0001752724-22-044326.txt : 20220224
0001752724-22-044326.hdr.sgml : 20220224
20220224154734
ACCESSION NUMBER: 0001752724-22-044326
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220224
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: 22670708
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
2021-12-31
N
2636589296.41
251738999.23
2384850297.18
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
180140932.65000000
0.00000000
0.00000000
0.00000000
USD
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/51#BT1461
3140LPTT9
58266.34700000
PA
USD
58346.71000000
0.002446556501
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 1/38 #889371
31410KCG7
65416.24690000
PA
USD
75939.79000000
0.003184258151
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
0.06000000
N
N
N
N
N
N
KITE RLTY GROUP TRUST
N/A
KITE RLTY GROUP TRUST 4% 03/15/2025
76131VAA1
1912000.00000000
PA
USD
2005314.83000000
0.084085564296
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3.2% 02/23/2023
38141GWT7
2193000.00000000
PA
USD
2249087.80000000
0.094307294787
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
22991.12800000
PA
USD
24326.95000000
0.001020061931
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
18786.85780000
PA
USD
20264.27000000
0.000849708261
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
221565.54460000
PA
USD
234438.84000000
0.009830337790
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
53405.71470000
PA
USD
57826.70000000
0.002424751778
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
AASET 2021-2 TR
N/A
AASET 2021-2 TR 2.798% 01/15/2047 144A
00258BAA2
3607000.00000000
PA
USD
3580333.09000000
0.150128211159
Long
ABS-CBDO
CORP
US
N
2
2047-01-15
Fixed
0.02798000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 1.494%/VAR 08/10/2027 144A
902613AH1
1788000.00000000
PA
USD
1744246.33000000
0.073138608828
Long
DBT
CORP
CH
N
2
2027-08-10
Variable
0.01494000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/45#AS4469
3138WD6F3
8129.34250000
PA
USD
8731.64000000
0.000366129480
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
3669000.00000000
PA
USD
3905423.39000000
0.163759687332
Long
DBT
CORP
DE
N
2
2025-04-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2044#AV6611
3138XJKZ9
73357.75320000
PA
USD
80387.91000000
0.003370773842
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
123256.05800000
PA
USD
130417.42000000
0.005468578893
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
3841.96450000
PA
USD
4149.57000000
0.000173997085
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% 09/01/2032#BM1884
3140J6CW5
86210.11760000
PA
USD
90412.19000000
0.003791105467
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
10051.80920000
PA
USD
10896.47000000
0.000456903731
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
18452.73750000
PA
USD
20005.75000000
0.000838868168
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
152927.47750000
PA
USD
163413.00000000
0.006852128210
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
88.06580000
PA
USD
99.38000000
0.000004167137
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
1183000.00000000
PA
USD
1206159.95000000
0.050575918808
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
2095117.17550000
PA
USD
2057339.07000000
0.086267011075
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
617.72280000
PA
USD
698.58000000
0.000029292404
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% 09/01/2049#CA4142
3140QBS82
345983.86270000
PA
USD
362220.75000000
0.015188406183
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
31393.57660000
PA
USD
33884.46000000
0.001420821258
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
7302.91880000
PA
USD
7908.23000000
0.000331602784
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
9323.36670000
PA
USD
9819.16000000
0.000411730665
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.02130000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 4.5% 05/02/2043
02209SAQ6
1137000.00000000
PA
USD
1178395.79000000
0.049411730010
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
1871000.00000000
PA
USD
2026106.37000000
0.084957381702
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
0.03750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479494
36209RUT8
177416.11140000
PA
USD
192938.62000000
0.008090177409
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
539063.27420000
PA
USD
580802.94000000
0.024353853182
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 COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.464% 07/23/2022
161175BB9
1761000.00000000
PA
USD
1786992.54000000
0.074931015255
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
11011.52940000
PA
USD
12818.84000000
0.000537511306
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
0.06000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.5% 08/15/2029
674599CS2
586000.00000000
PA
USD
601997.80000000
0.025242582342
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
339.76050000
PA
USD
374.15000000
0.000015688615
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
17841.05130000
PA
USD
19162.87000000
0.000803525069
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
0.03500000
N
N
N
N
N
N
CANADIAN NATURAL RESOURCES LTD
549300T15RIMIKZC5Q38
CANADIAN NATL RESOURCES LTD 5.85% 02/01/2035
136385AG6
766000.00000000
PA
USD
951798.45000000
0.039910196926
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
864524.49610000
PA
USD
941093.87000000
0.039461339402
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
0.04500000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
VIATRIS INC 3.85% 06/22/2040
92556VAE6
668000.00000000
PA
USD
707463.13000000
0.029664886338
Long
DBT
CORP
US
N
2
2040-06-22
Fixed
0.03850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 5/42 #AK9784
3138EE2S7
184586.74360000
PA
USD
198666.34000000
0.008330348459
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
3.16140000
PA
USD
3.17000000
0.000000132922
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
1770607.61010000
PA
USD
1866606.59000000
0.078269340101
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
1810000.00000000
PA
USD
1843151.34000000
0.077285829730
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 4.00% 7/39 #AA9611
31416TVD8
1705.08540000
PA
USD
1844.96000000
0.000077361669
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
6231.54060000
PA
USD
6987.91000000
0.000293012521
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
1323201.77990000
PA
USD
1322801.25000000
0.055466846349
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Variable
0.01110000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 3.5% 04/19/2026
06051GFX2
1541000.00000000
PA
USD
1659946.80000000
0.069603815466
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
227107.07250000
PA
USD
240302.33000000
0.010076201859
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
1392832.00000000
PA
USD
1388125.62000000
0.058205985576
Long
ABS-CBDO
CORP
KY
N
2
2034-07-19
Variable
0.01261300
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #773499
36176RDC3
17370.82900000
PA
USD
18840.01000000
0.000789987112
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
243000.00000000
PA
USD
242244.37000000
0.010157634224
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.01540000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3.5% 11/01/2033#G16677
3128MFUA4
24981.90040000
PA
USD
26564.92000000
0.001113903041
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
0.03500000
N
N
N
N
N
N
PIEDMONT OPERATING PARTNERSHIP LP
549300WKGDPAS39FBD10
PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032
720198AF7
451000.00000000
PA
USD
440968.22000000
0.018490394156
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
0.02750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #464693
36208YGA1
2466.08440000
PA
USD
2592.93000000
0.000108725063
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
69562.20600000
PA
USD
77013.49000000
0.003229279845
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
111.26310000
PA
USD
122.89000000
0.000005152943
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
3713000.00000000
PA
USD
3276722.50000000
0.137397408293
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
3934.74000000
PA
USD
4559.72000000
0.000191195229
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
1348000.00000000
PA
USD
1536123.86000000
0.064411752042
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
3332766.88200000
PA
USD
3417098.88000000
0.143283579855
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
767327.38300000
PA
USD
831168.25000000
0.034852009410
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3% 05/15/2032 144A
46590XAD8
3100000.00000000
PA
USD
3100000.00000000
0.129987194737
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AR1624
3138NXYW1
41041.29830000
PA
USD
43425.86000000
0.001820905071
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
34848.81260000
PA
USD
37788.09000000
0.001584505746
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
0.04000000
N
N
N
N
N
N
BETHP 2021
N/A
BETHP 2021 3ML+113 01/15/2035 144A
087598AA6
1953217.00000000
PA
USD
1952056.79000000
0.081852382613
Long
ABS-CBDO
CORP
US
N
2
2035-01-15
Variable
0.01269750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96783
312945RC4
22327.44750000
PA
USD
24490.91000000
0.001026936995
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
1534000.00000000
PA
USD
1586986.72000000
0.066544500586
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
412835.14310000
PA
USD
432441.59000000
0.018132861023
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
665897.00000000
PA
USD
666054.82000000
0.027928579868
Long
ABS-CBDO
CORP
KY
N
2
2033-04-17
Variable
0.01372250
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
299468.75640000
PA
USD
294693.58000000
0.012356900571
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
451592.88100000
PA
USD
473040.02000000
0.019835208128
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2044#AX8858
3138YAZY4
26953.17020000
PA
USD
29461.23000000
0.001235349239
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
2039713.00000000
PA
USD
2038287.24000000
0.085468142063
Long
ABS-CBDO
CORP
KY
N
2
2032-01-17
Variable
0.01332250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.50% 8/42 #Q10323
3132HLLC5
15980.29570000
PA
USD
17205.78000000
0.000721461637
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
7061000.00000000
PA
USD
7920179.44000000
0.332103841040
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
7258.86430000
PA
USD
7653.39000000
0.000320916998
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
386779.00000000
PA
USD
398027.35000000
0.016689825372
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
345000.00000000
PA
USD
393927.05000000
0.016517894245
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
0.04800000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 11/31 #545304
31385HX98
6211.24070000
PA
USD
7188.33000000
0.000301416403
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
555000.00000000
PA
USD
715762.18000000
0.030012876734
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
6460.33830000
PA
USD
7137.95000000
0.000299303902
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
1231576.61000000
PA
USD
1325536.18000000
0.055581525665
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
5070.51310000
PA
USD
5490.79000000
0.000230236254
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
1443447.04340000
PA
USD
1422945.91000000
0.059666047453
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
1220000.00000000
PA
USD
1390673.44000000
0.058312819116
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
103207.05200000
PA
USD
109673.11000000
0.004598741905
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
16689.15870000
PA
USD
18173.72000000
0.000762048671
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 04/01/2048#BK3836
3140HHHN8
72236.94730000
PA
USD
77917.70000000
0.003267194594
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2041#AI7563
3138AMMM4
6315.34390000
PA
USD
6924.51000000
0.000290354074
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
510000.00000000
PA
USD
504205.01000000
0.021141998329
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
22845.88120000
PA
USD
24405.81000000
0.001023368637
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 ENERGY PTNRS LP 6.55% 09/15/2040
494550BF2
141000.00000000
PA
USD
189368.33000000
0.007940470318
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
273563.45960000
PA
USD
289970.84000000
0.012158869692
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
171561.28970000
PA
USD
186898.39000000
0.007836902392
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
60197.76190000
PA
USD
63724.94000000
0.002672072963
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
1233000.00000000
PA
USD
1319833.37000000
0.055342399125
Long
DBT
CORP
CH
N
2
2029-01-12
Variable
0.03869000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#AS7010
3138WGYG3
324765.29290000
PA
USD
347811.87000000
0.014584222347
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
0.03500000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING CORP 4.11%/VAR 07/24/2034
961214EF6
1139000.00000000
PA
USD
1229205.74000000
0.051542259967
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
2384.81850000
PA
USD
2500.10000000
0.000104832575
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Variable
0.01803000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21524
3132JNVR5
5380.62870000
PA
USD
5823.25000000
0.000244176752
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
91.94580000
PA
USD
103.62000000
0.000004344926
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
517000.00000000
PA
USD
560662.18000000
0.023509323862
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
0.03500000
N
N
N
N
N
N
AFFILIATED MANAGERS GROUP INC
2JE75BUE3T1BLCYYGK54
AFFILIATED MANAGERS GROUP INC 3.5% 08/01/2025
008252AN8
1700000.00000000
PA
USD
1806792.13000000
0.075761238855
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
19638.04730000
PA
USD
20779.05000000
0.000871293683
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 2.5% 02/51#CA8950
3140QG5L7
1729643.47700000
PA
USD
1772680.47000000
0.074330890794
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 6.50% 11/35 #600498
36200GDB9
2946.80670000
PA
USD
3425.75000000
0.000143646333
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
1333.40200000
PA
USD
1512.34000000
0.000063414462
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
105.77140000
PA
USD
117.77000000
0.000004938255
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
28954.00170000
PA
USD
31162.51000000
0.001306686211
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 03/01/2043#Q16049
3132J7EX6
14643.11140000
PA
USD
15856.83000000
0.000664898338
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
45526.06410000
PA
USD
48504.90000000
0.002033876090
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
344369.94340000
PA
USD
362566.04000000
0.015202884660
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
941240.39640000
PA
USD
1008328.53000000
0.042280579673
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.03500000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019 1ML+145 10/15/2036 144A
056054AG4
1436279.87000000
PA
USD
1433574.06000000
0.060111700163
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01560000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ8934
3138MQ4U4
8471.37800000
PA
USD
8963.58000000
0.000375855038
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
855786.61300000
PA
USD
896148.93000000
0.037576737250
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
3679.99470000
PA
USD
3975.43000000
0.000166695159
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
661000.00000000
PA
USD
776853.02000000
0.032574498320
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
1393000.00000000
PA
USD
1405132.82000000
0.058919120485
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
720997.07130000
PA
USD
719412.75000000
0.030165950074
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01230000
N
N
N
N
N
N
BFLD TR 2020 -OBRK
N/A
BFLD TR 2020 - OBRK A 1ML+225 11/15/2022 144A
05553JAA6
1079000.00000000
PA
USD
1079842.27000000
0.045279247560
Long
ABS-MBS
CORP
US
N
2
2028-11-15
Variable
0.02160000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.125% 12/15/2026
46625HJZ4
4319000.00000000
PA
USD
4763731.79000000
0.199749719956
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
0.04125000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+172.21 10/15/2036 144A
05609PAN8
1789733.00000000
PA
USD
1781461.75000000
0.074699101746
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.02057500
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 5.6% 02/15/2041
42809HAD9
3671000.00000000
PA
USD
4532074.79000000
0.190036028481
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
0.05600000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 03/15/2042#796180
36177Q2N2
5962.32470000
PA
USD
6492.69000000
0.000272247277
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% 04/01/2024
681936BB5
415000.00000000
PA
USD
443136.55000000
0.018581315167
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
0.04950000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
ENBRIDGE INC 4% 10/01/2023
29250NAF2
863000.00000000
PA
USD
901018.00000000
0.037780903944
Long
DBT
CORP
CA
N
2
2023-10-01
Fixed
0.04000000
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+116 07/19/2034 144A
92918HAF7
1277198.00000000
PA
USD
1277195.45000000
0.053554533444
Long
ABS-CBDO
CORP
US
N
2
2034-07-19
Variable
0.01283630
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783261
36241LTS5
277070.08480000
PA
USD
306870.80000000
0.012867507883
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
1256.21750000
PA
USD
1443.14000000
0.000060512812
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
284.93610000
PA
USD
315.04000000
0.000013210053
Long
ABS-MBS
USGA
US
N
2
2028-06-15
Fixed
0.07000000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 3.4% 01/15/2028
756109BH6
489000.00000000
PA
USD
527360.97000000
0.022112959065
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.03400000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 3.05% 06/05/2023
02005NBK5
2954000.00000000
PA
USD
3028626.40000000
0.126994403111
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
18216.53380000
PA
USD
19298.54000000
0.000809213895
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Variable
0.02197000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 4.875% 11/01/2022
6174824M3
2377000.00000000
PA
USD
2457130.33000000
0.103030799581
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
0.04875000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 01/01/2052 #TBA
01F020612
57900000.00000000
PA
USD
57760681.02000000
2.421983513527
Long
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 12/39 #728451
3620AFH42
20910.99680000
PA
USD
23499.17000000
0.000985351995
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
431.32640000
PA
USD
476.84000000
0.000019994546
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
5473.83370000
PA
USD
5938.96000000
0.000249028629
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
34365.02070000
PA
USD
36426.11000000
0.001527396081
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
12729.88480000
PA
USD
13541.12000000
0.000567797484
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
37137.19610000
PA
USD
40215.37000000
0.001686284881
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 OPPTY INVTS PRTNRSHP LP 5% 12/15/2023
76132FAA5
226000.00000000
PA
USD
238844.67000000
0.010015080203
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 3/26 #303780
31373UM53
257.86540000
PA
USD
279.89000000
0.000011736166
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 01/01/2052 #TBA
01F020612
-27250000.00000000
PA
USD
-27184431.05000000
-1.13987997830
Short
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.125% 11/30/2024
9128283J7
3553700.00000000
PA
USD
3672249.23000000
0.153982379285
Long
DBT
UST
US
N
2
2024-11-30
Fixed
0.02125000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.5% 01/43 #Q16224
3132J7LE0
7826.25890000
PA
USD
8397.09000000
0.000352101346
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
12048.15160000
PA
USD
12080.26000000
0.000506541648
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
1227850.13460000
PA
USD
1330869.34000000
0.055805152280
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.04000000
N
N
N
N
N
N
GS MTG SECS CORP TR 2021-IP
N/A
GSMS 2021-IP B 1ML+125 10/15/2036 144A
36262MAC2
241085.00000000
PA
USD
240822.96000000
0.010098032580
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01260000
N
N
N
N
N
N
ILLINOIS ST
N/A
IL ST TAXM 7.35% 7/01/35
452152GS4
1700000.00000000
PA
USD
2139958.81000000
0.089731368569
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
0.07350000
N
N
N
N
N
N
CASTLELAKE AIRCRAFT SECURITIZATION
N/A
CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A
14856CAA7
1346335.96690000
PA
USD
1318788.72000000
0.055298595536
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
158.67060000
PA
USD
176.90000000
0.000007417656
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
132.23640000
PA
USD
144.29000000
0.000006050274
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
0.08500000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 3.25% 01/15/2031
756109AX2
313000.00000000
PA
USD
336557.21000000
0.014112299224
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2049#FM1534
3140X4V45
1196144.76240000
PA
USD
1302085.15000000
0.054598192244
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
337.35230000
PA
USD
386.43000000
0.000016203532
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
445.59890000
PA
USD
489.69000000
0.000020533364
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
122626.06770000
PA
USD
131979.53000000
0.005534080279
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 LLC 5.5% 09/01/2041
88732JBB3
521000.00000000
PA
USD
631666.20000000
0.026486618499
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
23401.41400000
PA
USD
25723.36000000
0.001078615292
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
96105.22930000
PA
USD
100944.19000000
0.004232726478
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
1007281.00000000
PA
USD
1001014.10000000
0.041973875726
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01410000
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
1640000.00000000
PA
USD
2105326.38000000
0.088279183917
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
2009654.00000000
PA
USD
2009704.24000000
0.084269618196
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Variable
0.01401500
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #779843
36176YEQ6
25641.46460000
PA
USD
27801.66000000
0.001165761223
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 3% 02/01/2052 #TBA
21H030625
1300000.00000000
PA
USD
1343373.33000000
0.056329461500
Long
ABS-MBS
USGA
US
N
2
2052-02-01
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 2/41 #A96766
312945QT8
12804.52130000
PA
USD
14045.24000000
0.000588935918
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04500000
N
N
N
N
N
N
KITE RLTY GROUP TRUST
N/A
KITE RLTY GROUP TRUST 4.75% 09/15/2030
76131VAB9
2980000.00000000
PA
USD
3296246.00000000
0.138216055066
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
6737000.00000000
PA
USD
7136655.41000000
0.299249618243
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
24980.77300000
PA
USD
26445.46000000
0.001108893922
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.02160000
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
782336.90020000
PA
USD
766553.41000000
0.032142621736
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
578000.00000000
PA
USD
577570.14000000
0.024218297504
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
0.02150000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037
38141GFD1
689000.00000000
PA
USD
976932.21000000
0.040964089492
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
903871.78020000
PA
USD
902782.80000000
0.037854904396
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01110000
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
2282638.00000000
PA
USD
2267780.31000000
0.095091097025
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Variable
0.01143880
N
N
N
N
N
N
TOLEDO HOSPITAL/THE
5493009DCR7NWV6K4T34
TOLEDO HOSPITAL/THE 5.325% 11/15/2028
889184AC1
647000.00000000
PA
USD
725047.22000000
0.030402211025
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
17353.38530000
PA
USD
18809.36000000
0.000788701916
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 3.5% 12/20/2049#BR8987
3617M76Y9
15538.75620000
PA
USD
16749.13000000
0.000702313684
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
25250.17770000
PA
USD
27662.11000000
0.001159909703
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
2313924.00000000
PA
USD
2303849.17000000
0.096603513131
Long
ABS-CBDO
CORP
KY
N
2
2034-04-19
Variable
0.01103630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/2042#AL2607
3138EJ3R7
3549.70700000
PA
USD
3843.56000000
0.000161165671
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
21345.70530000
PA
USD
23414.04000000
0.000981782379
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
13573.43540000
PA
USD
14387.52000000
0.000603288181
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
6995.17800000
PA
USD
7509.76000000
0.000314894398
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
38073.06540000
PA
USD
40608.31000000
0.001702761387
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 1.5% 01/01/2052 #TBA
01F012619
8850000.00000000
PA
USD
8561234.24000000
0.358984136242
Long
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 3/28 #780732
36225AY53
449.50700000
PA
USD
495.99000000
0.000020797531
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
588.52160000
PA
USD
648.01000000
0.000027171936
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.625% 07/31/2026
91282CCP4
7668100.00000000
PA
USD
7456328.63000000
0.312653948921
Long
DBT
UST
US
N
2
2026-07-31
Fixed
0.00625000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21255
3132JNMC8
20327.81900000
PA
USD
22000.02000000
0.000922490607
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
412850.00000000
PA
USD
408706.06000000
0.017137598132
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.01860000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.0% 07/20/2044#MA2074
36179QJT9
4575.58960000
PA
USD
4940.79000000
0.000207174010
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
1542796.79460000
PA
USD
1498136.07000000
0.062818872604
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
30141.44820000
PA
USD
32384.01000000
0.001357905359
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
983000.00000000
PA
USD
1006512.92000000
0.042204448689
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
311000.00000000
PA
USD
350789.46000000
0.014709076725
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
0.04800000
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.5% 01/15/2030 144A
46590XAB2
380000.00000000
PA
USD
413250.00000000
0.017328131685
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
0.05500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2033#741529
31402XY26
17041.84020000
PA
USD
18483.46000000
0.000775036488
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
35.63130000
PA
USD
38.80000000
0.000001626936
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
54434.81760000
PA
USD
57597.56000000
0.002415143628
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
146.77110000
PA
USD
160.07000000
0.000006711951
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
1555000.00000000
PA
USD
1642255.45000000
0.068861993222
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
507.15380000
PA
USD
533.69000000
0.000022378343
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
1297.76720000
PA
USD
1411.16000000
0.000059171848
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
587.30670000
PA
USD
636.62000000
0.000026694338
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
8281.26410000
PA
USD
8871.98000000
0.000372014126
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
9536.28180000
PA
USD
10975.29000000
0.000460208760
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
2205.19510000
PA
USD
2384.99000000
0.000100005857
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 3.75% 03/24/2025
615369AS4
1557000.00000000
PA
USD
1663305.76000000
0.069744661204
Long
DBT
CORP
US
N
2
2025-03-24
Fixed
0.03750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 05/48#ZA5379
31329N6Q6
701679.36320000
PA
USD
754447.83000000
0.031635018386
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
1278000.00000000
PA
USD
1535107.50000000
0.064369134692
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
34.65800000
PA
USD
36.40000000
0.000001526301
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
4151.30300000
PA
USD
4376.93000000
0.000183530597
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
CBRE SERVICES INC
549300CTE3HOMEUMM603
CBRE SERVICES INC 2.5% 04/01/2031
12505BAE0
1708000.00000000
PA
USD
1717835.71000000
0.072031175794
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
0.02500000
N
N
N
N
N
N
TANGER PROPERTIES LP
PQPGJDNFN35EXH363L31
TANGER PROPERTIES LP 2.75% 09/01/2031
875484AL1
1346000.00000000
PA
USD
1306535.00000000
0.054784780476
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
0.02750000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 3.50% 2/41 #737995
3620AR3C3
87750.44530000
PA
USD
93552.76000000
0.003922793816
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
2293.54740000
PA
USD
2392.74000000
0.000100330825
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Variable
0.01855000
N
N
N
N
N
N
ROCKLAND PARK CLO LTD
N/A
ROCKLAND PARK CLO LTD 3ML+112 04/20/2034 144A
773663AA7
2604698.00000000
PA
USD
2603296.67000000
0.109159752001
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.01251500
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
2570651.00000000
PA
USD
2632519.89000000
0.110385121158
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
441510.53650000
PA
USD
478527.09000000
0.020065288398
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
46.70450000
PA
USD
53.78000000
0.000002255068
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
0.07000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.125% 10/31/2026
91282CDG3
18403400.00000000
PA
USD
18281190.01000000
0.766555034151
Long
DBT
UST
US
N
2
2026-10-31
Fixed
0.01125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/29 #510989
36211EUN6
29.83130000
PA
USD
30.93000000
0.000001296936
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 HOLDINGS FUNDING LTD 4.25% 04/15/2026 144A
05401AAL5
485000.00000000
PA
USD
513951.99000000
0.021550702390
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
535987.89910000
PA
USD
456981.25000000
0.019161842172
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Variable
0.02735000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 03/15/2045#AL2575
36183X2G4
6450.29090000
PA
USD
6800.87000000
0.000285169681
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
305548.46350000
PA
USD
320441.57000000
0.013436548632
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
0.03000000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
NATWEST GRP PLC(UNGTD) 5.125% 05/28/2024
780099CH8
6295000.00000000
PA
USD
6789000.25000000
0.284671966958
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
50937.62660000
PA
USD
54822.96000000
0.002298800896
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
2340000.00000000
PA
USD
2415000.77000000
0.101264250123
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% 01/31/2044
02209SAR4
1030000.00000000
PA
USD
1188867.26000000
0.049850812917
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
10309.19200000
PA
USD
10770.45000000
0.000451619542
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
544000.00000000
PA
USD
597895.72000000
0.025070576576
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
1644000.00000000
PA
USD
1748819.62000000
0.073330373066
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
659459.55320000
PA
USD
710031.86000000
0.029772596663
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
296444.90630000
PA
USD
324854.35000000
0.013621582469
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
5901.80050000
PA
USD
6403.74000000
0.000268517483
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
0.04000000
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 3ML+113 10/25/2034 144A
15033TAN5
1198676.00000000
PA
USD
1195887.88000000
0.050145197013
Long
ABS-CBDO
CORP
KY
N
2
2034-10-25
Variable
0.01262620
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 4.682%/VAR 08/09/2028
25466AAN1
847000.00000000
PA
USD
885221.74000000
0.037118545388
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
37839.00950000
PA
USD
43268.69000000
0.001814314720
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
5588.25380000
PA
USD
6369.41000000
0.000267077980
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
2105.41540000
PA
USD
2223.71000000
0.000093243169
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
0.02371000
N
N
N
N
N
N
SYMPHONY CLO XXI LTD
N/A
SYMPHONY CLO XXI LTD 21A AR 3ML+106 07/15/2032 144A
87166RDE4
256728.00000000
PA
USD
256755.21000000
0.010766093381
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Variable
0.01183630
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 08/15/2043#AD5682
36180HJ33
3138.80300000
PA
USD
3432.72000000
0.000143938594
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
4101000.00000000
PA
USD
4371921.37000000
0.183320578871
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
2012.60070000
PA
USD
2219.02000000
0.000093046511
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/32 #582134
36201FV38
383.18670000
PA
USD
440.52000000
0.000018471599
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
0.07000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS LLC
L2Z2MO2EQURH3BREWI15
DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050
25470DBH1
2883000.00000000
PA
USD
3382062.32000000
0.141814449485
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
785.28120000
PA
USD
889.12000000
0.000037282004
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
406695.32000000
PA
USD
434229.89000000
0.018207846862
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
190.81560000
PA
USD
212.72000000
0.000008919637
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
4386000.00000000
PA
USD
5095293.70000000
0.213652559492
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
1587733.95620000
PA
USD
1697924.76000000
0.071196282718
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
85000.00000000
PA
USD
84767.95000000
0.003554434846
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
773818.18210000
PA
USD
803466.79000000
0.033690449708
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
0.04950000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.224% 4/41#1B8179
3128UGPP6
2548.85360000
PA
USD
2696.74000000
0.000113077957
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
24169.13180000
PA
USD
26157.32000000
0.001096811822
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
1390072.00000000
PA
USD
1389297.73000000
0.058255133734
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Variable
0.01243750
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.5% 01/31/2024
9128285Z9
23709700.00000000
PA
USD
24558062.70000000
1.029752799537
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
966000.00000000
PA
USD
1010375.63000000
0.042366417346
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
387699.00000000
PA
USD
408009.58000000
0.017108393783
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
0.03828000
N
N
N
N
N
N
MAGNETITE XXIII LTD
N/A
MAGNETITE XXIII LTD 3ML+113 01/25/2035 144A
55954NAJ8
5340000.00000000
PA
USD
5335514.40000000
0.223725338496
Long
ABS-CBDO
CORP
KY
N
2
2035-01-25
Variable
0.01250960
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #564296
36213T3D3
284.05550000
PA
USD
321.71000000
0.000013489735
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
205212.91840000
PA
USD
219775.61000000
0.009215488714
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
9252.67790000
PA
USD
9980.31000000
0.000418487903
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
605576.08410000
PA
USD
612499.45000000
0.025682930736
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
317366.38220000
PA
USD
332637.16000000
0.013947926223
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 8/41 #768137
36176KEJ2
22855.00900000
PA
USD
24782.38000000
0.001039158727
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 2% 07/51#QC4163
3133ANTU8
76029.58470000
PA
USD
76134.44000000
0.003192420089
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 05/01/2045#Q33623
3132QQAZ5
9953.03710000
PA
USD
10697.65000000
0.000448566939
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
2356000.00000000
PA
USD
2529918.44000000
0.106082903526
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
600000.00000000
PA
USD
671250.00000000
0.028146420796
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
10967.30030000
PA
USD
12559.43000000
0.000526633894
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 4.50% 4/41 #A97945
312946ZJ8
147735.75640000
PA
USD
162050.94000000
0.006795015192
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
16389.63260000
PA
USD
17742.99000000
0.000743987579
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
261281.89110000
PA
USD
282952.69000000
0.011864589166
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
42290.70650000
PA
USD
44325.62000000
0.001858633225
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 5.00% 8/40 #719262
3620A5B73
32616.09480000
PA
USD
36670.24000000
0.001537632783
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
14439.44990000
PA
USD
15518.28000000
0.000650702478
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
2469126.00000000
PA
USD
2469429.70000000
0.103546528808
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.01343750
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #779846
36176YET0
12432.94520000
PA
USD
13472.76000000
0.000564931057
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
356413.00000000
PA
USD
354649.04000000
0.014870914137
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03177097
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 2.55% 12/01/2033
00206RMM1
4584000.00000000
PA
USD
4483344.99000000
0.187992722029
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
0.02550000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.93% 05/01/2060
097023CX1
908000.00000000
PA
USD
1260016.94000000
0.052834215275
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
36780.46820000
PA
USD
39748.62000000
0.001666713422
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
437000.00000000
PA
USD
405863.75000000
0.017018416228
Long
DBT
CORP
US
N
2
2067-05-15
Variable
0.02268500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 01/01/2052 #TBA
21H032613
12950000.00000000
PA
USD
13486545.70000000
0.565509110401
Long
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
0.03500000
N
N
N
N
N
N
CLECO CORPORATE HLDGS LLC
5493002H80P81B3HXL31
CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026
18551PAC3
4043000.00000000
PA
USD
4311108.96000000
0.180770632232
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
407000.00000000
PA
USD
412038.64000000
0.017277337721
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
2292000.00000000
PA
USD
2341579.72000000
0.098185606147
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
1330000.00000000
PA
USD
1425400.65000000
0.059768978022
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
14180.11950000
PA
USD
15945.14000000
0.000668601296
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
2313000.00000000
PA
USD
2334515.13000000
0.097889378329
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
527017.02490000
PA
USD
563951.01000000
0.023647228954
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 12/40 #G06185
3128M8F25
38218.64030000
PA
USD
42081.10000000
0.001764517464
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 8/29 #507037
31383MHN6
439.05110000
PA
USD
500.78000000
0.000020998383
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
873000.00000000
PA
USD
928463.17000000
0.038931717059
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
686428.92040000
PA
USD
686428.65000000
0.028782882129
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.01490000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 05/50#FM3269
3140X6T35
229270.61790000
PA
USD
240083.94000000
0.010067044471
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
1860000.00000000
PA
USD
2113891.21000000
0.088638318828
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% 08/15/2042
91529YAJ5
2232000.00000000
PA
USD
2724950.57000000
0.114260864643
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
557995.24300000
PA
USD
612063.42000000
0.025664647408
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
22415.84910000
PA
USD
23855.35000000
0.001000287105
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
2504.69730000
PA
USD
2924.64000000
0.000122634112
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
15556.31550000
PA
USD
16701.33000000
0.000700309366
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% 7/35 #745092
31403CXV8
7861.84300000
PA
USD
9123.80000000
0.000382573279
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
48.94510000
PA
USD
51.21000000
0.000002147304
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
747000.00000000
PA
USD
944448.61000000
0.039602008189
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
268.68520000
PA
USD
298.59000000
0.000012520282
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
57280.74740000
PA
USD
66203.83000000
0.002776016175
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
289032.75670000
PA
USD
314564.12000000
0.013190099201
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
141.62330000
PA
USD
148.37000000
0.000006221354
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
1835000.00000000
PA
USD
1838495.09000000
0.077090586867
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
13156.40640000
PA
USD
14431.74000000
0.000605142386
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 4.5% 05/01/2044#AV8078
3138XK6Q2
3702.39000000
PA
USD
4140.51000000
0.000173617186
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6241
3133KM5A9
3288023.30900000
PA
USD
3289475.63000000
0.137932164290
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 5.00% 4/40 #A91937
312940EJ4
93292.72380000
PA
USD
104680.02000000
0.004389374885
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.05000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
HASBRO INC 3% 11/19/2024
418056AX5
1348000.00000000
PA
USD
1402816.43000000
0.058821991118
Long
DBT
CORP
US
N
2
2024-11-19
Fixed
0.03000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #443941
36207WEN0
124.96040000
PA
USD
135.71000000
0.000005690503
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 30YR 2.5% 08/01/2051#QC5848
3133AQP92
362648.01730000
PA
USD
370481.50000000
0.015534790608
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030
38141GXH2
4751000.00000000
PA
USD
5229978.00000000
0.219300054438
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
2237243.00000000
PA
USD
2232380.80000000
0.093606747670
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.00810000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC B 1ML+92.21 10/15/2036 144A
05609PAG3
396287.00000000
PA
USD
394798.43000000
0.016554432387
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01008800
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 5% 05/01/2044#AS9099
3138WKDD4
15238.65440000
PA
USD
16976.14000000
0.000711832521
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
14575.55580000
PA
USD
15342.94000000
0.000643350235
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.02050000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 06/01/2050#RA2677
3133KH6N1
611924.49470000
PA
USD
612577.23000000
0.025686192157
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 10/01/2042#Q11868
3132HNCD9
7973.25140000
PA
USD
8634.13000000
0.000362040754
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
14409.81490000
PA
USD
14992.47000000
0.000628654554
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
78922.90060000
PA
USD
84794.87000000
0.003555563638
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 2.5% 09/01/2051#CB1549
3140QLWK8
996065.10600000
PA
USD
1024428.86000000
0.042955688296
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
0.02500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.7% 02/16/2032 144A
71643VAA3
1810000.00000000
PA
USD
1823575.00000000
0.076464967304
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
0.06700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.50% 3/40 #AD2341
31418PS71
1509.63920000
PA
USD
1661.83000000
0.000069682780
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
90875.98790000
PA
USD
98044.09000000
0.004111121361
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
467000.00000000
PA
USD
471758.34000000
0.019781465551
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
0.02850000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
NATWEST GRP PLC(UNGTD) 6.125% 12/15/2022
780099CE5
2527000.00000000
PA
USD
2642987.76000000
0.110824053112
Long
DBT
CORP
GB
N
2
2022-12-15
Fixed
0.06125000
N
N
N
N
N
N
REGIONS BANK OF ALABAMA
EQTWLK1G7ODGC2MGLV11
REGIONS BANK OF ALABAMA 6.45% 06/26/2037
75913MAA7
2368000.00000000
PA
USD
3315674.81000000
0.139030731359
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
13957.86020000
PA
USD
14716.48000000
0.000617081919
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS HEALTH CORP 4.78% 03/25/2038
126650CY4
1830000.00000000
PA
USD
2227565.49000000
0.093404835206
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
2929000.00000000
PA
USD
3035001.15000000
0.127261705004
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
699735.68440000
PA
USD
751647.33000000
0.031517589631
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
378499.33510000
PA
USD
396948.23000000
0.016644576410
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
231969.22520000
PA
USD
248526.03000000
0.010421032728
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
7756.97840000
PA
USD
8339.72000000
0.000349695744
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
6514.58400000
PA
USD
6884.40000000
0.000288672207
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Variable
0.02068000
N
N
N
N
N
N
BRIXMOR OPERATING PARTNERSHIP LP
549300CJHBL7JBUA6503
BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030
11120VAJ2
1554000.00000000
PA
USD
1695698.88000000
0.071102948558
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
3147000.00000000
PA
USD
3137246.69000000
0.131548998849
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
1931133.00000000
PA
USD
1930051.57000000
0.080929673962
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Variable
0.01253750
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.5% 11/15/2030
969457BX7
2609000.00000000
PA
USD
2773126.55000000
0.116280948673
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
1797000.00000000
PA
USD
1852679.56000000
0.077685360887
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
1835843.43840000
PA
USD
1973761.18000000
0.082762477055
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
13956.66370000
PA
USD
14864.21000000
0.000623276438
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
202746.52320000
PA
USD
217263.44000000
0.009110150027
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
469218.13950000
PA
USD
495684.67000000
0.020784728944
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 OF AMERICA CORPORATION 4.25% 10/22/2026
06051GFL8
1307000.00000000
PA
USD
1442146.39000000
0.060471149560
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
308.42140000
PA
USD
335.77000000
0.000014079290
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
20039.15300000
PA
USD
22504.86000000
0.000943659232
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
13665.54860000
PA
USD
14706.91000000
0.000616680636
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 AG 4.125% 09/24/2025 144A
90351DAB3
1614000.00000000
PA
USD
1742557.46000000
0.073067792224
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
121573.66960000
PA
USD
131748.67000000
0.005524400007
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
36854.38700000
PA
USD
39886.08000000
0.001672477305
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
532000.00000000
PA
USD
588645.03000000
0.024682682627
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
0.04300000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 4.2% 08/26/2024
06051GFH7
6127000.00000000
PA
USD
6567280.15000000
0.275374943146
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
900000.00000000
PA
USD
1259076.33000000
0.052794774224
Long
DBT
MUN
US
N
2
2035-01-01
Fixed
0.07781000
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FINANCE PLC 3.75% 07/21/2022 144A
453140AE5
1474000.00000000
PA
USD
1490278.77000000
0.062489405383
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
821000.00000000
PA
USD
877068.17000000
0.036776655165
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
433708.93400000
PA
USD
454299.92000000
0.019049410377
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
1505187.11650000
PA
USD
1583233.33000000
0.066387115865
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
56702.07730000
PA
USD
60762.02000000
0.002547833718
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
11068.59240000
PA
USD
12739.54000000
0.000534186150
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
0.06500000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES INC
PZ9HF5U52KPF0MH0QN75
HEALTHPEAK PROPERTIES 3.25% 07/15/2026
40414LAQ2
176000.00000000
PA
USD
186880.88000000
0.007836168174
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% 12/22 #339158
36224UWT0
456.39350000
PA
USD
467.43000000
0.000019599972
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
11413.38120000
PA
USD
12153.46000000
0.000509611023
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
31164.75180000
PA
USD
33183.40000000
0.001391424863
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
0.03500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.875% 11/15/2051
912810TB4
20793800.00000000
PA
USD
20628099.41000000
0.864964120992
Long
DBT
UST
US
N
2
2051-11-15
Fixed
0.01875000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AH7281
36182QCS3
5318.49590000
PA
USD
5607.56000000
0.000235132578
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 II 5.568% 02/15/2049 144A
72284LAA7
1748000.00000000
PA
USD
2304774.55000000
0.096642315566
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
0.05568000
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
506365.68200000
PA
USD
506365.38000000
0.021232585567
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.01810000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AUTOZONE INC 4% 04/15/2030
053332AZ5
1629000.00000000
PA
USD
1822596.47000000
0.076423936217
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
7435.98710000
PA
USD
8156.80000000
0.000342025661
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
52072200.00000000
PA
USD
51083641.57000000
2.142006214411
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
699023.00000000
PA
USD
690253.34000000
0.028943256556
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.02010000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 07/01/46#BC1443
3140EVS99
342277.94250000
PA
USD
373607.05000000
0.015665849149
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
7975000.00000000
PA
USD
8176944.23000000
0.342870336124
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
464579.53490000
PA
USD
501308.45000000
0.021020541649
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
2156.53520000
PA
USD
2251.59000000
0.000094412215
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.01710000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 01/01/2052 #TBA
21H020618
24000000.00000000
PA
USD
24231247.20000000
1.016048983395
Long
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 11/01/2032#MA3187
31418CRH9
57939.85070000
PA
USD
60026.68000000
0.002516999916
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
3303000.00000000
PA
USD
3324039.55000000
0.139381476226
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
729000.00000000
PA
USD
869562.03000000
0.036461912558
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
17212.27790000
PA
USD
19372.02000000
0.000812295011
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% 06/01/2025
958254AE4
266000.00000000
PA
USD
278753.37000000
0.011688505996
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
20661.04800000
PA
USD
21789.25000000
0.000913652736
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
18251.13200000
PA
USD
19758.20000000
0.000828488061
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
839000.00000000
PA
USD
910646.93000000
0.038184658008
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
19475.76860000
PA
USD
20140.19000000
0.000844505419
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
20275.51210000
PA
USD
22441.27000000
0.000940992817
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 30YR 2.5% 12/01/2051#RA6434
3133KNEF6
1269817.49000000
PA
USD
1301710.73000000
0.054582492307
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 3/41 #A97661
312946QN9
93077.51810000
PA
USD
102096.47000000
0.004281043138
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% 05/01/2023
404121AF2
66000.00000000
PA
USD
69126.49000000
0.002898567263
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
270724.14590000
PA
USD
291699.93000000
0.012231372776
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
2726.88600000
PA
USD
2943.42000000
0.000123421583
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
350000.00000000
PA
USD
373226.87000000
0.015649907687
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
23001.24570000
PA
USD
24898.29000000
0.001044018990
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
2917.25520000
PA
USD
3259.20000000
0.000136662666
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
751162.94350000
PA
USD
728706.63000000
0.030555655038
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
5817000.00000000
PA
USD
6210605.85000000
0.260419107117
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
86715.73990000
PA
USD
93650.28000000
0.003926882962
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
18914.99730000
PA
USD
20491.43000000
0.000859233387
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
37509.02890000
PA
USD
41301.57000000
0.001731830716
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
17297.95940000
PA
USD
19397.55000000
0.000813365519
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
25210.94870000
PA
USD
27336.99000000
0.001146276981
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
AASET 2018-1 TR
N/A
AASET 2018-1A A 3.844% 1/38 144A
000367AA0
918146.50670000
PA
USD
800470.06000000
0.033564792764
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
289.31070000
PA
USD
321.41000000
0.000013477156
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
893574AR4
1007000.00000000
PA
USD
1128019.14000000
0.047299368909
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
4340000.00000000
PA
USD
4231048.08000000
0.177413571199
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
181620.66530000
PA
USD
196631.90000000
0.008245041637
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
284339.82620000
PA
USD
306028.22000000
0.012832177363
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
0.03500000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT LP
549300N4PXZ37U8QKI55
AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031
02666TAC1
231000.00000000
PA
USD
226388.17000000
0.009492762303
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
0.02375000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG3507
3617GM3Q3
267511.41230000
PA
USD
287441.76000000
0.012052821946
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
149.80650000
PA
USD
163.80000000
0.000006868355
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
0.07000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
BOEING CO 5.805% 05/01/2050
097023CW3
920000.00000000
PA
USD
1245795.80000000
0.052237903631
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
0.05805000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/26 #323242
31374TBK4
84.09640000
PA
USD
90.99000000
0.000003815333
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
60220.15900000
PA
USD
63944.87000000
0.002681294925
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 04/01/2051#FM6540
3140XAHS4
1445010.52790000
PA
USD
1498463.49000000
0.062832601768
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 07/01/2045#AZ5987
3138YXUM5
26404.17310000
PA
USD
28012.56000000
0.001174604545
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
30533.34550000
PA
USD
33808.50000000
0.001417636152
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
2910000.00000000
PA
USD
3578879.51000000
0.150067260583
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
1738.86150000
PA
USD
2056.81000000
0.000086244826
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
315409.71450000
PA
USD
260488.90000000
0.010922652055
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
2744614.49020000
PA
USD
2708818.13000000
0.113584409604
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
62919.94660000
PA
USD
67971.24000000
0.002850126067
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
43353.86930000
PA
USD
47013.52000000
0.001971340509
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
119205.81160000
PA
USD
127478.85000000
0.005345360677
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
113668.45700000
PA
USD
123506.51000000
0.005178795086
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
35051.23180000
PA
USD
36832.56000000
0.001544439080
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.01945000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 08/01/2040#V81886
3132L7CX5
53423.29030000
PA
USD
57050.65000000
0.002392210952
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
220417.65900000
PA
USD
228494.22000000
0.009581071829
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
15785.81250000
PA
USD
16768.77000000
0.000703137216
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
3287000.00000000
PA
USD
4547425.92000000
0.190679722135
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 4.50% 7/40 #733234
3620ALSX3
5637.43840000
PA
USD
6249.30000000
0.000262041605
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
10934.63310000
PA
USD
11839.82000000
0.000496459673
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
99359.78940000
PA
USD
104078.60000000
0.004364156531
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
125649.65350000
PA
USD
136165.79000000
0.005709615826
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
903465.00700000
PA
USD
952019.20000000
0.039919453272
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
1991250.00000000
PA
USD
1987592.07000000
0.083342424987
Long
ABS-CBDO
CORP
US
N
2
2029-04-15
Variable
0.01113750
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 4.375% 04/15/2040
87264AAX3
404000.00000000
PA
USD
461846.65000000
0.019365854978
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
521000.00000000
PA
USD
640830.00000000
0.026870869033
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
9134.23270000
PA
USD
9602.14000000
0.000402630723
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
1014181.74000000
PA
USD
1012591.30000000
0.042459323388
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01360000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2045#AS4796
3138WEKJ7
42511.06160000
PA
USD
45660.66000000
0.001914613259
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
504940.48000000
PA
USD
527855.94000000
0.022133713827
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
0.03000000
N
N
N
N
N
N
SUN CMNTYS OPER LTD PRTNRSHP
549300PUNBPJCGT6X741
SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028
866677AF4
512000.00000000
PA
USD
511349.24000000
0.021441565560
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
0.02300000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 3.283 6/1/41
3128UGXF9
6514.36950000
PA
USD
6895.74000000
0.000289147709
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Variable
0.02160000
N
N
N
N
N
N
TANGER PROPERTIES LP
PQPGJDNFN35EXH363L31
TANGER PROPERTIES LP 3.125% 09/01/2026
875484AJ6
1874000.00000000
PA
USD
1935827.44000000
0.081171864007
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% 12/01/2051#RA6496
3133KNGD9
800216.00000000
PA
USD
820564.61000000
0.034407384437
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 11/01/2049#QA4396
31339U3D0
20052.99940000
PA
USD
20497.13000000
0.000859472396
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
0.02500000
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 3.3% 11/16/2022
251526BL2
2856000.00000000
PA
USD
2915178.46000000
0.122237377475
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
1887884.00000000
PA
USD
1875356.00000000
0.078636214701
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.01181500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 04/01/2041#
3132GDGH9
21818.07710000
PA
USD
23933.04000000
0.001003544751
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
1349000.00000000
PA
USD
1348186.15000000
0.056531269555
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Variable
0.01310000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/20/2048#BG7744
3617GSS91
224386.48490000
PA
USD
241103.91000000
0.010109813193
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
209000.00000000
PA
USD
210094.59000000
0.008809550446
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
46785.30480000
PA
USD
50280.81000000
0.002108342400
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
2186940.00000000
PA
USD
2186935.63000000
0.091701170198
Long
ABS-CBDO
CORP
KY
N
2
2034-04-19
Variable
0.01263630
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ6625
3138MNLF5
17046.84770000
PA
USD
18037.30000000
0.000756328396
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 4.5% 04/01/2045#AY4820
3138YJLA2
29266.88510000
PA
USD
32016.77000000
0.001342506489
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
82247.94680000
PA
USD
89170.05000000
0.003739020856
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
290.74850000
PA
USD
303.99000000
0.000012746712
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Variable
0.02293000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 9/41 #Q03090
3132GJC31
72296.19950000
PA
USD
79304.33000000
0.003325337866
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
11184.72580000
PA
USD
12108.29000000
0.000507716983
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
1456280.00000000
PA
USD
1496768.95000000
0.062761547413
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
22735.95860000
PA
USD
24606.25000000
0.001031773358
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
245.41940000
PA
USD
272.53000000
0.000011427551
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
1358987.16700000
PA
USD
1357978.80000000
0.056941888621
Long
ABS-CBDO
CORP
KY
N
2
2028-01-22
Variable
0.01048250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #250329
31371FA69
50.71570000
PA
USD
54.25000000
0.000002274775
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07000000
N
N
N
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
SITE CENTERS CORP 4.25% 02/01/2026
23317HAE2
906000.00000000
PA
USD
967839.24000000
0.040582808956
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
118673.82240000
PA
USD
129950.47000000
0.005448999048
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
118847.76470000
PA
USD
129398.14000000
0.005425839104
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
84177.29270000
PA
USD
84254.90000000
0.003532921965
Long
ABS-CBDO
CORP
US
N
2
2036-01-25
Variable
0.01346880
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 12/01/2032#J38057
31307U5S3
117964.57650000
PA
USD
123682.98000000
0.005186194711
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
85.38450000
PA
USD
95.06000000
0.000003985994
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
335550.35400000
PA
USD
362698.46000000
0.015208437210
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
17200.59970000
PA
USD
18554.27000000
0.000778005647
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
28.18380000
PA
USD
29.25000000
0.000001226492
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
261672.17690000
PA
USD
286912.76000000
0.012030640260
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
68.76980000
PA
USD
76.90000000
0.000003224521
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
15618.84420000
PA
USD
16526.32000000
0.000692970960
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 6/27 #391266
31377YTX3
3044.63200000
PA
USD
3419.79000000
0.000143396422
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
0.07500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/32 #569702
36200Q3K8
388.55730000
PA
USD
444.67000000
0.000018645614
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
214134.62580000
PA
USD
228406.03000000
0.009577373903
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
27888.98870000
PA
USD
30119.23000000
0.001262940069
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
185.87140000
PA
USD
207.10000000
0.000008683983
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
116917.97050000
PA
USD
126413.90000000
0.005300705882
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
9471.42130000
PA
USD
10493.02000000
0.000439986527
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
405.69840000
PA
USD
458.82000000
0.000019238943
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
438659.00650000
PA
USD
475517.64000000
0.019939098087
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
0.04000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 01/01/2052 #TBA
21H030617
-2600000.00000000
PA
USD
-2691520.26000000
-0.11285908650
Short
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
0.03000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 3.75% 02/15/2051 144A
11135FBG5
1645000.00000000
PA
USD
1719853.11000000
0.072115768106
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
88095.34420000
PA
USD
92203.45000000
0.003866215422
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
510000.00000000
PA
USD
515786.19000000
0.021627612878
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
10925.31500000
PA
USD
11409.87000000
0.000478431288
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
50775.53880000
PA
USD
53487.62000000
0.002242808282
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
1764000.00000000
PA
USD
2180948.44000000
0.091450119220
Long
DBT
CORP
US
N
2
2058-04-15
Fixed
0.04750000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FIRSTENERGY CORP 7.375% 11/15/2031
337932AC1
1645000.00000000
PA
USD
2219763.00000000
0.093077666242
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
39964.01830000
PA
USD
44244.84000000
0.001855246010
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
98484.75330000
PA
USD
102308.88000000
0.004289949776
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
18900.78160000
PA
USD
21781.11000000
0.000913311415
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
59450.96090000
PA
USD
62837.57000000
0.002634864338
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Variable
0.02345000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 4.6% 06/01/2060
035240AU4
1135000.00000000
PA
USD
1404759.50000000
0.058903466672
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
114853.94730000
PA
USD
121742.49000000
0.005104827340
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 LP 3.75% 05/15/2030
29278NAQ6
710000.00000000
PA
USD
752355.61000000
0.031547288770
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
474.26600000
PA
USD
547.73000000
0.000022967060
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
354000.00000000
PA
USD
391170.00000000
0.016402287408
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
5146.75960000
PA
USD
5459.95000000
0.000228943091
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Variable
0.02202000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 07/01/2045#Q34759
3132QRJD3
41332.86480000
PA
USD
43870.93000000
0.001839567458
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
25813.43910000
PA
USD
27944.96000000
0.001171769986
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 3% 04/01/2033#G18684
3128MMXN8
46594.61610000
PA
USD
48824.20000000
0.002047264772
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 LP 4.65% 04/01/2029
44409MAB2
2374000.00000000
PA
USD
2680934.77000000
0.112415222589
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
0.04650000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1% 07/31/2028
91282CCR0
7024000.00000000
PA
USD
6838248.14000000
0.286736997625
Long
DBT
UST
US
N
2
2028-07-31
Fixed
0.01000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UNICREDIT SPA 6.572% 01/14/2022 144A
904678AJ8
1707000.00000000
PA
USD
1709475.10000000
0.071680604104
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
211819.11340000
PA
USD
229646.11000000
0.009629372135
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
13419000.00000000
PA
USD
14233131.67000000
0.596814470360
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
1373.58980000
PA
USD
1486.01000000
0.000062310410
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 03/01/2051#SD8134
3132DWBB8
3920241.32780000
PA
USD
3915847.52000000
0.164196785208
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.02000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
PETROLEOS MEXICANOS 6.95% 01/28/2060
71654QDF6
2417000.00000000
PA
USD
2133002.50000000
0.089439681078
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
0.06950000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 5.00% 8/40 #737311
3620ARDQ1
27504.02210000
PA
USD
30917.95000000
0.001296431479
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
6836000.00000000
PA
USD
6742806.11000000
0.282734984161
Long
DBT
UST
US
N
2
2024-05-15
Fixed
0.00250000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 5/41 #Q00753
3132GDZS4
31615.15930000
PA
USD
34679.82000000
0.001454171779
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
6442.29670000
PA
USD
7057.37000000
0.000295925073
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
0.07500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.375% 11/15/2031
91282CDJ7
26562900.00000000
PA
USD
26226713.30000000
1.099721577115
Long
DBT
UST
US
N
2
2031-11-15
Fixed
0.01375000
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #464695
36208YGC7
2277.30720000
PA
USD
2479.77000000
0.000103980111
Long
ABS-MBS
USGA
US
N
2
2028-07-15
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 06/01/2033#MA3391
31418CXV1
8651.81650000
PA
USD
9062.71000000
0.000380011693
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
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
1895246.00000000
PA
USD
2156363.71000000
0.090419248224
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
36889.79800000
PA
USD
39962.63000000
0.001675687150
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
190812.49070000
PA
USD
221970.59000000
0.009307527196
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
1832.33420000
PA
USD
2006.07000000
0.000084117229
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
45.45300000
PA
USD
46.86000000
0.000001964903
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
2762.60940000
PA
USD
3139.90000000
0.000131660255
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 11/01/2051#RA6302
3133KNAB9
991240.28570000
PA
USD
990439.07000000
0.041530450409
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02000000
N
N
N
N
N
N
KINDER MORGAN ENERGY PARTNERS LP
549300PDHUGWPWGOT525
KINDER MORGAN ENERGY PTNRS LP 3.45% 02/15/2023
494550BM7
521000.00000000
PA
USD
532033.73000000
0.022308894215
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.03450000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
VIATRIS INC 1.125% 06/22/2022
92556VAA4
938000.00000000
PA
USD
940101.78000000
0.039419739725
Long
DBT
CORP
US
N
2
2022-06-22
Fixed
0.01125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 06/01/2046#BC9478
3140F5Q89
114359.09570000
PA
USD
123432.77000000
0.005175703068
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
479.91170000
PA
USD
544.58000000
0.000022834976
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
1792000.00000000
PA
USD
1997653.45000000
0.083764312265
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
9703.97070000
PA
USD
10508.30000000
0.000440627238
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/51#BQ1010
3140KLDQ2
72704.33600000
PA
USD
72713.73000000
0.003048985090
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
0.02000000
N
N
N
N
N
N
BX TRUST 2019
N/A
BX TRUST 2019-IMC C 1ML+160 04/15/34 144A
05608BAJ9
665897.00000000
PA
USD
659214.59000000
0.027641759769
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01710000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AK4826
3138E9LG3
120723.54700000
PA
USD
129931.89000000
0.005448219963
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 1.5% 12/01/2051#QD2778
3133B0CP6
1030275.00000000
PA
USD
997406.96000000
0.041822623465
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.01500000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
LIBERTY MUTUAL GROUP INC 4.569% 02/01/2029 144A
53079EBG8
1255000.00000000
PA
USD
1442122.58000000
0.060470151174
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
0.04569000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES INC
PZ9HF5U52KPF0MH0QN75
HEALTHPEAK PROPERTIES 3.5% 07/15/2029
40414LAR0
201000.00000000
PA
USD
217952.07000000
0.009139025215
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
3196.97900000
PA
USD
3370.74000000
0.000141339689
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
74924.93200000
PA
USD
80082.46000000
0.003357965910
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
1227000.00000000
PA
USD
1373415.19000000
0.057589157341
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
0.04550000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+107.21 10/15/2036 144A
05609PAJ7
530325.00000000
PA
USD
528094.03000000
0.022143697263
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01208600
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 1/24 #382114
36204WN78
190.19550000
PA
USD
200.01000000
0.000008386689
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
ANHEUSER-BUSCH INBEV FIN INC 4.7% 02/01/2036
035242AM8
2842000.00000000
PA
USD
3383542.96000000
0.141876534724
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
696000.00000000
PA
USD
742881.23000000
0.031150015197
Long
DBT
CORP
GB
N
2
2030-04-15
Fixed
0.03400000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028
681936BK5
1958000.00000000
PA
USD
2160258.21000000
0.090582549879
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 15YR 3% 02/01/2033#MA3283
31418CUH5
959228.84690000
PA
USD
1005384.25000000
0.042157122029
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
2778000.00000000
PA
USD
3023561.31000000
0.126782017033
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
11234100.00000000
PA
USD
11825206.77000000
0.495846921040
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 02/34#G30703
3132J4AD1
4884608.08520000
PA
USD
5210152.07000000
0.218468726366
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
1462041.58270000
PA
USD
1417460.13000000
0.059436021274
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
240966.23870000
PA
USD
257539.01000000
0.010798959175
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
223602.00000000
PA
USD
230784.50000000
0.009677106369
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
1606000.00000000
PA
USD
1812319.46000000
0.075993007281
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
359.43700000
PA
USD
403.16000000
0.000016905044
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 2/1/43 #Q15635
3132J6V50
13531.95810000
PA
USD
14354.44000000
0.000601901092
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
410655.96520000
PA
USD
440351.52000000
0.018464535091
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
13776.13960000
PA
USD
15111.55000000
0.000633647739
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
371000.00000000
PA
USD
379181.43000000
0.015899590445
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
16935.77310000
PA
USD
19052.42000000
0.000798893751
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
618.93920000
PA
USD
713.47000000
0.000029916762
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
145339.94260000
PA
USD
156533.39000000
0.006563656854
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
173882.17410000
PA
USD
188675.03000000
0.007911399311
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
2620.33600000
PA
USD
3006.50000000
0.000126066613
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 4.5% 10/01/2048#G67716
3132XCSD8
1034445.88650000
PA
USD
1134317.19000000
0.047563454668
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% 08/09/2042
02209SAM5
1696000.00000000
PA
USD
1721859.45000000
0.072199896657
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
12329.72390000
PA
USD
13046.10000000
0.000547040626
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
19.07630000
PA
USD
19.58000000
0.000000821015
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
366.32550000
PA
USD
406.97000000
0.000017064802
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
23233.72590000
PA
USD
24740.27000000
0.001037392998
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
81474.93900000
PA
USD
89191.19000000
0.003739907284
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
1492.94380000
PA
USD
1716.15000000
0.000071960491
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
11677.22940000
PA
USD
12511.05000000
0.000524605255
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
785174.82740000
PA
USD
808024.04000000
0.033881541367
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
920000.00000000
PA
USD
1181654.84000000
0.049548386387
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
1276002.85560000
PA
USD
1272913.27000000
0.053374975842
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.01360000
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
739991.09010000
PA
USD
694475.79000000
0.029120309598
Long
ABS-CBDO
CORP
US
N
2
2040-01-16
Fixed
0.03351000
N
N
N
N
N
N
DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC
N/A
DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC 3ML+115 10/15/2035 144A
26246BAL8
1717039.00000000
PA
USD
1717341.20000000
0.072010440321
Long
ABS-CBDO
CORP
KY
N
2
2035-10-15
Variable
0.01273750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 09/01/2043#AU8060
3138X75W9
6417.37880000
PA
USD
7034.39000000
0.000294961491
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
43487.99610000
PA
USD
47655.62000000
0.001998264631
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
6314000.00000000
PA
USD
6542882.50000000
0.274351916669
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
39385.64460000
PA
USD
41674.01000000
0.001747447630
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
37926.06910000
PA
USD
40129.63000000
0.001682689686
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
838750.30570000
PA
USD
875950.14000000
0.036729774654
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
0.03000000
N
N
N
N
N
N
PEACE PARK CLO LTD
N/A
PEACE PARK CLO LTD 3ML+113 10/20/2034 144A
70470MAC9
760982.00000000
PA
USD
760979.72000000
0.031908909372
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Variable
0.01268160
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 5.55% 03/15/2026
674599DC6
1587000.00000000
PA
USD
1766807.10000000
0.074084612442
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
46132.77600000
PA
USD
53205.32000000
0.002230971061
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
478000.00000000
PA
USD
520117.06000000
0.021809212117
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
23244.34120000
PA
USD
25089.99000000
0.001052057230
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
1823166.00000000
PA
USD
1811368.29000000
0.075953123436
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.01151500
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 7.25% 06/15/2037
761713AT3
909000.00000000
PA
USD
1209648.95000000
0.050722217299
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
64606.84730000
PA
USD
75231.00000000
0.003154537628
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
7586.20840000
PA
USD
8215.00000000
0.000344466066
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
18744.62470000
PA
USD
20174.40000000
0.000845939890
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
3978.17570000
PA
USD
4332.05000000
0.000181648718
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
444749.00000000
PA
USD
444981.16000000
0.018658662161
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Variable
0.01373750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/30 #527717
31384MG22
40.99170000
PA
USD
47.18000000
0.000001978321
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
0.07500000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
VIATRIS INC 4% 06/22/2050
92556VAF3
1153000.00000000
PA
USD
1228043.60000000
0.051493529864
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 30YR 4.5% 11/01/2048#BN2842
3140JKEQ5
3746.22900000
PA
USD
4014.81000000
0.000168346415
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
704.82880000
PA
USD
763.82000000
0.000032028006
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% 7/28 #457782
36208QRB4
58.63180000
PA
USD
65.39000000
0.000002741891
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
613000.00000000
PA
USD
666637.50000000
0.027953012429
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
3368.10100000
PA
USD
3630.61000000
0.000152236390
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
0.04000000
N
N
N
N
N
N
NATWEST GROUP PLC (UNGTD)
2138005O9XJIJN4JPN90
NATWEST GRP PLC(UNGTD) 6% 12/19/2023
780097AZ4
3200000.00000000
PA
USD
3477260.38000000
0.145806232957
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
1070000.00000000
PA
USD
1099002.70000000
0.046082670316
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
815856.17780000
PA
USD
874007.39000000
0.036648312518
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
666502.32130000
PA
USD
728983.58000000
0.030567267927
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
1534000.00000000
PA
USD
1891143.07000000
0.079298187908
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 30YR 4% 06/47#BH4269
3140GSW73
17311.18240000
PA
USD
18706.35000000
0.000784382567
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
690104.50410000
PA
USD
727192.24000000
0.030492154616
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
1549000.00000000
PA
USD
1716029.09000000
0.071955421773
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
121000.00000000
PA
USD
122939.52000000
0.005155020428
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
134236.11650000
PA
USD
142119.33000000
0.005959255814
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
2986767.33240000
PA
USD
2931284.25000000
0.122912715044
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
50653.43810000
PA
USD
53090.74000000
0.002226166567
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
99.88550000
PA
USD
110.85000000
0.000004648090
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 LP 5.25% 04/15/2029
29278NAG8
629000.00000000
PA
USD
720456.60000000
0.030209720117
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.05250000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2% 08/15/2051
912810SZ2
108411200.00000000
PA
USD
110511667.00000000
4.633903735201
Long
DBT
UST
US
N
2
2051-08-15
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 6/41 #AE1246
31419BL45
45731.83960000
PA
USD
49860.85000000
0.002090732909
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 2.5% 05/01/2051#SD7540
3132DVLV5
705684.90230000
PA
USD
726827.29000000
0.030476851769
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 9/29 #502726
31383GPK6
6479.24300000
PA
USD
7462.99000000
0.000312933269
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
0.07500000
N
N
N
N
N
N
SABRA HEALTH CARE LP
549300OVKLRFSIQG0H81
SABRA HEALTH CARE LP 3.2% 12/01/2031
78574MAA1
2870000.00000000
PA
USD
2804680.52000000
0.117604049332
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
0.03200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 4/41 #Q00114
3132GDDT6
28737.84920000
PA
USD
31523.59000000
0.001321826784
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
31518.09620000
PA
USD
34499.20000000
0.001446598138
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
368000.00000000
PA
USD
502281.75000000
0.021061353435
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
2288098.62280000
PA
USD
2265312.14000000
0.094987603317
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
1761000.00000000
PA
USD
1855321.47000000
0.077796139749
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
55.72690000
PA
USD
57.40000000
0.000002406859
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
1757000.00000000
PA
USD
1771349.44000000
0.074275078905
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
101607.03670000
PA
USD
108854.79000000
0.004564428640
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
1324000.00000000
PA
USD
1370834.66000000
0.057480952226
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
782000.00000000
PA
USD
843142.42000000
0.035354102561
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
2566.01590000
PA
USD
2878.50000000
0.000120699400
Long
ABS-MBS
USGA
US
N
2
2028-03-15
Fixed
0.07500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2.5% 01/01/2052 #TBA
21H022614
22950000.00000000
PA
USD
23524544.07000000
0.986415964885
Long
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 02/01/2043#Q15107
3132J6DM3
8006.00490000
PA
USD
8669.59000000
0.000363527639
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
344648.08320000
PA
USD
368048.62000000
0.015432776658
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
1751000.00000000
PA
USD
2271922.50000000
0.095264784656
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
1026911.00000000
PA
USD
1072598.17000000
0.044975492644
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
39019.24170000
PA
USD
42096.88000000
0.001765179141
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
539834.00000000
PA
USD
534415.20000000
0.022408752475
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.00990000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2045#Q33724
3132QQD66
8877.68320000
PA
USD
9555.72000000
0.000400684269
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
31362.91430000
PA
USD
35170.18000000
0.001474733237
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
9873.41240000
PA
USD
10791.80000000
0.000452514776
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
1992000.00000000
PA
USD
1976597.76000000
0.082881418692
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
5444.30570000
PA
USD
5898.13000000
0.000247316571
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
610.45310000
PA
USD
597.57000000
0.000025056918
Long
ABS-CBDO
CORP
US
N
3
2034-07-20
Variable
0.01191500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 3.228% 7/41#AI3469
3138AG2B3
16439.75130000
PA
USD
17378.73000000
0.000728713664
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Variable
0.02068000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA GROUP LTD 3.375% 04/07/2030 144A
00131LAJ4
2257000.00000000
PA
USD
2438668.64000000
0.102256675938
Long
DBT
CORP
HK
N
2
2030-04-07
Fixed
0.03375000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 7.3% 08/15/2031
023551AJ3
411000.00000000
PA
USD
547225.67000000
0.022945912816
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
795023.68540000
PA
USD
849950.92000000
0.035639592179
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
61369.60070000
PA
USD
64935.27000000
0.002722823737
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
EQUITABLE HOLDINGS INC 4.35% 04/20/2028
054561AJ4
1304000.00000000
PA
USD
1461802.00000000
0.061295335884
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
42577.79800000
PA
USD
45548.60000000
0.001909914431
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2042#Q13121
3132HPPE8
36815.93810000
PA
USD
39867.48000000
0.001671697382
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
1190000.00000000
PA
USD
1246762.06000000
0.052278420220
Long
DBT
CORP
US
N
2
2031-01-30
Fixed
0.03250000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-MOBILE USA INC 4.5% 04/15/2050
87264AAZ8
793000.00000000
PA
USD
928129.79000000
0.038917737985
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
125.49480000
PA
USD
139.57000000
0.000005852358
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
538358.47480000
PA
USD
533626.47000000
0.022375679959
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01860000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19606
3132JBDL4
15747.75370000
PA
USD
17048.11000000
0.000714850320
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
1318912.00000000
PA
USD
1319422.42000000
0.055325167435
Long
ABS-CBDO
CORP
US
N
2
2033-04-17
Variable
0.01302250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 05/01/2041#
3132GDVM1
3165.48630000
PA
USD
3472.34000000
0.000145599914
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 GRP AG 3.8% 06/09/2023
225433AT8
2632000.00000000
PA
USD
2726881.68000000
0.114341838698
Long
DBT
CORP
CH
N
2
2023-06-09
Fixed
0.03800000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.5% 09/13/2025
172967HB0
1694000.00000000
PA
USD
1915785.14000000
0.080331463248
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
784.39790000
PA
USD
866.16000000
0.000036319260
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
175343.29490000
PA
USD
187083.62000000
0.007844669337
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
11594.56500000
PA
USD
12578.89000000
0.000527449878
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 2% 12/01/2051#CB2348
3140QMTE4
699120.14500000
PA
USD
700739.80000000
0.029382968013
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
PLAINS ALL AM PIPELN/PAA FIN C
N/A
PLAINS ALL AM PIPELN/PAA FIN C 3.65% 06/01/2022
72650RAZ5
661000.00000000
PA
USD
664245.25000000
0.027852702150
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
70470.49200000
PA
USD
81221.77000000
0.003405738720
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
216553.39180000
PA
USD
235777.31000000
0.009886461648
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
291.97000000
PA
USD
336.23000000
0.000014098578
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
48140.11280000
PA
USD
52203.78000000
0.002188975134
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
10611.40780000
PA
USD
11335.96000000
0.000475332141
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03000000
N
N
N
N
N
N
CRPT 2021
N/A
CRPT 2021 1ML+220 07/15/2034 144A
12566BAL0
380000.00000000
PA
USD
377139.66000000
0.015813976267
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
0.02410000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 07/01/2043#Q19690
3132JBF81
27146.27140000
PA
USD
29335.25000000
0.001230066727
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
662000.00000000
PA
USD
692453.09000000
0.029035495050
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.03700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#FM9865
3140XD6B7
3600364.00000000
PA
USD
3706543.77000000
0.155420395753
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
DUQUESNE LIGHT HLDGS INC
4CUJ1D8WDXK9X7QI6B93
DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A
266233AH8
405000.00000000
PA
USD
395900.93000000
0.016600661704
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
621.05190000
PA
USD
669.82000000
0.000028086458
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
197.73200000
PA
USD
226.91000000
0.000009514643
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
53642.26860000
PA
USD
57331.59000000
0.002403991146
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
539.69380000
PA
USD
613.83000000
0.000025738722
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
1578400.00000000
PA
USD
1578688.85000000
0.066196559669
Long
ABS-CBDO
CORP
KY
N
2
2033-01-17
Variable
0.01452250
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 05/01/2040#
312940LA5
10378.98980000
PA
USD
11633.62000000
0.000487813428
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
0.05000000
N
N
N
N
N
N
OREILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
OREILLY AUTOMOTIVE INC 4.2% 04/01/2030
67103HAJ6
361000.00000000
PA
USD
406545.44000000
0.017047000412
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
0.04200000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 11/01/2029#
31292G6T8
1408.73740000
PA
USD
1616.23000000
0.000067770710
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
11940.82650000
PA
USD
12915.63000000
0.000541569842
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 COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047
161175BL7
5574000.00000000
PA
USD
6653158.23000000
0.278975927246
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
1331794.00000000
PA
USD
1331048.20000000
0.055812652122
Long
ABS-CBDO
CORP
KY
N
2
2029-01-20
Variable
0.01131500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 8/40 #A93459
312941ZY6
4514.09380000
PA
USD
4970.45000000
0.000208417694
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
1521000.00000000
PA
USD
1588150.37000000
0.066593294005
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
67026.23720000
PA
USD
72684.15000000
0.003047744761
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.584% 03/18/2024
345397ZQ9
1916000.00000000
PA
USD
2064490.00000000
0.086566859246
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
3482.21900000
PA
USD
3779.58000000
0.000158482903
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2051#CB1801
3140QMAB0
1695263.66800000
PA
USD
1698131.55000000
0.071204953703
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.50% 7/42 #Q09199
3132GURU0
50936.55650000
PA
USD
54842.75000000
0.002299630717
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 9/41 #G06719
3128M8YQ1
389193.02980000
PA
USD
426904.74000000
0.017900693410
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
0.04500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC 5.95% 02/14/2049
02209SBF9
407000.00000000
PA
USD
507907.82000000
0.021297262163
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
175392.60420000
PA
USD
187455.46000000
0.007860261091
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
128557700.00000000
PA
USD
127287188.68000000
5.337324058894
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
5400000.00000000
PA
USD
5681718.00000000
0.238242123906
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
9580.44300000
PA
USD
10144.78000000
0.000425384352
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
12774.85500000
PA
USD
13679.75000000
0.000573610428
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
953469.63020000
PA
USD
1009552.71000000
0.042331911197
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
223.46780000
PA
USD
257.19000000
0.000010784324
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
79563.09350000
PA
USD
85060.01000000
0.003566681317
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
29024.44330000
PA
USD
31412.04000000
0.001317149342
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2050#CA7323
3140QFD55
251011.15590000
PA
USD
252141.76000000
0.010572645180
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 05/20/2050#MA6657
36179VME7
682829.29630000
PA
USD
710464.63000000
0.029790743294
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
606.44800000
PA
USD
673.73000000
0.000028250410
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
13678.89260000
PA
USD
14804.14000000
0.000620757622
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
28138.53720000
PA
USD
30520.68000000
0.001279773411
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
0.04000000
N
N
N
N
N
N
MOODYS CORP
549300GCEDD8YCF5WU84
MOODYS CORP 4.875% 02/15/2024
615369AC9
687000.00000000
PA
USD
733989.02000000
0.030777152799
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.04875000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 01/01/2052 #TBA
01F022618
22175000.00000000
PA
USD
22642763.89000000
0.949441728764
Long
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
0.02500000
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
1839000.00000000
PA
USD
1891530.59000000
0.079314437146
Long
DBT
CORP
IE
N
2
2024-08-14
Fixed
0.02875000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 02/01/2047#Q46222
3132WK4G0
72465.34450000
PA
USD
78988.83000000
0.003312108524
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
499.16200000
PA
USD
574.88000000
0.000024105496
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
0.07500000
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
899000.00000000
PA
USD
939776.69000000
0.039406108262
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 ARM 3.99% 5/34 #725828
31402DLH1
13240.90590000
PA
USD
13667.56000000
0.000573099284
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Variable
0.01438000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.95% 06/15/2028
29278NAF0
1242000.00000000
PA
USD
1397125.80000000
0.058583375302
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
3650.70880000
PA
USD
4203.94000000
0.000176276892
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
472355.00000000
PA
USD
467612.60000000
0.019607629063
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.01510000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 9/27 #452409
36208JR61
111.00270000
PA
USD
115.15000000
0.000004828395
Long
ABS-MBS
USGA
US
N
2
2027-09-15
Fixed
0.07500000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300NKHFE6ZRF37I48
CENOVUS ENERGY INC 4.25% 04/15/2027
15135UAM1
1963000.00000000
PA
USD
2139651.29000000
0.089718473840
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
14754.83650000
PA
USD
15977.81000000
0.000669971193
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
4425.08740000
PA
USD
5057.46000000
0.000212066141
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
31532.51970000
PA
USD
33453.29000000
0.001402741716
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
79910.09380000
PA
USD
85103.36000000
0.003568499041
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
3352699.84940000
PA
USD
3433502.60000000
0.143971410031
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
21517.44950000
PA
USD
22681.56000000
0.000951068502
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
19756.56740000
PA
USD
22229.06000000
0.000932094564
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
1338000.00000000
PA
USD
1447165.27000000
0.060681597990
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
3654.82360000
PA
USD
3958.90000000
0.000166002033
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
2280000.00000000
PA
USD
2558160.00000000
0.107267110351
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
16964.29240000
PA
USD
17675.25000000
0.000741147149
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Variable
0.01666000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 08/15/2023
91282CAF8
35017700.00000000
PA
USD
34731813.40000000
1.456351932910
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
381000.00000000
PA
USD
397558.96000000
0.016670185146
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
91658.94770000
PA
USD
100483.16000000
0.004213394866
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
2676000.00000000
PA
USD
2653740.87000000
0.111274945565
Long
DBT
CORP
US
N
2
2030-11-18
Fixed
0.02750000
N
N
N
N
N
N
FLATIRON CLO LTD
N/A
FLATIRON CLO LTD 3ML+109 11/16/2034 144A
33883JAN1
1993704.00000000
PA
USD
1993698.02000000
0.083598455733
Long
ABS-CBDO
CORP
KY
N
2
2034-11-16
Variable
0.00000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 4.50% 6/41 #Q01393
3132GERN2
28792.50710000
PA
USD
31583.55000000
0.001324340988
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
1472000.00000000
PA
USD
1578892.02000000
0.066205078862
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
53013.63910000
PA
USD
56799.11000000
0.002381663539
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 7.50% 9/22 #179985
31367U2S3
2.41460000
PA
USD
2.46000000
0.000000103151
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
2298000.00000000
PA
USD
2448289.20000000
0.102660079037
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
0.03950000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2% 02/01/2052 #TBA
01F020620
18250000.00000000
PA
USD
18166164.98000000
0.761731878998
Long
ABS-MBS
USGA
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 04/01/2046#Q39975
3132QXCM7
19651.73460000
PA
USD
21274.46000000
0.000892066895
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
656000.00000000
PA
USD
716756.64000000
0.030054575788
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
272507.34730000
PA
USD
305809.54000000
0.012823007815
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 30YR 2.5% 12/01/2051#CB2320
3140QMSJ4
998247.71800000
PA
USD
1027687.44000000
0.043092324965
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/24 #436781
31380DFW1
192.63690000
PA
USD
200.73000000
0.000008416880
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
0.07000000
N
N
N
N
N
N
CEDAR FUNDING LTD
549300ZKTUZSV15HAV29
CEDAR FUNDING LTD 3ML+110 10/20/2032 144A
15033XAJ5
1561530.00000000
PA
USD
1560892.90000000
0.065450351405
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Variable
0.01100000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.05% 07/30/2022
172967GK1
552000.00000000
PA
USD
563247.88000000
0.023617745762
Long
DBT
CORP
US
N
2
2022-07-30
Fixed
0.04050000
N
N
N
N
N
N
TERWIN MORTGAGE TRUST
N/A
TMTS 2003-4HE A 1ML+43 9/34
881561BU7
2684.82630000
PA
USD
2658.01000000
0.000111453955
Long
ABS-CBDO
CORP
US
N
2
2034-09-25
Variable
0.00961880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 12/25 #330740
31375CLV5
696.58890000
PA
USD
756.09000000
0.000031703876
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
0.07000000
N
N
N
N
N
N
DRYDEN 76 CLO LTD
N/A
DRYDEN 76 CLO LTD 3ML+115 10/20/2034 144A
26252WAU3
1290693.00000000
PA
USD
1290170.27000000
0.054098585203
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Variable
0.01310000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 02/01/2050#SD7512
3132DVKZ7
2106492.74570000
PA
USD
2211241.26000000
0.092720338153
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
0.03000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 02/01/2052 #TBA
21H020626
2050000.00000000
PA
USD
2065988.77000000
0.086629704700
Long
ABS-MBS
USGA
US
N
2
2052-02-01
Fixed
0.02000000
N
N
N
N
N
N
BARCLAYS PLC (UNGTD)
213800LBQA1Y9L22JB70
BARCLAYS PLC (UNGTD) 2.852%/VAR 05/07/2026
06738EBL8
2482000.00000000
PA
USD
2559826.96000000
0.107337008240
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
4972000.00000000
PA
USD
4773120.00000000
0.200143380305
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
93210.24840000
PA
USD
98625.90000000
0.004135517441
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
1845.29140000
PA
USD
2066.97000000
0.000086670849
Long
ABS-MBS
USGA
US
N
2
2028-09-15
Fixed
0.07000000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 2.2% 06/15/2028
756109BJ2
244000.00000000
PA
USD
246282.85000000
0.010326973155
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.02200000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORP
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036
674599DF9
1412000.00000000
PA
USD
1800307.06000000
0.075489311095
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
55355.92400000
PA
USD
60304.59000000
0.002528653059
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
65290.00680000
PA
USD
69862.02000000
0.002929409031
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
384658.14490000
PA
USD
406532.58000000
0.017046461175
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2.5% 06/01/2033#MA3397
31418CX33
43664.07520000
PA
USD
45209.44000000
0.001895692993
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 05/51#MA7368
36179WFH6
43017.88470000
PA
USD
44533.25000000
0.001867339432
Long
ABS-MBS
USGA
US
N
2
2051-05-20
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
14341.28970000
PA
USD
15501.59000000
0.000650002644
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
17507.70020000
PA
USD
19083.78000000
0.000800208718
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
15886.02080000
PA
USD
16809.02000000
0.000704824953
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
0.03000000
N
N
N
N
N
N
GS MTG SECS CORP TR 2021-IP
N/A
GSMS 2021-IP A 1ML+105 10/15/2036 144A
36262MAA6
1559690.00000000
PA
USD
1558700.84000000
0.065358435363
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01060000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 08/01/2042#Q10538
3132HLS38
9706.61020000
PA
USD
10278.38000000
0.000430986381
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
124532.97120000
PA
USD
134233.31000000
0.005628584324
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
1082000.00000000
PA
USD
1271694.10000000
0.053323854394
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
0.04350000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3.0% 8/45#Q35579
3132QSFV5
26768.99650000
PA
USD
28596.80000000
0.001199102519
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
0.03000000
N
N
N
N
N
N
PACIFIC LIFECORP
VFN8KLUEIK7XMVX1JM30
PACIFIC LIFECORP 5.125% 01/30/2043 144A
694476AD4
1611000.00000000
PA
USD
2032093.12000000
0.085208414230
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
373000.00000000
PA
USD
370862.83000000
0.015550780291
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
50.03290000
PA
USD
55.62000000
0.000002332221
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
0.07000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/44#Q28495
3132M9C85
21616.44660000
PA
USD
23360.87000000
0.000979552889
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
1812.01380000
PA
USD
1913.99000000
0.000080256190
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
806652.55000000
PA
USD
805639.72000000
0.033781563603
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01190000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.625% 09/30/2026
912828YG9
31567200.00000000
PA
USD
32103595.86000000
1.346147215108
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.01625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 1.5% 11/01/2051#BU0209
3140M1GT5
894731.78000000
PA
USD
866187.87000000
0.036320429463
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.01500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 02/01/2045#Q31307
3132QMNZ0
5365.75900000
PA
USD
5768.86000000
0.000241896105
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
0.03500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 04/01/2051#MA4305
31418DYB2
4375064.49180000
PA
USD
4370160.92000000
0.183246760820
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4% 04/15/2042#792254
36177LQG2
7638.59730000
PA
USD
8363.43000000
0.000350689936
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 12/51#RA6435
3133KNEG4
1700037.11800000
PA
USD
1746986.02000000
0.073253487737
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 4.50% #MA0022
31417YAY3
1003.12540000
PA
USD
1091.42000000
0.000045764717
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
15108.38780000
PA
USD
16353.22000000
0.000685712642
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
28.22330000
PA
USD
30.65000000
0.000001285195
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% 01/11/2023
06051GEU9
1332000.00000000
PA
USD
1368457.91000000
0.057381291883
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
909000.00000000
PA
USD
1059076.78000000
0.044408522465
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
0.05150000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 06/20/2051#MA7419
36179WG44
2448155.30850000
PA
USD
2536689.91000000
0.106366840425
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
0.03000000
N
N
N
N
N
N
VOYA CLO 2020-3 LTD / VOYA CLO 2020-3 LLC
N/A
VOYA CLO 2020-3 LTD / LLC 3ML+115 10/20/2034 144A
92918NAQ0
2613900.00000000
PA
USD
2610841.74000000
0.109476126995
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Variable
0.01281500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 4.00% 2/41 #AH4545
3138A6BP4
10443.33450000
PA
USD
11313.17000000
0.000474376526
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
0.04000000
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP 1ML+132.9 11/15/2038 144A
78472UAE8
878763.00000000
PA
USD
872197.76000000
0.036572432283
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.01429000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #479596
36209RXZ1
3617.74770000
PA
USD
3923.43000000
0.000164514728
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 HOLDINGS FUNDING LTD 3.95% 07/01/2024 144A
05401AAF8
640000.00000000
PA
USD
670591.19000000
0.028118796001
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
17673.06420000
PA
USD
19000.75000000
0.000796727158
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
242.34120000
PA
USD
267.91000000
0.000011233828
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
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
1020689.95720000
PA
USD
1020688.94000000
0.042798868390
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.02360000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 09/01/2040#AE3951
31419EL98
21247.43740000
PA
USD
22985.69000000
0.000963821084
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
615000.00000000
PA
USD
679611.00000000
0.028497008839
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
0.03600000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.7% 10/27/2022
172967LQ2
3067000.00000000
PA
USD
3115261.73000000
0.130627139727
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
34360.36570000
PA
USD
37610.30000000
0.001577050771
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
12353900.00000000
PA
USD
10828000.38000000
0.454032707747
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
111360.27280000
PA
USD
119854.42000000
0.005025658010
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
42084.58260000
PA
USD
45154.13000000
0.001893373770
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
67089.46460000
PA
USD
72454.52000000
0.003038116064
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 LP 5% 05/15/2050
29278NAR4
1588000.00000000
PA
USD
1827308.41000000
0.076621514237
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
63136.44660000
PA
USD
67557.66000000
0.002832784098
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
402000.00000000
PA
USD
414953.03000000
0.017399542037
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
0.03100000
N
N
N
N
N
N
AIMCO CLO 11 LTD
549300VLRW0CEQ83RF89
AIMCO CLO 11 LTD 3ML+113 10/17/2034 144A
00140NAN0
1280878.00000000
PA
USD
1277876.90000000
0.053583107564
Long
ABS-CBDO
CORP
KY
N
2
2034-10-17
Variable
0.01253020
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/48#BJ5454
3140H7BY2
85812.79940000
PA
USD
92957.20000000
0.003897821180
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
1656308.00000000
PA
USD
1653189.83000000
0.069320486571
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
0.01110000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/01/2050#FM3897
3140X7KK4
232191.60360000
PA
USD
232439.28000000
0.009746493533
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2043#AV3928
3138XFLJ2
101513.07530000
PA
USD
111273.18000000
0.004665835005
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
0.04500000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 8% 11/01/2031
36186CBY8
829000.00000000
PA
USD
1173506.70000000
0.049206723851
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
274136.94720000
PA
USD
295973.65000000
0.012410575638
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
275213.06130000
PA
USD
298789.13000000
0.012528632524
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
0.04500000
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP B 1ML+107.98 11/15/2038 144A
78472UAC2
1414917.00000000
PA
USD
1404992.35000000
0.058913230388
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.01179800
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 4.5% 11/15/2023
96950FAL8
537000.00000000
PA
USD
565727.82000000
0.023721733002
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
4122000.00000000
PA
USD
4513414.77000000
0.189253588593
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
2546000.00000000
PA
USD
2657705.93000000
0.111441205896
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
1425000.00000000
PA
USD
1543508.69000000
0.064721407956
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
23688.50190000
PA
USD
25936.08000000
0.001087534929
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
1997385.00000000
PA
USD
1997390.99000000
0.083753306962
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Variable
0.01201500
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 9/40 #004801
36202FKN5
277618.07550000
PA
USD
304052.23000000
0.012749321429
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
36187.94180000
PA
USD
38789.90000000
0.001626512995
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
11256.79980000
PA
USD
11948.03000000
0.000500997065
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
2705000.00000000
PA
USD
2958603.16000000
0.124058233906
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
38219.76890000
PA
USD
40674.17000000
0.001705522985
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
1402000.00000000
PA
USD
1385240.41000000
0.058085004817
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
2070385.00000000
PA
USD
2070413.99000000
0.086815260163
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Variable
0.01351500
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 05/01/2033#G18687
3128MMXR9
15487.86230000
PA
USD
16041.31000000
0.000672633834
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
31767.94620000
PA
USD
33673.28000000
0.001411966195
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 2% 12/01/2051#CB2346
3140QMTC8
399585.28200000
PA
USD
401385.09000000
0.016830619954
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
INVESCO CLO LTD
N/A
INVESCO CLO LTD 3ML+113 10/22/2034 144A
46146JAA4
1367988.00000000
PA
USD
1364766.39000000
0.057226501454
Long
ABS-CBDO
CORP
KY
N
2
2034-10-22
Variable
0.01248470
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% 10/29/2028
00774MAW5
1295000.00000000
PA
USD
1313305.78000000
0.055068688443
Long
DBT
CORP
IE
N
2
2028-10-29
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
98748.08470000
PA
USD
104485.50000000
0.004381218398
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
7856.29840000
PA
USD
8439.14000000
0.000353864559
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
1267.61100000
PA
USD
1402.95000000
0.000058827591
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 7.50% 9/29 #501816
31383FN95
3107.47690000
PA
USD
3589.60000000
0.000150516785
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
389846.00000000
PA
USD
429727.60000000
0.018019059750
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
397000.00000000
PA
USD
419499.75000000
0.017590192159
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
65212.94140000
PA
USD
75641.13000000
0.003171734934
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
1904754.00000000
PA
USD
1905399.71000000
0.079895988115
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Variable
0.01113750
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 02/47#AL9779
3138ER2M1
1252245.88820000
PA
USD
1358256.27000000
0.056953523313
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
25031.89330000
PA
USD
27104.06000000
0.001136509911
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
41876.20940000
PA
USD
44672.55000000
0.001873180469
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
41.00820000
PA
USD
47.15000000
0.000001977063
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
0.07500000
N
N
N
N
N
N
MAGNE 2020-27A AR
N/A
MAGNE 2020-27A AR 3ML+114 10/20/2034 144A
55955EAL2
461006.00000000
PA
USD
461005.08000000
0.019330566809
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Variable
0.01271500
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 10/41 #772072
36176PQZ2
6154.36150000
PA
USD
6677.78000000
0.000280008351
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% 12/01/2051#CB2376
3140QMUA0
898121.20400000
PA
USD
922924.08000000
0.038699455521
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 2/32 #581866
36201FMP9
3551.89250000
PA
USD
4085.41000000
0.000171306769
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
740.67100000
PA
USD
818.82000000
0.000034334230
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
60410.26210000
PA
USD
64500.87000000
0.002704608757
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 LP 4.25% 03/15/2023
29278NAL7
312000.00000000
PA
USD
320608.72000000
0.013443557458
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
9977.45490000
PA
USD
10745.87000000
0.000450588869
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
1439000.00000000
PA
USD
1883300.52000000
0.078969339175
Long
DBT
CORP
US
N
2
2039-01-23
Fixed
0.05450000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.75% 08/31/2026
91282CCW9
15336200.00000000
PA
USD
14992932.75000000
0.628673957762
Long
DBT
UST
US
N
2
2026-08-31
Fixed
0.00750000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 02/01/2046#AS6620
3138WGLA0
163072.46250000
PA
USD
174797.58000000
0.007329499055
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
334453.43440000
PA
USD
365170.88000000
0.015312109126
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
251.06170000
PA
USD
262.65000000
0.000011013269
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
5075.24510000
PA
USD
5526.71000000
0.000231742428
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
521.36550000
PA
USD
588.90000000
0.000024693373
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 2% 11/01/2050#CA7616
3140QFPA1
173166.05900000
PA
USD
173026.09000000
0.007255218082
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
0.02000000
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
405000.00000000
PA
USD
419550.04000000
0.017592300887
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.03550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 01/01/2035#CA5039
3140QCS56
123954.97220000
PA
USD
131236.36000000
0.005502918156
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
6263.86960000
PA
USD
6584.74000000
0.000276107058
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
1158000.00000000
PA
USD
1424340.96000000
0.059724543787
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
29320.55760000
PA
USD
31219.75000000
0.001309086362
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
0.03500000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
REALTY INCOME CORP 2.85% 12/15/2032
756109BL7
301000.00000000
PA
USD
312346.72000000
0.013097120618
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
0.02850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 10/01/2051#CB1799
3140QL7M2
1281297.14560000
PA
USD
1286267.55000000
0.053934938873
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
EMERA US FINANCE LP
N/A
EMERA US FINANCE LP 3.55% 06/15/2026
29103DAJ5
580000.00000000
PA
USD
616889.11000000
0.025866995120
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
0.03550000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/25 #303237
31373TZA1
197.97980000
PA
USD
208.33000000
0.000008735558
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
12535.47110000
PA
USD
13794.23000000
0.000578410729
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 2% 03/01/2051#MA4281
31418DXK3
2499383.21890000
PA
USD
2496581.91000000
0.104685057714
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR3691
3138W1C54
39052.87190000
PA
USD
41321.90000000
0.001732683181
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
0.03000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/27 #250912
31371FVD1
193.64050000
PA
USD
214.44000000
0.000008991759
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
2356000.00000000
PA
USD
3099612.50000000
0.129970946338
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9287
3138YPJ94
38135.44010000
PA
USD
40972.77000000
0.001718043688
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
62213.93400000
PA
USD
65867.54000000
0.002761915080
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
3132569.00000000
PA
USD
3101941.87000000
0.130068619974
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.01121500
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/27 #313644
31374GLZ8
158.18230000
PA
USD
175.36000000
0.000007353082
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
57394.51310000
PA
USD
61486.10000000
0.002578195372
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
0.03500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.25% 09/30/2028
91282CCY5
19716200.00000000
PA
USD
19484380.67000000
0.817006446611
Long
DBT
UST
US
N
2
2028-09-30
Fixed
0.01250000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 2.45% 07/15/2028
15135BAY7
3009000.00000000
PA
USD
2963865.00000000
0.124278869977
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
0.02450000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 11/01/2031#
31298YN64
64.89700000
PA
USD
76.58000000
0.000003211103
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
15361.01310000
PA
USD
16600.63000000
0.000696086878
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
20427.25450000
PA
USD
22962.78000000
0.000962860437
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
130481.64270000
PA
USD
140875.31000000
0.005907092372
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
88576.43920000
PA
USD
94918.63000000
0.003980066594
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
1129357.00000000
PA
USD
1158545.12000000
0.048579364556
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
133807.93570000
PA
USD
146661.70000000
0.006149723534
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 15YR 1.5% 01/01/2037 #TBA
01F012411
600000.00000000
PA
USD
602339.10000000
0.025256893512
Long
ABS-MBS
USGA
US
N
2
2037-01-01
Fixed
0.01500000
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
113488.00000000
PA
USD
112338.18000000
0.004710491896
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
40513.15620000
PA
USD
43845.83000000
0.001838514981
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
926612.00000000
PA
USD
926759.33000000
0.038860272743
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Variable
0.01461500
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.412%/VAR 03/31/2031
172967MP3
3258000.00000000
PA
USD
3720830.21000000
0.156019445514
Long
DBT
CORP
US
N
2
2031-03-31
Variable
0.04412000
N
N
N
N
N
N
AFFILIATED MANAGERS GROUP INC
2JE75BUE3T1BLCYYGK54
AFFILIATED MANAGERS GROUP INC 4.25% 02/15/2024
008252AM0
1315000.00000000
PA
USD
1396400.75000000
0.058552972974
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
22968.82660000
PA
USD
24598.78000000
0.001031460131
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
71654QDE9
467000.00000000
PA
USD
453258.53000000
0.019005743485
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
0.05950000
N
N
N
N
N
N
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP
N/A
ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+70.1 11/15/2036 144A
26863LAA2
3658294.00000000
PA
USD
3636654.09000000
0.152489826900
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.00810760
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 8/25 #303450
31373UBT3
932.40570000
PA
USD
1000.74000000
0.000041962382
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 10/28 #446737
36208CHN0
3523.33770000
PA
USD
3964.33000000
0.000166229721
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
13847.00640000
PA
USD
15295.18000000
0.000641347593
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
46396.74980000
PA
USD
49935.72000000
0.002093872309
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 30YR 4% 10/01/2043#BM1167
3140J5JM2
151203.76090000
PA
USD
164429.36000000
0.006894745560
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) 4.25% 10/21/2025
38141GVR2
696000.00000000
PA
USD
759025.86000000
0.031826981378
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
850545.00000000
PA
USD
965337.36000000
0.040477901742
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
22486.38510000
PA
USD
24911.38000000
0.001044567872
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 05/51#SD7541
3132DVLW3
1226475.01320000
PA
USD
1229699.66000000
0.051562970701
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02000000
N
N
N
N
N
N
MADISON PK FDG LII LTD / MADISON PK FDG LII LLC
N/A
MADISON PK FDG LII LTD / MADISON PK FDG LII LLC 3ML+110 01/22/2035 144A
55822BAC9
2223747.00000000
PA
USD
2219773.16000000
0.093078092265
Long
ABS-CBDO
CORP
KY
N
2
2035-01-22
Variable
0.01192620
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE COR PORATION
S6XOOCT0IEG5ABCC6L87
FHLM ARM 5.78% 10/35 #1N0063
3128QGB84
3208.40850000
PA
USD
3390.96000000
0.000142187541
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
0.02812000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 20YR 3.5% 12/01/2033#C91737
3128P74W0
190485.86510000
PA
USD
203181.16000000
0.008519660971
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
65832.82520000
PA
USD
71035.67000000
0.002978621764
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
0.04000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO 3.8% 11/15/2025
406216BG5
46000.00000000
PA
USD
49450.90000000
0.002073543151
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
718000.00000000
PA
USD
775436.21000000
0.032515089559
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
0.04450000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 3.85% 07/15/2029
92936UAF6
391000.00000000
PA
USD
430496.74000000
0.018051310831
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
2447000.00000000
PA
USD
2760272.11000000
0.115741944610
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
7004.93520000
PA
USD
7583.36000000
0.000317980546
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
0.04000000
N
N
N
N
N
N
AASET 2021-1 TR
N/A
AASET 2021-1 TR 2.95% 11/16/2041 144A
00038PAA8
2040729.32460000
PA
USD
2000278.40000000
0.083874379971
Long
ABS-CBDO
CORP
US
N
2
2041-11-16
Fixed
0.02950000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 4.03% 01/25/2024
35137LAG0
389000.00000000
PA
USD
410819.56000000
0.017226220047
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
534000.00000000
PA
USD
593306.91000000
0.024878161564
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
122214.15600000
PA
USD
132216.61000000
0.005544021365
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
0.04000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 4.25% 09/15/2024
00912XAN4
1093000.00000000
PA
USD
1162418.29000000
0.048741771815
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% 01/20/2027
61746BEF9
3374000.00000000
PA
USD
3657950.88000000
0.153382830122
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
8494.98440000
PA
USD
9196.45000000
0.000385619592
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
201824.00000000
PA
USD
212191.46000000
0.008897475042
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
404911.15300000
PA
USD
424647.41000000
0.017806040509
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
5257.09680000
PA
USD
5526.39000000
0.000231729010
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
106186.85150000
PA
USD
116409.69000000
0.004881215820
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
266.26450000
PA
USD
297.11000000
0.000012458224
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
3245000.00000000
PA
USD
3313642.98000000
0.138945533978
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 LLC 5.875% 11/15/2040
88732JAY4
460000.00000000
PA
USD
574039.72000000
0.024070262216
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
6664.35060000
PA
USD
7026.56000000
0.000294633168
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
0.03000000
N
N
N
N
N
N
SITE CENTERS CORP
W2AVA6SODOQ1LCYJQR54
SITE CENTERS CORP 3.625% 02/01/2025
23317HAD4
694000.00000000
PA
USD
726526.96000000
0.030464258526
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
36329.07780000
PA
USD
39328.92000000
0.001649114833
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
420518.00000000
PA
USD
470787.35000000
0.019740750627
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
8505.37200000
PA
USD
8999.55000000
0.000377363309
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
665.75220000
PA
USD
759.86000000
0.000031861957
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
959000.00000000
PA
USD
1041687.24000000
0.043679355523
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
673000.00000000
PA
USD
742219.03000000
0.031122248255
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
17696.58120000
PA
USD
18783.25000000
0.000787607088
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% 12/01/2044#AX6333
3138Y8BB5
7849.89330000
PA
USD
8632.45000000
0.000361970309
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
1782000.00000000
PA
USD
1972026.83000000
0.082689753412
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
234000.00000000
PA
USD
267296.33000000
0.011208096806
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
1564000.00000000
PA
USD
1592761.96000000
0.066786664214
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
1400000.00000000
PA
USD
1434958.00000000
0.060169730640
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
409000.00000000
PA
USD
474440.00000000
0.019893911184
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
33575.87700000
PA
USD
36276.73000000
0.001521132376
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
448.90870000
PA
USD
495.12000000
0.000020761051
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
1427000.00000000
PA
USD
1484207.66000000
0.062234835526
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
47116.56200000
PA
USD
50918.82000000
0.002135095022
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
85415.65560000
PA
USD
91930.85000000
0.003854784935
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
41407700.00000000
PA
USD
40587633.34000000
1.701894386745
Long
DBT
UST
US
N
2
2026-04-30
Fixed
0.00750000
N
N
N
N
N
N
EATON VANCE CLO 2020-2 LTD
N/A
EATON VANCE CLO 2020-2 LTD 3ML+114 01/15/2035 144A
27829PAL0
2283000.00000000
PA
USD
2281070.87000000
0.095648388190
Long
ABS-CBDO
CORP
KY
N
2
2035-01-15
Variable
0.01259750
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.50% 3/41 #004978
36202FQ74
11968.40260000
PA
USD
13155.94000000
0.000551646366
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
6522.16610000
PA
USD
7060.73000000
0.000296065963
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
80438.41770000
PA
USD
86197.91000000
0.003614395004
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
5133.72580000
PA
USD
5396.70000000
0.000226290933
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
0.03000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 3.9% 01/15/2025
96950FAQ7
373000.00000000
PA
USD
396372.81000000
0.016620448271
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
80044.58430000
PA
USD
83896.11000000
0.003517877415
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
38896.67680000
PA
USD
41995.04000000
0.001760908852
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
4049000.00000000
PA
USD
3473535.88000000
0.145650059632
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 30YR 2.5% 12/01/2051#CB2321
3140QMSK1
998835.62000000
PA
USD
1023922.77000000
0.042934467258
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 04/01/2041#AH4043
3138A5P55
30470.83500000
PA
USD
33410.02000000
0.001400927347
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
0.04500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 1.125% 08/31/2028
91282CCV1
38104900.00000000
PA
USD
37366617.56000000
1.566832836601
Long
DBT
UST
US
N
2
2028-08-31
Fixed
0.01125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#BC6149
3140F1ZP0
150897.43700000
PA
USD
161464.23000000
0.006770413647
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
59454.87190000
PA
USD
62946.45000000
0.002639429823
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 COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.484% 10/23/2045
161175BA1
842000.00000000
PA
USD
1149824.41000000
0.048213693386
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
981516.00000000
PA
USD
981617.10000000
0.041160533269
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.01333750
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.50% 3/41 #783262
36241LTT3
94270.62180000
PA
USD
104368.60000000
0.004376316623
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% 09/15/2023
00912XAT1
269000.00000000
PA
USD
276069.86000000
0.011575982791
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
631000.00000000
PA
USD
796239.43000000
0.033387396724
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
732000.00000000
PA
USD
784723.65000000
0.032904524486
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
0.03250000
N
N
N
N
N
N
CRPT 2021
N/A
CRPT 2021-RETL A 1ML+140 07/15/2034 144A
12566BAA4
1661000.00000000
PA
USD
1656819.10000000
0.069472666773
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
0.01510000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #439864
36207RTV7
302.74040000
PA
USD
336.33000000
0.000014102772
Long
ABS-MBS
USGA
US
N
2
2027-04-15
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 3.3% 01/30/2032
00774MAX3
1385000.00000000
PA
USD
1410998.82000000
0.059165089803
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
0.03300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 11/36 #995606
31416CAF3
34192.70700000
PA
USD
35850.21000000
0.001503247815
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Variable
0.01925000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
DISCOVER BANK 4.2% 08/08/2023
25466AAD3
874000.00000000
PA
USD
917842.02000000
0.038486357868
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
102979.19360000
PA
USD
110126.08000000
0.004617735550
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 BEVERAGE CO 5% 05/01/2042
60871RAD2
4016000.00000000
PA
USD
4851596.39000000
0.203434001527
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
1908000.00000000
PA
USD
2129079.96000000
0.089275203668
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
87838.76100000
PA
USD
96295.19000000
0.004037787617
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
809000.00000000
PA
USD
828275.18000000
0.034730699070
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
51995.56910000
PA
USD
58206.86000000
0.002440692401
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
432.49960000
PA
USD
483.20000000
0.000020261229
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
4005.50510000
PA
USD
4204.09000000
0.000176283182
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.02410000
N
N
N
N
N
N
UNUM GROUP
549300E32YFDO6TZ8R31
UNUM GROUP 4% 03/15/2024
91529YAK2
1819000.00000000
PA
USD
1920406.43000000
0.080525240191
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
10689.71700000
PA
USD
11310.81000000
0.000474277568
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.03000000
N
N
N
N
N
N
DRYDEN SENIOR LOAN FUND
N/A
DRYDEN SENIOR LOAN FUND 3ML+113 02/20/2035 144A
262484AC2
1021083.00000000
PA
USD
1020457.08000000
0.042789146186
Long
ABS-CBDO
CORP
KY
N
2
2035-02-20
Variable
0.01289730
N
N
N
N
N
N
SAUDI ARABIA KINGDOM OF
54930044PULMORCKB765
SAUDI ARABIA KINGDOM OF 4.5% 04/22/2060 144A
80413TAU3
736000.00000000
PA
USD
903210.00000000
0.037872817470
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
2478283.98840000
PA
USD
2476793.30000000
0.103855294520
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.00910000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #447529
36208DEA9
191.84490000
PA
USD
210.04000000
0.000008807261
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
2055.14520000
PA
USD
2267.21000000
0.000095067183
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
0.07500000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
EVERSOURCE ENERGY 2.8% 05/01/2023
664397AK2
1567000.00000000
PA
USD
1594324.34000000
0.066852176922
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
31.05720000
PA
USD
34.39000000
0.000001442019
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
36600.61330000
PA
USD
39051.25000000
0.001637471754
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
0.03500000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+132.21 10/15/2036 144A
05609PAL2
514682.00000000
PA
USD
512285.02000000
0.021480804082
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01408300
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
BROADCOM INC 2.45% 02/15/2031 144A
11135FBH3
4340000.00000000
PA
USD
4255426.77000000
0.178435802659
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
0.02450000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.125% 08/31/2023
91282CCU3
35211900.00000000
PA
USD
34902420.50000000
1.463505719468
Long
DBT
UST
US
N
2
2023-08-31
Fixed
0.00125000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 04/20/2047#MA4381
36179S2N6
28272.74920000
PA
USD
29555.84000000
0.001239316364
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
25588.83730000
PA
USD
27683.12000000
0.001160790680
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
260890.90450000
PA
USD
283936.39000000
0.011905837038
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
0.04500000
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LEXINGTON CORP PPTYS TR REIT 2.7% 09/15/2030
529043AE1
560000.00000000
PA
USD
554685.05000000
0.023258694713
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
991625.09890000
PA
USD
1035992.49000000
0.043440566949
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
1446.05370000
PA
USD
1503.65000000
0.000063050079
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Variable
0.01675000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 10/01/2048#Q58998
3132Y27L4
36177.72180000
PA
USD
38821.20000000
0.001627825446
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
633.44620000
PA
USD
674.02000000
0.000028262570
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 LP 4.2% 09/15/2023
29278NAC7
364000.00000000
PA
USD
380120.44000000
0.015938964405
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
0.04200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 02/01/2043#AR5360
3138W25W1
33820.74230000
PA
USD
35785.78000000
0.001500546178
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
1036000.00000000
PA
USD
1322970.92000000
0.055473960842
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
1437000.00000000
PA
USD
1573658.33000000
0.065985623158
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
702277.93680000
PA
USD
764089.70000000
0.032039315042
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
6923.88120000
PA
USD
7326.17000000
0.000307196221
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 2% 05/51#QC1514
3133AKVF4
132179.64650000
PA
USD
132258.68000000
0.005545785417
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 3.5% 04/39#FM1039
3140X4EM4
9162.43400000
PA
USD
9726.74000000
0.000407855369
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
3770000.00000000
PA
USD
4606017.48000000
0.193136545528
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
2253000.00000000
PA
USD
2555650.65000000
0.107161889910
Long
DBT
CORP
GB
N
2
2030-06-20
Variable
0.05088000
N
N
N
N
N
N
BABSON CLO LTD/CAYMAN ISLANDS
N/A
BABSON CLO LTD/CAYMAN ISLANDS 2020-1A AR 3ML+115 10/15/2036 144A
06762LAM0
1292534.00000000
PA
USD
1292761.49000000
0.054207238564
Long
ABS-CBDO
CORP
KY
N
2
2036-10-15
Variable
0.01273750
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
FORD MTR CR CO LLC 5.596% 01/07/2022
345397ZM8
1887000.00000000
PA
USD
1888320.90000000
0.079179850501
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
2377000.00000000
PA
USD
2442825.79000000
0.102430990862
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 FDG TR 3.976% 02/15/2025 144A
70466WAA7
1534000.00000000
PA
USD
1633864.66000000
0.068510156043
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 3.50% 5/42 #766750
36176HTF1
133535.92040000
PA
USD
143305.92000000
0.006009011138
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
453.04270000
PA
USD
513.10000000
0.000021514977
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
1902000.00000000
PA
USD
1951740.15000000
0.081839105469
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
47849.42680000
PA
USD
51675.88000000
0.002166839573
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
181.51510000
PA
USD
198.98000000
0.000008343500
Long
ABS-MBS
USGA
US
N
2
2027-04-15
Fixed
0.07500000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 1.5% 01/01/2052 #TBA
01F012619
-2000000.00000000
PA
USD
-1934742.20000000
-0.08112635842
Short
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
0.01500000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GRP INC 3.75% 07/10/2025
026874DD6
2549000.00000000
PA
USD
2727479.32000000
0.114366898552
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
1027000.00000000
PA
USD
1034442.36000000
0.043375567901
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 3.75% 12/01/2024
26441YAY3
483000.00000000
PA
USD
512050.56000000
0.021470972857
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
2284.02240000
PA
USD
2527.99000000
0.000106002041
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
0.04500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.50% 10/42 #MA0462
36179MQP8
1194724.18130000
PA
USD
1278451.89000000
0.053607217673
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
666.06580000
PA
USD
679.09000000
0.000028475162
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
121683.96810000
PA
USD
132562.17000000
0.005558511163
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
1735.14980000
PA
USD
1943.60000000
0.000081497777
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
70263.70350000
PA
USD
74226.97000000
0.003112437291
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
18191.22830000
PA
USD
19259.54000000
0.000807578573
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
307501.46750000
PA
USD
332989.19000000
0.013962687318
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
3241.47420000
PA
USD
3506.96000000
0.000147051578
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
2081000.00000000
PA
USD
2182595.98000000
0.091519202801
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
735541.76700000
PA
USD
735082.05000000
0.030822985026
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Variable
0.01553880
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 08/01/2045#AY8424
3138YNLE5
989729.20970000
PA
USD
1062438.48000000
0.044549483095
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
36816.50180000
PA
USD
39749.16000000
0.001666736065
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
35579.81760000
PA
USD
38545.66000000
0.001616271681
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
49227.80850000
PA
USD
53179.88000000
0.002229904328
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 LP 6.25% 04/15/2049
29279FAA7
432000.00000000
PA
USD
564304.99000000
0.023662071815
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
2915.47200000
PA
USD
3388.32000000
0.000142076842
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
7283.64230000
PA
USD
8487.33000000
0.000355885231
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
238.50300000
PA
USD
260.81000000
0.000010936116
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
24757.71760000
PA
USD
26745.30000000
0.001121466619
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
260.33220000
PA
USD
291.24000000
0.000012212087
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
0.07000000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 4.493%/VAR 03/24/2031
46647PBJ4
3926000.00000000
PA
USD
4543200.49000000
0.190502544137
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
22821.02990000
PA
USD
25000.92000000
0.001048322405
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
909000.00000000
PA
USD
1023529.12000000
0.042917960981
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
405000.00000000
PA
USD
422885.69000000
0.017732169205
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
29222.21440000
PA
USD
32053.77000000
0.001344057949
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
4591.37400000
PA
USD
4847.09000000
0.000203245042
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Variable
0.02410000
N
N
N
N
N
N
KIMCO REALTY CORP
549300EA7I6T15IBYS12
KIMCO REALTY CORP 3.375% 10/15/2022
948741AH6
249000.00000000
PA
USD
252212.72000000
0.010575620629
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
1873.51700000
PA
USD
2045.48000000
0.000085769744
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
69918.74040000
PA
USD
73326.73000000
0.003074689010
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 15YR 3.5% 02/01/2034#G16752
3128MFWM6
264698.14260000
PA
USD
280209.67000000
0.011749570626
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
1977000.00000000
PA
USD
2062841.52000000
0.086497736249
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
31454.31440000
PA
USD
34146.78000000
0.001431820690
Long
ABS-CBDO
USGSE
US
N
2
2029-12-25
Fixed
0.06500000
N
N
N
N
N
N
BAMLL COML MTG SECS TR 2019
N/A
BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A
05492PAE8
265000.00000000
PA
USD
266960.42000000
0.011194011645
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Fixed
0.03465000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 3.8% 12/01/2057
00206RMN9
4678000.00000000
PA
USD
4870087.19000000
0.204209345792
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
0.03800000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 8.00% 3/30 #479229
36209RLJ0
951.96420000
PA
USD
1095.36000000
0.000045929926
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
2165000.00000000
PA
USD
2356969.86000000
0.098830935542
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
480000.00000000
PA
USD
554808.71000000
0.023263879944
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
50.42540000
PA
USD
51.64000000
0.000002165335
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
308000.00000000
PA
USD
411528.22000000
0.017255935120
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
1286000.00000000
PA
USD
1335658.63000000
0.056005973690
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
41775.28150000
PA
USD
44202.49000000
0.001853470217
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
2576000.00000000
PA
USD
2960354.24000000
0.124131659060
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
6988.46300000
PA
USD
7552.42000000
0.000316683190
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
0.04000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 9/25 #319653
31374PBW6
69.21150000
PA
USD
74.65000000
0.000003130175
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
24119.62570000
PA
USD
25766.53000000
0.001080425468
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
44480.22450000
PA
USD
48742.93000000
0.002043857010
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
517768.91510000
PA
USD
596300.79000000
0.025003699003
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
2950000.00000000
PA
USD
3253372.66000000
0.136418317906
Long
DBT
CORP
CH
N
2
2031-04-01
Variable
0.04194000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 5.012% 04/15/2049
92343VDS0
89000.00000000
PA
USD
117803.25000000
0.004939649676
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
0.05012000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A
83368RAZ5
2986000.00000000
PA
USD
2908198.22000000
0.121944686567
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
527.96770000
PA
USD
597.80000000
0.000025066562
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
86476.53230000
PA
USD
92478.12000000
0.003877732707
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
1086000.00000000
PA
USD
1154078.63000000
0.048392078587
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% 09/15/2022
225433AH4
2221000.00000000
PA
USD
2268924.05000000
0.095139055591
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
445.55760000
PA
USD
456.33000000
0.000019134534
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
306028.69740000
PA
USD
330788.32000000
0.013870401860
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 LLC 6.55% 05/01/2037
88732JAJ7
6199000.00000000
PA
USD
8109972.11000000
0.340062104509
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
3650.53540000
PA
USD
3952.73000000
0.000165743317
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
563000.00000000
PA
USD
642607.11000000
0.026945385660
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
1227000.00000000
PA
USD
1502555.45000000
0.063004183188
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
3527000.00000000
PA
USD
4168246.73000000
0.174780225615
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
1170000.00000000
PA
USD
1358138.43000000
0.056948582122
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
2170.52550000
PA
USD
2430.68000000
0.000101921701
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
119208.08600000
PA
USD
126900.66000000
0.005321116388
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
1779662.50000000
PA
USD
1857487.14000000
0.077886949222
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
50055.45860000
PA
USD
55424.65000000
0.002324030571
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
51749.30910000
PA
USD
55599.52000000
0.002331363107
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP D 1ML+157.82 11/15/2038 144A
78472UAG3
577561.00000000
PA
USD
572985.74000000
0.024026067408
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.01678200
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 3.666% 01/25/2022
35137LAF2
221000.00000000
PA
USD
221436.08000000
0.009285114468
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
8212.45990000
PA
USD
8658.81000000
0.000363075619
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
8292.87540000
PA
USD
9299.45000000
0.000389938521
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
1677000.00000000
PA
USD
1769278.12000000
0.074188225654
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
169.30480000
PA
USD
191.72000000
0.000008039079
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
107318.88530000
PA
USD
117670.74000000
0.004934093353
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04500000
N
N
N
N
N
N
ENTERGY CORP NEW
4XM3TW50JULSLG8BNC79
ENTERGY CORP NEW 2.8% 06/15/2030
29364GAL7
876000.00000000
PA
USD
891470.16000000
0.037380550093
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
377397.30100000
PA
USD
419557.71000000
0.017592622501
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
334.14010000
PA
USD
377.09000000
0.000015811893
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 2.5% 11/01/2051#FM9501
3140XDRX6
2403402.03800000
PA
USD
2474281.73000000
0.103749980991
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 4.00% 9/41 #754197
36230NUW3
7983.56940000
PA
USD
8651.26000000
0.000362759038
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
COCA COLA CO
UWJKFUJFZ02DKWI3RY53
COCA COLA CO 3.375% 03/25/2027
191216CR9
1742000.00000000
PA
USD
1881645.06000000
0.078899923497
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
49890.82740000
PA
USD
51687.75000000
0.002167337298
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
1340000.00000000
PA
USD
1396090.14000000
0.058539948677
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
83520600.00000000
PA
USD
81014982.00000000
3.397067819971
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
1157000.00000000
PA
USD
1494988.69000000
0.062686898702
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
86778.22840000
PA
USD
92052.66000000
0.003859892594
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% 02/01/2023
98978VAB9
506000.00000000
PA
USD
515620.71000000
0.021620674077
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
6736.29120000
PA
USD
7293.93000000
0.000305844354
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
347211.00000000
PA
USD
352725.41000000
0.014790253728
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
48325.65270000
PA
USD
51133.45000000
0.002144094749
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
902.42310000
PA
USD
1037.53000000
0.000043505036
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
110000.00000000
PA
USD
108869.18000000
0.004565032032
Long
ABS-MBS
CORP
US
N
2
2032-11-05
Variable
0.03718550
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 05/01/2045#AY9324
3138YPLE0
105346.44190000
PA
USD
113184.35000000
0.004745972949
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% 03/15/2023
23311VAD9
543000.00000000
PA
USD
556292.64000000
0.023326103137
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
95737.76190000
PA
USD
111349.35000000
0.004669028916
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
20380.15720000
PA
USD
21228.95000000
0.000890158599
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.5% 07/01/2047#Q49499
3132WPRV1
64476.72440000
PA
USD
70381.81000000
0.002951204529
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
7059.72380000
PA
USD
7916.62000000
0.000331954588
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
604859.00000000
PA
USD
609776.50000000
0.025568753758
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
8298.95150000
PA
USD
8781.13000000
0.000368204663
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
14350.70600000
PA
USD
16108.41000000
0.000675447428
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 1.5% 11/01/2051#BU8959
3140MA5V2
74993.00000000
PA
USD
72600.56000000
0.003044239719
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 06/01/2050#CA5966
3140QDTY0
529044.89230000
PA
USD
544440.52000000
0.022829127708
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 LP 5.8% 06/15/2038
29278NAD5
692000.00000000
PA
USD
838188.67000000
0.035146385120
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
19534.87130000
PA
USD
21151.99000000
0.000886931562
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
150620.41850000
PA
USD
161794.57000000
0.006784265251
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
0.03500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC (THE)
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032
38141GYJ7
2893000.00000000
PA
USD
2848436.23000000
0.119438785460
Long
DBT
CORP
US
N
2
2032-07-21
Variable
0.02383000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AR3682
3138W1CU9
16816.99190000
PA
USD
17794.08000000
0.000746129852
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
18906.18030000
PA
USD
20478.58000000
0.000858694569
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 7.5% 01/01/2027#
31283GW60
391.38420000
PA
USD
430.22000000
0.000018039706
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
231745882.68700000
NS
USD
231792231.86000000
9.719361929513
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
7541.22610000
PA
USD
8261.57000000
0.000346418809
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
84512.04340000
PA
USD
90536.81000000
0.003796330952
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
124697.39430000
PA
USD
133351.56000000
0.005591611354
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
17737.13670000
PA
USD
19207.31000000
0.000805388498
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2021-PAC
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+71.21 10/15/2036 144A
05609PAA6
2648253.00000000
PA
USD
2638488.36000000
0.110635387182
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.00799100
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3% 01/01/2052 #TBA
21H030617
5800000.00000000
PA
USD
6004160.58000000
0.251762577596
Long
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
0.03000000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 3.5% 02/01/2025
92277GAE7
1976000.00000000
PA
USD
2083002.91000000
0.087343130613
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
0.03500000
N
N
N
N
N
N
JBS FINANCE LUXEMBOURG SARL
N/A
JBS FINANCE LUXEMBOURG SARL 2.5% 01/15/2027 144A
46592QAB5
4189000.00000000
PA
USD
4141915.64000000
0.173676127381
Long
DBT
CORP
LU
N
2
2027-01-15
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 3/1/43 #AT0170
3138WMFL0
134797.31620000
PA
USD
145079.16000000
0.006083365491
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
12390.71050000
PA
USD
13928.70000000
0.000584049238
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
638000.00000000
PA
USD
663958.90000000
0.027840695107
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
133082.97730000
PA
USD
143369.52000000
0.006011677972
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
4687.65740000
PA
USD
5142.06000000
0.000215613533
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
41984.41320000
PA
USD
45121.23000000
0.001891994229
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
6881.96240000
PA
USD
7925.23000000
0.000332315617
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
0.06500000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
ALLY FINL INC 1.45% 10/02/2023
02005NBL3
678000.00000000
PA
USD
681111.20000000
0.028559914255
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
0.01450000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 01/47 #MA2864
31418CFE9
262420.39070000
PA
USD
279074.59000000
0.011701975186
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
6470000.00000000
PA
USD
8835004.98000000
0.370463713820
Long
DBT
CORP
US
N
2
2051-04-04
Variable
0.05013000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 4.65% 07/15/2042
20030NBE0
779000.00000000
PA
USD
953266.16000000
0.039971739992
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
7129.87920000
PA
USD
7517.39000000
0.000315214334
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
552617.81500000
PA
USD
552451.59000000
0.023165042713
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Variable
0.01260000
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE D CSTR 04/15/2036 144A
12690CAJ2
465913.00000000
PA
USD
457614.95000000
0.019188414071
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04782040
N
N
N
N
N
N
CSMC 2018-SITE
N/A
CSMC 2018-SITE C CSTR 04/15/2036 144A
12690CAG8
233110.00000000
PA
USD
234869.21000000
0.009848383786
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
0.04782040
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
1538000.00000000
PA
USD
1635597.34000000
0.068582809660
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
371442.00000000
PA
USD
374217.49000000
0.015691445724
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
0.03177097
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.45% 09/29/2027
172967KA8
5245000.00000000
PA
USD
5848280.27000000
0.245226305270
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
23395.53200000
PA
USD
25342.02000000
0.001062625189
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
92458.66580000
PA
USD
99549.09000000
0.004174228047
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
3100.13410000
PA
USD
3375.90000000
0.000141556055
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
499000.00000000
PA
USD
502397.76000000
0.021066217891
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
12697.42240000
PA
USD
13435.16000000
0.000563354438
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 LTD PARTNERSHIP 4% 03/01/2028
92277GAM9
688000.00000000
PA
USD
761269.65000000
0.031921066529
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
20250.20490000
PA
USD
21903.36000000
0.000918437523
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
112690.11930000
PA
USD
121631.37000000
0.005100167928
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% 12/01/2042#Q13899
3132HQKL5
11727.49360000
PA
USD
12699.54000000
0.000532508896
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
0.04000000
N
N
N
N
N
N
SREIT TR 2021-MFP
N/A
SREIT TR 2021-MFP 1ML+73.08 11/15/2038 144A
78472UAA6
2470353.00000000
PA
USD
2458795.70000000
0.103100630798
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
0.00830800
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
CIGNA CORP 3.05% 10/15/2027
125523AZ3
982000.00000000
PA
USD
1042423.44000000
0.043710225385
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
2221000.00000000
PA
USD
2791423.87000000
0.117048180059
Long
DBT
MUN
US
N
2
2029-02-15
Fixed
0.07425000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 10/41 #005280
36202F2M7
910292.91700000
PA
USD
981624.20000000
0.041160830982
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 LLC 7.3% 07/01/2038
88732JAN8
1160000.00000000
PA
USD
1641763.09000000
0.068841347901
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
0.07300000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032
06051GKA6
4656000.00000000
PA
USD
4577811.42000000
0.191953827265
Long
DBT
CORP
US
N
2
2032-07-21
Variable
0.02299000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.0% 12/01/2044#Q30848
3132QL5J8
15372.17300000
PA
USD
16224.84000000
0.000680329495
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
0.03000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY 5% 11/24/2025
6174467X1
4489000.00000000
PA
USD
5025155.61000000
0.210711574472
Long
DBT
CORP
US
N
2
2025-11-24
Fixed
0.05000000
N
N
N
N
N
N
COLUMBIA CENT CLO 29 LTD / COLUMBIA CENT CLO 29 CORP
N/A
CENT CLO 20 LTD / CENT CLO 20-29A AR 3ML+117 10/20/2034 144A
197363AU8
1944015.00000000
PA
USD
1944011.11000000
0.081515016363
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Variable
0.01324380
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 01/01/2043#AQ9316
3138MRK67
753260.06840000
PA
USD
772650.04000000
0.032398261681
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
19887.29050000
PA
USD
21815.09000000
0.000914736242
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
25074.58550000
PA
USD
26786.69000000
0.001123202157
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
97609.99200000
PA
USD
102341.69000000
0.004291325544
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
0.03000000
N
N
N
N
N
N
DEUTSCHE BANK AG NEW YORK BNCH
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG NEW YORK BNCH 5% 02/14/2022
251526CA5
2786000.00000000
PA
USD
2798629.02000000
0.117350301748
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
180365.18420000
PA
USD
194732.39000000
0.008165392613
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
1708292.27030000
PA
USD
1626641.88000000
0.068207295104
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
1040.24600000
PA
USD
1151.39000000
0.000048279340
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
298041.80840000
PA
USD
308962.69000000
0.012955223661
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
2173138.00000000
PA
USD
2164869.21000000
0.090775895349
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Variable
0.01193750
N
N
N
N
N
N
ALLEGRO CLO LTD
N/A
ALLEGRO CLO LTD 3ML+114 07/20/2034 144A
01750WAC3
1532085.00000000
PA
USD
1529489.65000000
0.064133570639
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Variable
0.01271500
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA II 4% 04/47#784304
3622A2X98
275291.06250000
PA
USD
297521.59000000
0.012475482857
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
5815.39040000
PA
USD
6119.97000000
0.000256618623
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Variable
0.02537000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.5% 11/15/2042#AB9211
36178WGU7
183694.51700000
PA
USD
196847.28000000
0.008254072812
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
61137.98100000
PA
USD
66949.59000000
0.002807286900
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
1421.94570000
PA
USD
1584.73000000
0.000066449873
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
130605.89440000
PA
USD
138277.97000000
0.005798182391
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
3813000.00000000
PA
USD
4125356.54000000
0.172981781912
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
142642.61910000
PA
USD
156091.95000000
0.006545146677
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
64330.88830000
PA
USD
69851.31000000
0.002928959946
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
176.76280000
PA
USD
191.54000000
0.000008031531
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
34540.92210000
PA
USD
38399.61000000
0.001610147607
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
10798.70940000
PA
USD
11351.88000000
0.000475999689
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
18482.16700000
PA
USD
19556.01000000
0.000820009961
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
15086.42350000
PA
USD
16357.40000000
0.000685887915
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
3276.35160000
PA
USD
3454.42000000
0.000144848504
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
18218.90340000
PA
USD
19729.00000000
0.000827263666
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 12/01/2051#RA6510
3133KNGT4
1300014.00000000
PA
USD
1303025.74000000
0.054637632456
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2350
3140QMTG9
995541.33500000
PA
USD
996292.17000000
0.041775878812
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.5% 07/15/2023
55336VAE0
606000.00000000
PA
USD
630868.42000000
0.026453166504
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
75881.68910000
PA
USD
82831.29000000
0.003473228072
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
139226.18410000
PA
USD
148575.40000000
0.006229967565
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
6227.56950000
PA
USD
6606.92000000
0.000277037095
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
143385.91780000
PA
USD
153748.92000000
0.006446900259
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
OMEGA HEALTHCARE INVESTORS INC
549300OJ7ENK42CZ8E73
OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029
681936BL3
1814000.00000000
PA
USD
1882784.96000000
0.078947721046
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
376000.00000000
PA
USD
467744.00000000
0.019613138843
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
854000.00000000
PA
USD
847858.45000000
0.035551852080
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
21154.21620000
PA
USD
22930.94000000
0.000961525343
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
0.04000000
N
N
N
N
N
N
JBS FINANCE LUXEMBOURG SARL
N/A
JBS FINANCE LUXEMBOURG SARL 3.625% 01/15/2032 144A
46592QAA7
320000.00000000
PA
USD
321203.20000000
0.013468484809
Long
DBT
CORP
LU
N
2
2032-01-15
Fixed
0.03625000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SOCIETE GENERALE FRANCE 1.038/VAR 06/18/2025 144A
83368RBE1
4852000.00000000
PA
USD
4739862.13000000
0.198748832813
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
17926.01660000
PA
USD
18710.64000000
0.000784562453
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Variable
0.01780000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 1/28 #415853
31379C5N7
772.58310000
PA
USD
864.57000000
0.000036252589
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
21173.47020000
PA
USD
21943.33000000
0.000920113519
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
12075.92270000
PA
USD
13533.47000000
0.000567476709
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
4000.93000000
PA
USD
4316.44000000
0.000180994169
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
893574AP8
312000.00000000
PA
USD
328850.83000000
0.013789160283
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
1193000.00000000
PA
USD
1344487.10000000
0.056376163383
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
0.04500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21605
3132JNYA9
25987.17680000
PA
USD
28124.92000000
0.001179315952
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
0.04000000
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
628231.80000000
PA
USD
627852.98000000
0.026326725025
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Variable
0.01910000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 6.00% 3/38 #889219
31410G4C4
22414.25010000
PA
USD
26107.43000000
0.001094719866
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
875000.00000000
PA
USD
948400.14000000
0.039767701189
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
113640.70260000
PA
USD
122692.89000000
0.005144678898
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
11348.37790000
PA
USD
12274.82000000
0.000514699812
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
914885.03790000
PA
USD
910866.50000000
0.038193864876
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01710000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 5/28 #428795
31379TKG8
1708.75380000
PA
USD
1927.98000000
0.000080842810
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
66798.30700000
PA
USD
73860.14000000
0.003097055613
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
5351.53680000
PA
USD
5870.09000000
0.000246140816
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
146000.00000000
PA
USD
150928.42000000
0.006328632878
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
79795.16250000
PA
USD
87699.73000000
0.003677368349
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
1415000.00000000
PA
USD
1520840.70000000
0.063770908463
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
16510.20610000
PA
USD
17876.94000000
0.000749604284
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
1021.74900000
PA
USD
1175.73000000
0.000049299949
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
12774000.00000000
PA
USD
13755608.58000000
0.576791281040
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
1531000.00000000
PA
USD
1573909.84000000
0.065996169313
Long
DBT
CORP
US
N
2
2023-05-12
Fixed
0.03125000
N
N
N
N
N
N
AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC
N/A
AIMCO CLO SER 2018-BA AR 3ML+110 01/15/2032 144A
00900PAL9
529405.00000000
PA
USD
529411.88000000
0.022198956497
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Variable
0.01223750
N
N
N
N
N
N
CREDIT SUISSE GRP AG
549300506SI9CRFV9Z86
CREDIT SUISSE GRP AG 3.75% 03/26/2025
225433AC5
1429000.00000000
PA
USD
1516318.19000000
0.063581273499
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
20720.32150000
PA
USD
22615.38000000
0.000948293485
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 4.5% 12/01/2047#Q53017
3132XVK77
251559.26340000
PA
USD
272908.09000000
0.011443405496
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
1013.99550000
PA
USD
1121.07000000
0.000047007982
Long
ABS-MBS
USGSE
US
N
2
2027-01-01
Fixed
0.07000000
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
3073281.91110000
PA
USD
3056381.32000000
0.128158204463
Long
ABS-MBS
CORP
US
N
2
2033-08-15
Variable
0.01610000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 06/47#MA4511
36179TAL9
394004.88810000
PA
USD
419788.69000000
0.017602307805
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
2024.84550000
PA
USD
2314.21000000
0.000097037956
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
0.07000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.75% 08/15/2041
912810TA6
43542800.00000000
PA
USD
42216105.31000000
1.770178420000
Long
DBT
UST
US
N
2
2041-08-15
Fixed
0.01750000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.55% 03/21/2031
92343VGJ7
1698000.00000000
PA
USD
1713134.41000000
0.071834043924
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
670321.54550000
PA
USD
722566.61000000
0.030298195691
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
28976.12520000
PA
USD
33596.93000000
0.001408764736
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 7.5% 02/01/2028#
31292GUK0
94.32550000
PA
USD
105.87000000
0.000004439272
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
24043.37140000
PA
USD
26222.84000000
0.001099559164
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #353415
36203MSC5
1436.55090000
PA
USD
1588.13000000
0.000066592439
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
46087.22110000
PA
USD
49973.77000000
0.002095467797
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
0.04000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 11/01/2043#Q23023
3132M3AY3
187730.91910000
PA
USD
204523.26000000
0.008575937040
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
330882.61480000
PA
USD
358928.72000000
0.015050366910
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
604.54090000
PA
USD
678.97000000
0.000028470130
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
541766.56230000
PA
USD
581736.09000000
0.024392981424
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
32351.99080000
PA
USD
34231.69000000
0.001435381082
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
19903.56190000
PA
USD
21547.08000000
0.000903498220
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
26888.08900000
PA
USD
27672.65000000
0.001160351659
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
86000.00000000
PA
USD
87075.00000000
0.003651172574
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
2420174.89340000
PA
USD
2417255.19000000
0.101358781004
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01230000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 03/01/2033#G18683
3128MMXM0
58401.83590000
PA
USD
60525.30000000
0.002537907728
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
24555.58730000
PA
USD
26519.27000000
0.001111988875
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
3513.76340000
PA
USD
3704.74000000
0.000155344761
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
1353000.00000000
PA
USD
1493378.30000000
0.062619372870
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
171.27170000
PA
USD
190.63000000
0.000007993373
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
6682.56820000
PA
USD
7088.74000000
0.000297240460
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
8509.57930000
PA
USD
9214.91000000
0.000386393645
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
1754000.00000000
PA
USD
1827975.97000000
0.076649505931
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
2024000.00000000
PA
USD
2190980.00000000
0.091870756105
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
427.46160000
PA
USD
466.12000000
0.000019545042
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
8029.17670000
PA
USD
8440.48000000
0.000353920747
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
1748000.00000000
PA
USD
2038605.00000000
0.085481466170
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
97619.26580000
PA
USD
102316.43000000
0.004290266358
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
551000.00000000
PA
USD
597890.13000000
0.025070342180
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
268.31180000
PA
USD
292.98000000
0.000012285047
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
16937.56780000
PA
USD
18371.44000000
0.000770339338
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
322167.16800000
PA
USD
336581.60000000
0.014113321930
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
87655.86770000
PA
USD
91873.62000000
0.003852385204
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
1100000.00000000
PA
USD
1835740.50000000
0.076975083181
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
0.07550000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 5/29 #508736
36211CEH1
1602.03420000
PA
USD
1774.83000000
0.000074421023
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
2464969.95990000
PA
USD
2552379.27000000
0.107024716520
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
63355.50720000
PA
USD
71738.73000000
0.003008102021
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 03/01/2033#BM4614
3140J9DU2
134348.20610000
PA
USD
141358.46000000
0.005927351505
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
4814.80240000
PA
USD
5221.63000000
0.000218950011
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
3362.52920000
PA
USD
3850.67000000
0.000161463803
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
1205727.31140000
PA
USD
1207314.41000000
0.050624326878
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Variable
0.01190000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2.5% 10/01/2039#FM1486
3140X4UL8
153542.44520000
PA
USD
158022.64000000
0.006626103122
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
5695.90730000
PA
USD
6625.48000000
0.000277815341
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
0.06000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 3% 2/43 #Q15438
3132J6PY4
262593.06130000
PA
USD
279456.29000000
0.011717980383
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
1481000.00000000
PA
USD
1574495.53000000
0.066020728087
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 30YR 4.5% 09/01/2033#727060
31402EWV6
26614.84380000
PA
USD
28881.89000000
0.001211056728
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
21494.55540000
PA
USD
22706.97000000
0.000952133977
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% 01/15/2045#AL1871
36183XCG3
2653.07660000
PA
USD
2797.27000000
0.000117293316
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
500612.28240000
PA
USD
518325.20000000
0.021734077003
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 ARM 3.24% 9/33 #555935
31385XSY4
19826.15190000
PA
USD
20432.22000000
0.000856750632
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Variable
0.01410000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA ARM 0.0% 10/01/2041#AI6819
3138ALSH1
5929.97550000
PA
USD
6087.49000000
0.000255256692
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Variable
0.02080000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.50% 2/26 #336195
31375JNL0
114.82600000
PA
USD
126.14000000
0.000005289220
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
347.81620000
PA
USD
396.32000000
0.000016618233
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
0.07000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 08/01/2045#AZ3728
3138YVEA3
27949.10990000
PA
USD
29590.46000000
0.001240768027
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
437000.00000000
PA
USD
512776.20000000
0.021501399924
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
0.04950000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.50% 4/27 #444633
36207W4S0
449.09120000
PA
USD
498.92000000
0.000020920390
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
5697235.14540000
PA
USD
5928258.03000000
0.248579880968
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
1121000.00000000
PA
USD
1188470.19000000
0.049834163234
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
989442.02490000
PA
USD
894564.43000000
0.037510297021
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
8269.88190000
PA
USD
8900.68000000
0.000373217556
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
28384.56580000
PA
USD
30734.27000000
0.001288729528
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
13189.70150000
PA
USD
14287.07000000
0.000599076177
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
20795.54450000
PA
USD
22810.57000000
0.000956478066
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
40452.25530000
PA
USD
43436.67000000
0.001821358349
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
2085721.00000000
PA
USD
2086684.60000000
0.087497508856
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Variable
0.01331500
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.45% 10/29/2026
00774MAV7
1236000.00000000
PA
USD
1246135.14000000
0.052252132617
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
0.02450000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 2.625% 08/01/2031
15135BAZ4
1403000.00000000
PA
USD
1374940.00000000
0.057653094687
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
0.02625000
N
N
N
N
N
N
RABOBANK NEDERLAND COOPERATIEV E CENTRALE RAIFEISEN-BOERNELEE NBANK B.A.
DG3RU1DBUFHT4ZF9WN62
RABOBANK NEDERLAND COOP CENTL 4.375% 08/04/2025
21684AAC0
2285000.00000000
PA
USD
2475323.55000000
0.103793665913
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
0.04375000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
VIATRIS INC 2.7% 06/22/2030
92556VAD8
1533000.00000000
PA
USD
1538439.21000000
0.064508837800
Long
DBT
CORP
US
N
2
2030-06-22
Fixed
0.02700000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
EQUITABLE HOLDINGS INC 3.9% 04/20/2023
054561AC9
208000.00000000
PA
USD
215236.91000000
0.009025174882
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
109.21730000
PA
USD
115.83000000
0.000004856908
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
20384.81930000
PA
USD
21591.97000000
0.000905380519
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
823509.94290000
PA
USD
888271.26000000
0.037246415888
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
0.04000000
N
N
N
N
N
N
MAGNETITE IX LTD / MAGNETITE IX LLC
N/A
MAGNETITE IX LTD /LLC 3ML+113 10/25/2034 144A
55953UAA2
2357478.00000000
PA
USD
2356082.37000000
0.098793721886
Long
ABS-CBDO
CORP
KY
N
2
2034-10-25
Variable
0.01262180
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 3.50% 4/42 #AK6572
3138EBJS5
297287.93090000
PA
USD
319963.95000000
0.013416521379
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
140773.77230000
PA
USD
154419.86000000
0.006475033681
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
0.04500000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
VIATRIS INC 1.65% 06/22/2025
92556VAB2
302000.00000000
PA
USD
300855.44000000
0.012615275699
Long
DBT
CORP
US
N
2
2025-06-22
Fixed
0.01650000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 07/01/2046#Q41359
3132WEQM7
10963.05300000
PA
USD
11748.97000000
0.000492650210
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
15099.02930000
PA
USD
16341.10000000
0.000685204434
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
41594.60950000
PA
USD
45743.28000000
0.001918077627
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
859000.00000000
PA
USD
966795.88000000
0.040539059459
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
13324.75040000
PA
USD
14241.97000000
0.000597185073
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
2375607.37830000
PA
USD
2529479.98000000
0.106064518305
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
0.03500000
N
N
N
N
N
N
COMMONWEALTH BANK AUSTRALIA
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A
202712BK0
802000.00000000
PA
USD
838496.89000000
0.035159309202
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
573573.00000000
PA
USD
573598.24000000
0.024051750362
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Variable
0.01328250
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2044#AX8928
3138YA4N2
33786.71790000
PA
USD
36930.66000000
0.001548552546
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
7905.04720000
PA
USD
8334.69000000
0.000349484829
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
HESS CORP 7.875% 10/01/2029
023551AF1
1346000.00000000
PA
USD
1821388.18000000
0.076373270982
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
7603.80660000
PA
USD
8211.87000000
0.000344334820
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
192000.00000000
PA
USD
202735.73000000
0.008500983488
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
188000.00000000
PA
USD
200457.64000000
0.008405460092
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
25251500.00000000
PA
USD
30558260.55000000
1.281349214503
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
2280.76190000
PA
USD
2550.34000000
0.000106939207
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
23607.06400000
PA
USD
26152.92000000
0.001096627324
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
563971.34980000
PA
USD
602616.58000000
0.025268528624
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
0.04000000
N
N
N
N
N
N
THUNDERBOLT AIRCRAFT LEASE LIM
N/A
THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A
886065AA9
1868076.25030000
PA
USD
1833579.42000000
0.076884466172
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
1676859.00000000
PA
USD
1677115.56000000
0.070323724804
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Variable
0.01443750
N
N
N
N
N
N
PINE STR TR I
N/A
PINE STR TR I 4.572% 02/15/2029 144A
722844AA5
1750000.00000000
PA
USD
1974746.41000000
0.082803789082
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
166.38390000
PA
USD
186.37000000
0.000007814746
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3.0% 03/15/2045#AL9337
36184HLS1
10923.65340000
PA
USD
11517.36000000
0.000482938489
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
15396.63220000
PA
USD
16074.53000000
0.000674026794
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Variable
0.02246000
N
N
N
N
N
N
EATON VANCE CLO 2019-1 LTD
N/A
EATON 2019-1A AR 3ML+108 04/15/2031 144A
27830XAL0
885205.00000000
PA
USD
885730.81000000
0.037139891382
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Variable
0.01223750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 11/01/2045#Q37070
3132QT2C9
7777.15280000
PA
USD
8349.26000000
0.000350095769
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
114943.80670000
PA
USD
131088.00000000
0.005496697220
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
0.06000000
N
N
N
N
N
N
AT and T INC
549300Z40J86GGSTL398
AT and T INC 4.45% 04/01/2024
00206RDC3
147000.00000000
PA
USD
156904.49000000
0.006579217579
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
398152.95320000
PA
USD
418455.61000000
0.017546409956
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
61086.98160000
PA
USD
65288.32000000
0.002737627601
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
34260.32090000
PA
USD
36820.04000000
0.001543914099
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
23413.26410000
PA
USD
25140.61000000
0.001054179796
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 2% 12/01/2051#CB2349
3140QMTF1
3399480.50100000
PA
USD
3407356.08000000
0.142875051068
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.875% 09/30/2026
91282CCZ2
9201700.00000000
PA
USD
9037435.30000000
0.378951891055
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.00875000
N
N
N
N
N
N
CALIFORNIA ST
N/A
CA ST BUILD AMERICA BONDS
13063BBU5
245000.00000000
PA
USD
386675.42000000
0.016213823587
Long
DBT
MUN
US
N
2
2039-11-01
Fixed
0.07350000
N
N
N
N
N
N
SUN CMNTYS OPER LTD PRTNRSHP
549300PUNBPJCGT6X741
SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031
866677AE7
1323000.00000000
PA
USD
1312234.31000000
0.055023760256
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
174671.89490000
PA
USD
188749.35000000
0.007914515650
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
120094.40280000
PA
USD
127728.24000000
0.005355817937
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
2635000.00000000
PA
USD
2728279.00000000
0.114400430216
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
242000.00000000
PA
USD
260248.86000000
0.010912586853
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
234950.28970000
PA
USD
246780.18000000
0.010347826875
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
15283.16420000
PA
USD
16109.99000000
0.000675513679
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
113030.00020000
PA
USD
121415.41000000
0.005091112433
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
37303.34110000
PA
USD
39570.66000000
0.001659251318
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
2624000.00000000
PA
USD
2719291.19000000
0.114023559181
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
0.02950000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.5% 04/15/2024
29278NAH6
387000.00000000
PA
USD
410163.30000000
0.017198702177
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
0.04500000
N
N
N
N
N
N
VENTAS RLTY LTD PARTNERSHIP
32SXKSJ72K64GM3HOU64
VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030
92277GAV9
3072000.00000000
PA
USD
3577877.58000000
0.150025248303
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
7566.59620000
PA
USD
7954.20000000
0.000333530369
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
11641.65520000
PA
USD
12769.70000000
0.000535450800
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
241.97650000
PA
USD
261.00000000
0.000010944083
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
44170.03790000
PA
USD
48389.22000000
0.002029025472
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
47887.12320000
PA
USD
51914.81000000
0.002176858231
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 BEVERAGE CO 3% 07/15/2026
60871RAG5
2300000.00000000
PA
USD
2407516.81000000
0.100950437553
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
0.03000000
N
N
N
N
N
N
JBS USA LLC / JBS USA FIN INC
N/A
JBS USA LLC / JBS USA FIN INC 6.75% 02/15/2028 144A
472141AA8
390000.00000000
PA
USD
420716.40000000
0.017641207940
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.06750000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3% 10/01/2049#QA3907
31339UKU3
6490.16300000
PA
USD
6780.55000000
0.000284317636
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
27569.19160000
PA
USD
29398.02000000
0.001232698758
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
39.06050000
PA
USD
43.54000000
0.000001825691
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
11749.98130000
PA
USD
12729.43000000
0.000533762224
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
29435.84250000
PA
USD
31096.19000000
0.001303905324
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 2.5% 08/01/2051#CB1384
3140QLRE8
526373.85820000
PA
USD
540211.33000000
0.022651792049
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2047#BJ0760
3140H1Z29
31202.02670000
PA
USD
33485.14000000
0.001404077230
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
14018.95300000
PA
USD
15699.91000000
0.000658318470
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
6025.49690000
PA
USD
6390.65000000
0.000267968601
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
1475000.00000000
PA
USD
1704929.34000000
0.071489994236
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
2181000.00000000
PA
USD
2698987.50000000
0.113172197986
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
1610000.00000000
PA
USD
1569232.79000000
0.065800054278
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
0.03250000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 7.00% 2/29 #323542
31374TLX5
14126.33430000
PA
USD
15823.31000000
0.000663492799
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
67.86500000
PA
USD
69.19000000
0.000002901230
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
3164.04600000
PA
USD
3410.65000000
0.000143013169
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
2337457.31390000
PA
USD
2487992.60000000
0.104324896323
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
1135000.00000000
PA
USD
1244018.42000000
0.052163375683
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
42411.83610000
PA
USD
45803.46000000
0.001920601056
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
50.84260000
PA
USD
55.97000000
0.000002346897
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
1001492.53010000
PA
USD
1176309.76000000
0.049324259950
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
257820.71080000
PA
USD
273146.86000000
0.011453417446
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
0.03000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4.0% 09/01/2043#Q21900
3132JPDD1
8580.88720000
PA
USD
9286.76000000
0.000389406413
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
16168.86440000
PA
USD
17728.49000000
0.000743379574
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 1.5% 11/01/2051#
31418D6A5
149999.66200000
PA
USD
145214.34000000
0.006089033771
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
0.01500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 04/01/2046#BC0824
3140EU4J5
608068.79860000
PA
USD
651789.74000000
0.027330425761
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
4047330.69520000
PA
USD
4196898.18000000
0.175981619683
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
18302.93950000
PA
USD
19315.82000000
0.000809938469
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Variable
0.02023000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 3% 11/32#BJ6650
3140H8L86
25558.04840000
PA
USD
26787.83000000
0.001123249959
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
460.45300000
PA
USD
514.08000000
0.000021556070
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
1175000.00000000
PA
USD
1252550.00000000
0.052521116377
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
27740.60480000
PA
USD
30039.93000000
0.001259614913
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
29429.87670000
PA
USD
32586.67000000
0.001366403167
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
0.04500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 01/01/2043#AB7458
31417EJC6
12031.40400000
PA
USD
12730.45000000
0.000533804994
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
459080.64010000
PA
USD
484975.36000000
0.020335673084
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
1039487.00000000
PA
USD
1033224.09000000
0.043324484191
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Variable
0.01153880
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4.00% 9/40 #004800
36202FKM7
211969.74960000
PA
USD
228344.75000000
0.009574804350
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
540646.78140000
PA
USD
580756.01000000
0.024351885344
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
25389173.59100000
NS
USD
25391712.51000000
1.064708864117
Long
STIV
RF
US
N
1
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 9/31 #550867
36213C6C9
4203.17000000
PA
USD
4803.83000000
0.000201431092
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
16196.79820000
PA
USD
17544.55000000
0.000735666721
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
0.03500000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 3.5% 04/20/2050#MA6600
36179VKM1
404211.12920000
PA
USD
420570.28000000
0.017635080931
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
0.03500000
N
N
N
N
N
N
CRPT 2021
N/A
CRPT 2021 1ML+180 07/15/2034 144A
12566BAJ5
511000.00000000
PA
USD
507818.72000000
0.021293526080
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
0.02010000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/28 #464690
36208YF79
1339.40520000
PA
USD
1486.77000000
0.000062342277
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
73821600.00000000
PA
USD
71644439.35000000
3.004148286989
Long
DBT
UST
US
N
2
2031-02-15
Fixed
0.01125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2046#BC9079
3140F5CR2
23680.46240000
PA
USD
25816.65000000
0.001082527068
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% 12/15/2024
76132FAB3
300000.00000000
PA
USD
315119.53000000
0.013213388294
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
12111.86180000
PA
USD
13924.12000000
0.000583857192
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% 12/01/2049#QA5521
3133A0D27
11253.75800000
PA
USD
11752.88000000
0.000492814161
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
453.89380000
PA
USD
504.79000000
0.000021166527
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
50125.53320000
PA
USD
52696.38000000
0.002209630519
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
23760.03550000
PA
USD
25754.77000000
0.001079932355
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 (UNGTD) 4.375% 01/12/2026
06738EAN5
1908000.00000000
PA
USD
2085820.64000000
0.087461281845
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
8326.02790000
PA
USD
8778.55000000
0.000368096480
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
0.03000000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.625% 12/15/2029
15135BAT8
2738000.00000000
PA
USD
2952823.48000000
0.123815884103
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
0.04625000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD 5.25% 05/15/2024 144A
05401AAD3
1170000.00000000
PA
USD
1255167.66000000
0.052630878402
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
3822000.00000000
PA
USD
4027982.49000000
0.168898756234
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
19145.34800000
PA
USD
20270.19000000
0.000849956495
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
1460957.28740000
PA
USD
1458885.50000000
0.061173043093
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
4020.02410000
PA
USD
4238.51000000
0.000177726459
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
0.03000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS LTD
635400CPI3EOIFF6OC33
PARK AEROSPACE HOLDINGS LTD 5.5% 02/15/2024 144A
70014LAB6
1871000.00000000
PA
USD
2006320.08000000
0.084127715788
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
19787.81300000
PA
USD
22203.87000000
0.000931038314
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
166789.96510000
PA
USD
180180.06000000
0.007555193724
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
7257.73200000
PA
USD
7973.26000000
0.000334329580
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
117423.92420000
PA
USD
128495.46000000
0.005387988510
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
0.04500000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 2.4% 02/01/2031
92936UAG4
1166000.00000000
PA
USD
1145739.89000000
0.048042423935
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
41738.93380000
PA
USD
45094.18000000
0.001890859986
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
81.67970000
PA
USD
89.74000000
0.000003762919
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
75510.63050000
PA
USD
81448.83000000
0.003415259653
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
24306.27880000
PA
USD
26468.41000000
0.001109856246
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
2051000.00000000
PA
USD
2172276.84000000
0.091086507298
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
1556.68950000
PA
USD
1644.79000000
0.000068968270
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
110211.33260000
PA
USD
119334.76000000
0.005003867963
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
4754.68820000
PA
USD
5331.80000000
0.000223569588
Long
ABS-MBS
USGA
US
N
2
2040-11-15
Fixed
0.05000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 2.5% 01/01/2052 #TBA
01F022618
-5300000.00000000
PA
USD
-5411799.26000000
-0.22692406590
Short
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 06/01/2043#AT3665
3138WRCB4
49603.77940000
PA
USD
52578.84000000
0.002204701907
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
121940.37930000
PA
USD
132921.31000000
0.005573570389
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 4/28 #442336
36207ULR7
642.35370000
PA
USD
712.34000000
0.000029869380
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
476544.64850000
PA
USD
473576.92000000
0.019857721072
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Variable
0.01610000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 4.45% 03/03/2026
06051GFU8
465000.00000000
PA
USD
511945.20000000
0.021466554970
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
101.75380000
PA
USD
116.85000000
0.000004899678
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
307.82000000
PA
USD
340.79000000
0.000014289785
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 15YR 2.5% 03/01/2033#G18680
3128MMXJ7
140336.08810000
PA
USD
145438.65000000
0.006098439393
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
2120.79760000
PA
USD
2225.80000000
0.000093330805
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Variable
0.02080000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 03/01/2032#C91403
3128P7RY1
525106.69830000
PA
USD
559118.86000000
0.023444610366
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 02/01/2051#SD7535
3132DVLQ6
753224.95140000
PA
USD
777086.29000000
0.032584279647
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
0.02500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 08/01/2049#FM1338
3140X4PY6
824610.85970000
PA
USD
891460.58000000
0.037380148391
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
1366304.03650000
PA
USD
1467958.83000000
0.061553500097
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.03500000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
USTN TII 0.125% 02/15/2051
912810SV1
891800.00000000
PA
USD
1124214.55000000
0.047139837302
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.00125000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/15/2045#AK8998
36183S7K1
4886.47560000
PA
USD
5136.79000000
0.000215392555
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
22197.61400000
PA
USD
24037.50000000
0.001007924901
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
4443.91340000
PA
USD
4812.25000000
0.000201784154
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
18599.77760000
PA
USD
19500.61000000
0.000817686964
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
4413.33950000
PA
USD
4740.75000000
0.000198786062
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
12055.02710000
PA
USD
13054.23000000
0.000547381528
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
1632000.00000000
PA
USD
1649952.00000000
0.069184719978
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
358.69910000
PA
USD
399.21000000
0.000016739415
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
7476.58210000
PA
USD
8076.81000000
0.000338671572
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
0.04000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS 3.85% 11/21/2022
254709AJ7
1546000.00000000
PA
USD
1586726.14000000
0.066533574114
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
26363.05740000
PA
USD
29092.42000000
0.001219884536
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
2107000.00000000
PA
USD
2108927.44000000
0.088430181235
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.03450000
N
N
N
N
N
N
CITIZENS FINANCIAL GRP INC
2138004JDDA4ZQUPFW65
CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032
174610AW5
1490000.00000000
PA
USD
1471811.45000000
0.061715045667
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
262.93230000
PA
USD
271.02000000
0.000011364235
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
18090.06160000
PA
USD
19141.12000000
0.000802613062
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
33006.95360000
PA
USD
35196.50000000
0.001475836870
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
143.54280000
PA
USD
149.45000000
0.000006266640
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
670000.00000000
PA
USD
676834.60000000
0.028380590630
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
2843303.48720000
PA
USD
2988955.97000000
0.125330968301
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
7397.57270000
PA
USD
7813.76000000
0.000327641529
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Variable
0.02195000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 6.00% 5/33 #G01785
31283H6W0
26765.69320000
PA
USD
30086.88000000
0.001261583590
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
44024.69010000
PA
USD
47545.29000000
0.001993638345
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
267257.01600000
PA
USD
282288.14000000
0.011836723685
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
9012.50740000
PA
USD
9711.62000000
0.000407221367
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
512000.00000000
PA
USD
528600.66000000
0.022164940945
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 COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.908% 07/23/2025
161175AY0
1184000.00000000
PA
USD
1303712.17000000
0.054666415394
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
3320.87160000
PA
USD
3601.47000000
0.000151014510
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
2667000.00000000
PA
USD
2717562.21000000
0.113951060710
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
317000.00000000
PA
USD
334962.24000000
0.014045419974
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
1705000.00000000
PA
USD
1764994.69000000
0.074008615638
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
806053.94420000
PA
USD
866611.00000000
0.036338171877
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
476091.77640000
PA
USD
503753.42000000
0.021123062550
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
294000.00000000
PA
USD
304544.36000000
0.012769957106
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
0.02850000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 12/01/2051#CB2347
3140QMTD6
799188.31200000
PA
USD
802288.52000000
0.033641043253
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02000000
N
N
N
N
N
N
VOYA 2020
N/A
VOYA 2020 3ML+115 07/16/2034 144A
92918EAL1
1289773.00000000
PA
USD
1288327.16000000
0.054021301107
Long
ABS-CBDO
CORP
KY
N
2
2034-07-16
Variable
0.01272250
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP INC
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GRP INC 3.4% 06/30/2030
026874DR5
3650000.00000000
PA
USD
3946975.28000000
0.165502014305
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
27972.68030000
PA
USD
30653.41000000
0.001285338959
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
3922000.00000000
PA
USD
4337874.09000000
0.181892930349
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
329000.00000000
PA
USD
372328.82000000
0.015612251236
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
419000.00000000
PA
USD
446637.51000000
0.018728115157
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
4134000.00000000
PA
USD
4453333.77000000
0.186734310965
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
10702.38700000
PA
USD
11503.06000000
0.000482338871
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
2729841.00000000
PA
USD
2734812.04000000
0.114674369424
Long
ABS-CBDO
CORP
KY
N
2
2034-01-20
Variable
0.01441500
N
N
N
N
N
N
LXP INDUSTRIAL TRUST
549300S4MH2ICXDBFV43
LEXINGTON CORP PPTYS TR REIT 4.4% 06/15/2024
529043AD3
442000.00000000
PA
USD
464603.67000000
0.019481460557
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
0.04400000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 2% 01/01/2052 #TBA
21H020618
-2050000.00000000
PA
USD
-2069752.37000000
-0.08678751754
Short
ABS-MBS
USGA
US
N
2
2052-01-01
Fixed
0.02000000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 4.0% 09/15/2040#783095
36241LNL6
10386.77110000
PA
USD
11249.63000000
0.000471712208
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
1797000.00000000
PA
USD
1802129.73000000
0.075565738114
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
16531.82040000
PA
USD
17865.92000000
0.000749142200
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
14348.30510000
PA
USD
15506.20000000
0.000650195948
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
2229000.00000000
PA
USD
2940684.79000000
0.123306892406
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
826346.13650000
PA
USD
894752.06000000
0.037518164601
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
42458.57960000
PA
USD
45005.10000000
0.001887124741
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
84221.83140000
PA
USD
90930.62000000
0.003812843938
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
31488.74370000
PA
USD
33318.29000000
0.001397080984
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
13243.28400000
PA
USD
14359.76000000
0.000602124167
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
550000.00000000
PA
USD
616155.30000000
0.025836225474
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 4.1% 06/15/2030
745310AK8
1032000.00000000
PA
USD
1115536.95000000
0.046775973792
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 30YR 4% 12/45#BA6404
3140EBDJ7
13289.48570000
PA
USD
14352.23000000
0.000601808424
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
238000.00000000
PA
USD
298770.68000000
0.012527858891
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% 12/31/2033 144A
62983PAA3
525873.24550000
PA
USD
641992.63000000
0.026919619682
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
186000.00000000
PA
USD
191676.72000000
0.008037264235
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
0.03200000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2045#AZ3198
3138YURU7
131366.59700000
PA
USD
141140.44000000
0.005918209632
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
562906.74270000
PA
USD
595612.47000000
0.024974836814
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
49183.45510000
PA
USD
52878.36000000
0.002217261186
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
351397.60160000
PA
USD
383671.26000000
0.016087855093
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
20258.20860000
PA
USD
22212.29000000
0.000931391376
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
37163.07820000
PA
USD
39322.31000000
0.001648837666
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
50419.42270000
PA
USD
55306.89000000
0.002319092735
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
1057000.00000000
PA
USD
1075004.54000000
0.045076394995
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
589.34220000
PA
USD
655.16000000
0.000027471745
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
3810.82700000
PA
USD
4103.08000000
0.000172047696
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
966000.00000000
PA
USD
1038933.00000000
0.043563866513
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
17084.92090000
PA
USD
18740.40000000
0.000785810330
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
0.04500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 6/32 #534007
36212HGQ7
5304.66720000
PA
USD
6101.59000000
0.000255847925
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% 02/01/2045
92277GAF4
234000.00000000
PA
USD
274060.76000000
0.011491738509
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
666261.37450000
PA
USD
627136.84000000
0.026296696305
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
30572.58180000
PA
USD
32406.22000000
0.001358836654
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
18536500.00000000
PA
USD
19078113.36000000
0.799971108566
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
23141.93430000
PA
USD
25059.88000000
0.001050794677
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
4091000.00000000
PA
USD
4377789.74000000
0.183566647565
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% 10/01/2045#AL7619
3138EQPD8
196457.00230000
PA
USD
212167.41000000
0.008896466593
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
15586.48060000
PA
USD
16699.44000000
0.000700230115
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
ANHEUSER-BUSCH INBEV FIN INC 4.9% 02/01/2046
035242AN6
3531000.00000000
PA
USD
4432770.30000000
0.185872056843
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
1115505.68020000
PA
USD
1208774.78000000
0.050685562168
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
220.59130000
PA
USD
232.13000000
0.000009733525
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
0.07000000
N
N
N
N
N
N
GNMA II GTD PASS THRU CTF MULTIPLE ISSUER
549300M8ZYFG0OCMTT87
GNII II 4% 05/20/2047#MA4452
36179S5M5
82295.97750000
PA
USD
87681.45000000
0.003676601843
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
470207.00000000
PA
USD
478932.35000000
0.020082281498
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 OPER PARTNERSHIP LP 3.95% 02/15/2023
105340AM5
1690000.00000000
PA
USD
1730266.36000000
0.072552409769
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.03950000
N
N
N
N
N
N
CRPT 2021
N/A
CRPT 2021-RETL D 1ML+295 07/15/2034 144A
12566BAN6
470000.00000000
PA
USD
465283.17000000
0.019509952911
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
0.03160000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.0% 11/01/2040#AB1801
31416XAB6
1673349.49520000
PA
USD
1812135.93000000
0.075985311620
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 3.50% 10/42 #Q11886
3132HNCX5
96576.63230000
PA
USD
103982.85000000
0.004360141603
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
14646.36340000
PA
USD
15188.05000000
0.000636855488
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
99.15150000
PA
USD
100.86000000
0.000004229196
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
560000.00000000
PA
USD
698311.96000000
0.029281165397
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
2773396.00000000
PA
USD
2773595.68000000
0.116300619929
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
0.01453750
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2040#V81792
3132L67D7
96351.67930000
PA
USD
102984.14000000
0.004318264342
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
2874.06860000
PA
USD
3203.93000000
0.000134345120
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
0.07500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 12/01/2042#AQ8767
3138MQW58
17674.47360000
PA
USD
18701.39000000
0.000784174588
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
4474.32490000
PA
USD
4703.52000000
0.000197224958
Long
ABS-MBS
USGA
US
N
2
2045-06-15
Fixed
0.03000000
N
N
N
N
N
N
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC
N/A
JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 6.5% 04/15/2029 144A
46590XAA4
305000.00000000
PA
USD
335500.00000000
0.014067968978
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
0.06500000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4% 10/01/2045#AS6020
3138WFVN3
172273.70170000
PA
USD
186050.21000000
0.007801337057
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
519.28920000
PA
USD
593.56000000
0.000024888773
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
50919.37100000
PA
USD
53877.86000000
0.002259171574
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
370922.55330000
PA
USD
388770.31000000
0.016301665159
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
710.10020000
PA
USD
725.64000000
0.000030427067
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
1659375.00000000
PA
USD
1655747.61000000
0.069427737747
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Variable
0.01211500
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
GENERAL MILLS INC 2.875% 04/15/2030
370334CL6
220000.00000000
PA
USD
229596.45000000
0.009627289824
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
4507.49800000
PA
USD
4853.18000000
0.000203500404
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
16462.56620000
PA
USD
17353.20000000
0.000727643157
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
9489.42600000
PA
USD
10295.77000000
0.000431715567
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
3772039.01410000
PA
USD
3881808.37000000
0.162769477589
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
38000.79150000
PA
USD
40914.98000000
0.001715620475
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
39393.16350000
PA
USD
42299.45000000
0.001773673175
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
97310.77660000
PA
USD
105346.12000000
0.004417305359
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
143355.27730000
PA
USD
155353.27000000
0.006514172826
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
70244.77650000
PA
USD
75075.95000000
0.003148036171
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
443.58900000
PA
USD
479.00000000
0.000020085118
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
146.64840000
PA
USD
161.36000000
0.000006766043
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
1112000.00000000
PA
USD
1270726.51000000
0.053283282036
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
2732000.00000000
PA
USD
2882816.81000000
0.120880409701
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
4280.42100000
PA
USD
4624.06000000
0.000193893092
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
3650000.00000000
PA
USD
3763499.56000000
0.157808629097
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
567452.97210000
PA
USD
606360.56000000
0.025425518772
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
493073.70600000
PA
USD
528526.35000000
0.022161825026
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
793.89650000
PA
USD
890.34000000
0.000037333160
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
410000.00000000
PA
USD
446573.23000000
0.018725419810
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
12193.53850000
PA
USD
12851.82000000
0.000538894202
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
1941561.00000000
PA
USD
1943116.19000000
0.081477491157
Long
ABS-CBDO
CORP
KY
N
2
2033-11-20
Variable
0.01459630
N
N
N
N
N
N
COCA COLA CO
UWJKFUJFZ02DKWI3RY53
COCA COLA CO 3.45% 03/25/2030
191216CT5
1064000.00000000
PA
USD
1177940.12000000
0.049392623150
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
7999.55930000
PA
USD
8666.38000000
0.000363393040
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
76902.69100000
PA
USD
83028.47000000
0.003481496096
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
1066000.00000000
PA
USD
1139624.56000000
0.047785999873
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
0.03625000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2% 07/01/2050#CA6275
3140QD6M1
197043.85890000
PA
USD
196946.16000000
0.008258218984
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
0.02000000
N
N
N
N
N
N
ANHEUSER BUSCH INBEV WORLDWIDE INC
549300CRGMZK3K53BF92
ANHEUSER BUSCH INBEV WORLD INC 5.8% 01/23/2059
03523TBW7
3472000.00000000
PA
USD
5019980.75000000
0.210494585590
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 GRP AG 4.55% 04/17/2026
225433AR2
790000.00000000
PA
USD
870375.15000000
0.036496007779
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
1062.08110000
PA
USD
1151.21000000
0.000048271793
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
1424976.35060000
PA
USD
1549162.18000000
0.064958466442
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
124207.63080000
PA
USD
134140.35000000
0.005624686386
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
964.52560000
PA
USD
1111.49000000
0.000046606279
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
592497.79430000
PA
USD
627718.83000000
0.026321099934
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
27296.26990000
PA
USD
29552.14000000
0.001239161218
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
1665.49200000
PA
USD
1883.51000000
0.000078978122
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
340640.93260000
PA
USD
361852.20000000
0.015172952383
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
43.45080000
PA
USD
45.37000000
0.000001902425
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
410.73500000
PA
USD
447.14000000
0.000018749185
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
1009000.00000000
PA
USD
1007899.38000000
0.042262584833
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Variable
0.01340000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.5% 07/01/2046#AS7594
3138WHNL2
91235.50060000
PA
USD
97624.39000000
0.004093522772
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
339543.00000000
PA
USD
336134.19000000
0.014094561423
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Variable
0.01210000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
REYNOLDS AMERICAN INC 5.7% 08/15/2035
761713BA3
373000.00000000
PA
USD
441978.83000000
0.018532770401
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
1432.10350000
PA
USD
1640.00000000
0.000068767419
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
17431400.00000000
PA
USD
16896201.63000000
0.708480597292
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
296206.62060000
PA
USD
324778.36000000
0.013618396105
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
3078000.00000000
PA
USD
3354075.24000000
0.140640913350
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
194144.75030000
PA
USD
209483.47000000
0.008783925357
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
397000.00000000
PA
USD
449978.15000000
0.018868192713
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.05850000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.875% 07/03/2023
00912XBC7
1712000.00000000
PA
USD
1773076.71000000
0.074347505673
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
3416.94160000
PA
USD
3591.98000000
0.000150616581
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
17988.00740000
PA
USD
19730.99000000
0.000827347109
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
236.05230000
PA
USD
253.35000000
0.000010623308
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
8253.58100000
PA
USD
9258.10000000
0.000388204660
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
0.05000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 15YR 2.5% 12/01/2032#G18669
3128MMW74
686277.28010000
PA
USD
711230.05000000
0.029822838391
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
2282000.00000000
PA
USD
2937003.28000000
0.123152521710
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
26.97050000
PA
USD
27.56000000
0.000001155628
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
13843.24150000
PA
USD
14904.85000000
0.000624980528
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 PLC 4.25% 03/14/2024
404280AP4
675000.00000000
PA
USD
712746.80000000
0.029886437771
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
21319.41500000
PA
USD
22905.61000000
0.000960463221
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
0.03500000
N
N
N
N
N
N
NUVEEN FINANCE LLC
N/A
NUVEEN FINANCE LLC 4.125% 11/01/2024 144A
87246YAC0
543000.00000000
PA
USD
583882.90000000
0.024483000073
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
115.26710000
PA
USD
124.83000000
0.000005234290
Long
ABS-MBS
USGA
US
N
2
2025-12-15
Fixed
0.07500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 10/01/2051#RA6076
3133KMXD2
1736564.14240000
PA
USD
1737331.18000000
0.072848647231
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
0.02000000
N
N
N
N
N
N
AVOLON HOLDINGS FUNDING LTD
635400ZRKEX9L1BKCH30
AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A
05401AAG6
1433000.00000000
PA
USD
1534827.05000000
0.064357375044
Long
DBT
CORP
KY
N
2
2026-05-01
Fixed
0.04375000
N
N
N
N
N
N
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR
N/A
AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.65% 10/29/2024
00774MAU9
3388000.00000000
PA
USD
3381854.51000000
0.141805735731
Long
DBT
CORP
IE
N
2
2024-10-29
Fixed
0.01650000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 6% 06/15/2048
29278NAE3
451000.00000000
PA
USD
560290.14000000
0.023493723721
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 LLC 4.5% 09/15/2042
88732JBD9
283000.00000000
PA
USD
308530.02000000
0.012937081223
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
0.04500000
N
N
N
N
N
N
BANK 2018-BNK10
N/A
BANK 2018-BNK10 3.688% 02/15/2061
065404BB0
118089.00000000
PA
USD
129170.66000000
0.005416300559
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
1744000.00000000
PA
USD
1939380.16000000
0.081320834364
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
55679.95790000
PA
USD
60150.01000000
0.002522171310
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
149247.90540000
PA
USD
161808.82000000
0.006784862772
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
426000.00000000
PA
USD
445288.65000000
0.018671555632
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
1789.85660000
PA
USD
1997.29000000
0.000083749072
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
560000.00000000
PA
USD
571638.20000000
0.023969563233
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
1349005.04740000
PA
USD
1414104.93000000
0.059295333198
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
12757.20290000
PA
USD
14647.39000000
0.000614184882
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
24004.12930000
PA
USD
26330.06000000
0.001104055044
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
14510.74660000
PA
USD
15251.12000000
0.000639500098
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
4421.16170000
PA
USD
4897.32000000
0.000205351254
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 OF AMERICA CORPORATION 3.95% 04/21/2025
06051GFP9
1265000.00000000
PA
USD
1352159.98000000
0.056697897624
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
180483.93450000
PA
USD
195424.61000000
0.008194418334
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
15014.23880000
PA
USD
16221.18000000
0.000680176026
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 REGS
681936BF6
4967000.00000000
PA
USD
5432126.62000000
0.227776419611
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
23393.78190000
PA
USD
25616.71000000
0.001074143313
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
1582694.00000000
PA
USD
1582817.45000000
0.066369677454
Long
ABS-CBDO
CORP
KY
N
2
2032-01-18
Variable
0.01342250
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 8/31 #564604
36213UGM6
205.21780000
PA
USD
232.25000000
0.000009738556
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
150881.50600000
PA
USD
165435.36000000
0.006936928502
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
2018195.80000000
PA
USD
2014395.94000000
0.084466347526
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01910000
N
N
N
N
N
N
CENTENE CORP DEL
549300Z7JJ4TQSQGT333
CENTENE CORP 4.25% 12/15/2027
15135BAR2
1762000.00000000
PA
USD
1836885.02000000
0.077023074453
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
9465.52260000
PA
USD
10256.30000000
0.000430060537
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
4816000.00000000
PA
USD
5815971.85000000
0.243871569501
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
0.04750000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 5.4% 10/01/2047
86765BAV1
414000.00000000
PA
USD
485813.74000000
0.020370827492
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
65.35660000
PA
USD
72.26000000
0.000003029959
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
3776.67440000
PA
USD
4247.41000000
0.000178099648
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
12294.71940000
PA
USD
13286.89000000
0.000557137276
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
0.04000000
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
1766729.00000000
PA
USD
1746504.72000000
0.073233306177
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
439.63540000
PA
USD
472.67000000
0.000019819692
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
0.07000000
N
N
N
N
N
N
GS MTG SECS CORP TR 2021-IP
N/A
GSMS 2021-IP B 1ML+170 10/15/2036 144A
36262MAE8
198757.00000000
PA
USD
198452.44000000
0.008321379343
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
0.01660000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 1.5% 02/01/2052 #TBA
01F012627
2000000.00000000
PA
USD
1931617.00000000
0.080995314560
Long
ABS-MBS
USGA
US
N
2
2052-02-01
Fixed
0.01500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 30YR 3% 07/45#AK8997
36183S7J4
2384.53050000
PA
USD
2506.68000000
0.000105108484
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
50295.15150000
PA
USD
54406.73000000
0.002281347808
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
1491000.00000000
PA
USD
1591224.14000000
0.066722181341
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
1118505.70310000
PA
USD
1114294.53000000
0.046723877440
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Variable
0.01360000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2289
3140QMRK2
1622536.03800000
PA
USD
1663288.30000000
0.069743929082
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
GNMA GUARANTEED PASS THRU CERT
549300M8ZYFG0OCMTT87
GNMA 7.00% 7/32 #552668
36213E6D3
741.66120000
PA
USD
852.63000000
0.000035751929
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
1368175.64030000
PA
USD
1423725.62000000
0.059698741748
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% 5/26 #303913
31373USA6
990.36970000
PA
USD
1081.32000000
0.000045341210
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
835.95590000
PA
USD
931.82000000
0.000039072473
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
733000.00000000
PA
USD
732034.42000000
0.030695193776
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
3505000.00000000
PA
USD
3596194.46000000
0.150793299866
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
279536.30370000
PA
USD
299373.26000000
0.012553125886
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
86774.33690000
PA
USD
92032.99000000
0.003859067804
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC 4.3% 03/04/2024
96950FAM6
1671000.00000000
PA
USD
1763281.11000000
0.073936762910
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
870.06370000
PA
USD
966.71000000
0.000040535458
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
121.05800000
PA
USD
123.50000000
0.000005178522
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
369421.52610000
PA
USD
397174.32000000
0.016654056670
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
101.13170000
PA
USD
112.45000000
0.000004715180
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
0.07500000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING LP
549300Y6CTBSE0QIPL28
DCP MIDSTREAM OPER LP 6.45% 11/03/2036 144A
26439XAH6
760000.00000000
PA
USD
994596.80000000
0.041704789653
Long
DBT
CORP
US
N
2
2036-11-03
Fixed
0.06450000
N
N
N
N
N
N
IMPERIAL BRANDS FINANCE PLC
2138008L3B3MCG1DFS50
IMPERIAL BRANDS FINANCE PLC 4.25% 07/21/2025 144A
453140AF2
4751000.00000000
PA
USD
5100888.82000000
0.213887170445
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 7.00% 4/31 #547493
36212YGA5
2774.17530000
PA
USD
3085.25000000
0.000129368707
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
53185.29570000
PA
USD
57750.39000000
0.002421551997
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
24977.52630000
PA
USD
26993.19000000
0.001131860982
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% 6/41 #G06596
3128M8UV4
171846.70540000
PA
USD
192929.56000000
0.008089797511
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
17913.25790000
PA
USD
18831.99000000
0.000789650823
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
1158.67770000
PA
USD
1277.16000000
0.000053553046
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
117813.66880000
PA
USD
127247.48000000
0.005335659020
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
177.75130000
PA
USD
195.48000000
0.000008196740
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
69.36990000
PA
USD
77.72000000
0.000003258904
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
7495.06050000
PA
USD
8221.31000000
0.000344730652
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
40462.78250000
PA
USD
43146.92000000
0.001809208739
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
2914000.00000000
PA
USD
3109848.37000000
0.130400150218
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
198.83770000
PA
USD
217.76000000
0.000009130971
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
1500000.00000000
PA
USD
1633578.06000000
0.068498138517
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
2882896.00000000
PA
USD
3262952.79000000
0.136820025720
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
64566.17450000
PA
USD
69877.07000000
0.002930040098
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
25700.03700000
PA
USD
29403.14000000
0.001232913446
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
0.06000000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3.0% 11/01/2042#AQ1886
3138MHCY7
11234.52390000
PA
USD
11887.27000000
0.000498449316
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
55431.51630000
PA
USD
62053.19000000
0.002601974223
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
3043.24160000
PA
USD
3411.73000000
0.000143058455
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
70227.52160000
PA
USD
75613.09000000
0.003170559178
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
0.03500000
N
N
N
N
N
N
2022-01-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer