0001752724-21-181534.txt : 20210824
0001752724-21-181534.hdr.sgml : 20210824
20210824103935
ACCESSION NUMBER: 0001752724-21-181534
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210824
PERIOD START: 20211231
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: 211199817
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
2021-12-31
2021-06-30
N
8372722558.25
843503820.81
7529218737.44
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
282562708.63000000
0.00000000
0.00000000
3884861.71000000
USD
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/38 #889371
31410KCG7
238913.68770000
PA
USD
282868.88000000
0.003756948627
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
6640350.74000000
0.088194419256
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2032#J36710
31307TN31
21968.03330000
PA
USD
23394.07000000
0.000310710457
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
60358194.28000000
0.801652819300
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
7459413.60000000
0.099072876750
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
76283.81280000
PA
USD
81227.01000000
0.001078823883
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
61922.00100000
PA
USD
66778.89000000
0.000886929870
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
838211.26350000
PA
USD
892527.44000000
0.011854183961
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
191589.93790000
PA
USD
209416.42000000
0.002781383132
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
32213.45600000
PA
USD
34545.30000000
0.000458816528
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
12917447.25000000
0.171564244584
Long
DBT
CORP
DE
N
2
2025-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2045#Q33578
3132QP6Q2
17148.19830000
PA
USD
18408.24000000
0.000244490705
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
242509.03560000
PA
USD
267665.23000000
0.003555019973
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
449525.41470000
PA
USD
478654.71000000
0.006357295845
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
20078.73370000
PA
USD
22310.40000000
0.000296317596
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2044#Q24839
3132M5BG6
9894.05510000
PA
USD
10803.68000000
0.000143490053
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
333954.20000000
PA
USD
352283.68000000
0.004678887574
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
43745.45810000
PA
USD
47583.36000000
0.000631982701
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
70957.77450000
PA
USD
78334.41000000
0.001040405555
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
675385.38000000
PA
USD
725251.72000000
0.009632496349
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
306.09610000
PA
USD
349.03000000
0.000004635673
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
3989503.20000000
0.052986947771
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
7133161.52730000
PA
USD
7119420.92000000
0.094557233203
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
2144.50930000
PA
USD
2466.57000000
0.000032759972
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 05/01/2043#Q18136
3132J9PW2
18428.52660000
PA
USD
20134.29000000
0.000267415394
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
1376376.30900000
PA
USD
1452769.60000000
0.019295090907
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
140430.03340000
PA
USD
151784.85000000
0.002015944220
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2042#Q12164
3132HNMM8
24424.13540000
PA
USD
26692.50000000
0.000354518854
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
43216.63900000
PA
USD
45564.23000000
0.000605165443
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.02481000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.5% 05/02/2043
02209SAQ6
3707000.00000000
PA
USD
3984153.60000000
0.052915896574
Long
DBT
CORP
US
N
2
2043-05-02
Fixed
0.04500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.75% 04/15/2027
87264ABD6
6100000.00000000
PA
USD
6740500.00000000
0.089524560715
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
0.03750000
N
N
N
N
N
N
RETL 2019-RVP
N/A
RETL 2019-RVP 1ML+215 03/15/2036 144A
74952PAJ6
3084717.19000000
PA
USD
3076918.41000000
0.040866370300
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Variable
0.02173000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479494
36209RUT8
712195.00430000
PA
USD
786233.44000000
0.010442430581
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
2109469.72420000
PA
USD
2314831.88000000
0.030744649089
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
5944628.00000000
0.078954114726
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
41072.08070000
PA
USD
48761.31000000
0.000647627751
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 08/01/2051 #TBA
01F032682
3600000.00000000
PA
USD
3791248.20000000
0.050353806048
Long
ABS-MBS
USGA
US
N
2
2051-08-01
Fixed
0.03500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.5% 08/15/2029
674599CS2
1909000.00000000
PA
USD
1915872.40000000
0.025445832652
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
1370.38070000
PA
USD
1519.38000000
0.000020179782
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
70803.11300000
PA
USD
75839.86000000
0.001007273963
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03500000
N
N
N
N
N
N
CANADIAN NATURAL RESOURCES LTD
549300T15RIMIKZC5Q38
CAN NATURAL YANK 5.85 2/1/35
136385AG6
2497000.00000000
PA
USD
3166502.06000000
0.042056183654
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
3727817.75600000
PA
USD
4093546.50000000
0.054368808275
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9557
36184HTN4
16177.59330000
PA
USD
17100.19000000
0.000227117720
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
664983.90190000
PA
USD
715614.05000000
0.009504492762
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
58.78280000
PA
USD
59.65000000
0.000000792246
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2046#G60989
31335BC20
6894378.46170000
PA
USD
7298777.19000000
0.096939369734
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
6092989.00000000
0.080924584774
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
117009.18130000
PA
USD
122661.92000000
0.001629145390
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
6627.20310000
PA
USD
7270.66000000
0.000096565928
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
23918.25190000
PA
USD
27283.56000000
0.000362369071
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
5026998.42000000
PA
USD
5042747.00000000
0.066975700611
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
0.01073000
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
5534734.16000000
0.073510072598
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
866756.39310000
PA
USD
922922.29000000
0.012257875912
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FLATIRON CLO LT
N/A
FLATIRON CLO LT 3ML+111 07/19/2034 144A
33883PAC1
4541000.00000000
PA
USD
4541449.56000000
0.060317673298
Long
ABS-CBDO
CORP
KY
N
2
2034-07-19
Variable
0.01110000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #773499
36176RDC3
65616.95830000
PA
USD
72909.99000000
0.000968360630
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
792000.00000000
PA
USD
794698.66000000
0.010554862167
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.01503000
N
N
N
N
N
N
DUKE REALTY LP
2549009GZDBNY1KE9O81
DUKE REALTY LP 3.625 4/15/23
26441YAX5
2123000.00000000
PA
USD
2221215.84000000
0.029501279182
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 11/01/2033#G16677
3128MFUA4
98231.80600000
PA
USD
105828.15000000
0.001405566150
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #464693
36208YGA1
9750.03770000
PA
USD
10382.51000000
0.000137896246
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
270091.20780000
PA
USD
307095.92000000
0.004078722251
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/28 #780717
36225AYN4
399.92870000
PA
USD
448.47000000
0.000005956394
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
10622137.50000000
0.141078880431
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
13120.56500000
PA
USD
15479.30000000
0.000205589723
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
5146064.63000000
0.068347923064
Long
DBT
CORP
US
N
2
2030-01-23
Variable
0.04431000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 11/01/2050#SD7530
3132DVLK9
12064291.25200000
PA
USD
12522688.48000000
0.166321220257
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 4/42 #G06973
3128M9CJ9
3106035.65820000
PA
USD
3396445.95000000
0.045110204238
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
20616.45660000
PA
USD
22334.99000000
0.000296644190
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
189150.50720000
PA
USD
201407.48000000
0.002675011671
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
137057.67890000
PA
USD
149039.26000000
0.001979478418
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96783
312945RC4
84293.05490000
PA
USD
93658.08000000
0.001243928264
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
5288028.85000000
0.070233433698
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
1715567.12900000
PA
USD
1807583.63000000
0.024007585554
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
2179115.20000000
0.028942115722
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Variable
0.01439750
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 03/20/2051#MA7255
36179WBY3
34493212.53700000
PA
USD
35745122.99000000
0.474752085661
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
0.02500000
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
2073427.18000000
0.027538410721
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
1135020.87180000
PA
USD
1142212.02000000
0.015170392305
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
1798586.12200000
PA
USD
1895055.45000000
0.025169350447
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
6840000.00000000
0.090846078969
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Variable
0.01833750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2044#AX8858
3138YAZY4
130391.35210000
PA
USD
143183.79000000
0.001901708463
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
6644673.35000000
0.088251830391
Long
ABS-CBDO
CORP
KY
N
2
2032-01-17
Variable
0.01435600
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.50% 8/42 #Q10323
3132HLLC5
53030.71510000
PA
USD
57093.11000000
0.000758287306
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
26287993.09000000
0.349146359094
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
29310.24460000
PA
USD
30981.79000000
0.000411487447
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
1261000.00000000
PA
USD
1326530.13000000
0.017618429962
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
1321313.60000000
0.017549146147
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
4404141.72000000
0.058494006796
Long
ABS-MBS
CORP
TC
N
2
2037-08-15
Variable
0.01193000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/31 #545304
31385HX98
22005.27570000
PA
USD
25693.49000000
0.000341250412
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
2338583.14000000
0.031060103598
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
24939.30690000
PA
USD
28041.78000000
0.000372439438
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 4% 05/01/2037#C91938
3128P8EK3
4775196.00810000
PA
USD
5148091.06000000
0.068374837277
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q20360
3132JMMH9
25103.89750000
PA
USD
27419.70000000
0.000364177226
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
5137875.38500000
PA
USD
5130838.55000000
0.068145696504
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
4662838.12000000
0.061929906443
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.04375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE4784
3140FQJ65
534162.36900000
PA
USD
568322.00000000
0.007548220071
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
55328.10810000
PA
USD
61045.33000000
0.000810779074
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2047#G08761
3128MJZ37
11660.63490000
PA
USD
12395.38000000
0.000164630361
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
6886631.75000000
0.091465422776
Long
ABS-CBDO
CORP
KY
N
2
2031-07-16
Variable
0.01883630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2048#BK3836
3140HHHN8
288274.78300000
PA
USD
310885.79000000
0.004129057752
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
10797.00190000
PA
USD
11506.77000000
0.000152828207
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
30021.96610000
PA
USD
33342.64000000
0.000442843290
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
0.04500000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 1.95% 02/15/2028 144A
11135FBE0
1663000.00000000
PA
USD
1662287.70000000
0.022077824512
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.01950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 05/01/2045#Q33442
3132QPZG2
75585.66390000
PA
USD
81085.12000000
0.001076939358
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
646622.83000000
0.008588179631
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
1006582.44080000
PA
USD
1073381.87000000
0.014256218439
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2047#Q48095
3132WM7H1
698395.88900000
PA
USD
764120.95000000
0.010148741544
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 02/01/2043#Q15789
3132J62X1
206597.71330000
PA
USD
220071.77000000
0.002922903128
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
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
4426718.56000000
0.058793863139
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
4503922.58000000
0.059819255318
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Variable
0.01528250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#AS7010
3138WGYG3
1314511.46890000
PA
USD
1405146.90000000
0.018662585707
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
4079079.68000000
0.054176665896
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
8125.76750000
PA
USD
8548.90000000
0.000113542988
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
452000.00000000
0.006003278902
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
0.06200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21524
3132JNVR5
22759.15010000
PA
USD
24858.65000000
0.000330162409
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
320.34460000
PA
USD
364.84000000
0.000004845655
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
1867202.76000000
0.024799422425
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/2044#Q24349
3132M4QA6
30042.55280000
PA
USD
32804.55000000
0.000435696599
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
6011858.22000000
0.079847038977
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
79533.95370000
PA
USD
84687.76000000
0.001124788148
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
9810.42790000
PA
USD
11610.58000000
0.000154206968
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
4827.25250000
PA
USD
5564.87000000
0.000073910324
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
390.01990000
PA
USD
438.06000000
0.000005818133
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
95986.59000000
PA
USD
103294.76000000
0.001371918702
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 3.0% 03/15/2045#AL2295
36183XRQ5
11888.89190000
PA
USD
12566.91000000
0.000166908552
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 03/01/2043#Q16049
3132J7EX6
48812.01570000
PA
USD
53330.11000000
0.000708308681
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
172691.92400000
PA
USD
186606.26000000
0.002478427928
Long
ABS-MBS
USGA
US
N
2
2041-01-15
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 10/01/2049#RA1544
3133KGWD6
1501142.00700000
PA
USD
1581190.25000000
0.021000721391
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
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
3621436.58280000
PA
USD
3882451.26000000
0.051565127742
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
23332.57470000
PA
USD
25257.10000000
0.000335454459
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
4987108.35000000
PA
USD
4991948.84000000
0.066301020252
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01523000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ8934
3138MQ4U4
28072.37480000
PA
USD
29891.47000000
0.000397006263
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
3269169.99900000
PA
USD
3451896.33000000
0.045846673478
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 05/01/2045#AX9659
3138YBWV1
21122.49720000
PA
USD
22909.62000000
0.000304276191
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
2535298.97000000
0.033672802695
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
4644380.86000000
0.061684764674
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
2731924.00000000
PA
USD
2731923.45000000
0.036284288520
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01193000
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
3562230.06000000
0.047312080897
Long
ABS-MBS
CORP
US
N
2
2028-11-15
Variable
0.02123000
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
15926112.01000000
0.211524097856
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
19738.32110000
PA
USD
21790.28000000
0.000289409575
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
1472967.11000000
0.019563345964
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04950000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 4.0% 10/01/2023
29250NAF2
2813000.00000000
PA
USD
3002312.82000000
0.039875489405
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
1073353.55940000
PA
USD
1220411.80000000
0.016209009759
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
4239.26370000
PA
USD
4927.11000000
0.000065439857
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
302.59610000
PA
USD
339.68000000
0.000004511490
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 3.05% 06/05/2023
02005NBK5
9631000.00000000
PA
USD
10050348.86000000
0.133484617866
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
80639.41500000
PA
USD
85361.12000000
0.001133731439
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.02195000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.875% 11/01/22
6174824M3
7751000.00000000
PA
USD
8188570.30000000
0.108757237444
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
78517.23350000
PA
USD
89556.39000000
0.001189451297
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
1540.90290000
PA
USD
1730.53000000
0.000022984190
Long
ABS-MBS
USGA
US
N
2
2027-02-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 01/15/2042#794559
36177PB53
20942.44910000
PA
USD
23119.59000000
0.000307064926
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
130968.28270000
PA
USD
139618.75000000
0.001854359062
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
66351.49850000
PA
USD
70651.08000000
0.000938358712
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13425
3132HPYW8
153115.79340000
PA
USD
167336.22000000
0.002222491148
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP
549300KH0PNTJK9NTE57
RETAIL OPPORTUNITY 5% 12/15/23
76132FAA5
737000.00000000
PA
USD
796545.33000000
0.010579388881
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
25.70950000
PA
USD
26.69000000
0.000000354485
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2049#SD7509
3132DVKW4
2613098.82800000
PA
USD
2768749.89000000
0.036773402215
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
966.74670000
PA
USD
1059.52000000
0.000014072110
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
12203316.56000000
0.162079453201
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
13266.99610000
PA
USD
14953.28000000
0.000198603341
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
S6XOOCT0IEG5ABCC6L87
FHLG 3.5% 01/43 #Q16224
3132J7LE0
25887.02220000
PA
USD
27844.81000000
0.000369823363
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
48747.74310000
PA
USD
49069.02000000
0.000651714629
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/01/2048#G67713
3132XCSA4
5046794.97700000
PA
USD
5472927.17000000
0.072689177467
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
7156785.29000000
0.095053491465
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
0.07350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2049#QA5154
31346YWP4
34733.57900000
PA
USD
36544.72000000
0.000485372005
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 5.00% 12/22 #967586
31414JNB5
2963.93680000
PA
USD
3031.91000000
0.000040268587
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
5091051.69000000
PA
USD
5072795.18000000
0.067374788233
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
564.93380000
PA
USD
636.11000000
0.000008448552
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
150.14640000
PA
USD
166.09000000
0.000002205939
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
0.08500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 07/01/2051 #TBA
21H020675
62675000.00000000
PA
USD
63851748.20000000
0.848052771829
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 3.25% 01/15/2031
756109AX2
1020000.00000000
PA
USD
1111227.50000000
0.014758868599
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
0.03250000
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
15888707.36000000
0.211027304612
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
5093165.89600000
PA
USD
5567380.39000000
0.073943666456
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
1231.33120000
PA
USD
1421.29000000
0.000018876991
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
1613.41730000
PA
USD
1800.65000000
0.000023915495
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
455685.56070000
PA
USD
490380.27000000
0.006513029931
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
2107115.32000000
0.027985842800
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
90371.78700000
PA
USD
99724.19000000
0.001324495853
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 01/01/2034#J40154
31307YE30
331931.23400000
PA
USD
352026.02000000
0.004675465440
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
3282024.35000000
0.043590503403
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01373000
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
6931348.13000000
0.092059327424
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
6552235.87000000
0.087024113636
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Variable
0.01458250
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #779843
36176YEQ6
101281.77690000
PA
USD
112538.80000000
0.001494694256
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
5889195.02000000
0.078217876586
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.00250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96766
312945QT8
61093.79050000
PA
USD
67881.36000000
0.000901572425
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
129201.16800000
PA
USD
136332.90000000
0.001810717748
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
10761021.64000000
0.142923482704
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
23797501.57000000
0.316068670600
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
83507.96550000
PA
USD
88389.67000000
0.001173955400
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.02426000
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
2589723.07000000
PA
USD
2546342.36000000
0.033819476479
Long
ABS-CBDO
CORP
KY
N
2
2039-07-15
Fixed
0.03721000
N
N
N
N
N
N
VORNADO REALTY L P
549300BMOJ05INE4YK86
VORNADO REALTY LP 2.15% 06/01/2026
929043AK3
1884000.00000000
PA
USD
1909307.55000000
0.025358641003
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.02150000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GSINC 6.75% 10/01/37
38141GFD1
2246000.00000000
PA
USD
3270563.55000000
0.043438285751
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
3424853.41000000
PA
USD
3424852.73000000
0.045487491457
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01073000
N
N
N
N
N
N
BARINGS CLO LTD 2021-1
N/A
BARINGS CLO LTD 2021-1A A 3ML+102 04/25/2034 144A
06762EAA2
7442000.00000000
PA
USD
7444634.47000000
0.098876586397
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Variable
0.01020000
N
N
N
N
N
N
TOLEDO HOSPITAL/THE
5493009DCR7NWV6K4T34
TOLEDO HOSP 5.325% 11/15/2028
889184AC1
2109000.00000000
PA
USD
2489503.67000000
0.033064568274
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
67337.93830000
PA
USD
74822.25000000
0.000993758484
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 11/01/2046#G08733
3128MJY79
13287.38300000
PA
USD
14146.43000000
0.000187887090
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/01/2043#Q20780
3132JM2M0
17239.85150000
PA
USD
18716.74000000
0.000248588076
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 01/33#J38270
31307VFK7
27972.84200000
PA
USD
29241.65000000
0.000388375620
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
89541.52300000
PA
USD
97624.53000000
0.001296609029
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
175677.51120000
PA
USD
192912.88000000
0.002562189872
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC
N/A
SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC 21-25A A 3ML+98 04/19/2034 144A
87167WAC9
7544000.00000000
PA
USD
7546964.79000000
0.100235695802
Long
ABS-CBDO
CORP
KY
N
2
2034-04-19
Variable
0.01165300
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2042#AL2607
3138EJ3R7
14764.15180000
PA
USD
16133.27000000
0.000214275485
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A97152
3129455M6
74853.71610000
PA
USD
83170.02000000
0.001104630146
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
45204.10020000
PA
USD
48189.84000000
0.000640037720
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 01/01/2046#G60393
31335ANJ3
8488.40800000
PA
USD
9104.17000000
0.000120917857
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
163853.99500000
PA
USD
174434.85000000
0.002316772245
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
1694.49300000
PA
USD
1896.13000000
0.000025183622
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
2102.23730000
PA
USD
2336.73000000
0.000031035490
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21255
3132JNMC8
96290.65840000
PA
USD
105173.35000000
0.001396869365
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
LIFE 2021-BMR MTG TR
N/A
LIFE 2021-BMR MTG TR 21-BMR E 1ML+185.6 03/15/2036 144A
53218CAJ9
1346000.00000000
PA
USD
1350187.27000000
0.017932634408
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.01823000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2044#MA2074
36179QJT9
18352.58700000
PA
USD
19994.39000000
0.000265557300
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
5300873.71000000
PA
USD
5273204.74000000
0.070036545940
Long
ABS-CBDO
CORP
US
N
2
2040-03-15
Fixed
0.03228000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY8779
3138YNXH5
99755.10000000
PA
USD
107038.46000000
0.001421640992
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
3339868.77000000
0.044358769302
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
1013000.00000000
PA
USD
1174453.15000000
0.015598605791
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
57817.86250000
PA
USD
63616.21000000
0.000844924449
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/26 #420660
36206TJD5
128.85960000
PA
USD
142.38000000
0.000001891032
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
198856.28620000
PA
USD
211742.19000000
0.002812273057
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
533.96170000
PA
USD
589.04000000
0.000007823388
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
5497932.84000000
0.073021292536
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
2220.24940000
PA
USD
2358.93000000
0.000031330342
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
11939.31660000
PA
USD
13180.51000000
0.000175058136
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
2162.39440000
PA
USD
2371.19000000
0.000031493174
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
45732.57500000
PA
USD
49589.36000000
0.000658625572
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
32144.51820000
PA
USD
37423.44000000
0.000497042804
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
15883.20460000
PA
USD
17227.04000000
0.000228802490
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 07/01/2051 #TBA
21H030674
18350000.00000000
PA
USD
19143151.23000000
0.254251495375
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.03000000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 3.75% 03/24/2025
615369AS4
5075000.00000000
PA
USD
5563498.49000000
0.073892108650
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
6124897.62000000
0.081348381998
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Variable
0.01888250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/48#ZA5379
31329N6Q6
3036003.78400000
PA
USD
3260852.05000000
0.043309301585
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE EQUITIES INC
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030
015271AU3
4167000.00000000
PA
USD
5076449.29000000
0.067423320626
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
154.98400000
PA
USD
164.35000000
0.000002182829
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
20730.86270000
PA
USD
21913.13000000
0.000291041219
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
CBRE SERVICES INC
549300CTE3HOMEUMM603
CB RICHARD ELLIS SERVICES INC 2.5% 04/01/2031
12505BAE0
5567000.00000000
PA
USD
5637882.61000000
0.074880048071
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
0.02500000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INTL/EMC CORP 5.45% 06/15/2023
24703TAA4
4500000.00000000
PA
USD
4881885.35000000
0.064839202050
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.05450000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/41 #737995
3620AR3C3
292220.77780000
PA
USD
315881.54000000
0.004195409258
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
7731.38230000
PA
USD
8083.48000000
0.000107361471
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Variable
0.02423000
N
N
N
N
N
N
ROCKLAND PARK CLO LTD
N/A
ROCKLAND PARK CLO LTD 3ML+112 04/20/2034 144A
773663AA7
8492000.00000000
PA
USD
8499642.80000000
0.112888775003
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.01120000
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
8799966.19000000
0.116877547284
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
0.03170000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 1/41 #A96413
312945DS4
1781499.08770000
PA
USD
1957748.67000000
0.026002016122
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
159.09020000
PA
USD
185.22000000
0.000002460016
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2043#Q22682
3132JP6T4
21287.38650000
PA
USD
23251.12000000
0.000308811854
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
33.99130000
PA
USD
35.69000000
0.000000474019
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
1712208.21000000
0.022740848283
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
1756987.04100000
PA
USD
1424672.44000000
0.018921915934
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.02698000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 03/15/2045#AL2575
36183X2G4
21351.26500000
PA
USD
22568.92000000
0.000299751153
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
1262716.20200000
PA
USD
1332021.90000000
0.017691369402
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
8377636.65000000
0.111268339281
Long
ABS-CBDO
CORP
US
N
2
2032-07-22
Variable
0.01503750
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
14804150.76000000
0.196622667985
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
22791490.01000000
0.302707237029
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
188585.06780000
PA
USD
202766.65000000
0.002693063610
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
7973513.89000000
0.105900946274
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
3359000.00000000
PA
USD
3989058.11000000
0.052981036268
Long
DBT
CORP
US
N
2
2044-01-31
Fixed
0.05375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 11/01/2049#BO8254
3140K4E48
12354.62200000
PA
USD
12998.84000000
0.000172645269
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 4.25% 12/01/2026
29250NAL9
1773000.00000000
PA
USD
1997100.75000000
0.026524674333
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
5845465.01000000
0.077637072501
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2043#Q17646
3132J85G1
2497888.58570000
PA
USD
2686896.57000000
0.035686259938
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
1207843.33420000
PA
USD
1328229.68000000
0.017641002689
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
24378.37750000
PA
USD
26912.71000000
0.000357443593
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
2932596.15000000
0.038949541144
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
139637.66130000
PA
USD
162712.92000000
0.002161086371
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
19058.14970000
PA
USD
22081.03000000
0.000293271198
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
7786.43720000
PA
USD
8233.43000000
0.000109353045
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
0.02369000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2043#AD5682
36180HJ33
22797.13400000
PA
USD
25145.71000000
0.000333975022
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
14649323.06000000
0.194566309876
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
7196.82400000
PA
USD
8010.13000000
0.000106387266
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
4724583.12000000
0.062749978248
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Variable
0.01563750
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/32 #582134
36201FV38
1288.53320000
PA
USD
1504.99000000
0.000019988660
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
10998778.22000000
0.146081268237
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
2720.43790000
PA
USD
3111.81000000
0.000041329786
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2048#G67710
3132XCR72
1626364.88900000
PA
USD
1734243.62000000
0.023033513575
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
704.45240000
PA
USD
793.13000000
0.000010534027
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
16902394.51000000
0.224490682226
Long
DBT
CORP
US
N
2
2031-04-04
Variable
0.04478000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 10/01/2049#SD0114
3132DMDT9
6452218.57700000
PA
USD
6901131.04000000
0.091657996409
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
265490.00000000
0.003526129459
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
2520000.00000000
PA
USD
2693322.32000000
0.035771604118
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
0.04950000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/01/2051 #TBA
21H032670
-7800000.00000000
PA
USD
-8192679.30000000
-0.10881181149
Short
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.03500000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.224% 4/41#1B8179
3128UGPP6
13813.85860000
PA
USD
14595.69000000
0.000193853977
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Variable
0.02130000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/2044#V80950
3132L6BT7
104496.99510000
PA
USD
114104.05000000
0.001515483265
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
0.04000000
N
N
N
N
N
N
MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC
N/A
MADISON PK FDG XLV LLC 2020-45A AR 3ML+112 07/15/2034 144A
55820BAJ6
4532000.00000000
PA
USD
4532000.00000000
0.060192168112
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Variable
0.01120000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 01/31/2024
9128285Z9
77300000.00000000
PA
USD
81554519.34000000
1.083173728695
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
3370500.00000000
0.044765600755
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
1365271.81000000
0.018132981091
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
0.03828000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #564296
36213T3D3
307.67550000
PA
USD
353.33000000
0.000004692784
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
803318.35650000
PA
USD
858707.08000000
0.011404995789
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
30595.51100000
PA
USD
32995.29000000
0.000438229929
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1
N/A
CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1 3.474% 01/15/2046 144A
14856GAA8
1934403.95000000
PA
USD
1967550.35000000
0.026132198022
Long
ABS-CBDO
CORP
US
N
2
2046-01-15
Fixed
0.03474000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/32#MA3218
31418CSG0
1313423.84200000
PA
USD
1385102.24000000
0.018396360742
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
107202.25020000
PA
USD
112181.94000000
0.001489954587
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
79504.54610000
PA
USD
88341.13000000
0.001173310712
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2045#Q33623
3132QQAZ5
10101.44710000
PA
USD
10843.70000000
0.000144021582
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
8562081.44000000
0.113718059450
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
2501950.00000000
0.033229875332
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
37192.63900000
PA
USD
43293.34000000
0.000575004412
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
1341891.32000000
0.017822450997
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.03125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 4/41 #A97945
312946ZJ8
542934.21970000
PA
USD
603254.65000000
0.008012181224
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 06/01/2043#Q19744
3132JBHW6
68917.57010000
PA
USD
75296.66000000
0.001000059403
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
960846.26770000
PA
USD
1045901.72000000
0.013891238340
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
177770.70600000
PA
USD
187472.31000000
0.002489930450
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
3975251.77000000
0.052797666114
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
110918.31860000
PA
USD
116275.91000000
0.001544329020
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
130618.06390000
PA
USD
149077.73000000
0.001979989361
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
47898.67880000
PA
USD
51395.88000000
0.000682619031
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
6358515.35000000
0.084451197019
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.01455750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 06/01/2031#J34623
31307RD44
17340.53360000
PA
USD
18443.82000000
0.000244963264
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 4.00% 10/41 #779846
36176YET0
41527.44990000
PA
USD
46143.04000000
0.000612852961
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
N
N
N
N
N
N
MORGAN STANLEY CAP I TR 2019-MEAD
N/A
MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A
61771LAG7
1162000.00000000
PA
USD
1177869.78000000
0.015643984071
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03283000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.93% 05/01/2060
097023CX1
2960000.00000000
PA
USD
4087341.49000000
0.054286395873
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
0.05930000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/44#Q28370
3132M86F8
150216.15180000
PA
USD
163557.03000000
0.002172297494
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
1309367.23000000
0.017390479353
Long
DBT
CORP
US
N
2
2067-05-15
Variable
0.02268380
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
14378169.15000000
0.190964954683
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
1361243.85000000
0.018079483376
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
7758174.39000000
0.103040895218
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
4719352.70000000
0.062680509951
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
47066.17530000
PA
USD
53717.83000000
0.000713458220
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
7771806.11000000
0.103221946141
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
2022822.61290000
PA
USD
2187725.14000000
0.029056469419
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
417.69780000
PA
USD
485.90000000
0.000006453524
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 12/40 #G06185
3128M8F25
146860.68240000
PA
USD
163615.33000000
0.002173071811
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2043#Q22486
3132JPXP2
13855.41210000
PA
USD
15133.56000000
0.000200997746
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
2718.32440000
PA
USD
3124.81000000
0.000041502446
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
3102841.41000000
0.041210668971
Long
DBT
CORP
US
N
2
2024-11-06
Fixed
0.03950000
N
N
N
N
N
N
EXTENDED STAY AMER TR 2021-ESH
N/A
EXTENDED STAY AMER TR 2021-ESH 1.38% 07/15/2038 144A
30227FAE0
2251000.00000000
PA
USD
2258733.99000000
0.029999579886
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.01380000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 05/50#FM3269
3140X6T35
888487.56200000
PA
USD
938148.51000000
0.012460104331
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
7052627.56000000
0.093670111148
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
9094063.62000000
0.120783628914
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
0.05750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 01/42#G60517
31335ASE9
2162213.19670000
PA
USD
2402436.81000000
0.031908181894
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/1/42 #Q13148
3132HPP99
79201.39640000
PA
USD
84914.42000000
0.001127798553
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 09/01/2031#
31292HMA9
8515.88590000
PA
USD
10022.31000000
0.000133112217
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
89550.24080000
PA
USD
96088.52000000
0.001276208373
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2044#Q24971
3132M5FL1
21741.69710000
PA
USD
23740.55000000
0.000315312263
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
29014.33220000
PA
USD
33832.57000000
0.000449350340
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
202.54530000
PA
USD
214.40000000
0.000002847573
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
3153694.51000000
0.041886079020
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
0.05550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 8% 04/01/2027#
3128FMF97
957.52700000
PA
USD
1079.07000000
0.000014331765
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
211135.43530000
PA
USD
245191.86000000
0.003256537876
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
1101821.31300000
PA
USD
1205012.28000000
0.016004479641
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
578.94110000
PA
USD
614.74000000
0.000008164724
Long
ABS-MBS
USGA
US
N
2
2024-01-15
Fixed
0.07500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.1% 03/22/2028
92343VGH1
5981000.00000000
PA
USD
6106094.29000000
0.081098643869
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
0.02100000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96695
312945NL8
43572.81700000
PA
USD
48413.79000000
0.000643012132
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
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
6738998.01000000
0.089504611899
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01553750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 05/01/2044#AV8078
3138XK6Q2
12223.30120000
PA
USD
13781.56000000
0.000183041036
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3% 07/01/2051 #TBA
01F030678
22925000.00000000
PA
USD
23899317.09000000
0.317420942642
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.03000000
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
8403360.00000000
0.111609986282
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Variable
0.01488250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2044#Q28059
3132M8TQ9
22621.99550000
PA
USD
24631.08000000
0.000327139917
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
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 4/40 #A91937
312940EJ4
309263.77390000
PA
USD
351456.66000000
0.004667903434
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 04/01/2044#Q25624
3132M54H2
16803.70630000
PA
USD
18348.58000000
0.000243698325
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
994276.22000000
0.013205569590
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
4676383.68000000
0.062109813024
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
24774881.47000000
0.329049830187
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
750.35510000
PA
USD
836.04000000
0.000011103940
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
17409128.44000000
0.231220914773
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
0.03800000
N
N
N
N
N
N
LIFE 2021-BMR MTG TR
N/A
LIFE 2021-BMR MTG TR 1ML+70 03/15/2038 144A
53218CAA8
7294000.00000000
PA
USD
7302771.76000000
0.096992423977
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.00773000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 05/01/2044#AS9099
3138WKDD4
56082.56300000
PA
USD
63716.28000000
0.000846253538
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
53890.84050000
PA
USD
56721.75000000
0.000753355055
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.02695000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2042#Q11868
3132HNCD9
26487.69930000
PA
USD
28947.71000000
0.000384471629
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
60862.89700000
PA
USD
64038.34000000
0.000850531007
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
261524.73520000
PA
USD
280619.28000000
0.003727070361
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
6152.67400000
PA
USD
6851.94000000
0.000091004661
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
366589.88900000
PA
USD
398124.46000000
0.005287726042
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
1559972.60000000
0.020718917252
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
8864495.24000000
0.117734595701
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
1023725.13000000
0.013596697953
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
10904238.37000000
0.144825628664
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
53591.53950000
PA
USD
56647.84000000
0.000752373413
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
6252648.79000000
0.083045120722
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
7340879.31000000
0.097498552851
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
10056781.92000000
0.133570059134
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.02850000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2045#Q34164
3132QQTW2
2805059.69010000
PA
USD
3005805.19000000
0.039921873634
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
1444690.90300000
PA
USD
1524435.96000000
0.020246934152
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2046#Q40046
3132WDBQ6
975073.68800000
PA
USD
1042722.35000000
0.013849011250
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2045#Q31974
3132QNFQ7
31207.26950000
PA
USD
33529.62000000
0.000445326682
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
35571.48050000
PA
USD
37611.55000000
0.000499541204
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
120031.31760000
PA
USD
126656.89000000
0.001682204946
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
5667015.47000000
0.075266978787
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
0.04050000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.3% 03/25/2028
68389XCD5
10259000.00000000
PA
USD
10525805.92000000
0.139799443834
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
0.02300000
N
N
N
N
N
N
ARES LV CLO LTD
N/A
ARES LV CLO LTD 2020-55A A1R 3ML+113 07/15/2034 144A
04018BAL1
6296000.00000000
PA
USD
6296000.00000000
0.083620893741
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Variable
0.00000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.5% 11/15/2030
969457BX7
8506000.00000000
PA
USD
9283749.00000000
0.123302952454
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
6212025.24000000
0.082505575367
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
7722142.85100000
PA
USD
8324214.39000000
0.110558806700
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
59370.66910000
PA
USD
63297.29000000
0.000840688685
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
795290.36890000
PA
USD
860532.41000000
0.011429239075
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 05/01/2046#V82275
3132L7Q44
1813613.08720000
PA
USD
1927927.48000000
0.025605943288
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
4811365.55000000
0.063902586945
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
1129.54130000
PA
USD
1241.55000000
0.000016489758
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
73008.77850000
PA
USD
83222.52000000
0.001105327430
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
45005.48800000
PA
USD
48535.52000000
0.000644628900
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
5869328.75000000
0.077954020924
Long
DBT
CORP
CH
N
2
2025-09-24
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 04/48#Q55724
3132XYLE5
555860.97000000
PA
USD
603873.07000000
0.008020394825
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2043#Q22499
3132JPX49
179517.67710000
PA
USD
196077.95000000
0.002604227036
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
1956311.28000000
0.025982925297
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
21899489.59000000
0.290860052731
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
4091364.27000000
0.054339824790
Long
DBT
MUN
US
N
2
2035-01-01
Fixed
0.07781000
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC
2138008L3B3MCG1DFS50
IMPERIAL TOBACCO FINANCE 3.75% 07/21/2022 144A
453140AE5
4804000.00000000
PA
USD
4929307.06000000
0.065469037783
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
2923627.14000000
0.038830418426
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 04/01/2050#RA2457
3133KHWS1
1698311.78000000
PA
USD
1793900.41000000
0.023825850630
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 06/01/2050#SD7518
3132DVK79
5714359.49400000
PA
USD
6059203.95000000
0.080475865575
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
230789.42100000
PA
USD
249722.35000000
0.003316709989
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
37188.34300000
PA
USD
43596.27000000
0.000579027805
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
0.06500000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES INC
PZ9HF5U52KPF0MH0QN75
HCP INC 3.25% 07/15/2026
40414LAQ2
573000.00000000
PA
USD
621646.98000000
0.008256460619
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
47.51520000
PA
USD
48.10000000
0.000000638844
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
2270.68830000
PA
USD
2357.36000000
0.000031309490
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 07/01/2045#Q34979
3132QRQ94
50406.26520000
PA
USD
53963.46000000
0.000716720577
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 12/40#V82128
3132L7LH0
140045.60140000
PA
USD
149411.57000000
0.001984423287
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
6633.71590000
PA
USD
7012.03000000
0.000093130910
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
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
7490391.55000000
0.099484313196
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
0.05568000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 07/01/2051 #TBA
01F032674
-3600000.00000000
PA
USD
-3788998.20000000
-0.05032392246
Short
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.03500000
N
N
N
N
N
N
EXTENDED STAY AMER TR 2021-ESH
N/A
EXTENDED STAY AMER TR 2021-ESH C 1ML+170 07/15/2038 144A
30227FAG5
1660000.00000000
PA
USD
1666740.43000000
0.022136963848
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.03700000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 4% 04/15/2030
053332AZ5
5311000.00000000
PA
USD
6036302.50000000
0.080171697894
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 06/01/2041#
3132GEQJ2
24656.94630000
PA
USD
27396.35000000
0.000363867101
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.75% 03/31/2026
91282CBT7
169769000.00000000
PA
USD
169006365.40000000
2.244673335888
Long
DBT
UST
US
N
2
2026-03-31
Fixed
0.00750000
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
2266189.97000000
0.030098607160
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01973000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/46#BC1443
3140EVS99
1310553.83900000
PA
USD
1434132.51000000
0.019047560709
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
27107963.22000000
0.360036866576
Long
DBT
CORP
US
N
2
2023-01-23
Fixed
0.03125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/01/2048#Q55992
3132XYUS4
1988304.84000000
PA
USD
2145161.02000000
0.028491150208
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
8995.53060000
PA
USD
9395.51000000
0.000124787316
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.01815000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2028#MA1320
31418APE2
111700.36270000
PA
USD
116888.90000000
0.001552470502
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
241334.73200000
PA
USD
252207.83000000
0.003349721117
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
0.02500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.875% 03/25/2031
68389XCE3
10770000.00000000
PA
USD
11201643.40000000
0.148775640483
Long
DBT
CORP
US
N
2
2031-03-25
Fixed
0.02875000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INTL/EMC CORP 6.1% 07/15/2027
24703TAF3
2376000.00000000
PA
USD
2911012.09000000
0.038662870498
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
0.06100000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 7/40 #729562
3620AGQP3
57051.74840000
PA
USD
65114.62000000
0.000864825717
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
901895.40000000
0.011978605369
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
86863.88600000
PA
USD
91629.54000000
0.001216986027
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19988
3132JBRJ4
84846.94620000
PA
USD
92673.97000000
0.001230857718
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
3061729.94000000
0.040664643262
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
92997.15530000
PA
USD
96969.92000000
0.001287914767
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
78655.00960000
PA
USD
88601.57000000
0.001176769769
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 3/41 #A97661
312946QN9
374131.19270000
PA
USD
415697.47000000
0.005521123565
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
230368.87000000
0.003059664993
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
1064118.28400000
PA
USD
1167767.66000000
0.015509811850
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
3646.63600000
PA
USD
3959.73000000
0.000052591512
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
1249827.43000000
0.016599696111
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
88419.15330000
PA
USD
97074.50000000
0.001289303756
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
10125.79500000
PA
USD
11500.64000000
0.000152746790
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
2628534.02000000
PA
USD
2667023.38000000
0.035422312367
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
20654959.96000000
0.274330719830
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
321857.31000000
PA
USD
348686.53000000
0.004631111701
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
64791.30110000
PA
USD
71232.70000000
0.000946083551
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
125351.05790000
PA
USD
139667.68000000
0.001855008930
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
57857.60360000
PA
USD
66034.36000000
0.000877041327
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
104449.10980000
PA
USD
115307.44000000
0.001531466198
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
6990.83400000
PA
USD
7675.90000000
0.000101948160
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
4610452.50000000
0.061234142090
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
2441357.34870000
PA
USD
2344046.55000000
0.031132666372
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
1021.52420000
PA
USD
1152.71000000
0.000015309822
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
3667291.11000000
0.048707458740
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
0.03950000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 2.6% 02/15/2033 144A
11135FBF7
14151000.00000000
PA
USD
13837820.54000000
0.183788265722
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
0.02600000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/41 #AB3872
31417AJS9
704983.09610000
PA
USD
770578.25000000
0.010234504759
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 3.50% 5/42 #AO2138
3138LSLU2
1056198.60600000
PA
USD
1136614.82000000
0.015096052587
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
1127630.86200000
PA
USD
1217935.94000000
0.016176126401
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
636.10150000
PA
USD
700.16000000
0.000009299238
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
2315199.29000000
0.030749528878
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
4039893.09000000
0.053656205655
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
3744201.43000000
0.049728950115
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.04875000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/26 #323242
31374TBK4
328.96610000
PA
USD
358.88000000
0.000004766497
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
199342.55800000
PA
USD
212571.45000000
0.002823286949
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
7363000.00000000
0.097792350797
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
107253.71940000
PA
USD
114304.32000000
0.001518143169
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
131426.62580000
PA
USD
149433.15000000
0.001984709904
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
11939733.89000000
0.158578656117
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
5799.84710000
PA
USD
6871.93000000
0.000091270160
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
1029046.22000000
PA
USD
846898.86000000
0.011248163847
Long
ABS-CBDO
CORP
US
N
2
2039-10-16
Fixed
0.04458000
N
N
N
N
N
N
BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L
N/A
BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A
09229CAA7
9187000.00000000
PA
USD
9240137.61000000
0.122723723831
Long
ABS-CBDO
CORP
US
N
2
2046-07-15
Fixed
0.02443000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 01/01/2045#AY0356
3138YDME6
222098.10570000
PA
USD
241236.30000000
0.003204001748
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% 12/41 #552552
36213EZR0
167411.04920000
PA
USD
185285.63000000
0.002460887861
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 3.5% 07/01/2046#BC6168
3140F12A9
393310.87410000
PA
USD
420429.62000000
0.005583974043
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
377722.10020000
PA
USD
421592.86000000
0.005599423721
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
120186.50890000
PA
USD
126610.77000000
0.001681592399
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.02276000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/01/2040#V81886
3132L7CX5
197707.64220000
PA
USD
211362.42000000
0.002807229107
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 02/01/2035#QN1578
3133G7XF5
820913.82600000
PA
USD
859695.03000000
0.011418117336
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
131236.05900000
PA
USD
140335.11000000
0.001863873462
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
14731420.78000000
0.195656698174
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
1810.05150000
PA
USD
2089.71000000
0.000027754672
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
21796.12490000
PA
USD
24782.37000000
0.000329149289
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
41827.01180000
PA
USD
45718.81000000
0.000607218512
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
499666.13000000
PA
USD
526466.32000000
0.006992310070
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 04/01/2048#Q55660
3132XYJE8
475093.77000000
PA
USD
516129.66000000
0.006855022785
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
3534608.44700000
PA
USD
3762851.19000000
0.049976648590
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
6474406.68000000
0.085990418206
Long
ABS-CBDO
CORP
US
N
2
2029-04-15
Variable
0.01173750
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 4.375% 04/15/2040
87264AAX3
1316000.00000000
PA
USD
1542746.80000000
0.020490131231
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
0.04375000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040
674599DJ1
1700000.00000000
PA
USD
1922224.00000000
0.025530192003
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
12945.23270000
PA
USD
13683.49000000
0.000181738510
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
3521483.28000000
PA
USD
3524913.20000000
0.046816453644
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01323000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2045#AS4796
3138WEKJ7
173722.52300000
PA
USD
186080.69000000
0.002471447523
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
2128744.21460000
PA
USD
2243310.04000000
0.029794725299
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
4583128.80000000
0.060871239896
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
21690.44600000
PA
USD
22962.79000000
0.000304982373
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.02910000
N
N
N
N
N
N
TANGER PROPERTIES LP
PQPGJDNFN35EXH363L31
TANGER PPTYS LTD PARTNERSHIP 3.125% 09/01/2026
875484AJ6
6109000.00000000
PA
USD
6392277.57000000
0.084899612999
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
0.03125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 11/01/2049#QA4396
31339U3D0
79931.16800000
PA
USD
82745.94000000
0.001098997690
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.02500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 05/15/2031
91282CCB5
81269000.00000000
PA
USD
82513431.56000000
1.095909608120
Long
DBT
UST
US
N
2
2031-05-15
Fixed
0.01625000
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
9644880.70000000
0.128099355807
Long
DBT
CORP
US
N
2
2022-11-16
Fixed
0.03300000
N
N
N
N
N
N
CEDF 2016-6A
N/A
CEDF 2016-6A ARR 3ML+105 04/20/2034 144A
15032DAR2
6155000.00000000
PA
USD
6160551.81000000
0.081821926348
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.01238250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 04/01/2041#
3132GDGH9
107311.85460000
PA
USD
119234.29000000
0.001583621012
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A 1ML+120 12/31/2049 144A
95003EAA4
4397000.00000000
PA
USD
4408019.76000000
0.058545513335
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Variable
0.01273000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG7744
3617GSS91
1149955.26600000
PA
USD
1242048.17000000
0.016496375166
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
693731.76000000
0.009213861148
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
188364.59510000
PA
USD
202117.55000000
0.002684442530
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
0.03500000
N
N
N
N
N
N
MADISON PK FDG L LTD / MADISON PK FDG L LLC
N/A
MADISON PK FDG L LTD / MADISON PK FDG L LLC 3ML+114 04/19/2034 144A
55821FAA5
7130000.00000000
PA
USD
7148545.13000000
0.094944049034
Long
ABS-CBDO
CORP
KY
N
2
2034-04-19
Variable
0.01335800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ6625
3138MNLF5
69196.98660000
PA
USD
73680.96000000
0.000978600337
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
4916108.67000000
0.065293742172
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
96949.35690000
PA
USD
106885.02000000
0.001419603065
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
295805.34580000
PA
USD
328682.81000000
0.004365430484
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
1144.77340000
PA
USD
1202.47000000
0.000015970714
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Variable
0.02567000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 9/41 #Q03090
3132GJC31
281561.75480000
PA
USD
312843.49000000
0.004155059122
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 06/01/2043#Q19747
3132JBHZ9
36986.84670000
PA
USD
40410.39000000
0.000536714251
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
4773310.00000000
PA
USD
4827105.20000000
0.064111634531
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21845
3132JPBN1
104499.67250000
PA
USD
114139.63000000
0.001515955824
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
926.34250000
PA
USD
1039.13000000
0.000013801299
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
4665229.29000000
PA
USD
4662187.56000000
0.061921265971
Long
ABS-CBDO
CORP
KY
N
2
2028-01-22
Variable
0.01103750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #250329
31371FA69
201.05470000
PA
USD
217.25000000
0.000002885425
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
3198681.71000000
0.042483580588
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/01/2044#Q25265
3132M5QS4
442580.18930000
PA
USD
488708.46000000
0.006490825635
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#Q49393
3132WPNK9
557637.98200000
PA
USD
610116.51000000
0.008103317638
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
364999.39000000
PA
USD
365712.96000000
0.004857249772
Long
ABS-CBDO
CORP
US
N
2
2036-01-25
Variable
0.01336500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 12/01/2032#J38057
31307U5S3
475651.08600000
PA
USD
501770.99000000
0.006664316810
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
308.96950000
PA
USD
348.70000000
0.000004631290
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
1300101.89900000
PA
USD
1407662.58000000
0.018695997939
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/01/2048#Q54192
3132XWUS8
80653.46300000
PA
USD
87066.57000000
0.001156382528
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
122.59020000
PA
USD
128.75000000
0.000001710004
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
1033940.80000000
PA
USD
1148302.92000000
0.015251289144
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 10/01/2027#
31283G3D7
246.97940000
PA
USD
278.87000000
0.000003703837
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
52235.47440000
PA
USD
55620.34000000
0.000738726578
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC 6% 9/01/21
745310AD4
4807000.00000000
PA
USD
4852806.19000000
0.064452984555
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
10637.80870000
PA
USD
12077.34000000
0.000160406284
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
1986660.75000000
0.026386014529
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
1379.46890000
PA
USD
1602.61000000
0.000021285209
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 05/01/2034#C91764
3128P75Z2
830691.93150000
PA
USD
888519.72000000
0.011800955065
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
92049.71920000
PA
USD
99607.69000000
0.001322948548
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
674.78960000
PA
USD
765.71000000
0.000010169846
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
540883.50570000
PA
USD
590364.88000000
0.007840984577
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
33070.31710000
PA
USD
37200.07000000
0.000494076096
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
1407.44230000
PA
USD
1608.19000000
0.000021359321
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 4/42 #C03856
31292LH99
1590240.20100000
PA
USD
1749279.17000000
0.023233209593
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 3.75% 02/15/2051 144A
11135FBG5
5363000.00000000
PA
USD
5598483.27000000
0.074356762171
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
0.03750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 03/20/2046#MA3520
36179R4D8
373702.13170000
PA
USD
395098.82000000
0.005247540731
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
1709588.44000000
0.022706053570
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.02250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/01/2049#QA4483
31339U6U9
14307.57500000
PA
USD
15053.63000000
0.000199936149
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 01/01/2033#J38387
31307VJ80
186683.48900000
PA
USD
197331.73000000
0.002620879229
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
7209546.42000000
0.095754243187
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
7344682.13000000
0.097549060349
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
159649.43650000
PA
USD
181522.72000000
0.002410910432
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
381487.75400000
PA
USD
400225.10000000
0.005315625883
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
70020.84050000
PA
USD
81107.36000000
0.001077234741
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
213294.88760000
PA
USD
226078.31000000
0.003002679532
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Variable
0.02363000
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
4554590.96000000
0.060492211992
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
420458.20580000
PA
USD
448229.51000000
0.005953200798
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER OPERATING MLP 3.75% 05/15/2030
29278NAQ6
2315000.00000000
PA
USD
2514756.79000000
0.033399969873
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
1607.93820000
PA
USD
1887.14000000
0.000025064220
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
1247400.00000000
0.016567455980
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
17756.93290000
PA
USD
18897.09000000
0.000250983410
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Variable
0.02283000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 07/01/2045#Q34759
3132QRJD3
136785.72140000
PA
USD
145834.96000000
0.001936920218
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 05/01/2043#Q18481
3132J92P2
111899.90860000
PA
USD
122257.50000000
0.001623774049
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 7.50% 9/26 #358195
31376K3C8
232.90890000
PA
USD
258.54000000
0.000003433822
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2033#G18684
3128MMXN8
196886.05600000
PA
USD
207513.28000000
0.002756106406
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
0.03000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIES LP
5493007NTUGLGZ8T3526
HUDSON PAC PPTYS INC 4.65% 04/01/2029
44409MAB2
7741000.00000000
PA
USD
8901421.80000000
0.118225039149
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
5736747.25000000
0.076193127734
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
777265.68160000
PA
USD
858068.75000000
0.011396517752
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
0.04000000
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
47691657.38000000
0.633421063235
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
4529.73020000
PA
USD
4912.98000000
0.000065252188
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
547.96980000
PA
USD
576.70000000
0.000007659493
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
6963066.25000000
0.092480594505
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
31658362.37000000
0.420473404665
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
103397.07570000
PA
USD
118009.72000000
0.001567356775
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.05000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 05/15/2024
91282CCC3
22287000.00000000
PA
USD
22165117.97000000
0.294388020098
Long
DBT
UST
US
N
2
2024-05-15
Fixed
0.00250000
N
N
N
N
N
N
TANGER PROPERTIES LP
PQPGJDNFN35EXH363L31
TANGER PPTYS LTD PARTNERSHIP 3.75% 12/01/2024
875484AH0
3470000.00000000
PA
USD
3698303.72000000
0.049119355526
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/41 #Q00753
3132GDZS4
105149.16310000
PA
USD
116831.32000000
0.001551705748
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
25406.59470000
PA
USD
28029.90000000
0.000372281653
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
15009.86820000
PA
USD
16740.78000000
0.000222344184
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 07/01/2031#
31298RZH2
251.18360000
PA
USD
293.39000000
0.000003896685
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
35232.53600000
PA
USD
37122.28000000
0.000493042921
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
6817976.64000000
0.090553573720
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Variable
0.01483750
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
7123652.93000000
0.094613441027
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Fixed
0.04310000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.00% 9/41 #Q03358
3132GJMF3
147433.58960000
PA
USD
161218.44000000
0.002141237299
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
704225.53020000
PA
USD
835482.89000000
0.011096541608
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
6613.75850000
PA
USD
7359.02000000
0.000097739490
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
209.34690000
PA
USD
218.74000000
0.000002905215
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
11253.84300000
PA
USD
12992.62000000
0.000172562658
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
0.07000000
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
1768749.39000000
0.023491805082
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
377136.55240000
PA
USD
407630.87000000
0.005413986287
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
1660.15120000
PA
USD
1902.97000000
0.000025274468
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
6544669.04000000
0.086923614098
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
0.04550000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q20358
3132JMMF3
43302.80020000
PA
USD
47297.43000000
0.000628185096
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
2164246.67000000
0.028744637995
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01673000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AK4826
3138E9LG3
455722.66200000
PA
USD
490420.20000000
0.006513560265
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2045#Q33347
3132QPWH3
18568.80720000
PA
USD
19933.24000000
0.000264745130
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
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
4781228.66000000
0.063502321113
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.04569000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES INC
PZ9HF5U52KPF0MH0QN75
HCP INC 3.5% 07/15/2029
40414LAR0
656000.00000000
PA
USD
724362.79000000
0.009620689944
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
17066.33880000
PA
USD
18039.62000000
0.000239594845
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2040#V81750
3132L65K3
315356.35920000
PA
USD
337924.99000000
0.004488181334
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
4593635.32000000
0.061010783192
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
33656.26110000
PA
USD
37378.91000000
0.000496451375
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
760.93130000
PA
USD
811.02000000
0.000010771635
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
11306544.42000000
0.150168892872
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
2465099.43000000
0.032740441152
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
19853.05840000
PA
USD
22215.48000000
0.000295056907
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
7192564.93000000
0.095528701991
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
144981.39450000
PA
USD
155113.77000000
0.002060157572
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
4026792.95000000
PA
USD
4246549.94000000
0.056400937309
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
9664382.08000000
0.128358365150
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
79103296.41000000
1.050617589533
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
8322.81280000
PA
USD
9149.23000000
0.000121516326
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 02/34#G30703
3132J4AD1
18927674.88510000
PA
USD
20257135.84000000
0.269046982780
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
0.03500000
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
4781571.71000000
PA
USD
4687934.19000000
0.062263222167
Long
ABS-CBDO
CORP
KY
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
795329.82080000
PA
USD
849670.65000000
0.011284977626
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
767008.31000000
0.010187090277
Long
ABS-MBS
CORP
US
N
2
2033-07-05
Fixed
0.04949800
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 5.8% 05/01/2025
02005NBJ8
5237000.00000000
PA
USD
6085821.76000000
0.080829392427
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
1299.44220000
PA
USD
1471.59000000
0.000019545055
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
3033966.83000000
0.040295905004
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
0.03125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 06/01/2031#J34669
31307RFJ9
18976.23530000
PA
USD
20183.60000000
0.000268070309
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 2/1/43 #Q15635
3132J6V50
45127.23190000
PA
USD
48241.37000000
0.000640722121
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2046#Q40085
3132WDCX0
1709878.02090000
PA
USD
1833916.16000000
0.024357323434
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 6/41 #Q01208
3132GEKV1
46090.46990000
PA
USD
51211.16000000
0.000680165655
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
1257935.83000000
0.016707388560
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
62953.86180000
PA
USD
71850.85000000
0.000954293566
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
2114.41670000
PA
USD
2459.64000000
0.000032667931
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
679303.08100000
PA
USD
730960.68000000
0.009708320417
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 07/01/2048#Q59935
3132Y4BD3
726670.20300000
PA
USD
790525.40000000
0.010499434636
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
10633.59690000
PA
USD
12369.84000000
0.000164291149
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2043#Q20882
3132JM6T1
15833.62440000
PA
USD
17294.26000000
0.000229695279
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
940846.38000000
0.012495936335
Long
ABS-MBS
CORP
TC
N
2
2037-08-15
Variable
0.01423000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2048#G67716
3132XCSD8
4174465.99300000
PA
USD
4614608.33000000
0.061289338122
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
5786922.52000000
0.076859535123
Long
DBT
CORP
US
N
2
2042-08-09
Fixed
0.04250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7567
31417EMR9
45061.60680000
PA
USD
47981.60000000
0.000637271962
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
91.37000000
PA
USD
95.06000000
0.000001262547
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
1284.72300000
PA
USD
1449.71000000
0.000019254454
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
S6XOOCT0IEG5ABCC6L87
FHLG 3.0% 8/45#Q35372
3132QR6J4
77270.87410000
PA
USD
82675.62000000
0.001098063728
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
319154.63970000
PA
USD
352183.35000000
0.004677555033
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
5061.84640000
PA
USD
5883.16000000
0.000078137721
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 06/01/2045#Q34103
3132QQRZ7
47387.70940000
PA
USD
51057.67000000
0.000678127064
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 08/01/2050#SD7523
3132DVLC7
2850141.89600000
PA
USD
2973444.16000000
0.039492067685
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
0.02500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.705% 05/01/2040
097023CV5
3000000.00000000
PA
USD
3863648.97000000
0.051315403426
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
4151300.14000000
0.055135868471
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.01323000
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
2802614.44000000
PA
USD
2769032.95000000
0.036777161702
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
21284.50060000
PA
USD
23598.83000000
0.000313429996
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
143611.94730000
PA
USD
158195.09000000
0.002101082403
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
21187111.25000000
0.281398535343
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
143399.05370000
PA
USD
152691.33000000
0.002027983716
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
137104.72510000
PA
USD
145989.12000000
0.001938967708
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
3292201.58700000
PA
USD
3463869.49000000
0.046005696086
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
5717270.00000000
0.075934438875
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
170141.06130000
PA
USD
197338.81000000
0.002620973262
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
1739831.86000000
0.023107734290
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
0.04125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2043#Q20707
3132JMYC7
97828.03060000
PA
USD
106435.24000000
0.001413629271
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
MAGNETITE XXI LTD 2019-21A A
N/A
MAGNETITE XXI LTD 2019-21A A 3ML+102 04/20/2034 144A
55954PAN4
5944000.00000000
PA
USD
5951031.75000000
0.079039166712
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.01208250
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERN 7.25% 6/15/37
761713AT3
2962000.00000000
PA
USD
3977541.31000000
0.052828074846
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
241662.86720000
PA
USD
286979.90000000
0.003811549511
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13654
3132HQBX9
29795.25100000
PA
USD
32562.45000000
0.000432481126
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
94551.61950000
PA
USD
101750.53000000
0.001351408871
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
13193.81800000
PA
USD
14557.18000000
0.000193342503
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
0.04000000
N
N
N
N
N
N
EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC
N/A
EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC 3ML+125 01/15/2034 144A
27830BBN3
1450000.00000000
PA
USD
1451122.30000000
0.019273212143
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Variable
0.01433750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/30 #527717
31384MG22
43.00170000
PA
USD
49.95000000
0.000000663415
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
12318.44100000
PA
USD
13257.51000000
0.000176080818
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
2593.12810000
PA
USD
2837.57000000
0.000037687442
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
273.86050000
PA
USD
318.48000000
0.000004229920
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 07/50#MA6766
36179VQT0
16352778.71000000
PA
USD
17088496.77000000
0.226962416233
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 11/42 #AQ0199
3138MFGH4
28088.49410000
PA
USD
30393.85000000
0.000403678669
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
87.97180000
PA
USD
99.35000000
0.000001319526
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
2135000.00000000
0.028356195701
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
4311.59100000
PA
USD
4666.31000000
0.000061976018
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
11702037.15000000
0.155421665355
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
3596475.93000000
0.047766920518
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
2785238.71870000
PA
USD
2985984.52000000
0.039658623611
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
2862118.80000000
PA
USD
3142398.37000000
0.041736048315
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
6084951.80000000
0.080817837974
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
45.97350000
PA
USD
51.69000000
0.000000686525
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
82993.96900000
PA
USD
89808.40000000
0.001192798391
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 15YR 3% 01/01/2035#FM2286
3140X5RG0
2696040.37800000
PA
USD
2870133.68000000
0.038119940196
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
5658792.94000000
0.075157770511
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
815282.45000000
0.010828247636
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
519548.60210000
PA
USD
552241.25000000
0.007334642135
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
CF HIPPOLYTA ISSUER LLC
N/A
CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A
12530MAE5
10096000.00000000
PA
USD
10168247.99000000
0.135050505830
Long
ABS-MBS
CORP
US
N
2
2061-03-15
Fixed
0.01530000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 02/01/2033#ZS8686
3132A9UK1
207082.71400000
PA
USD
218383.98000000
0.002900486592
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 8% 05/01/2027#
31283HA70
378.64750000
PA
USD
425.53000000
0.000005651715
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
0.08000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER OPERATING MLP 5.25% 04/15/2029
29278NAG8
2052000.00000000
PA
USD
2423760.22000000
0.032191390694
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
192442.80170000
PA
USD
212137.73000000
0.002817526457
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 01/48#Q53730
3132XWEC1
108462.61100000
PA
USD
117873.36000000
0.001565545697
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
22138.42000000
PA
USD
25734.51000000
0.000341795223
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 4/41 #Q00114
3132GDDT6
124314.80750000
PA
USD
138126.28000000
0.001834536687
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
140553.81660000
PA
USD
154562.89000000
0.002052841010
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
1621216.81000000
0.021532337770
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
7664383.32500000
PA
USD
7598419.81000000
0.100919100307
Long
ABS-CBDO
CORP
KY
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
6223947.26000000
0.082663918754
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
340.55170000
PA
USD
359.29000000
0.000004771942
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07500000
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
5849591.81000000
0.077691882969
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
496746.72900000
PA
USD
538639.12000000
0.007153984215
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
4536087.67000000
0.060246458871
Long
DBT
CORP
US
N
2
2031-05-13
Variable
0.02956000
N
N
N
N
N
N
UTAH ACQUISITION SUB INC
254900JOFV74IJ7H9933
UTAH ACQUISITION SUB INC 3.95% 06/15/2026
62854AAN4
2549000.00000000
PA
USD
2807815.77000000
0.037292259235
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
8953.49510000
PA
USD
10204.52000000
0.000135532255
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15107
3132J6DM3
26472.24930000
PA
USD
28930.83000000
0.000384247436
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 08/01/2034#C91782
3128P76T5
1355548.28440000
PA
USD
1449913.42000000
0.019257156294
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
6785099.60000000
0.090116914338
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
3581605.03000000
0.047569411314
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
165384.58500000
PA
USD
178705.49000000
0.002373493136
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
0.04000000
N
N
N
N
N
N
LIFE 2021-BMR MTG TR
N/A
LIFE 2021-BMR MTG TR 1ML+88 03/15/2036 144A
53218CAC4
1760000.00000000
PA
USD
1762115.52000000
0.023403696737
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.00953000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2045#Q33724
3132QQD66
33105.51720000
PA
USD
35724.32000000
0.000474475788
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 6/40 #A92350
312940TF6
118546.54240000
PA
USD
134710.59000000
0.001789170891
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
37425.31110000
PA
USD
41421.23000000
0.000550139814
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
0.04000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 1.65% 03/25/2026
68389XCC7
6494000.00000000
PA
USD
6582721.87000000
0.087429016204
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
0.01650000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2041#738107
3620ASAG4
20783.98180000
PA
USD
22835.91000000
0.000303297205
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
2211.22870000
PA
USD
2164.58000000
0.000028749065
Long
ABS-CBDO
CORP
US
N
2
2034-07-20
Variable
0.01038630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.228% 7/41#AI3469
3138AG2B3
54807.66700000
PA
USD
57923.37000000
0.000769314480
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.02617000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA GROUP LTD 3.375% 04/07/2030 144A
00131LAJ4
7358000.00000000
PA
USD
8105789.20000000
0.107657772773
Long
DBT
CORP
HK
N
2
2030-04-07
Fixed
0.03375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2051#FM7599
3140XBNR7
3499699.35300000
PA
USD
3678664.88000000
0.048858520495
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
0.03500000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
UPJOHN INC 2.7% 06/22/2030 144A
91533BAD2
4997000.00000000
PA
USD
5052875.65000000
0.067110225193
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
1818160.47000000
0.024148062812
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
3140987.07050000
PA
USD
3355594.70000000
0.044567634664
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
217003.49830000
PA
USD
231065.35000000
0.003068915355
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
4872786.25000000
0.064718351530
Long
DBT
CORP
US
N
2
2028-04-20
Fixed
0.04350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/40#V81744
3132L65D9
196056.38190000
PA
USD
210087.25000000
0.002790292822
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 07/01/2051 #TBA
01F022675
6950000.00000000
PA
USD
7188362.76000000
0.095472890490
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13121
3132HPPE8
154325.84260000
PA
USD
168658.65000000
0.002240055122
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
4154872.39000000
0.055183313633
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
2384520.33000000
0.031670222544
Long
DBT
CORP
US
N
2
2022-09-09
Variable
0.01223130
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 4.5% 04/15/2050
87264AAZ8
2586000.00000000
PA
USD
3079235.80000000
0.040897148925
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #475908
36209MU93
435.77550000
PA
USD
492.15000000
0.000006536534
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
1755188.70000000
PA
USD
1741963.53000000
0.023136046258
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01823000
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
5929620.98000000
0.078754797632
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Variable
0.01518250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19606
3132JBDL4
73823.29930000
PA
USD
80656.47000000
0.001071246205
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
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
4304493.50000000
0.057170519945
Long
ABS-CBDO
CORP
US
N
2
2033-04-17
Variable
0.01369750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2041#
3132GDVM1
11334.06440000
PA
USD
12593.29000000
0.000167258920
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
9095000.03000000
0.120796065928
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
7493809.85000000
0.099529713657
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01583750
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.5% 9/13/25
172967HB0
5524000.00000000
PA
USD
6434299.30000000
0.085457728409
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
2804.42980000
PA
USD
3141.80000000
0.000041728101
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
1067409.11900000
PA
USD
1147754.07000000
0.015243999543
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
46209.94850000
PA
USD
51013.85000000
0.000677545065
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
2199482.95000000
0.029212631837
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
260745.76720000
PA
USD
302262.52000000
0.004014527011
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 06/01/2047#Q48759
3132WNWV0
911786.45000000
PA
USD
997593.40000000
0.013249627016
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
984.26020000
PA
USD
1146.53000000
0.000015227741
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
159576.44290000
PA
USD
175488.32000000
0.002330764002
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.0% 5/45#Q33470
3132QP2C7
37841.05600000
PA
USD
40594.29000000
0.000539156736
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19690
3132JBF81
116710.70180000
PA
USD
127513.58000000
0.001693583151
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
2320699.04000000
0.030822574305
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
1297748.81000000
0.017236168256
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
2306.63230000
PA
USD
2512.28000000
0.000033367074
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
702.89160000
PA
USD
814.25000000
0.000010814535
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
205441.13090000
PA
USD
219477.88000000
0.002915015324
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 7.00% 6/32 #552619
36213E4C7
2555.88320000
PA
USD
2971.27000000
0.000039463191
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
2964108.27000000
0.039368072217
Long
ABS-CBDO
CORP
KY
N
2
2033-01-17
Variable
0.01519750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 05/01/2040#
312940LA5
34380.11580000
PA
USD
39067.91000000
0.000518883982
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.05000000
N
N
N
N
N
N
OREILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'REILLY AUTOMOTIVE INC NEW 4.2% 04/01/2030
67103HAJ6
1177000.00000000
PA
USD
1355052.65000000
0.017997254393
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
2910000.00000000
PA
USD
3381449.82000000
0.044911031780
Long
DBT
UST
US
N
2
2029-07-15
Fixed
0.00250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 11/01/2029#
31292G6T8
5452.07470000
PA
USD
6296.22000000
0.000083623815
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2044#Q24546
3132M4WF8
56476.63780000
PA
USD
61668.89000000
0.000819060943
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
22268155.79000000
0.295756526228
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
4344140.61000000
0.057697096624
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Variable
0.01188250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/40 #A93459
312941ZY6
16750.66180000
PA
USD
18611.67000000
0.000247192579
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
5284076.19000000
0.070180936087
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
253318.82350000
PA
USD
281474.10000000
0.003738423730
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 07/01/2051 #TBA
21H020675
-27000000.00000000
PA
USD
-27506935.80000000
-0.36533585700
Short
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.584% 03/18/2024
345397ZQ9
6246000.00000000
PA
USD
6840619.20000000
0.090854302930
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
13571.96160000
PA
USD
14851.71000000
0.000197254330
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
S6XOOCT0IEG5ABCC6L87
FHLG 3.50% 7/42 #Q09199
3132GURU0
214390.51140000
PA
USD
230813.81000000
0.003065574504
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
166.07990000
PA
USD
187.75000000
0.000002493618
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 9/41 #G06719
3128M8YQ1
1440375.10920000
PA
USD
1600401.94000000
0.021255883190
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2032#J36729
31307TPN5
41716.22740000
PA
USD
44424.19000000
0.000590023899
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
3553201.76000000
0.047192170713
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
1327000.00000000
PA
USD
1696868.02000000
0.022537106161
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
681191.45670000
PA
USD
727733.79000000
0.009665462186
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.25% 05/31/2028
91282CCE9
419132000.00000000
PA
USD
420179830.00000000
5.580656435316
Long
DBT
UST
US
N
2
2028-05-31
Fixed
0.01250000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 4.063% 11/01/2024
345397ZX4
17607000.00000000
PA
USD
18727685.55000000
0.248733450349
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
0.04063000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 08/01/2042#Q10217
3132HLG23
34653.14450000
PA
USD
36979.51000000
0.000491146708
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
47606.90650000
PA
USD
51736.23000000
0.000687139420
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
3518284.48420000
PA
USD
3734552.02000000
0.049600790603
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
753.46640000
PA
USD
877.20000000
0.000011650611
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
328889.01180000
PA
USD
351463.10000000
0.004667988967
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21835
3132JPBC5
112735.16450000
PA
USD
123134.84000000
0.001635426520
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
3125171.15700000
PA
USD
3283985.79000000
0.043616554446
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
2139.21510000
PA
USD
2416.74000000
0.000032098151
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2043#Q22677
3132JP6N7
45170.29330000
PA
USD
49337.19000000
0.000655276353
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
104498.01130000
PA
USD
115361.43000000
0.001532183271
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
7493.29600000
PA
USD
8190.51000000
0.000108782999
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
2460190.84000000
0.032675247270
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
6270373.66000000
0.083280535187
Long
DBT
CORP
IE
N
2
2024-08-14
Fixed
0.02875000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 07/01/2051 #TBA
21H032670
17125000.00000000
PA
USD
17987132.44000000
0.238897727204
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.03500000
N
N
N
N
N
N
DUQUESNE LIGHT HLDGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LT HLD 5.9% 12/21 144
266233AD7
2664000.00000000
PA
USD
2722781.27000000
0.036162865829
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
0.05900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 02/01/2047#Q46222
3132WK4G0
268710.45600000
PA
USD
293918.64000000
0.003903707014
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
1705.95050000
PA
USD
1982.78000000
0.000026334471
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
124.54410000
PA
USD
141.45000000
0.000001878680
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
3145957.39000000
0.041783317761
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
55137.84360000
PA
USD
58991.28000000
0.000783498023
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
47236.51340000
PA
USD
48830.33000000
0.000648544446
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Variable
0.01563000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER OPERATING MLP 4.95% 06/15/2028
29278NAF0
4048000.00000000
PA
USD
4676973.26000000
0.062117643584
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
13560.03350000
PA
USD
15696.88000000
0.000208479532
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
0.06500000
N
N
N
N
N
N
LIFE 2021-BMR MTG TR
N/A
LIFE 2021-BMR MTG TR 1ML+140 03/15/2026 144A
53218CAG5
1540000.00000000
PA
USD
1545871.10000000
0.020531626904
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.01473000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #452409
36208JR61
642.98210000
PA
USD
686.57000000
0.000009118741
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
7151365.57000000
0.094981508963
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15893
3132J67F5
60457.87090000
PA
USD
66072.82000000
0.000877552137
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/30 #493530
36210JHF8
14984.07810000
PA
USD
17407.83000000
0.000231203669
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
110668.83360000
PA
USD
117943.94000000
0.001566483112
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
318611.61900000
PA
USD
345320.64000000
0.004586407329
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 08/01/2050#SD0430
3132DMPP4
12313036.64500000
PA
USD
12764916.47000000
0.169538393226
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 08/01/2032#J37406
31307UGP7
79997.99660000
PA
USD
85265.98000000
0.001132467829
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 5.00% 9/40 #747153
3620C3BW1
65443.16710000
PA
USD
74664.39000000
0.000991661852
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
4861893.78000000
0.064573682204
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.04250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2042#Q12215
3132HNN88
14072.93790000
PA
USD
15379.94000000
0.000204270064
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
8442442.50000000
0.112129064042
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
57083.88670000
PA
USD
59656.97000000
0.000792339445
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.01812000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 08/15/2023
91282CAF8
114167000.00000000
PA
USD
113814687.49000000
1.511640071287
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
1241000.00000000
PA
USD
1321105.77000000
0.017546385834
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
0.04375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 02/01/2044#Q25157
3132M5ME9
302664.58450000
PA
USD
334671.15000000
0.004444965163
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04500000
N
N
N
N
N
N
STORE CAPITAL CORP
5493004EA6C9IHDZ7N66
STORE CAP CORP 2.75% 11/18/2030
862121AC4
8724000.00000000
PA
USD
8781711.27000000
0.116635092912
Long
DBT
CORP
US
N
2
2030-11-18
Fixed
0.02750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 01/20/2051#MA7136
36179V4V9
2595407.99200000
PA
USD
2688998.40000000
0.035714175584
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 6/41 #Q01393
3132GERN2
96983.82840000
PA
USD
107758.81000000
0.001431208386
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODS OPER LLC 3.7% 02/15/2026
29379VBH5
4800000.00000000
PA
USD
5309877.26000000
0.070523615333
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 06/01/2045#Q34030
3132QQPQ9
191053.07680000
PA
USD
205849.26000000
0.002734005574
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
366403.67440000
PA
USD
391781.67000000
0.005203483703
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
17.95780000
PA
USD
18.45000000
0.000000245045
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
8192502.00000000
0.108809456673
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
0.03950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2046#Q39975
3132QXCM7
81902.42000000
PA
USD
88843.54000000
0.001179983516
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 5.125% 09/30/2024
02005NAV2
2138000.00000000
PA
USD
2408614.36000000
0.031990229584
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
1043988.63160000
PA
USD
1185826.28000000
0.015749659046
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
810.35160000
PA
USD
854.49000000
0.000011348986
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
1870110.67000000
0.024838044094
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
708451.01490000
PA
USD
766597.06000000
0.010181628223
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
8171.66000000
0.000108532641
Long
ABS-CBDO
CORP
US
N
2
2034-09-25
Variable
0.00951500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/25 #330740
31375CLV5
2555.31090000
PA
USD
2800.56000000
0.000037195891
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 02/01/2050#SD7512
3132DVKZ7
8117783.43100000
PA
USD
8589909.66000000
0.114087662472
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 2.852%/VAR 05/07/2026
06738EBL8
8092000.00000000
PA
USD
8548977.57000000
0.113544019215
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
15541337.50000000
0.206413680382
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
353181.62240000
PA
USD
376067.83000000
0.004994778915
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
6360.25100000
PA
USD
7236.86000000
0.000096117010
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
5502151.20000000
0.073077319066
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
0.06450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/47#Q47942
3132WMZG2
310228.18200000
PA
USD
339544.53000000
0.004509691401
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
353688.94160000
PA
USD
378075.76000000
0.005021447419
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
1298323.70000000
PA
USD
1378104.00000000
0.018303412984
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% 07/01/2051 #TBA
21H022671
-3400000.00000000
PA
USD
-3518673.94000000
-0.04673358634
Short
ABS-MBS
USGA
US
N
2
2051-07-01
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
187850.73600000
PA
USD
196255.46000000
0.002606584651
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
118512.47660000
PA
USD
123924.72000000
0.001645917382
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
6261000.00000000
0.083156038074
Long
ABS-CBDO
CORP
KY
N
2
2032-07-17
Variable
0.01489750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2041#Q04636
3132GKY91
5460.42410000
PA
USD
5970.97000000
0.000079303978
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
7086572.38000000
PA
USD
7383567.09000000
0.098065514464
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
47309.19250000
PA
USD
51385.83000000
0.000682485551
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 01/01/2047#Q45635
3132WKHM3
86465.28100000
PA
USD
94663.21000000
0.001257277989
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
52843.41470000
PA
USD
56267.67000000
0.000747324150
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 08/01/2042#Q10538
3132HLS38
43334.23490000
PA
USD
46243.39000000
0.000614185768
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
617826.77600000
PA
USD
673598.62000000
0.008946461027
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
4197976.37000000
0.055755803044
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
14810445.84600000
PA
USD
15650986.04000000
0.207869987388
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
S6XOOCT0IEG5ABCC6L87
FHLG 3.0% 8/45#Q35579
3132QSFV5
114496.10100000
PA
USD
122755.04000000
0.001630382172
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
6627173.28000000
0.088019401628
Long
DBT
CORP
US
N
2
2043-01-30
Fixed
0.05125000
N
N
N
N
N
N
CORPOARATE OFFICE PPTYS LP
H0TWO5VRNEP6CQAWPX27
CORPORATE OFFICE PPTYS LP 2.75% 04/15/2031
22003BAM8
1215000.00000000
PA
USD
1224168.04000000
0.016258898601
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
0.02750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 11/27 #395783
31378DUG3
178.77110000
PA
USD
200.27000000
0.000002659904
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
6977.91280000
PA
USD
7473.69000000
0.000099262490
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/44#Q28495
3132M9C85
94708.80250000
PA
USD
103120.00000000
0.001369597611
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
6134.58350000
PA
USD
6486.81000000
0.000086155154
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Variable
0.02333000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-XL B 1ML+110 10/15/2036 144A
056054AE9
2800891.85000000
PA
USD
2805453.94000000
0.037260890376
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01153000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 08/27#AP4736
3138M8HN6
67775.52750000
PA
USD
70815.64000000
0.000940544330
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
106627951.35000000
1.416188784897
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.01625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2045#Q31307
3132QMNZ0
6049.35900000
PA
USD
6499.53000000
0.000086324095
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
27335.96910000
PA
USD
30374.24000000
0.000403418217
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
7344.11780000
PA
USD
7965.49000000
0.000105794376
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 20YR 4.50% #MA0022
31417YAY3
3906.90700000
PA
USD
4287.76000000
0.000056948272
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
56973.08400000
PA
USD
62557.63000000
0.000830864823
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
102.56820000
PA
USD
113.00000000
0.000001500819
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
4531962.50000000
0.060191670052
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
3507466.99000000
0.046584740227
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
34686.88530000
PA
USD
38129.79000000
0.000506424256
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
19637.97880000
PA
USD
21679.51000000
0.000287938373
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
2226814.67000000
0.029575640549
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
0.03950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2045#Q32328
3132QNSS9
62863.27360000
PA
USD
67541.38000000
0.000897056950
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
858.80700000
PA
USD
963.31000000
0.000012794288
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2.375% 05/15/2051
912810SX7
362829000.00000000
PA
USD
387376649.53000000
5.144978025458
Long
DBT
UST
US
N
2
2051-05-15
Fixed
0.02375000
N
N
N
N
N
N
EXTENDED STAY AMER TR 2021-ESH
N/A
EXTENDED STAY AMER TR 2021-ESH D 1ML+225 07/15/2038 144A
30227FAJ9
2484000.00000000
PA
USD
2501846.55000000
0.033228501352
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.02250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 09/01/2040#AE3951
31419EL98
106267.11870000
PA
USD
116657.17000000
0.001549392759
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
2254570.65000000
0.029944284109
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
1724094.31000000
0.022898714596
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
10288668.65000000
0.136649883723
Long
DBT
CORP
US
N
2
2022-10-27
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2044#AV8482
3138XLM82
113453.09440000
PA
USD
125399.19000000
0.001665500689
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
34770378.91000000
0.461805933955
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
416454.81690000
PA
USD
447772.18000000
0.005947126728
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.5% 02/43 #Q15871
3132J66H2
179008.68500000
PA
USD
192546.75000000
0.002557327084
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
422780.41620000
PA
USD
457493.86000000
0.006076246101
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER OPERATING MLP 5% 05/15/2050
29278NAR4
5176000.00000000
PA
USD
5982493.01000000
0.079457022283
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
338336.72170000
PA
USD
361665.00000000
0.004803486425
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
1393444.34000000
0.018507157098
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
283449.78400000
PA
USD
307803.93000000
0.004088125750
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
5399998.92000000
0.071720574316
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01073000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2043#AV3928
3138XFLJ2
421541.44130000
PA
USD
465927.86000000
0.006188263035
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
0.04500000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINANCIAL INC 8.0% 11/01/2031
36186CBY8
2703000.00000000
PA
USD
3884341.53000000
0.051590233534
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
0.08000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2046#BC6338
3140F2BG4
966933.23180000
PA
USD
1045721.37000000
0.013888843005
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
1053288.11830000
PA
USD
1159752.69000000
0.015403360301
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
6669.95650000
PA
USD
7583.80000000
0.000100724925
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
307.73090000
PA
USD
358.12000000
0.000004756403
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
1895524.76000000
0.025175583630
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
15091719.96000000
0.200442044337
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
8796063.94000000
0.116825719197
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
5171670.88000000
0.068688014790
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
78538.26880000
PA
USD
86808.00000000
0.001152948307
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
6496872.62000000
0.086288801621
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Variable
0.01258250
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/40 #004801
36202FKN5
1076498.15000000
PA
USD
1187902.90000000
0.015777239862
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
239002.17040000
PA
USD
255481.35000000
0.003393198669
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
S6XOOCT0IEG5ABCC6L87
FHLG 3.0% 7/45#Q34956
3132QRQJ2
13319.76980000
PA
USD
14200.96000000
0.000188611335
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.03000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.875% 04/15/2030
87264ABF1
8820000.00000000
PA
USD
9859172.40000000
0.130945490412
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 02/01/2043#Q15786
3132J62U7
133591.78500000
PA
USD
143228.15000000
0.001902297635
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
DUQUESNE LIGHT HLDGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A
266233AJ4
4571000.00000000
PA
USD
4606181.16000000
0.061177411901
Long
DBT
CORP
US
N
2
2032-01-07
Fixed
0.02775000
N
N
N
N
N
N
BARINGS CLO LTD 2020-IV
549300Q89L7I93JSRH83
BARINGS CLO LTD 2020-IV 3ML+122 01/20/2032 144A
06762BAC4
6750000.00000000
PA
USD
6750344.25000000
0.089655308012
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Variable
0.01444000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 05/01/2033#G18687
3128MMXR9
63284.85200000
PA
USD
66135.58000000
0.000878385690
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
121487.85140000
PA
USD
129512.14000000
0.001720127207
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#AB7280
31417ECS8
360345.60150000
PA
USD
383696.03000000
0.005096093544
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2045#Q33801
3132QQGK2
38891.16420000
PA
USD
41674.43000000
0.000553502713
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
4470.92560000
PA
USD
5018.89000000
0.000066658841
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
66589.49180000
PA
USD
69577.74000000
0.000924103050
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
10594.86250000
PA
USD
12349.40000000
0.000164019673
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
1433943.98000000
0.019045056731
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
1393588.26000000
0.018509068584
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 10/37 #995073
31416BMW5
240741.14600000
PA
USD
284553.75000000
0.003779326380
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
0.06000000
N
N
N
N
N
N
MAGNETITE XXIX LTD / MAGNETITE XXIX LLC
N/A
MAGNETITE CLO LTD 2021-29A A 3ML+100 01/15/2034 144A
55955KAA2
6210000.00000000
PA
USD
6207516.00000000
0.082445685488
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Variable
0.01094410
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 03/01/2048#Q54622
3132XXD48
17658.66900000
PA
USD
19051.75000000
0.000253037541
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
5173301.57360000
PA
USD
5625551.60000000
0.074716272646
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
83113.93970000
PA
USD
90847.28000000
0.001206596370
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
173803.33030000
PA
USD
185732.74000000
0.002466826193
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
140.40960000
PA
USD
162.94000000
0.000002164102
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #772072
36176PQZ2
33164.19380000
PA
USD
36611.88000000
0.000486263997
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
456608.59000000
0.006064488307
Long
ABS-CBDO
CORP
US
N
2
2040-03-15
Fixed
0.04335000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/32 #581866
36201FMP9
11973.84700000
PA
USD
13932.47000000
0.000185045361
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
2682.60760000
PA
USD
3009.05000000
0.000039964969
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
199668.20600000
PA
USD
213372.91000000
0.002833931612
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER OPERATING MLP 4.25% 03/15/2023
29278NAL7
1017000.00000000
PA
USD
1067017.26000000
0.014171686295
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
49974.04000000
PA
USD
53862.55000000
0.000715380331
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
6185501.94000000
0.082153303758
Long
DBT
CORP
US
N
2
2039-01-23
Fixed
0.05450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2050#BP4772
3140KCJS2
266831.30500000
PA
USD
280622.29000000
0.003727110338
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
645942.67360000
PA
USD
690480.36000000
0.009170677384
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
1227983.13200000
PA
USD
1343392.06000000
0.017842383211
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/24 #279712
31372QVD6
1055.72150000
PA
USD
1117.44000000
0.000014841380
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
18862.76280000
PA
USD
20823.70000000
0.000276571855
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
1812.17700000
PA
USD
2062.89000000
0.000027398460
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
1392096.54000000
0.018489256170
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
1457864.87000000
0.019362764196
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
455435.19800000
PA
USD
486979.19000000
0.006467858180
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
7672.43960000
PA
USD
8109.99000000
0.000107713566
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
4702738.51000000
0.062459847083
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
0.04800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 01/01/2046#G08687
3128MJXR6
122618.18390000
PA
USD
130818.64000000
0.001737479605
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
EMERA US FINANCE LP
N/A
EMERA US FINANCE LP 3.55% 06/15/2026
29103DAJ5
1891000.00000000
PA
USD
2065350.20000000
0.027431135580
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
808664.69000000
0.010740353258
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.02200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/25 #303237
31373TZA1
877.01350000
PA
USD
933.50000000
0.000012398364
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
45419.90820000
PA
USD
50939.20000000
0.000676553594
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
129463.03750000
PA
USD
137852.26000000
0.001830897265
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
69.43960000
PA
USD
74.42000000
0.000000988415
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
733.98720000
PA
USD
822.17000000
0.000010919725
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
9676800.00000000
0.128523294878
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 08/01/2051 #TBA
21H022689
3400000.00000000
PA
USD
3512431.88000000
0.046650681863
Long
ABS-MBS
USGA
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9287
3138YPJ94
148075.20140000
PA
USD
158886.53000000
0.002110265826
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
241489.42810000
PA
USD
256685.17000000
0.003409187313
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
AIMCO CLO 14 LTD / AIMCO CLO 14 LLC
N/A
AIMCO CLO 14 LTD / AIMCO CLO 14 LLC 21-14A A 3ML+99 04/20/2034 144A
00144GAC5
10213000.00000000
PA
USD
10212897.87000000
0.135643527252
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.00990000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 07/01/2051 #TBA
01F022675
-3700000.00000000
PA
USD
-3826898.16000000
-0.05082729421
Short
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/27 #313644
31374GLZ8
606.63680000
PA
USD
677.84000000
0.000009002793
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
189889.25470000
PA
USD
205229.55000000
0.002725774840
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
0.03500000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 2.45% 07/15/2028
15135BAY7
8315000.00000000
PA
USD
8427252.50000000
0.111927316682
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
0.02450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 8.50% 3/25 #250212
31371E3V5
84.07870000
PA
USD
92.21000000
0.000001224695
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 11/01/2031#
31298YN64
218.37140000
PA
USD
257.85000000
0.000003424658
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/44#Q27794
3132M8KF2
63752.51640000
PA
USD
69414.45000000
0.000921934299
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
84820.33230000
PA
USD
96807.61000000
0.001285759032
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
430064.45550000
PA
USD
465107.18000000
0.006177363099
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
341767.27740000
PA
USD
369804.33000000
0.004911589673
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
3832535.62000000
0.050902168653
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#G61047
31335BEU6
554042.58900000
PA
USD
611658.25000000
0.008123794397
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
375052.68000000
0.004981296108
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21258
3132JNMF1
158290.65700000
PA
USD
172892.76000000
0.002296290837
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
3025942.36000000
0.040189327279
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Variable
0.01518250
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC 2.497% 04/24/2023
595112BR3
7020000.00000000
PA
USD
7256013.38000000
0.096371398322
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
12402963.02000000
0.164731075726
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
4658189.08000000
0.061868159797
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
148162.59830000
PA
USD
158378.39000000
0.002103516918
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
1471947.75000000
0.019549807242
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
3791.90920000
PA
USD
4104.02000000
0.000054507913
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
2936004.67000000
0.038994811711
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
12176.98080000
PA
USD
13921.58000000
0.000184900724
Long
ABS-MBS
USGA
US
N
2
2028-10-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 02/01/2045#AY5052
3138YJTJ5
45655.87250000
PA
USD
50905.52000000
0.000676106270
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 2/42 #AJ9901
3138E3AB9
171322.45860000
PA
USD
184580.66000000
0.002451524738
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
2399.33080000
PA
USD
2800.10000000
0.000037189781
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
579075.42600000
PA
USD
632774.54000000
0.008404252314
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
23083236.07000000
0.306582088726
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
4901.55690000
PA
USD
5181.09000000
0.000068813115
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
2536534.61000000
0.033689213960
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
3223851.53000000
0.042817875830
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
74812.54090000
PA
USD
85062.47000000
0.001129764892
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
11073.34140000
PA
USD
11711.60000000
0.000155548675
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.02935000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 12/01/2033#C91737
3128P74W0
715675.31720000
PA
USD
765943.64000000
0.010172949766
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
437987.94340000
PA
USD
472581.33000000
0.006276631699
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 05/01/2043#Q18564
3132J96A1
17340.11440000
PA
USD
18945.14000000
0.000251621591
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO 3.8% 11/15/2025
406216BG5
151000.00000000
PA
USD
166900.55000000
0.002216704758
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
2593304.04000000
0.034443202282
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
0.04450000
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
13470.29210000
PA
USD
24035.16000000
0.000319225152
Long
ABS-CBDO
USGA
US
N
2
2037-06-16
Variable
0.39752200
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 3.85% 07/15/2029
92936UAF6
1275000.00000000
PA
USD
1411149.71000000
0.018742312571
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
0.03850000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION LLC
549300KJYBG7C6WJYZ11
SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030
785592AX4
7977000.00000000
PA
USD
9205872.96000000
0.122268634781
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2044#Q24973
3132M5FN7
23127.02480000
PA
USD
25253.24000000
0.000335403192
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 4.03% 01/25/2024
35137LAG0
1268000.00000000
PA
USD
1373639.67000000
0.018244119581
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
1981749.89000000
0.026320790497
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
507297.07950000
PA
USD
553864.41000000
0.007356200282
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
232770.73880000
PA
USD
243308.92000000
0.003231529438
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2050#QA7257
3133A2B25
667309.34800000
PA
USD
701433.81000000
0.009316156622
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
3886092.49000000
0.051613489068
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
12197019.34000000
0.161995816104
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19764
3132JBJJ3
38232.26680000
PA
USD
41771.09000000
0.000554786511
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
703627.83000000
0.009345296697
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
1672771.34300000
PA
USD
1764583.41000000
0.023436474241
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
24173.92700000
PA
USD
25552.55000000
0.000339378505
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/01/2044#Q25146
3132M5L34
425810.56560000
PA
USD
470856.34000000
0.006253721088
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
1038.10450000
PA
USD
1167.05000000
0.000015500280
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
11007163.90000000
0.146192643404
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
1940323.14000000
0.025770577368
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
8187.66060000
PA
USD
8654.60000000
0.000114946853
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
2389730.01000000
0.031739415380
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.03625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19597
3132JBDB6
125398.29130000
PA
USD
137005.31000000
0.001819648422
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
1571960.36000000
0.020878133772
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
28176.72700000
PA
USD
30002.58000000
0.000398481981
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
2314.47360000
PA
USD
2688.85000000
0.000035712204
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
3433009.09000000
0.045595820890
Long
DBT
CORP
IE
N
2
2026-04-03
Fixed
0.04450000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.6% 03/09/2026
172967KJ9
2195000.00000000
PA
USD
2498349.72000000
0.033182057888
Long
DBT
CORP
US
N
2
2026-03-09
Fixed
0.04600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.0% 8/45#Q35375
3132QR6M7
58887.73240000
PA
USD
62765.12000000
0.000833620621
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
49.53170000
PA
USD
57.17000000
0.000000759308
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
46908.52690000
PA
USD
52206.93000000
0.000693391065
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
6162424.49000000
0.081846798517
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
903585.48000000
0.012001052320
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
5331132.00000000
0.070805912086
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
4774134.66000000
0.063408101510
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
1561140.18000000
0.020734424572
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
131732.56100000
PA
USD
143764.21000000
0.001909417364
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
1682.83130000
PA
USD
1894.48000000
0.000025161707
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
4908025.00000000
0.065186378177
Long
DBT
CORP
GB
N
2
2028-05-22
Variable
0.03073000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/44#Q28991
3132M9UQ5
178965.66910000
PA
USD
194859.82000000
0.002588048332
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
355075.50470000
PA
USD
382553.87000000
0.005080923842
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.75% 04/30/2026
91282CBW0
135000000.00000000
PA
USD
134314453.80000000
1.783909572610
Long
DBT
UST
US
N
2
2026-04-30
Fixed
0.00750000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 3/41 #004978
36202FQ74
46335.34160000
PA
USD
51130.50000000
0.000679094362
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 05/01/2043#Q18363
3132J9WZ7
35416.68690000
PA
USD
38694.90000000
0.000513929815
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
328217.75480000
PA
USD
355245.83000000
0.004718229638
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
20986.76990000
PA
USD
22183.63000000
0.000294633889
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
1329703.22000000
0.017660573644
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
0.03900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 01/01/2033#ZS8682
3132A9UF2
327743.11000000
PA
USD
345629.26000000
0.004590506293
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
173570.64640000
PA
USD
187713.62000000
0.002493135430
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
11183040.00000000
0.148528557742
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
510.64730000
PA
USD
546.46000000
0.000007257857
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
111753.43530000
PA
USD
124114.26000000
0.001648434775
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 3.5% 07/01/2046#BC6149
3140F1ZP0
600566.63980000
PA
USD
641975.65000000
0.008526457689
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
276783.80950000
PA
USD
294200.46000000
0.003907450032
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
3778986.45000000
0.050190950506
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
3204022.40000000
0.042554513445
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.01448370
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783262
36241LTT3
371974.21110000
PA
USD
422937.73000000
0.005617285733
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
916745.76000000
0.012175841770
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.03000000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INTL/EMC CORP 6.2% 07/15/2030
24703TAH9
2056000.00000000
PA
USD
2643708.38000000
0.035112652085
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
0.06200000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 3.25% 01/15/2028
615369AM7
2386000.00000000
PA
USD
2614834.51000000
0.034729161167
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 9/41 #Q03529
3132GJSS9
18702.55170000
PA
USD
20780.42000000
0.000275997028
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
1060.82930000
PA
USD
1197.06000000
0.000015898860
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
132956.62370000
PA
USD
139867.24000000
0.001857659405
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.02184000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BK NEW CASTLE DEL 4.2% 08/08/2023
25466AAD3
2849000.00000000
PA
USD
3067685.99000000
0.040743749079
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
340402.90440000
PA
USD
363873.65000000
0.004832820810
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
16063641.57000000
0.213350709152
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
7106395.08000000
0.094384229331
Long
DBT
CORP
GB
N
2
2026-05-12
Fixed
0.05200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/01/2044#Q25069
3132M5JN3
330512.87550000
PA
USD
365477.27000000
0.004854119434
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
METROPOLITAN LIFE GLOBAL FUNDING I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLBL FDG I 3% 01/10/2023 144A
59217GAX7
2636000.00000000
PA
USD
2740667.57000000
0.036400424341
Long
DBT
CORP
US
N
2
2023-01-10
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 8/40 #G05969
3128M76E1
200941.10260000
PA
USD
228355.52000000
0.003032924503
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
1529.00920000
PA
USD
1722.96000000
0.000022883649
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
14574.10100000
PA
USD
15333.13000000
0.000203648353
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.02417000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 4.0% 03/15/2024
91529YAK2
5930000.00000000
PA
USD
6392036.07000000
0.084896405495
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
60938.01080000
PA
USD
64886.80000000
0.000861799905
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
2905200.00000000
0.038585676699
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
9390445.32100000
PA
USD
9402213.43000000
0.124876348501
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.00873000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #447529
36208DEA9
714.85480000
PA
USD
793.21000000
0.000010535090
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
7657.08310000
PA
USD
8544.64000000
0.000113486409
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
5295773.59000000
0.070336296163
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
287.74410000
PA
USD
328.45000000
0.000004362338
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
175091.85500000
PA
USD
188271.19000000
0.002500540847
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 2.45% 02/15/2031 144A
11135FBH3
14151000.00000000
PA
USD
13906110.72000000
0.184695267928
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.02450000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/20/2047#MA4381
36179S2N6
117633.51830000
PA
USD
123964.38000000
0.001646444130
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
96531.24000000
PA
USD
104638.17000000
0.001389761323
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
1076556.06400000
PA
USD
1177380.81000000
0.015637489772
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
1857146.98000000
0.024665865672
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
3979561.91200000
PA
USD
4187071.39000000
0.055610967565
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
5273.36980000
PA
USD
5487.67000000
0.000072884985
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.01800000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2048#Q58998
3132Y27L4
221320.29800000
PA
USD
238085.16000000
0.003162149597
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
9833.56080000
PA
USD
11027.79000000
0.000146466590
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.07000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER OPERATING MLP 4.2% 09/15/2023
29278NAC7
1186000.00000000
PA
USD
1268547.76000000
0.016848331868
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
1732422.58000000
0.023009327267
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
112491.55780000
PA
USD
119921.64000000
0.001592750113
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
4370980.64000000
0.058053574911
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
5290234.54000000
0.070262728770
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2046#784232
3622A2VZ2
2706582.66010000
PA
USD
2966808.67000000
0.039403937824
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
23284.87830000
PA
USD
24822.85000000
0.000329686928
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
1079720.12280000
PA
USD
1163312.05000000
0.015450634263
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
114054.36700000
PA
USD
119439.46000000
0.001586345996
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
11308.07400000
PA
USD
12002.95000000
0.000159418266
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
15349451.71000000
0.203865131898
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
8562836.59000000
0.113728089043
Long
DBT
CORP
GB
N
2
2030-06-20
Variable
0.05088000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.596% 01/07/2022
345397ZM8
6152000.00000000
PA
USD
6278239.04000000
0.083384999944
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
8093808.49000000
0.107498649889
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
5473170.30000000
0.072692406620
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
22634.82130000
PA
USD
24910.93000000
0.000330856771
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
470417.22730000
PA
USD
509008.14000000
0.006760437672
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
1545.02260000
PA
USD
1779.77000000
0.000023638176
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
6506988.35000000
0.086423154604
Long
ABS-CBDO
CORP
US
N
2
2050-01-15
Fixed
0.02836000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 01/01/2046#BC1552
3140EVWN3
186275.00630000
PA
USD
201569.58000000
0.002677164617
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
650.58230000
PA
USD
724.88000000
0.000009627559
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 07/01/2051 #TBA
21H022671
13125000.00000000
PA
USD
13583116.31000000
0.180405388442
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/01/2048#Q54499
3132XW7M7
23208.39000000
PA
USD
25053.79000000
0.000332754179
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
9158320.91000000
0.121637067926
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
3439339.83000000
0.045679903186
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
0.03375000
N
N
N
N
N
N
DUKE REALTY LP
2549009GZDBNY1KE9O81
DUKE REALTY LP NEW 3.75% 12/01/2024
26441YAY3
1576000.00000000
PA
USD
1712100.67000000
0.022739419981
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
3112.40240000
PA
USD
3506.45000000
0.000046571232
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
236458.95340000
PA
USD
252836.67000000
0.003358073112
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
4696751.15100000
PA
USD
5079635.00000000
0.067465631921
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
3547.08760000
PA
USD
3666.35000000
0.000048694959
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2047#Q47935
3132WMY99
583263.10500000
PA
USD
638381.06000000
0.008478715817
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
6018.23140000
PA
USD
6847.70000000
0.000090948347
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 5/46#Q40310
3132WDKY9
255346.43340000
PA
USD
271441.25000000
0.003605171525
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
60079.55330000
PA
USD
63860.07000000
0.000848163298
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/01/2045#G07949
3128MAEW5
1177490.80500000
PA
USD
1283905.01000000
0.017052300574
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13381
3132HPXJ8
10736.28210000
PA
USD
11702.20000000
0.000155423828
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
CANADIAN NATURAL RESOURCES LTD
549300T15RIMIKZC5Q38
CANADIAN NATL RESOURCES LTD 3.8% 04/15/2024
136385AT8
6783000.00000000
PA
USD
7294576.03000000
0.096883571647
Long
DBT
CORP
CA
N
2
2024-04-15
Fixed
0.03800000
N
N
N
N
N
N
PRIMA CAPITAL LTD 2021
N/A
PRIMA CAPITAL LTD 2021-9A A 1ML+145 12/15/2037 144A
74167CAA5
3854925.17000000
PA
USD
3854923.63000000
0.051199517033
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Variable
0.01543380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2045#AY8424
3138YNLE5
4003646.95660000
PA
USD
4280949.15000000
0.056857813530
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
253297.88330000
PA
USD
273937.23000000
0.003638322109
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
122004.56320000
PA
USD
135564.83000000
0.001800516557
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
178715.11670000
PA
USD
194115.00000000
0.002578155938
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER OPERATING MLP 6.25% 04/15/2049
29279FAA7
1409000.00000000
PA
USD
1848955.05000000
0.024557063813
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
0.06250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 7/37 #G03508
3128M5GR5
11284.41870000
PA
USD
13379.46000000
0.000177700508
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
25840.76830000
PA
USD
30693.93000000
0.000407664208
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
861.31330000
PA
USD
950.89000000
0.000012629331
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
83015.34110000
PA
USD
90039.06000000
0.001195861923
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
1005.88850000
PA
USD
1133.54000000
0.000015055214
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
13023951.15600000
PA
USD
13722402.21000000
0.182255326728
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
15158739.97000000
0.201332176665
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
75485.86690000
PA
USD
82891.63000000
0.001100932684
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.04500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.04% 05/01/2027
097023CU7
2962000.00000000
PA
USD
3417638.45000000
0.045391674344
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
1405094.05000000
0.018661883775
Long
DBT
CORP
US
N
2
2024-05-15
Variable
0.03900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/01/2041#
312946BR6
116714.33100000
PA
USD
129676.83000000
0.001722314552
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
15475.07190000
PA
USD
16395.05000000
0.000217752340
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Variable
0.02535000
N
N
N
N
N
N
WEINGARTEN REALTY INVESTORS
549300JMKTJNB8GWHU88
WEINGARTEN REALTY INVESTORS 3.375% 10/15/2022
948741AH6
812000.00000000
PA
USD
835094.69000000
0.011091385695
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
7546.64790000
PA
USD
8294.23000000
0.000110160566
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 15YR 3% 09/32#MA3125
31418CPK4
288467.12800000
PA
USD
304299.99000000
0.004041587854
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 04/01/2051#CB0189
3140QKF78
10318078.59400000
PA
USD
10861745.38000000
0.144261254172
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 02/01/2034#G16752
3128MFWM6
1109135.32100000
PA
USD
1188580.13000000
0.015786234554
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
6922779.58000000
0.091945523452
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
127315.12900000
PA
USD
143857.21000000
0.001910652552
Long
ABS-CBDO
USGSE
US
N
2
2029-12-25
Fixed
0.06500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 07/01/2051 #TBA
21H030674
-15950000.00000000
PA
USD
-16639414.83000000
-0.22099789380
Short
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.03000000
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
860581.15000000
0.011429886419
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03465000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 3/30 #479229
36209RLJ0
3236.69320000
PA
USD
3784.15000000
0.000050259530
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
7057000.00000000
PA
USD
7949534.00000000
0.105582455195
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
0.03800000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INTL/EMC CORP 6.02% 06/15/2026
24703TAD8
1564000.00000000
PA
USD
1877622.66000000
0.024937815269
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.06020000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 12/22 #336788
36224SCZ3
251.56740000
PA
USD
261.17000000
0.000003468752
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
1359631.67000000
0.018058071061
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
4447607.45000000
0.059071300822
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
155246.73140000
PA
USD
165306.74000000
0.002195536426
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
9942627.49000000
0.132053906742
Long
DBT
CORP
US
N
2
2029-03-19
Fixed
0.05150000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2047#Q51124
3132XTHA9
23975.28500000
PA
USD
25924.74000000
0.000344321780
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 05/01/2045#Q33441
3132QPZF4
36575.97280000
PA
USD
39408.61000000
0.000523409019
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
270.73740000
PA
USD
294.43000000
0.000003910498
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
S6XOOCT0IEG5ABCC6L87
FHLG 3.0% 8/45#Q35367
3132QR6D7
92770.97360000
PA
USD
99462.81000000
0.001321024311
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
187187.22850000
PA
USD
206195.25000000
0.002738600872
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 6% 05/01/2036#745512
31403DGV5
1929961.98670000
PA
USD
2266371.73000000
0.030101021221
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
10810107.30000000
0.143575418339
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
3721313.16000000
0.049424957485
Long
ABS-CBDO
CORP
KY
N
2
2032-10-25
Variable
0.01445750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 06/01/2031#J34677
31307RFS9
19583.98080000
PA
USD
20830.01000000
0.000276655662
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
0.03000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 5.012% 04/15/2049
92343VDS0
289000.00000000
PA
USD
381735.64000000
0.005070056446
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
1018499.49000000
0.013527293143
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
9646558.11000000
0.128121634480
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
1888.68260000
PA
USD
2167.15000000
0.000028783198
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
340831.40670000
PA
USD
364225.19000000
0.004837489820
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
3815013.75000000
0.050669450351
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
7533810.86000000
0.100060990691
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
2223.41110000
PA
USD
2308.28000000
0.000030657629
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
1253311.21200000
PA
USD
1356217.46000000
0.018012724922
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
27529320.22000000
0.365633157702
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
12632.10300000
PA
USD
13807.46000000
0.000183385029
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
2154392.28000000
0.028613756023
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
5008349.32000000
0.066518844712
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
13781214.98000000
0.183036453855
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
4512898.93000000
0.059938475522
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
10462.87380000
PA
USD
11898.65000000
0.000158032996
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/1/42 #Q13634
3132HQBB7
417301.33950000
PA
USD
448706.56000000
0.005959536781
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
5832090.00000000
PA
USD
6211642.42000000
0.082500490908
Long
ABS-CBDO
CORP
US
N
2
2047-11-20
Fixed
0.04030000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 6/40 #782989
36241LKA3
189292.32520000
PA
USD
215226.93000000
0.002858555947
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
194645.80350000
PA
USD
208857.36000000
0.002773957926
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 30YR 3.0% 05/15/2045#670008
36295GKV3
17812.13930000
PA
USD
18827.96000000
0.000250065254
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
735110.85000000
0.009763441276
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
33203.63520000
PA
USD
35097.22000000
0.000466146903
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
30495.94070000
PA
USD
34786.73000000
0.000462023102
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
5951388.59000000
0.079043906114
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
599.60960000
PA
USD
688.13000000
0.000009139460
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
406992.90700000
PA
USD
452009.58000000
0.006003406140
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
15806.13690000
PA
USD
16845.19000000
0.000223730915
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03000000
N
N
N
N
N
N
ENTERGY CORP NEW
4XM3TW50JULSLG8BNC79
ENTERGY CORP NEW 2.8% 06/15/2030
29364GAL7
2856000.00000000
PA
USD
2972395.99000000
0.039478146321
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
1433326.64410000
PA
USD
1629704.15000000
0.021645063144
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
1160.99290000
PA
USD
1323.97000000
0.000017584427
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
26623.93230000
PA
USD
29583.07000000
0.000392910221
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
120912.82540000
PA
USD
126709.62000000
0.001682905284
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
6325691.30000000
0.084015241429
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
203975.55600000
PA
USD
213165.47000000
0.002831176479
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%/VAR 07/23/2024
06051GHL6
4370000.00000000
PA
USD
4659548.86000000
0.061886219838
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
267150847.03000000
3.548188150007
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
4857744.81000000
0.064518577284
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
0.04900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 1/1/43 #Q14696
3132HRGD6
315929.82050000
PA
USD
337731.47000000
0.004485611081
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
1712563.95000000
0.022745573076
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/42 #AK3548
3138E75J9
29476.80470000
PA
USD
32219.47000000
0.000427925806
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
0.04000000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CREDIT SUISSE MORTGAGE TRUST 2017-RPL3 4.5349% 04/15/2036 144A
12690CAE3
1132000.00000000
PA
USD
1140906.69000000
0.015153055446
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
178287.51560000
PA
USD
190063.42000000
0.002524344512
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 7.50% 8/29 #510166
31383QW34
3099.56590000
PA
USD
3600.03000000
0.000047814124
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
340845.79000000
0.004526974203
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Variable
0.03842502
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9324
3138YPLE0
355799.59170000
PA
USD
381777.37000000
0.005070610687
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
1837412.50000000
0.024403760391
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
340979.70540000
PA
USD
404459.18000000
0.005371861199
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 4.50% 7/25 #G13844
3128MCP58
92102.42700000
PA
USD
97027.95000000
0.001288685498
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.04500000
N
N
N
N
N
N
TANGER PROPERTIES LP
PQPGJDNFN35EXH363L31
TANGER PPTYS LTD PARTNERSHIP 3.875% 12/01/2023
875484AG2
814000.00000000
PA
USD
860662.68000000
0.011430969268
Long
DBT
CORP
US
N
2
2023-12-01
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#Q49499
3132WPRV1
263722.56200000
PA
USD
290436.63000000
0.003857460383
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
38397.64060000
PA
USD
43800.21000000
0.000581736452
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
0.05000000
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
2036628.95000000
0.027049671699
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
48731.80700000
PA
USD
51889.63000000
0.000689176816
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
55877.24600000
PA
USD
63664.06000000
0.000845559974
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
1858593.51400000
PA
USD
1936966.87000000
0.025726000765
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.02500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER OPERATING MLP 5.8% 06/15/2038
29278NAD5
2257000.00000000
PA
USD
2805850.74000000
0.037266160512
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
81762.33500000
PA
USD
89369.91000000
0.001186974546
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 09/01/2046#G61420
31335BSH0
588299.91700000
PA
USD
631160.27000000
0.008382812241
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
55926.24140000
PA
USD
59550.27000000
0.000790922299
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
74638.62910000
PA
USD
81994.11000000
0.001089012191
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 LTD 3ML+165 10/15/2030 144A
278300AA6
6500000.00000000
PA
USD
6510185.50000000
0.086465617841
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Variable
0.01833750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 01/01/2027#
31283GW60
1585.55990000
PA
USD
1760.18000000
0.000023377989
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
736831644.40300000
NS
USD
736979010.73000000
9.788253422168
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
28713.40720000
PA
USD
31530.42000000
0.000418774126
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
279517.19390000
PA
USD
302360.18000000
0.004015824092
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
411747.03570000
PA
USD
440136.95000000
0.005845718730
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 12/01/2042#Q13420
3132HPYR9
82277.69960000
PA
USD
89919.13000000
0.001194269062
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS REALTY LP 3.5% 02/01/2025
92277GAE7
6443000.00000000
PA
USD
6953000.56000000
0.092346906132
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
500489.66270000
PA
USD
538126.44000000
0.007147175009
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
50933.07460000
PA
USD
58131.22000000
0.000772075058
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
2210628.56000000
0.029360663265
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
528227.89160000
PA
USD
579623.73000000
0.007698325021
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
0.04000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM 30YR 4.5% 10/01/2040#
3129424K8
15995.54120000
PA
USD
17772.66000000
0.000236049192
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
139660.01700000
PA
USD
149856.93000000
0.001990338376
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
25327.32870000
PA
USD
29319.98000000
0.000389415967
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 4/35 #A32438
31297MV70
1902.11080000
PA
USD
2100.66000000
0.000027900105
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
0.04500000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 1.45% 10/02/2023
02005NBL3
2209000.00000000
PA
USD
2241881.38000000
0.029775750422
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
0.01450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 6/35 #G01827
3128LXA42
1274.74960000
PA
USD
1408.55000000
0.000018707784
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/47 #MA2864
31418CFE9
1093179.47230000
PA
USD
1163088.19000000
0.015447661046
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
28894043.77000000
0.383758857028
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
3186921.67000000
0.042327388552
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
34096.91540000
PA
USD
36041.45000000
0.000478687779
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
1918594.30000000
0.025481983814
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Variable
0.01223000
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
1377359.78000000
0.018293528558
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04941441
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
750822.62000000
0.009972118571
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04941441
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2045#Q32124
3132QNLE7
15554.50100000
PA
USD
16712.02000000
0.000221962205
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
5459528.70000000
0.072511224476
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
1245087.23000000
0.016536738716
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03283000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.45% 09/29/27
172967KA8
17100000.00000000
PA
USD
19536682.63000000
0.259478218275
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
0.04450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2042#Q11138
3132HMHP9
113693.47630000
PA
USD
124288.14000000
0.001650744178
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.5% 02/43 #Q15869
3132J66F6
339341.45960000
PA
USD
365018.44000000
0.004848025442
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
10300.99050000
PA
USD
11365.42000000
0.000150950854
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
1675046.11000000
0.022247276489
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
45898.45530000
PA
USD
48872.68000000
0.000649106922
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
2515695.80000000
0.033412441419
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 03/01/2044#Q25226
3132M5PK2
66927.54970000
PA
USD
73080.61000000
0.000970626734
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
603393.67310000
PA
USD
651994.02000000
0.008659517577
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
47390130.84000000
0.629416311208
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.00750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 12/01/2042#Q13899
3132HQKL5
59908.41640000
PA
USD
65472.33000000
0.000869576675
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
3455600.06000000
0.045895864903
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
9389138.25000000
0.124702689315
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
3079806.57000000
0.040904729659
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
3525119.58690000
PA
USD
3848184.11000000
0.051110005489
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
5521877.10000000
0.073339310392
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
0.07300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 12/01/2044#Q30848
3132QL5J8
57677.76920000
PA
USD
61096.98000000
0.000811465068
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
656728.20870000
PA
USD
710834.34000000
0.009441010611
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
16873492.11000000
0.224106812385
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
2791541.13040000
PA
USD
2903366.64000000
0.038561326762
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 06/01/2041#
3132GET67
65829.37040000
PA
USD
73143.07000000
0.000971456303
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 06/01/2045#Q34104
3132QQR20
90206.38170000
PA
USD
96769.61000000
0.001285254332
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 03/01/2033#G18681
3128MMXK4
411732.40700000
PA
USD
433956.28000000
0.005763629602
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 7.00% 9/29 #506813
36211AAN6
165.62690000
PA
USD
180.51000000
0.000002397459
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
9330435.11000000
0.123923018248
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
595396.54190000
PA
USD
643910.94000000
0.008552161418
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
5728055.50000000
PA
USD
5600861.74000000
0.074388352036
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
4111.10450000
PA
USD
4586.65000000
0.000060918007
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
1206938.10300000
PA
USD
1263955.67000000
0.016787341609
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
0.02500000
N
N
N
N
N
N
ARES XLI CLO LTD / ARES XLI CLO LLC
549300X38KZ67Q2FQG11
ARES XLI CLO LTD / ARES XLI CLO LLC 1ML+107 04/15/2034 144A
04016DAS4
7085000.00000000
PA
USD
7086261.13000000
0.094116818452
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Variable
0.01667900
N
N
N
N
N
N
ALLEGRO CLO LTD
N/A
ALLEGRO CLO LTD 3ML+114 07/20/2034 144A
01750WAC3
4995000.00000000
PA
USD
5005004.99000000
0.066474426690
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Variable
0.00000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/47#784304
3622A2X98
1049547.23110000
PA
USD
1140158.74000000
0.015143121481
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
20002.78830000
PA
USD
21113.41000000
0.000280419665
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
0.02557000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 11/15/2042#AB9211
36178WGU7
750085.45960000
PA
USD
811384.69000000
0.010776479184
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
241468.68470000
PA
USD
266457.82000000
0.003538983648
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
5408.79530000
PA
USD
6073.69000000
0.000080668263
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
485282.86700000
PA
USD
518894.14000000
0.006891739476
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
0.03000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERGY COMPANY
549300JD0S5IZJE9LY15
BERKSHIRE HATHAWAY ENERGY COMPANY 4.05% 04/15/2025
084659AT8
12432000.00000000
PA
USD
13803739.42000000
0.183335614243
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.04050000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 11/01/2044#AX4421
3138Y54F0
545479.74860000
PA
USD
598995.68000000
0.007955615328
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
238636.11030000
PA
USD
262712.94000000
0.003489245686
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
666.34490000
PA
USD
729.08000000
0.000009683341
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
137134.28270000
PA
USD
155879.95000000
0.002070333661
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
44333.38680000
PA
USD
46861.70000000
0.000622397909
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
61405.33490000
PA
USD
65384.41000000
0.000868408958
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
53605.06910000
PA
USD
59563.04000000
0.000791091905
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
5832.58160000
PA
USD
6165.21000000
0.000081883794
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13653
3132HQBW1
72353.28180000
PA
USD
79073.00000000
0.001050215205
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
2112333.09000000
0.028055143085
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 06/47#Q48876
3132WN2J0
295425.80800000
PA
USD
325351.29000000
0.004321182600
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
611932.63060000
PA
USD
653742.87000000
0.008682745086
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
23261.49370000
PA
USD
24790.65000000
0.000329259261
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2043#Q16935
3132J8EH9
546979.00670000
PA
USD
588345.94000000
0.007814169843
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
1118264.88000000
0.014852336198
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Variable
0.00973000
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
6333407.80000000
0.084117728822
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
1349706.14000000
0.017926244236
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
2813937.80000000
0.037373569531
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
73927.36310000
PA
USD
82144.06000000
0.001091003766
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE FRANCE 1.038/VAR 06/18/2025 144A
83368RBE1
15820000.00000000
PA
USD
15749335.07000000
0.209176218930
Long
DBT
CORP
FR
N
2
2025-06-18
Variable
0.01038000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.15% 4/35 #1N0006
3128QGAF9
70555.12500000
PA
USD
73721.30000000
0.000979136117
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
0.01905000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/28 #415853
31379C5N7
2732.95790000
PA
USD
3091.95000000
0.000041066013
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 11/01/2032#G18665
3128MMW33
85637.28800000
PA
USD
89521.66000000
0.001188990028
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
44885.85120000
PA
USD
51072.47000000
0.000678323631
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
15689.88660000
PA
USD
17170.56000000
0.000228052346
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
1100333.15000000
0.014614174303
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
4534958.83000000
0.060231466080
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
1517000.00000000
0.020148172777
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21605
3132JNYA9
102685.83930000
PA
USD
112158.47000000
0.001489642868
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
2317.84100000
PA
USD
2621.53000000
0.000034818087
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
2048844.36000000
0.027211911772
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Variable
0.01873000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/38 #889219
31410G4C4
84078.35670000
PA
USD
99905.65000000
0.001326905931
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
2853000.00000000
PA
USD
3192395.05000000
0.042400083744
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
450876.65690000
PA
USD
487615.21000000
0.006476305537
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 06/01/2044#Q26541
3132M65A4
37458.24380000
PA
USD
40843.48000000
0.000542466375
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
3466583.47000000
PA
USD
3466581.74000000
0.046041719079
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01673000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/28 #428795
31379TKG8
7419.48440000
PA
USD
8468.51000000
0.000112475281
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
263939.10540000
PA
USD
296991.17000000
0.003944515099
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/41 #Q02511
3132GFYG6
18117.62130000
PA
USD
20130.50000000
0.000267365057
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
502548.04000000
0.006674637270
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
0.03700000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/39 #G05457
3128M7ME3
307770.60590000
PA
USD
342323.37000000
0.004546598816
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
5013034.42000000
0.066581070291
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
77911.65190000
PA
USD
85160.94000000
0.001131072731
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
3498.39580000
PA
USD
4062.89000000
0.000053961641
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
45980599.32000000
0.610695490773
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
5210651.61000000
0.069205740883
Long
DBT
CORP
US
N
2
2023-05-12
Fixed
0.03125000
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
5054731.68000000
0.067134876223
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
68328.25400000
PA
USD
74839.63000000
0.000993989318
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 08/01/2051 #TBA
21H032688
1500000.00000000
PA
USD
1576335.60000000
0.020936243918
Long
ABS-MBS
USGA
US
N
2
2051-08-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2047#Q53017
3132XVK77
963570.93900000
PA
USD
1047175.08000000
0.013908150586
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
3610.77830000
PA
USD
4029.47000000
0.000053517770
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
223091.02270000
PA
USD
240711.31000000
0.003197029046
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
9966928.56000000
0.132376663603
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.01573000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 06/47#MA4511
36179TAL9
1759099.14340000
PA
USD
1879085.36000000
0.024957242252
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
6855.79340000
PA
USD
7964.75000000
0.000105784547
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
0.07000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.55% 03/21/2031
92343VGJ7
5536000.00000000
PA
USD
5658484.33000000
0.075153671679
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
0.02550000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 08/20/2045#MA3035
36179RLQ0
2800480.62900000
PA
USD
3041381.89000000
0.040394388794
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
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 8/37 #G06089
3128M8C28
106047.26080000
PA
USD
125256.89000000
0.001663610719
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
8711.61870000
PA
USD
9208.44000000
0.000122302729
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
5482207.10000000
0.072812429697
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01533750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 02/01/2028#
31292GUK0
333.76790000
PA
USD
378.63000000
0.000005028808
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2046#Q45028
3132WJSS1
79515.23200000
PA
USD
87054.21000000
0.001156218367
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
288974.57120000
PA
USD
312692.13000000
0.004153048820
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
5075.31570000
PA
USD
5692.92000000
0.000075611032
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
172454.82600000
PA
USD
190382.90000000
0.002528587714
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 15YR 3% 09/01/2028#MA1580
31418AXJ2
130810.76810000
PA
USD
138031.35000000
0.001833275865
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2043#Q23023
3132M3AY3
777452.25580000
PA
USD
851843.71000000
0.011313839319
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/47#Q48877
3132WN2K7
1388276.13140000
PA
USD
1506798.40000000
0.020012679303
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
2110.90350000
PA
USD
2396.31000000
0.000031826808
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
2229762.93540000
PA
USD
2384201.67000000
0.031665990232
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
108676.29790000
PA
USD
115718.53000000
0.001536926127
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2043#Q20763
3132JMZ44
74139.97260000
PA
USD
80979.29000000
0.001075533768
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
97832.95200000
PA
USD
101660.29000000
0.001350210341
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
267840.00000000
0.003557341197
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
0.04400000
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
7890407.08000000
PA
USD
7895359.10000000
0.104862926358
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01193000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 03/01/2033#G18683
3128MMXM0
224089.82600000
PA
USD
234184.15000000
0.003110337980
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
80954.77600000
PA
USD
87702.96000000
0.001164834799
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
17473.94890000
PA
USD
18470.48000000
0.000245317351
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
4950261.91000000
0.065747351519
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
664.70440000
PA
USD
745.48000000
0.000009901160
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 11/1/42 #Q13479
3132HP2L7
22174.83810000
PA
USD
23705.08000000
0.000314841165
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 04/01/2043#Q16749
3132J75K4
28596.96190000
PA
USD
31243.93000000
0.000414969083
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
6093758.46000000
0.080934804426
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
7168837.50000000
0.095213563983
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
1666.88610000
PA
USD
1832.52000000
0.000024338780
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
9346.88670000
PA
USD
9879.93000000
0.000131221184
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
6579225.00000000
0.087382572208
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 03/01/2033#ZS8690
3132A9UP0
411770.96300000
PA
USD
433856.79000000
0.005762308217
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
1989138.08000000
0.026418917411
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
1494.30440000
PA
USD
1644.99000000
0.000021848083
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
72997.34250000
PA
USD
79378.77000000
0.001054276316
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 10/49#CA4421
3140QB4F2
1354230.66800000
PA
USD
1425162.83000000
0.018928429093
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
320081.94600000
PA
USD
337249.93000000
0.004479215463
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
6112421.06000000
0.081182673437
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
5831000.00000000
0.077444954162
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Variable
0.01883750
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #508736
36211CEH1
5514.66530000
PA
USD
6203.32000000
0.000082389955
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
32743467.49300000
PA
USD
34252420.72000000
0.454926625383
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
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 4/32 #C01344
31292HP57
229252.56800000
PA
USD
264432.41000000
0.003512082982
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 07/01/2051 #TBA
01F020679
-23750000.00000000
PA
USD
-23997128.25000000
-0.31872003041
Short
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BM4614
3140J9DU2
506550.46300000
PA
USD
538310.52000000
0.007149619884
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 6/41 #768770
36176K2B2
21315.87420000
PA
USD
23441.35000000
0.000311338411
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
11502.14710000
PA
USD
13388.84000000
0.000177825090
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
0.07000000
N
N
N
N
N
N
EXTENDED STAY AMER TR 2021-ESH
N/A
EXTENDED STAY AMER TR 2021-ESH A 1ML+108 07/15/2038 144A
30227FAA8
3953000.00000000
PA
USD
3964110.70000000
0.052649694984
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.01080000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 10/01/2039#FM1486
3140X4UL8
698801.44000000
PA
USD
726139.39000000
0.009644286018
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
18955.91530000
PA
USD
22487.72000000
0.000298672688
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
0.06000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 06/20/2050#MA6710
36179VN30
3223719.26800000
PA
USD
3371274.06000000
0.044775881503
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3% 2/43 #Q15438
3132J6PY4
948084.34930000
PA
USD
1016472.42000000
0.013500370429
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
5134290.00000000
0.068191537250
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
159.71930000
PA
USD
186.83000000
0.000002481399
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#727060
31402EWV6
100842.84520000
PA
USD
111013.07000000
0.001474430135
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 04/01/2046#Q39717
3132QWYP8
104547.46910000
PA
USD
111137.23000000
0.001476079177
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
10472.73360000
PA
USD
11069.99000000
0.000147027073
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
3068.23660000
PA
USD
3243.22000000
0.000043075119
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 02/20/2050#MA6474
36179VFP0
2309967.77700000
PA
USD
2418586.16000000
0.032122670948
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
70377.45370000
PA
USD
73536.12000000
0.000976676632
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.24% 9/33 #555935
31385XSY4
68128.06650000
PA
USD
70266.26000000
0.000933247690
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
0.01535000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 10/01/2041#AI6819
3138ALSH1
19890.26230000
PA
USD
20503.16000000
0.000272314574
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
412.51640000
PA
USD
458.35000000
0.000006087617
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
1198.38220000
PA
USD
1375.25000000
0.000018265507
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 06/01/2031#J34584
31307RCV5
27058.37240000
PA
USD
28779.96000000
0.000382243643
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
105571.31090000
PA
USD
112214.40000000
0.001490385708
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
1719706.05000000
0.022840431523
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
0.04950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/2043#Q15174
3132J6FQ2
19876.57810000
PA
USD
21722.59000000
0.000288510544
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
1574.76530000
PA
USD
1777.00000000
0.000023601386
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 06/20/2050#MA6711
36179VN48
25907126.06100000
PA
USD
27213552.48000000
0.361439259888
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
0.03500000
N
N
N
N
N
N
QATAR ST
52990074F6OJOAXK4P65
QATAR ST 3.4% 04/16/2025 144A
74727PBC4
3655000.00000000
PA
USD
3978924.38000000
0.052846444216
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
3526736.19000000
PA
USD
3495108.42000000
0.046420598761
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
9751.16190000
PA
USD
10484.45000000
0.000139250171
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
101999.13200000
PA
USD
111489.64000000
0.001480759742
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2043#Q20785
3132JM2S7
63202.15650000
PA
USD
69032.47000000
0.000916860997
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 01/01/2041#
3129444V0
71219.78070000
PA
USD
79132.36000000
0.001051003600
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
167481.30720000
PA
USD
179395.49000000
0.002382657434
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
COLUMBIA CENT CLO 31 LTD
N/A
COLUMBIA CENT CLO 31A A1 LTD 3ML+120 04/20/2034 144A
19737LAC7
6800000.00000000
PA
USD
6784210.40000000
0.090105104348
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.01347410
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
8319703.97000000
0.110498901149
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
677000.00000000
PA
USD
715732.29000000
0.009506063178
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
446.93790000
PA
USD
480.78000000
0.000006385523
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 05/01/2045#Q33468
3132QP2A1
83768.94520000
PA
USD
89075.19000000
0.001183060196
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
3486987.00000000
PA
USD
3760490.92000000
0.049945300450
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
1091859.49110000
PA
USD
1176355.66000000
0.015623874149
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 10/41 #Q03643
3132GJWC9
526147.08370000
PA
USD
584602.45000000
0.007764450341
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 07/01/2046#Q41359
3132WEQM7
12219.82300000
PA
USD
13106.27000000
0.000174072111
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21526
3132JNVT1
50120.28120000
PA
USD
54743.81000000
0.000727084866
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 12/01/2045#G61796
31335B7H3
159687.32500000
PA
USD
177713.28000000
0.002360315010
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
3235155.01000000
0.042968004022
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.04300000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 7/40#V81831
3132L7A82
75517.70440000
PA
USD
80733.37000000
0.001072267559
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
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 06/01/2032#C91456
3128P7TM5
9257774.23850000
PA
USD
9876207.44000000
0.131171742838
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
2767820.60000000
0.036761059766
Long
DBT
CORP
AU
N
2
2034-09-12
Variable
0.03610000
N
N
N
N
N
N
MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC
N/A
MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC 3ML+120 01/22/2031 144A
55817AAQ7
1870000.00000000
PA
USD
1870039.27000000
0.024837095789
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Variable
0.01387900
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2044#AX8928
3138YA4N2
111393.98380000
PA
USD
122322.62000000
0.001624638946
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
8965.12720000
PA
USD
9476.40000000
0.000125861664
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
5980608.15000000
0.079431988345
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
34393.66270000
PA
USD
37260.63000000
0.000494880429
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
0.04000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 3% 08/15/2026
126650DF4
625000.00000000
PA
USD
674116.79000000
0.008953343148
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
675672.56000000
0.008974006249
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
82326600.00000000
PA
USD
97801428.09000000
1.298958517484
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
8983.73870000
PA
USD
10203.52000000
0.000135518974
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
90712.50480000
PA
USD
103140.86000000
0.001369874665
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
2208052.11200000
PA
USD
2359420.27000000
0.031336853826
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 11/47#V84700
3132LAGH9
23936.82800000
PA
USD
25673.26000000
0.000340981725
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
6227514.13000000
0.082711292461
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
5469093.86000000
0.072638265014
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01503750
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
6535550.71000000
0.086802508173
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
626.44630000
PA
USD
707.59000000
0.000009397920
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 08/01/2051 #TBA
21H020683
27000000.00000000
PA
USD
27457363.80000000
0.364677461998
Long
ABS-MBS
USGA
US
N
2
2051-08-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 07/01/2051 #TBA
01F020679
48900000.00000000
PA
USD
49408824.06000000
0.656227767886
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9337
36184HLS1
42529.61190000
PA
USD
44955.05000000
0.000597074564
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 5.59% 9/36 #893081
31410PFW8
51615.08500000
PA
USD
54068.20000000
0.000718111691
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Variable
0.02519000
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
6090469.92000000
0.080891127385
Long
ABS-CBDO
CORP
KY
N
2
2032-11-16
Variable
0.01475880
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 11/01/2045#Q37070
3132QT2C9
7916.75280000
PA
USD
8491.05000000
0.000112774648
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
421033.47930000
PA
USD
489308.39000000
0.006498793660
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 2/1/43#Q15558
3132J6TQ7
29591.39250000
PA
USD
31855.37000000
0.000423089979
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
524133.72000000
0.006961329432
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
1547095.72100000
PA
USD
1639249.56000000
0.021771841371
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
256841.42210000
PA
USD
274390.09000000
0.003644336810
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
138940.06540000
PA
USD
149084.41000000
0.001980078082
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
93655.71630000
PA
USD
100142.54000000
0.001330052207
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
1296162.30000000
0.017215096880
Long
DBT
MUN
US
N
2
2039-11-01
Fixed
0.07350000
N
N
N
N
N
N
SUN CMNTYS OPER LTD PRTNRSHP
N/A
SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031
866677AE7
3127000.00000000
PA
USD
3126683.08000000
0.041527324268
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2047#AS9968
3138WLCE1
720914.91700000
PA
USD
780107.44000000
0.010361067558
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
546950.32700000
PA
USD
584385.41000000
0.007761567705
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
9167456.10000000
0.121758397779
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.03300000
N
N
N
N
N
N
CONSOLIDATED EDISON CO OF NEW YORK INC
VZFZPMWDHTQCFKYOBP05
CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030
209111FX6
790000.00000000
PA
USD
868194.43000000
0.011531002887
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
0.03350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2034#G16829
3128MFY28
952974.73200000
PA
USD
1010666.87000000
0.013423263491
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 07/01/2032#J37270
31307UCF3
54978.42530000
PA
USD
58598.84000000
0.000778285796
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2045#Q33791
3132QQF98
433214.58660000
PA
USD
464217.81000000
0.006165550851
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3% 2/1/43 #Q15788
3132J62W3
140978.02290000
PA
USD
150706.62000000
0.002001623611
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
9060772.92000000
0.120341475470
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
0.02950000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER OPERATING MLP 4.5% 04/15/2024
29278NAH6
1262000.00000000
PA
USD
1373977.45000000
0.018248605836
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
71.30920000
PA
USD
80.69000000
0.000001071691
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
11912859.03000000
0.158221715232
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
10933.85620000
PA
USD
11557.41000000
0.000153500786
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A97151
3129455L8
38888.20120000
PA
USD
43208.71000000
0.000573880391
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
949.97790000
PA
USD
1033.15000000
0.000013721875
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
175120.32180000
PA
USD
192301.03000000
0.002554063531
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
209240.46340000
PA
USD
230202.65000000
0.003057457327
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
8031686.93000000
0.106673576769
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 10/01/2049#QA3907
31339UKU3
8565.28300000
PA
USD
9011.91000000
0.000119692498
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 10/01/2040#V81966
3132L7FF1
144033.75310000
PA
USD
153711.45000000
0.002041532532
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
46.90050000
PA
USD
52.87000000
0.000000702197
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
43056.23250000
PA
USD
47310.78000000
0.000628362405
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 04/01/2046#Q40165
3132WDFF6
121177.96200000
PA
USD
128815.97000000
0.001710880962
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
136525.70560000
PA
USD
146540.89000000
0.001946296091
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
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 7/40 #A92914
312941GX9
51687.23550000
PA
USD
58738.93000000
0.000780146414
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
6128.40690000
PA
USD
6535.36000000
0.000086799975
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
5649922.73000000
0.075039960014
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
8656425.00000000
0.114971091980
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
0.04400000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033
681936BN9
5250000.00000000
PA
USD
5238825.74000000
0.069579938140
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/2044#Q24255
3132M4MC6
6138.21640000
PA
USD
6704.46000000
0.000089045892
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
53690.97220000
PA
USD
60577.39000000
0.000804564087
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
369.07120000
PA
USD
381.48000000
0.000005066661
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
4112.47600000
PA
USD
4450.82000000
0.000059113968
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
9788942.99900000
PA
USD
10445535.37000000
0.138733323260
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
4115826.76000000
0.054664725564
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
265788.17410000
PA
USD
287943.61000000
0.003824349112
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
S6XOOCT0IEG5ABCC6L87
FHLG 7.50% 8/26 #G00529
31283GSS7
232.01720000
PA
USD
257.95000000
0.000003425986
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
3396980.79980000
PA
USD
3880167.69000000
0.051534798301
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
920705.52650000
PA
USD
988958.35000000
0.013134939818
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
331988.41000000
0.004409334109
Long
ABS-CBDO
CORP
US
N
2
2040-01-16
Fixed
0.04335000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21900
3132JPDD1
36578.46280000
PA
USD
39952.78000000
0.000530636463
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
62664.16470000
PA
USD
69595.32000000
0.000924336540
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
2419822.73570000
PA
USD
2594231.22000000
0.034455516707
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
15950755.34600000
PA
USD
16689339.12000000
0.221660967784
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
61558.02210000
PA
USD
64993.96000000
0.000863223161
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.02053000
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
15847895.92000000
0.210485263779
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
358064.66000000
0.004755668183
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
139664.60800000
PA
USD
147286.62000000
0.001956200571
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
1617.83620000
PA
USD
1826.40000000
0.000024257496
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
4031075.00000000
0.053539087395
Long
DBT
CORP
MX
N
2
2027-01-23
Fixed
0.06490000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15992
3132J7C67
98462.69620000
PA
USD
107576.52000000
0.001428787285
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
124846.63660000
PA
USD
141951.65000000
0.001885343685
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
6296.14830000
PA
USD
6915.78000000
0.000091852557
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 08/01/2051 #TBA
01F022683
3700000.00000000
PA
USD
3819671.32000000
0.050731310288
Long
ABS-MBS
USGA
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7458
31417EJC6
45033.99400000
PA
USD
47952.20000000
0.000636881483
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 6/46#V82414
3132L7VF3
1741588.84940000
PA
USD
1851363.46000000
0.024589051328
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
0.03000000
N
N
N
N
N
N
ARES LIX CLO LTD
N/A
ARES LIX CLO LTD 2021-59A A 3ML+103 04/25/2034 144A
04018EAA9
3389000.00000000
PA
USD
3374742.48000000
0.044821947637
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Variable
0.01214920
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 9/40 #004800
36202FKM7
839417.41160000
PA
USD
921057.55000000
0.012233109199
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2045#Q33547
3132QP5H3
2280960.90630000
PA
USD
2444199.01000000
0.032462850333
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
417703503.40000000
NS
USD
417745273.75000000
5.548321656172
Long
STIV
RF
US
N
1
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #550867
36213C6C9
16896.61590000
PA
USD
19642.67000000
0.000260885899
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2048#Q56870
3132Y0T42
104309.36700000
PA
USD
112658.51000000
0.001496284195
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
2229468.21000000
0.029610883781
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
1870011.49600000
PA
USD
1964164.89000000
0.026087233728
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
4693.65150000
PA
USD
5295.68000000
0.000070335053
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.125% 02/15/2031
91282CBL4
358260000.00000000
PA
USD
347792090.63000000
4.619232124318
Long
DBT
UST
US
N
2
2031-02-15
Fixed
0.01125000
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/44#AX7267
3138Y9CD8
2931.27070000
PA
USD
3187.52000000
0.000042335335
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
98138.90600000
PA
USD
107399.10000000
0.001426430865
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.04500000
N
N
N
N
N
N
RETAIL OPPORTUNITY INVESTMENTS PARTNERSHIP LP
549300KH0PNTJK9NTE57
RETAIL OPPTY INVTS PRTNRSHP LP 4.0% 12/15/2024
76132FAB3
978000.00000000
PA
USD
1055886.01000000
0.014023845591
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
40731.47290000
PA
USD
47573.75000000
0.000631855065
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
501401.25000000
0.006659406074
Long
ABS-MBS
CORP
TC
N
2
2037-08-15
Variable
0.01673000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 12/01/2049#QA5521
3133A0D27
13633.58800000
PA
USD
14344.50000000
0.000190517774
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/28 #490998
36210FNP7
1583.74200000
PA
USD
1786.88000000
0.000023732608
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 06/01/2031#J34653
31307RE27
184456.75700000
PA
USD
196192.80000000
0.002605752427
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
85439.19520000
PA
USD
93924.80000000
0.001247470730
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
6965598.08000000
0.092514221234
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
11196.63790000
PA
USD
11835.18000000
0.000157190014
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
3445267.50000000
PA
USD
3487575.38000000
0.046320548009
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
9815447.25000000
0.130364750876
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.04625000
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
4193646.15000000
0.055698290835
Long
DBT
CORP
KY
N
2
2024-05-15
Fixed
0.05250000
N
N
N
N
N
N
ARES CAPITAL CORP
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP 3.875% 01/15/2026
04010LAZ6
12461000.00000000
PA
USD
13348739.09000000
0.177292486186
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
63967.83550000
PA
USD
67703.17000000
0.000899205778
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.02160000
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST
N/A
CASCADE FUNDING MORTGAGE TRUST 0.8983% 06/25/2036 144A
12527LAA0
5463000.00000000
PA
USD
5462535.65000000
0.072551161554
Long
ABS-CBDO
CORP
US
N
2
2036-06-25
Fixed
0.00898300
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL5244
36184BZH3
5419.66410000
PA
USD
5728.74000000
0.000076086778
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
5140246.72000000
0.068270651966
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Variable
0.01493750
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
6706181.95000000
0.089068762428
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
0.05500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/39 #710776
36297FT93
70896.06580000
PA
USD
80749.60000000
0.001072483119
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
766087.30130000
PA
USD
830904.03000000
0.011035727065
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/28 #471698
36209G7K7
36901.38000000
PA
USD
41380.64000000
0.000549600714
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
432097.04930000
PA
USD
475164.38000000
0.006310938711
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
5390.52670000
PA
USD
5846.61000000
0.000077652279
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
3780069.76000000
0.050205338585
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
0.02400000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/01/2045#Q38812
3132QVYJ4
185168.07830000
PA
USD
200687.24000000
0.002665445738
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
292.34940000
PA
USD
326.42000000
0.000004335376
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/48#CA1545
3140Q8WF8
307851.28400000
PA
USD
331997.78000000
0.004409458558
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
83861.03760000
PA
USD
92579.07000000
0.001229597295
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
6688000.00000000
PA
USD
7308171.35000000
0.097064139120
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
6020.48460000
PA
USD
6442.94000000
0.000085572490
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
423767.95750000
PA
USD
463197.45000000
0.006151998848
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
15746.46950000
PA
USD
17971.85000000
0.000238694752
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
190809.69160000
PA
USD
203412.69000000
0.002701644049
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
448562.27720000
PA
USD
495445.33000000
0.006580301984
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
21155.12010000
PA
USD
22613.76000000
0.000300346699
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
2239.31230000
PA
USD
2521.51000000
0.000033489663
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
1553659.67000000
PA
USD
1549758.90000000
0.020583263072
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01573000
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
1723000.64000000
0.022884188918
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
342.36780000
PA
USD
399.46000000
0.000005305464
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
1084.50560000
PA
USD
1219.44000000
0.000016196102
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 06/01/2050#BP5567
3140KDFH8
735967.15000000
PA
USD
774005.10000000
0.010280018777
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 03/01/2033#G18680
3128MMXJ7
591870.01400000
PA
USD
618716.29000000
0.008217536394
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
7457.32160000
PA
USD
7845.70000000
0.000104203374
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.02173000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2032#C91403
3128P7RY1
2033278.62190000
PA
USD
2166563.09000000
0.028775403737
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
3530933.93300000
PA
USD
3833210.13000000
0.050911127218
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
5436342.09900000
PA
USD
5833262.48000000
0.077475003495
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
6845423.66000000
0.090918113800
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
24073.16480000
PA
USD
25446.05000000
0.000337964015
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15400
3132J6NS9
89892.28860000
PA
USD
98240.92000000
0.001304795669
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 01/01/2043#Q15372
3132J6MW1
14704.70730000
PA
USD
16070.39000000
0.000213440339
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 06/01/2042#AO2244
3138LSP61
63128.38990000
PA
USD
66194.35000000
0.000879166249
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Variable
0.01968000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2045#Q33114
3132QPN83
14568.04170000
PA
USD
15610.61000000
0.000207333729
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 04/01/2043#Q17518
3132J8YQ7
61016.46540000
PA
USD
66664.22000000
0.000885406870
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
5379318.00000000
0.071445898805
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
1545.63380000
PA
USD
1733.42000000
0.000023022574
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
24970.58580000
PA
USD
27083.28000000
0.000359709034
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
5281184.71000000
0.070142532634
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
96722.91540000
PA
USD
108802.35000000
0.001445068257
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
6983812.68000000
0.092756140092
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
34856.32800000
PA
USD
38120.79000000
0.000506304722
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
0.04500000
N
N
N
N
N
N
CITIZENS FINANCIAL GRP INC
2138004JDDA4ZQUPFW65
CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032
174610AW5
4857000.00000000
PA
USD
4857095.93000000
0.064509959125
Long
DBT
CORP
US
N
2
2032-09-30
Fixed
0.02638000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 12/30 #443191
36207VKC9
1318.73350000
PA
USD
1381.82000000
0.000018352767
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
77312.03860000
PA
USD
82321.87000000
0.001093365365
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 9/40#V81958
3132L7E70
124028.88880000
PA
USD
132362.45000000
0.001757983857
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
642.80360000
PA
USD
676.66000000
0.000008987121
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
2180000.00000000
PA
USD
2273882.79000000
0.030200780044
Long
DBT
MUN
US
N
2
2022-03-01
Fixed
0.06650000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 03/01/2050#FM2870
3140X6FL0
10902190.29100000
PA
USD
11555845.28000000
0.153480004804
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
38976.49540000
PA
USD
41266.79000000
0.000548088605
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Variable
0.02195000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 08/01/2051 #TBA
01F020687
23750000.00000000
PA
USD
23949813.50000000
0.318091615281
Long
ABS-MBS
USGA
US
N
2
2051-08-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 5/33 #G01785
31283H6W0
99062.43350000
PA
USD
113412.15000000
0.001506293733
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 12/01/2045#BC0532
3140EUSW0
145195.52400000
PA
USD
157117.17000000
0.002086765911
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
1006102.60000000
PA
USD
1073585.62000000
0.014258924563
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
34908.60320000
PA
USD
38312.13000000
0.000508846021
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
1759762.50000000
0.023372444889
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
4373036.27000000
0.058080876947
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
27065.37580000
PA
USD
29766.21000000
0.000395342611
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
8997699.47000000
0.119503759736
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
1121071.34000000
0.014889610450
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
5754600.00000000
0.076430240648
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
3401141.77900000
PA
USD
3672455.62000000
0.048776051647
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
1818866.96400000
PA
USD
1939003.31000000
0.025753047927
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
1014730.15000000
0.013477230312
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
13049561.66000000
0.173318934076
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
139958.82020000
PA
USD
154477.17000000
0.002051702512
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
11157518.11000000
0.148189586450
Long
DBT
CORP
IT
N
2
2026-01-15
Fixed
0.05710000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 3.9% 03/01/2038
20030NCJ8
1072000.00000000
PA
USD
1233535.37000000
0.016383311642
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
1500462.32000000
0.019928526083
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
14961358.96000000
0.198710642919
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
0.03650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/45#Q34074
3132QQQ47
11406.32700000
PA
USD
12244.46000000
0.000162625903
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
8909576.40000000
0.118333345207
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Variable
0.01534000
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
1564134.56000000
0.020774194701
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
43205.70420000
PA
USD
47463.54000000
0.000630391301
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
6180882.00000000
0.082091943607
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
0.03600000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 06/45#G60179
31335AFU7
66888.25880000
PA
USD
72682.37000000
0.000965337474
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 08/01/2044#Q27808
3132M8KV7
63077.50700000
PA
USD
68778.05000000
0.000913481894
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
9691739.47000000
0.128721714801
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
3342398.27990000
PA
USD
3636679.74000000
0.048300891059
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
158669.10380000
PA
USD
169149.21000000
0.002246570539
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
345825.54750000
PA
USD
374004.28000000
0.004967371689
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
106280.71190000
PA
USD
113167.71000000
0.001503047181
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 4.50% 8/33 #713686
31401N2T5
53815.52320000
PA
USD
59108.53000000
0.000785055290
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
0.04500000
N
N
N
N
N
N
STORE CAPITAL CORP
5493004EA6C9IHDZ7N66
STORE CAP CORP 4.625% 03/15/2029
862121AB6
1793000.00000000
PA
USD
2039342.96000000
0.027085718068
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
0.04625000
N
N
N
N
N
N
PUGET ENERGY INC
SYBSJ96YIDMIUY7WDR33
PUGET ENERGY INC NEW 4.1% 06/15/2030
745310AK8
3363000.00000000
PA
USD
3763741.54000000
0.049988473854
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
103594.07700000
PA
USD
108523.29000000
0.001441361896
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
48417.69550000
PA
USD
52453.67000000
0.000696668164
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
978914.59000000
0.013001542711
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
0.04700000
N
N
N
N
N
N
NAKILAT INC
2549006RMTDJWLLWF072
NAKILAT INC 6.067% 12/33 144A
62983PAA3
1761264.38000000
PA
USD
2151824.76000000
0.028579655274
Long
DBT
CORP
MH
N
2
2033-12-31
Fixed
0.06067000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.2% 08/15/2026
674599CR4
607000.00000000
PA
USD
611552.50000000
0.008122389869
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
6401433.60000000
0.085021219640
Long
ABS-CBDO
CORP
US
N
2
2031-07-19
Variable
0.01789750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2045#AZ3198
3138YURU7
566217.47820000
PA
USD
607204.49000000
0.008064641381
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
2052519.98110000
PA
USD
2185523.48000000
0.029027227873
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2045#Q32008
3132QNGS2
217157.25010000
PA
USD
233317.46000000
0.003098826958
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
1375829.82600000
PA
USD
1505563.70000000
0.019996280523
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 8/41 #AI7910
3138AMYG4
77325.39650000
PA
USD
85878.20000000
0.001140599084
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
135407.99080000
PA
USD
144182.44000000
0.001914972124
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/41 #Q02592
3132GF2Z9
189714.90280000
PA
USD
210784.98000000
0.002799559786
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
3558840.64000000
0.047267064008
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
0.03375000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 8.5% 01/01/2028#
31283G7J0
2209.73200000
PA
USD
2487.26000000
0.000033034768
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
4855.01700000
PA
USD
5254.45000000
0.000069787453
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
3390975.00000000
0.045037541320
Long
DBT
NUSS
SA
N
2
2030-10-22
Fixed
0.03250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 3/41 #A97528
312946LH7
63448.62860000
PA
USD
70497.82000000
0.000936323175
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
3864300.04000000
0.051324050671
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Variable
0.01503750
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #534007
36212HGQ7
17855.03390000
PA
USD
20865.21000000
0.000277123174
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
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
865209.64000000
0.011491360128
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
2421083.63000000
0.032155841322
Long
ABS-CBDO
CORP
US
N
2
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
112021.02140000
PA
USD
119420.02000000
0.001586087802
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
63271564.85000000
0.840347014164
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
94848.11860000
PA
USD
104161.47000000
0.001383429989
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
14693516.41000000
0.195153267854
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
47233.44980000
PA
USD
51214.99000000
0.000680216524
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 30YR 4% 10/01/2045#AL7619
3138EQPD8
790034.87200000
PA
USD
855890.20000000
0.011367583143
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.0% 8/45#Q35578
3132QSFU7
55358.55770000
PA
USD
59628.52000000
0.000791961584
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
14250005.73000000
0.189262740623
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
0.04900000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 11/42#G60488
31335ARH3
4555536.28730000
PA
USD
5009859.47000000
0.066538901906
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
886.16190000
PA
USD
943.23000000
0.000012527594
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
5869858.58000000
0.077961057909
Long
ABS-MBS
CORP
US
N
2
2030-11-15
Variable
0.02823000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2047#MA4452
36179S5M5
361504.01160000
PA
USD
387291.50000000
0.005143847104
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
1582131.27000000
0.021013219633
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
5744251.09000000
0.076292790664
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
633.28150000
PA
USD
736.45000000
0.000009781227
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
6397940.46040000
PA
USD
7025318.02000000
0.093307397022
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2047#Q51234
3132XTLQ9
25634.07000000
PA
USD
27718.41000000
0.000368144570
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
S6XOOCT0IEG5ABCC6L87
FHLG 3.50% 10/42 #Q11886
3132HNCX5
370548.91980000
PA
USD
398587.28000000
0.005293873028
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 08/01/2032#G18654
3128MMWQ2
60256.60200000
PA
USD
63027.41000000
0.000837104249
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
552.10510000
PA
USD
569.40000000
0.000007562537
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
2330311.69000000
0.030950245586
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
9049550.07000000
0.120192418172
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.01513750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2040#V81792
3132L67D7
389828.43140000
PA
USD
417726.70000000
0.005548074967
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
10192.67880000
PA
USD
11475.74000000
0.000152416079
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
356335.37000000
0.004732700462
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
69886.10250000
PA
USD
74414.73000000
0.000988345970
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
5518.83490000
PA
USD
5833.57000000
0.000077479087
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
688687.72680000
PA
USD
746095.01000000
0.009909328391
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
1790.79770000
PA
USD
2066.77000000
0.000027449992
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
195572.86080000
PA
USD
208490.47000000
0.002769085044
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
1541982.39400000
PA
USD
1624688.47000000
0.021578446936
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
3688.50970000
PA
USD
3820.95000000
0.000050748293
Long
ABS-MBS
USGA
US
N
2
2022-11-15
Fixed
0.07500000
N
N
N
N
N
N
SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC
N/A
SYMPHONY CLO XXVI LTD 2021-26A AR 3ML+108 04/20/2033 144A
87190GAC5
5410000.00000000
PA
USD
5403307.83000000
0.071764521903
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Variable
0.01189240
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
GENERAL MILLS INC 2.875% 04/15/2030
370334CL6
718000.00000000
PA
USD
760587.85000000
0.010101816357
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
5698.43800000
PA
USD
6167.26000000
0.000081911021
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 08/01/2032#J37452
31307UH50
62994.78200000
PA
USD
67143.08000000
0.000891766892
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
31868.59470000
PA
USD
35410.65000000
0.000470309752
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
13252433.89700000
PA
USD
13825758.04000000
0.183628056537
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
S6XOOCT0IEG5ABCC6L87
FHLG 3.50% 4/42 #G06993
3128M9C67
139978.84580000
PA
USD
150876.84000000
0.002003884403
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AS4992
3138WERN1
153273.05810000
PA
USD
164176.50000000
0.002180525041
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2046#V82292
3132L7RM3
398600.13200000
PA
USD
432380.98000000
0.005742707113
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 04/01/2048#Q55500
3132XYDE4
528619.69600000
PA
USD
574278.85000000
0.007627336514
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/01/2047#BE6903
3140FSU50
231693.54260000
PA
USD
247523.98000000
0.003287512139
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
1703.26330000
PA
USD
1870.87000000
0.000024848129
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
521.07060000
PA
USD
581.54000000
0.000007723776
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
4251809.73000000
0.056470795686
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
9568060.46000000
0.127079060838
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
5192.92100000
PA
USD
5659.87000000
0.000075172075
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
0.04000000
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
12557477.50000000
0.166783273775
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
2510737.57200000
PA
USD
2689838.27000000
0.035725330393
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 30YR 3.5% 04/01/2046#AS7009
3138WGYF5
1956898.53860000
PA
USD
2097941.81000000
0.027864003997
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
3057.29720000
PA
USD
3453.32000000
0.000045865582
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
1499651.65000000
0.019917759096
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
60091.12160000
PA
USD
63487.92000000
0.000843220554
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Variable
0.02163000
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
6339710.22000000
0.084201434983
Long
ABS-CBDO
CORP
KY
N
2
2033-11-20
Variable
0.01455250
N
N
N
N
N
N
COCA COLA CO
UWJKFUJFZ02DKWI3RY53
COCA COLA CO 3.45% 03/25/2030
191216CT5
3470000.00000000
PA
USD
3907466.30000000
0.051897367260
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
29853.68540000
PA
USD
32803.64000000
0.000435684513
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
315219.78570000
PA
USD
340904.68000000
0.004527756356
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
3792246.58000000
0.050367066122
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
16345454.75000000
0.217093636405
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
2916475.82000000
0.038735437522
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
4367.75390000
PA
USD
4789.22000000
0.000063608458
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
5442660.53020000
PA
USD
6004015.45000000
0.079742874518
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
567100.17500000
PA
USD
614372.23000000
0.008159840368
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 9/30 #479580
36209RXH1
3275.27160000
PA
USD
3835.24000000
0.000050938087
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
2165857.06300000
PA
USD
2326414.21000000
0.030898480853
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
111916.27500000
PA
USD
122921.10000000
0.001632587713
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
9652.13270000
PA
USD
11183.09000000
0.000148529221
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
1901541.84600000
PA
USD
2033382.40000000
0.027006552351
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
205.45060000
PA
USD
216.63000000
0.000002877190
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 5/26 #303884
31373URD1
1591.85300000
PA
USD
1747.07000000
0.000023203868
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
3295122.96000000
0.043764473777
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.01303000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#AS7594
3138WHNL2
386599.58130000
PA
USD
413255.58000000
0.005488691382
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.03500000
N
N
N
N
N
N
LIFE 2021-BMR MTG TR
N/A
LIFE 2021-BMR MTG TR 1ML+110 03/15/2036 144A
53218CAE0
1107000.00000000
PA
USD
1109110.50000000
0.014730751472
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.01173000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 5.7% 08/15/2035
761713BA3
1215000.00000000
PA
USD
1467273.52000000
0.019487726033
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
4856.41370000
PA
USD
5653.01000000
0.000075080963
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.375% 12/31/2025
91282CBC4
56831000.00000000
PA
USD
55754319.09000000
0.740506034347
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
1074460.16930000
PA
USD
1193304.06000000
0.015848975858
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
11202728.36000000
0.148790050477
Long
DBT
CORP
US
N
2
2031-04-01
Variable
0.03622000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2048#Q55839
3132XYPZ4
816567.35800000
PA
USD
884482.16000000
0.011747329847
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04500000
N
N
N
N
N
N
DELL INTERNATIONAL LLC / EMC CORP
N/A
DELL INTL/EMC CORP 5.85% 07/15/2025
24703TAC0
1294000.00000000
PA
USD
1518139.74000000
0.020163310337
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.05850000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 07/01/2051 #TBA
01F032674
11600000.00000000
PA
USD
12208994.20000000
0.162154861291
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
0.03500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.875% 07/03/2023
00912XBC7
5581000.00000000
PA
USD
5920299.80000000
0.078630997537
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
5553.32160000
PA
USD
5870.02000000
0.000077963201
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
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96876
312945T99
66647.86160000
PA
USD
74052.49000000
0.000983534847
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
886.49290000
PA
USD
961.01000000
0.000012763741
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
31773.13870000
PA
USD
36183.18000000
0.000480570179
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
139465.65780000
PA
USD
147163.98000000
0.001954571717
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 12/01/2032#G18669
3128MMW74
2750610.73900000
PA
USD
2875374.04000000
0.038189540512
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
9627083.50000000
0.127862980685
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
138.52570000
PA
USD
143.50000000
0.000001905908
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
S6XOOCT0IEG5ABCC6L87
FHLG 3.50% 9/42 #Q11420
3132HMSH5
48395.27360000
PA
USD
52057.20000000
0.000691402412
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
2383166.30000000
0.031652238872
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
70673.99810000
PA
USD
75834.08000000
0.001007197195
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
NUVEEN FINANCE LLC
N/A
TIAA ASSET MGMT FIN LLC 4.125% 11/01/2024 144A
87246YAC0
1771000.00000000
PA
USD
1952971.93000000
0.025938573417
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
501.85730000
PA
USD
551.24000000
0.000007321343
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
4673000.00000000
PA
USD
5079501.47000000
0.067463858431
Long
DBT
CORP
KY
N
2
2026-05-01
Fixed
0.04375000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER OPERATING MLP 6% 06/15/2048
29278NAE3
1470000.00000000
PA
USD
1858091.25000000
0.024678407080
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
1027069.11000000
0.013641111326
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 2.5% 09/01/2039#RB5016
3133KYSD2
14685.89800000
PA
USD
15260.43000000
0.000202682782
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
385000.00000000
PA
USD
431179.40000000
0.005726748219
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
6484547.30000000
0.086125101768
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
208522.12410000
PA
USD
226490.48000000
0.003008153805
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
550552.24470000
PA
USD
611743.70000000
0.008124929309
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
1487849.82000000
0.019761012023
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
6244.13180000
PA
USD
7078.18000000
0.000094009488
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
1893717.39000000
0.025151578882
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
5154314.81700000
PA
USD
5446838.68000000
0.072342680827
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
44849.12150000
PA
USD
51784.02000000
0.000687774147
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
0.06500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/41 #Q00736
3132GDY97
91213.83470000
PA
USD
101347.76000000
0.001346059445
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 06/01/2031#J34598
31307RDB8
52751.63590000
PA
USD
56107.95000000
0.000745202815
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
17130.69730000
PA
USD
19477.74000000
0.000258695366
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
4526978.49000000
0.060125474473
Long
DBT
CORP
US
N
2
2025-04-21
Fixed
0.03950000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 4/42 #AK8237
3138EDEK3
677279.75090000
PA
USD
740297.25000000
0.009832324917
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/01/2046#Q39899
3132QW7M5
92254.08480000
PA
USD
99870.69000000
0.001326441606
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
18107260.09000000
0.240493213458
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 03/01/2044#Q25336
3132M5SZ6
77195.59640000
PA
USD
85241.37000000
0.001132140969
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.04500000
N
N
N
N
N
N
DRYDEN 83 CLO LTD
2549001LFFVBUD1OX384
DRYDEN 83 CLO LTD 3ML+122 01/18/2032 144A
26246EAC2
2840000.00000000
PA
USD
2842385.60000000
0.037751401561
Long
ABS-CBDO
CORP
KY
N
2
2032-01-18
Variable
0.01457250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 04/01/2044#Q25663
3132M55Y4
33705.32770000
PA
USD
36804.07000000
0.000488816586
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
710.50130000
PA
USD
817.83000000
0.000010862083
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
607862.81400000
PA
USD
675097.30000000
0.008966365881
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
7007661.22000000
PA
USD
7014420.81000000
0.093162664741
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01873000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 11/40 #AE6935
31419HV58
3947.14460000
PA
USD
4339.04000000
0.000057629352
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
6053793.75000000
0.080404009514
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
33390.63770000
PA
USD
37101.86000000
0.000492771711
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
19068053.02000000
0.253254071703
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
0.04750000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
SUNOCO LOGISTICS PRTNR OPER LP 5.4% 10/01/2047
86765BAV1
1349000.00000000
PA
USD
1598224.12000000
0.021226958277
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
229.89330000
PA
USD
258.34000000
0.000003431166
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
12514.43610000
PA
USD
14283.05000000
0.000189701621
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 09/01/2047#Q50433
3132XSPT1
50267.56400000
PA
USD
54354.88000000
0.000721919257
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
11292.10540000
PA
USD
11936.09000000
0.000158530259
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
0.03000000
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
5760000.00000000
PA
USD
5779263.74000000
0.076757814343
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
1643.93210000
PA
USD
1785.15000000
0.000023709631
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
3683.20050000
PA
USD
3893.25000000
0.000051708552
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
188905.50050000
PA
USD
207194.99000000
0.002751879009
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
5319143.93000000
0.070646691449
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
4238122.65000000
PA
USD
4238121.38000000
0.056288992627
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01323000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2043#Q23085
3132M3CW5
16248.07160000
PA
USD
17746.94000000
0.000235707589
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
2495.23310000
PA
USD
2914.39000000
0.000038707734
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
5537015.55600000
PA
USD
5810163.73000000
0.077168215356
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
5099.18790000
PA
USD
5231.07000000
0.000069476929
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
3864.10690000
PA
USD
4253.29000000
0.000056490456
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
3058.48820000
PA
USD
3451.27000000
0.000045838354
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
2419731.62000000
0.032137884478
Long
ABS-CBDO
CORP
US
N
2
2050-07-15
Fixed
0.01884000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 3.5% 02/15/2041 144A
11135FBJ9
11428000.00000000
PA
USD
11691173.47000000
0.155277378406
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#BC0791
3140EU2Z1
1121283.88400000
PA
USD
1198596.30000000
0.015919265222
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
306243.96680000
PA
USD
328385.44000000
0.004361480937
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 08/01/2051 #TBA
21H030682
6750000.00000000
PA
USD
7038067.05000000
0.093476724417
Long
ABS-MBS
USGA
US
N
2
2051-08-01
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
5918768.64000000
0.078610661297
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
3045.92270000
PA
USD
3433.20000000
0.000045598356
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 15YR 5.00% 3/23 #889342
31410KBK9
568.38120000
PA
USD
585.64000000
0.000007778230
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2046#G60553
31335ATJ7
1461791.91370000
PA
USD
1576512.76000000
0.020938596884
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
427.32340000
PA
USD
481.73000000
0.000006398140
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
2898090.00000000
0.038491244590
Long
DBT
CORP
US
N
2
2036-11-03
Fixed
0.06450000
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC
2138008L3B3MCG1DFS50
IMPERIAL TOBACCO FINANCE 4.25% 07/21/2025 144A
453140AF2
15488000.00000000
PA
USD
17062320.51000000
0.226614753867
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
10645.44980000
PA
USD
11252.55000000
0.000149451761
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
9742.25330000
PA
USD
11002.62000000
0.000146132293
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
175245.54300000
PA
USD
190508.10000000
0.002530250569
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 10/01/2047#Q51189
3132XTKB3
82287.91600000
PA
USD
88978.85000000
0.001181780648
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
565601.54330000
PA
USD
611846.48000000
0.008126294391
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
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 6/41 #G06596
3128M8UV4
649602.77020000
PA
USD
738202.74000000
0.009804506493
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
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 06/01/2031#J34571
31307RCG8
64382.96790000
PA
USD
68479.33000000
0.000909514418
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
4167.41170000
PA
USD
4663.31000000
0.000061936173
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 02/46#Q38783
3132QVXM8
450085.86990000
PA
USD
486964.20000000
0.006467659088
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
635.84890000
PA
USD
705.94000000
0.000009376005
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
252.04860000
PA
USD
285.14000000
0.000003787112
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2041#
3132GKK96
26668.06380000
PA
USD
29630.91000000
0.000393545612
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 11/01/2040#V82091
3132L7KC2
148197.94570000
PA
USD
158155.44000000
0.002100555788
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
10422106.58000000
0.138422151665
Long
DBT
CORP
US
N
2
2025-03-26
Fixed
0.03875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 8.5% 05/01/2027#
31283GYN1
740.22540000
PA
USD
821.76000000
0.000010914279
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
3647000.00000000
PA
USD
4058982.59000000
0.053909744577
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
10920160.48000000
0.145037099608
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
242757.14630000
PA
USD
266613.72000000
0.003541054248
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
93022.88370000
PA
USD
108451.46000000
0.001440407880
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
2962250.52000000
0.039343398343
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01513750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AQ1886
3138MHCY7
49233.08440000
PA
USD
52423.39000000
0.000696265998
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
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 1/40 #A90893
3129387E7
201033.60660000
PA
USD
229565.64000000
0.003048996821
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
0.05000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #510978
36211EUB2
10478.57980000
PA
USD
11933.38000000
0.000158494266
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
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 04/01/2043#Q17578
3132J82L3
312343.19110000
PA
USD
335977.29000000
0.004462312780
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
2021-07-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer