INC 4.75% 09/15/2030
76131VAB9
9714000.00000000
PA
USD
10308334.28000000
0.145685412746
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
0.04750000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.125% 07/27/2026
61761J3R8
21964000.00000000
PA
USD
24595546.38000000
0.347603427358
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
0.03125000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.627% 6/1/41#1B8372
3128UGVQ7
101484.78550000
PA
USD
107051.93000000
0.001512941294
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.02925000
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
2731890.87000000
PA
USD
2635483.53000000
0.037246706929
Long
ABS-CBDO
CORP
US
N
2
2039-07-15
Fixed
0.03721000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GSINC 6.75% 10/01/37
38141GFD1
2246000.00000000
PA
USD
3432959.01000000
0.048517251839
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
0.06750000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP 1ML+105.15 12/15/2029 144A
05607QAK4
3525772.97000000
PA
USD
3525772.26000000
0.049828961012
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01159000
N
N
N
N
N
N
TOLEDO HOSP
5493009DCR7NWV6K4T34
TOLEDO HOSP 5.325% 11/15/2028
889184AC1
2109000.00000000
PA
USD
2485345.78000000
0.035124843252
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
0.05325000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #773473
36176RCJ9
72601.50830000
PA
USD
80564.54000000
0.001138600858
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2034#FM1577
3140X4XF8
14022828.71000000
PA
USD
15191189.76000000
0.214693731322
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2046#G08733
3128MJY79
17987.12300000
PA
USD
19250.51000000
0.000272063208
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2043#Q20780
3132JM2M0
19363.39150000
PA
USD
21438.98000000
0.000302992371
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5.75% 1/25/21
61747WAF6
3512000.00000000
PA
USD
3522479.67000000
0.049782427565
Long
DBT
CORP
US
N
2
2021-01-25
Fixed
0.05750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 01/33#J38270
31307VFK7
36970.01200000
PA
USD
38735.76000000
0.000547443944
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8987
3617M76Y9
162026.10300000
PA
USD
181337.02000000
0.002562796072
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2044#AX9232
3138YBHJ5
177567.50120000
PA
USD
195913.72000000
0.002768805355
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% 07/01/2042#AL2607
3138EJ3R7
17532.24180000
PA
USD
19425.64000000
0.000274538281
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A97152
3129455M6
104121.28610000
PA
USD
116539.05000000
0.001647020666
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 3.0% 05/01/2043#MB0249
3138MTH34
56639.55020000
PA
USD
61344.94000000
0.000866974494
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 30YR 3.5% 01/01/2046#G60393
31335ANJ3
10860.44800000
PA
USD
11851.08000000
0.000167488697
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 20YR 3.5% 08/01/2037#MA3089
31418CNF7
224912.43500000
PA
USD
240020.34000000
0.003392154479
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #780732
36225AY53
1935.78300000
PA
USD
2172.60000000
0.000030704876
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 4/26 #343081
31375SCS7
4240.27730000
PA
USD
4699.09000000
0.000066411201
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.07000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.625% 11/15/2050
912810SS8
210052000.00000000
PA
USD
208804816.25000000
2.950992373012
Long
DBT
UST
US
N
2
2050-11-15
Fixed
0.01625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21255
3132JNMC8
139187.88840000
PA
USD
152907.29000000
0.002161004974
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2044#MA2074
36179QJT9
22612.73700000
PA
USD
24844.19000000
0.000351117452
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
0.04000000
N
N
N
N
N
N
SAPPHIRE AVIATION FINANCE
N/A
SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A
80307AAA7
5519365.08000000
PA
USD
5343351.98000000
0.075516413952
Long
ABS-CBDO
CORP
US
N
2
2040-03-15
Fixed
0.03228000
N
N
N
N
N
N
MCDONALDS CORP
UE2136O97NLB5BYP9H04
MCDONALDS CORP 4.2% 04/01/2050
58013MFR0
1015000.00000000
PA
USD
1302565.32000000
0.018408868117
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY8779
3138YNXH5
189234.12000000
PA
USD
206676.28000000
0.002920910240
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 3.35% 02/06/2023
25466AAK7
3206000.00000000
PA
USD
3382756.08000000
0.047807744912
Long
DBT
CORP
US
N
2
2023-02-06
Fixed
0.03350000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.8% 02/14/2029
02209SBD4
5504000.00000000
PA
USD
6599931.00000000
0.093275367844
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
0.04800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#741529
31402XY26
83137.00250000
PA
USD
91916.86000000
0.001299040691
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.875% 01/15/2029
9128285W6
27018100.00000000
PA
USD
32756918.63000000
0.462946299690
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.00875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/26 #420660
36206TJD5
141.03960000
PA
USD
156.51000000
0.000002211921
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 30YR 3.0% 12/01/2042#AL2884
3138EKF26
217583.89620000
PA
USD
235455.91000000
0.003327646397
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 7.50% 9/25 #325499
31374VRU0
680.08170000
PA
USD
748.17000000
0.000010573721
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
0.07500000
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
5346773.33000000
0.075564767137
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.04100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/24 #313987
31374GXQ5
2776.42940000
PA
USD
2966.25000000
0.000041921356
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 12/15/2041#792596
36177L3E2
17310.16660000
PA
USD
19149.26000000
0.000270632264
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 7.50% 6/26 #345142
31375ULX1
2400.34440000
PA
USD
2644.71000000
0.000037377102
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 II 3.5% 12/49#BR8986
3617M76X1
55469.31500000
PA
USD
61924.36000000
0.000875163309
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/32 #572976
36200UQ57
33159.59820000
PA
USD
38733.73000000
0.000547415255
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 4.0% 06/01/2045#AZ4601
3138YWDF1
16061.46460000
PA
USD
17545.07000000
0.000247960601
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 3.75% 03/24/2025
615369AS4
5075000.00000000
PA
USD
5698115.20000000
0.080530204224
Long
DBT
CORP
US
N
2
2025-03-24
Fixed
0.03750000
N
N
N
N
N
N
CENT CLO 20 LTD / CENT CLO 20
N/A
CENT CLO 20 LTD / CENT CLO 20-29A A1N 1ML+170 07/20/2031 144A
197363AA2
6101000.00000000
PA
USD
6123878.75000000
0.086547426486
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Variable
0.01919440
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 05/48#ZA5379
31329N6Q6
4300138.50400000
PA
USD
4643591.86000000
0.065626858653
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
ALEXANDRIA REAL EST EQUITS INC
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030
015271AU3
4167000.00000000
PA
USD
5300000.42000000
0.074903735925
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
0.04900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/25 #303347
31373T5G1
200.45400000
PA
USD
213.78000000
0.000003021305
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 30YR 3.0% 03/15/2045#AL2277
36183XQ60
35066.06270000
PA
USD
36868.72000000
0.000521057480
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 3.50% 2/41 #737995
3620AR3C3
298006.85780000
PA
USD
324583.91000000
0.004587272745
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.05% 7/34 #801635
31405WSY2
11230.00230000
PA
USD
11729.88000000
0.000165775804
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Variable
0.02476000
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
8705104.17000000
0.123027315525
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 4.00% 1/41 #A96413
312945DS4
2271195.65770000
PA
USD
2519193.19000000
0.035603201225
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/32 #569233
36200QLN2
168.07020000
PA
USD
196.09000000
0.000002771296
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 4.0% 10/01/2043#Q22682
3132JP6T4
30922.30650000
PA
USD
33970.24000000
0.000480093902
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 7.00% 6/29 #510989
36211EUN6
38.00130000
PA
USD
40.17000000
0.000000567713
Long
ABS-MBS
USGA
US
N
2
2029-06-15
Fixed
0.07000000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 4.25% 04/15/2026 144A
05401AAL5
1580000.00000000
PA
USD
1701859.08000000
0.024051998680
Long
DBT
CORP
KY
N
2
2026-04-15
Fixed
0.04250000
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
1474141.63000000
0.020833718230
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.02783630
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 03/15/2045#AL2575
36183X2G4
32301.02500000
PA
USD
33961.54000000
0.000479970947
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 3% 07/01/2033#
3140JAUL0
1619950.76200000
PA
USD
1708784.49000000
0.024149873971
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
AIMCO 2019
N/A
AIMCO CLO 2019-10A A 3ML+132 07/22/2032 144A
00901AAA5
8377000.00000000
PA
USD
8368798.92000000
0.118274387668
Long
ABS-CBDO
CORP
US
N
2
2032-07-22
Variable
0.01535750
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 2.55% 12/01/2033 144A
00206RMF6
14944000.00000000
PA
USD
15366620.80000000
0.217173059482
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
0.02550000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 5.125% 05/28/2024
780099CH8
20522000.00000000
PA
USD
23185594.50000000
0.327676888694
Long
DBT
CORP
GB
N
2
2024-05-28
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0170
3138MFFL6
213169.16780000
PA
USD
234083.17000000
0.003308245766
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030
92277GAU1
7629000.00000000
PA
USD
8204475.84000000
0.115952045854
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.03000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 5.375 1/31/44
02209SAR4
6678000.00000000
PA
USD
8523168.93000000
0.120456064941
Long
DBT
CORP
US
N
2
2044-01-31
Fixed
0.05375000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 4.25% 12/01/2026
29250NAL9
1773000.00000000
PA
USD
2073690.34000000
0.029307007794
Long
DBT
CORP
CA
N
2
2026-12-01
Fixed
0.04250000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 4% 02/01/2025
92936UAC3
5360000.00000000
PA
USD
5921013.89000000
0.083680382204
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17646
3132J85G1
2929599.25570000
PA
USD
3217878.85000000
0.045477571418
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 4.5% 02/01/2047#AL9846
3138ER5G1
1540103.06420000
PA
USD
1702113.74000000
0.024055597734
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 10/15/2041#775540
36176TLV8
30981.34750000
PA
USD
34272.92000000
0.000484371612
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 4.682%/VAR 08/09/2028
25466AAN1
2761000.00000000
PA
USD
2934943.00000000
0.041478901510
Long
DBT
CORP
US
N
2
2028-08-09
Variable
0.04682000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6% 11/35 #AD0687
31418MXR8
158138.50130000
PA
USD
185418.04000000
0.002620472227
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/32 #582976
36201GT96
20179.09970000
PA
USD
23463.38000000
0.000331602769
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.88% 1/35 #848084
3128JR6V3
8030.07720000
PA
USD
8439.04000000
0.000119267089
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
0.03869000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2043#AD5682
36180HJ33
27494.64400000
PA
USD
30235.35000000
0.000427309526
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
0.04000000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
NATWEST GRP PLC(UNGTD) 6.1% 06/10/2023
780097AY7
13369000.00000000
PA
USD
14984373.33000000
0.211770840373
Long
DBT
CORP
GB
N
2
2023-06-10
Fixed
0.06100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 6/26 #366201
31376UX66
7821.98400000
PA
USD
8749.46000000
0.000123654186
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
0.07000000
N
N
N
N
N
N
AIMCO CLO 11 LTD
549300VLRW0CEQ83RF89
AIMCO CLO 11 LTD 3ML+138 10/15/2031 144A
00140NAA8
4716000.00000000
PA
USD
4715551.98000000
0.066643855143
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Variable
0.01604610
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/32 #582134
36201FV38
1326.33320000
PA
USD
1554.54000000
0.000021969970
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY INC 4.65% 05/15/2050
25470DBH1
9399000.00000000
PA
USD
11736001.20000000
0.165862314159
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
0.04650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #509663
31383QFC3
2874.41790000
PA
USD
3299.12000000
0.000046625734
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 3.5% 03/01/2048#G67710
3132XCR72
2122546.48900000
PA
USD
2282326.27000000
0.032255613335
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 7.50% 2/28 #313983
31374GXL6
804.47240000
PA
USD
906.80000000
0.000012815604
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.07500000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031
95000U2L6
14300000.00000000
PA
USD
17473456.00000000
0.246948496266
Long
DBT
CORP
US
N
2
2031-04-04
Variable
0.04478000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 10/01/2049#SD0114
3132DMDT9
7671791.20700000
PA
USD
8338162.22000000
0.117841405950
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.3% 08/15/2039
674599CX1
278000.00000000
PA
USD
233839.70000000
0.003304804858
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
0.04300000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST 4.95% 06/01/23
452151LE1
3510000.00000000
PA
USD
3596626.80000000
0.050830332585
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
0.04950000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.224% 4/41#1B8179
3128UGPP6
24295.96860000
PA
USD
25607.84000000
0.000361909949
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Variable
0.03722000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#V80950
3132L6BT7
115093.97510000
PA
USD
126222.70000000
0.001783877554
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 01/31/2024
9128285Z9
77300000.00000000
PA
USD
82810644.34000000
1.170344555457
Long
DBT
UST
US
N
2
2024-01-31
Fixed
0.02500000
N
N
N
N
N
N
SAUDI ARABIA KINGDOM OF
54930044PULMORCKB765
SAUDI ARABIA KINGDOM OF 2.9% 10/22/2025 144A
80413TAS8
3150000.00000000
PA
USD
3394125.00000000
0.047968419349
Long
DBT
NUSS
SA
N
2
2025-10-22
Fixed
0.02900000
N
N
N
N
N
N
COMM 14-CCRE18 MTG TR
N/A
COMM 14-CCRE18 MTG TR 3.828% 07/15/2047
12632QAX1
1264000.00000000
PA
USD
1392328.23000000
0.019677467508
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
0.03828000
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
1909212.26000000
0.026982475399
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.06020000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.75% 07/15/28
912828Y38
26500000.00000000
PA
USD
31983038.97000000
0.452009229294
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.00750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #564296
36213T3D3
338.39550000
PA
USD
389.29000000
0.000005501749
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 30YR 3.5% 05/01/2046#BD0997
3140F8DB0
1002066.22650000
PA
USD
1080963.81000000
0.015277022896
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 4% 04/48#BK4838
3140HJLU3
45993.81100000
PA
USD
49911.69000000
0.000705390896
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 15YR 3% 11/32#MA3218
31418CSG0
1702804.75200000
PA
USD
1796181.97000000
0.025385043262
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/01/2028#MA1358
31418AQL5
132923.81020000
PA
USD
139672.99000000
0.001973967533
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #768137
36176KEJ2
104336.62610000
PA
USD
115780.40000000
0.001636298833
Long
ABS-MBS
USGA
US
N
2
2041-08-15
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
14408.06710000
PA
USD
15740.31000000
0.000222454326
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 3.95% 12/01/2027
87165BAM5
7681000.00000000
PA
USD
8611863.85000000
0.121709570665
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.03950000
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
2560835.20000000
0.036191718560
Long
DBT
CORP
LU
N
2
2049-04-02
Variable
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/32 #539799
36212PUY6
43907.16900000
PA
USD
50976.84000000
0.000720444426
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07000000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS INC 3.125% 06/15/2023
92277GAH0
1289000.00000000
PA
USD
1361849.91000000
0.019246724140
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.03125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 4/41 #A97945
312946ZJ8
700740.11970000
PA
USD
784312.14000000
0.011084510332
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 06/01/2043#Q19744
3132JBHW6
86852.08010000
PA
USD
95412.87000000
0.001348449028
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2047#784303
3622A2X80
1130700.34770000
PA
USD
1247226.03000000
0.017626770148
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BK4845
3140HJL33
221344.21600000
PA
USD
233482.14000000
0.003299751541
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
UPJOHN INC 4% 06/22/2050 144A
91533BAF7
3759000.00000000
PA
USD
4299131.95000000
0.060758682787
Long
DBT
CORP
US
N
2
2050-06-22
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 07/01/2028#MA1514
31418AVG0
137815.71860000
PA
USD
144813.28000000
0.002046614117
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/40 #719262
3620A5B73
146378.01390000
PA
USD
166913.84000000
0.002358956453
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 3.5% 05/01/2045#AY9077
3138YPCP5
60763.21880000
PA
USD
66401.89000000
0.000938443252
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
ARES CLO LTD
N/A
ARES CLO LTD 3ML+122 01/15/2033 144A
04018AAC3
6350000.00000000
PA
USD
6350000.00000000
0.089743148195
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.00000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34623
31307RD44
20121.29360000
PA
USD
21670.80000000
0.000306268632
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2045#MA3310
36179RVB2
14053059.24000000
PA
USD
15179011.43000000
0.214521617672
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #779846
36176YET0
50074.04990000
PA
USD
55566.24000000
0.000785305403
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% 12/01/2049#MA3871
31418DJR4
30740967.83000000
PA
USD
32161231.28000000
0.454527581875
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
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
61771LAG7
1162000.00000000
PA
USD
1059864.85000000
0.014978835952
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03177097
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.93% 05/01/2060
097023CX1
2960000.00000000
PA
USD
4191477.87000000
0.059237231440
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
0.05930000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3% 11/01/2039#MA3831
31418DHH8
3393735.24900000
PA
USD
3553710.84000000
0.050223810796
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/44#Q28370
3132M86F8
169125.52180000
PA
USD
185108.73000000
0.002616100817
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04000000
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
1222765.23000000
0.017281071062
Long
DBT
CORP
US
N
2
2067-05-15
Variable
0.02333500
N
N
N
N
N
N
CLECO CORPORATE HLDGS LLC
5493002H80P81B3HXL31
CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026
18551PAC3
13180000.00000000
PA
USD
14582973.96000000
0.206097951688
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
0.03743000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 2.25% 01/15/2023
00914AAD4
1326000.00000000
PA
USD
1361375.45000000
0.019240018702
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.02250000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 2.6% 05/11/2023
14040HCD5
7472000.00000000
PA
USD
7832536.63000000
0.110695511107
Long
DBT
CORP
US
N
2
2023-05-11
Fixed
0.02600000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 5.017% 06/26/2024 144A
46115HAT4
4337000.00000000
PA
USD
4745015.98000000
0.067060263351
Long
DBT
CORP
IT
N
2
2024-06-26
Fixed
0.05017000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 6/40 #743475
3620AX6L7
53161.46530000
PA
USD
60802.39000000
0.000859306755
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.05000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS 2.219%/VAR 06/09/2026 144A
09659W2L7
7541000.00000000
PA
USD
7891042.89000000
0.111522367164
Long
DBT
CORP
FR
N
2
2026-06-09
Variable
0.02219000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 12/20/2042#MA0699
36179MX47
2410813.11290000
PA
USD
2642393.41000000
0.037344362737
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 7.00% 2/31 #541391
36212RNG9
432.40780000
PA
USD
502.35000000
0.000007099601
Long
ABS-MBS
USGA
US
N
2
2031-02-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 12/40 #G06185
3128M8F25
178621.21240000
PA
USD
200147.30000000
0.002828637607
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2043#Q22486
3132JPXP2
14041.03210000
PA
USD
15425.02000000
0.000217998402
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #507037
31383MHN6
2877.00440000
PA
USD
3318.48000000
0.000046899345
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 3.95% 11/06/2024
254709AK4
2847000.00000000
PA
USD
3160927.13000000
0.044672685332
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 3% 05/50#FM3269
3140X6T35
1106496.17200000
PA
USD
1183550.91000000
0.016726863734
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.03000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.375% 10/15/2028
125523AH3
6064000.00000000
PA
USD
7326279.21000000
0.103540686750
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
0.04375000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 5.75% 8/15/42
91529YAJ5
7278000.00000000
PA
USD
8827173.39000000
0.124752492863
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
0.05750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 01/42#G60517
31335ASE9
2809257.73670000
PA
USD
3144187.00000000
0.044436100770
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 11/1/42 #Q13148
3132HPP99
90243.10640000
PA
USD
98727.28000000
0.001395290853
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 7.5% 09/01/2031#
31292HMA9
12337.88590000
PA
USD
14604.69000000
0.000206404859
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 3.5% 03/01/2045#AY2657
3138YF5T7
139555.82080000
PA
USD
152506.24000000
0.002155337023
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24971
3132M5FL1
22083.92710000
PA
USD
24219.28000000
0.000342285737
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 6.50% 7/35 #745092
31403CXV8
32908.15220000
PA
USD
38701.39000000
0.000546958201
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 7.00% 12/25 #331012
31375CVD4
243.86530000
PA
USD
260.10000000
0.000003675935
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
0.07000000
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
3126152.51000000
0.044181223304
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
0.05550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 03/01/2035#SB8035
3132D54U3
999900.59200000
PA
USD
1042992.61000000
0.014740384309
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 8% 04/01/2027#
3128FMF97
1108.47700000
PA
USD
1252.59000000
0.000017702577
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #888544
31410GER0
236575.05530000
PA
USD
276966.63000000
0.003914308239
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2047#BE3663
3140FPB99
1431409.18300000
PA
USD
1576170.74000000
0.022275673118
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 7.50% 1/24 #368294
36204FC77
691.60110000
PA
USD
739.48000000
0.000010450907
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96695
312945NL8
54097.85700000
PA
USD
60549.70000000
0.000855735543
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
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
2445577.47000000
0.034562806506
Long
DBT
CORP
US
N
2
2024-01-31
Fixed
0.04000000
N
N
N
N
N
N
EATON VANCE CLO 2020-2 LTD
N/A
EATON VANCE CLO 2020-2A A1 3ML+137 10/15/2032 144A
27829PAA4
6730000.00000000
PA
USD
6721506.74000000
0.094993570939
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01560340
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2044#AV8078
3138XK6Q2
12372.03120000
PA
USD
14307.57000000
0.000202205728
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.04500000
N
N
N
N
N
N
VOYA CLO 2020-3 LTD / VOYA CLO 2020-3 LLC
N/A
VOYA 2020-3A A1 3ML+127 10/20/2031 144A
92918NAC1
8400000.00000000
PA
USD
8423184.00000000
0.119042999998
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Variable
0.01496480
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2044#Q28059
3132M8TQ9
31044.06550000
PA
USD
33977.88000000
0.000480201877
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 4/40 #A91937
312940EJ4
360013.42390000
PA
USD
415256.01000000
0.005868721518
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2044#Q25624
3132M54H2
17016.49630000
PA
USD
18624.64000000
0.000263217925
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
UPJOHN INC 1.65% 06/22/2025 144A
91533BAB6
983000.00000000
PA
USD
1015823.46000000
0.014356408710
Long
DBT
CORP
US
N
2
2025-06-22
Fixed
0.01650000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 3% 11/19/2024
418056AX5
4395000.00000000
PA
USD
4758082.95000000
0.067244935953
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
0.03000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTN TII 1% 02/15/2049
912810SG4
17310000.00000000
PA
USD
25252909.62000000
0.356893796912
Long
DBT
UST
US
N
2
2049-02-15
Fixed
0.01000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #443941
36207WEN0
827.72510000
PA
USD
926.07000000
0.000013087942
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030
38141GXH2
15490000.00000000
PA
USD
18217066.86000000
0.257457784393
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
0.03800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 05/01/2044#AS9099
3138WKDD4
60457.02300000
PA
USD
69477.97000000
0.000981916812
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 ARM 0.0% 07/01/2041#AI6050
3138AKWL9
64973.03050000
PA
USD
67595.60000000
0.000955313692
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.02706000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q11868
3132HNCD9
26959.41930000
PA
USD
29793.66000000
0.000421067219
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 15YR 4.50% 5/25 #AB1004
31416WDJ8
70185.62700000
PA
USD
74072.90000000
0.001046855943
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AZ1192
3138YSKE5
320650.02520000
PA
USD
350205.11000000
0.004949371509
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 4.50% 3/40 #AD2341
31418PS71
8306.71400000
PA
USD
9305.14000000
0.000131507489
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 06/20/2045#MA2893
36179RGA1
453508.26900000
PA
USD
497410.68000000
0.007029795333
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
0.04000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 2.85% 07/25/2022
87165BAQ6
1524000.00000000
PA
USD
1573710.47000000
0.022240902665
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
0.02850000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD 6.125% 12/15/2022
780099CE5
8239000.00000000
PA
USD
9060716.99000000
0.128053113006
Long
DBT
CORP
GB
N
2
2022-12-15
Fixed
0.06125000
N
N
N
N
N
N
VEREIT OPER PARTNERSHIP LP
5493005TQOUJE1LCS698
VEREIT OPER PARTNERSHIP LP 2.85% 12/15/2032
92340LAG4
980000.00000000
PA
USD
1024057.86000000
0.014472783667
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
0.02850000
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
10905545.06000000
0.154125660861
Long
DBT
CORP
US
N
2
2037-06-26
Fixed
0.06450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9282
36184HJ39
75381.47950000
PA
USD
79256.65000000
0.001120116738
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
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
6300656.26000000
0.089045784010
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.03250000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 4.78% 03/25/2038
126650CY4
5967000.00000000
PA
USD
7529572.92000000
0.106413791875
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
0.04780000
N
N
N
N
N
N
FIVE CORNERS FND TR II
N/A
FIVE CORNERS FND TR II 2.85% 05/15/2030 144A
33834DAA2
9549000.00000000
PA
USD
10557526.71000000
0.149207194348
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.02850000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q34164
3132QQTW2
3528837.13010000
PA
USD
3816534.05000000
0.053938233203
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2032#BM5110
3140J9VC2
1692192.22300000
PA
USD
1788160.34000000
0.025271675336
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2046#Q40046
3132WDBQ6
1253295.80800000
PA
USD
1352340.52000000
0.019112330031
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 3.5% 03/01/2045#Q31974
3132QNFQ7
40144.57950000
PA
USD
43881.63000000
0.000620169389
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 ARM 0.0% 09/01/2041#AI9813
3138AP3X4
36717.20050000
PA
USD
38279.62000000
0.000540997418
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.02321000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2029#MA1775
31418A6M5
139309.89760000
PA
USD
146383.33000000
0.002068803287
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
0.03000000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030
11120VAJ2
5065000.00000000
PA
USD
5810451.30000000
0.082117825527
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
0.04050000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.5% 11/15/2030
969457BX7
8506000.00000000
PA
USD
9628510.88000000
0.136077618709
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
0.03500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.8% 04/01/2027
68389XBU8
5858000.00000000
PA
USD
6458134.94000000
0.091271395430
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.02800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2049#CA4628
3140QCEA0
9949753.81100000
PA
USD
10837722.57000000
0.153167140582
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 10/01/2046#AL9285
3138ERJ76
80640.79910000
PA
USD
86460.84000000
0.001221931964
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 3.50% 5/42 #766751
36176HTG9
882117.03890000
PA
USD
959683.97000000
0.013563001691
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 3% 05/01/2046#V82275
3132L7Q44
2126675.42720000
PA
USD
2282668.56000000
0.032260450844
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03000000
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
4996956.94000000
0.070620889321
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 7.00% 9/25 #318376
31374MT95
1248.92130000
PA
USD
1380.16000000
0.000019505496
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 10/39 #710924
36297FYV8
85057.53850000
PA
USD
97282.91000000
0.001374877891
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% 04/48#BK2485
3140HFXP9
100120.00800000
PA
USD
108648.51000000
0.001535505406
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDING JERSEY LTD 4.125% 09/24/2025 144A
90351DAB3
5261000.00000000
PA
USD
6022888.02000000
0.085120146794
Long
DBT
CORP
CH
N
2
2025-09-24
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 04/48#Q55724
3132XYLE5
910906.54000000
PA
USD
995881.28000000
0.014074570282
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 4.0% 10/01/2043#Q22499
3132JPX49
197746.69710000
PA
USD
217238.09000000
0.003070177969
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.3% 11/20/2026
172967JC6
1733000.00000000
PA
USD
2020584.42000000
0.028556473550
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
0.04300000
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
22410036.39000000
0.316716097135
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
0.04200000
N
N
N
N
N
N
CHICAGO IL
N/A
CHICAGO ILL TAXABLE PROJ C1
167486MM8
2940000.00000000
PA
USD
3593738.40000000
0.050789511465
Long
DBT
MUN
US
N
2
2035-01-01
Fixed
0.07781000
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
1212141.74000000
0.017130931623
Long
DBT
CORP
US
N
2
2022-04-18
Fixed
0.04500000
N
N
N
N
N
N
IMPERIAL TOBACCO FINANCE
2138008L3B3MCG1DFS50
IMPERIAL TOBACCO FINANCE 3.75% 07/21/2022 144A
453140AE5
4804000.00000000
PA
USD
5008434.94000000
0.070783105361
Long
DBT
CORP
GB
N
2
2022-07-21
Fixed
0.03750000
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
2930235.69000000
0.041412374137
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/01/2050#RA2457
3133KHWS1
2028451.11000000
PA
USD
2172244.97000000
0.030699858623
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 06/01/2050#SD7518
3132DVK79
6616159.78400000
PA
USD
7120317.78000000
0.100629879327
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 05/15/2042#766754
36176HTK0
255204.24100000
PA
USD
276050.01000000
0.003901353851
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 9/35 #550659
36213CWU0
38279.73300000
PA
USD
45186.33000000
0.000638608426
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
0.06500000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
HCP INC 3.25% 07/15/2026
40414LAQ2
573000.00000000
PA
USD
646669.80000000
0.009139241526
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.03250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/22 #334981
36224QCS3
94.88520000
PA
USD
97.25000000
0.000001374412
Long
ABS-MBS
USGA
US
N
2
2022-10-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #339158
36224UWT0
3022.83830000
PA
USD
3168.00000000
0.000044772644
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 3.0% 07/01/2045#Q34979
3132QRQ94
51479.63520000
PA
USD
55885.12000000
0.000789812063
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 12/40#V82128
3132L7LH0
198514.02140000
PA
USD
212643.42000000
0.003005242512
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AH7281
36182QCS3
8911.66590000
PA
USD
9369.79000000
0.000132421173
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
VOYA CLO 2017-1 LTD
N/A
VOYA CLO 2017-1 LTD 3ML+125 04/17/2030 144A
92916MAA9
5002000.00000000
PA
USD
5002965.39000000
0.070705805419
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Variable
0.01467750
N
N
N
N
N
N
PINE STREET TRUST II
N/A
PINE STR TR I 5.568% 02/15/2049 144A
72284LAA7
5700000.00000000
PA
USD
7400271.87000000
0.104586408679
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
0.05568000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 4% 04/15/2030
053332AZ5
5311000.00000000
PA
USD
6288758.82000000
0.088877640117
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/01/2041#
3132GEQJ2
59380.51630000
PA
USD
66388.16000000
0.000938249209
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
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
2130389.14000000
0.030108319418
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.02059000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/46#BC1443
3140EVS99
1549802.75900000
PA
USD
1712815.35000000
0.024206841226
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.125% 01/23/2023
61744YAN8
26000000.00000000
PA
USD
27438158.28000000
0.387777433815
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% 05/01/2048#Q55992
3132XYUS4
2734919.15000000
PA
USD
2968597.48000000
0.041954532847
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 ARM 5.344% 7/35 #834917
31407MSE6
9277.77060000
PA
USD
9651.13000000
0.000136397289
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.02105000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2028#MA1320
31418APE2
137493.19270000
PA
USD
144233.00000000
0.002038413148
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 15YR 2.5% 11/01/2032#MA3187
31418CRH9
322246.63200000
PA
USD
337544.10000000
0.004770436250
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #729562
3620AGQP3
57983.11840000
PA
USD
66317.07000000
0.000937244510
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
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
885360.00000000
0.012512597430
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 1999-54 PH 6.5% 11/29
31359XBH1
106844.19600000
PA
USD
114922.94000000
0.001624180541
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 4.0% 07/01/2043#Q19988
3132JBRJ4
104805.49620000
PA
USD
115135.91000000
0.001627190399
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.875% 12/01/2024
55336VAG5
2736000.00000000
PA
USD
3139282.65000000
0.044366788674
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 9/25 #AE0552
31419ATJ6
130515.62530000
PA
USD
136363.72000000
0.001927198351
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 2/40 #711189
36297GC24
94792.90960000
PA
USD
107943.89000000
0.001525547168
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 3.5% 05/01/2050#FM3217
3140X6SF9
4856844.39400000
PA
USD
5198267.93000000
0.073465973102
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 3/41 #A97661
312946QN9
442594.16270000
PA
USD
495379.05000000
0.007001082755
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA INC 4.75% 5/01/23
404121AF2
215000.00000000
PA
USD
234459.02000000
0.003313557571
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.04750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 1/41 #004922
36202FPF7
1300215.89400000
PA
USD
1434835.31000000
0.020278210686
Long
ABS-MBS
USGA
US
N
2
2041-01-20
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
4781.32600000
PA
USD
5224.47000000
0.000073836281
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04000000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 3.625% 04/15/2025
053332AY8
1142000.00000000
PA
USD
1278984.25000000
0.018075602060
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.03625000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 07/15/2040#783030
36241LLK0
109659.63330000
PA
USD
121476.51000000
0.001716800699
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #567100
36213W7M2
11128.59500000
PA
USD
12736.50000000
0.000180002142
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
HORIZON 2018
N/A
HORIZON 2018-1 A 4.458% 12/15/2038 144A
440405AE8
2708172.28000000
PA
USD
2615887.79000000
0.036969764661
Long
ABS-CBDO
CORP
US
N
2
2038-12-15
Fixed
0.04458000
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
21442851.59000000
0.303047087869
Long
DBT
CORP
US
N
2
2028-12-20
Variable
0.03419000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/01/2045#BA3565
3140E76B1
379762.58000000
PA
USD
414604.01000000
0.005859506946
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2038#AB8124
31417FA24
67467.37110000
PA
USD
74525.17000000
0.001053247775
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 4.50% 7/38 #909209
31411JDN3
147273.09790000
PA
USD
165979.59000000
0.002345752904
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/40 #737674
3620ARQ38
59520.46360000
PA
USD
67870.77000000
0.000959202609
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772063
36176PQQ2
116778.91980000
PA
USD
129368.42000000
0.001828335320
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2041#AB2083
31416XJ50
9030.73400000
PA
USD
10014.48000000
0.000141532435
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 2.9% 08/15/2024
674599CW3
4509000.00000000
PA
USD
4339912.50000000
0.061335025298
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.02900000
N
N
N
N
N
N
AASET 2018-1 TR
N/A
AASET 2018-1A A 3.844% 1/38 144A
000367AA0
2487058.94870000
PA
USD
2350785.03000000
0.033223125877
Long
ABS-CBDO
CORP
US
N
2
2038-01-16
Fixed
0.03844000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/27 #353881
36203NCS5
1097.50420000
PA
USD
1244.24000000
0.000017584569
Long
ABS-MBS
USGA
US
N
2
2027-10-15
Fixed
0.07500000
N
N
N
N
N
N
TRANSCONTINENTAL GAS PIPE LINE CO LLC
N/A
TRANSCONTINENTAL GAS LINE LLC 3.95% 05/15/2050 WI
893574AR4
3282000.00000000
PA
USD
3705742.50000000
0.052372440685
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/41 #AB3872
31417AJS9
863810.11610000
PA
USD
958447.25000000
0.013545523400
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 2.5% 02/01/2051#TBA
21H022622
11750000.00000000
PA
USD
12415363.73000000
0.175463594822
Long
ABS-MBS
USGA
US
N
2
2051-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AO2138
3138LSLU2
1443534.09600000
PA
USD
1583805.77000000
0.022383577311
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG3507
3617GM3Q3
1548333.49200000
PA
USD
1694350.94000000
0.023945887795
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 7.00% 9/26 #313264
31374F5Z8
755.31150000
PA
USD
834.63000000
0.000011795641
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
UPJOHN INC 3.85% 06/22/2040 144A
91533BAE0
2177000.00000000
PA
USD
2453822.36000000
0.034679329716
Long
DBT
CORP
US
N
2
2040-06-22
Fixed
0.03850000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.805% 05/01/2050
097023CW3
3000000.00000000
PA
USD
4137756.60000000
0.058478000590
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
0.05805000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AIG INTL GRP 4.875% 6/01/22
026874CU9
3597000.00000000
PA
USD
3816172.87000000
0.053933128726
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.04875000
N
N
N
N
N
N
BENCHMARK 2019-B14 MTG TR
N/A
BENCHMARK 2019-B14 MTG TR 3.0486% 12/15/2062
08162YAE2
2997000.00000000
PA
USD
3365188.04000000
0.047559459681
Long
ABS-MBS
CORP
US
N
2
2062-12-15
Fixed
0.03048600
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/26 #323242
31374TBK4
383.64610000
PA
USD
420.91000000
0.000005948628
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 03/01/2044#AS2238
3138WBPY5
215623.11800000
PA
USD
233468.84000000
0.003299563575
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.03000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE INC 4% 09/01/2021
88732JBA5
7363000.00000000
PA
USD
7467483.77000000
0.105536299624
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 30YR 3.0% 07/01/2045#AZ5987
3138YXUM5
129257.22940000
PA
USD
139672.26000000
0.001973957217
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 4.50% 6/40 #745138
3620C0ZB7
159361.83580000
PA
USD
181171.91000000
0.002560462609
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
0.04500000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST BUILD AMERICA BONDS-TAXABLE-SE
452152FA4
9480000.00000000
PA
USD
10946745.60000000
0.154707938998
Long
DBT
MUN
US
N
2
2035-04-01
Fixed
0.06725000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 2/36 #880258
31409V5T6
5925.91710000
PA
USD
7094.78000000
0.000100268959
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
0.06500000
N
N
N
N
N
N
AASET 2019-2 TR
N/A
AASET 2019-2 B TR 4.458% 10/16/2039 144A
00038RAB2
1126361.63000000
PA
USD
965405.34000000
0.013643860550
Long
ABS-CBDO
CORP
US
N
2
2039-10-16
Fixed
0.04458000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AY0356
3138YDME6
294025.79570000
PA
USD
321276.93000000
0.004540535927
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 01/01/2051 #TBA
21H030617
11050000.00000000
PA
USD
11553819.23000000
0.163287576595
Long
ABS-MBS
USGA
US
N
2
2051-01-01
Fixed
0.03000000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 4.5% 03/15/2025
91529YAQ9
6953000.00000000
PA
USD
7873855.46000000
0.111279461010
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552552
36213EZR0
197609.21920000
PA
USD
218603.97000000
0.003089481649
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 4% 04/46#G60551
31335ATG3
1052267.74800000
PA
USD
1160919.65000000
0.016407021132
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 3.5% 07/01/2046#BC6168
3140F12A9
460054.32410000
PA
USD
495989.12000000
0.007009704740
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 10/15/2041#757458
36230SJB1
455476.99020000
PA
USD
515967.20000000
0.007292050534
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 ARM 3.83% 10/33 #879911
31409VR88
125998.44890000
PA
USD
132523.09000000
0.001872919575
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.02277000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 08/01/2040#V81886
3132L7CX5
277494.06220000
PA
USD
298285.53000000
0.004215603546
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 15YR 2.5% 02/01/2035#QN1578
3133G7XF5
923972.75600000
PA
USD
976785.93000000
0.013804699916
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984
3617M76V5
196355.95900000
PA
USD
213867.77000000
0.003022545980
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 5.55% 01/23/2049
03523TBV9
10715000.00000000
PA
USD
15207814.07000000
0.214928679025
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
0.05550000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/30 #528329
36212A4N2
1882.92150000
PA
USD
2181.39000000
0.000030829103
Long
ABS-MBS
USGA
US
N
2
2030-02-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #733234
3620ALSX3
28591.19490000
PA
USD
32405.87000000
0.000457985006
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 4% 02/01/2042#AK2717
3138E7AT1
47899.22180000
PA
USD
53087.08000000
0.000750267982
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 15YR 3% 03/01/2033#BJ8569
3140HAQX1
647276.51000000
PA
USD
681153.21000000
0.009626587947
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 4.5% 04/01/2048#Q55660
3132XYJE8
713873.32000000
PA
USD
780467.64000000
0.011030176862
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 15YR 3% 12/01/2034#FM0046
3140X3BQ0
4106069.54700000
PA
USD
4408224.12000000
0.062300458343
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
BRISTOL PARK CLO LTD 2016
549300XRS6MFERKEPO61
BRISTOL PARK CLO LTD 2016 3ML+99 04/15/2029 144A
11014PAJ4
6492000.00000000
PA
USD
6464824.49000000
0.091365937364
Long
ABS-CBDO
CORP
US
N
2
2029-04-15
Variable
0.01226880
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040
674599DJ1
1700000.00000000
PA
USD
1687250.00000000
0.023845531778
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
0.06200000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AN7590
36186QNF5
14799.57270000
PA
USD
15537.26000000
0.000219584665
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL C 1ML+130 10/15/2036 144A
056054AF6
3692768.49000000
PA
USD
3683504.44000000
0.052058155092
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01409000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2045#AS4796
3138WEKJ7
215989.77300000
PA
USD
233670.67000000
0.003302415994
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 3% 11/46#MA4126
36179SSP3
2847800.98460000
PA
USD
2996345.99000000
0.042346696413
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
0.03000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.75% 02/01/2022
00912XAQ7
4522000.00000000
PA
USD
4642696.52000000
0.065614205011
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
0.03750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.283 6/1/41
3128UGXF9
27835.28600000
PA
USD
29373.31000000
0.000415126505
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.02910000
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
6300664.93000000
0.089045906542
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 7.00% 9/27 #379293
31377KKE4
14762.39120000
PA
USD
16835.16000000
0.000237927599
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2.5% 11/01/2049#QA4396
31339U3D0
89603.38800000
PA
USD
94442.94000000
0.001334741222
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.02500000
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
9708472.84000000
0.137207703437
Long
DBT
CORP
US
N
2
2022-11-16
Fixed
0.03300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 04/01/2041#
3132GDGH9
124345.93460000
PA
USD
139175.74000000
0.001966940009
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 II 4% 04/20/2048#BG7744
3617GSS91
1408879.45600000
PA
USD
1541745.52000000
0.021789149083
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.04000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
STATE STREET CORP 2.825%/VAR 03/30/2023
857477BL6
681000.00000000
PA
USD
702818.38000000
0.009932777012
Long
DBT
CORP
US
N
2
2023-03-30
Variable
0.02825000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2045#AY5352
3138YJ5N2
191219.96510000
PA
USD
208964.68000000
0.002953251692
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% 12/01/2042#AQ6625
3138MNLF5
92859.66660000
PA
USD
100487.02000000
0.001420160870
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTY LTD 3.85% 2/01/23
10112RAU8
4708000.00000000
PA
USD
5008456.27000000
0.070783406813
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2045#AY4820
3138YJLA2
186399.88690000
PA
USD
207930.42000000
0.002938634723
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #738885
3620AS2S7
330006.61580000
PA
USD
366202.17000000
0.005175454427
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 4.889% 3/33 #847126
3128HD4K2
1260.55340000
PA
USD
1321.54000000
0.000018677033
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Variable
0.03236000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 9/41 #Q03090
3132GJC31
319593.42480000
PA
USD
358707.67000000
0.005069536313
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% 06/01/2043#Q19747
3132JBHZ9
41231.26670000
PA
USD
45295.33000000
0.000640148899
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.04000000
N
N
N
N
N
N
PLANET FITNESS MASTER ISSUER LLC 18-1A
N/A
PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A
72703PAC7
4734180.00000000
PA
USD
4464615.79000000
0.063097429366
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 30YR 4.0% 09/01/2043#Q21845
3132JPBN1
125634.09250000
PA
USD
138017.53000000
0.001950571283
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 3/29 #323688
31374TRH4
1168.73250000
PA
USD
1315.91000000
0.000018597465
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
0.07500000
N
N
N
N
N
N
MADISON PARK FUNDING 2015
N/A
MADISON PARK FUNDING 2015-19A A1R2 3ML+92 01/22/2028 144A
55819QAY3
4688000.00000000
PA
USD
4671441.98000000
0.066020458251
Long
ABS-CBDO
CORP
KY
N
2
2028-01-22
Variable
0.01135750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #250329
31371FA69
304.20470000
PA
USD
331.75000000
0.000004688549
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07000000
N
N
N
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
DDR CORP 4.25% 02/01/26
23317HAE2
2954000.00000000
PA
USD
3188785.75000000
0.045066405059
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25265
3132M5QS4
576632.65930000
PA
USD
638172.86000000
0.009019156149
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/01/2047#Q49393
3132WPNK9
787725.54200000
PA
USD
867609.50000000
0.012261733532
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
PARK PL SECS INC
N/A
PPSI 2005-WCH1 M4 1ML+83 1/36
70069FFL6
458674.05000000
PA
USD
458893.07000000
0.006485434454
Long
ABS-CBDO
CORP
US
N
2
2036-01-25
Variable
0.01395130
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 12/01/2032#J38057
31307U5S3
600408.55600000
PA
USD
633511.00000000
0.008953271111
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #509683
31383QFY5
334.82950000
PA
USD
379.67000000
0.000005365792
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 4% 05/47#BM1277
3140J5M30
1648172.06900000
PA
USD
1799384.11000000
0.025430298400
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2048#Q54192
3132XWUS8
81437.86300000
PA
USD
88447.02000000
0.001250002208
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 7.00% 7/25 #250328
31371FA51
152.13020000
PA
USD
161.10000000
0.000002276790
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/01/2046#BM4548
3140J9BS9
1341196.83000000
PA
USD
1502401.58000000
0.021233109865
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 7.5% 10/01/2027#
31283G3D7
278.31940000
PA
USD
314.98000000
0.000004451542
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% 11/01/2042#AQ6832
3138MNSW1
65064.18440000
PA
USD
70408.46000000
0.000995067222
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
PUGET ENERGY INC NEW
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC 6% 9/01/21
745310AD4
4807000.00000000
PA
USD
4974713.59000000
0.070306528966
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 7.50% 6/27 #391266
31377YTX3
11319.40870000
PA
USD
12895.70000000
0.000182252081
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
0.07500000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 2.6% 11/19/2022
418056AW7
1931000.00000000
PA
USD
2005243.34000000
0.028339661453
Long
DBT
CORP
US
N
2
2022-11-19
Fixed
0.02600000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/32 #569702
36200Q3K8
1909.49890000
PA
USD
2226.51000000
0.000031466774
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 05/01/2034#C91764
3128P75Z2
1053433.16150000
PA
USD
1134392.98000000
0.016032125561
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#BC0997
3140EVDB0
93419.19920000
PA
USD
101814.81000000
0.001438926233
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #490635
36210FBC9
711.49960000
PA
USD
809.84000000
0.000011445289
Long
ABS-MBS
USGA
US
N
2
2028-10-15
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
582860.81570000
PA
USD
639067.72000000
0.009031803008
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #436199
36207MRU2
55230.24710000
PA
USD
62438.00000000
0.000882422470
Long
ABS-MBS
USGA
US
N
2
2028-02-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 3/28 #251570
31371GMT4
1488.95230000
PA
USD
1707.11000000
0.000024126208
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 4/42 #C03856
31292LH99
1999758.10100000
PA
USD
2218116.69000000
0.031348153515
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 01/01/2051 #TBA
01F032617
1500000.00000000
PA
USD
1585781.70000000
0.022411502694
Long
ABS-MBS
USGA
US
N
2
2051-01-01
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
505974.41170000
PA
USD
532841.05000000
0.007530524931
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
0.03000000
N
N
N
N
N
N
CORPOARATE OFFICE PPTYS LP
H0TWO5VRNEP6CQAWPX27
CORPORATE OFFICE PPTYS LP 2.25% 03/15/2026
22003BAL0
1664000.00000000
PA
USD
1734289.27000000
0.024510327397
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.02250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 01/01/2033#J38387
31307VJ80
209698.28900000
PA
USD
221574.17000000
0.003131458830
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.03000000
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
7510092.48000000
0.106138479117
Long
DBT
CORP
US
N
2
2058-04-15
Fixed
0.04750000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY GL 7.375 11/15/31C
337932AC1
5363000.00000000
PA
USD
7643314.51000000
0.108021276657
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 4.50% 6/40 #745068
3620C0W53
202299.76650000
PA
USD
229986.27000000
0.003250345182
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 15YR 2.5% 02/35#BO9279
3140K5JZ1
437846.95400000
PA
USD
464652.51000000
0.006566831348
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/32 #545759
31385JJC3
77432.87050000
PA
USD
90398.88000000
0.001277587414
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 ARM 5.30% 8/36 #888199
31410FX42
219330.99760000
PA
USD
231667.38000000
0.003274103939
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Variable
0.03636000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.6% 06/01/2060
035240AU4
3700000.00000000
PA
USD
4724025.06000000
0.066763603313
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
0.04600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 4/1/43 #AB8881
31417F2P2
472636.52580000
PA
USD
511901.28000000
0.007234587784
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 3.75% 05/15/2030
29278NAQ6
2315000.00000000
PA
USD
2495792.38000000
0.035272482743
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 5/30 #479341
36209RP23
1667.30820000
PA
USD
1963.15000000
0.000027744765
Long
ABS-MBS
USGA
US
N
2
2030-05-15
Fixed
0.08000000
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
1201200.00000000
0.016976294427
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.65% 7/37 #942609
31413DVA2
18195.97290000
PA
USD
19309.24000000
0.000272893226
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Variable
0.02806000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 07/01/2045#Q34759
3132QRJD3
166679.75140000
PA
USD
180162.43000000
0.002546195851
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18481
3132J92P2
171091.27860000
PA
USD
188543.44000000
0.002664642815
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 4.375% 04/15/2040 144A
87264AAW5
1316000.00000000
PA
USD
1606006.92000000
0.022697341263
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/26 #358195
31376K3C8
279.80890000
PA
USD
309.74000000
0.000004377487
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 15YR 3% 04/01/2033#G18684
3128MMXN8
270096.30600000
PA
USD
284312.34000000
0.004018123537
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
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
9038437.81000000
0.127738246273
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
0.04650000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA 6.572% 01/14/2022 144A
904678AJ8
5565000.00000000
PA
USD
5864371.68000000
0.082879870354
Long
DBT
CORP
IT
N
2
2022-01-14
Fixed
0.06572000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #430354
36207FBX8
933612.57160000
PA
USD
1034261.89000000
0.014616994971
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 12/15/2023
91282CBA8
25459000.00000000
PA
USD
25427176.25000000
0.359356668723
Long
DBT
UST
US
N
2
2023-12-15
Fixed
0.00125000
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
48981133.67000000
0.692239549247
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 4.0% 09/45#AZ8147
3140E1BR3
40187.00020000
PA
USD
43873.97000000
0.000620061132
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.00% 3/30 #534269
31384UQW7
690.12980000
PA
USD
732.34000000
0.000010349999
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
0.08000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.95% 01/28/2060
71654QDF6
7879000.00000000
PA
USD
7395623.35000000
0.104520712172
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
0.06950000
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
32167088.60000000
0.454610362085
Long
DBT
CORP
US
N
2
2023-12-20
Variable
0.03004000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/40 #737311
3620ARDQ1
105241.20570000
PA
USD
120005.82000000
0.001696015761
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.05000000
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
3638091.10000000
0.051416338383
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 5/41 #Q00753
3132GDZS4
123759.21310000
PA
USD
138519.05000000
0.001957659154
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/28 #506236
31383LLR4
30211.12470000
PA
USD
33384.10000000
0.000471810115
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #464695
36208YGC7
16625.54820000
PA
USD
18578.33000000
0.000262563436
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 7.5% 07/01/2031#
31298RZH2
262.18360000
PA
USD
307.58000000
0.000004346960
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2033#MA3391
31418CXV1
47071.95600000
PA
USD
49535.58000000
0.000700075416
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
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
6816000.00000000
PA
USD
6811065.22000000
0.096259281166
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Variable
0.01536880
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
6179000.00000000
PA
USD
7389264.05000000
0.104430837589
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Fixed
0.04310000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.00% 9/41 #Q03358
3132GJMF3
176273.02960000
PA
USD
195630.89000000
0.002764808181
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 7/41 #AL0913
3138EHAP7
804186.07020000
PA
USD
961243.69000000
0.013585044869
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 7.50% 7/27 #411814
36206HN79
7180.20850000
PA
USD
8012.86000000
0.000113243981
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 7.50% 5/23 #354111
36203NKY3
268.10690000
PA
USD
282.58000000
0.000003993640
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% 7/31 #559037
36213NBE5
12505.62300000
PA
USD
14520.06000000
0.000205208802
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
0.07000000
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
5424305.54000000
0.076660512745
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.04200000
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
1791098.41000000
0.025313198431
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.03450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2046#BC9478
3140F5Q89
691478.20240000
PA
USD
751244.60000000
0.010617174089
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/28 #251822
31371GVP2
1752.21120000
PA
USD
2015.34000000
0.000028482355
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
0.07500000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029
105340AP8
5842000.00000000
PA
USD
6562041.75000000
0.092739887438
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.04550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q20358
3132JMMF3
53393.52020000
PA
USD
58656.39000000
0.000828977811
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
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
2051208.56000000
0.028989277760
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01759000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AK4826
3138E9LG3
552189.93200000
PA
USD
605847.55000000
0.008562309679
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33347
3132QPWH3
18824.32720000
PA
USD
20564.92000000
0.000290639474
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% 5/29 #495058
31382W5T5
1770.89050000
PA
USD
2042.92000000
0.000028872137
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
0.07500000
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
5026902.06000000
0.071044097091
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.04569000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
HCP INC 3.5% 07/15/2029
40414LAR0
656000.00000000
PA
USD
743765.76000000
0.010511477294
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 02/15/2045#AL2187
36183XNC0
21044.54880000
PA
USD
22126.40000000
0.000312707526
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2040#V81750
3132L65K3
405687.64920000
PA
USD
437859.00000000
0.006188164586
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.03500000
N
N
N
N
N
N
MYLAN INC
30ZMPDNA1RHIBH89C294
MYLAN INC 4.55% 04/15/2028
628530BK2
4000000.00000000
PA
USD
4753267.88000000
0.067176885632
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 4.5% 09/01/2041#AJ2301
3138ATRX0
34140.90110000
PA
USD
38159.10000000
0.000539294136
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 7.50% 1/24 #382114
36204WN78
896.25130000
PA
USD
961.59000000
0.000013589939
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
0.07500000
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
11642542.42000000
0.164541481853
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
0.04700000
N
N
N
N
N
N
BAE SYSTEMS PLC
8SVCSVKSGDWMW2QHOH83
BAE SYSTEMS PLC 3.4% 04/15/2030 144A
05523RAD9
2268000.00000000
PA
USD
2568016.05000000
0.036293203928
Long
DBT
CORP
GB
N
2
2030-04-15
Fixed
0.03400000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/28 #444641
36207W5A8
21218.46840000
PA
USD
23814.29000000
0.000336562103
Long
ABS-MBS
USGA
US
N
2
2028-05-15
Fixed
0.07000000
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
7270167.37000000
0.102747670502
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1406
3138WAR41
169460.89450000
PA
USD
182538.60000000
0.002579777737
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 15YR 3% 02/01/2033#MA3283
31418CUH5
5372787.21000000
PA
USD
5653984.39000000
0.079906513229
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
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
9503275.84000000
0.134307699535
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
0.04650000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 02/28/2026
9128286F2
73467000.00000000
PA
USD
81427838.57000000
1.150801666774
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 03/01/2045#AV2186
3138XDNC0
8520.91280000
PA
USD
9518.35000000
0.000134520739
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 02/34#G30703
3132J4AD1
22711761.03510000
PA
USD
24471429.67000000
0.345849313295
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/01/2032#BM5109
3140J9VB4
1919433.04600000
PA
USD
2027088.86000000
0.028648399365
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
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
4868279.98000000
PA
USD
4669399.55000000
0.065991593039
Long
ABS-CBDO
CORP
US
N
2
2044-07-15
Fixed
0.03967000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BD5294
3140FC3C0
804954.95080000
PA
USD
866823.71000000
0.012250628136
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
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
753840.60000000
0.010653862784
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04949800
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 5.8% 05/01/2025
02005NBJ8
5237000.00000000
PA
USD
6217529.22000000
0.087870967905
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
0.05800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 12/27 #251336
31371GEH9
1561.80220000
PA
USD
1776.86000000
0.000025111970
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.07500000
N
N
N
N
N
N
VOYA FINANCIAL INC
549300T065Z4KJ686G75
VOYA FINANCIAL INC 3.125% 07/15/2024
929089AD2
2851000.00000000
PA
USD
3080655.69000000
0.043538226791
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.03125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34669
31307RFJ9
23618.46530000
PA
USD
25437.28000000
0.000359499462
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% 2/1/43 #Q15635
3132J6V50
56181.60190000
PA
USD
61217.70000000
0.000865176239
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 3.5% 04/01/2046#Q40085
3132WDCX0
2069632.53090000
PA
USD
2255826.81000000
0.031881102316
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 4.50% 6/41 #Q01208
3132GEKV1
47205.31990000
PA
USD
52776.14000000
0.000745873535
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.7% 01/15/2023
969457BU3
1208000.00000000
PA
USD
1279605.47000000
0.018084381626
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03700000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #739706
3620ATYB7
70670.16180000
PA
USD
80584.70000000
0.001138885775
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 7.50% 8/29 #507035
31383MHL0
2207.27670000
PA
USD
2576.92000000
0.000036419041
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 4% 05/01/2048#BM3877
3140J8JX2
900791.77100000
PA
USD
974905.77000000
0.013778128030
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 07/01/2048#Q59935
3132Y4BD3
943469.33300000
PA
USD
1037644.08000000
0.014664794715
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/32 #587033
36201MEE8
11092.07690000
PA
USD
12886.24000000
0.000182118385
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% 08/01/2043#Q20882
3132JM6T1
26636.54440000
PA
USD
29262.04000000
0.000413553951
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
GB 2020-FLIX A
N/A
GB 2020-FLIX B 1ML+145 08/26/2025 144A
368306AJ5
940000.00000000
PA
USD
944246.73000000
0.013344830586
Long
ABS-MBS
CORP
TC
N
2
2037-08-15
Variable
0.01508630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3.5% 09/01/2034#FM1578
3140X4XG6
6071551.65500000
PA
USD
6554655.91000000
0.092635504992
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2048#G67716
3132XCSD8
5332838.73300000
PA
USD
5961971.85000000
0.084259232011
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
0.04500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.25% 8/9/42
02209SAM5
5531000.00000000
PA
USD
6172513.15000000
0.087234765725
Long
DBT
CORP
US
N
2
2042-08-09
Fixed
0.04250000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC VAR 08/27/2021
28414HAF0
1003000.00000000
PA
USD
1025567.50000000
0.014494119076
Long
DBT
CORP
US
N
2
2021-08-27
Variable
0.04912000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7567
31417EMR9
51739.23680000
PA
USD
55989.02000000
0.000791280459
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% 2/23 #342527
36224YPL7
123.31000000
PA
USD
129.48000000
0.000001829912
Long
ABS-MBS
USGA
US
N
2
2023-02-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #443873
36207WCJ1
1371.60300000
PA
USD
1553.20000000
0.000021951032
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 3.0% 8/45#Q35372
3132QR6J4
86733.47410000
PA
USD
94101.67000000
0.001329918128
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 5/40 #004696
36202FGD2
393399.03970000
PA
USD
439007.95000000
0.006204402443
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/32 #552505
36213EYA8
5246.47640000
PA
USD
6117.60000000
0.000086458690
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 3.0% 06/01/2045#Q34103
3132QQRZ7
52259.55940000
PA
USD
57270.71000000
0.000809394301
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.705% 05/01/2040
097023CV5
3000000.00000000
PA
USD
3879337.47000000
0.054825820074
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
0.05705000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2018-BOP
N/A
MORGAN STANLEY CAP I TR 2018-BOP 1ML+125 06/15/2035 144A
61768FAG5
4160105.00000000
PA
USD
3987271.77000000
0.056351231708
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.01409000
N
N
N
N
N
N
APOLLO AVIATION SECURITIZATION EQUITY TRUST
N/A
APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A
00255UAA3
2885871.00000000
PA
USD
2716495.77000000
0.038391635032
Long
ABS-CBDO
CORP
US
N
2
2040-01-16
Fixed
0.03351000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2043#AU8060
3138X75W9
31052.60060000
PA
USD
34445.32000000
0.000486808103
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2044#AW6964
3138XWW20
145392.21730000
PA
USD
160686.71000000
0.002270949799
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.84% 01/23/2030
71654QDC3
20585000.00000000
PA
USD
21428985.00000000
0.302851114414
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
0.06840000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AB7273
31417ECK5
162880.59370000
PA
USD
176259.36000000
0.002491034624
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% 12/01/2042#AR0530
3138NWSU4
151313.61510000
PA
USD
163742.29000000
0.002314133637
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% 12/01/2049#CA4860
3140QCMJ2
4140245.16700000
PA
USD
4402689.10000000
0.062222233127
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 5.55% 03/15/2026
674599DC6
5174000.00000000
PA
USD
5401345.56000000
0.076336024416
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.05550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #AE0746
31419AZL4
191128.13130000
PA
USD
223454.17000000
0.003158028455
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
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
1790648.45000000
0.025306839246
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2043#Q20707
3132JMYC7
123203.06060000
PA
USD
134546.06000000
0.001901509764
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERN 7.25% 6/15/37
761713AT3
2962000.00000000
PA
USD
4112476.40000000
0.058120721104
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
0.07250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/40 #AD0732
31418MY63
273440.48720000
PA
USD
327101.35000000
0.004622851169
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13654
3132HQBX9
56894.07100000
PA
USD
62875.34000000
0.000888603300
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 3.50% 5/42 #AO2123
3138LSLD0
120201.85950000
PA
USD
131882.16000000
0.001863861453
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 11/15/2042#AB9201
36178WGJ2
18372.73800000
PA
USD
20227.12000000
0.000285865421
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 7.50% 1/30 #527717
31384MG22
44.94170000
PA
USD
52.39000000
0.000000740416
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2048#BN2842
3140JKEQ5
12420.53100000
PA
USD
13494.22000000
0.000190710832
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 7.00% 8/25 #319647
31374PBQ9
2877.30810000
PA
USD
3165.98000000
0.000044744096
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 7.00% 11/31 #575375
36200XFQ7
282.64050000
PA
USD
329.77000000
0.000004660566
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0199
3138MFGH4
28642.59410000
PA
USD
31622.78000000
0.000446917768
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #457782
36208QRB4
106.38180000
PA
USD
120.02000000
0.000001696216
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
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
2073000.00000000
0.029297251371
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/45#MA3174
36179RQ36
5629.65100000
PA
USD
6164.08000000
0.000087115581
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
0.04000000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SC 6% 12/19/23
780097AZ4
10433000.00000000
PA
USD
11921870.89000000
0.168489169456
Long
DBT
CORP
GB
N
2
2023-12-19
Fixed
0.06000000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA GROUP LTD 3.2% 09/16/2040 144A
00131LAK1
3487000.00000000
PA
USD
3655701.06000000
0.051665216060
Long
DBT
CORP
HK
N
2
2040-09-16
Fixed
0.03200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE5602
3140FRGL3
3222336.93870000
PA
USD
3507263.70000000
0.049567383620
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 5% 04/48#784805
3622AAGN8
3727940.15000000
PA
USD
4143903.34000000
0.058564871110
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
0.05000000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.5% 06/01/2050
035240AT7
5000000.00000000
PA
USD
6291379.70000000
0.088914680436
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/28 #313947
31374GWG8
54.09350000
PA
USD
61.04000000
0.000000862664
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 30YR 4% 06/47#BH4269
3140GSW73
93440.53900000
PA
USD
101896.47000000
0.001440080316
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04000000
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
4976805.38000000
0.070336091772
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.05450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#FM2286
3140X5RG0
3189372.26800000
PA
USD
3424069.56000000
0.048391619205
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029
11120VAH6
5051000.00000000
PA
USD
5807533.78000000
0.082076592861
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
0.04125000
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
824186.29000000
0.011648042891
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.0% 08/45#AS5634
3138WFHL3
620609.51210000
PA
USD
666349.05000000
0.009417364022
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 15YR 3% 02/01/2033#ZS8686
3132A9UK1
273795.50400000
PA
USD
288125.22000000
0.004072010128
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 8% 05/01/2027#
31283HA70
465.86750000
PA
USD
524.37000000
0.000007410805
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.08000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 03/01/2043#Q16616
3132J7YN6
7005042.55130000
PA
USD
7529812.70000000
0.106417180632
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 5.25% 04/15/2029
29278NAG8
2052000.00000000
PA
USD
2394764.75000000
0.033844681551
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 6/41 #AE1246
31419BL45
195458.11170000
PA
USD
217543.96000000
0.003074500762
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 01/48#Q53730
3132XWEC1
168929.42100000
PA
USD
184899.32000000
0.002613141271
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/29 #502726
31383GPK6
23113.74000000
PA
USD
26965.70000000
0.000381100285
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 4/41 #Q00114
3132GDDT6
154613.77750000
PA
USD
173053.40000000
0.002445725499
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2044#AW9240
3138XZHS3
153256.89660000
PA
USD
169378.71000000
0.002393791916
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04500000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 5.576% 01/25/2049
35137LAK1
1201000.00000000
PA
USD
1752741.78000000
0.024771112647
Long
DBT
CORP
US
N
2
2049-01-25
Fixed
0.05576000
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
7727092.98500000
PA
USD
7365743.21000000
0.104098422750
Long
ABS-CBDO
CORP
US
N
2
2039-11-15
Fixed
0.03671000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 4.25% 02/01/2024
00914AAA0
5740000.00000000
PA
USD
6228433.25000000
0.088025072154
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/28 #409487
31378U2U5
469.40170000
PA
USD
503.76000000
0.000007119528
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 2.5% 05/01/2028#ZS6944
3132A7WD9
118094.61000000
PA
USD
123516.19000000
0.001745627046
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
0.02500000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMER FIN LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMER FIN LLC 2.9% 05/13/2022 144A
928668BC5
5728000.00000000
PA
USD
5908835.48000000
0.083508267424
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
0.02900000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 01/20/2050#BR8995
3617M77G7
663871.82900000
PA
USD
741127.59000000
0.010474192620
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.03500000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 2.956/VAR 05/13/2031
46647PBP0
4318000.00000000
PA
USD
4733545.36000000
0.066898151611
Long
DBT
CORP
US
N
2
2031-05-13
Variable
0.02956000
N
N
N
N
N
N
UTAH ACQUISITION SUB INC
254900JOFV74IJ7H9933
MYLAN NV 3.95% 06/15/2026
62854AAN4
2549000.00000000
PA
USD
2915720.42000000
0.041207233031
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.03950000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 3/28 #456712
36208PKZ0
9543.74510000
PA
USD
10926.78000000
0.000154425769
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.125% 07/15/2024
912828WU0
16814000.00000000
PA
USD
19746181.71000000
0.279068427006
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 30YR 4.0% 02/01/2043#Q15107
3132J6DM3
58563.04930000
PA
USD
64536.77000000
0.000912083923
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 20YR 3.5% 08/01/2034#C91782
3128P76T5
1751181.54440000
PA
USD
1885765.62000000
0.026651109212
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
0.03500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046
674599DL6
5708000.00000000
PA
USD
5793620.00000000
0.081879952479
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
0.06600000
N
N
N
N
N
N
WELLS FARGO COML MTG TR 2015-C26
N/A
WELLS FARGO COML MTG TR 2015-C26 A4 3.166% 02/15/2048
94989CAX9
3348000.00000000
PA
USD
3650371.94000000
0.051589900784
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
0.03166000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2047#BJ4279
3140H5XH9
204414.14500000
PA
USD
222082.23000000
0.003138639130
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2045#Q33724
3132QQD66
35148.32720000
PA
USD
38608.38000000
0.000545643711
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 5.00% 6/40 #A92350
312940TF6
153037.69240000
PA
USD
176508.75000000
0.002494559198
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 30YR 4% 04/15/2043#AD7475
36180KJU6
37987.96110000
PA
USD
41952.72000000
0.000592908530
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#738107
3620ASAG4
23417.61180000
PA
USD
25978.77000000
0.000367152221
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04000000
N
N
N
N
N
N
SEQUOIA MTG TR
N/A
SEMT 2004-6 A3B 6ML+44 7/34
81744FCU9
2921.47870000
PA
USD
2812.20000000
0.000039744201
Long
ABS-CBDO
CORP
US
N
2
2034-07-20
Variable
0.01304750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.228% 7/41#AI3469
3138AG2B3
64599.26700000
PA
USD
68065.84000000
0.000961959490
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.02694000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA GROUP LTD 3.375% 04/07/2030 144A
00131LAJ4
7358000.00000000
PA
USD
8243213.31000000
0.116499513966
Long
DBT
CORP
HK
N
2
2030-04-07
Fixed
0.03375000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
UPJOHN INC 2.7% 06/22/2030 144A
91533BAD2
4997000.00000000
PA
USD
5299559.86000000
0.074897509588
Long
DBT
CORP
US
N
2
2030-06-22
Fixed
0.02700000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 7.3% 08/15/2031
023551AJ3
1341000.00000000
PA
USD
1753595.61000000
0.024783179638
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
0.07300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#AL9776
3138ER2J8
3989321.59050000
PA
USD
4298433.78000000
0.060748815704
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% 01/01/2043#AR0739
3138NWZD4
247083.91830000
PA
USD
267610.66000000
0.003782082380
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
AXA EQUITABLE HLDGS INC 4.35% 04/20/2028
054561AJ4
4250000.00000000
PA
USD
5022611.37000000
0.070983457717
Long
DBT
CORP
US
N
2
2028-04-20
Fixed
0.04350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/40#V81744
3132L65D9
286652.36190000
PA
USD
309384.12000000
0.004372457469
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2042#Q13121
3132HPPE8
179679.57260000
PA
USD
198569.29000000
0.002806335940
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTYS LTD PARTNERSHIP 3.25% 01/30/2031
10112RBD5
3880000.00000000
PA
USD
4275357.68000000
0.060422686277
Long
DBT
CORP
US
N
2
2031-01-30
Fixed
0.03250000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP FRN 3ML+110 09/09/2022
55336VBH2
2383000.00000000
PA
USD
2383404.01000000
0.033684122721
Long
DBT
CORP
US
N
2
2022-09-09
Variable
0.01330380
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #475908
36209MU93
461.87550000
PA
USD
523.19000000
0.000007394128
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
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
1760403.58000000
PA
USD
1660952.75000000
0.023473878549
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01909000
N
N
N
N
N
N
DRYDEN 76 CLO LTD
N/A
DRYDEN 76 CLO LTD 3ML+133 10/20/2032 144A
26252WAA7
5921000.00000000
PA
USD
5919703.30000000
0.083661859925
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Variable
0.01548380
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19606
3132JBDL4
88418.79930000
PA
USD
97134.02000000
0.001372773661
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 15YR 2.5% 06/01/2034#SB0021
3132CWAW4
3358349.45100000
PA
USD
3504131.37000000
0.049523115091
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
0.02500000
N
N
N
N
N
N
DRYDEN SENIOR LOAN FUND 2018
N/A
DRSLF 2020-78A A 3ML+118 04/17/2033 144A
26253LAA0
4300000.00000000
PA
USD
4313287.00000000
0.060958732984
Long
ABS-CBDO
CORP
US
N
2
2033-04-17
Variable
0.01397750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/01/2041#
3132GDVM1
12428.20440000
PA
USD
13941.49000000
0.000197032000
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
0.04500000
N
N
N
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 3.8% 06/09/2023
225433AT8
8582000.00000000
PA
USD
9242158.25000000
0.130617382279
Long
DBT
CORP
CH
N
2
2023-06-09
Fixed
0.03800000
N
N
N
N
N
N
BABSON CLO LTD/CAYMAN ISLANDS
N/A
BABSON CLO LTD/CAYMAN ISLANDS 3ML+140 10/15/2032 144A
06762LAA6
7485000.00000000
PA
USD
7493166.14000000
0.105899262890
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01630130
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.5% 9/13/25
172967HB0
5524000.00000000
PA
USD
6638614.10000000
0.093822067557
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/28 #482687
36209VF41
3031.36980000
PA
USD
3412.55000000
0.000048228815
Long
ABS-MBS
USGA
US
N
2
2028-08-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 01/20/2050#BR8994
3617M77F9
1850414.50900000
PA
USD
2035102.53000000
0.028761654794
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #778681
36176W2N0
51978.51850000
PA
USD
57500.91000000
0.000812647667
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
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
2218898.59000000
0.031359203935
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.03650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/35 #AD0723
31418MYV8
293520.00720000
PA
USD
342728.70000000
0.004843709057
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/01/2047#Q48759
3132WNWV0
1078077.80000000
PA
USD
1187406.64000000
0.016781355915
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 7.00% 6/32 #582173
36201FXA0
1015.40020000
PA
USD
1186.77000000
0.000016772358
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 4.00% 11/40 #734042
3620AMP30
190095.92290000
PA
USD
211159.98000000
0.002984277382
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 3.0% 5/45#Q33470
3132QP2C7
38478.22600000
PA
USD
41975.50000000
0.000593230475
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% 07/01/2043#Q19690
3132JBF81
127694.05180000
PA
USD
140280.54000000
0.001982553903
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
IPALCO ENTERPRISES INC 3.7% 09/01/2024
462613AM2
2157000.00000000
PA
USD
2350697.00000000
0.033221881769
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.03700000
N
N
N
N
N
N
DUQUESNE LIGHT HLDGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A
266233AH8
1321000.00000000
PA
USD
1365650.02000000
0.019300430256
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
0.02532000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/26 #339193
31375MXW8
2578.20230000
PA
USD
2824.09000000
0.000039912240
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 7.50% 12/29 #535033
31384VLN0
779.90160000
PA
USD
905.83000000
0.000012801895
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE6917
3140FSVK6
333794.13090000
PA
USD
359449.51000000
0.005080020573
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
MARATHON PETROL 5.125% 3/01/21
56585AAD4
2187000.00000000
PA
USD
2202468.32000000
0.031126998557
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.05125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #552619
36213E4C7
3383.30320000
PA
USD
3937.91000000
0.000055653612
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
BEECHWOOD PARK CLO LTD
N/A
BEECHWOOD PARK CLO LTD 3ML+133 01/17/2033 144A
07355TAA0
2958000.00000000
PA
USD
2961380.99000000
0.041852543787
Long
ABS-CBDO
CORP
KY
N
2
2033-01-17
Variable
0.01547750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 5% 05/01/2040#
312940LA5
34907.86580000
PA
USD
40261.61000000
0.000569008446
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.05000000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC NEW
549300K2RLMQL149Q332
O'REILLY AUTOMOTIVE INC NEW 4.2% 04/01/2030
67103HAJ6
1177000.00000000
PA
USD
1417129.28000000
0.020027975273
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
0.04200000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.25% 07/15/2029
9128287D6
30000000.00000000
PA
USD
34585801.89000000
0.488793503066
Long
DBT
UST
US
N
2
2029-07-15
Fixed
0.00250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 11/01/2029#
31292G6T8
6454.36470000
PA
USD
7478.98000000
0.000105698773
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 11/01/2034#SB8015
3132D53Y6
999900.57000000
PA
USD
1042992.58000000
0.014740383885
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24546
3132M4WF8
64105.25780000
PA
USD
70303.76000000
0.000993587520
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPER LLC/CAP CORP 5.375% 05/01/2047
161175BL7
18172000.00000000
PA
USD
22647034.18000000
0.320065534582
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
0.05375000
N
N
N
N
N
N
TACONIC PARK CLO LTD 2016-1A
N/A
TACONIC PARK CLO LTD 2016-1A A1R 3ML+100 01/20/2029 144A
873549AJ8
4342000.00000000
PA
USD
4319117.66000000
0.061041136414
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Variable
0.01218380
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 8/40 #A93459
312941ZY6
21272.72180000
PA
USD
23836.35000000
0.000336873872
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.04500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.352%/VAR 04/24/2025
172967MF5
4959000.00000000
PA
USD
5390486.06000000
0.076182549500
Long
DBT
CORP
US
N
2
2025-04-24
Variable
0.03352000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #552550
36213EZP4
280527.55350000
PA
USD
311296.18000000
0.004399480191
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
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
6737247.90000000
0.095216037278
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 7.00% 4/26 #303856
31373UQH3
16470.16160000
PA
USD
18123.11000000
0.000256129912
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 7/42 #Q09199
3132GURU0
271982.77140000
PA
USD
298491.55000000
0.004218515182
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/28 #486599
36210ARU3
177.21990000
PA
USD
200.94000000
0.000002839840
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 9/41 #G06719
3128M8YQ1
1677132.49920000
PA
USD
1875055.10000000
0.026499739797
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 15YR 3% 04/01/2032#J36729
31307TPN5
45948.48740000
PA
USD
49616.13000000
0.000701213812
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.03000000
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
3599596.00000000
0.050872295633
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.05000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 5.95% 02/14/2049
02209SBF9
3700000.00000000
PA
USD
5175635.30000000
0.073146111139
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 30YR 3.5% 01/01/2047#BE1526
3140FLVU9
846370.48670000
PA
USD
911422.44000000
0.012880932141
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
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
18497385.99000000
0.261419472775
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 3% 08/01/2042#Q10217
3132HLG23
45933.26450000
PA
USD
49921.52000000
0.000705529821
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 4.5% 08/01/2037#AB8009
31417E3T6
64047.16650000
PA
USD
69975.65000000
0.000988950413
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.0% 12/20/2042#AA5872
36178DQZ7
3930791.92420000
PA
USD
4251294.15000000
0.060082601720
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/32 #582105
36201FU62
777.47640000
PA
USD
908.17000000
0.000012834966
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 3.5% 10/01/2046#BD3322
3140FAVQ2
378974.78180000
PA
USD
408339.60000000
0.005770973423
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 30YR 4.0% 09/01/2043#Q21835
3132JPBC5
143537.97450000
PA
USD
157686.15000000
0.002228543547
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2050#MA6657
36179VME7
4666005.01700000
PA
USD
4947625.95000000
0.069923705330
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/27 #451506
36208HR32
2492.66510000
PA
USD
2809.48000000
0.000039705760
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% 10/01/2043#Q22677
3132JP6N7
54104.63330000
PA
USD
59437.59000000
0.000840018338
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 4.00% 12/41 #552554
36213EZT6
116863.88130000
PA
USD
129279.94000000
0.001827084852
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 4.0% 04/01/2042#MA1028
31418AEA2
9634.65600000
PA
USD
10675.15000000
0.000150869538
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 4.875% 02/15/2024
615369AC9
2240000.00000000
PA
USD
2521980.88000000
0.035642599033
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.04875000
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
6234056.97000000
0.088104550947
Long
DBT
CORP
IE
N
2
2024-08-14
Fixed
0.02875000
N
N
N
N
N
N
DUQUESNE LIGHT HLDGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LT HLD 5.9% 12/21 144
266233AD7
2664000.00000000
PA
USD
2777872.92000000
0.039259064744
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 4.5% 02/01/2047#Q46222
3132WK4G0
392514.19600000
PA
USD
432055.72000000
0.006106148111
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 7/29 #505849
31383K5J2
1781.52050000
PA
USD
2078.08000000
0.000029369045
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #484199
36209W3G5
131.28410000
PA
USD
149.57000000
0.000002113839
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
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
3198317.46000000
0.045201114612
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 01/01/2034#AS1614
3138WAYL5
60397.43360000
PA
USD
65058.45000000
0.000919456711
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 ARM 3.99% 5/34 #725828
31402DLH1
50944.50340000
PA
USD
52438.39000000
0.000741100189
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Variable
0.02438000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.95% 06/15/2028
29278NAF0
4048000.00000000
PA
USD
4663874.62000000
0.065913510423
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.04950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 7/32 #545762
31385JJF6
15149.23350000
PA
USD
17661.30000000
0.000249603254
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #452409
36208JR61
831.86210000
PA
USD
901.38000000
0.000012739004
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300DK79J32SE1QE52
CENOVUS ENERGY INC 4.25% 04/15/2027
15135UAM1
6400000.00000000
PA
USD
6986460.16000000
0.098738099133
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15893
3132J67F5
83154.89090000
PA
USD
91637.11000000
0.001295087046
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
DRYDEN 75 CLO LTD
N/A
DRYDEN 75 CLO LTD 3ML+120 07/15/2030 144A
26252JAJ7
2913000.00000000
PA
USD
2909355.84000000
0.041117283827
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Variable
0.01436880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 07/01/2034#MA3729
31418DEB4
1714555.30100000
PA
USD
1788982.09000000
0.025283288948
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/30 #493530
36210JHF8
15520.77810000
PA
USD
18097.54000000
0.000255768537
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 30YR 3.0% 07/45#AZ5847
3138YXP90
118296.42360000
PA
USD
127828.28000000
0.001806568862
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 12/40 #004881
36202FM60
396302.10900000
PA
USD
434864.64000000
0.006145845957
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 2.5% 08/01/2050#SD0430
3132DMPP4
13619633.65500000
PA
USD
14453132.08000000
0.204262925061
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 08/01/2032#J37406
31307UGP7
83923.58660000
PA
USD
90622.43000000
0.001280746797
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 15YR 3.5% 10/01/2034#FM1579
3140X4XH4
4224518.57000000
PA
USD
4543495.07000000
0.064212212817
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#
3140X6S77
11307695.65400000
PA
USD
12024473.52000000
0.169939229775
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/40 #747153
3620C3BW1
72544.87710000
PA
USD
82971.80000000
0.001172622132
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.05000000
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
4986207.12000000
0.070468964488
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/2042#Q12215
3132HNN88
47035.21790000
PA
USD
51980.03000000
0.000734622289
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
0.04000000
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 3.75% 04/16/2030 144A
74727PBD2
7435000.00000000
PA
USD
8729154.69000000
0.123367216214
Long
DBT
NUSS
QA
N
2
2030-04-16
Fixed
0.03750000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.21% 3/36 #1G1851
3128QSBU9
58833.01670000
PA
USD
61299.13000000
0.000866327072
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.02835000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 08/15/2023
91282CAF8
114167000.00000000
PA
USD
114095645.63000000
1.612488572317
Long
DBT
UST
US
N
2
2023-08-15
Fixed
0.00125000
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
6513343.27000000
0.092051642571
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 4.5% 02/01/2044#Q25157
3132M5ME9
306480.15450000
PA
USD
339188.76000000
0.004793679866
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04500000
N
N
N
N
N
N
STORE CAP CORP
5493004EA6C9IHDZ7N66
STORE CAP CORP 2.75% 11/18/2030
862121AC4
8724000.00000000
PA
USD
8867159.18000000
0.125317603206
Long
DBT
CORP
US
N
2
2030-11-18
Fixed
0.02750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 6/41 #Q01393
3132GERN2
160862.76840000
PA
USD
179846.59000000
0.002541732154
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
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
5435824.61000000
0.076823309218
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 06/01/2045#Q34030
3132QQPQ9
211535.11680000
PA
USD
231819.16000000
0.003276249012
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 20YR 3.5% 01/01/2034#AS1611
3138WAYH4
448736.34440000
PA
USD
483366.41000000
0.006831310766
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 7.50% 9/22 #179985
31367U2S3
29.67780000
PA
USD
30.76000000
0.000000434724
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
0.07500000
N
N
N
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 3.95% 07/15/2030 144A
00130HCC7
7492000.00000000
PA
USD
8469031.72000000
0.119690955703
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
0.03950000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 09/20/2050#MA6866
36179VTX8
19156311.42800000
PA
USD
20192943.73000000
0.285382416009
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 04/01/2046#Q39975
3132QXCM7
99603.91000000
PA
USD
109048.10000000
0.001541152724
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 5.125% 09/30/2024
02005NAV2
2138000.00000000
PA
USD
2464351.89000000
0.034828141239
Long
DBT
CORP
US
N
2
2024-09-30
Fixed
0.05125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 10/01/2041#AL4242
3138ELWC3
1308790.93160000
PA
USD
1508700.89000000
0.021322136622
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/24 #436781
31380DFW1
985.69160000
PA
USD
1047.59000000
0.000014805358
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
0.07000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.05% 07/30/2022
172967GK1
1800000.00000000
PA
USD
1903369.05000000
0.026899894602
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 3.50% 11/42 #AQ0198
3138MFGG6
780721.99490000
PA
USD
861954.09000000
0.012181806871
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
TERWIN MORTGAGE TRUST
N/A
TMTS 2003-4HE A 1ML+43 9/34
881561BU7
8753.22500000
PA
USD
8049.60000000
0.000113763219
Long
ABS-CBDO
CORP
US
N
2
2034-09-25
Variable
0.01010130
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/25 #330740
31375CLV5
2828.10090000
PA
USD
3116.58000000
0.000044045937
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
0.07000000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 2.852%/VAR 05/07/2026
06738EBL8
8092000.00000000
PA
USD
8688609.40000000
0.122794198582
Long
DBT
CORP
GB
N
2
2026-05-07
Variable
0.02852000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 7.69% 01/23/2050
71654QDD1
16210000.00000000
PA
USD
16343732.50000000
0.230982363435
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
0.07690000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR1910
3138NYDQ5
429025.38240000
PA
USD
464264.88000000
0.006561353059
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 7.00% 9/28 #466052
36209AWM8
6691.72100000
PA
USD
7637.85000000
0.000107944047
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036
674599DF9
4602000.00000000
PA
USD
4818294.00000000
0.068095885431
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
0.06450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/47#Q47942
3132WMZG2
352664.15200000
PA
USD
388428.14000000
0.005489569154
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 30YR 3.5% 07/01/2046#BD8012
3140FF3W9
357494.84160000
PA
USD
385418.73000000
0.005447037827
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2033#BJ6880
3140H8UE3
1344043.05000000
PA
USD
1426147.01000000
0.020155420860
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 01/01/2051 #TBA
21H022614
52700000.00000000
PA
USD
55793331.90000000
0.788514842994
Long
ABS-MBS
USGA
US
N
2
2051-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 06/01/2033#MA3397
31418CX33
247806.29600000
PA
USD
259337.66000000
0.003665161898
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 12/01/2027#MA1294
31418ANL8
138451.80660000
PA
USD
145107.67000000
0.002050774666
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.03000000
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
6259910.59000000
0.088469934451
Long
ABS-CBDO
CORP
KY
N
2
2032-07-17
Variable
0.01517750
N
N
N
N
N
N
STRATUS CLO 2020-1 LTD
N/A
STRATUS CLO 2020-1 LTD 3ML+198 05/01/2028 144A
86315RAA7
7886807.48000000
PA
USD
8023201.93000000
0.113390141701
Long
ABS-CBDO
CORP
KY
N
2
2028-05-01
Variable
0.02198380
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2041#Q04636
3132GKY91
7651.34410000
PA
USD
8482.03000000
0.000119874657
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% 04/01/2050#BP2754
3140KABY1
9135906.90000000
PA
USD
9560849.91000000
0.135121381156
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AX7918
3138Y9YQ5
47848.88250000
PA
USD
52283.65000000
0.000738913283
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 4.5% 01/01/2047#Q45635
3132WKHM3
87357.97100000
PA
USD
96244.32000000
0.001360199727
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 3.0% 01/01/2043#AR1270
3138NXMU8
79368.20470000
PA
USD
85961.80000000
0.001214879142
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 3.0% 08/01/2042#Q10538
3132HLS38
44345.43490000
PA
USD
48278.97000000
0.000682316025
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 II 3.5% 01/20/2050#BR8996
3617M77H5
959473.81600000
PA
USD
1073827.74000000
0.015176170394
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.03500000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.35% 06/01/2040
035240AS9
3527000.00000000
PA
USD
4321767.80000000
0.061078590258
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
0.04350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6416
3140QEDW9
16446657.44600000
PA
USD
17643373.81000000
0.249349907164
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 8/45#Q35579
3132QSFV5
129797.42100000
PA
USD
141513.55000000
0.001999979762
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
PACIFIC LIFECORP
VFN8KLUEIK7XMVX1JM30
PACIFIC LCP 5.125 1/30/43 144A
694476AD4
5252000.00000000
PA
USD
6550641.19000000
0.092578765840
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 7.00% 11/27 #395783
31378DUG3
193.84110000
PA
USD
217.97000000
0.000003080521
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 3.0% 12/44#AX8317
3138YAG33
9800.29280000
PA
USD
10648.15000000
0.000150487953
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 05/39#MA3660
31418DB68
39606.92800000
PA
USD
41949.95000000
0.000592869382
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/44#Q28495
3132M9C85
122630.92250000
PA
USD
134220.16000000
0.001896903891
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.293% 3/35 #815586
31406PCX5
6347.26350000
PA
USD
6684.95000000
0.000094476922
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Variable
0.03708000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL B 1ML+110 10/15/2036 144A
056054AE9
2937127.43000000
PA
USD
2937126.55000000
0.041509761140
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01239000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/27#AP4736
3138M8HN6
85134.28750000
PA
USD
89103.22000000
0.001259276138
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 09/30/2026
912828YG9
102917300.00000000
PA
USD
109687328.64000000
1.550186801463
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.01625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 02/01/2045#Q31307
3132QMNZ0
8695.54900000
PA
USD
9505.02000000
0.000134332349
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2042#792254
36177LQG2
27805.04910000
PA
USD
30854.74000000
0.000436063229
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 03/01/2045#AZ3300
3138YUU25
7423.28780000
PA
USD
8125.22000000
0.000114831940
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.125% 10/15/2024
912828YL8
61964600.00000000
PA
USD
67442379.08000000
0.953148255184
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.00125000
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
2973000.00000000
0.042016752690
Long
DBT
CORP
US
N
2
2021-01-07
Fixed
0.05085000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/26 #442038
36207UBF4
10.83010000
PA
USD
10.93000000
0.000000154471
Long
ABS-MBS
USGA
US
N
2
2026-10-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.50% #MA0022
31417YAY3
4560.70700000
PA
USD
5039.04000000
0.000071215639
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 4.00% 1/41 #AE9338
31419LLU5
65071.49400000
PA
USD
72180.25000000
0.001020107538
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/25 #408838
36206EEK7
112.67820000
PA
USD
124.69000000
0.000001762216
Long
ABS-MBS
USGA
US
N
2
2025-11-15
Fixed
0.07500000
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
4603190.84000000
0.065055879956
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
0.03300000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.15% 05/01/2030
097023CY9
2962000.00000000
PA
USD
3584523.42000000
0.050659278187
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
0.05150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/41 #AH4545
3138A6BP4
53810.82530000
PA
USD
59672.59000000
0.000843339541
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479596
36209RXZ1
28045.34880000
PA
USD
31068.81000000
0.000439088633
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 3.95% 07/01/2024 144A
05401AAF8
2088000.00000000
PA
USD
2204954.20000000
0.031162130950
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
0.03950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q32328
3132QNSS9
75750.74360000
PA
USD
82802.37000000
0.001170227616
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 7.50% 4/27 #436779
36207NFU3
924.00700000
PA
USD
1040.20000000
0.000014700916
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 09/01/2040#AE3951
31419EL98
168771.64870000
PA
USD
187263.87000000
0.002646558934
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.04000000
N
N
N
N
N
N
MCDONALDS CORP
UE2136O97NLB5BYP9H04
MCDONALDS CORP 3.6% 07/01/2030
58013MFQ2
2005000.00000000
PA
USD
2348705.54000000
0.033193736904
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
0.03600000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
VALERO ENERGY CORP 2.7% 04/15/2023
91913YAX8
1663000.00000000
PA
USD
1735425.46000000
0.024526384919
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.02700000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.7% 10/27/2022
172967LQ2
9998000.00000000
PA
USD
10397750.03000000
0.146949105801
Long
DBT
CORP
US
N
2
2022-10-27
Fixed
0.02700000
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
1893690.00000000
0.026763102725
Long
DBT
CORP
CL
N
2
2027-08-01
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2044#AV8482
3138XLM82
114842.16440000
PA
USD
127066.50000000
0.001795802793
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.125% 05/15/2040
912810SR0
40277000.00000000
PA
USD
38175044.06000000
0.539519470305
Long
DBT
UST
US
N
2
2040-05-15
Fixed
0.01125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2043#AQ9328
3138MRLJ8
492149.76690000
PA
USD
540434.53000000
0.007637841907
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.375% 07/15/2027
9128282L3
16152500.00000000
PA
USD
19350421.36000000
0.273475233346
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.00375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.5% 02/43 #Q15871
3132J66H2
222704.43500000
PA
USD
242183.26000000
0.003422722550
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 4% 01/01/2046#BA4474
3140E86L7
724678.54620000
PA
USD
789579.16000000
0.011158947963
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 5% 05/15/2050
29278NAR4
5176000.00000000
PA
USD
5596471.48000000
0.079093695968
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2046#BD2536
3140F9ZA6
424041.56170000
PA
USD
457163.41000000
0.006460989551
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
1432398.80000000
0.020243776028
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.03100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/48#BJ5454
3140H7BY2
287011.93400000
PA
USD
313706.11000000
0.004433539199
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
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
5264560.44000000
0.074402870511
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01159000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.875% 04/15/2030 144A
87264ABE4
8820000.00000000
PA
USD
10213648.20000000
0.144347235279
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2043#AV3928
3138XFLJ2
494422.64130000
PA
USD
547360.33000000
0.007735722710
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
0.04500000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC 8.0% 11/01/2031
36186CBY8
2703000.00000000
PA
USD
3965548.27000000
0.056044218278
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
0.08000000
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
31268473.44000000
0.441910432404
Long
DBT
CORP
NL
N
2
2044-03-17
Fixed
0.07250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2046#BC6338
3140F2BG4
1116264.33180000
PA
USD
1214490.35000000
0.017164124009
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2039#AB0050
31416VBU7
1181852.53830000
PA
USD
1307836.84000000
0.018483369346
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 4.50% 4/40 #733607
3620AMAG7
7719.56650000
PA
USD
8776.06000000
0.000124030118
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.00% 1/30 #525935
31384KHL3
330.58090000
PA
USD
385.49000000
0.000005448045
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.08000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS PARTNERS LP 4.5% 11/15/2023
96950FAL8
1751000.00000000
PA
USD
1930323.53000000
0.027280836317
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
0.04500000
N
N
N
N
N
N
EXXON MOBIL CORP
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 3.482% 03/19/2030
30231GBK7
13440000.00000000
PA
USD
15640803.23000000
0.221048019238
Long
DBT
CORP
US
N
2
2030-03-19
Fixed
0.03482000
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
8811172.10000000
0.124526350164
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
0.03500000
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
5264168.53000000
0.074397331734
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 01/01/2044#AV5414
3138XHAQ4
86089.56880000
PA
USD
95307.15000000
0.001346954911
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04500000
N
N
N
N
N
N
MILOS CLO LTD
254900GFWI4EEB8IJS18
MILOS CLO LTD 3ML+107 10/20/2030 144A
60162PAE2
6512000.00000000
PA
USD
6465243.84000000
0.091371863945
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Variable
0.01288380
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/40 #004801
36202FKN5
1307658.87000000
PA
USD
1459262.95000000
0.020623441130
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2046#BC6383
3140F2CV0
470920.35040000
PA
USD
508292.54000000
0.007183586258
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 7/45#Q34956
3132QRQJ2
15679.22980000
PA
USD
16947.52000000
0.000239515558
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 02/01/2043#Q15786
3132J62U7
145324.20500000
PA
USD
159123.06000000
0.002248851079
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
BARINGS CLO LTD 2020-IV
549300Q89L7I93JSRH83
BARINGS CLO LTD 2020-IV 3ML+122 01/20/2032 144A
06762BAC4
6750000.00000000
PA
USD
6750000.00000000
0.095396259892
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Variable
0.01220000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 05/01/2033#G18687
3128MMXR9
89273.67200000
PA
USD
93453.83000000
0.001320762348
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 30YR 3.0% 05/01/2043#AB9238
31417GHQ2
139665.35140000
PA
USD
151268.19000000
0.002137839935
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 20YR 3% 01/01/2040#RB5027
3133KYSQ3
4501199.49500000
PA
USD
4713379.29000000
0.066613148995
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AB7280
31417ECS8
405297.43150000
PA
USD
438587.95000000
0.006198466676
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 3.5% 05/01/2045#Q33801
3132QQGK2
64774.00420000
PA
USD
70095.34000000
0.000990641966
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 7.00% 1/28 #449499
36208FKL3
5264.74560000
PA
USD
5902.48000000
0.000083418446
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% 08/27#MA1162
31418AJG4
79518.28180000
PA
USD
83227.73000000
0.001176239135
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 7.50% 9/29 #501816
31383FN95
11040.38250000
PA
USD
12915.64000000
0.000182533888
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
0.07500000
N
N
N
N
N
N
BENCHMARK 2019-B10 MTG TR
N/A
BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062
08162VAE8
1271000.00000000
PA
USD
1485026.99000000
0.020987558620
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Fixed
0.03717000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3% 03/22/2027
92343VFF6
1295000.00000000
PA
USD
1433958.32000000
0.020265816380
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2% 12/31/21
912828U81
119319000.00000000
PA
USD
121546899.31000000
1.717795495663
Long
DBT
UST
US
N
2
2021-12-31
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 10/37 #995073
31416BMW5
269024.03600000
PA
USD
321550.90000000
0.004544407885
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 03/01/2048#Q54622
3132XXD48
27229.94900000
PA
USD
29573.56000000
0.000417956594
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 4% 02/47#AL9779
3138ER2M1
5795603.46360000
PA
USD
6372600.99000000
0.090062562997
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK7441
3138ECHT3
93432.22970000
PA
USD
103668.46000000
0.001465123459
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2045#AZ1128
3138YSHE9
206482.98030000
PA
USD
222546.82000000
0.003145205078
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 7.50% 8/29 #511414
31383SDT4
146.83960000
PA
USD
171.01000000
0.000002416846
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INTL/EMC CORP 5.85% 07/15/2025 144A
24703DBB6
1294000.00000000
PA
USD
1554124.67000000
0.021964100877
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.05850000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #772072
36176PQZ2
33707.81380000
PA
USD
37341.73000000
0.000527742426
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
SAPPHIRE AVIATION FINANCE
N/A
SAPPHIRE AVIATION FINANCE 4.335% 03/15/2040 144A
80307AAB5
521804.69000000
PA
USD
424798.33000000
0.006003581020
Long
ABS-CBDO
CORP
US
N
2
2040-03-15
Fixed
0.04335000
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
1190804.71000000
0.016829380088
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% 2/32 #581866
36201FMP9
12353.15700000
PA
USD
14421.32000000
0.000203813331
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 7.50% 6/27 #780580
36225AUD0
2986.10760000
PA
USD
3357.53000000
0.000047451230
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 09/01/2046#BD3432
3140FAY63
303391.42600000
PA
USD
326994.49000000
0.004621340940
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.25% 03/15/2023
29278NAL7
1017000.00000000
PA
USD
1080654.34000000
0.015272649225
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2048#BK2527
3140HFYZ6
74823.52000000
PA
USD
81197.20000000
0.001147542102
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
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
6332057.69000000
0.089489573489
Long
DBT
CORP
US
N
2
2039-01-23
Fixed
0.05450000
N
N
N
N
N
N
ENBRIDGE ENERGY PARTNERS LP
CZ6VG2MNE1J6YDI02G48
ENBRIDGE ENRGY PRTNRS 4.2 9/21
29250RAU0
4399000.00000000
PA
USD
4472898.58000000
0.063214488209
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2050#BP4772
3140KCJS2
400000.69500000
PA
USD
422119.69000000
0.005965724393
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2046#AS6620
3138WGLA0
864718.44360000
PA
USD
933342.41000000
0.013190722238
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BC4754
3140F0H80
1405840.74200000
PA
USD
1552832.36000000
0.021945836945
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 15YR 3% 11/01/2033#BM5111
3140J9VD0
4623974.22000000
PA
USD
4948345.09000000
0.069933868776
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/24 #279712
31372QVD6
1284.21150000
PA
USD
1369.58000000
0.000019355971
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 4.0% 02/15/2042#778869
36176XCE7
23348.78280000
PA
USD
25829.45000000
0.000365041914
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/28 #412599
31378YKL7
1920.67700000
PA
USD
2197.64000000
0.000031058760
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07000000
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
1382789.96000000
0.019542665244
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.03550000
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
1448516.30000000
0.020471561098
Long
DBT
CORP
NL
N
2
2023-07-21
Fixed
0.02800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#CA5039
3140QCS56
518074.12800000
PA
USD
563159.43000000
0.007959007903
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#670029
36295GLJ9
10324.36960000
PA
USD
10922.87000000
0.000154370510
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.8% 08/15/2038
125523AJ9
3776000.00000000
PA
USD
4913570.41000000
0.069442405901
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
0.04800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 01/01/2046#G08687
3128MJXR6
171095.48390000
PA
USD
183273.34000000
0.002590161655
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
CHILE REP
549300FLZTJM5YJF8D34
CHILE REP 2.45% 01/31/2031
168863DP0
5775000.00000000
PA
USD
6179250.00000000
0.087329976139
Long
DBT
NUSS
CL
N
2
2031-01-31
Fixed
0.02450000
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
2124720.96000000
0.030028212281
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.03550000
N
N
N
N
N
N
VEREIT OPER PARTNERSHIP LP
5493005TQOUJE1LCS698
VEREIT OPER PARTNERSHIP LP 2.2% 06/15/2028
92340LAH2
797000.00000000
PA
USD
814578.63000000
0.011512259954
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.02200000
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
6848572.75000000
0.096789366807
Long
ABS-CBDO
CORP
KY
N
2
2029-01-15
Variable
0.01436880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/25 #303237
31373TZA1
1141.67350000
PA
USD
1221.81000000
0.000017267571
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 5% 03/01/2033#AB0066
31416VCC6
51360.38820000
PA
USD
57962.75000000
0.000819174750
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 3.0% 02/01/2043#AR3691
3138W1C54
131717.34750000
PA
USD
142659.90000000
0.002016180873
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% 5/24 #354828
36203PD91
91.98960000
PA
USD
99.19000000
0.000001401830
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% 5/27 #250912
31371FVD1
870.25720000
PA
USD
977.22000000
0.000013810834
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.07500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031
674599DD4
7680000.00000000
PA
USD
8563200.00000000
0.121021815216
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9287
3138YPJ94
237518.37140000
PA
USD
259411.01000000
0.003666198537
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% 05/01/2045#AS4972
3138WEQ28
282395.25810000
PA
USD
303472.82000000
0.004288914371
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
UTAH ACQUISITION SUB INC
254900JOFV74IJ7H9933
MYLAN NV 3.15% 06/15/2021
62854AAM6
5002000.00000000
PA
USD
5050335.83000000
0.071375281390
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
0.03150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/27 #313644
31374GLZ8
687.12680000
PA
USD
770.62000000
0.000010891002
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 03/15/2043#AB3930
36178QLK6
192602.64470000
PA
USD
207913.63000000
0.002938397434
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 8.50% 3/25 #250212
31371E3V5
95.33870000
PA
USD
104.92000000
0.000001482811
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
0.08500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 11/01/2031#
31298YN64
224.87140000
PA
USD
266.42000000
0.000003765255
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% 08/01/44#Q27794
3132M8KF2
91831.80640000
PA
USD
100510.37000000
0.001420490870
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% 9/40 #737454
3620ARH79
91945.18230000
PA
USD
104844.46000000
0.001481743608
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 30YR 4% 03/01/2046#BC5369
3140F06F6
434616.98550000
PA
USD
472861.24000000
0.006682843517
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 08/15/2042#AB2759
36178NB40
430550.84740000
PA
USD
465719.40000000
0.006581909469
Long
ABS-MBS
USGA
US
N
2
2042-08-15
Fixed
0.03500000
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
3667416.70000000
0.051830790614
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% 07/01/2047#G61047
31335BEU6
674382.02900000
PA
USD
753414.34000000
0.010647838546
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
VLS COMMERCIAL MORTGAGE TRUST 2020
N/A
VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A
92858TAC0
370000.00000000
PA
USD
384803.96000000
0.005438349418
Long
ABS-MBS
CORP
US
N
2
2042-10-10
Fixed
0.02453000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21258
3132JNMF1
160661.69700000
PA
USD
176497.72000000
0.002494403313
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
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
3024492.28000000
0.042744481716
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Variable
0.01548380
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC 2.497% 04/24/2023
595112BR3
7020000.00000000
PA
USD
7314527.61000000
0.103374603981
Long
DBT
CORP
US
N
2
2023-04-24
Fixed
0.02497000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.412%/VAR 03/31/2031
172967MP3
10622000.00000000
PA
USD
12871350.52000000
0.181907955463
Long
DBT
CORP
US
N
2
2031-03-31
Variable
0.04412000
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
4726472.29000000
0.066798189474
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2046#BD0998
3140F8DC8
149805.56830000
PA
USD
161600.49000000
0.002283864050
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.03500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 5.95% 01/28/2031 WI
71654QDE9
1521000.00000000
PA
USD
1517197.50000000
0.021442217336
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
0.05950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #303450
31373UBT3
4784.16920000
PA
USD
5192.88000000
0.000073389826
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07000000
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
2978659.00000000
0.042096730088
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 7.50% 10/28 #446737
36208CHN0
12840.00080000
PA
USD
14731.32000000
0.000208194493
Long
ABS-MBS
USGA
US
N
2
2028-10-15
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
1569629.32000000
0.022183224673
Long
DBT
CORP
US
N
2
2021-05-13
Fixed
0.02550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2045#AY5052
3138YJTJ5
46154.09250000
PA
USD
52451.57000000
0.000741286459
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.25% 01/15/2025
912828H45
6800000.00000000
PA
USD
8068426.39000000
0.114029289011
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 3.50% 2/42 #AJ9901
3138E3AB9
193473.01860000
PA
USD
212031.41000000
0.002996593110
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 3/30 #534274
31384UQ31
2497.09080000
PA
USD
2924.97000000
0.000041337955
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2043#BM1167
3140J5JM2
696938.56600000
PA
USD
776560.52000000
0.010974958398
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
0.04000000
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
23367418.10000000
0.330246561494
Long
DBT
CORP
US
N
2
2022-10-31
Variable
0.02876000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 01/15/2045#AL1889
36183XC24
6004.23690000
PA
USD
6327.91000000
0.000089430955
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
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
2601836.57000000
0.036771181871
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
0.04250000
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
2773000.00000000
PA
USD
3316366.58000000
0.046869476765
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Fixed
0.04302000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/40 #741372
3620AVT51
93123.72090000
PA
USD
105548.41000000
0.001491692378
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 10/35 #1N0063
3128QGB84
11846.68140000
PA
USD
12482.07000000
0.000176406339
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.02993000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 12/01/2033#C91737
3128P74W0
834121.39720000
PA
USD
898747.71000000
0.012701802980
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BD7448
3140FFH20
535165.53340000
PA
USD
580417.95000000
0.008202918756
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18564
3132J96A1
21929.98440000
PA
USD
24166.95000000
0.000341546169
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 01/01/2051 #TBA
01F030611
80500000.00000000
PA
USD
84339407.25000000
1.191950224180
Long
ABS-MBS
USGA
US
N
2
2051-01-01
Fixed
0.03000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO 3.8% 11/15/2025
406216BG5
151000.00000000
PA
USD
169315.10000000
0.002392892930
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.03800000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 4.45% 06/12/2025
761713BG0
2341000.00000000
PA
USD
2665888.64000000
0.037676415636
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
0.04450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 01/01/2045#Q30621
3132QLVP5
72945.13760000
PA
USD
80365.37000000
0.001135786033
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04500000
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
15686.10210000
PA
USD
29920.83000000
0.000422864485
Long
ABS-CBDO
USGA
US
N
2
2037-06-16
Variable
0.39281200
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 3.85% 07/15/2029
92936UAF6
1275000.00000000
PA
USD
1463942.72000000
0.020689579286
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
0.03850000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.625% 01/15/2026
912828N71
65147500.00000000
PA
USD
79709681.13000000
1.126519326969
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.00625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2044#Q24973
3132M5FN7
48976.26480000
PA
USD
53711.90000000
0.000759098425
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INTL/EMC CORP 6.1% 07/15/2027 144A
24703DBC4
2376000.00000000
PA
USD
2952260.17000000
0.041723641251
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.06100000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 4.03% 01/25/2024
35137LAG0
1268000.00000000
PA
USD
1396313.38000000
0.019733788754
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
0.04030000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
EXELON CORP 4.05% 04/15/2030
30161NAX9
1740000.00000000
PA
USD
2057858.36000000
0.029083257915
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04050000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 08/01/2043#AU2854
3138X2E42
593050.49950000
PA
USD
651351.99000000
0.009205413884
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 30YR 3% 10/01/2027#MA1219
31418AK98
277874.36880000
PA
USD
290969.31000000
0.004112205024
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 02/01/2050#QA7257
3133A2B25
875941.59800000
PA
USD
924378.89000000
0.013064042789
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 4.25% 09/15/2024
00912XAN4
3565000.00000000
PA
USD
3905107.70000000
0.055190025045
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
0.04250000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.625% 01/31/2027
61746BEF9
11000000.00000000
PA
USD
12621071.76000000
0.178370820998
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 07/01/2043#Q19764
3132JBJJ3
38744.06680000
PA
USD
42562.97000000
0.000601533058
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
BANK 2019-BNK21
N/A
BANK 2019-BN21 A5 2.851% 10/17/2052
06540BBD0
658000.00000000
PA
USD
728441.86000000
0.010294907999
Long
ABS-MBS
CORP
US
N
2
2052-10-17
Fixed
0.02851000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 08/01/2032#MA3090
31418CNG5
2216793.56300000
PA
USD
2340434.78000000
0.033076848079
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AN7592
36186QNH1
27721.89700000
PA
USD
29147.01000000
0.000411928257
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25146
3132M5L34
459074.14560000
PA
USD
508086.05000000
0.007180667981
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% 1/28 #313946
31374GWF0
1176.30450000
PA
USD
1327.33000000
0.000018758861
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07000000
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
11131162.98000000
0.157314269118
Long
DBT
CORP
CH
N
2
2025-09-11
Variable
0.02593000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE INC 5.875% 11/15/2040
88732JAY4
1500000.00000000
PA
USD
1999669.95000000
0.028260893962
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
0.05875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 02/15/2045#AK6887
36183QUL7
10962.68060000
PA
USD
11553.65000000
0.000163285184
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
0.03000000
N
N
N
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
DDR CORP 3.625% 02/01/2025
23317HAD4
2262000.00000000
PA
USD
2349140.99000000
0.033199891023
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 30YR 4.0% 07/01/2043#Q19597
3132JBDB6
145147.79130000
PA
USD
159454.65000000
0.002253537367
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
BENCHMARK 2018-B4 MTG TR
N/A
BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051
08161HAF7
1371000.00000000
PA
USD
1620870.92000000
0.022907410894
Long
ABS-MBS
CORP
US
N
2
2051-07-15
Fixed
0.04121000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR0938
3138NXBG1
39701.58700000
PA
USD
42999.84000000
0.000607707246
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 7.00% 7/31 #550143
36213CEQ9
2417.22360000
PA
USD
2816.58000000
0.000039806103
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
0.07000000
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
3509244.44000000
0.049595376981
Long
DBT
CORP
IE
N
2
2026-04-03
Fixed
0.04450000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 01/01/2051 #TBA
01F022618
-7900000.00000000
PA
USD
-8330485.22000000
-0.11773290860
Short
ABS-MBS
USGA
US
N
2
2051-01-01
Fixed
0.02500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.6% 03/09/2026
172967KJ9
2195000.00000000
PA
USD
2572661.93000000
0.036358863124
Long
DBT
CORP
US
N
2
2026-03-09
Fixed
0.04600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.0% 8/45#Q35375
3132QR6M7
59769.64240000
PA
USD
64567.03000000
0.000912511581
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 7.50% 12/29 #535040
31384VLV2
58.38170000
PA
USD
67.55000000
0.000000954669
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2044#AX6333
3138Y8BB5
47404.64690000
PA
USD
53743.14000000
0.000759539933
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
R6ZXK5P01NP6HXSY1S07
MASSACHUSETTS MUTUAL LIFE INS 3.729% 10/15/2070 144A
575767AN8
5810000.00000000
PA
USD
6399772.81000000
0.090446576331
Long
DBT
CORP
US
N
2
2070-10-15
Fixed
0.03729000
N
N
N
N
N
N
AUTONATION INC DEL
N/A
AUTONATION INC DEL 4.75% 06/01/2030
05329WAQ5
764000.00000000
PA
USD
918881.68000000
0.012986351934
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
0.04750000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 3.375% 02/15/2030
15135BAV3
5100000.00000000
PA
USD
5365659.00000000
0.075831674142
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.03375000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 2.406%/VAR 10/30/2025
95000U2H5
4563000.00000000
PA
USD
4823928.31000000
0.068175513891
Long
DBT
CORP
US
N
2
2025-10-30
Variable
0.02406000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC VAR 08/28/2028
28414HAG8
1334000.00000000
PA
USD
1574120.00000000
0.022246690462
Long
DBT
CORP
US
N
2
2028-08-28
Variable
0.05900000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2043#MA1225
36179NLE6
162476.29100000
PA
USD
178814.29000000
0.002527142886
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/27 #461022
36208UD38
1849.62130000
PA
USD
2096.91000000
0.000029635166
Long
ABS-MBS
USGA
US
N
2
2027-11-15
Fixed
0.07500000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
ROYAL BK SCOTLND GRP PLC(UNGTD) 3.073/VAR 05/22/2028
780097BP5
4651000.00000000
PA
USD
5046019.66000000
0.071314281912
Long
DBT
CORP
GB
N
2
2028-05-22
Variable
0.03073000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 10/01/44#Q28991
3132M9UQ5
203562.76910000
PA
USD
222482.40000000
0.003144294644
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AO1215
3138LRK50
484315.48470000
PA
USD
531377.58000000
0.007509842033
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% 3/41 #004978
36202FQ74
56355.33160000
PA
USD
62836.08000000
0.000888048447
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 05/01/2043#Q18363
3132J9WZ7
35904.97690000
PA
USD
39567.46000000
0.000559198177
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 30YR 3.5% 02/15/2042#616913
36290TK24
402535.22480000
PA
USD
436295.93000000
0.006166074063
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 06/15/2045#AN5721
36186NLA5
33032.10990000
PA
USD
34730.21000000
0.000490834391
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
0.03000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS PARTNERS LP 3.9% 01/15/2025
96950FAQ7
1216000.00000000
PA
USD
1348010.14000000
0.019051129726
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.03900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 01/01/2033#ZS8682
3132A9UF2
430029.64000000
PA
USD
453611.30000000
0.006410788365
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2046#AS7189
3138WG7B4
240568.98640000
PA
USD
261737.93000000
0.003699084384
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.35% 02/12/2048
71654QCL4
13200000.00000000
PA
USD
11859375.00000000
0.167605928839
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
0.06350000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/24 #283715
31372VDU7
592.94730000
PA
USD
638.38000000
0.000009022083
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2041#AH4043
3138A5P55
150634.32530000
PA
USD
168551.48000000
0.002382100857
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
FIFTH THIRD BANK 8.25 3/1/38
316773CH1
4319000.00000000
PA
USD
7304432.39000000
0.103231930465
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
0.08250000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
SYNCHRONY BANK 3.65% 05/24/2021
87166FAC7
4766000.00000000
PA
USD
4813243.17000000
0.068024503166
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 30YR 3.5% 07/01/2046#BC6149
3140F1ZP0
712127.87980000
PA
USD
767752.12000000
0.010850471225
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2045#AZ8288
3140E1F65
316783.78950000
PA
USD
340131.07000000
0.004806997326
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPER LLC/CAP CORP 6.484% 10/23/2045
161175BA1
2744000.00000000
PA
USD
3888206.02000000
0.054951157333
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
0.06484000
N
N
N
N
N
N
LUCALI CLO LTD
N/A
LUCALI CLO LTD 2020-1A A 3ML+121 01/15/2033 144A
54929JAC7
3200000.00000000
PA
USD
3200000.00000000
0.045224893578
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.01210000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783262
36241LTT3
434944.39110000
PA
USD
494470.36000000
0.006988240440
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3% 09/15/23
00912XAT1
877000.00000000
PA
USD
921972.82000000
0.013030038333
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.03000000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 3.25% 01/15/2028
615369AM7
2386000.00000000
PA
USD
2683914.77000000
0.037931174952
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.03250000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 02/01/2051#TBA
01F022626
750000.00000000
PA
USD
789491.85000000
0.011157714030
Long
ABS-MBS
USGA
US
N
2
2051-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 9/41 #Q03529
3132GJSS9
19029.12170000
PA
USD
21274.80000000
0.000300672051
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 7.50% 4/27 #439864
36207RTV7
1131.72930000
PA
USD
1281.57000000
0.000018112145
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 ARM 11/36 #995606
31416CAF3
151281.50370000
PA
USD
158835.20000000
0.002244782817
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.03055000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BK NEW CASTLE DEL 4.2% 08/08/2023
25466AAD3
2849000.00000000
PA
USD
3114603.61000000
0.044018005250
Long
DBT
CORP
US
N
2
2023-08-08
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2046#BE0548
3140FKTE0
345116.24440000
PA
USD
371965.39000000
0.005256904743
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
MOLSON COORS BEVERAGE CO
54930073LBBH6ZCBE225
MOLSON COORS BRW 5% 5/1/42
60871RAD2
13093000.00000000
PA
USD
16363422.96000000
0.231260644359
Long
DBT
CORP
US
N
2
2042-05-01
Fixed
0.05000000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 5.2% 05/12/2026
06738EAP0
6222000.00000000
PA
USD
7234443.84000000
0.102242797739
Long
DBT
CORP
GB
N
2
2026-05-12
Fixed
0.05200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25069
3132M5JN3
338799.40550000
PA
USD
374970.48000000
0.005299375016
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
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
2778797.39000000
0.039272130074
Long
DBT
CORP
US
N
2
2023-01-10
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 8/40 #G05969
3128M76E1
263806.83260000
PA
USD
304266.31000000
0.004300128590
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 7.00% 12/28 #422181
31379K6S7
1750.17920000
PA
USD
1972.42000000
0.000027875776
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.753% 10/33 #746320
31403EDZ7
15366.61100000
PA
USD
16135.63000000
0.000228041296
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.02417000
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
5207848.27000000
0.073601369932
Long
ABS-CBDO
CORP
KY
N
2
2032-05-15
Variable
0.01610130
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 4.0% 03/15/2024
91529YAK2
5930000.00000000
PA
USD
6461977.93000000
0.091325707560
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AP4325
3138M7YX7
63025.42080000
PA
USD
68202.23000000
0.000963887060
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
SAUDI ARABIA KINGDOM OF
54930044PULMORCKB765
SAUDI ARABIA KINGDOM OF 4.5% 04/22/2060 144A
80413TAU3
2400000.00000000
PA
USD
3012000.00000000
0.042567931081
Long
DBT
NUSS
SA
N
2
2060-04-22
Fixed
0.04500000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP A 1ML+82.15 12/15/2029 144A
05607QAA6
9667151.97100000
PA
USD
9670149.75000000
0.136666091667
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.00959000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #447529
36208DEA9
796.73480000
PA
USD
886.82000000
0.000012533231
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% 10/26 #313182
31374F2P3
8355.44310000
PA
USD
9360.20000000
0.000132285640
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
0.07500000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
NORTHEAST UTILITIES 2.8% 05/01/2023
664397AK2
5110000.00000000
PA
USD
5361304.89000000
0.075770138466
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.02800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/29 #514340
31383VLV3
307.04410000
PA
USD
351.68000000
0.000004970215
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 II 3.5% 12/20/2049#BR8985
3617M76W3
273507.02500000
PA
USD
300805.49000000
0.004251217585
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/20/2047#MA4381
36179S2N6
152853.45830000
PA
USD
160826.49000000
0.002272925279
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 30YR 4% 07/46#BC6151
3140F1ZR6
109720.05000000
PA
USD
120094.94000000
0.001697275275
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 30YR 4.5% 07/47#BE3749
3140FPEX3
1266189.90400000
PA
USD
1394242.47000000
0.019704521040
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
LEXINGTON CORP PPTYS TR REIT
549300S4MH2ICXDBFV43
LEXINGTON CORP PPTYS TR REIT 2.7% 09/15/2030
529043AE1
1827000.00000000
PA
USD
1900815.46000000
0.026863805278
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2049#CA4536
3140QCBE5
5090458.67200000
PA
USD
5413135.21000000
0.076502644937
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.358% 10/33 #754672
31403QMV9
5811.11980000
PA
USD
6025.42000000
0.000085155930
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.01874000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2048#Q58998
3132Y27L4
303568.73800000
PA
USD
328946.60000000
0.004648929680
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 7.00% 12/27 #399910
31378JGT8
10663.92080000
PA
USD
12003.23000000
0.000169638999
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.07000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.2% 09/15/2023
29278NAC7
1186000.00000000
PA
USD
1278218.41000000
0.018064778613
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.04200000
N
N
N
N
N
N
VEREIT OPER PARTNERSHIP LP
5493005TQOUJE1LCS698
VEREIT OPER PARTNERSHIP LP 3.4% 01/15/2028
92340LAF6
1593000.00000000
PA
USD
1757813.20000000
0.024842785906
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.03400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR5360
3138W25W1
114686.48780000
PA
USD
124214.18000000
0.001755491584
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 5.5% 02/15/2049
55336VAT7
3377000.00000000
PA
USD
4439996.53000000
0.062749490799
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
0.05500000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 4.5% 01/30/2026
254709AP3
4686000.00000000
PA
USD
5412712.19000000
0.076496666489
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
USTN TII 0.375% 01/15/2027
912828V49
16460000.00000000
PA
USD
19805717.87000000
0.279909838413
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.00375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2046#784232
3622A2VZ2
3291265.81010000
PA
USD
3580259.68000000
0.050599019691
Long
ABS-MBS
USGA
US
N
2
2046-04-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR4275
3138W1XD4
23982.47830000
PA
USD
25974.85000000
0.000367096820
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 20YR 4.0% 11/01/2031#MA0908
31418AAJ7
1263550.94280000
PA
USD
1368419.73000000
0.019339573956
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2028#MA1387
31418ARH3
138305.64700000
PA
USD
145328.09000000
0.002053889813
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 04/39#FM1039
3140X4EM4
14373.05400000
PA
USD
15271.15000000
0.000215823791
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
0.03500000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST BUILD AMERICA BONDS-IL ST
452152BM2
12290000.00000000
PA
USD
14080038.50000000
0.198990075858
Long
DBT
MUN
US
N
2
2035-02-01
Fixed
0.06630000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 5.088%/VAR 06/20/2030
06738EBK0
7347000.00000000
PA
USD
8809213.53000000
0.124498670127
Long
DBT
CORP
GB
N
2
2030-06-20
Variable
0.05088000
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
6359199.36000000
0.089873160719
Long
DBT
CORP
US
N
2
2022-01-07
Fixed
0.05596000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
TOYOTA MOTOR CREDIT CORP 2.9% 03/30/2023
89236TGW9
7749000.00000000
PA
USD
8197161.48000000
0.115848673619
Long
DBT
CORP
US
N
2
2023-03-30
Fixed
0.02900000
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
5543072.05000000
0.078339013612
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% 2/40 #711491
36297GNG1
23447.65130000
PA
USD
26084.17000000
0.000368641816
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 3.50% 5/42 #766750
36176HTF1
495141.55730000
PA
USD
541001.67000000
0.007645857172
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/32 #552578
36213E2K1
3759.76260000
PA
USD
4358.99000000
0.000061604643
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07000000
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
6601887.83000000
0.093303023290
Long
ABS-CBDO
CORP
US
N
2
2050-01-15
Fixed
0.02836000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.987% 10/30/2056 144A
92343VFM1
13203000.00000000
PA
USD
13262341.94000000
0.187433750888
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
0.02987000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2046#BC1552
3140EVWN3
202328.14630000
PA
USD
220511.44000000
0.003116439502
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #443199
36207VKL9
706.38230000
PA
USD
789.31000000
0.000011155143
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% 02/01/2048#Q54499
3132XW7M7
23510.29000000
PA
USD
25533.76000000
0.000360862993
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
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
9335575.26000000
0.131937624259
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
0.03750000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031
681936BM1
3348000.00000000
PA
USD
3516889.16000000
0.049703418121
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
0.03375000
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
1740114.68000000
0.024592656630
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 4.50% 2/40 #711188
36297GCZ1
3783.52240000
PA
USD
4301.33000000
0.000060789747
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 20YR 3.5% 01/01/2034#AS1612
3138WAYJ0
309407.53340000
PA
USD
333285.26000000
0.004710247004
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/42 #MA0462
36179MQP8
5731498.46100000
PA
USD
6291015.94000000
0.088909539496
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/22 #332060
36224LZZ3
4868.82760000
PA
USD
5082.94000000
0.000071836068
Long
ABS-MBS
USGA
US
N
2
2022-10-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 05/01/2047#Q47935
3132WMY99
817606.73500000
PA
USD
900520.97000000
0.012726864073
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/29 #487575
36210BT88
6368.14140000
PA
USD
7268.52000000
0.000102724388
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% 5/46#Q40310
3132WDKY9
290164.27340000
PA
USD
311448.03000000
0.004401626253
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 30YR 3.0% 06/01/2045#AU2444
3138X1WE2
117816.32330000
PA
USD
126609.96000000
0.001789350614
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% 02/01/2045#G07949
3128MAEW5
1421675.54500000
PA
USD
1572469.12000000
0.022223358939
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 30YR 4.0% 11/01/2042#Q13381
3132HPXJ8
28554.74210000
PA
USD
31389.39000000
0.000443619319
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
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
7386284.09000000
0.104388722472
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 3.5% 08/01/2045#AY8424
3138YNLE5
4991616.16660000
PA
USD
5393989.85000000
0.076232067790
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 05/01/2046#BC9751
3140F5ZR7
258934.71330000
PA
USD
281638.83000000
0.003980339410
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #738886
3620AS2T5
126218.20320000
PA
USD
140061.98000000
0.001979465043
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 4.0% 12/01/2044#AX5347
3138Y65H3
270856.25670000
PA
USD
295959.97000000
0.004182736920
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6.25% 04/15/2049
29279FAA7
1409000.00000000
PA
USD
1701878.67000000
0.024052275542
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
0.06250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 7/37 #G03508
3128M5GR5
12940.67870000
PA
USD
15521.99000000
0.000219368858
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 6.00% 1/42 #AL2128
3138EJLJ5
30411.74830000
PA
USD
36593.96000000
0.000517174358
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/25 #328844
31375AHV4
941.87330000
PA
USD
1045.27000000
0.000014772570
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/45#AY8537
3138YNPX9
134099.17110000
PA
USD
146485.95000000
0.002070253593
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 7.00% 1/28 #251409
31371GGS3
1203.36850000
PA
USD
1359.54000000
0.000019214078
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 30YR 3% 07/01/2050#CA6417
3140QEDX7
14785884.37600000
PA
USD
15783207.06000000
0.223060581131
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.493%/VAR 03/24/2031
46647PBJ4
12800000.00000000
PA
USD
15737505.02000000
0.222414684288
Long
DBT
CORP
US
N
2
2031-03-24
Variable
0.04493000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2044#AX4256
3138Y5WS1
76542.16690000
PA
USD
84426.56000000
0.001193181934
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 15YR 2.5% 11/01/2027#AQ0578
3138MFUC9
104074.01900000
PA
USD
108689.32000000
0.001536082165
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.02500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.04% 05/01/2027
097023CU7
2962000.00000000
PA
USD
3461495.33000000
0.048920549350
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.05040000
N
N
N
N
N
N
ENABLE MIDSTREAM PARTNERS LP
549300TLGDBYE711G509
ENABLE MIDSTREAM PARTNERS LP VAR 05/15/2024
292480AH3
1322000.00000000
PA
USD
1351614.14000000
0.019102064262
Long
DBT
CORP
US
N
2
2024-05-15
Variable
0.03900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2041#
312946BR6
139877.84100000
PA
USD
156560.02000000
0.002212628200
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.451% 11/35 #1G1790
3128QJ7B6
29575.27190000
PA
USD
31233.37000000
0.000441414323
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Variable
0.04285000
N
N
N
N
N
N
WEINGARTEN REALTY INVESTORS
549300JMKTJNB8GWHU88
WEINGARTEN REALTY INVESTORS 3.375% 10/15/2022
948741AH6
812000.00000000
PA
USD
837643.98000000
0.011838237453
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/26 #250551
31371FH47
9843.32790000
PA
USD
10845.51000000
0.000153277198
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 7.00% 6/26 #349733
31376APS1
1643.81920000
PA
USD
1841.46000000
0.000026024947
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 15YR 3% 09/32#MA3125
31418CPK4
375751.52800000
PA
USD
396356.73000000
0.005601622166
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3.5% 02/01/2034#G16752
3128MFWM6
1495326.55100000
PA
USD
1618959.85000000
0.022880402163
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.375% 07/01/2025
00914AAH5
6445000.00000000
PA
USD
6929567.13000000
0.097934042500
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNR 1999-57 PH 6.5% 12/29
31359XGQ6
140625.16900000
PA
USD
161607.11000000
0.002283957609
Long
ABS-CBDO
USGSE
US
N
2
2029-12-25
Fixed
0.06500000
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
810651.36000000
0.011456756714
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03465000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2049#BN7702
3140JQRY1
684727.00900000
PA
USD
723446.54000000
0.010224310244
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 3/30 #479229
36209RLJ0
3364.19320000
PA
USD
3945.96000000
0.000055767381
Long
ABS-MBS
USGA
US
N
2
2030-03-15
Fixed
0.08000000
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
7207294.46000000
0.101859101545
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
0.03800000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #336788
36224SCZ3
335.33740000
PA
USD
351.44000000
0.000004966823
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
0.07500000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 7.125% 03/15/2033
023551AM6
1003000.00000000
PA
USD
1309095.69000000
0.018501160395
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
0.07125000
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
4489400.35000000
0.063447704081
Long
DBT
CORP
IE
N
2
2023-07-03
Fixed
0.04125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ8634
3138MQSY0
185051.76140000
PA
USD
200251.64000000
0.002830112221
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
8400000.00000000
PA
USD
10123272.10000000
0.143069969809
Long
DBT
CORP
US
N
2
2029-03-19
Fixed
0.05150000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2047#Q51124
3132XTHA9
25338.60500000
PA
USD
27551.11000000
0.000389373755
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 30YR 3.0% 05/01/2045#Q33441
3132QPZF4
46327.49280000
PA
USD
50769.82000000
0.000717518658
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 7.00% 9/25 #319653
31374PBW6
314.08740000
PA
USD
343.04000000
0.000004848108
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 3.0% 8/45#Q35367
3132QR6D7
123146.01360000
PA
USD
134261.75000000
0.001897491673
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 30YR 4.5% 06/01/2044#AS2751
3138WCBV4
257527.66850000
PA
USD
284618.21000000
0.004022446330
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04500000
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
27606005.63000000
0.390149583359
Long
DBT
CORP
US
N
2
2021-05-28
Variable
0.00583611
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 05/01/2036#745512
31403DGV5
2184457.33670000
PA
USD
2587351.88000000
0.036566472944
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
0.06000000
N
N
N
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GRP AG 4.194/VAR 04/01/2031 144A
225401AP3
9619000.00000000
PA
USD
11308239.63000000
0.159816854321
Long
DBT
CORP
CH
N
2
2031-04-01
Variable
0.04194000
N
N
N
N
N
N
CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC
N/A
CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC 20-12A A 3ML+127 10/25/2032 144A
15033TAB1
3720000.00000000
PA
USD
3715305.36000000
0.052507590474
Long
ABS-CBDO
CORP
KY
N
2
2032-10-25
Variable
0.01510060
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34677
31307RFS9
21065.18080000
PA
USD
22687.37000000
0.000320635591
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 06/20/2046#MA3736
36179SEH6
6596404.91380000
PA
USD
7118734.64000000
0.100607505159
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
0.03500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 5.012% 04/15/2049
92343VDS0
289000.00000000
PA
USD
400212.21000000
0.005656110814
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
0.05012000
N
N
N
N
N
N
KEYBANK NATL ASSN
HUX2X73FUCYHUVH1BK78
KEY BK NA 6.95% 2/01/28
49306CAB7
800000.00000000
PA
USD
1045714.79000000
0.014778856278
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
0.06950000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A
83368RAZ5
9735000.00000000
PA
USD
9812325.30000000
0.138675427328
Long
DBT
CORP
FR
N
2
2026-12-14
Variable
0.01488000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #510172
31383QW91
2049.43260000
PA
USD
2369.10000000
0.000033481967
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 3.5% 11/01/2046#BE1891
3140FMC53
495165.95670000
PA
USD
533688.58000000
0.007542502885
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
0.03500000
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
3897318.75000000
0.055079945534
Long
DBT
CORP
CL
N
2
2024-10-30
Fixed
0.04375000
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
7646555.61000000
0.108067082408
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
0.03800000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 11/22 #339989
36224VUN3
2964.04110000
PA
USD
3106.38000000
0.000043901782
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2048#BM3700
3140J8DE0
1648979.17200000
PA
USD
1796142.81000000
0.025384489823
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE INC 6.55% 05/01/2037
88732JAJ7
20209000.00000000
PA
USD
27711569.83000000
0.391641498894
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
0.06550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2042#AJ6217
3138AX4B4
17462.76300000
PA
USD
19354.12000000
0.000273527505
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 4.709% 01/25/2029
35137LAH8
1835000.00000000
PA
USD
2225414.99000000
0.031451298778
Long
DBT
CORP
US
N
2
2029-01-25
Fixed
0.04709000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 6.15% 09/15/2043
761713AZ9
4000000.00000000
PA
USD
5168556.40000000
0.073046066608
Long
DBT
CORP
US
N
2
2043-09-15
Fixed
0.06150000
N
N
N
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
METLIFE INC 4.55% 03/23/2030
59156RBZ0
11500000.00000000
PA
USD
14356773.42000000
0.202901109391
Long
DBT
CORP
US
N
2
2030-03-23
Fixed
0.04550000
N
N
N
N
N
N
LOWES COS INC
WAFCR4OKGSC504WU3E95
LOWES COS INC 4.5% 04/15/2030
548661DU8
3815000.00000000
PA
USD
4746373.23000000
0.067079445066
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/39 #664574
36295AJT3
10686.35380000
PA
USD
12289.26000000
0.000173681398
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 11/1/42 #Q13634
3132HQBB7
460026.93950000
PA
USD
504138.78000000
0.007124882085
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
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
5862230.00000000
PA
USD
6225219.28000000
0.087979649825
Long
ABS-CBDO
CORP
US
N
2
2047-11-20
Fixed
0.04030000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 1/35 #G06928
3128M9A51
193399.57400000
PA
USD
220412.62000000
0.003115042900
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 4.50% 6/40 #782989
36241LKA3
225999.77520000
PA
USD
256929.83000000
0.003631132568
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 3.5% 05/01/2045#AZ0727
3138YRYZ5
230020.41350000
PA
USD
251365.71000000
0.003552496088
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 3.5% 06/01/2045#Q34311
3132QQYH9
893370.93770000
PA
USD
975976.39000000
0.013793258866
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 05/15/2045#670008
36295GKV3
25817.39930000
PA
USD
27144.61000000
0.000383628780
Long
ABS-MBS
USGA
US
N
2
2045-05-15
Fixed
0.03000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 3.666% 01/25/2022
35137LAF2
721000.00000000
PA
USD
746173.20000000
0.010545501112
Long
DBT
CORP
US
N
2
2022-01-25
Fixed
0.03666000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 02/15/2045#AL3843
36184AHU6
44636.06520000
PA
USD
46930.69000000
0.000663261081
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% 4/41 #738229
3620ASEA3
35980.18070000
PA
USD
40949.25000000
0.000578726710
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 4.375% 03/19/2024
87165BAN3
5468000.00000000
PA
USD
6019883.11000000
0.085077679064
Long
DBT
CORP
US
N
2
2024-03-19
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 10/29 #518567
31384BCC8
676.14960000
PA
USD
777.83000000
0.000010992899
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 4.5% 11/01/2042#AL6997
3138EPX33
475452.86700000
PA
USD
533194.10000000
0.007535514509
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.0% 06/45#AZ3703
3138YVDH9
22489.01690000
PA
USD
24301.09000000
0.000343441940
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% 12/45#G60412
31335AN53
2081109.72690000
PA
USD
2273882.92000000
0.032136285333
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
ENTERGY CORP NEW
4XM3TW50JULSLG8BNC79
ENTERGY CORP NEW 2.8% 06/15/2030
29364GAL7
2856000.00000000
PA
USD
3082750.81000000
0.043567836660
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
0.02800000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783295
36241LUU8
1754375.25410000
PA
USD
1988446.28000000
0.028102272312
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 10/27 #399572
31378H2D2
1229.75290000
PA
USD
1407.19000000
0.000019887505
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #754197
36230NUW3
27171.05230000
PA
USD
30151.21000000
0.000426120394
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 05/01/2028#MA1449
31418ATF5
144149.71540000
PA
USD
151468.89000000
0.002140676384
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
0.03000000
N
N
N
N
N
N
COCA COLA CO
UWJKFUJFZ02DKWI3RY53
COCA COLA CO 3.375% 03/25/2027
191216CR9
5679000.00000000
PA
USD
6510918.81000000
0.092017378213
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 01/01/2033#MA3246
31418CTC8
269917.94600000
PA
USD
282731.30000000
0.003995779048
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
0.02500000
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
4737651.38000000
0.066956181085
Long
DBT
CORP
US
N
2
2024-07-23
Variable
0.03864000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 07/31/2025
91282CAB7
272299000.00000000
PA
USD
271448065.63000000
3.836315587586
Long
DBT
UST
US
N
2
2025-07-31
Fixed
0.00250000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 4.9% 12/15/2048
125523AK6
3772000.00000000
PA
USD
5178454.97000000
0.073185960912
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
0.04900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 1/1/43 #Q14696
3132HRGD6
359202.44050000
PA
USD
391064.49000000
0.005526828107
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
ZOETIS INC 3.25% 2/1/23
98978VAB9
1649000.00000000
PA
USD
1734480.14000000
0.024513024920
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
0.03250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 8/27 #451572
36208HT55
8121.62560000
PA
USD
9175.57000000
0.000129676305
Long
ABS-MBS
USGA
US
N
2
2027-08-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK3548
3138E75J9
38833.34470000
PA
USD
43087.84000000
0.000608950930
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 02/20/2046#MA3454
36179RZT9
3451831.65100000
PA
USD
3725161.49000000
0.052646884984
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
0.03500000
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
1104877.05000000
0.015614983438
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Fixed
0.04534900
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 03/01/2043#AB8610
31417FR83
204309.46560000
PA
USD
221282.68000000
0.003127339266
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5.0% 09/01/2033#AL7521
3138EQLB6
5369240.19180000
PA
USD
6115899.62000000
0.086434659204
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #510166
31383QW34
3240.00590000
PA
USD
3776.75000000
0.000053375974
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
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
322113.19000000
0.004552354605
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Variable
0.03718550
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9324
3138YPLE0
396112.11170000
PA
USD
432622.72000000
0.006114161397
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
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
1824130.00000000
0.025780026601
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
0.03875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 5/40 #AL2129
3138EJLK2
376015.90540000
PA
USD
451433.45000000
0.006380009291
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 4.50% 7/25 #G13844
3128MCP58
115333.41700000
PA
USD
121752.89000000
0.001720706716
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/50#MA3939
31418DLV2
1217771.08100000
PA
USD
1285110.66000000
0.018162185261
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03500000
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
1861147.62000000
0.026303188452
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 07/01/2047#Q49499
3132WPRV1
340678.53200000
PA
USD
379272.61000000
0.005360176070
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/41 #738218
3620ASDX4
42297.48060000
PA
USD
48139.00000000
0.000680337859
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 10/20/2043#MA1376
36179NQ50
11797371.06000000
PA
USD
12983669.86000000
0.183495339900
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
0.04000000
N
N
N
N
N
N
CSMC 2020-NET
N/A
CSMC 2020-NET 2.2569% 08/15/2037 144A
126438AA8
1972000.00000000
PA
USD
2042653.21000000
0.028868366887
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Fixed
0.02256900
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AR1680
3138NX2N6
62303.11700000
PA
USD
67420.60000000
0.000952840456
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 9/39 #723339
3620A9S44
65783.79600000
PA
USD
75238.94000000
0.001063335329
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 30YR 2.5% 06/01/2050#CA5966
3140QDTY0
1999895.83800000
PA
USD
2137285.28000000
0.030205781042
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.02500000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 5.8% 06/15/2038
29278NAD5
2257000.00000000
PA
USD
2590022.92000000
0.036604222163
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
0.05800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 3/42 #AK1510
3138E5VC9
90926.22500000
PA
USD
100887.90000000
0.001425826419
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% 09/01/2046#G61420
31335BSH0
730112.23700000
PA
USD
797165.67000000
0.011266166434
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 3.0% 01/01/2043#AR3682
3138W1CU9
56984.84140000
PA
USD
61718.91000000
0.000872259730
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% 10/40 #783143
36241LP42
90744.83910000
PA
USD
100625.16000000
0.001422113172
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
EATON VANCE CLO 2020-1 LTD
N/A
EATON VANCE CLO 2020-1 1.65% 10/15/2030 144A
278300AA6
6500000.00000000
PA
USD
6517231.50000000
0.092106594067
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Fixed
0.01650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 01/01/2027#
31283GW60
1974.12990000
PA
USD
2191.67000000
0.000030974388
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07500000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
503369198.46900000
NS
USD
503469872.31000000
7.115428561041
Long
STIV
RF
US
N
1
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 10/01/2044#AX6700
3138Y8NS5
42133.07720000
PA
USD
46473.09000000
0.000656793921
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 07/15/2043#AF0101
36181FDE8
283423.89390000
PA
USD
306486.15000000
0.004331501099
Long
ABS-MBS
USGA
US
N
2
2043-07-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2046#BD4423
3140FB4H0
470749.92570000
PA
USD
507520.16000000
0.007172670382
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 12/01/2042#Q13420
3132HPYR9
83796.84960000
PA
USD
92606.41000000
0.001308785949
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 03/01/2035#MA3955
31418DMD1
999900.56800000
PA
USD
1042992.58000000
0.014740383885
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
0.02500000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS REALTY LP 3.5% 02/01/2025
92277GAE7
6443000.00000000
PA
USD
7094380.99000000
0.100263320399
Long
DBT
CORP
US
N
2
2025-02-01
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
539210.79270000
PA
USD
592112.71000000
0.008368198217
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #743665
3620AYFE1
67050.37460000
PA
USD
76687.57000000
0.001083808497
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.05000000
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
2241629.64000000
0.031680456847
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.04250000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/40 #004833
36202FLN4
643040.05160000
PA
USD
709413.42000000
0.010025983257
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2.5% 01/01/2036 #TBA
01F022410
-5100000.00000000
PA
USD
-5320733.10000000
-0.07519674631
Short
ABS-MBS
USGA
US
N
2
2036-01-01
Fixed
0.02500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 4.5% 10/01/2040#
3129424K8
16423.74120000
PA
USD
18403.01000000
0.000260085677
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2045#AY5060
3138YJTS5
145726.62700000
PA
USD
159249.68000000
0.002250640572
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 6.50% 12/32 #735415
31402RAQ2
28468.42870000
PA
USD
33213.89000000
0.000469404575
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 4/35 #A32438
31297MV70
2191.90080000
PA
USD
2436.26000000
0.000034431124
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.04500000
N
N
N
N
N
N
ALLY FINL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 1.45% 10/02/2023
02005NBL3
2209000.00000000
PA
USD
2254832.71000000
0.031867052921
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
0.01450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 6/35 #G01827
3128LXA42
1499.34960000
PA
USD
1667.16000000
0.000023561604
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/20/2046#MA3803
36179SGL5
2725766.21700000
PA
USD
2939047.88000000
0.041536914873
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/47 #MA2864
31418CFE9
1498757.62230000
PA
USD
1603648.02000000
0.022664003450
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 5.013%/VAR 04/04/2051
95000U2M4
21093000.00000000
PA
USD
29961527.38000000
0.423439652255
Long
DBT
CORP
US
N
2
2051-04-04
Variable
0.05013000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.65% 7/15/42
20030NBE0
2539000.00000000
PA
USD
3435224.34000000
0.048549267248
Long
DBT
CORP
US
N
2
2042-07-15
Fixed
0.04650000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 03/15/2045#AL5046
36184BTB3
74423.27540000
PA
USD
78249.19000000
0.001105878528
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
MERIT 2020
N/A
MERIT 2020-HILL F 1ML+125 08/15/2037 144A
590027AA6
1912000.00000000
PA
USD
1915639.87000000
0.027073315392
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Variable
0.01308630
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
1281209.21000000
0.018107046929
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04782040
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
714729.08000000
0.010101108306
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04782040
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2045#Q32124
3132QNLE7
18210.00100000
PA
USD
19905.17000000
0.000281315373
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.875% 01/16/2024
00774MAK1
5015000.00000000
PA
USD
5473283.19000000
0.077352703060
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
0.04875000
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
1174790.13000000
0.016603049564
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03177097
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.45% 09/29/27
172967KA8
17100000.00000000
PA
USD
20160957.63000000
0.284930363519
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
0.04450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2042#Q11138
3132HMHP9
123851.67630000
PA
USD
136872.20000000
0.001934384587
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.5% 02/43 #Q15869
3132J66F6
407056.13960000
PA
USD
447111.44000000
0.006318927278
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 30YR 4% 12/15/2042#AB8144
36178VBM2
21120.49050000
PA
USD
23252.21000000
0.000328618350
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
0.04000000
N
N
N
N
N
N
SIMON PROPERTY GROUP LP
MR92GTD0MJTTTTQDVG45
SIMON PROPERTY GROUP LP 2.45% 09/13/2029
828807DF1
1628000.00000000
PA
USD
1709223.17000000
0.024156073739
Long
DBT
CORP
US
N
2
2029-09-13
Fixed
0.02450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7497
31417EKK6
52801.08530000
PA
USD
57138.09000000
0.000807520012
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LDP MTN 4% 3/01/28
92277GAM9
2243000.00000000
PA
USD
2557761.40000000
0.036148277223
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 3.875% 09/16/2046
02209SAV5
4590000.00000000
PA
USD
4840678.31000000
0.068412237943
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% 03/01/2044#Q25226
3132M5PK2
67849.26970000
PA
USD
74409.79000000
0.001051617135
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2046#BC8095
3140F37H5
787001.77310000
PA
USD
854778.60000000
0.012080397255
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTN TII 0.75% 02/15/2045
912810RL4
33835000.00000000
PA
USD
48299660.64000000
0.682608441354
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.00750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 12/01/2042#Q13899
3132HQKL5
70457.88640000
PA
USD
77865.12000000
0.001100450551
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3.05% 10/15/2027
125523AZ3
3200000.00000000
PA
USD
3583504.64000000
0.050644879994
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
0.03050000
N
N
N
N
N
N
NEW JERSEY ECO DEV AUTH ST PEN
N/A
NEW JERSEY ECO DEV AUTH ST PENSER A MBIA
645913AA2
7240000.00000000
PA
USD
9331708.40000000
0.131882974780
Long
DBT
MUN
US
N
2
2029-02-15
Fixed
0.07425000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
UPJOHN INC 1.125% 06/22/2022 144A
91533BAA8
3058000.00000000
PA
USD
3086809.66000000
0.043625199491
Long
DBT
CORP
US
N
2
2022-06-22
Fixed
0.01125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/41 #005280
36202F2M7
4239782.17690000
PA
USD
4684667.61000000
0.066207373160
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
0.04000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE INC 7.3% 07/01/2038
88732JAN8
3781000.00000000
PA
USD
5597039.33000000
0.079101721267
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
0.07300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 12/01/2044#Q30848
3132QL5J8
126900.52920000
PA
USD
136010.49000000
0.001922206229
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/44#AL7377
3138EQFT4
769802.03870000
PA
USD
849176.25000000
0.012001220479
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.03500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5.0% 11/24/2025
6174467X1
14636000.00000000
PA
USD
17500946.94000000
0.247337019652
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 30YR 2.5% 01/01/2043#AQ9316
3138MRK67
3367101.20040000
PA
USD
3577370.95000000
0.050558193907
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 06/01/2041#
3132GET67
66793.77040000
PA
USD
74676.27000000
0.001055383238
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 3.0% 06/01/2045#Q34104
3132QQR20
97372.08170000
PA
USD
106222.20000000
0.001501214903
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 15YR 3% 03/01/2033#G18681
3128MMXK4
557079.36700000
PA
USD
586400.24000000
0.008287465140
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
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
6300503.79000000
0.089043629186
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Variable
0.01586880
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/29 #506813
36211AAN6
183.66690000
PA
USD
200.98000000
0.000002840405
Long
ABS-MBS
USGA
US
N
2
2029-09-15
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
9495278.95000000
0.134194681254
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BC1976
3140EWFS9
739666.29190000
PA
USD
804522.30000000
0.011370136062
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
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
6060368.18000000
PA
USD
5729474.50000000
0.080973398288
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 7.50% 4/27 #435836
36207MEH5
4802.62450000
PA
USD
5345.64000000
0.000075548750
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 15YR 2.5% 02/01/2035#FM2502
3140X5X81
1583977.13300000
PA
USD
1673525.38000000
0.023651564753
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/47#784304
3622A2X98
1223305.21110000
PA
USD
1347462.98000000
0.019043396834
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.409% 5/35 #829985
31407GCW6
21360.56830000
PA
USD
22475.11000000
0.000317635768
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
0.03339000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 11/15/2042#AB9211
36178WGU7
890434.56960000
PA
USD
962054.63000000
0.013596505705
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 7/40 #004746
36202FHX7
295636.68470000
PA
USD
329911.47000000
0.004662565975
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/27 #190289
31368HKA0
6387.50530000
PA
USD
7199.44000000
0.000101748096
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 15YR 3% 12/01/2034#CA4890
3140QCNG7
542715.14700000
PA
USD
589605.63000000
0.008332766209
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2044#AX4421
3138Y54F0
620899.97860000
PA
USD
684857.15000000
0.009678934914
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#727139
31402EZC5
260223.85030000
PA
USD
287899.10000000
0.004068814424
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/28 #457547
31381DHY4
755.08490000
PA
USD
830.72000000
0.000011740382
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 4.50% 4/41 #762904
36176DKR3
165628.38270000
PA
USD
187312.67000000
0.002647248614
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AN8980
36186S6R4
52337.91680000
PA
USD
54946.70000000
0.000776549581
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% 01/01/2043#AR0910
3138NXAL1
62533.65490000
PA
USD
67728.70000000
0.000957194765
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% 7/41 #769093
36176LGA7
56564.02910000
PA
USD
62768.05000000
0.000887086994
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AK7286
36183RCX9
7790.42160000
PA
USD
8237.16000000
0.000116413963
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% 11/01/2042#Q13653
3132HQBW1
73466.12180000
PA
USD
81189.62000000
0.001147434976
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.5% 07/15/2023
55336VAE0
1975000.00000000
PA
USD
2151004.55000000
0.030399672456
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 4.5% 06/47#Q48876
3132WN2J0
349710.90800000
PA
USD
389328.22000000
0.005502289786
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE5530
3140FREC5
666360.04060000
PA
USD
717576.41000000
0.010141348992
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% 05/01/2045#AY7630
3138YMPQ6
30083.61370000
PA
USD
32507.63000000
0.000459423158
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 3.5% 04/01/2043#Q16935
3132J8EH9
667076.27670000
PA
USD
724145.19000000
0.010234184110
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
BX TR 2018-IND
N/A
BX COML MTG TR 2018-IND B 1ML+103.9 11/15/2035 144A
056059AG3
1117900.00000000
PA
USD
1116556.51000000
0.015780046668
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Variable
0.01059000
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
6276280.65000000
0.088701288895
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.03625000
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
1265306.94000000
0.017882303658
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
0.05600000
N
N
N
N
N
N
DUKE ENERGY CORP NEW
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP NEW 2.45% 06/01/2030
26441CBH7
2783000.00000000
PA
USD
2959602.11000000
0.041827403268
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
0.02450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #772060
36176PQM1
84307.67310000
PA
USD
93554.65000000
0.001322187215
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INTL/EMC CORP 6.2% 07/15/2030 144A
24703DBD2
2056000.00000000
PA
USD
2671342.32000000
0.037753491292
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
0.06200000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.15% 4/35 #1N0006
3128QGAF9
84298.59500000
PA
USD
87711.70000000
0.001239610093
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
0.01945000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/28 #415853
31379C5N7
2938.61790000
PA
USD
3332.42000000
0.000047096356
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 2.5% 11/01/2032#G18665
3128MMW33
110825.25800000
PA
USD
116118.45000000
0.001641076419
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 3/39 #697924
36296QLD9
50474.84120000
PA
USD
58074.00000000
0.000820747021
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 12/40 #AH1016
3138A2DW6
19824.34660000
PA
USD
21983.87000000
0.000310693181
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
TRANSCONTINENTAL GAS PIPE LINE CO LLC
N/A
TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030 WI
893574AP8
1017000.00000000
PA
USD
1139030.72000000
0.016097669717
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.03250000
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTYS LTD PARTNERSHIP 4.5% 12/01/2028
10112RBA1
3891000.00000000
PA
USD
4651755.17000000
0.065742228911
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
0.04500000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
EL PASO PIPELINE PRT OP CO LLC 5% 10/01/2021
28370TAE9
1517000.00000000
PA
USD
1549763.98000000
0.021902472208
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21605
3132JNYA9
117137.68930000
PA
USD
128683.66000000
0.001818657759
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 5/27 #353490
36203MUP3
2468.56100000
PA
USD
2801.78000000
0.000039596938
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
0.07500000
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
2040499.79000000
0.028837933078
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Variable
0.01959000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/38 #889219
31410G4C4
96709.47670000
PA
USD
115725.90000000
0.001635528597
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
0.06000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 4.1% 02/09/2027
254709AM0
3673000.00000000
PA
USD
4230108.70000000
0.059783192432
Long
DBT
CORP
US
N
2
2027-02-09
Fixed
0.04100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 03/01/2046#BA6972
3140EBXA4
643224.83690000
PA
USD
701031.65000000
0.009907525552
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
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
37907.30380000
PA
USD
41489.73000000
0.000586365194
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04000000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2020-BXLP E 1ML+177.15 12/15/2029 144A
05607QAU2
3568733.65000000
PA
USD
3497165.19000000
0.049424663607
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01759000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/28 #428795
31379TKG8
7875.02440000
PA
USD
9028.56000000
0.000127598645
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 8/39 #698474
36296Q6K0
307235.33540000
PA
USD
348568.72000000
0.004926244770
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 8/41 #Q02511
3132GFYG6
23190.50130000
PA
USD
25927.27000000
0.000366424383
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 3.7% 04/06/2023
718546AU8
476000.00000000
PA
USD
509756.89000000
0.007204281594
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 5/39 #G05457
3128M7ME3
357534.93590000
PA
USD
401321.02000000
0.005671781381
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
0.04500000
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027
105340AQ6
4613000.00000000
PA
USD
4928331.95000000
0.069651027487
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK2525
3138E6YX8
79790.81190000
PA
USD
88532.52000000
0.001251210561
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 7.50% 8/29 #511104
31383RX98
3660.34580000
PA
USD
4266.27000000
0.000060294252
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
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
48004101.55000000
0.678431369982
Long
DBT
CORP
US
N
2
2028-06-05
Variable
0.03691000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMER FIN LLC
5493002SQ1AVQBY41K40
VOLKSWAGEN GROUP AMER FIN LLC 3.125% 05/12/2023 144A
928668BD3
4990000.00000000
PA
USD
5270065.95000000
0.074480678669
Long
DBT
CORP
US
N
2
2023-05-12
Fixed
0.03125000
N
N
N
N
N
N
NEW CENTURY HOME EQUITY LN TR
N/A
NCHET 2005-4 M2 1ML+51 9/35
64352VMV0
45611.54000000
PA
USD
45663.01000000
0.000645345239
Long
ABS-CBDO
CORP
US
N
2
2035-09-25
Variable
0.00913000
N
N
N
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 3.75% 03/26/2025
225433AC5
4660000.00000000
PA
USD
5172592.68000000
0.073103110462
Long
DBT
CORP
CH
N
2
2025-03-26
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 03/46#BC0287
3140EUJ91
89076.98400000
PA
USD
98224.72000000
0.001388188284
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% 12/01/2047#Q53017
3132XVK77
1098513.25900000
PA
USD
1202362.20000000
0.016992719543
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/27 #366829
31376VPN6
3904.20830000
PA
USD
4373.03000000
0.000061803067
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2046#BD7571
3140FFMV0
628450.45270000
PA
USD
681787.23000000
0.009635548412
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
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
10019706.36000000
PA
USD
9429782.12000000
0.133269029014
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.01659000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 06/47#MA4511
36179TAL9
2442998.34340000
PA
USD
2631399.20000000
0.037188983994
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/31 #533678
36212G2K7
7100.75340000
PA
USD
8279.62000000
0.000117014041
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2045#MA3035
36179RLQ0
3650200.33900000
PA
USD
3996718.24000000
0.056484736583
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 8/37 #G06089
3128M8C28
123387.94080000
PA
USD
147224.37000000
0.002080689520
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% 01/15/2045#AL1884
36183XCV0
13371.05870000
PA
USD
14091.86000000
0.000199157146
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC
N/A
DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC 20-85A A1 3ML+135 10/15/2032 144A
26246BAA2
5478000.00000000
PA
USD
5471081.29000000
0.077321584094
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01563250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 02/01/2028#
31292GUK0
385.21790000
PA
USD
438.00000000
0.000006190157
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 12/01/2046#Q45028
3132WJSS1
109381.51200000
PA
USD
120508.17000000
0.001703115363
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0214
3138MFGY7
328303.36120000
PA
USD
362462.47000000
0.005122602072
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #353415
36203MSC5
5454.15570000
PA
USD
6139.99000000
0.000086775123
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 4.00% 11/41 #489862
36210EFB0
189392.63600000
PA
USD
209810.36000000
0.002965203500
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2049#BN8122
3140JRAY7
2787599.12400000
PA
USD
2941746.11000000
0.041575048362
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 09/01/2028#MA1580
31418AXJ2
158390.78810000
PA
USD
166433.05000000
0.002352161554
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2043#Q23023
3132M3AY3
919245.06580000
PA
USD
1022779.64000000
0.014454718866
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/47#Q48877
3132WN2K7
1873030.97140000
PA
USD
2053553.70000000
0.029022421106
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 7.50% 11/27 #404846
31378PWF6
2245.39350000
PA
USD
2557.77000000
0.000036148398
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2045#AZ0814
3138YR3Y2
2778280.10540000
PA
USD
3003973.41000000
0.042454493056
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 3.0% 11/01/2042#AQ1978
3138MHFU2
138733.73790000
PA
USD
150129.12000000
0.002121741710
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% 08/01/2043#Q20763
3132JMZ44
75557.03260000
PA
USD
83004.50000000
0.001173084274
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 20YR 2.5% 08/01/2039#MA3761
31418DFB3
134328.52200000
PA
USD
141751.62000000
0.002003344352
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
0.02500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 4.4% 08/15/2049
674599CY9
279000.00000000
PA
USD
235141.20000000
0.003323198670
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
0.04400000
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
6521224.74000000
0.092163029646
Long
DBT
CORP
US
N
2
2021-01-22
Fixed
0.03150000
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
7913850.48000000
PA
USD
7591871.52000000
0.107294244236
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01279000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 03/01/2033#G18683
3128MMXM0
305557.03600000
PA
USD
319864.47000000
0.004520573942
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/45#AY3962
3138YHML1
98834.78600000
PA
USD
107902.41000000
0.001524960940
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 30YR 3.0% 03/15/2045#AL2303
36183XRY8
26760.66890000
PA
USD
28136.37000000
0.000397645105
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 4% 06/15/2029
91529YAN6
4410000.00000000
PA
USD
4957779.77000000
0.070067207026
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/29 #323500
31374TKM0
798.31440000
PA
USD
900.85000000
0.000012731514
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 3% 11/1/42 #Q13479
3132HP2L7
35249.18810000
PA
USD
38375.87000000
0.000542357698
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% 04/01/2043#Q16749
3132J75K4
29432.88190000
PA
USD
32435.18000000
0.000458399238
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
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
6206948.51000000
0.087721433066
Long
DBT
CORP
US
N
2
2024-07-23
Variable
0.03797000
N
N
N
N
N
N
EMIRATE OF ABU DHABI
213800FER4348CINTA77
EMIRATE OF ABU DHABI 3.125% 04/16/2030 144A
29135LAH3
6600000.00000000
PA
USD
7453875.00000000
0.105343969882
Long
DBT
NUSS
AE
N
2
2030-04-16
Fixed
0.03125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/25 #329280
31375AXH7
1841.02610000
PA
USD
2034.95000000
0.000028759499
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% 07/45#AO0257
3617A0JA5
10137.30670000
PA
USD
10642.60000000
0.000150409516
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
EMIRATE OF ABU DHABI
213800FER4348CINTA77
EMIRATE OF ABU DHABI 3.875% 04/16/2050 144A
29135LAJ9
5700000.00000000
PA
USD
6923718.75000000
0.097851388636
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 03/01/2033#ZS8690
3132A9UP0
557131.54300000
PA
USD
586290.30000000
0.008285911382
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3.625% 04/01/2027
126650DH0
1795000.00000000
PA
USD
2041883.10000000
0.028857483093
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/25 #328609
31375AAJ8
1640.76440000
PA
USD
1815.86000000
0.000025663148
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 09/01/2046#BC2847
3140EXEV1
91185.38250000
PA
USD
100263.60000000
0.001417003324
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.875% 03/31/2022
912828W89
14649000.00000000
PA
USD
14969446.88000000
0.211559888150
Long
DBT
UST
US
N
2
2022-03-31
Fixed
0.01875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/49#CA4421
3140QB4F2
1752226.39800000
PA
USD
1863297.40000000
0.026333570818
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 15YR 3% 03/01/2033#BH6415
3140GVDV4
596571.74600000
PA
USD
627794.70000000
0.008872483905
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
CALIFORNIA ST
N/A
CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA
13063A5G5
3585000.00000000
PA
USD
6294543.00000000
0.088959386656
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
0.07550000
N
N
N
N
N
N
ARES LV CLO LTD
N/A
ARES LV CLO LTD 2020-55A A1 3ML+170 04/15/2031 144A
04018BAA5
5831000.00000000
PA
USD
5839087.60000000
0.082522536033
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Variable
0.01936880
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #508736
36211CEH1
5862.36530000
PA
USD
6614.03000000
0.000093474625
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/20/2050#MA6599
36179VKL3
53005132.73300000
PA
USD
55227473.63000000
0.780517692981
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 4/32 #C01344
31292HP57
248025.84800000
PA
USD
287214.33000000
0.004059136721
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 15YR 3% 03/01/2033#BM4614
3140J9DU2
584099.49300000
PA
USD
627629.39000000
0.008870147615
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
SHIRE ACQ INV IRELAND DA
549300XK5HGW68R8K327
SHIRE ACQ INV IRELAND DA 2.4% 09/23/2021
82481LAB5
2659000.00000000
PA
USD
2693658.71000000
0.038068883905
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 4.00% 6/41 #768770
36176K2B2
21709.10420000
PA
USD
24049.48000000
0.000339885991
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 10/31 #550985
36213DCW6
12788.37710000
PA
USD
14890.82000000
0.000210448671
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 20YR 2.5% 10/01/2039#FM1486
3140X4UL8
1091181.14000000
PA
USD
1151480.68000000
0.016273622253
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 9/37 #942981
31413ECS2
22788.19530000
PA
USD
27371.77000000
0.000386839182
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 3% 2/43 #Q15438
3132J6PY4
1050164.43930000
PA
USD
1149879.86000000
0.016250998217
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.5% 03/13/2027
71654QCG5
4830000.00000000
PA
USD
5103812.70000000
0.072131058188
Long
DBT
CORP
MX
N
2
2027-03-13
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/32 #555211
31385WYG8
180.97930000
PA
USD
212.80000000
0.000003007455
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.07000000
N
N
N
N
N
N
MACK-CALI REALTY LP
549300MJC9VNA6VSEE11
MACK CALI RLTY 3.15% 5/15/23
55448QAS5
4988000.00000000
PA
USD
4926044.55000000
0.069618700168
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
0.03150000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#727060
31402EWV6
105183.43520000
PA
USD
116324.11000000
0.001643982967
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/01/2046#Q39717
3132QWYP8
147940.62910000
PA
USD
158792.18000000
0.002244174825
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9314
36184HK37
13568.61360000
PA
USD
14266.14000000
0.000201620207
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 3.0% 01/15/2045#AL1871
36183XCG3
3990.38660000
PA
USD
4205.50000000
0.000059435403
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 20YR 3% 11/01/2039#RB5017
3133KYSE0
818201.06900000
PA
USD
856769.84000000
0.012108539011
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 02/20/2050#MA6474
36179VFP0
3700720.93700000
PA
USD
3874962.72000000
0.054763992698
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2027#MA1257
31418AMF2
92129.14370000
PA
USD
96427.37000000
0.001362786733
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 01/01/2035#SB8026
3132D54K5
999900.60300000
PA
USD
1042992.62000000
0.014740384450
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.24% 9/33 #555935
31385XSY4
124617.80650000
PA
USD
128684.43000000
0.001818668641
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
0.02314000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 10/01/2041#AI6819
3138ALSH1
31593.57230000
PA
USD
32822.78000000
0.000463877103
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Variable
0.02330000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 2/26 #336195
31375JNL0
449.19640000
PA
USD
501.14000000
0.000007082500
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/32 #634194
31389SRP1
1260.84220000
PA
USD
1454.76000000
0.000020559801
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34584
31307RCV5
30261.32240000
PA
USD
32591.69000000
0.000460611159
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 30YR 3.0% 08/01/2045#AZ3728
3138YVEA3
127055.12090000
PA
USD
136419.21000000
0.001927982579
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 4.95% 03/31/2030
404280CF4
1425000.00000000
PA
USD
1782861.85000000
0.025196792947
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
0.04950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2043#Q15174
3132J6FQ2
21138.41810000
PA
USD
23360.70000000
0.000330151616
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #444633
36207W4S0
1681.02530000
PA
USD
1903.59000000
0.000026903017
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 3.4% 04/16/2025 144A
74727PBC4
3655000.00000000
PA
USD
4027353.13000000
0.056917692721
Long
DBT
NUSS
QA
N
2
2025-04-16
Fixed
0.03400000
N
N
N
N
N
N
AASET 2019-1 TRUST
549300TXM3PCKZJKD061
AASET 2019-1 TRUST 3.844% 05/15/2039 144A
00256DAA0
3765053.22000000
PA
USD
3555687.27000000
0.050251743245
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 3.5% 4/1/43 #AT0668
3138WMW64
11263.52190000
PA
USD
12368.58000000
0.000174802410
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 4.00% 4/42 #AK6409
3138EBDP7
129586.37200000
PA
USD
143783.57000000
0.002032061453
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 10YR 2.5% 08/01/2024#MA1985
31418BF35
35344.75200000
PA
USD
36934.25000000
0.000521983601
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 08/01/2043#Q20785
3132JM2S7
72747.96650000
PA
USD
79918.55000000
0.001129471224
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 4.5% 01/01/2041#
3129444V0
83163.89070000
PA
USD
93082.22000000
0.001315510466
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY3425
3138YGYX4
213323.62720000
PA
USD
230786.28000000
0.003261651547
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
RABOBANK NEDERLAND COOPERATIEV E CENTRALE RAIFEISEN-BOERNELEE NBANK B.A.
DG3RU1DBUFHT4ZF9WN62
RABOBANK NEDERLAND 4.375% 08/04/2025
21684AAC0
7451000.00000000
PA
USD
8501923.17000000
0.120155803305
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
0.04375000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
AXA EQUITABLE HLDGS INC 3.9% 04/20/2023
054561AC9
1041000.00000000
PA
USD
1119931.81000000
0.015827749038
Long
DBT
CORP
US
N
2
2023-04-20
Fixed
0.03900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/26 #358481
31376LFW9
573.04790000
PA
USD
617.71000000
0.000008729959
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 30YR 3.0% 05/01/2045#Q33468
3132QP2A1
112747.67520000
PA
USD
121193.96000000
0.001712807482
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 4% 05/01/2048#BJ2731
3140H4A95
4816430.03000000
PA
USD
5226707.03000000
0.073867896624
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 3.50% 4/42 #AK6572
3138EBJS5
1322910.65110000
PA
USD
1451461.05000000
0.020513178599
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 10/41 #Q03643
3132GJWC9
610648.55370000
PA
USD
685384.30000000
0.009686385008
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 07/01/2046#Q41359
3132WEQM7
14386.32300000
PA
USD
15671.60000000
0.000221483263
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 4.0% 09/01/2043#Q21526
3132JNVT1
67303.45120000
PA
USD
73937.38000000
0.001044940669
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 4.5% 12/01/2045#G61796
31335B7H3
194329.48500000
PA
USD
218388.39000000
0.003086434905
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04500000
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
3343461.48000000
0.047252403005
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 7/40#V81831
3132L7A82
98084.61440000
PA
USD
105740.20000000
0.001494402903
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 3.5% 06/01/2032#C91456
3128P7TM5
11425850.05850000
PA
USD
12328958.39000000
0.174242447226
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
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
2871433.31000000
0.040581333082
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% 12/01/2044#AX8928
3138YA4N2
236661.40380000
PA
USD
260669.45000000
0.003683983792
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 01/15/2045#AK3531
36183L4Q6
10923.49720000
PA
USD
11512.36000000
0.000162701642
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
AMERADA HESS CORP 7.875% 10/01/2029
023551AF1
4387000.00000000
PA
USD
5764373.10000000
0.081466612498
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.07875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/45#AZ9583
3140E2UH2
34872.53270000
PA
USD
38071.92000000
0.000538062040
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC 3.25% 01/12/2021
06738EAL9
4610000.00000000
PA
USD
4612487.56000000
0.065187268448
Long
DBT
CORP
GB
N
2
2021-01-12
Fixed
0.03250000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3% 08/15/2026
126650DF4
625000.00000000
PA
USD
692130.31000000
0.009781724878
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.03000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 3.85% 04/09/2025
718546AV6
614000.00000000
PA
USD
691554.01000000
0.009773580158
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
0.03850000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3% 02/15/2047
912810RV2
99232000.00000000
PA
USD
129505512.00000000
1.830272811894
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/29 #499474
36210Q2F8
9525.15870000
PA
USD
10851.84000000
0.000153366659
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 7/40 #719232
3620A5A90
116299.71480000
PA
USD
132216.35000000
0.001868584486
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 4% 04/01/2049#FM1277
3140X4M37
3295411.06200000
PA
USD
3534930.77000000
0.049958396212
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/47#V84700
3132LAGH9
31881.40800000
PA
USD
34709.76000000
0.000490545375
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
THUNDERBOLT AIRCRAFT LEASE LIM
N/A
THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A
886065AA9
6259948.17000000
PA
USD
6012737.18000000
0.084976687213
Long
ABS-CBDO
CORP
US
N
2
2038-09-15
Variable
0.04147000
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
5469553.09000000
0.077299986380
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01556880
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
6762752.65000000
0.095576490279
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.04572000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/28 #190294
31368HKF9
714.15630000
PA
USD
809.74000000
0.000011443876
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9337
36184HLS1
56990.62190000
PA
USD
59920.37000000
0.000846841361
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 01/01/2051 #TBA
21H030617
-10000000.00000000
PA
USD
-10455945.00000000
-0.14777156246
Short
ABS-MBS
USGA
US
N
2
2051-01-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.59% 9/36 #893081
31410PFW8
52955.01500000
PA
USD
55376.02000000
0.000782617066
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Variable
0.03145000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERGY COMPANY
549300JD0S5IZJE9LY15
BERKSHIRE HATHAWAY ENERGY COMPANY 4.05% 04/15/2025 144A
084659AS0
12432000.00000000
PA
USD
14073728.40000000
0.198900896608
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.04050000
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
6081710.40000000
0.085951470505
Long
ABS-CBDO
CORP
KY
N
2
2032-11-16
Variable
0.01541000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2045#Q37070
3132QT2C9
10098.54280000
PA
USD
11019.68000000
0.000155738704
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 8/37 #AE0265
31419AJK4
475703.83930000
PA
USD
556408.33000000
0.007863596097
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.0% 2/1/43#Q15558
3132J6TQ7
31960.10250000
PA
USD
35064.70000000
0.000495561664
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
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
535981.56000000
0.007574909065
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/01/2049#CA4406
3140QB3Q9
1844849.39100000
PA
USD
1979087.09000000
0.027970000946
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% 02/01/2047#BE5696
3140FRKJ3
370135.52210000
PA
USD
398584.10000000
0.005633101095
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% 05/01/2045#AY9074
3138YPCL4
244193.64540000
PA
USD
266854.18000000
0.003771391216
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% 07/01/2045#AS5366
3138WE6C8
121633.76630000
PA
USD
131514.67000000
0.001858667798
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03500000
N
N
N
N
N
N
CALIFORNIA ST
N/A
CA ST BUILD AMERICA BONDS
13063BBU5
805000.00000000
PA
USD
1337056.70000000
0.018896327176
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% 07/01/2047#AS9968
3138WLCE1
952965.62700000
PA
USD
1038013.33000000
0.014670013244
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 07/47#MA4587
36179TCY9
759966.83700000
PA
USD
818574.49000000
0.011568732561
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
0.04000000
N
N
N
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 3.3% 07/15/2025 144A
00130HCB9
8591000.00000000
PA
USD
9364190.00000000
0.132342030062
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.03300000
N
N
N
N
N
N
CONSOLIDATED EDISON CO OF NY
VZFZPMWDHTQCFKYOBP05
CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030
209111FX6
790000.00000000
PA
USD
904807.35000000
0.012787442535
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
0.03350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 04/01/2034#G16829
3128MFY28
1229542.11200000
PA
USD
1315389.60000000
0.018590110835
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 07/01/2032#J37270
31307UCF3
62863.81530000
PA
USD
67881.65000000
0.000959356374
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 3.5% 06/01/2045#Q33791
3132QQF98
548626.40660000
PA
USD
593697.38000000
0.008390594008
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% 2/1/43 #Q15788
3132J62W3
155176.87290000
PA
USD
169086.88000000
0.002389667547
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NISOURCE INC 2.95% 09/01/2029
65473PAH8
8554000.00000000
PA
USD
9405346.77000000
0.132923689607
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
0.02950000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 4.5% 04/15/2024
29278NAH6
1262000.00000000
PA
USD
1380026.76000000
0.019503613549
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/28 #484239
36209W4Y5
75.35920000
PA
USD
85.53000000
0.000001208776
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030
92277GAV9
10016000.00000000
PA
USD
12220448.28000000
0.172708897796
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
0.04750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/45#AL2996
36183YKH0
14964.30620000
PA
USD
15710.20000000
0.000222028788
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A97151
3129455L8
70614.05120000
PA
USD
79035.66000000
0.001116993535
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #303505
31373UDJ3
1174.13790000
PA
USD
1282.40000000
0.000018123876
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 30YR 4.5% 01/01/2045#AY0364
3138YDMN6
177105.95180000
PA
USD
195072.41000000
0.002756915307
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 3/40 #727841
3620AES68
307926.95340000
PA
USD
342596.02000000
0.004841833920
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
0.04000000
N
N
N
N
N
N
MOLSON COORS BEVERAGE CO
54930073LBBH6ZCBE225
MOLSON COORS BREWING CO 3% 07/15/2026
60871RAG5
7500000.00000000
PA
USD
8174355.23000000
0.115526357922
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 15YR 3% 02/01/2033#BM5108
3140J9VA6
13544461.34300000
PA
USD
14287203.03000000
0.201917886428
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 3.5% 10/01/2040#V81966
3132L7FF1
186199.65310000
PA
USD
200150.81000000
0.002828687213
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/27 #251298
31371GDB3
52.40050000
PA
USD
59.13000000
0.000000835671
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 11/40 #749953
3620C6E27
43871.12250000
PA
USD
48661.38000000
0.000687720541
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 7.50% 6/26 #348509
31375YDN4
921.03550000
PA
USD
1033.18000000
0.000014601704
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3% 04/01/2046#Q40165
3132WDFF6
148809.33200000
PA
USD
159724.60000000
0.002257352511
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2047#BJ0760
3140H1Z29
163592.43560000
PA
USD
175738.41000000
0.002483672153
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% 7/40 #A92914
312941GX9
52925.49550000
PA
USD
61044.63000000
0.000862730279
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AM8979
36185B6Q4
6248.35690000
PA
USD
6680.87000000
0.000094419260
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
N
N
N
N
N
N
ILLINOIS ST
N/A
ILLINOIS ST TXBL
452151LF8
4805000.00000000
PA
USD
5171189.05000000
0.073083273269
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
0.05100000
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 4.4% 04/16/2050 144A
74727PBE0
7110000.00000000
PA
USD
9243000.00000000
0.130629278546
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
0.04400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 01/01/2044#Q24255
3132M4MC6
6260.89640000
PA
USD
6878.02000000
0.000097205538
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 7.00% 2/29 #323542
31374TLX5
62635.94220000
PA
USD
71021.33000000
0.001003728778
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #336156
36224RMD3
505.54120000
PA
USD
527.77000000
0.000007458856
Long
ABS-MBS
USGA
US
N
2
2022-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 09/45#MA3106
36179RNX3
5425.37600000
PA
USD
5940.41000000
0.000083954503
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 3.5% 11/01/2049#CA4557
3140QCB39
12367679.24900000
PA
USD
13310528.04000000
0.188114754401
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03500000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 3.5% 06/01/2030
035240AV2
3700000.00000000
PA
USD
4283676.04000000
0.060540247823
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 11/45#AZ0560
3138YRTS7
328373.43410000
PA
USD
358500.15000000
0.005066603478
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 7.50% 8/26 #G00529
31283GSS7
301.73720000
PA
USD
334.55000000
0.000004728121
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
0.07500000
N
N
N
N
N
N
PROVIDENCE PLACE GROUP LTD PARTNERSHIP
N/A
PPGLP 2000-C1 A2 7.75% 7/28
743784AB6
3523287.27980000
PA
USD
4085168.10000000
0.057734778929
Long
ABS-MBS
CORP
US
N
2
2028-07-20
Fixed
0.07750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AD8812
36180MYH4
977667.37650000
PA
USD
1058910.36000000
0.014965346356
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
APOLLO AVIATION SECURITIZATION EQUITY TRUST
N/A
APOLLO AVIATION SECURITIZATION EQUITY TRUST 4.335% 01/16/2040 144A
00255UAB1
473101.48000000
PA
USD
405685.56000000
0.005733464461
Long
ABS-CBDO
CORP
US
N
2
2040-01-16
Fixed
0.04335000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.75% 01/15/2025
15135BAP6
4565000.00000000
PA
USD
4684739.95000000
0.066208395525
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.04750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 09/01/2043#Q21900
3132JPDD1
37053.31280000
PA
USD
40705.57000000
0.000575282834
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% 11/41 #AJ3402
3138AUX85
68638.43470000
PA
USD
76652.47000000
0.001083312436
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#BC0824
3140EU4J5
3101581.38570000
PA
USD
3379707.63000000
0.047764661841
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 07/31#BC1465
3140EVTX5
19137585.41600000
PA
USD
20081954.45000000
0.283813829017
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.21% 5/36 #872503
31409JKQ2
84170.38210000
PA
USD
88834.87000000
0.001255483606
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.02905000
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
16125874.08000000
0.227903418478
Long
DBT
CORP
US
N
2
2021-09-25
Fixed
0.04375000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3.7% 03/09/2023
126650CV0
340000.00000000
PA
USD
363960.49000000
0.005143773258
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% 11/32#BJ6650
3140H8L86
167065.14800000
PA
USD
176226.55000000
0.002490570927
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 7.50% 2/27 #250932
31371FVZ2
1729.70620000
PA
USD
1959.70000000
0.000027696007
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
0.07500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.49% 01/23/2027
71654QDB5
3830000.00000000
PA
USD
4040650.00000000
0.057105614449
Long
DBT
CORP
MX
N
2
2027-01-23
Fixed
0.06490000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15992
3132J7C67
132701.96620000
PA
USD
146238.23000000
0.002066752621
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 4.50% 7/40 #719228
3620A5A58
147010.88660000
PA
USD
166625.27000000
0.002354878157
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 4.00% 12/40 #AE4446
31419E5G0
7414.52830000
PA
USD
8222.21000000
0.000116202678
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 05/01/2026#
3128FCVY6
576.05350000
PA
USD
646.43000000
0.000009135852
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% 01/01/2043#AB7458
31417EJC6
51965.21400000
PA
USD
56233.56000000
0.000794736489
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 3% 6/46#V82414
3132L7VF3
2128113.11940000
PA
USD
2282881.64000000
0.032263462256
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 9/40 #004800
36202FKM7
1034785.18160000
PA
USD
1141674.87000000
0.016135038905
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04000000
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
2309361.89000000
0.032637701784
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
0.04800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 05/01/2045#Q33547
3132QP5H3
2849348.53630000
PA
USD
3083429.36000000
0.043577426457
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Securities Lending Cash Central Fund
31635A303
76385828.91300000
NS
USD
76393467.50000000
1.079652011812
Long
STIV
RF
US
N
1
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #550867
36213C6C9
17552.32590000
PA
USD
20378.50000000
0.000288004841
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2048#Q56870
3132Y0T42
138210.94700000
PA
USD
151287.54000000
0.002138113405
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.03500000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS PARTNERS LP 4% 11/15/2021
96950FAH7
2221000.00000000
PA
USD
2268766.67000000
0.032063978501
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2050#MA6600
36179VKM1
4602256.31500000
PA
USD
4857018.36000000
0.068643168262
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #464690
36208YF79
8957.58150000
PA
USD
10166.53000000
0.000143681324
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 4.5% 12/01/44#AX7267
3138Y9CD8
5486.66070000
PA
USD
5999.36000000
0.000084787630
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 4.5% 12/01/2046#BC9079
3140F5CR2
138588.69600000
PA
USD
152647.78000000
0.002157337376
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
1024161.43000000
0.014474247399
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 7.00% 4/32 #567624
36213XSM7
41929.46290000
PA
USD
49143.80000000
0.000694538476
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
0.07000000
N
N
N
N
N
N
GB 2020-FLIX A
N/A
GB 2020-FLIX C 1ML+175 08/25/2025 144A
368306AL0
500000.00000000
PA
USD
502245.55000000
0.007098125484
Long
ABS-MBS
CORP
TC
N
2
2037-08-15
Variable
0.01758630
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 12/01/2028#
31292GX43
10.30410000
PA
USD
10.33000000
0.000000145991
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 7.00% 12/28 #490998
36210FNP7
1683.83200000
PA
USD
1905.48000000
0.000026929728
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 06/01/2031#J34653
31307RE27
212288.06700000
PA
USD
228635.99000000
0.003231261973
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 30YR 4.5% 09/01/2033#727221
31402E4E5
98296.53520000
PA
USD
108600.91000000
0.001534832686
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC 4.375% 1/12/26
06738EAN5
6221000.00000000
PA
USD
7168715.97000000
0.101313880262
Long
DBT
CORP
GB
N
2
2026-01-12
Fixed
0.04375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 01/15/2045#AI6880
36198TUD2
11351.57790000
PA
USD
11991.89000000
0.000169478734
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
DB MASTER FIN LLC
549300F17UZJL70BPB08
DB MASTER FIN LLC 1A A2I 3.629% 11/20/2047 144A
233046AE1
3463072.50000000
PA
USD
3555086.34000000
0.050243250434
Long
ABS-CBDO
CORP
US
N
2
2047-11-20
Fixed
0.03629000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.625% 12/15/2029
15135BAT8
8925000.00000000
PA
USD
9908624.25000000
0.140036399130
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.04625000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 3.75% 08/15/2021
87165BAC7
2203000.00000000
PA
USD
2234522.48000000
0.031580012924
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
0.03750000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 5.25% 05/15/2024 144A
05401AAD3
3813000.00000000
PA
USD
4146515.75000000
0.058601791723
Long
DBT
CORP
KY
N
2
2024-05-15
Fixed
0.05250000
N
N
N
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP 3.6% 01/15/2026
04010LAZ6
12461000.00000000
PA
USD
13499582.36000000
0.190786617371
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.03875000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.464% 5/1/41#1B8304
3128UGTL1
75161.66550000
PA
USD
78831.75000000
0.001114111720
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.03069000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL5244
36184BZH3
7418.19410000
PA
USD
7799.54000000
0.000110229177
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
DRYDEN 68 CLO LTD
N/A
DRYDEN 68 CLO LTD 3ML+131 07/15/2032 144A
26252QAA0
5140000.00000000
PA
USD
5136551.06000000
0.072593742203
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Variable
0.01546880
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
6652874.60000000
0.094023608055
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 7.50% 9/27 #397591
31378FUQ6
180.33270000
PA
USD
195.98000000
0.000002769742
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 5.00% 8/39 #710776
36297FT93
78116.01580000
PA
USD
90024.06000000
0.001272290166
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 4.0% 07/01/2045#AZ1783
3138YS6V3
988930.20130000
PA
USD
1079659.90000000
0.015258595024
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
ELANCO ANIMAL HEALTH INC VAR 08/28/2023
28414HAE3
3166000.00000000
PA
USD
3458855.00000000
0.048883234149
Long
DBT
CORP
US
N
2
2023-08-28
Variable
0.05272000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #471698
36209G7K7
39419.74000000
PA
USD
44336.13000000
0.000626592737
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 4.5% 09/01/2044#AX1002
3138Y2DG5
498641.00930000
PA
USD
550004.62000000
0.007773093877
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 06/01/2045#AZ3115
3138YUN98
11157.02670000
PA
USD
12187.60000000
0.000172244660
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 2.4% 02/01/2031
92936UAG4
3800000.00000000
PA
USD
3944188.61000000
0.055742346919
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
0.02400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/01/2045#Q38812
3132QVYJ4
285298.22830000
PA
USD
311547.09000000
0.004403026246
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #471672
36209G6H5
319.45940000
PA
USD
358.16000000
0.000005061796
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM LLC 4.75% 09/30/2021 144A
23311RAE6
3739000.00000000
PA
USD
3795085.00000000
0.053635098514
Long
DBT
CORP
US
N
2
2021-09-30
Fixed
0.04750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#CA1545
3140Q8WF8
421073.95400000
PA
USD
457205.38000000
0.006461582704
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 30YR 4% 03/15/2042#733816
3620AMGZ9
92240.06760000
PA
USD
102040.00000000
0.001442108793
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
0.04000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL 4.25% 08/15/2024
87165BAD5
2218000.00000000
PA
USD
2450331.91000000
0.034629999957
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.04250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #458552
36208RL93
6933.94460000
PA
USD
7459.17000000
0.000105418802
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 4.0% 02/01/2042#AJ5602
3138AXGL9
513995.62750000
PA
USD
569665.36000000
0.008050954775
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 11/40 #734032
3620AMPR7
35089.06950000
PA
USD
40011.82000000
0.000565478219
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 06/01/2043#AT3665
3138WRCB4
246801.79160000
PA
USD
267305.10000000
0.003777763968
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2035#AB8197
31417FDB1
522586.78720000
PA
USD
580645.19000000
0.008206130288
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 11/01/2045#AS6191
3138WF2Z8
27494.37010000
PA
USD
29693.50000000
0.000419651680
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 7.00% 4/28 #442336
36207ULR7
2489.87230000
PA
USD
2803.33000000
0.000039618844
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
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
1558275.80000000
PA
USD
1482079.23000000
0.020945898578
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01659000
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
1767886.60000000
0.024985151045
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
0.04450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #563599
36213TDC4
352.55780000
PA
USD
412.76000000
0.000005833445
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% 4/27 #440301
36207SDE0
1162.04560000
PA
USD
1311.30000000
0.000018532313
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 15YR 2.5% 03/01/2033#G18680
3128MMXJ7
768127.43400000
PA
USD
804094.31000000
0.011364087374
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 4.58% 7/35 #995273
31416BT65
8533.46160000
PA
USD
8957.40000000
0.000126592956
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.03382000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2032#C91403
3128P7RY1
2464907.34190000
PA
USD
2659735.59000000
0.037589455939
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
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
5103647.44300000
PA
USD
5586297.85000000
0.078949914301
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2045#AY5622
3138YKG80
6552336.72900000
PA
USD
7156281.33000000
0.101138144240
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BK NEW CASTLE DEL 3.2% 08/09/2021
25466AAF8
6841000.00000000
PA
USD
6941803.50000000
0.098106976416
Long
DBT
CORP
US
N
2
2021-08-09
Fixed
0.03200000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AK8998
36183S7K1
27339.47480000
PA
USD
28702.21000000
0.000405641997
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% 11/01/2041#AB3875
31417AJV2
4498.33550000
PA
USD
4985.54000000
0.000070459536
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 02/01/2043#Q15400
3132J6NS9
106048.80860000
PA
USD
116866.32000000
0.001651645901
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% 01/01/2043#Q15372
3132J6MW1
14915.59730000
PA
USD
16437.06000000
0.000232301340
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 02/01/2051 #TBA
01F030629
48650000.00000000
PA
USD
51012147.24000000
0.720943415672
Long
ABS-MBS
USGA
US
N
2
2051-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 06/01/2042#AO2244
3138LSP61
74720.07990000
PA
USD
78295.14000000
0.001106527929
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Variable
0.03005000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2045#Q33114
3132QPN83
29835.93170000
PA
USD
32287.03000000
0.000456305467
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 30YR 4.0% 04/01/2043#Q17518
3132J8YQ7
76547.05540000
PA
USD
84355.24000000
0.001192173984
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.04000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 4.5% 01/23/2026
71654QBW1
5320000.00000000
PA
USD
5317340.00000000
0.075148792381
Long
DBT
CORP
MX
N
2
2026-01-23
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/27 #251335
31371GEG1
1787.68380000
PA
USD
2007.30000000
0.000028368727
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% 06/01/2045#AY8494
3138YNNL7
38819.99580000
PA
USD
42405.81000000
0.000599311951
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FIN 3.85% 11/22 WI
254709AJ7
5040000.00000000
PA
USD
5359953.72000000
0.075751042679
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 02/01/2035#AB0067
31416VCD4
112929.74540000
PA
USD
127992.12000000
0.001808884376
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.05000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.45% 03/15/2022
00287YCS6
6868000.00000000
PA
USD
7083097.86000000
0.100103858414
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.03450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/47#BE9387
3140FVND4
44229.75800000
PA
USD
48702.81000000
0.000688306062
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 7.00% 12/30 #443191
36207VKC9
1893.74350000
PA
USD
2015.14000000
0.000028479528
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 30YR 3.0% 11/01/2042#AQ3751
3138MKEZ5
87603.58860000
PA
USD
94799.22000000
0.001339776448
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% 9/40#V81958
3132L7E70
173571.74880000
PA
USD
186576.75000000
0.002636848019
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 12/23 #050946
313615TB2
872.61360000
PA
USD
925.30000000
0.000013077060
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
0.06500000
N
N
N
N
N
N
CALIFORNIA ST
N/A
CALIFORNIA ST BUILD AMERICA BONDS
13063BFS6
4360000.00000000
PA
USD
4539762.80000000
0.064159465469
Long
DBT
MUN
US
N
2
2022-03-01
Fixed
0.06650000
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
3182948.86000000
0.044983913581
Long
ABS-CBDO
CORP
KY
N
2
2032-05-29
Variable
0.01574380
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
SOUTHWESTERN ENERGY CO 4.95%/VAR 01/23/2025
845467AL3
2509000.00000000
PA
USD
2609360.00000000
0.036877508846
Long
DBT
CORP
US
N
2
2025-01-23
Variable
0.06450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#FM2870
3140X6FL0
12683768.09100000
PA
USD
13606683.45000000
0.192300253433
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.30% 12/35 #850837
31408GHN0
57662.20540000
PA
USD
60860.20000000
0.000860123771
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Variable
0.03820000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 6.00% 5/33 #G01785
31283H6W0
111808.72350000
PA
USD
128489.23000000
0.001815909922
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2047#Q52086
3132XUJ89
119104.65180000
PA
USD
126465.41000000
0.001787307721
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#BC0532
3140EUSW0
177647.71400000
PA
USD
193612.97000000
0.002736289363
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 15YR 3% 12/34#FM0045
3140X3BP2
1174715.22000000
PA
USD
1269969.71000000
0.017948201557
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 2/41 #004945
36202FP67
42025.36320000
PA
USD
46487.67000000
0.000656999977
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
0.04000000
N
N
N
N
N
N
CIT GROUP INC NEW
N8O96ZZJQRFYQUJY7K79
CIT GROUP INC NEW 3.929/VAR 06/19/2024
125581HA9
1670000.00000000
PA
USD
1766025.00000000
0.024958841463
Long
DBT
CORP
US
N
2
2024-06-19
Variable
0.03929000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
N/A
CHARTER COMM OPER LLC/CAP CORP 4.908% 07/23/2025
161175AY0
3860000.00000000
PA
USD
4484746.37000000
0.063381930409
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
0.04908000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 11/15/2040#749947
3620C6EU5
27497.20580000
PA
USD
30547.97000000
0.000431727716
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NATWEST MARKETS PLC 2.375% 05/21/2023 144A
63906YAA6
8695000.00000000
PA
USD
9044610.99000000
0.127825490463
Long
DBT
CORP
GB
N
2
2023-05-21
Fixed
0.02375000
N
N
N
N
N
N
THOMSON REUTERS CORP
549300561UZND4C7B569
THOMSON REUTERS CORP 3.85% 09/29/2024
884903BT1
1034000.00000000
PA
USD
1135293.08000000
0.016044846476
Long
DBT
CORP
CA
N
2
2024-09-29
Fixed
0.03850000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.5% 01/23/2029
71654QCP5
5560000.00000000
PA
USD
5737225.00000000
0.081082934394
Long
DBT
CORP
MX
N
2
2029-01-23
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/46#MA3664
36179SB97
4367974.30900000
PA
USD
4768981.43000000
0.067398961765
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AB8529
31417FPP7
2047068.94400000
PA
USD
2217131.24000000
0.031334226368
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
VALERO ENERGY CORP 2.85% 04/15/2025
91913YAY6
957000.00000000
PA
USD
1019049.83000000
0.014402006285
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.02850000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GRP INC 3.4% 06/30/2030
026874DR5
11900000.00000000
PA
USD
13626713.44000000
0.192583332860
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
0.03400000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2044#AW1064
3138XQFE6
170836.10020000
PA
USD
189020.70000000
0.002671387825
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04500000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 5.71% 01/15/2026 144A
46115HAW7
9864000.00000000
PA
USD
11287416.83000000
0.159522570286
Long
DBT
CORP
IT
N
2
2026-01-15
Fixed
0.05710000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 06/20/2047#MA4512
36179TAM7
6775207.35500000
PA
USD
7395548.73000000
0.104519657584
Long
ABS-MBS
USGA
US
N
2
2047-06-20
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
1310159.27000000
0.018516191736
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
0.03900000
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
1546552.81000000
0.021857089451
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
0.03500000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORP
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.65% 05/11/2027
14040HCE3
13479000.00000000
PA
USD
15431638.30000000
0.218091937457
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
0.03650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 12/34#FM0047
3140X3BR8
8843564.98600000
PA
USD
9472230.14000000
0.133868937510
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/45#Q34074
3132QQQ47
12782.23700000
PA
USD
13964.15000000
0.000197352249
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP
N/A
COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP 3ML+131 01/20/2034 144A
19736WAC4
8900000.00000000
PA
USD
8900000.00000000
0.125781735265
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Variable
0.00000000
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
1567401.45000000
0.022151738678
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 4.0% 09/15/2040#783095
36241LNL6
52252.82420000
PA
USD
57933.95000000
0.000818767726
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
0.04000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 3.6% 04/01/2040
68389XBW4
5860000.00000000
PA
USD
6857050.81000000
0.096909185358
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
0.03600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 06/45#G60179
31335AFU7
88937.15880000
PA
USD
97203.20000000
0.001373751367
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 30YR 4.0% 08/01/2044#Q27808
3132M8KV7
83898.87700000
PA
USD
91827.74000000
0.001297781177
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
0.04000000
N
N
N
N
N
N
DISNEY (WALT) CO
549300GZKULIZ0WOW665
DISNEY (WALT) CO 4.7% 03/23/2050
254687FS0
7268000.00000000
PA
USD
10247884.58000000
0.144831090480
Long
DBT
CORP
US
N
2
2050-03-23
Fixed
0.04700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 03/01/2045#AL6541
3138EPHT4
4242668.60990000
PA
USD
4687598.54000000
0.066248795347
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 30YR 3.0% 05/01/2043#AB9341
31417GLX2
184264.61380000
PA
USD
199572.58000000
0.002820515216
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 4% 05/01/46#AS7188
3138WG7A6
485960.70750000
PA
USD
528571.10000000
0.007470178670
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 3.0% 01/01/2043#AR1276
3138NXM20
120391.94190000
PA
USD
130393.62000000
0.001842824246
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS
N/A
GOVERNMENT NAT MTG ASSN HECM 2.5% 06/20/2065
38376RGD2
20630.92610000
PA
USD
20618.54000000
0.000291397274
Long
ABS-CBDO
USGA
US
N
2
2065-06-20
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/33 #713686
31401N2T5
69875.66320000
PA
USD
77149.50000000
0.001090336852
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
STORE CAP CORP
5493004EA6C9IHDZ7N66
STORE CAP CORP 4.625% 03/15/2029
862121AB6
1793000.00000000
PA
USD
2079074.32000000
0.029383098395
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.04625000
N
N
N
N
N
N
PUGET ENERGY INC NEW
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC NEW 4.1% 06/15/2030
745310AK8
3363000.00000000
PA
USD
3800680.59000000
0.053714179753
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
0.04100000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 04/01/2028#MA1419
31418ASH2
123182.06700000
PA
USD
129436.61000000
0.001829299035
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/45#BA6404
3140EBDJ7
66674.41550000
PA
USD
72791.48000000
0.001028745917
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
EXELON CORP 4.7% 04/15/2050
30161NAY7
775000.00000000
PA
USD
1028783.82000000
0.014539574617
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
0.04700000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 2.5% 01/01/2036 #TBA
01F022410
5100000.00000000
PA
USD
5320733.10000000
0.075196746315
Long
ABS-MBS
USGA
US
N
2
2036-01-01
Fixed
0.02500000
N
N
N
N
N
N
NAKILAT INC
2549006RMTDJWLLWF072
NAKILAT INC 6.067% 12/33 144A
62983PAA3
1808000.00000000
PA
USD
2307460.00000000
0.032610822792
Long
DBT
CORP
MH
N
2
2033-12-31
Fixed
0.06067000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2050#FM5000
3140X8RW9
60099981.28200000
PA
USD
63423353.99000000
0.896348260814
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.2% 08/15/2026
674599CR4
607000.00000000
PA
USD
567545.00000000
0.008020988195
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.03200000
N
N
N
N
N
N
VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC
N/A
VOYA CLO 2020-2 LTD/LLC 3ML+160 07/19/2031 144A
92918HAA8
6400000.00000000
PA
USD
6407494.40000000
0.090555703858
Long
ABS-CBDO
CORP
US
N
2
2031-07-19
Variable
0.01784830
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2045#AZ3198
3138YURU7
630266.76820000
PA
USD
688359.97000000
0.009728439495
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 3.0% 02/01/2043#AB7767
31417ETZ4
2341103.55110000
PA
USD
2535593.07000000
0.035834977109
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 3.5% 03/01/2045#Q32008
3132QNGS2
261237.22010000
PA
USD
285555.77000000
0.004035696659
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% 09/46#BC2843
3140EXER0
1689366.35600000
PA
USD
1866002.79000000
0.026371805498
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/31 #557595
36213LNL0
13557.40490000
PA
USD
15621.71000000
0.000220778178
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 4.50% 8/41 #AI7910
3138AMYG4
87467.47650000
PA
USD
97761.93000000
0.001381647775
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 30YR 3.0% 12/01/2042#AL2860
3138EKFA8
154960.99080000
PA
USD
167689.25000000
0.002369915151
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 4.50% 8/41 #Q02592
3132GF2Z9
210929.28280000
PA
USD
236744.39000000
0.003345856200
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
CLECO CORPORATE HLDGS LLC
5493002H80P81B3HXL31
CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029
18551PAE9
3447000.00000000
PA
USD
3538499.24000000
0.050008828611
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.03375000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 01/01/2051 #TBA
21H022614
-11750000.00000000
PA
USD
-12439689.75000000
-0.17580738909
Short
ABS-MBS
USGA
US
N
2
2051-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 8.5% 01/01/2028#
31283G7J0
2474.99200000
PA
USD
2791.46000000
0.000039451087
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.08500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 01/46#MA3377
36179RXE4
6312.30700000
PA
USD
6911.54000000
0.000097679269
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
0.04000000
N
N
N
N
N
N
SAUDI ARABIA KINGDOM OF
54930044PULMORCKB765
SAUDI ARABIA KINGDOM OF 3.25% 10/22/2030 144A
80413TAT6
3150000.00000000
PA
USD
3468937.50000000
0.049025727896
Long
DBT
NUSS
SA
N
2
2030-10-22
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 3/41 #A97528
312946LH7
78399.86860000
PA
USD
87750.03000000
0.001240151802
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
SYMPHONY CLO XXIII LTD
N/A
SYMPHONY CLO XXIII LTD 20-23A A 3ML+0 01/15/2034 144A
87167NAC9
3860000.00000000
PA
USD
3855147.98000000
0.054483955351
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Variable
0.01320000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #534007
36212HGQ7
18715.43390000
PA
USD
21899.04000000
0.000309494297
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% 5/27 #447692
36208DKD6
359.72740000
PA
USD
400.92000000
0.000005666113
Long
ABS-MBS
USGA
US
N
2
2027-05-15
Fixed
0.07500000
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
850412.90000000
0.012018697781
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
0.04375000
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
2529234.45400000
PA
USD
2077231.42000000
0.029357053096
Long
ABS-CBDO
CORP
US
N
3
2039-04-15
Fixed
0.05095000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2043#AB9814
31417G3Y0
129522.31140000
PA
USD
140282.51000000
0.001982581745
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 03/31/2024
912828W71
60434000.00000000
PA
USD
64201682.19000000
0.907348201443
Long
DBT
UST
US
N
2
2024-03-31
Fixed
0.02125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 10/40 #AE4428
31419E4N6
120830.46860000
PA
USD
133987.99000000
0.001893622683
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
0.04000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 4.55% 06/24/2024
969457BW9
13337000.00000000
PA
USD
14926660.37000000
0.210955195849
Long
DBT
CORP
US
N
2
2024-06-24
Fixed
0.04550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2046#BA7483
3140ECJ59
47809.11980000
PA
USD
52329.84000000
0.000739566076
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.04000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 4.5% 04/15/2050 144A
87264AAY1
2586000.00000000
PA
USD
3189533.61000000
0.045076974399
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2045#AL7619
3138EQPD8
919229.47200000
PA
USD
1003564.46000000
0.014183154969
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 3.0% 8/45#Q35578
3132QSFU7
59279.53770000
PA
USD
64926.79000000
0.000917595990
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
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
14769340.26000000
0.208731825464
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
0.04900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 11/42#G60488
31335ARH3
5867638.54730000
PA
USD
6506507.03000000
0.091955027500
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 7.00% 5/24 #282104
31372TKR1
1048.93190000
PA
USD
1123.73000000
0.000015881428
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
0.07000000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2020-JGDN
N/A
BAMLL COML MTG SECS TR 2020-JGDN VAR 1ML+275 11/15/2025 144A
05493DAA2
5790000.00000000
PA
USD
5795299.01000000
0.081903681557
Long
ABS-MBS
CORP
US
N
2
2030-11-15
Variable
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2047#MA4452
36179S5M5
509804.59160000
PA
USD
549120.06000000
0.007760592586
Long
ABS-MBS
USGA
US
N
2
2047-05-20
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 EFX 5.5422% 07/05/2033 144A
46645WBG7
1533000.00000000
PA
USD
1497137.61000000
0.021158715339
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.05542200
N
N
N
N
N
N
BRANDYWINE OPER PARTNERSHIP LP
IXBXSCONLDQ1ZI73YU71
BRANDYWINE OPE 3.95% 2/15/23
105340AM5
5510000.00000000
PA
USD
5738521.08000000
0.081101251607
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.03950000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #565700
36213VNR5
653.80150000
PA
USD
762.81000000
0.000010780625
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 30YR 4.0% 11/01/2040#AB1801
31416XAB6
7815675.01040000
PA
USD
8670097.11000000
0.122532568474
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 10/01/2047#Q51234
3132XTLQ9
43031.92000000
PA
USD
46762.46000000
0.000660883524
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 3.50% 10/42 #Q11886
3132HNCX5
441336.16980000
PA
USD
484764.71000000
0.006851072631
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
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
77916.67200000
PA
USD
81735.49000000
0.001155149636
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 7/23 #355342
36203PWB5
774.26510000
PA
USD
806.73000000
0.000011401336
Long
ABS-MBS
USGA
US
N
2
2023-07-15
Fixed
0.07500000
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
2453327.22000000
0.034672332011
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
0.04750000
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
9042000.00000000
PA
USD
9052344.05000000
0.127934780093
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.01566880
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 06/01/2040#V81792
3132L67D7
614961.12140000
PA
USD
662959.33000000
0.009369457858
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/28 #436662
31380DB70
11005.64880000
PA
USD
12435.64000000
0.000175750154
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.07500000
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
348000.00000000
PA
USD
359996.66000000
0.005087753324
Long
DBT
CORP
IE
N
2
2022-05-26
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ8767
3138MQW58
82571.47250000
PA
USD
89353.77000000
0.001262817105
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 06/45#AN5733
36186NLN7
8054.94490000
PA
USD
8469.03000000
0.000119690931
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2045#AS6020
3138WFVN3
1005048.57680000
PA
USD
1097257.06000000
0.015507291802
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/29 #252492
31371HNH7
1892.29770000
PA
USD
2191.49000000
0.000030971844
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 3.0% 02/01/2043#AR2943
3138W0HV4
213860.38080000
PA
USD
231627.05000000
0.003273533964
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 15YR 3% 03/01/2033#MA3312
31418CVE1
2106810.55400000
PA
USD
2217075.33000000
0.031333436204
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 7.50% 11/22 #321719
36223YK82
5008.23970000
PA
USD
5238.66000000
0.000074036825
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
CEDF 2016-6A
N/A
CEDF 2016-6A 3ML+109 10/20/2028 144A
15032DAH4
1420000.00000000
PA
USD
1414187.94000000
0.019986405964
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Variable
0.01308380
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
GENERAL MILLS INC 2.875% 04/15/2030
370334CL6
718000.00000000
PA
USD
795688.32000000
0.011245287373
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.02875000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 12/20/2045#MA3311
36179RVC0
7339.46800000
PA
USD
8036.21000000
0.000113573981
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 3% 08/01/2032#J37452
31307UH50
74950.37200000
PA
USD
81026.65000000
0.001145131757
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #748242
3620C4HT0
42259.41470000
PA
USD
46894.48000000
0.000662749333
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 2.5% 10/01/2050#CA7229
3140QFA74
13847811.34700000
PA
USD
14799132.45000000
0.209152871909
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 3.50% 4/42 #G06993
3128M9C67
155996.14580000
PA
USD
171200.29000000
0.002419535904
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE BV
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 5.093% 01/15/2030
71647NBE8
3804000.00000000
PA
USD
4241460.00000000
0.059943617849
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
0.05093000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AS4992
3138WERN1
204084.73810000
PA
USD
220791.09000000
0.003120391733
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% 04/01/2046#V82292
3132L7RM3
512078.37200000
PA
USD
560632.36000000
0.007923293380
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 04/01/2048#Q55500
3132XYDE4
533483.04600000
PA
USD
583249.49000000
0.008242936285
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/01/2051 #TBA
21H032613
-7650000.00000000
PA
USD
-8106734.84000000
-0.11457069387
Short
ABS-MBS
USGA
US
N
2
2051-01-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE6903
3140FSU50
342699.69260000
PA
USD
369039.56000000
0.005215554633
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/25 #418624
36206RAZ9
1921.06330000
PA
USD
2125.82000000
0.000030043744
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 6/27 #443920
36207WDZ4
562.54060000
PA
USD
630.17000000
0.000008906053
Long
ABS-MBS
USGA
US
N
2
2027-06-15
Fixed
0.07500000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5% 07/15/2025
00774MAN5
3625000.00000000
PA
USD
4332679.68000000
0.061232805449
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
0.06500000
N
N
N
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP 4.2% 06/10/2024
04010LAX1
8906000.00000000
PA
USD
9612008.19000000
0.135844389834
Long
DBT
CORP
US
N
2
2024-06-10
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2044#AX3008
3138Y4KW8
6034.88100000
PA
USD
6603.64000000
0.000093327786
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 03/01/2048#Q54727
3132XXHD4
1172644.49400000
PA
USD
1242916.15000000
0.017565859565
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GRP INC 2.5% 06/30/2025
026874DQ7
11900000.00000000
PA
USD
12789876.05000000
0.180756494764
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 04/20/2047#MA4383
36179S2Q9
3522562.58200000
PA
USD
3794218.03000000
0.053622845819
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL BARCLAYS BANK TRUST 2016-MART
N/A
MORGAN STANLEY CAPITAL BARCLAYS BANK TRUST 2016-MART 2.2004% 09/13/2031 144A
61691BAA9
1700000.00000000
PA
USD
1697801.05000000
0.023994647438
Long
ABS-MBS
CORP
US
N
2
2031-09-13
Fixed
0.02200400
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#AS7009
3138WGYF5
2378015.65860000
PA
USD
2591258.03000000
0.036621677700
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 10/28 #323327
31374TD89
3406.55720000
PA
USD
3862.50000000
0.000054587859
Long
ABS-MBS
USGSE
US
N
2
2028-10-01
Fixed
0.07000000
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
1536162.85000000
0.021710250440
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 ARM 5.31% 2/36 #822116
31406WK52
81960.79160000
PA
USD
86048.41000000
0.001216103182
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
0.03788000
N
N
N
N
N
N
FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC
N/A
FLATIRON CLO 20 LTD / LLC 3ML+130 11/20/2033 144A
33883MAA2
6330000.00000000
PA
USD
6329911.38000000
0.089459240163
Long
ABS-CBDO
CORP
KY
N
2
2033-11-20
Variable
0.01548270
N
N
N
N
N
N
COCA COLA CO
UWJKFUJFZ02DKWI3RY53
COCA COLA CO 3.45% 03/25/2030
191216CT5
3470000.00000000
PA
USD
4087967.96000000
0.057774348732
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
0.03450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 2/41 #738002
3620AR3K5
34799.24540000
PA
USD
38605.20000000
0.000545598769
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 30YR 4% 03/01/2046#BC0625
3140EUVT3
676620.18570000
PA
USD
735948.14000000
0.010400992597
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 3.625% 05/15/2030
25470DBJ7
3476000.00000000
PA
USD
3979697.91000000
0.056244192017
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.03625000
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
17394766.31000000
0.245836392249
Long
DBT
CORP
US
N
2
2059-01-23
Fixed
0.05800000
N
N
N
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP FUNDING GUERNSEY LTD 4.55% 04/17/2026
225433AR2
2575000.00000000
PA
USD
3028788.59000000
0.042805200517
Long
DBT
CORP
CH
N
2
2026-04-17
Fixed
0.04550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/28 #457257
31381C5S2
5269.20390000
PA
USD
5796.72000000
0.000081923764
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 4/39 #AB0042
31416VBL7
6169426.89020000
PA
USD
6833127.67000000
0.096571084901
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 30YR 4% 09/01/2045#AZ7012
3138YYYJ6
573960.45500000
PA
USD
626618.63000000
0.008855862767
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
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
5643304.75000000
0.079755580234
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Variable
0.01498380
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/30 #479580
36209RXH1
3400.34160000
PA
USD
3994.58000000
0.000056454517
Long
ABS-MBS
USGA
US
N
2
2030-09-15
Fixed
0.08000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3% 03/20/2043#AA6146
36178DZK0
2476532.66300000
PA
USD
2682329.56000000
0.037908771529
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 4.50% 8/33 #726923
31402ESL3
123021.17500000
PA
USD
135672.87000000
0.001917434721
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #553440
36213FZD8
10036.17270000
PA
USD
11677.92000000
0.000165041465
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 01/20/2050#BR8993
3617M77E2
2152864.21600000
PA
USD
2344865.26000000
0.033139463075
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/23 #050930
313615ST4
278.03060000
PA
USD
295.46000000
0.000004175670
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
0.07000000
N
N
N
N
N
N
CALIFORNIA ST
N/A
CALIFORNIA ST BUILD AMERICA BONDS-TAXABLE-VA
13063A5E0
5055000.00000000
PA
USD
8424966.30000000
0.119068188850
Long
DBT
MUN
US
N
2
2034-04-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/26 #303884
31373URD1
1937.76300000
PA
USD
2135.17000000
0.000030175886
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
0.07000000
N
N
N
N
N
N
CSMC 2019-ICE4
N/A
CSMC 2019-ICE4 B 1ML+123 05/15/2036 144A
12653VAC0
3291000.00000000
PA
USD
3290012.04000000
0.046497013869
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.01389000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#AS7594
3138WHNL2
485539.60130000
PA
USD
523465.05000000
0.007398015993
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 5.7% 08/15/2035
761713BA3
1215000.00000000
PA
USD
1534530.98000000
0.021687187582
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 7.00% 6/32 #565960
36213VWV6
5036.95370000
PA
USD
5859.02000000
0.000082804236
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 12/31/2025
91282CBC4
29651000.00000000
PA
USD
29667215.54000000
0.419280207992
Long
DBT
UST
US
N
2
2025-12-31
Fixed
0.00375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2040#AE0675
31419AXD4
1358244.64930000
PA
USD
1521498.46000000
0.021503001854
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 3.622/VAR 04/01/2031
6174468P7
10036000.00000000
PA
USD
11654365.72000000
0.164708577942
Long
DBT
CORP
US
N
2
2031-04-01
Variable
0.03622000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 02/01/2048#G61896
31335CC93
282866.89600000
PA
USD
299994.71000000
0.004239759010
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 7.5% 08/01/2028#
31293CM35
635.80510000
PA
USD
653.65000000
0.000009237891
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 4.5% 05/01/2048#Q55839
3132XYPZ4
940257.21800000
PA
USD
1027969.96000000
0.014528072513
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 09/01/2034#SB8013
3132D53W0
999900.37600000
PA
USD
1043304.85000000
0.014744797128
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
0.02500000
N
N
N
N
N
N
TJX COMPANIES INC
V167QI9I69W364E2DY52
TJX COMPANIES INC NEW 3.75% 04/15/2027
872540AS8
4337000.00000000
PA
USD
5013616.93000000
0.070856341282
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
0.03750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.5% 04/20/2047#MA4384
36179S2R7
7603261.87000000
PA
USD
8318428.48000000
0.117562513359
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
0.04500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.875% 07/03/2023
00912XBC7
5581000.00000000
PA
USD
5958882.92000000
0.084215576845
Long
DBT
CORP
US
N
2
2023-07-03
Fixed
0.03875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 06/45#AN5715
36186NK40
7296.04160000
PA
USD
7671.11000000
0.000108414104
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 2/41 #A96876
312945T99
80601.31160000
PA
USD
90214.03000000
0.001274974970
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 1/26 #331637
31375DLS0
999.05290000
PA
USD
1089.47000000
0.000015397239
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 5.00% 10/39 #723228
3620A9PM7
37424.15870000
PA
USD
42803.16000000
0.000604927611
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 15YR 3% 03/01/2029#MA1837
31418BBF2
152523.71780000
PA
USD
160268.08000000
0.002265033394
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 15YR 2.5% 12/01/2032#G18669
3128MMW74
3562767.23900000
PA
USD
3732930.70000000
0.052756685513
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.02500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.862% 08/21/2046
92343VCK8
7441000.00000000
PA
USD
10040140.11000000
0.141895083747
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
0.04862000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #338522
36224UAX5
200.07570000
PA
USD
208.87000000
0.000002951913
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 3.50% 9/42 #Q11420
3132HMSH5
64893.70360000
PA
USD
71279.40000000
0.001007376024
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.03500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS 4.25% 03/14/24
404280AP4
2200000.00000000
PA
USD
2427447.02000000
0.034306572858
Long
DBT
CORP
GB
N
2
2024-03-14
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9863
3138YP5Z1
111478.33810000
PA
USD
121753.56000000
0.001720716185
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
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
1995643.77000000
0.028203992849
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.04125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/25 #780453
36225AQE3
619.11730000
PA
USD
683.17000000
0.000009655090
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07500000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HLDGS FDG LTD 4.375% 05/01/2026 144A
05401AAG6
2546000.00000000
PA
USD
2757338.04000000
0.038968849818
Long
DBT
CORP
KY
N
2
2026-05-01
Fixed
0.04375000
N
N
N
N
N
N
ENERGY TRANSFER OPERATING LP
5493008K8W3OKZE54J59
ENERGY TRANSFER OPERATING MLP 6% 06/15/2048
29278NAE3
1470000.00000000
PA
USD
1747109.96000000
0.024691519378
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
0.06000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
TIME WARNER CABLE INC 4.5% 09/15/2042
88732JBD9
924000.00000000
PA
USD
1081238.84000000
0.015280909835
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 20YR 2.5% 09/01/2039#RB5016
3133KYSD2
23532.82800000
PA
USD
24833.27000000
0.000350963122
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
0.02500000
N
N
N
N
N
N
BANK 2018-BNK10
N/A
BANK 2018-BNK10 3.688% 02/15/2061
065404BB0
4609000.00000000
PA
USD
5315657.87000000
0.075125019209
Long
ABS-MBS
CORP
US
N
2
2061-02-15
Fixed
0.03688000
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
6498850.94000000
0.091846825670
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.05250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AY3020
3138YGLA8
217640.36410000
PA
USD
237811.88000000
0.003360942801
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479430
36209RST1
625800.30470000
PA
USD
694438.90000000
0.009814351671
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
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
1480109.59000000
0.020918062091
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.03600000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #453633
36208K4S5
6636.89180000
PA
USD
7549.65000000
0.000106697536
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 2.328% 07/15/2052 144A
78403DAR1
1826000.00000000
PA
USD
1840457.36000000
0.026010777575
Long
ABS-CBDO
CORP
US
N
2
2052-07-15
Fixed
0.02328000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 07/01/2050#CA6312
3140QEAN2
5844204.90700000
PA
USD
6269449.71000000
0.088604748728
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.50% 8/36 #888034
31410FSX4
49499.10150000
PA
USD
57586.69000000
0.000813859977
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 4.50% 5/41 #Q00736
3132GDY97
131957.99470000
PA
USD
147695.64000000
0.002087349875
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
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
57066.81590000
PA
USD
61461.43000000
0.000868620822
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783276
36241LT97
20221.08730000
PA
USD
22919.01000000
0.000323909308
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
0.04500000
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
4649858.65000000
0.065715425813
Long
DBT
CORP
US
N
2
2025-04-21
Fixed
0.03950000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/20/2050#MA6821
36179VSJ0
4700870.62400000
PA
USD
5006998.37000000
0.070762802635
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8237
3138EDEK3
762618.22090000
PA
USD
846169.00000000
0.011958719679
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% 02/01/2051 #TBA
21H030625
450000.00000000
PA
USD
470798.78000000
0.006653695225
Long
ABS-MBS
USGA
US
N
2
2051-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/01/2046#Q39899
3132QW7M5
113176.57480000
PA
USD
123341.81000000
0.001743162572
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
0.04000000
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
18219640.60000000
0.257494158493
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 03/01/2044#Q25336
3132M5SZ6
78096.77640000
PA
USD
86434.58000000
0.001221560838
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
DRYDEN 83 CLO LTD
N/A
DRYDEN 83 CLO LTD 3ML+122 01/18/2032 144A
26246EAC2
2840000.00000000
PA
USD
2840000.00000000
0.040137093051
Long
ABS-CBDO
CORP
KY
N
2
2032-01-18
Variable
0.01220000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 01/01/2051 #TBA
01F030611
-71300000.00000000
PA
USD
-74700617.85000000
-1.05572734141
Short
ABS-MBS
USGA
US
N
2
2051-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 04/01/2044#Q25663
3132M55Y4
34204.07770000
PA
USD
37511.36000000
0.000530139769
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #564604
36213UGM6
746.46130000
PA
USD
862.82000000
0.000012194044
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 11/40 #AE0504
31419AR25
751485.92400000
PA
USD
841810.55000000
0.011897122667
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04500000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019 1ML+185 10/15/2036 144A
056054AH2
7348514.37000000
PA
USD
7293240.31000000
0.103073755270
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01959000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/40 #AE6935
31419HV58
5668.41460000
PA
USD
6288.35000000
0.000088871862
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.25% 12/15/2027
15135BAR2
5745000.00000000
PA
USD
6089700.00000000
0.086064385758
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
0.04250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 12/41 #709061
36297DWW3
35705.21770000
PA
USD
39621.41000000
0.000559960640
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
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
19442475.41000000
0.274776212914
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
0.04750000
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
1519428.01000000
0.021473740641
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
0.05400000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 1/28 #458374
36208RFP4
244.81330000
PA
USD
275.92000000
0.000003899516
Long
ABS-MBS
USGA
US
N
2
2028-01-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 4/40 #733601
3620AMAA0
12710.62610000
PA
USD
14537.53000000
0.000205455702
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 09/01/2047#Q50433
3132XSPT1
67945.88400000
PA
USD
73921.21000000
0.001044712142
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AL4759
36184BJC2
19512.86540000
PA
USD
20515.97000000
0.000289947674
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
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
2359958.12000000
0.033352767133
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
0.03300000
N
N
N
N
N
N
VLS COMMERCIAL MORTGAGE TRUST 2020
N/A
VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A
92858TAA4
4250000.00000000
PA
USD
4405474.35000000
0.062261596450
Long
ABS-MBS
CORP
US
N
2
2042-10-10
Fixed
0.02130000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 7/25 #307018
31373YAT6
1848.66210000
PA
USD
2019.29000000
0.000028538179
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/45#AK8997
36183S7J4
5913.91050000
PA
USD
6208.69000000
0.000087746045
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 4.00% 6/41 #AB3143
31416YP51
229885.14050000
PA
USD
254999.01000000
0.003603844715
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04000000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 3.875% 11/05/2025
91529YAL0
4860000.00000000
PA
USD
5383943.62000000
0.076090086640
Long
DBT
CORP
US
N
2
2025-11-05
Fixed
0.03875000
N
N
N
N
N
N
BX 2020-BXLP
N/A
BX 2020-BXLP 1ML+125 12/15/2029 144A
05607QAR9
4363006.68000000
PA
USD
4313997.46000000
0.060968773758
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01409000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.0% 11/01/2043#Q23085
3132M3CW5
27625.48160000
PA
USD
30348.46000000
0.000428908085
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #552668
36213E6D3
2568.95310000
PA
USD
3010.96000000
0.000042553232
Long
ABS-MBS
USGA
US
N
2
2032-07-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 02/50#CA5126
3140QCVU7
7344422.76600000
PA
USD
7782433.12000000
0.109987409261
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/26 #365347
31376TZL4
7557.81790000
PA
USD
7837.21000000
0.000110761558
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/26 #303913
31373USA6
4916.04690000
PA
USD
5439.96000000
0.000076881753
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 7.50% 12/27 #417005
36206PGN4
3379.30820000
PA
USD
3817.84000000
0.000053956689
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
0.07500000
N
N
N
N
N
N
SBA TOWER TR
N/A
SBA TOWER TR 1.884% 07/15/2050 144A
78403DAP5
2389000.00000000
PA
USD
2458815.18000000
0.034749892139
Long
ABS-CBDO
CORP
US
N
2
2050-07-15
Fixed
0.01884000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#BC0791
3140EU2Z1
1462581.61400000
PA
USD
1577737.83000000
0.022297820455
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 04/01/2043#AB9247
31417GHZ2
343749.50680000
PA
USD
372951.37000000
0.005270839380
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS PARTNERS LP 4.3% 03/04/2024
96950FAM6
5449000.00000000
PA
USD
6010234.47000000
0.084941316965
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
0.04300000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #449564
36208FMM9
3254.25270000
PA
USD
3678.94000000
0.000051993646
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.75% 04/15/2027 144A
87264ABC8
6100000.00000000
PA
USD
6946680.00000000
0.098175894914
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
0.03750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 3/23 #889342
31410KBK9
777.34120000
PA
USD
805.45000000
0.000011383247
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
1789298.81370000
PA
USD
1962085.14000000
0.027729716140
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% 4/29 #323645
31374TP60
490.62340000
PA
USD
554.40000000
0.000007835212
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
0.07500000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DUKE ENRG FLD 6.45 11/3/36 144
26439XAH6
2477000.00000000
PA
USD
2650390.00000000
0.037457376778
Long
DBT
CORP
US
N
2
2036-11-03
Fixed
0.06450000
N
N
N
N
N
N
IMPERIAL TOBACCO FINANCE
2138008L3B3MCG1DFS50
IMPERIAL TOBACCO FINANCE 4.25% 07/21/2025 144A
453140AF2
15488000.00000000
PA
USD
17439559.09000000
0.246469438720
Long
DBT
CORP
GB
N
2
2025-07-21
Fixed
0.04250000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AN5754
36186NMB2
21298.49980000
PA
USD
22393.40000000
0.000316480978
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% 4/31 #547493
36212YGA5
10389.74330000
PA
USD
11780.54000000
0.000166491771
Long
ABS-MBS
USGA
US
N
2
2031-04-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 06/01/2047#BH0561
3140GNTT0
344645.59300000
PA
USD
377561.73000000
0.005335996580
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% 10/01/2047#Q51189
3132XTKB3
100649.80600000
PA
USD
109438.30000000
0.001546667334
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 30YR 3.5% 5/1/43 #AT5066
3138WSTY4
639531.41330000
PA
USD
706072.99000000
0.009978773697
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 5.00% 6/41 #G06596
3128M8UV4
752621.57020000
PA
USD
867373.25000000
0.012258394663
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 15YR 3% 06/01/2031#J34571
31307RCG8
75838.59790000
PA
USD
81678.79000000
0.001154348307
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/29 #480551
36209SZQ7
4602.77170000
PA
USD
5165.87000000
0.000073008100
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4% 02/46#Q38783
3132QVXM8
623541.75990000
PA
USD
679741.58000000
0.009606637692
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 7.00% 4/26 #343282
31375SJ35
794.35890000
PA
USD
877.94000000
0.000012407732
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 7.50% 12/28 #323424
31374TG94
292.57860000
PA
USD
331.77000000
0.000004688832
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 4.5% 10/01/2041#
3132GKK96
47129.28380000
PA
USD
52646.94000000
0.000744047580
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 11/01/2040#V82091
3132L7KC2
184362.25570000
PA
USD
197830.07000000
0.002795888707
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.03500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.875% 03/26/2025
172967JL6
9500000.00000000
PA
USD
10602927.01000000
0.149848826765
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 30YR 8.5% 05/01/2027#
31283GYN1
855.29540000
PA
USD
952.13000000
0.000013456243
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.08500000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 4.3% 04/01/2027
42809HAG2
870000.00000000
PA
USD
958811.71000000
0.013550674233
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.04300000
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
9399000.00000000
PA
USD
11256790.36000000
0.159089733146
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 4.50% 8/33 #726949
31402ETE8
271971.63630000
PA
USD
300253.42000000
0.004243415301
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 6.00% 10/34 #AL2130
3138EJLL0
108666.37370000
PA
USD
127562.03000000
0.001802806009
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.06000000
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
2957379.38000000
0.041795989916
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01566880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AQ1886
3138MHCY7
64337.31440000
PA
USD
69621.88000000
0.000983950660
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 5.00% 1/40 #A90893
3129387E7
233796.97660000
PA
USD
269663.02000000
0.003811087931
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 03/01/2048#BJ0648
3140H1WJ5
8688192.05000000
PA
USD
9206637.32000000
0.130115372817
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #510978
36211EUB2
11015.72980000
PA
USD
12584.68000000
0.000177856504
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
N/A
FHLG 30YR 3.5% 04/01/2043#Q17578
3132J82L3
426449.69110000
PA
USD
468413.36000000
0.006619982611
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
2021-01-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer