0001752724-21-119806.txt : 20210601
0001752724-21-119806.hdr.sgml : 20210601
20210601131404
ACCESSION NUMBER: 0001752724-21-119806
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210331
FILED AS OF DATE: 20210601
PERIOD START: 20210930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: VANGUARD MALVERN FUNDS
CENTRAL INDEX KEY: 0000836906
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05628
FILM NUMBER: 21984191
BUSINESS ADDRESS:
STREET 1: P.O. BOX 2600
STREET 2: V26
CITY: VALLEY FORGE
STATE: PA
ZIP: 19482
BUSINESS PHONE: 6106691000
MAIL ADDRESS:
STREET 1: P.O. BOX 2600
STREET 2: V26
CITY: VALLEY FORGE
STATE: PA
ZIP: 19482
FORMER COMPANY:
FORMER CONFORMED NAME: VANGUARD ASSET ALLOCATION FUND INC
DATE OF NAME CHANGE: 19920703
0000836906
S000049658
Vanguard Institutional Intermediate-Term Bond Fund
C000157008
Institutional Plus Shares
VIITX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000836906
XXXXXXXX
S000049658
C000157008
VANGUARD MALVERN FUNDS
811-05628
0000836906
549300EW16IGZDA38J20
100 Vanguard Boulevard
Malvern
19355
610-669-1000
VANGUARD INSTITUTIONAL INTERMEDIATE-TERM BOND FUND
S000049658
549300F61ZC0PFW4VL39
2021-09-30
2021-03-31
N
42566176721.77
10279593098.93
32286583622.84
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
10169360883.86000000
0.00000000
0.00000000
5467736.49000000
AUD
EUR
USD
N
Ginnie Mae I Pool
N/A
GN 612529
36202XPN1
13205.49000000
PA
USD
14068.15000000
0.000043572742
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
5.50000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAZ2
5000000.00000000
PA
USD
5083075.00000000
0.015743613692
Long
DBT
CORP
JP
N
2
2025-09-13
Variable
2.55500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q02664
3132GF5Z6
302086.85000000
PA
USD
335705.25000000
0.001039767024
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB7272
31417ECJ8
3495622.73000000
PA
USD
3733240.13000000
0.011562821801
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 633233
36291NPS4
14919.75000000
PA
USD
16028.46000000
0.000049644335
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAH3
2720000.00000000
PA
USD
2752416.96000000
0.008524955728
Long
DBT
CORP
JP
N
2
2021-10-19
Fixed
2.44200000
N
N
N
N
N
N
CenterPoint Energy Houston Electric LLC
549300S8SEQBOJLKHW63
CENTERPOINT HOUS
15189XAV0
8745000.00000000
PA
USD
8725454.93000000
0.027025017672
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.35000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1447
36179NTC2
3731520.86000000
PA
USD
3887430.89000000
0.012040390941
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0932
36179NA99
1939292.37000000
PA
USD
2038902.96000000
0.006315016118
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
2.50000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_18-A
N/A
MMAF 2018-A A5
60700DAE8
2580000.00000000
PA
USD
2764093.32000000
0.008561120471
Long
ABS-CBDO
CORP
US
Y
2
2042-03-10
Fixed
3.61000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78015K7H1
19250000.00000000
PA
USD
19179872.25000000
0.059405084396
Long
DBT
CORP
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3039
31418CLV4
104328.83000000
PA
USD
111715.73000000
0.000346012855
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_19-A
N/A
HDMOT 2019-A A4
41284WAD2
2960000.00000000
PA
USD
3051382.60000000
0.009450930564
Long
ABS-CBDO
CORP
US
N
2
2026-11-15
Fixed
2.39000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G02581
3128M4FW8
39873.63000000
PA
USD
45375.79000000
0.000140540698
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
COMM 2019-GC44 Mortgage Trust
N/A
COMM 2019-GC44 ASB
12655TBJ7
2050000.00000000
PA
USD
2175829.00000000
0.006739111903
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
2.87300000
N
N
N
N
N
N
LSEGA Financing PLC
2138009YFYTGEHZNNZ09
LSEGA FIN PLC
50220PAB9
14145000.00000000
PA
USD
13999221.63000000
0.043359253470
Long
DBT
CORP
GB
Y
2
2026-04-06
Fixed
1.37500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4510
36179TAK1
239073.39000000
PA
USD
253725.12000000
0.000785853105
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
3.50000000
N
N
N
N
N
N
Province of Quebec Canada
549300WN65YFEQH74Y36
QUEBEC PROVINCE
748148PB3
2065000.00000000
PA
USD
2383788.51000000
0.007383216935
Long
DBT
NUSS
CA
N
2
2023-07-15
Fixed
7.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4856
36202FMD5
813551.97000000
PA
USD
951232.22000000
0.002946215155
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J07221
3128PKAW4
1867.45000000
PA
USD
1934.91000000
0.000005992922
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03698
3128M5NP1
612.50000000
PA
USD
711.60000000
0.000002204011
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AO0714
3138LQYL2
2927057.40000000
PA
USD
3205861.37000000
0.009929391748
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4746
36202FHX7
354150.33000000
PA
USD
393610.08000000
0.001219113439
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
4.50000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C23
N/A
WFRBS 2014-C23 A5
92939HAY1
925000.00000000
PA
USD
1009915.00000000
0.003127971084
Long
ABS-MBS
CORP
US
N
2
2057-10-15
Fixed
3.91700000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2892
36179RF95
65993.96000000
PA
USD
71088.19000000
0.000220178730
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723430
3620A9VX6
292465.22000000
PA
USD
332120.75000000
0.001028664890
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
Medtronic Inc
D56MRZY2INAN94ZONZ37
MEDTRONIC INC
585055BS4
25799000.00000000
PA
USD
28263552.67000000
0.087539620172
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.50000000
N
N
N
N
N
N
COMM 2012-CCRE2 Mortgage Trust
N/A
COMM 2012-CR2 AM
12624KAF3
999196.00000000
PA
USD
1021977.67000000
0.003165332331
Long
ABS-MBS
CORP
US
N
2
2045-08-15
Fixed
3.79100000
N
N
N
N
N
N
N/A
N/A
EURO-BOBL FUTURE Jun21
N/A
-54.00000000
NC
-8554049.07000000
-0.02649412886
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
Eurex 5 Year Euro BOBL Future
2021-06-08
-8814879.16000000
EUR
-4031.71000000
N
N
N
Freddie Mac Gold Pool
N/A
FG G18547
3128MMTD5
256008.26000000
PA
USD
262820.33000000
0.000814023351
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
2.00000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353REQ7
27000.00000000
PA
USD
29136.81000000
0.000090244326
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C69598
31287VUX6
20021.74000000
PA
USD
22341.26000000
0.000069196729
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 831576
31407H2H8
162.19000000
PA
USD
162.91000000
0.000000504574
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13247
3128MBZL4
3390.80000000
PA
USD
3534.31000000
0.000010946683
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
5.00000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BV5
33375000.00000000
PA
USD
33293231.25000000
0.103117851175
Long
DBT
CORP
JP
N
2
2024-09-15
Variable
0.84800000
N
N
N
N
N
N
Reckitt Benckiser Treasury Services PLC
213800LAXWIUOOBZ3908
RECKITT BEN TSY
75625QAE9
25000000.00000000
PA
USD
26723900.00000000
0.082770912872
Long
DBT
CORP
GB
Y
2
2027-06-26
Fixed
3.00000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BH6
6550000.00000000
PA
USD
7129380.25000000
0.022081556640
Long
DBT
CORP
JP
N
2
2029-03-07
Fixed
3.74100000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J29001
31307JAA1
671700.12000000
PA
USD
718610.04000000
0.002225723379
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI5034
3138AJSY9
41753.59000000
PA
USD
47595.96000000
0.000147417145
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_19-A
N/A
NAROT 2019-A A4
65479KAE0
5690000.00000000
PA
USD
5946817.01000000
0.018418848768
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T65503
31323ADG4
83959.48000000
PA
USD
87757.19000000
0.000271806986
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVABLES GALC_19-1
N/A
GALC 2019-1 A4
39154TAX6
4110000.00000000
PA
USD
4263175.18000000
0.013204169353
Long
ABS-CBDO
CORP
US
Y
2
2025-02-18
Fixed
3.21000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782379
36241KUC0
955.61000000
PA
USD
1110.03000000
0.000003438053
Long
ABS-MBS
USGA
US
N
2
2038-08-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A68691
3128L0UQ3
9966.49000000
PA
USD
10853.15000000
0.000033615046
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 831794
31407JC75
185895.75000000
PA
USD
216591.25000000
0.000670839790
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G60153
31335AE20
29990.46000000
PA
USD
33330.03000000
0.000103231826
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 901895
31410Y7G3
1436.79000000
PA
USD
1677.00000000
0.000005194107
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS7248
3138WHBS0
436451.94000000
PA
USD
478008.14000000
0.001480516320
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GGQ6
44800000.00000000
PA
USD
46141401.60000000
0.142911997562
Long
DBT
CORP
US
N
2
2023-07-21
Variable
2.81600000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
026657AQ9
8000000.00000000
PA
9560448.01000000
0.029611209788
Long
DBT
CORP
US
N
2
2022-04-20
Fixed
1.60000000
N
N
N
N
N
N
COMM 2012-CCRE3 Mortgage Trust
N/A
COMM 2012-CR3 AM
12624PAJ4
770000.00000000
PA
USD
781057.20000000
0.002419138578
Long
ABS-MBS
CORP
US
Y
2
2045-10-15
Fixed
3.41600000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GBY4
4660000.00000000
PA
USD
5116959.60000000
0.015848563167
Long
DBT
CORP
US
Y
2
2026-12-18
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE1818
31419CAU7
15345.53000000
PA
USD
16590.99000000
0.000051386638
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB1609
31416WYF3
75618.73000000
PA
USD
80479.12000000
0.000249264898
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A76056
3128L9WR0
34669.39000000
PA
USD
39549.39000000
0.000122494812
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 607675
36202SCL0
67901.51000000
PA
USD
78786.12000000
0.000244021234
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
5.50000000
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_20-1
N/A
MBART 2020-1 A3
58769VAC4
19060000.00000000
PA
USD
19121197.85000000
0.059223354422
Long
ABS-CBDO
CORP
US
N
2
2025-02-18
Fixed
0.55000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 704599
31401CX40
505267.98000000
PA
USD
586238.13000000
0.001815732927
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q58588
3132Y2RJ7
416255.66000000
PA
USD
454307.84000000
0.001407110288
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78015K7C2
28806000.00000000
PA
USD
30145334.97000000
0.093367992483
Long
DBT
CORP
CA
N
2
2024-11-01
Fixed
2.25000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
DUKE ENERGY PROG
26442UAA2
8126000.00000000
PA
USD
8749174.81000000
0.027098484349
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AX1651
36196CZQ7
172679.49000000
PA
USD
196143.80000000
0.000607508686
Long
ABS-MBS
USGA
US
N
2
2046-10-15
Fixed
4.50000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
PFIZER INC
717081DM2
13345000.00000000
PA
USD
14468742.42000000
0.044813482247
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G04656
3128M6QH4
19649.90000000
PA
USD
22842.08000000
0.000070747900
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NDA6
10970000.00000000
PA
USD
11209727.41000000
0.034719459763
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.65000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5305
36202F3N4
900869.09000000
PA
USD
980664.92000000
0.003037375931
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
4.00000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAD1
12178000.00000000
PA
USD
13219888.79000000
0.040945455686
Long
DBT
CORP
JP
Y
2
2026-04-12
Fixed
3.47700000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 727727
3620AEPL8
1536.46000000
PA
USD
1652.07000000
0.000005116893
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
6.00000000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
TRUIST FINANCIAL
89788MAD4
6620000.00000000
PA
USD
6520925.08000000
0.020197011725
Long
DBT
CORP
US
N
2
2027-03-02
Variable
1.26700000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4947
36202FP83
81821.28000000
PA
USD
92541.29000000
0.000286624596
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR2416
3617LYVH0
2011657.35000000
PA
USD
2122456.62000000
0.006573803672
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
4.00000000
N
N
N
N
N
N
Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXP-IMP BK KOREA
302154CF4
10000000.00000000
PA
USD
10082520.00000000
0.031228203385
Long
DBT
NUSS
KR
N
2
2021-10-21
Fixed
1.87500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 190377
31368HM26
23810.59000000
PA
USD
27134.86000000
0.000084043763
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.00000000
N
N
N
N
N
N
MUFG Union Bank NA
OX3PU53ZLPQKJ4700D47
MUFG UNION BANK
90520EAK7
8000000.00000000
PA
USD
8212152.00000000
0.025435184149
Long
DBT
CORP
US
N
2
2022-12-09
Fixed
2.10000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q04107
3132GKGQ3
98165.17000000
PA
USD
106415.96000000
0.000329598080
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06399
3128M8NQ3
72391.37000000
PA
USD
84181.04000000
0.000260730713
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_18-ST2
N/A
DLL 2018-ST2 A3
23291JAC2
1131507.08000000
PA
USD
1133403.60000000
0.003510447600
Long
ABS-CBDO
CORP
US
Y
2
2022-01-20
Fixed
3.46000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH2899
3138A4GH2
494850.73000000
PA
USD
549804.94000000
0.001702889802
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCK2
16000000.00000000
PA
USD
15676672.00000000
0.048554756313
Long
DBT
CORP
CA
N
2
2025-09-11
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 678572
31391V2D4
111999.75000000
PA
USD
128680.05000000
0.000398555794
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 732120
3620AKK96
3622.21000000
PA
USD
3910.02000000
0.000012110355
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01374
31283HQ32
50877.57000000
PA
USD
57228.62000000
0.000177252014
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
7.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CJ6
10440000.00000000
PA
USD
10401643.44000000
0.032216612204
Long
DBT
CORP
GB
N
2
2026-04-18
Variable
1.64500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR5665
3617M4JJ5
3196911.30000000
PA
USD
3288978.19000000
0.010186826294
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 730485
31402JRE9
25117.25000000
PA
USD
28027.23000000
0.000086807667
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
COMM 2015-CCRE24 Mortgage Trust
N/A
COMM 2015-CR24 A5
12593JBF2
2916100.00000000
PA
USD
3196891.27000000
0.009901609000
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Fixed
3.69600000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 746175
3620C16L5
42683.89000000
PA
USD
47013.05000000
0.000145611720
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BC8177
3617BCCN7
3798180.92000000
PA
USD
4178217.03000000
0.012941031726
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 983631
31415LVY0
4520.10000000
PA
USD
4659.99000000
0.000014433208
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL5242
36184BZF7
132083.25000000
PA
USD
140609.82000000
0.000435505415
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6903
3138WGU51
3262185.05000000
PA
USD
3449135.98000000
0.010682876888
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C00609
31292GVA1
47250.71000000
PA
USD
51980.51000000
0.000160997244
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE2189
3140FMNF9
133868.22000000
PA
USD
140252.11000000
0.000434397493
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G30415
3128CUN85
989705.03000000
PA
USD
1113939.04000000
0.003450160763
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q63916
3132VQK62
2731564.65000000
PA
USD
2938091.97000000
0.009100039831
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT2062
3138WPJG0
1620687.17000000
PA
USD
1686042.03000000
0.005222113462
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 697852
36296QH51
30300.20000000
PA
USD
34785.22000000
0.000107738930
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.00000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_18-B
N/A
SMB 2018-B A2A
78449LAB4
654943.36000000
PA
USD
696363.88000000
0.002156821198
Long
ABS-CBDO
CORP
US
Y
2
2037-01-15
Fixed
3.60000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2015-GC34
54930070360RBP384M53
GSMS 2015-GC34 A3
36250VAC6
2023562.48000000
PA
USD
2136578.44000000
0.006617542645
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
3.24400000
N
N
N
N
N
N
Realty Income Corp
549300CUWDAUZSH43859
REALTY INCOME
756109AR5
16355000.00000000
PA
USD
18424479.93000000
0.057065436669
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
4.12500000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406RAJ6
8280000.00000000
PA
USD
8853083.64000000
0.027420317192
Long
DBT
CORP
US
N
2
2023-08-11
Fixed
3.45000000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513AZ8
8980000.00000000
PA
USD
10115233.64000000
0.031329526090
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.00000000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550AZ1
31170000.00000000
PA
USD
32986618.77000000
0.102168192074
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
2.62500000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90351DAF4
1500000.00000000
PA
USD
1680886.50000000
0.005206145436
Long
DBT
CORP
CH
Y
2
2026-04-15
Fixed
4.12500000
N
N
N
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX COS INC
872540AQ2
7870000.00000000
PA
USD
8183336.18000000
0.025345934012
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7314
3133JLDT3
487897.08000000
PA
USD
514964.93000000
0.001594981172
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 256603
31371NAC9
9090.07000000
PA
USD
9180.58000000
0.000028434659
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0958
31418AB49
7971.22000000
PA
USD
8048.16000000
0.000024927258
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18539
3128MMS53
107006.39000000
PA
USD
109860.70000000
0.000340267342
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
2.00000000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp
4NYF266XZC35SCTGX023
NATL RURAL UTIL
637432NP6
9675000.00000000
PA
USD
10377946.80000000
0.032143217508
Long
DBT
CORP
US
N
2
2028-02-07
Fixed
3.40000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 756823
36230RSL1
30720.05000000
PA
USD
33604.56000000
0.000104082117
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C79490
31288JRK4
50034.05000000
PA
USD
57793.01000000
0.000179000078
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q26460
3132M6ZZ6
73915.25000000
PA
USD
82326.99000000
0.000254988235
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816CC1
11135000.00000000
PA
USD
11973142.59000000
0.037083956388
Long
DBT
CORP
US
N
2
2024-02-22
Fixed
3.40000000
N
N
N
N
N
N
GlaxoSmithKline Capital PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE
N/A
13825000.00000000
PA
16335840.11000000
0.050596372477
Long
DBT
CORP
GB
N
2
2023-05-12
Fixed
0.12500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 551605
36213DYA0
4971.77000000
PA
USD
5372.27000000
0.000016639326
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
7.00000000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST JDOT_19-A4
N/A
JDOT 2019-A A4
47789JAE6
4270000.00000000
PA
USD
4423966.38000000
0.013702181784
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
3.00000000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_18-1A
N/A
CPART 2018-1A A4
136451AE1
2964289.58000000
PA
USD
2977054.40000000
0.009220716675
Long
ABS-CBDO
CORP
CA
Y
2
2022-09-19
Fixed
3.22000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE4902
31419FNU6
1436.95000000
PA
USD
1504.83000000
0.000004660852
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC19
N/A
CGCMT 2014-GC19 A3
17322AAC6
107593.93000000
PA
USD
114587.54000000
0.000354907602
Long
ABS-MBS
CORP
US
N
2
2047-03-10
Fixed
3.75300000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4710 KZ
3137FAA40
30035465.26000000
PA
USD
32161675.85000000
0.099613127934
Long
ABS-MBS
USGSE
US
N
2
2047-08-15
Fixed
3.50000000
N
N
N
N
N
N
3M Co
LUZQVYP4VS22CLWDAR65
3M CO
88579YBH3
28325000.00000000
PA
USD
29423556.80000000
0.091132456576
Long
DBT
CORP
US
N
2
2025-02-14
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783499
36241L3G9
73067.21000000
PA
USD
82792.46000000
0.000256429918
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 731269
3620AJMS5
227537.51000000
PA
USD
255706.79000000
0.000791990855
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 538313
36212NAN7
80640.88000000
PA
USD
86159.22000000
0.000266857655
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725257
31402CWS7
148068.81000000
PA
USD
172638.50000000
0.000534706619
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2015-GC27
N/A
CGCMT 2015-GC27 A5
17323CAE7
20000.00000000
PA
USD
21312.60000000
0.000066010700
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.13700000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_16-4
N/A
CARMX 2018-4 A3
14315EAC4
8046073.36000000
PA
USD
8191007.28000000
0.025369693417
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
3.36000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 968515
31414KN89
10002.48000000
PA
USD
11714.07000000
0.000036281540
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4686 LZ
3137BY2F6
38388315.32000000
PA
USD
40926550.73000000
0.126760239510
Long
ABS-MBS
USGSE
US
N
2
2047-05-15
Fixed
3.50000000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406FAE3
2825000.00000000
PA
USD
2969213.43000000
0.009196431138
Long
DBT
CORP
US
N
2
2026-08-17
Fixed
2.45000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAR
26442CAX2
6005000.00000000
PA
USD
6766626.16000000
0.020958012278
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.95000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03205
3128M43N1
1086559.34000000
PA
USD
1271612.02000000
0.003938515250
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4652
36179TEZ4
223919.39000000
PA
USD
239447.57000000
0.000741631796
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
3.50000000
N
N
N
N
N
N
Florida Power & Light Co
A89MY1K3YLIGJMYWVX50
FLORIDA POWER &
341081FZ5
28543000.00000000
PA
USD
30452983.39000000
0.094320860162
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.85000000
N
N
N
N
N
N
N/A
N/A
EURO-SCHATZ FUT Jun21
N/A
-2305.00000000
NC
-303014539.46000000
-0.93851533813
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Short
N/A
Eurex 2 Year Euro SCHATZ Future
2021-06-08
-311902475.83000000
EUR
20586.33000000
N
N
N
Linde Inc/CT
ZU69GUVJQGZ6Z1UOOO79
PRAXAIR INC
74005PBT0
12430000.00000000
PA
USD
11289932.83000000
0.034967876941
Long
DBT
CORP
US
N
2
2030-08-10
Fixed
1.10000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 686791
36296B7C0
48732.67000000
PA
USD
57299.89000000
0.000177472756
Long
ABS-MBS
USGA
US
N
2
2038-06-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J27413
31307GGW3
1158440.64000000
PA
USD
1233495.43000000
0.003820458195
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AV6106
36195GYB3
463475.56000000
PA
USD
528717.44000000
0.001637576295
Long
ABS-MBS
USGA
US
N
2
2046-12-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08677
3128MJXF2
843429.13000000
PA
USD
905882.36000000
0.002805754769
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4239
3140QBV96
25201679.83000000
PA
USD
26482865.19000000
0.082024364978
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI0686
3138ADXQ3
952332.52000000
PA
USD
1082977.21000000
0.003354263872
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA9379
3133A4M45
17732410.03000000
PA
USD
18205039.05000000
0.056385770828
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12
N/A
MSBAM 2013-C12 A4
61762XAU1
150000.00000000
PA
USD
161397.00000000
0.000499888752
Long
ABS-MBS
CORP
US
N
2
2046-10-15
Variable
4.25900000
N
N
N
N
N
N
Potomac Electric Power Co
549300BXF2DWUNN57U06
POTOMAC ELEC PWR
737679DG2
4925000.00000000
PA
USD
5294315.90000000
0.016397882048
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.60000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C19
N/A
JPMBB 2014-C19 A4
46641WAV9
165000.00000000
PA
USD
178361.70000000
0.000552432868
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Fixed
3.99650000
N
N
N
N
N
N
Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXP-IMP BK KOREA
302154CY3
18000000.00000000
PA
USD
19029600.00000000
0.058939651907
Long
DBT
NUSS
KR
N
2
2024-06-25
Fixed
2.37500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01519
31283HVL6
243735.11000000
PA
USD
285251.97000000
0.000883500011
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6.00000000
N
N
N
N
N
N
USAA Capital Corp
5493007XLF4LU3U2W757
USAA CAP CORP
90327QD48
1580000.00000000
PA
USD
1612833.98000000
0.004995368970
Long
DBT
CORP
US
Y
2
2023-05-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0988
31419BC29
1422.66000000
PA
USD
1499.57000000
0.000004644560
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08693
3128MJXX3
1213825.97000000
PA
USD
1296177.51000000
0.004014601003
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q38865
3132QVZ79
113687.80000000
PA
USD
125952.06000000
0.000390106495
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 658570
36294ST31
59570.32000000
PA
USD
69211.83000000
0.000214367152
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 621060
36290X5V8
5184.99000000
PA
USD
5796.32000000
0.000017952720
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91116
3128P7GZ0
18948.48000000
PA
USD
21393.98000000
0.000066262755
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO9369
3140K5MT1
11755425.79000000
PA
USD
12255659.13000000
0.037958984057
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
ENTERGY LA LLC
29364WAY4
5560000.00000000
PA
USD
5775110.84000000
0.017887029818
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
2.40000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT7656
36194GQH0
742474.00000000
PA
USD
808923.79000000
0.002505448701
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY5629
3138YKHF3
100417.60000000
PA
USD
105746.53000000
0.000327524680
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.00000000
N
N
N
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX COS INC
872540AS8
2241000.00000000
PA
USD
2489869.77000000
0.007711778363
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q03168
3132GJFH7
17607.58000000
PA
USD
19585.21000000
0.000060660521
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q02642
3132GF5B9
5193.24000000
PA
USD
5776.17000000
0.000017890310
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 253598
31371JUX0
6121.07000000
PA
USD
7380.59000000
0.000022859618
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
8.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C19466
31293FQT7
158.63000000
PA
USD
176.02000000
0.000000545180
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
6.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HRS1
11430000.00000000
PA
USD
12304452.15000000
0.038110108810
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14492
3128MDF99
1995.54000000
PA
USD
2114.37000000
0.000006548757
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01865
3128LXCA6
755729.04000000
PA
USD
862127.38000000
0.002670234144
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA7633
3133A2PS3
21270553.69000000
PA
USD
22172157.16000000
0.068672973947
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA4546
31346YBP7
34861393.63000000
PA
USD
36344843.54000000
0.112569493150
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J16099
3128PVX47
7371.56000000
PA
USD
7867.25000000
0.000024366932
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2017-137 CZ
38380GWL4
23368510.09000000
PA
USD
23977259.78000000
0.074263849220
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBW9
12030000.00000000
PA
USD
12213072.54000000
0.037827082241
Long
DBT
CORP
JP
N
2
2030-01-15
Fixed
2.75000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP
902613AC2
19165000.00000000
PA
USD
18890039.75000000
0.058507397285
Long
DBT
CORP
CH
Y
2
2027-01-30
Variable
1.36400000
N
N
N
N
N
N
Freddie Mac Strips
N/A
FHS 357 250
3132J0P68
15705176.50000000
PA
USD
16327258.54000000
0.050569793108
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Fixed
2.50000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCP1
11835000.00000000
PA
USD
11520046.98000000
0.035680600693
Long
DBT
CORP
CA
N
2
2026-01-06
Fixed
0.75000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4401
36202E3J6
4734.92000000
PA
USD
5670.09000000
0.000017561752
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AD2414
36180DVF1
407803.17000000
PA
USD
437013.38000000
0.001353544819
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698036
36296QPV5
4286.10000000
PA
USD
5037.83000000
0.000015603478
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 781966
36241KFF0
1788.00000000
PA
USD
2060.20000000
0.000006380978
Long
ABS-MBS
USGA
US
N
2
2035-08-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL0082
3138EGCU6
1375282.62000000
PA
USD
1572773.75000000
0.004871291953
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
5.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHC6
27480000.00000000
PA
USD
28575325.32000000
0.088505261670
Long
DBT
CORP
US
N
2
2023-12-20
Variable
3.00400000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C58961
31298V5W3
90521.50000000
PA
USD
100926.95000000
0.000312597180
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
6.50000000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE ELECTRIC CO
23338VAB2
8453000.00000000
PA
USD
9076129.80000000
0.028111149528
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.65000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q36040
3132QSWA2
365123.48000000
PA
USD
391995.47000000
0.001214112569
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725456
31402C5R9
199144.11000000
PA
USD
227898.87000000
0.000705862449
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HQW3
930000.00000000
PA
USD
1009372.71000000
0.003126291470
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.30000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2016-BNK2
N/A
MSC 2016-BNK2 A3
61690YBT8
1590000.00000000
PA
USD
1673840.70000000
0.005184322750
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
2.79100000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A47639
3128K8PY6
189885.96000000
PA
USD
215938.31000000
0.000668817464
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 617732
36290UHH2
67.10000000
PA
USD
75.25000000
0.000000233068
Long
ABS-MBS
USGA
US
N
2
2037-10-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Capital I 2017-HR2
N/A
MSC 2017-HR2 ASB
61691NAC9
1260000.00000000
PA
USD
1372883.40000000
0.004252179221
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
3.50900000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2019-C7
N/A
CGCMT 2019-C7 A3
17328CAC6
10150000.00000000
PA
USD
10508498.00000000
0.032547568744
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
2.86000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11
N/A
JPMCC 2013-LC11 A5
46639YAQ0
2840669.00000000
PA
USD
2958812.42000000
0.009164216488
Long
ABS-MBS
CORP
US
N
2
2046-04-15
Fixed
2.95990000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AU7136
36194U4V2
1652649.28000000
PA
USD
1766589.53000000
0.005471590152
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 890386
31410LF31
34944.60000000
PA
USD
40486.73000000
0.000125397999
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 953406
31413RU79
223494.34000000
PA
USD
259140.88000000
0.000802627131
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
COMM 2013-CCRE12 Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CR12 A4
12591KAE5
2127800.00000000
PA
USD
2287682.89000000
0.007085552676
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Fixed
4.04600000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12247
3128PRP86
4390.23000000
PA
USD
4638.34000000
0.000014366152
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZD5
380000000.00000000
PA
USD
382434356.00000000
1.184499296882
Long
DBT
UST
US
N
2
2023-03-15
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC3675
3140EYCM1
2585067.16000000
PA
USD
2741514.39000000
0.008491187615
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
3.00000000
N
N
N
N
N
N
TRAFIGURA SECURITISATION FINANCE PLC TRFIG_18-1A
N/A
TRFIG 2018-1A A2
892725AK8
3800000.00000000
PA
USD
3852712.46000000
0.011932858877
Long
ABS-CBDO
CORP
IE
Y
2
2022-03-15
Fixed
3.73000000
N
N
N
N
N
N
Banc of America Commercial Mortgage Trust 2017-BNK3
N/A
BACM 2017-BNK3 A4
06427DAS2
330000.00000000
PA
USD
362165.10000000
0.001121720105
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Fixed
3.57400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ7355
3140E0E50
80942.49000000
PA
USD
86637.30000000
0.000268338394
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
Commonwealth Edison Co
D8YOXB8L2ZDC8P7Q0771
COMMONWEALTH EDI
202795JH4
2480000.00000000
PA
USD
2620273.76000000
0.008115673651
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
2.55000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2522
36179QYT2
264040.30000000
PA
USD
288522.83000000
0.000893630720
Long
ABS-MBS
USGA
US
N
2
2045-01-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3369
31418CW75
592593.77000000
PA
USD
621374.15000000
0.001924558377
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q36071
3132QSW95
211985.30000000
PA
USD
226976.79000000
0.000703006526
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08810
3128MJ3U2
319956.26000000
PA
USD
349204.23000000
0.001081576899
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11
N/A
MSBAM 2013-C11 A3
61762TAD8
1236237.16000000
PA
USD
1298630.05000000
0.004022197161
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Fixed
3.96000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO7894
3140K3XY3
638774.60000000
PA
USD
670918.19000000
0.002078009237
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.00000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
064159TF3
9530000.00000000
PA
USD
9903747.54000000
0.030674498286
Long
DBT
CORP
CA
N
2
2025-02-03
Fixed
2.20000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13687
3128MCJ89
6988.27000000
PA
USD
7356.21000000
0.000022784107
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4775
3140QCJV9
7411678.33000000
PA
USD
7713740.54000000
0.023891473406
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ2571
3617LL2C1
1264937.95000000
PA
USD
1319332.69000000
0.004086318656
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06931
3128M9A85
69157.11000000
PA
USD
80106.50000000
0.000248110797
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3596
31418C7J7
150878.34000000
PA
USD
156223.49000000
0.000483865037
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889506
31410KGP3
1853006.01000000
PA
USD
2184425.03000000
0.006765736057
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 587025
36201MD66
23370.35000000
PA
USD
25310.06000000
0.000078391880
Long
ABS-MBS
USGA
US
N
2
2032-04-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A89112
312936DR5
65604.11000000
PA
USD
74133.63000000
0.000229611255
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD6369
31418UCF9
16882.64000000
PA
USD
18922.27000000
0.000058607222
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A93910
312942KX2
3852.03000000
PA
USD
4316.43000000
0.000013369113
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS1594
3138WAXY8
5710.38000000
PA
USD
6338.01000000
0.000019630475
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
5.00000000
N
N
N
N
N
N
Realty Income Corp
549300CUWDAUZSH43859
REALTY INCOME
756109AV6
28632000.00000000
PA
USD
31385883.02000000
0.097210294488
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A68635
3128L0SY9
239916.75000000
PA
USD
278451.46000000
0.000862437052
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
Korea Hydro & Nuclear Power Co Ltd
9884008CRY5MLCN8OQ43
KOREA HYDRO & NU
N/A
9984000.00000000
PA
USD
10104823.37000000
0.031297282760
Long
DBT
NUSS
KR
N
2
2021-07-13
Fixed
4.75000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BDJ2
10735000.00000000
PA
USD
11378176.79000000
0.035241191582
Long
DBT
CORP
US
N
2
2023-02-25
Fixed
3.75000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2020-GC45
N/A
GSMS 2020-GC45 A5
36258YBG2
16325000.00000000
PA
USD
17080031.25000000
0.052901327218
Long
ABS-MBS
CORP
US
N
2
2053-02-13
Fixed
2.91060000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2017-C41
N/A
WFCM 2017-C41 A4
95001ABD7
3160000.00000000
PA
USD
3431728.40000000
0.010628961057
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
3.47200000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61761J3R8
6760000.00000000
PA
USD
7274138.56000000
0.022529911014
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 739821
31402V4E7
603790.18000000
PA
USD
689282.64000000
0.002134888745
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q14275
3132HQXC1
14790.28000000
PA
USD
15417.97000000
0.000047753488
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Brookfield Finance Inc
N/A
BROOKFIELD FIN
11271LAE2
7000000.00000000
PA
USD
7857164.00000000
0.024335693400
Long
DBT
CORP
CA
N
2
2030-04-15
Fixed
4.35000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
108.47000000
0.000000335959
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
20000.00000000
EUR
23574.64000000
USD
2021-04-30
108.47000000
N
N
N
Fannie Mae Pool
N/A
FN BM5632
3140JAHJ0
13040020.04000000
PA
USD
13692571.33000000
0.042409477230
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI2095
3138AFKH2
84615.26000000
PA
USD
90010.08000000
0.000278784776
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
4.00000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_18-B
N/A
FORDO 2018-B A3
34532TAD4
12228683.32000000
PA
USD
12380141.68000000
0.038344539095
Long
ABS-CBDO
CORP
US
N
2
2023-04-15
Fixed
3.24000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03464
3128M5FD7
311126.27000000
PA
USD
354466.50000000
0.001097875526
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236TGX7
14000000.00000000
PA
USD
14990598.00000000
0.046429805566
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL1163
3138EHJH6
2581692.91000000
PA
USD
2765809.44000000
0.008566435744
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11981
3128PRFW4
3426.46000000
PA
USD
3620.89000000
0.000011214844
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5628
3138WFHE9
1792043.53000000
PA
USD
1898710.98000000
0.005880804863
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0692
31417YXW2
17701.69000000
PA
USD
19676.75000000
0.000060944044
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_17-A
N/A
SMB 2017-A A2B
78448WAC9
260023.79230000
PA
USD
261319.41000000
0.000809374609
Long
ABS-CBDO
CORP
US
Y
2
2034-09-15
Floating
1.00600000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 190360
31368HMH3
366154.82000000
PA
USD
418329.28000000
0.001295675271
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6534
3138WGHL1
1089175.73000000
PA
USD
1162673.53000000
0.003601104234
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Berkshire Hathaway Energy Co
549300JD0S5IZJE9LY15
BERKSHIRE HATHAW
084659AM3
11165000.00000000
PA
USD
11992717.28000000
0.037144584326
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
3.25000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CF4
10000000.00000000
PA
USD
11615650.00000000
0.035976708268
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
4.95000000
N
N
N
N
N
N
Oncor Electric Delivery Co LLC
549300SP2X2BS1KERD24
ONCOR ELECTRIC D
68233JBY9
23000000.00000000
PA
USD
22201578.00000000
0.068764097989
Long
DBT
CORP
US
Y
2
2025-10-01
Fixed
0.55000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY0939
3138YEBH9
8078.92000000
PA
USD
8422.37000000
0.000026086284
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
2.50000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAT4
11000000.00000000
PA
USD
11511808.00000000
0.035655082415
Long
DBT
CORP
FR
Y
2
2024-11-21
Fixed
2.37500000
N
N
N
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
COM BK AUSTRALIA
2027A0JT7
12000000.00000000
PA
USD
13115544.00000000
0.040622272561
Long
DBT
CORP
AU
Y
2
2027-09-19
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0268
31417YJN8
18195.36000000
PA
USD
20315.97000000
0.000062923876
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE9408
3140FVN28
3030804.27000000
PA
USD
3309211.83000000
0.010249495173
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 3 4/21
01F030645
-397000000.00000000
PA
USD
-413500312.50000000
-1.28071869520
Short
ABS-MBS
USGSE
US
N
2
2021-04-14
Fixed
3.00000000
N
N
N
N
N
N
JPMCC Commercial Mortgage Securities Trust 2017-JP7
N/A
JPMCC 2017-JP7 A5
465968AE5
895000.00000000
PA
USD
973625.75000000
0.003015573779
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.45400000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
ENTERGY LA LLC
29364WAZ1
11909000.00000000
PA
USD
12886478.81000000
0.039912797713
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
3.12000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 3.5 4/21
21H032647
175000000.00000000
PA
USD
184625000.00000000
0.571831947773
Long
ABS-MBS
USGA
US
N
2
2021-04-21
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08161
3128MJFB1
215607.36000000
PA
USD
250015.84000000
0.000774364494
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3615
31418DAR3
800476.20000000
PA
USD
858043.89000000
0.002657586507
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 880466
31409WFF3
74.64000000
PA
USD
74.64000000
0.000000231179
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J32437
31307NV68
110232.08000000
PA
USD
117828.72000000
0.000364946385
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust 2012-C1
N/A
UBSCM 2012-C1 AS
90269GAE1
273114.00000000
PA
USD
280070.21000000
0.000867450744
Long
ABS-MBS
CORP
US
N
2
2045-05-10
Fixed
4.17100000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2F9
7100000.00000000
PA
USD
7589701.20000000
0.023507291104
Long
DBT
CORP
US
N
2
2027-06-17
Variable
3.19600000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDR0
5025000.00000000
PA
USD
5280611.70000000
0.016355436554
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL9612
3138ERVE7
1641694.02000000
PA
USD
1769840.72000000
0.005481659938
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
3.50000000
N
N
N
N
N
N
Air Products and Chemicals Inc
7QEON6Y1RL5XR3R1W237
AIR PROD & CHEM
009158AY2
1120000.00000000
PA
USD
1132779.20000000
0.003508513670
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
1.85000000
N
N
N
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
VISA INC
92826CAD4
59590000.00000000
PA
USD
64925450.24000000
0.201091112638
Long
DBT
CORP
US
N
2
2025-12-14
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AV2959
3138XEJD1
24111.84000000
PA
USD
26837.41000000
0.000083122483
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3544
31418C5E0
12796813.99000000
PA
USD
13847982.68000000
0.042890826857
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 898126
31410UYX4
47644.97000000
PA
USD
55851.95000000
0.000172988107
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
State Grid Overseas Investment 2016 Ltd
3003006V8BHG5158QO96
STATE GRID OSEAS
N/A
12340000.00000000
PA
USD
12598525.47000000
0.039020930852
Long
DBT
CORP
VG
N
2
2022-05-04
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 1.5 4/21
01F012445
-110000000.00000000
PA
USD
-110464068.00000000
-0.34213613087
Short
ABS-MBS
USGSE
US
N
2
2021-04-19
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL9745
3138ERZK9
1360780.57000000
PA
USD
1467404.40000000
0.004544935497
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698462
36296Q5X3
107619.11000000
PA
USD
120749.22000000
0.000373991938
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
5.00000000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_20-1
N/A
GFORT 2020-1 A
361886CH5
5520000.00000000
PA
USD
5526588.67000000
0.017117291611
Long
ABS-CBDO
CORP
US
Y
2
2025-08-15
Fixed
0.68000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL4438
3138EL4Y6
715785.05000000
PA
USD
810719.62000000
0.002511010856
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3817
31418DG30
6756662.04000000
PA
USD
7098625.49000000
0.021986301099
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17
N/A
MSBAM 2014-C17 A5
61763UAZ5
370000.00000000
PA
USD
399988.50000000
0.001238869075
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.74100000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA4783
31346YJ46
4850711.61000000
PA
USD
5057122.00000000
0.015663230458
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
COMM 2015-CCRE24 Mortgage Trust
N/A
COMM 2015-CR24 A4
12593JBE5
2466233.14000000
PA
USD
2663038.54000000
0.008248127368
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Fixed
3.43200000
N
N
N
N
N
N
CD 2016-CD1 Mortgage Trust
N/A
CD 2016-CD1 A3
12514MBB0
17590000.00000000
PA
USD
18181375.80000000
0.056312479549
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
2.45900000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 651825
36292LD68
164129.32000000
PA
USD
184954.31000000
0.000572851907
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 704473
36296XT61
17341.51000000
PA
USD
18797.41000000
0.000058220498
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-134 CK
38380BGB5
13562613.55000000
PA
USD
14078399.74000000
0.043604488800
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18659
3128MMWV1
83131.97000000
PA
USD
88125.24000000
0.000272946933
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01131
31283HHG3
22492.96000000
PA
USD
25685.98000000
0.000079556202
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0921
31418AAX6
17106.56000000
PA
USD
17225.64000000
0.000053352315
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91335
3128P7PU1
8157.12000000
PA
USD
8880.78000000
0.000027506100
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
4.00000000
N
N
N
N
N
N
Petronas Capital Ltd
549300G7YFX3540OYR85
PETRONAS CAP LTD
716743AP4
1993000.00000000
PA
USD
2132569.79000000
0.006605126807
Long
DBT
CORP
MY
Y
2
2030-04-21
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 984257
31415MME2
18857.24000000
PA
USD
19444.13000000
0.000060223559
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH5583
3138A7FZ6
11308.39000000
PA
USD
12543.61000000
0.000038850843
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78013XZU5
14025000.00000000
PA
USD
14804172.90000000
0.045852398237
Long
DBT
CORP
CA
N
2
2024-07-16
Fixed
2.55000000
N
N
N
N
N
N
COMM 2014-CCRE18 Mortgage Trust
N/A
COMM 2014-CR18 A5
12632QAX1
4081700.00000000
PA
USD
4431256.79000000
0.013724762092
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
3.82800000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J18496
3128PYNM2
4614.21000000
PA
USD
4873.29000000
0.000015093854
Long
ABS-MBS
USGSE
US
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 784643
3622AABL7
117044.21000000
PA
USD
129665.08000000
0.000401606690
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 633661
36291N5W7
17963.05000000
PA
USD
20838.22000000
0.000064541421
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
5.50000000
N
N
N
N
N
N
AIG Global Funding
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDI
00138CAC2
285000.00000000
PA
USD
289267.31000000
0.000895936570
Long
DBT
CORP
US
Y
2
2021-12-15
Fixed
2.70000000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_19-C
N/A
VZOT 2019-C A1A
92348AAA3
28360000.00000000
PA
USD
28846408.03000000
0.089344875775
Long
ABS-CBDO
CORP
US
N
2
2024-04-22
Fixed
1.94000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5700
36179UKM3
1364955.80000000
PA
USD
1415342.73000000
0.004383686879
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.00000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833ED8
14000000.00000000
PA
USD
13324346.00000000
0.041268987006
Long
DBT
CORP
US
N
2
2031-02-08
Fixed
1.65000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 658936
36294TBD6
161644.51000000
PA
USD
188318.26000000
0.000583270940
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15717
3128PVK66
275610.08000000
PA
USD
297818.96000000
0.000922423268
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL4076
3138ELQ63
1331847.97000000
PA
USD
1570969.69000000
0.004865704307
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BE0046
3617BTBP6
4308762.44000000
PA
USD
4583561.95000000
0.014196491036
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG V81888
3132L7CZ0
299845.94000000
PA
USD
321051.01000000
0.000994379008
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5115
36202FVG8
608620.79000000
PA
USD
696487.25000000
0.002157203308
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08671
3128MJW97
370804.58000000
PA
USD
397027.84000000
0.001229699136
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4383
36179S2Q9
311062.30000000
PA
USD
337613.33000000
0.001045676848
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q03517
3132GJSE0
10555.42000000
PA
USD
11732.81000000
0.000036339583
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2013-C14
N/A
JPMBB 2013-C14 A4
46640LAD4
490000.00000000
PA
USD
516705.00000000
0.001600370624
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.13270000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD5047
3140FCTD0
3465999.32000000
PA
USD
3632631.05000000
0.011251209147
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET CRP
857477BM4
2280000.00000000
PA
USD
2422725.72000000
0.007503815666
Long
DBT
CORP
US
N
2
2026-03-30
Variable
2.90100000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 649488
36292HRH8
1224.02000000
PA
USD
1382.51000000
0.000004281995
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0885
31419A6X0
4.90000000
PA
USD
5.14000000
0.000000015919
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2017-60 LB
3136AXQS7
12486530.05000000
PA
USD
12802314.39000000
0.039652118476
Long
ABS-MBS
USGSE
US
N
2
2047-08-25
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725222
31402CVP4
175982.66000000
PA
USD
205698.05000000
0.000637100699
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXL3
16250000.00000000
PA
USD
16233815.00000000
0.050280374008
Long
DBT
CORP
US
N
2
2023-11-17
Variable
0.62700000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4807 LZ
3137FGPZ2
28574837.48000000
PA
USD
30474492.68000000
0.094387480062
Long
ABS-MBS
USGSE
US
N
2
2048-07-15
Fixed
4.00000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AH7
1025000.00000000
PA
USD
1071313.60000000
0.003318138619
Long
DBT
CORP
JP
N
2
2023-09-13
Fixed
2.52700000
N
N
N
N
N
N
CAPITAL ONE MULTI-ASSET EXECUTION TRUST
R42WS16M9R97TJJKGU15
COMET 2019-A3 A3
14041NFV8
22300000.00000000
PA
USD
23211630.69000000
0.071892495536
Long
ABS-CBDO
CORP
US
N
2
2028-08-15
Fixed
2.06000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 704972
36296YFM9
136258.42000000
PA
USD
155735.28000000
0.000482352923
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 948356
31413LBZ1
19696.00000000
PA
USD
22900.92000000
0.000070930143
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2495
31418BXZ4
748445.56000000
PA
USD
801104.02000000
0.002481228826
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5141
36202FWA0
40134.56000000
PA
USD
44380.58000000
0.000137458272
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 487847
36210B5G6
41102.92000000
PA
USD
46802.53000000
0.000144959685
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2016-GC37
N/A
CGCMT 2016-GC37 A3
17290XAS9
3643939.57000000
PA
USD
3797349.43000000
0.011761385082
Long
ABS-MBS
CORP
US
N
2
2049-04-10
Fixed
3.05000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8453
3138WJMB1
200027.67000000
PA
USD
209917.34000000
0.000650168944
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_17-1A
N/A
NAVSL 2017-1A A2
63940NAB6
4477229.83040000
PA
USD
4481420.52000000
0.013880132293
Long
ABS-CBDO
CORP
US
Y
2
2066-07-26
Floating
0.85860000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 604565
36200MTW3
360630.85000000
PA
USD
402557.79000000
0.001246826838
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
United Parcel Service Inc
D01LMJZU09ULLNCY6Z23
UNITED PARCEL
911312BR6
5000000.00000000
PA
USD
5419735.00000000
0.016786337827
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01771
31283H6G5
623387.68000000
PA
USD
719730.87000000
0.002229194882
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 543924
36212UG96
2423.76000000
PA
USD
2592.60000000
0.000008029960
Long
ABS-MBS
USGA
US
N
2
2031-02-15
Fixed
7.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-71 JA
38380WWM7
4689209.72000000
PA
USD
4783228.37000000
0.014814910198
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
DUKE ENERGY PROG
26442UAH7
1520000.00000000
PA
USD
1635542.80000000
0.005065704129
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.45000000
N
N
N
N
N
N
Realty Income Corp
549300CUWDAUZSH43859
REALTY INCOME
756109AZ7
4710000.00000000
PA
USD
4538424.12000000
0.014056687362
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 983595
31415LUU9
34880.41000000
PA
USD
39545.20000000
0.000122481834
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Siemens Financieringsmaatschappij NV
TAFO772JB70PDRN5VS48
SIEMENS FINAN
82620KAZ6
35630000.00000000
PA
USD
35140871.36000000
0.108840476188
Long
DBT
CORP
NL
Y
2
2026-03-11
Fixed
1.20000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ0639
3617LJV83
2995900.66000000
PA
USD
3082179.00000000
0.009546315076
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.00000000
N
N
N
N
N
N
Kimberly-Clark Corp
MP3J6QPYPGN75NVW2S34
KIMBERLY-CLARK
494368BR3
5860000.00000000
PA
USD
6315040.72000000
0.019559333975
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.05000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 969313
31414LK23
17461.13000000
PA
USD
20627.90000000
0.000063890005
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
Illinois Tool Works Inc
76NA4I14SZCFAYMNSV04
ILLINOIS TOOL WK
452308AX7
7640000.00000000
PA
USD
8127928.60000000
0.025174322235
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.65000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YBF5
17100000.00000000
PA
USD
17291759.40000000
0.053557104715
Long
DBT
CORP
JP
N
2
2024-07-10
Variable
1.24100000
N
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
PUBLIC STORAGE
74460DAC3
3000000.00000000
PA
USD
3251598.00000000
0.010071050062
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
3.09400000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
N/A
8000000.00000000
PA
9570821.25000000
0.029643338427
Long
DBT
CORP
US
N
2
2023-07-26
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725249
31402CWJ7
3854.07000000
PA
USD
4402.52000000
0.000013635756
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL8999
3131XQ7L4
19379.66000000
PA
USD
21425.22000000
0.000066359514
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 728785
31402GUJ0
120056.73000000
PA
USD
140333.68000000
0.000434650137
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL0786
36183V2T0
1176715.05000000
PA
USD
1242889.62000000
0.003849554460
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
3.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2017-147 BW
38380G6G4
15077376.20000000
PA
USD
17633594.56000000
0.054615857676
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BA2101
3140E6KP6
427342.05000000
PA
USD
460752.89000000
0.001427072295
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA7051
3140QEZR6
29930731.84000000
PA
USD
31486429.52000000
0.097521713315
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD1496
3140F8UW5
4787251.55000000
PA
USD
5024710.24000000
0.015562842754
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 688023
36296DLC0
618.19000000
PA
USD
697.37000000
0.000002159937
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 770446
36176MWF6
11619.64000000
PA
USD
13243.50000000
0.000041018585
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BN4049
3140JLQB3
121155.07000000
PA
USD
132562.96000000
0.000410582183
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 939550
31413AH30
1269199.08000000
PA
USD
1471025.72000000
0.004556151673
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4806 Z
3137FGAZ8
23716570.15750000
PA
USD
25314829.82000000
0.078406653722
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
4.00000000
N
N
N
N
N
N
CNH EQUIPMENT TRUST CNH_17-C
N/A
CNH 2017-C A3
18978CAC7
731260.81000000
PA
USD
734681.94000000
0.002275502259
Long
ABS-CBDO
CORP
US
N
2
2023-02-15
Fixed
2.08000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 677004
36295QDH0
4103.22880000
PA
USD
4701.15000000
0.000014560692
Long
ABS-MBS
USGA
US
N
2
2038-06-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS3745
3132A4ES3
4935194.28000000
PA
USD
5666146.40000000
0.017549538428
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745950
31403DWK1
250417.06000000
PA
USD
285351.92000000
0.000883809582
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BP0012
3140K7AN3
28537092.53000000
PA
USD
29751431.43000000
0.092147970121
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5979
36179UUC4
3821684.53000000
PA
USD
4159586.79000000
0.012883328996
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HKC3
14156000.00000000
PA
USD
15135467.80000000
0.046878505254
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
3.12500000
N
N
N
N
N
N
Hydro-Quebec
6THEVG93PYJH84S4D167
HYDRO-QUEBEC
448814EJ8
470000.00000000
PA
USD
577136.03000000
0.001787541341
Long
DBT
NUSS
CA
N
2
2024-07-07
Fixed
8.05000000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236THG3
15000000.00000000
PA
USD
14511420.00000000
0.044945665882
Long
DBT
CORP
US
N
2
2027-08-13
Fixed
1.15000000
N
N
N
N
N
N
CHEASAPEAKE FUNDING II LLC CFII_19-2
N/A
CFII 2019-2A A1
165183CD4
10615750.64000000
PA
USD
10731565.29000000
0.033238466526
Long
ABS-CBDO
CORP
US
Y
2
2031-09-15
Fixed
1.95000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 622278
36291AJX8
5520.76000000
PA
USD
6143.76000000
0.000019028832
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 733600
3620AL7M0
60062.63000000
PA
USD
69277.01000000
0.000214569032
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BN3331
3140JKVZ6
5721927.03000000
PA
USD
6260745.45000000
0.019391167313
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC FINANCIAL
693475AV7
7930000.00000000
PA
USD
8555835.60000000
0.026499662212
Long
DBT
CORP
US
N
2
2024-01-23
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5140
36202FV94
1068415.21000000
PA
USD
1186360.34000000
0.003674468484
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08738
3128MJZC7
294788.70000000
PA
USD
314789.88000000
0.000974986649
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Yale University
9SFB6DIM0FRWV0EV8S84
YALE UNIVERSITY
98459LAB9
6000000.00000000
PA
USD
5732376.00000000
0.017754668833
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
1.48200000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING AESOP_19-1A
N/A
AESOP 2019-1A A
05377RDG6
4430000.00000000
PA
USD
4528377.45000000
0.014025570196
Long
ABS-CBDO
CORP
US
Y
2
2023-03-20
Fixed
3.45000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR SD0266
3132DMJK2
16514365.06000000
PA
USD
19350669.28000000
0.059934087502
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
6.00000000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_19-B
N/A
WOLS 2019-B A3
98162GAD4
8340000.00000000
PA
USD
8440431.11000000
0.026142224301
Long
ABS-CBDO
CORP
US
N
2
2022-11-15
Fixed
2.03000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18401
3128MMNT6
90366.65000000
PA
USD
95894.77000000
0.000297011201
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
3.50000000
N
N
N
N
N
N
Benchmark 2020-B21 Mortgage Trust
N/A
BMARK 2020-B21 AAB
08163LAJ8
4400000.00000000
PA
USD
4364228.00000000
0.013517156386
Long
ABS-MBS
CORP
US
N
2
2053-12-17
Fixed
1.79750000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_19-1
N/A
GFORT 2019-1 A
361886BZ6
13170000.00000000
PA
USD
13490943.68000000
0.041784983625
Long
ABS-CBDO
CORP
US
Y
2
2024-04-15
Fixed
2.70000000
N
N
N
N
N
N
Japan Bank for International Cooperation
549300TJ3QFYVCTSCJ29
JAPAN BANK COOP
471048BU1
10000000.00000000
PA
USD
10739350.00000000
0.033262577810
Long
DBT
NUSS
JP
N
2
2023-10-31
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28456
31307HMD6
14313.34000000
PA
USD
15300.16000000
0.000047388600
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 764261
36176EZ20
75070.40000000
PA
USD
85807.51000000
0.000265768317
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2017-P8
N/A
CGCMT 2017-P8 A4
17326DAD4
2460000.00000000
PA
USD
2687796.00000000
0.008324807701
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.46500000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-1
N/A
HAROT 2020-1 A4
43813RAD9
5610000.00000000
PA
USD
5751830.90000000
0.017814925751
Long
ABS-CBDO
CORP
US
N
2
2026-10-21
Fixed
1.63000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ3743
3138YVER6
1720559.86000000
PA
USD
1855077.36000000
0.005745660122
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 963597
31414D7J9
9073.40000000
PA
USD
10280.40000000
0.000031841089
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 256887
31371NJ89
4424.78000000
PA
USD
4501.58000000
0.000013942571
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 545891
31385JNG9
79760.63000000
PA
USD
88377.17000000
0.000273727226
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Chile Government International Bond
N/A
CHILE
N/A
9387000.00000000
PA
11681151.35000000
0.036179583093
Long
DBT
NUSS
CL
N
2
2025-01-30
Fixed
1.62500000
N
N
N
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE
191216CR9
12000000.00000000
PA
USD
13236288.00000000
0.040996248332
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
3.37500000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL7199
3131XN7L1
4573602.91000000
PA
USD
5006591.84000000
0.015506725327
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3496
31418C3E2
224487.82000000
PA
USD
245626.38000000
0.000760769187
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 545723
31385JG85
30093.45000000
PA
USD
35365.53000000
0.000109536302
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL5562
3138ENFC8
19934.54000000
PA
USD
22210.53000000
0.000068791824
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08628
3128MJVW7
294961.06000000
PA
USD
324294.61000000
0.001004425286
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 885399
31410CUY6
20182.47000000
PA
USD
23090.34000000
0.000071516826
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_19-DA1
N/A
DLL 2019-DA1 A3
23291GAC8
3437597.89000000
PA
USD
3476424.18000000
0.010767395586
Long
ABS-CBDO
CORP
US
Y
2
2023-04-20
Fixed
2.89000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 631429
31389PPN4
294247.26000000
PA
USD
330988.59000000
0.001025158294
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL4069
3138ELQX4
751.76000000
PA
USD
843.52000000
0.000002612602
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 668978
36295FFT6
914.99000000
PA
USD
990.50000000
0.000003067837
Long
ABS-MBS
USGA
US
N
2
2037-04-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 947986
31413KUK5
189472.21000000
PA
USD
221819.49000000
0.000687033018
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RAB
74977RDH4
15000000.00000000
PA
USD
14864460.00000000
0.046039123165
Long
DBT
CORP
NL
Y
2
2026-06-24
Variable
1.33900000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08201
3128MJGK0
63368.54000000
PA
USD
71161.74000000
0.000220406534
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH1231
3138A2LM9
133653.16000000
PA
USD
140770.95000000
0.000436004476
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A82380
312928UD4
5534.78000000
PA
USD
6375.94000000
0.000019747954
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A77110
3128LA3T5
107820.03000000
PA
USD
125069.61000000
0.000387373317
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 719783
3620A5UG2
6530.46000000
PA
USD
7347.01000000
0.000022755612
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
5.00000000
N
N
N
N
N
N
Korea Development Bank/The
549300ML2LNRZUCS7149
KOREA DEV BANK
500630CY2
33000000.00000000
PA
USD
34709499.00000000
0.107504403084
Long
DBT
NUSS
KR
N
2
2024-10-01
Fixed
2.12500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5807
36179UNY4
1670728.50000000
PA
USD
1748983.08000000
0.005417058368
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.00000000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
BB&T CORPORATION
05531FBF9
17600000.00000000
PA
USD
19058177.60000000
0.059028164214
Long
DBT
CORP
US
N
2
2023-12-06
Fixed
3.75000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 3527
36202D4L2
91026.12000000
PA
USD
97837.08000000
0.000303027044
Long
ABS-MBS
USGA
US
N
2
2034-02-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB0109
31416VDP6
8287.02000000
PA
USD
9466.94000000
0.000029321591
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.00000000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST FORDL_20-B
N/A
FORDL 2020-B A4
34531RAE7
4470000.00000000
PA
USD
4492867.63000000
0.013915586989
Long
ABS-CBDO
CORP
US
N
2
2023-10-15
Fixed
0.69000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6286
3138WF6Y7
601156.34000000
PA
USD
661305.82000000
0.002048237211
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
United Parcel Service Inc
D01LMJZU09ULLNCY6Z23
UNITED PARCEL
911312BT2
7175000.00000000
PA
USD
7525312.20000000
0.023307861518
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
2.20000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 254347
31371KP88
53979.92000000
PA
USD
62133.79000000
0.000192444610
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0318
36179MK74
14842780.60000000
PA
USD
16048447.79000000
0.049706243241
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
3.50000000
N
N
N
N
N
N
LSEGA Financing PLC
2138009YFYTGEHZNNZ09
LSEGA FIN PLC
50220PAA1
5000000.00000000
PA
USD
4968180.00000000
0.015387753805
Long
DBT
CORP
GB
Y
2
2024-04-06
Fixed
0.65000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AQ0957
3138MGB38
290437.36000000
PA
USD
302093.69000000
0.000935663226
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
2.50000000
N
N
N
N
N
N
MassMutual Global Funding II
549300K1IE3K7YU6VG29
MASSMUTUAL GLBL
57629WCE8
14920000.00000000
PA
USD
15806471.80000000
0.048956780267
Long
DBT
CORP
US
Y
2
2024-06-22
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ5291
3138YW2Z9
11094.60000000
PA
USD
11565.61000000
0.000035821721
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01311
31283HN43
10560.91000000
PA
USD
11800.34000000
0.000036548741
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14668
3128MDMR1
224516.82000000
PA
USD
236492.73000000
0.000732479883
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 256811
31371NGU3
23241.96000000
PA
USD
26701.75000000
0.000082702308
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
7.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C24
N/A
WFRBS 2014-C24 A5
92939KAE8
2189700.00000000
PA
USD
2368357.62000000
0.007335423430
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
3.60700000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAR7
16335000.00000000
PA
USD
18185200.11000000
0.056324324439
Long
DBT
CORP
US
N
2
2029-04-23
Variable
4.00500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH0957
3138A2B32
1256367.60000000
PA
USD
1472392.09000000
0.004560383678
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
5.00000000
N
N
N
N
N
N
UBS-BAMLL Trust
N/A
UBSBM 2012-WRM A
90269PAA9
4409000.00000000
PA
USD
4396742.98000000
0.013617863789
Long
ABS-MBS
CORP
US
Y
2
2030-06-10
Fixed
3.66300000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB2480
31416XXJ4
149183.23000000
PA
USD
165697.22000000
0.000513207659
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995672
31416CCH7
38834.37000000
PA
USD
43030.56000000
0.000133276906
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
AvalonBay Communities Inc
K9G90K85RBWD2LAGQX17
AVALONBAY COMMUN
05348EBG3
5000000.00000000
PA
USD
4950835.00000000
0.015334031800
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD4318
3140FBYQ7
129303.89000000
PA
USD
142570.66000000
0.000441578649
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C04422
31292L4F9
794076.63000000
PA
USD
827210.83000000
0.002562088450
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust 2013-C6
549300G1IXWLFE766Q13
UBSBB 2013-C6 A4
90349GBF1
220000.00000000
PA
USD
229066.20000000
0.000709477975
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Fixed
3.24430000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL2353
3138EJTK4
35400.26000000
PA
USD
38244.95000000
0.000118454620
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3106
36179RNX3
755060.17000000
PA
USD
828418.57000000
0.002565829137
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
4.00000000
N
N
N
N
N
N
CSAIL 2017-C8 Commercial Mortgage Trust
N/A
CSAIL 2017-C8 A4
12595BAD3
1280000.00000000
PA
USD
1379814.40000000
0.004273646342
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
3.39200000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J16428
3128PWD96
18468.61000000
PA
USD
19718.18000000
0.000061072364
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
4.00000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
N/A
2283000.00000000
PA
USD
2517806.55000000
0.007798305882
Long
DBT
NUSS
BM
N
2
2024-02-06
Fixed
4.85400000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2S1
9270000.00000000
PA
USD
9474579.63000000
0.029345252940
Long
DBT
CORP
US
N
2
2028-06-02
Variable
2.39300000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_20-1
N/A
GMCAR 2020-1 A3
36258NAC6
8640000.00000000
PA
USD
8766827.42000000
0.027153159102
Long
ABS-CBDO
CORP
US
N
2
2024-09-16
Fixed
1.84000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAR
26442CBB9
8555000.00000000
PA
USD
8595602.03000000
0.026622829254
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.55000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C72255
31288AQG3
13350.36000000
PA
USD
14919.96000000
0.000046211021
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
BANK 2017-BNK6
N/A
BANK 2017-BNK6 A4
060352AE1
4580000.00000000
PA
USD
4905912.80000000
0.015194895989
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Fixed
3.25400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL2220
3138EJPE2
144.76000000
PA
USD
150.37000000
0.000000465735
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1089
36179NF60
340835.70810000
PA
USD
355051.35000000
0.001099686960
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
3.00000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BS2
11555000.00000000
PA
USD
11541723.31000000
0.035747737960
Long
DBT
CORP
JP
N
2
2025-07-17
Fixed
1.41200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI1191
3138AEKD4
16523.97000000
PA
USD
18294.59000000
0.000056663133
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4954 KA
3137FRDT5
55714177.25000000
PA
USD
57043517.52000000
0.176678704028
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4520
36202FAV8
814748.49000000
PA
USD
921033.33000000
0.002852681289
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 756893
36230RUS3
15429.56000000
PA
USD
16822.81000000
0.000052104645
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 935983
31412VJ41
4213.78000000
PA
USD
4465.68000000
0.000013831379
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2015-GC30
549300L45M7638EL0H21
GSMS 2015-GC30 A4
36250GAP0
5000.00000000
PA
USD
5395.55000000
0.000016711430
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
3.38200000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 3542
36202D5B3
1610.41000000
PA
USD
1728.97000000
0.000005355072
Long
ABS-MBS
USGA
US
N
2
2034-04-20
Fixed
4.50000000
N
N
N
N
N
N
Evergy Kansas Central Inc
J75GNWGEO73W89ZV3S44
WESTAR ENERGY
95709TAN0
13385000.00000000
PA
USD
14049230.63000000
0.043514144432
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
2.55000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD8911
31418W3V0
64270.12000000
PA
USD
72928.89000000
0.000225879860
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_20-B
N/A
WOLS 2020-B A4
98163GAE1
4680000.00000000
PA
USD
4683023.75000000
0.014504550263
Long
ABS-CBDO
CORP
US
N
2
2026-02-17
Fixed
0.52000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AN4
1163000.00000000
PA
USD
1288203.93000000
0.003989904738
Long
DBT
CORP
JP
N
2
2027-02-22
Fixed
3.67700000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2016-GC37
N/A
CGCMT 2016-GC37 A4
17290XAT7
4000000.00000000
PA
USD
4321320.00000000
0.013384259079
Long
ABS-MBS
CORP
US
N
2
2049-04-10
Fixed
3.31400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ0640
3617LJV91
333882.69000000
PA
USD
348240.28000000
0.001078591293
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08372
3128MJMW7
4387.70000000
PA
USD
4868.69000000
0.000015079607
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
94974BFJ4
8300000.00000000
PA
USD
8744813.60000000
0.027084976540
Long
DBT
CORP
US
N
2
2023-02-13
Fixed
3.45000000
N
N
N
N
N
N
Walt Disney Co/The
549300GZKULIZ0WOW665
WALT DISNEY CO
254687FW1
11000000.00000000
PA
USD
11210925.00000000
0.034723169013
Long
DBT
CORP
US
N
2
2028-01-13
Fixed
2.20000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 985615
31415P3Y2
183496.41000000
PA
USD
214532.53000000
0.000664463396
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BLDG
63859UBF9
10580000.00000000
PA
USD
10373594.78000000
0.032129738163
Long
DBT
CORP
GB
Y
2
2025-08-28
Fixed
1.00000000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVABLES FUNDING GALC_20-1
N/A
GALC 2020-1 A3
39154TBC1
14300000.00000000
PA
USD
14520812.02000000
0.044974755426
Long
ABS-CBDO
CORP
US
Y
2
2023-08-15
Fixed
1.76000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 712374
36297HMX3
23412.06000000
PA
USD
26714.49000000
0.000082741767
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q02416
3132GFVH7
1631677.97000000
PA
USD
1833149.73000000
0.005677744512
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2017-C39
N/A
WFCM 2017-C39 A4
95000XAE7
30000.00000000
PA
USD
31848.60000000
0.000098643450
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.15700000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_20-1A
N/A
CPART 2020-1A A4
13645YAE9
1840000.00000000
PA
USD
1871015.59000000
0.005795024991
Long
ABS-CBDO
CORP
CA
Y
2
2025-03-19
Fixed
1.89000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4543
36202FBL9
32408.98000000
PA
USD
36740.01000000
0.000113793427
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
6.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C26
N/A
JPMBB 2014-C26 A4
46643TBJ0
165000.00000000
PA
USD
178257.75000000
0.000552110907
Long
ABS-MBS
CORP
US
N
2
2048-01-15
Fixed
3.49430000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01798
31283H7K5
685740.34000000
PA
USD
771615.60000000
0.002389895471
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
5.50000000
N
N
N
N
N
N
Chile Government International Bond
N/A
CHILE
168863CF3
11616000.00000000
PA
USD
12533698.85000000
0.038820145842
Long
DBT
NUSS
CL
N
2
2028-02-06
Fixed
3.24000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AM4136
36184QSZ8
23255.51000000
PA
USD
24797.22000000
0.000076803480
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 545562
31385JB72
9045.03000000
PA
USD
10550.77000000
0.000032678496
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
7.50000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_19-A
N/A
MMAF 2019-A A5
60700FAJ2
4430000.00000000
PA
USD
4725997.98000000
0.014637652701
Long
ABS-CBDO
CORP
US
Y
2
2041-11-12
Fixed
3.08000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US BANCORP
91159HHR4
8000000.00000000
PA
USD
8659288.00000000
0.026820081372
Long
DBT
CORP
US
N
2
2027-04-27
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB7410
31417EGU9
4490479.72000000
PA
USD
4757266.75000000
0.014734500266
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513BC8
800000.00000000
PA
USD
948461.60000000
0.002937633820
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
4.62500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAM8
8575000.00000000
PA
USD
9224110.35000000
0.028569484023
Long
DBT
CORP
US
N
2
2029-01-23
Variable
3.50900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 931759
31412QE88
44847.07000000
PA
USD
51226.69000000
0.000158662466
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 653669
36292NFJ4
1749.96000000
PA
USD
1878.43000000
0.000005817989
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.00000000
N
N
N
N
N
N
COMM 2015-CCRE25 Mortgage Trust
N/A
COMM 2015-CR25 A4
12593PAW2
1838400.00000000
PA
USD
2022920.21000000
0.006265513358
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Fixed
3.75900000
N
N
N
N
N
N
BANK 2017-BNK4
N/A
BANK 2017-BNK4 A4
06541FBA6
280000.00000000
PA
USD
308123.20000000
0.000954338196
Long
ABS-MBS
CORP
US
N
2
2050-05-15
Fixed
3.62500000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-139 B
38381ALK0
15311347.45000000
PA
USD
15756142.09000000
0.048800895982
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.00000000
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM SOFI_17-D
N/A
SOFI 2017-D A2FX
78471CAB5
161528.27930000
PA
USD
165101.38000000
0.000511362186
Long
ABS-CBDO
CORP
US
Y
2
2040-09-25
Fixed
2.65000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
AMAZON.COM INC
023135BR6
13000000.00000000
PA
USD
12700948.00000000
0.039338160235
Long
DBT
CORP
US
N
2
2027-06-03
Fixed
1.20000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5054
36202FTK2
44300.43000000
PA
USD
48722.63000000
0.000150906737
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ7368
3617LSFH1
2484895.64000000
PA
USD
2591736.21000000
0.008027285389
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q14326
3132HQYX4
1357476.76000000
PA
USD
1409152.91000000
0.004364515386
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY6116
3138YKYN7
267367.87000000
PA
USD
278989.58000000
0.000864103750
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD6995
31418UXZ2
1059778.96000000
PA
USD
1213407.91000000
0.003758241888
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL2149
36183XL65
149005.58000000
PA
USD
158791.82000000
0.000491819827
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_20-B
N/A
HALST 2020-B A4
44891PAD6
2490000.00000000
PA
USD
2496635.10000000
0.007732732360
Long
ABS-CBDO
CORP
US
Y
2
2024-06-17
Fixed
0.58000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AE3798
36180WGF6
250276.97000000
PA
USD
268905.13000000
0.000832869569
Long
ABS-MBS
USGA
US
N
2
2045-07-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 739147
3620ATEU7
29816.89000000
PA
USD
34225.50000000
0.000106005331
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
4.50000000
N
N
N
N
N
N
TOYOTA AUTO LOAN EXTENDED NOTE TRUST
N/A
TALNT 2019-1A A
89231XAA9
550000.00000000
PA
USD
581357.92000000
0.001800617639
Long
ABS-CBDO
CORP
US
Y
2
2031-11-25
Fixed
2.56000000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP
30231GBD3
10000000.00000000
PA
USD
10388740.00000000
0.032176646874
Long
DBT
CORP
US
N
2
2026-08-16
Fixed
2.27500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 253515
31371JSC9
1767.69000000
PA
USD
2072.29000000
0.000006418424
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
7.50000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXM1
26845000.00000000
PA
USD
26249685.28000000
0.081302145766
Long
DBT
CORP
US
N
2
2026-12-09
Variable
1.09300000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2017-93 QW
38380FCE4
16857706.49000000
PA
USD
20140744.83000000
0.062381158270
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD8316
31418WG20
162996.27000000
PA
USD
182415.53000000
0.000564988640
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse AG/New York NY
549300D0YARF5HYP1809
CRED SUIS NY
22546QAP2
8000000.00000000
PA
USD
8650352.00000000
0.026792404241
Long
DBT
CORP
CH
N
2
2024-09-09
Fixed
3.62500000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_20-C
N/A
WOART 2020-C A4
98163CAF7
5400000.00000000
PA
USD
5389562.34000000
0.016692885202
Long
ABS-CBDO
CORP
US
N
2
2026-10-15
Fixed
0.61000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD6043
3140FDWD4
1160848.54000000
PA
USD
1289526.05000000
0.003993999690
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18516
3128MMSE4
190289.28000000
PA
USD
203449.21000000
0.000630135453
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 751248
36230KL58
6086.11000000
PA
USD
6730.95000000
0.000020847513
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 254621
31371KYS4
100336.12000000
PA
USD
119460.44000000
0.000370000249
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AE6447
36181AEU2
7750.34000000
PA
USD
8241.58000000
0.000025526330
Long
ABS-MBS
USGA
US
N
2
2044-04-15
Fixed
3.50000000
N
N
N
N
N
N
Barclays Commercial Mortgage Trust 2019-C5
N/A
BBCMS 2019-C5 A4
05492JAW2
13010000.00000000
PA
USD
13739600.80000000
0.042555139808
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.06300000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01819
3128LXAU4
220619.79000000
PA
USD
252010.65000000
0.000780542942
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 981256
31415ATM3
92.47000000
PA
USD
96.03000000
0.000000297430
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
4.50000000
N
N
N
N
N
N
BANK 2019-BNK17
N/A
BANK 2019-BN17 ASB
065403BA4
285000.00000000
PA
USD
314380.65000000
0.000973719157
Long
ABS-MBS
CORP
US
N
2
2052-04-15
Fixed
3.62300000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 739188
3620ATF51
109637.05000000
PA
USD
124159.84000000
0.000384555521
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AR9225
3138W7HB3
7159606.97000000
PA
USD
7682596.93000000
0.023795013494
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_18-2
N/A
CPART 2018-2A A3
13646AAD2
2573135.93000000
PA
USD
2593984.51000000
0.008034248963
Long
ABS-CBDO
CORP
CA
Y
2
2022-12-19
Fixed
3.27000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28643
31307HS81
30188.64000000
PA
USD
32895.88000000
0.000101887150
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A86874
312933T79
42580.59000000
PA
USD
48610.04000000
0.000150558016
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AS8132
36193UA95
1981505.48000000
PA
USD
2070988.29000000
0.006414392783
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06385
3128M8NA8
453369.61000000
PA
USD
520585.33000000
0.001612389022
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3937
36179SLS4
201016.31000000
PA
USD
214709.44000000
0.000665011332
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG V81429
3132L6SS1
682291.14000000
PA
USD
744931.06000000
0.002307246467
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 932322
31412QYT0
45239.85000000
PA
USD
50199.10000000
0.000155479751
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08654
3128MJWQ9
982639.02000000
PA
USD
1052130.37000000
0.003258723134
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05962
3128M75X0
512564.52000000
PA
USD
569130.06000000
0.001762744756
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AF3826
36181KHB9
229064.26000000
PA
USD
243480.97000000
0.000754124291
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4416 CT
3137BFLV1
21445555.02000000
PA
USD
25529646.52000000
0.079071997267
Long
ABS-MBS
USGSE
US
N
2
2044-12-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 703530
36296WST4
18444.48000000
PA
USD
20795.20000000
0.000064408177
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
5.00000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
CAN IMPERIAL BK
1360698A2
8335000.00000000
PA
USD
8553143.62000000
0.026491324445
Long
DBT
CORP
CA
N
2
2023-07-22
Variable
2.60600000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 550613
36213CVE7
5999.39000000
PA
USD
6767.37000000
0.000020960316
Long
ABS-MBS
USGA
US
N
2
2035-08-15
Fixed
5.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHD4
54922000.00000000
PA
USD
58839805.95000000
0.182242279447
Long
DBT
CORP
US
N
2
2028-12-20
Variable
3.41900000
N
N
N
N
N
N
Air Liquide Finance SA
549300YGXL5Z3R14K812
AIR LIQUIDE FIN
00913RAC0
25555000.00000000
PA
USD
26480525.44000000
0.082017118160
Long
DBT
CORP
FR
Y
2
2023-09-27
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AX3295
3138Y4UV9
148345.79000000
PA
USD
154635.81000000
0.000478947577
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2019-B A3
44891JAC2
9820000.00000000
PA
USD
9965964.48000000
0.030867200433
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
1.94000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAT8
500000000.00000000
PA
USD
486875000.00000000
1.507979307093
Long
DBT
UST
US
N
2
2025-10-31
Fixed
0.25000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR1489
3617LXUN0
2382393.67000000
PA
USD
2484841.60000000
0.007696204804
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141EC23
2100000.00000000
PA
USD
2277399.60000000
0.007053702635
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 959909
31413Y3S8
15686.59000000
PA
USD
18015.91000000
0.000055799988
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 641079
31390BFU7
21132.85000000
PA
USD
21635.71000000
0.000067011456
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 733873
3620AMJS2
1276.65000000
PA
USD
1452.12000000
0.000004497595
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G61555
31335BWQ5
123367.92000000
PA
USD
134176.53000000
0.000415579832
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI6576
3138ALJW8
29999.15000000
PA
USD
33747.44000000
0.000104524654
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3173
36179RQ28
975620.38000000
PA
USD
1050932.71000000
0.003255013668
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J35523
31307SD42
7736166.49000000
PA
USD
8088312.15000000
0.025051619720
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 947004
31413JRZ9
333539.38000000
PA
USD
392231.80000000
0.001214844545
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0698
36179MX39
1764278.00000000
PA
USD
1837866.21000000
0.005692352685
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12463
3128PRWY1
181117.72000000
PA
USD
191449.74000000
0.000592969953
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 585786
31387JXP6
9428.24000000
PA
USD
10869.72000000
0.000033666367
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
7.50000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-3
N/A
CARMX 2019-3 A4
14315PAE5
5000000.00000000
PA
USD
5206649.00000000
0.016126354713
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
2.30000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDX7
5000000.00000000
PA
USD
4898395.00000000
0.015171611395
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAB7
200000000.00000000
PA
USD
195593760.00000000
0.605805068398
Long
DBT
UST
US
N
2
2025-07-31
Fixed
0.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 992294
31415XKF7
109721.25000000
PA
USD
127142.77000000
0.000393794436
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5457
36179UB27
6344693.13000000
PA
USD
6648069.71000000
0.020590811922
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5189
36202FXS0
482800.90000000
PA
USD
566065.08000000
0.001753251711
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
6.00000000
N
N
N
N
N
N
BANK 2017-BNK8
N/A
BANK 2017-BNK8 A4
06650AAE7
4170000.00000000
PA
USD
4564273.50000000
0.014136749658
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
3.48800000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp
4NYF266XZC35SCTGX023
NATL RURAL UTIL
637432NN1
11255000.00000000
PA
USD
12010649.45000000
0.037200124950
Long
DBT
CORP
US
N
2
2027-04-25
Fixed
3.05000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2 4/21
01F020646
-1515500000.00000000
PA
USD
-1512658437.50000000
-4.68509909617
Short
ABS-MBS
USGSE
US
N
2
2021-04-14
Fixed
2.00000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST_20-A
N/A
SRT 2020-B A4
80286RAD9
4600000.00000000
PA
USD
4612365.26000000
0.014285702426
Long
ABS-CBDO
CORP
US
Y
2
2024-12-20
Fixed
0.65000000
N
N
N
N
N
N
Nuveen Finance LLC
N/A
TIAA ASSET MGMT
87246YAC0
20000000.00000000
PA
USD
22151480.00000000
0.068608931371
Long
DBT
CORP
US
Y
2
2024-11-01
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725027
31402CPL0
3242228.94000000
PA
USD
3703163.98000000
0.011469668092
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2019-79 AD
3136B73J8
92745507.38000000
PA
USD
94465009.09000000
0.292582857924
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AP5408
36189CAH3
491149.07000000
PA
USD
518247.58000000
0.001605148398
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4703 CZ
3137F24J2
23871110.97000000
PA
USD
25351358.56000000
0.078519792791
Long
ABS-MBS
USGSE
US
N
2
2047-07-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 560457
31386DTN0
2788.32000000
PA
USD
3269.17000000
0.000010125475
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA5074
31346YT78
12524180.79000000
PA
USD
13057119.75000000
0.040441317367
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2019-81 QG
3136B8ER6
22449125.92000000
PA
USD
23075232.04000000
0.071470033217
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
2.50000000
N
N
N
N
N
N
New York Life Global Funding
635400DPNHEAUHB7ZI15
NEW YORK LIFE GL
64952WDP5
3170000.00000000
PA
USD
3207355.28000000
0.009934018778
Long
DBT
CORP
US
Y
2
2023-05-05
Fixed
1.10000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1919
36179QDY4
97362.84000000
PA
USD
105069.24000000
0.000325426936
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 486066
36209Y6B9
6074.70000000
PA
USD
6661.02000000
0.000020630922
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL0788
3138EG2W3
82816.18000000
PA
USD
87579.18000000
0.000271255642
Long
ABS-MBS
USGSE
US
N
2
2026-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO2192
3140JWNJ5
2926927.38000000
PA
USD
3028896.85000000
0.009381286311
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 725405
3620AB3N4
36986.82000000
PA
USD
39434.41000000
0.000122138689
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08347
3128MJL57
30616.29000000
PA
USD
34055.78000000
0.000105479664
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11321
3128PQPE5
11541.33000000
PA
USD
12189.90000000
0.000037755310
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 675756
36295NWR4
1694904.72000000
PA
USD
1811916.87000000
0.005611980787
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP
594918BJ2
1365000.00000000
PA
USD
1487512.85000000
0.004607216630
Long
DBT
CORP
US
N
2
2025-11-03
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3575
31418C6M1
1356017.47000000
PA
USD
1454459.19000000
0.004504840793
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 726376
3620AC6M1
3956.83000000
PA
USD
4541.62000000
0.000014066585
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 784219
3622A2VL3
8931429.13000000
PA
USD
9283230.09000000
0.028752593332
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.00000000
N
N
N
N
N
N
COMM 2014-277P Mortgage Trust
N/A
COMM 2014-277P A
12592FAA3
100000.00000000
PA
USD
107088.00000000
0.000331679564
Long
ABS-MBS
CORP
US
Y
2
2049-08-10
Variable
3.61130000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_17-A
N/A
MMAF 2017-AA A5
55315XAE1
3090000.00000000
PA
USD
3153751.64000000
0.009767994275
Long
ABS-CBDO
CORP
US
Y
2
2027-07-16
Fixed
2.68000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1920
36179QDZ1
386140.33000000
PA
USD
424395.72000000
0.001314464623
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Fixed
4.00000000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
DUKE ENERGY FLA
26444HAC5
17632000.00000000
PA
USD
19080292.48000000
0.059096659785
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC8539
31417VPZ0
46643.41000000
PA
USD
49029.29000000
0.000151856543
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 784705
3622AADJ0
221871.41000000
PA
USD
232709.54000000
0.000720762353
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4196
36179SUV7
1182032.75000000
PA
USD
1266931.42000000
0.003924018207
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4719
36179TG41
8452740.13000000
PA
USD
9038917.37000000
0.027995892893
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
JOHNSON&JOHNSON
478160CE2
385000.00000000
PA
USD
418374.50000000
0.001295815329
Long
DBT
CORP
US
N
2
2027-03-03
Fixed
2.95000000
N
N
N
N
N
N
Virginia Electric and Power Co
CQKUMNNZVDJLRYV2PT43
VIRGINIA EL&PWR
927804FN9
2515000.00000000
PA
USD
2609357.77000000
0.008081863973
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB9361
31417GMK9
671552.76000000
PA
USD
732285.71000000
0.002268080508
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q49432
3132WPPS0
3744987.81000000
PA
USD
4062977.35000000
0.012584104275
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 650160
36292JJD2
129795.31000000
PA
USD
151078.69000000
0.000467930245
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
5.50000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-2
N/A
HAROT 2019-2 A4
43815MAD8
2530000.00000000
PA
USD
2614005.11000000
0.008096258001
Long
ABS-CBDO
CORP
US
N
2
2025-03-21
Fixed
2.54000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08802
3128MJ3L2
265096.46000000
PA
USD
289329.40000000
0.000896128879
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.50000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
064159VL7
17120000.00000000
PA
USD
17127139.04000000
0.053047232373
Long
DBT
CORP
CA
N
2
2025-06-11
Fixed
1.30000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL2691
3138EJ7D4
2215181.39000000
PA
USD
2463321.36000000
0.007629550988
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6274
36179U6K3
27809846.81000000
PA
USD
28417085.94000000
0.088015152894
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T65534
31323AEF5
366347.76000000
PA
USD
387927.15000000
0.001201511917
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2013-C12
N/A
JPMBB 2013-C12 AS
46639NAU5
1465488.00000000
PA
USD
1546441.56000000
0.004789734268
Long
ABS-MBS
CORP
US
N
2
2045-07-15
Variable
4.03830000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A62378
3128KSUB6
24392.07000000
PA
USD
28301.40000000
0.000087656843
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
Development Bank of Japan Inc
5493001HGBABMWFZUI25
DEV BANK JAPAN
25159MAV9
12000000.00000000
PA
USD
12763644.00000000
0.039532346156
Long
DBT
NUSS
JP
Y
2
2023-09-06
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC8870
31417V2C6
16396.15000000
PA
USD
17117.62000000
0.000053017749
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A28901
31297G3J8
90750.05000000
PA
USD
100895.00000000
0.000312498222
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.50000000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC
713448FA1
7100000.00000000
PA
USD
6607671.80000000
0.020465689021
Long
DBT
CORP
US
N
2
2031-02-25
Fixed
1.40000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08667
3128MJW55
3562905.24000000
PA
USD
3814872.12000000
0.011815657440
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH1258
3140GPMG0
52481.00000000
PA
USD
55618.21000000
0.000172264153
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
3.00000000
N
N
N
N
N
N
Arab Petroleum Investments Corp
213800A54KIUYH5YD185
ARAB PETROLEUM
N/A
2880000.00000000
PA
USD
2911300.70000000
0.009017060256
Long
DBT
CORP
N/A
N
2
2025-06-30
Fixed
1.46000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_18-D
N/A
WOART 2018-D A3
98162WAD9
17067848.47000000
PA
USD
17384166.91000000
0.053843314960
Long
ABS-CBDO
CORP
US
N
2
2024-04-15
Fixed
3.33000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807DL8
5000000.00000000
PA
USD
4837920.00000000
0.014984304491
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.75000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2015-161 GZ
38379FUE7
8330909.04000000
PA
USD
8758367.98000000
0.027126958003
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Commercial Mortgage-Backed Securities Trust 2011-RR1
N/A
JPMCC 2011-RR1 A4B
46635WAC9
2021829.81000000
PA
USD
2023386.62000000
0.006266957952
Long
ABS-MBS
CORP
US
Y
2
2046-03-16
Variable
4.71710000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_20-A
N/A
TESLA 2020-A A4
88167HAD8
750000.00000000
PA
USD
754100.78000000
0.002335647490
Long
ABS-CBDO
CORP
US
Y
2
2023-12-20
Fixed
0.78000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 254478
31371KUB5
175496.43000000
PA
USD
204005.42000000
0.000631858181
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28376
31307HJV0
33557.95000000
PA
USD
36239.80000000
0.000112244145
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
SCDS: (AMXLMM)
BVN5KBGF8
-6200000.00000000
NC
USD
64760.86000000
0.000200581333
N/A
DCR
N/A
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
AMERICA MOVIL SA
Y
Payout of notional amount upon default event with regard to reference instrument
2023-06-20
0.00000000
USD
-49761.11000000
USD
-6200000.00000000
USD
114521.97000000
N
N
N
Ginnie Mae II Pool
N/A
G2 782944
36241LHV1
196861.56000000
PA
USD
230138.61000000
0.000712799510
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 891454
31410MMB3
428.89000000
PA
USD
496.50000000
0.000001537790
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL0755
3138EGZV9
954331.47000000
PA
USD
1085092.54000000
0.003360815602
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 635532
36291RA93
2194.53000000
PA
USD
2497.34000000
0.000007734915
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8249
3138WJEX2
2676037.45000000
PA
USD
2831871.14000000
0.008771046119
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
COMM 2015-CCRE22 Mortgage Trust
N/A
COMM 2015-CR22 A5
12592XBD7
570000.00000000
PA
USD
614015.40000000
0.001901766402
Long
ABS-MBS
CORP
US
N
2
2048-03-10
Fixed
3.30900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS9451
3138WKQD0
6765.65000000
PA
USD
7239.16000000
0.000022421573
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAC5
250000000.00000000
PA
USD
250039050.00000000
0.774436381751
Long
DBT
UST
US
N
2
2022-07-31
Fixed
0.12500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6148
36179UZM7
1969465.09000000
PA
USD
2147913.20000000
0.006652649363
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
5.00000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP
68389XBT1
19840000.00000000
PA
USD
20786328.32000000
0.064380699310
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.50000000
N
N
N
N
N
N
Target Corp
8WDDFXB5T1Z6J0XC1L66
TARGET CORP
87612EBJ4
10000000.00000000
PA
USD
10133580.00000000
0.031386349569
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.35000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 647773
36292FT64
11333.72000000
PA
USD
12780.36000000
0.000039584119
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889995
31410KXY5
13668.51000000
PA
USD
15648.13000000
0.000048466354
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-65 DA
3136B2N40
30356618.21000000
PA
USD
31638881.76000000
0.097993897804
Long
ABS-MBS
USGSE
US
N
2
2048-09-25
Fixed
3.00000000
N
N
N
N
N
N
Latvia Government International Bond
N/A
REP OF LATVIA
N/A
2000000.00000000
PA
USD
2018220.00000000
0.006250955578
Long
DBT
NUSS
LV
N
2
2021-06-16
Fixed
5.25000000
N
N
N
N
N
N
COMM 2015-CCRE27 Mortgage Trust
N/A
COMM 2015-CR27 A4
12635QBG4
3386000.00000000
PA
USD
3700322.38000000
0.011460866913
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
3.61200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 735230
31402QY39
925850.75000000
PA
USD
1079548.27000000
0.003343643547
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHF9
107080000.00000000
PA
USD
112937168.92000000
0.349795971724
Long
DBT
CORP
US
N
2
2024-03-05
Variable
3.55000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL1888
36183XCZ1
1422.52000000
PA
USD
1534.73000000
0.000004753460
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 658880
36294S6R3
55479.67000000
PA
USD
61592.78000000
0.000190768960
Long
ABS-MBS
USGA
US
N
2
2037-08-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 908600
31411HNR7
2501.90000000
PA
USD
2827.04000000
0.000008756082
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAV2
1000000.00000000
PA
USD
1081707.00000000
0.003350329699
Long
DBT
CORP
JP
N
2
2027-10-18
Fixed
3.35200000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBE5
20000000.00000000
PA
USD
20293860.00000000
0.062855396027
Long
DBT
CORP
US
N
2
2030-10-15
Variable
2.73900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0833
31417Y4T1
11891.24000000
PA
USD
11933.79000000
0.000036962071
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4836
36179TLR4
46701519.55000000
PA
USD
49233619.90000000
0.152489406978
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A19264
31296UJH5
46252.97000000
PA
USD
55057.60000000
0.000170527797
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14395
3128MDC84
41760.62000000
PA
USD
43973.01000000
0.000136195921
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7267
3133JLCC1
1124273.10000000
PA
USD
1156470.71000000
0.003581892477
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
Cummins Inc
ZUNI8PYC725B6H8JU438
CUMMINS INC
231021AT3
25000000.00000000
PA
USD
23223925.00000000
0.071930574232
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
1.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHY8
10000000.00000000
PA
USD
10215360.00000000
0.031639643634
Long
DBT
CORP
US
N
2
2026-02-13
Variable
2.01500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08106
3128MJDL1
15097.82000000
PA
USD
17371.16000000
0.000053803029
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO3635
3140JYBD7
16770506.73000000
PA
USD
17484135.39000000
0.054152943508
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 704750
36296X5K6
8851.65000000
PA
USD
9858.96000000
0.000030535779
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 627033
36291FSW9
4862493.66000000
PA
USD
5415376.21000000
0.016772837514
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
1852953.66000000
0.005739082467
N/A
DFE
N/A
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
116000000.00000000
EUR
137956712.00000000
USD
2021-04-30
1852953.66000000
N
N
N
Freddie Mac Gold Pool
N/A
FG A72540
3128L5ZD6
102941.85000000
PA
USD
122584.11000000
0.000379675073
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3455
36179RZU6
175077.60000000
PA
USD
192087.67000000
0.000594945790
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
9128286L9
100000000.00000000
PA
USD
106453120.00000000
0.329713175118
Long
DBT
UST
US
N
2
2026-03-31
Fixed
2.25000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6144
36179UZH8
20087660.09000000
PA
USD
20516595.91000000
0.063545267438
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05982
3128M76T8
18664.20000000
PA
USD
20723.31000000
0.000064185515
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-94 AB
38380XSE8
46694397.35000000
PA
USD
48437499.20000000
0.150023612797
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
3.00000000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-E
N/A
SOFI 2017-E A2B
83404KAC7
152940.19000000
PA
USD
156280.63000000
0.000484042015
Long
ABS-CBDO
CORP
US
Y
2
2040-11-26
Fixed
2.72000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US BANCORP
91159HHU7
9450000.00000000
PA
USD
10537071.30000000
0.032636067733
Long
DBT
CORP
US
N
2
2025-11-17
Fixed
3.95000000
N
N
N
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
STATOIL ASA
85771PAF9
8000000.00000000
PA
USD
8179968.00000000
0.025335501877
Long
DBT
CORP
NO
N
2
2022-01-23
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA8828
3140QGY27
219592537.67180000
PA
USD
225956483.13000000
0.699846368911
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3705
31418DDK5
10142364.71000000
PA
USD
10675193.84000000
0.033063869391
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13790
3128MCNF8
51188.86000000
PA
USD
54165.43000000
0.000167764513
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
Houston Galleria Mall Trust 2015-HGLR
N/A
HGMT 2015-HGLR A1A2
44217NAC0
13080000.00000000
PA
USD
13219432.80000000
0.040944043366
Long
ABS-MBS
CORP
US
Y
2
2037-03-05
Fixed
3.08660000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 966020
31414GVM8
445.39000000
PA
USD
466.13000000
0.000001443726
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 738783
3620ASXL8
117097.33000000
PA
USD
130196.26000000
0.000403251894
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3228
31418CSS4
34432.50000000
PA
USD
35767.37000000
0.000110780906
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11575
3128PQXC0
54422.42000000
PA
USD
57619.06000000
0.000178461309
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.50000000
N
N
N
N
N
N
Manufacturers & Traders Trust Co
WWB2V0FCW3A0EE3ZJN75
MANUF & TRADERS
55279HAK6
3700000.00000000
PA
USD
3950497.40000000
0.012235724430
Long
DBT
CORP
US
N
2
2025-02-06
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 254829
31371LA66
933952.27000000
PA
USD
1086952.33000000
0.003366575859
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.50000000
N
N
N
N
N
N
Oncor Electric Delivery Co LLC
549300SP2X2BS1KERD24
ONCOR ELECTRIC D
68233JBM5
20000000.00000000
PA
USD
21116100.00000000
0.065402088516
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 955031
31413TPQ9
2812.62000000
PA
USD
3180.60000000
0.000009851150
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
-108.51000000
-0.00000033608
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
23574.68000000
USD
20000.00000000
EUR
2021-04-30
-108.51000000
N
N
N
Fannie Mae Pool
N/A
FN MA3370
31418CW83
7052596.49000000
PA
USD
7423087.72000000
0.022991245548
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.00000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
AMAZON.COM INC
023135BC9
7000000.00000000
PA
USD
7650111.00000000
0.023694396066
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15000000
N
N
N
N
N
N
MDGH - GMTN BV
213800L53ZH5KG593W13
MDGH - GMTN BV
N/A
5000000.00000000
PA
USD
5206870.00000000
0.016127039208
Long
DBT
CORP
NL
N
2
2023-05-11
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995733
31416CEE2
98085.41000000
PA
USD
116530.68000000
0.000360926016
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4768 NV
3137F3G40
21434649.00000000
PA
USD
22189577.34000000
0.068726928804
Long
ABS-MBS
USGSE
US
N
2
2038-06-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3811
31418DGV8
308007.31000000
PA
USD
314670.99000000
0.000974618416
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS7530
3138WHLL4
510319.17000000
PA
USD
528048.63000000
0.001635504815
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG V80002
3132L5AB9
351186.45000000
PA
USD
361455.46000000
0.001119522165
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13855
3128MCQG3
11391.29000000
PA
USD
12024.70000000
0.000037243643
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 566186
36213V6X1
15069.86000000
PA
USD
16932.56000000
0.000052444570
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 618002
36290URX6
88351.19000000
PA
USD
99438.25000000
0.000307986286
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
5.00000000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_18-2
N/A
VALET 2018-2 A3
92869BAD4
16021540.91000000
PA
USD
16225399.00000000
0.050254307453
Long
ABS-CBDO
CORP
US
N
2
2023-04-20
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3474
31418C2G8
3016539.44000000
PA
USD
3226299.34000000
0.009992693490
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01974
3128LXFP0
10761.06000000
PA
USD
12289.61000000
0.000038064138
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 776431
36176ULL7
76872.98000000
PA
USD
82278.20000000
0.000254837120
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 730856
31402J5R4
256561.08000000
PA
USD
293305.22000000
0.000908443034
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2N2
10000000.00000000
PA
USD
10305160.00000000
0.031917777738
Long
DBT
CORP
US
N
2
2026-04-30
Variable
2.18800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 991859
31415WZY2
29.47000000
PA
USD
33.73000000
0.000000104470
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13908
3128MCR56
2431.60000000
PA
USD
2577.66000000
0.000007983687
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS9944
3138WLBN2
2007232.67000000
PA
USD
2179353.07000000
0.006750026870
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2019-B A4
44891JAD0
5740000.00000000
PA
USD
5920894.38000000
0.018338559598
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
2.00000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-2
N/A
SDART 2020-2 A3
80285RAD0
3890000.00000000
PA
USD
3899431.31000000
0.012077559383
Long
ABS-CBDO
CORP
US
N
2
2024-04-15
Fixed
0.67000000
N
N
N
N
N
N
Morgan Stanley Capital I 2017-HR2
N/A
MSC 2017-HR2 A4
61691NAE5
4257000.00000000
PA
USD
4645962.09000000
0.014389760602
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
3.58700000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AK6460
36183QE92
130709.78000000
PA
USD
140835.37000000
0.000436204002
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
4.00000000
N
N
N
N
N
N
Nestle Finance International Ltd
0KLLMNHINTFDRMU6DI05
NESTLE FIN INTL
N/A
8000000.00000000
PA
9437040.57000000
0.029228984646
Long
DBT
CORP
LU
N
2
2024-11-12
None
0.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967MS7
5000000.00000000
PA
USD
4984480.00000000
0.015438239171
Long
DBT
CORP
US
N
2
2031-06-03
Variable
2.57200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA8700
31416SU25
48508.33000000
PA
USD
55419.54000000
0.000171648820
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 684647
36295YTC7
5173.25000000
PA
USD
5878.32000000
0.000018206695
Long
ABS-MBS
USGA
US
N
2
2038-03-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A13715
31296NDU8
143.68000000
PA
USD
163.99000000
0.000000507919
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD3601
3140FBAB6
3261011.39000000
PA
USD
3581921.00000000
0.011094146850
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAT7
19465000.00000000
PA
USD
20940155.03000000
0.064857140893
Long
DBT
CORP
US
N
2
2026-05-04
Fixed
3.11900000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2017-91 CG
3136AYWF6
6119282.06000000
PA
USD
6307633.56000000
0.019536392062
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Fixed
3.00000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_16-6A
N/A
NAVSL 2016-6A A2
63940LAB0
3601933.53000000
PA
USD
3613674.03000000
0.011192494294
Long
ABS-CBDO
CORP
US
Y
2
2066-03-25
Floating
0.85860000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7297
3133JLDA4
3170357.64000000
PA
USD
3261153.83000000
0.010100646968
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06571
3128M8T46
13944.11000000
PA
USD
16222.13000000
0.000050244182
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO5526
3140K1D86
5931276.61000000
PA
USD
6183667.85000000
0.019152437812
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06601
3128M8U28
2612348.10000000
PA
USD
2917981.07000000
0.009037751110
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL4808
3138EMKW0
398798.38000000
PA
USD
451261.22000000
0.001397674109
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
5.00000000
N
N
N
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
PROLOGIS LP
74340XBR1
10000000.00000000
PA
USD
9038220.00000000
0.027993732956
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.25000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_20-2
N/A
AMCAR 2020-2 A3
03066EAD6
3350000.00000000
PA
USD
3362912.58000000
0.010415820451
Long
ABS-CBDO
CORP
US
N
2
2024-12-18
Fixed
0.66000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3305
31418CU77
4099973.16000000
PA
USD
4345023.23000000
0.013457674186
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Union Electric Co
QMPJLLDULY5C1M8PNY21
UNION ELECTRIC
906548CM2
1177000.00000000
PA
USD
1258869.77000000
0.003899049167
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A81346
312927P75
164887.85000000
PA
USD
195770.37000000
0.000606352075
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL3037
3138EKLT0
4173.48000000
PA
USD
4303.78000000
0.000013329933
Long
ABS-MBS
USGSE
US
N
2
2023-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91164
3128P7JH7
69902.97000000
PA
USD
77736.39000000
0.000240769946
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2074
36179QJT9
287006.23000000
PA
USD
315430.06000000
0.000976969454
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
4.00000000
N
N
N
N
N
N
Oncor Electric Delivery Co LLC
549300SP2X2BS1KERD24
ONCOR ELECTRIC D
68233JBU7
2750000.00000000
PA
USD
2870727.75000000
0.008891395210
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07838
3128MABF5
4138436.47000000
PA
USD
4770913.72000000
0.014776768504
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL5319
3138EM4D0
3475567.64000000
PA
USD
3681838.06000000
0.011403616136
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXS8
9335000.00000000
PA
USD
9176743.75000000
0.028422777266
Long
DBT
CORP
US
N
2
2026-02-12
Variable
0.85500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT8360
3138WWJE0
84569.78000000
PA
USD
86827.97000000
0.000268928948
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 511697
36211FNN1
2688.09000000
PA
USD
3223.02000000
0.000009982536
Long
ABS-MBS
USGA
US
N
2
2030-10-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE1472
3140FLT65
166154.80000000
PA
USD
174369.74000000
0.000540068723
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_20-A
N/A
HDMOT 2020-A A3
41284UAD6
6220000.00000000
PA
USD
6316379.52000000
0.019563480589
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
1.87000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_18-C
N/A
TAOT 2018-C A4
89231AAE1
14720000.00000000
PA
USD
15175006.98000000
0.047000968443
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
3.13000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_18-3
N/A
CARMX 2018-3 A3
14313FAD1
9822188.81000000
PA
USD
9949666.09000000
0.030816720053
Long
ABS-CBDO
CORP
US
N
2
2023-06-15
Fixed
3.13000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06832
3128M84R2
28260.71000000
PA
USD
32760.56000000
0.000101468028
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
6.00000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust 2017-C7
N/A
JPMDB 2017-C7 A5
46648KAU0
360000.00000000
PA
USD
392155.20000000
0.001214607295
Long
ABS-MBS
CORP
US
N
2
2050-10-15
Fixed
3.40920000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q52157
3132XUMF9
834000.31000000
PA
USD
894380.18000000
0.002770129507
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC5606
3140F1GQ9
2152963.34000000
PA
USD
2286331.88000000
0.007081368244
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE3767
3140FPFH7
300797.06000000
PA
USD
319365.92000000
0.000989159843
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BO8585
3617KQRE0
508997.20000000
PA
USD
530885.05000000
0.001644289950
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.50000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP
68389XBS3
20704000.00000000
PA
USD
22056281.76000000
0.068314077505
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
2.95000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4882
36202FM78
265470.43480000
PA
USD
291874.92000000
0.000904013021
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM4950
3140J9QC8
40046494.99000000
PA
USD
44734770.20000000
0.138555291952
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05815
3128M7YL4
745709.52000000
PA
USD
872035.84000000
0.002700923238
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 617410
36290T3T4
576797.55000000
PA
USD
649806.39000000
0.002012620466
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4448
36202E5H8
109337.30000000
PA
USD
127180.59000000
0.000393911574
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS2796
3132A3C99
12563018.11000000
PA
USD
14459444.64000000
0.044784684588
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
AMERIPRISE FINL
03076CAJ5
1125000.00000000
PA
USD
1154422.13000000
0.003575547488
Long
DBT
CORP
US
N
2
2022-03-22
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 190375
31368HMY6
66165.97000000
PA
USD
75476.84000000
0.000233771528
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-C30
N/A
WFCM 2015-C30 A4
94989NBE6
2380000.00000000
PA
USD
2607171.00000000
0.008075090974
Long
ABS-MBS
CORP
US
N
2
2058-09-15
Fixed
3.66400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BA6554
3140EBH87
176825.03000000
PA
USD
194449.89000000
0.000602262203
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08086
3128MJCY4
146822.95000000
PA
USD
171219.68000000
0.000530312163
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AR0719
3138NWYR4
229196.17000000
PA
USD
239956.45000000
0.000743207930
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL5853
3138ENQF9
515944.78000000
PA
USD
581573.68000000
0.001801285904
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 647736
36292FSZ1
1780.99000000
PA
USD
2046.59000000
0.000006338824
Long
ABS-MBS
USGA
US
N
2
2035-08-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH3819
3138A5G55
5718.79000000
PA
USD
6432.05000000
0.000019921742
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC6769
3140F2QX1
4899038.31000000
PA
USD
5365526.70000000
0.016618440534
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
4.00000000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513AX3
17155000.00000000
PA
USD
18922719.82000000
0.058608616015
Long
DBT
CORP
US
N
2
2025-05-21
Fixed
3.85000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C26
N/A
JPMBB 2014-C26 A3
46643TBA9
83658.05000000
PA
USD
88635.70000000
0.000274527961
Long
ABS-MBS
CORP
US
N
2
2048-01-15
Fixed
3.23120000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833DK3
5280000.00000000
PA
USD
5701127.52000000
0.017657884112
Long
DBT
CORP
US
N
2
2027-11-13
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4819 EZ
3137FGYK5
6342402.04000000
PA
USD
6681593.70000000
0.020694644493
Long
ABS-MBS
USGSE
US
N
2
2048-07-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6032
36179UVZ2
12761162.07000000
PA
USD
13461860.89000000
0.041694906612
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AI9978
36198XCP6
138206.51000000
PA
USD
146958.12000000
0.000455167761
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 928736
31412LY95
437910.01000000
PA
USD
496550.10000000
0.001537945624
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC2953
31417MH71
236735.15000000
PA
USD
262550.41000000
0.000813187338
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FIN
74432QCH6
4500000.00000000
PA
USD
4536945.00000000
0.014052106141
Long
DBT
CORP
US
N
2
2026-03-10
Fixed
1.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 784413
3622A23W0
15547736.94000000
PA
USD
16758705.08000000
0.051906095967
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
3.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2016-136 BC
38380BPX7
12841361.37000000
PA
USD
13329333.10000000
0.041284433360
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.00000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122DD7
4000000.00000000
PA
USD
4376264.00000000
0.013554435028
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.45000000
N
N
N
N
N
N
ERP Operating LP
DX5HQV5MLU50FEWZ5072
ERP OPERATING LP
26884ABF9
6140000.00000000
PA
USD
6514840.86000000
0.020178167303
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
2.85000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4381
36179S2N6
615366.09000000
PA
USD
648729.09000000
0.002009283786
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91238
3128P7LT8
24089.33000000
PA
USD
26973.73000000
0.000083544701
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745516
31403DGZ6
39648.43000000
PA
USD
45161.74000000
0.000139877729
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS1047
3138WAEV5
1415353.67000000
PA
USD
1560215.12000000
0.004832394589
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 942678
31413DXF9
3857.07000000
PA
USD
4370.46000000
0.000013536458
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust 2018-C8
N/A
JPMDB 2018-C8 A4
46591ABA2
60000.00000000
PA
USD
67858.80000000
0.000210176464
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Fixed
4.21060000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G02251
3128LXQC7
35288.46000000
PA
USD
40939.48000000
0.000126800284
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
Slovakia Government International Bond
N/A
SLOVAK REPUBLIC
N/A
706000.00000000
PA
USD
737216.71000000
0.002283353106
Long
DBT
NUSS
SK
N
2
2022-05-21
Fixed
4.37500000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513BA2
10065000.00000000
PA
USD
10800540.14000000
0.033452099689
Long
DBT
CORP
US
N
2
2029-05-22
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD8428
3140FGLJ6
211241.49000000
PA
USD
218607.16000000
0.000677083591
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
US 5YR NOTE (CBT) Jun21
N/A
1449.00000000
NC
USD
178804336.66000000
0.553803829939
N/A
DIR
N/A
N
1
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Long
N/A
CBOT 5 Year US Treasury Note
2021-06-30
179543682.84000000
USD
-739346.18000000
N
N
N
Fannie Mae Pool
N/A
FN AC9834
31417W4U2
3581.34000000
PA
USD
3790.35000000
0.000011739706
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 690106
36296FU76
84477.90000000
PA
USD
91632.96000000
0.000283811260
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE2848
3140FNEW0
719937.16000000
PA
USD
755914.08000000
0.002341263754
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
CSAIL 2015-C4 Commercial Mortgage Trust
54930025J96YEH8FQE77
CSAIL 2015-C4 A4
12635RAX6
856700.00000000
PA
USD
940699.44000000
0.002913592379
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Fixed
3.80790000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT8172
36194HCH3
2320943.52000000
PA
USD
2528785.87000000
0.007832311710
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
TEXAS INSTRUMENT
882508BJ2
9245000.00000000
PA
USD
8815024.30000000
0.027302437455
Long
DBT
CORP
US
N
2
2030-05-04
Fixed
1.75000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BA6
4085000.00000000
PA
USD
4347146.71000000
0.013464251160
Long
DBT
CORP
GB
N
2
2023-05-25
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO3184
3140JXRE0
5673661.05000000
PA
USD
5885847.46000000
0.018230010114
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BDZ6
8295000.00000000
PA
USD
9232144.22000000
0.028594367022
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS3882
3138WDJ44
91246.80000000
PA
USD
101767.12000000
0.000315199406
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBR1
330000000.00000000
PA
USD
329123454.00000000
1.019381480074
Long
DBT
UST
US
N
2
2024-03-15
Fixed
0.25000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4197
36179SUW5
773776.17000000
PA
USD
846381.52000000
0.002621465094
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE4202
3140FPU49
16425428.82000000
PA
USD
17635547.65000000
0.054621906907
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AW3144
3138XSP68
193013.33000000
PA
USD
220336.08000000
0.000682438509
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 594828
36201VYZ9
147610.09000000
PA
USD
157324.03000000
0.000487273698
Long
ABS-MBS
USGA
US
N
2
2032-08-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6389
3138WGC36
170090.64000000
PA
USD
179117.38000000
0.000554773407
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8574
3138WJQ43
490352.58000000
PA
USD
537047.58000000
0.001663376919
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
4.00000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST CRVNA_20-P1
N/A
CRVNA 2020-P1 A4
14687AAP3
2650000.00000000
PA
USD
2635213.53000000
0.008161946029
Long
ABS-CBDO
CORP
US
N
2
2026-10-08
Fixed
0.61000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5923
36179USL7
115440.86000000
PA
USD
120572.81000000
0.000373445550
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13276
3128MB2H9
16991.58000000
PA
USD
17997.89000000
0.000055744176
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL0520
3138EGSJ4
79200.50000000
PA
USD
91038.54000000
0.000281970186
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BA4735
3140E9HM1
252204.84000000
PA
USD
277437.96000000
0.000859297977
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY6117
3138YKYP2
378494.64000000
PA
USD
396013.53000000
0.001226557552
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO8509
3140K4N30
2831020.80000000
PA
USD
2936897.86000000
0.009096341360
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1286
36179NNB0
11388.22000000
PA
USD
12516.92000000
0.000038768177
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
4.00000000
N
N
N
N
N
N
Tennessee Valley Authority
549300HE1ISW43LNKM54
TENN VALLEY AUTH
880591EU2
1280000.00000000
PA
USD
1402302.72000000
0.004343298555
Long
DBT
USGA
US
N
2
2027-02-01
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15115
3128PUVG4
335.33000000
PA
USD
335.33000000
0.000001038604
Long
ABS-MBS
USGSE
US
N
2
2021-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 932279
31412QXG9
1410375.76000000
PA
USD
1606064.69000000
0.004974402707
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4699
36202FGG5
14274.53000000
PA
USD
16627.34000000
0.000051499223
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
6.00000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust 2016-C4
N/A
CFCRE 2016-C4 A4
12531YAN8
3376000.00000000
PA
USD
3625351.36000000
0.011228662042
Long
ABS-MBS
CORP
US
N
2
2058-05-10
Fixed
3.28300000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD7136
31418U4W1
66591.72000000
PA
USD
74554.15000000
0.000230913715
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782762
36241LB70
24113.00000000
PA
USD
27246.93000000
0.000084390873
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4725 WZ
3137FBKV7
25353697.73000000
PA
USD
26992560.75000000
0.083603025533
Long
ABS-MBS
USGSE
US
N
2
2047-11-15
Fixed
3.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2012-GC6
N/A
GSMS 2012-GC6 AS
36192BAE7
233000.00000000
PA
USD
237613.40000000
0.000735950891
Long
ABS-MBS
CORP
US
Y
2
2045-01-10
Fixed
4.94800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD7678
3140FFQ87
424124.71000000
PA
USD
439577.69000000
0.001361487158
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB7716
31417ESE2
854861.78000000
PA
USD
889232.52000000
0.002754185857
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 690637
36296GHN4
4511.92000000
PA
USD
4787.64000000
0.000014828574
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.50000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807DE4
6775000.00000000
PA
USD
7293965.00000000
0.022591318688
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.37500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4195
36179SUU9
199274.34000000
PA
USD
210319.50000000
0.000651414539
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
3.00000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_21-A
N/A
HDMOT 2021-A A3
41284NAC4
8180000.00000000
PA
USD
8159617.08000000
0.025272469751
Long
ABS-CBDO
CORP
US
N
2
2026-04-15
Fixed
0.37000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZM6688
3131Y1ND8
511126.80000000
PA
USD
556202.36000000
0.001722704286
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 585131
31387JA89
28361.03000000
PA
USD
31537.37000000
0.000097679489
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 778753
36176W5N7
15499.99000000
PA
USD
16810.26000000
0.000052065775
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13
N/A
MSBAM 2013-C13 A4
61763BAU8
85000.00000000
PA
USD
91737.10000000
0.000284133809
Long
ABS-MBS
CORP
US
N
2
2046-11-15
Fixed
4.03900000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 635117
36291QSE5
937400.32000000
PA
USD
982543.27000000
0.003043193672
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD2575
3140F92H7
491475.66000000
PA
USD
508714.96000000
0.001575623379
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 703625
36296WVS2
11037.55000000
PA
USD
12766.27000000
0.000039540479
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 953471
31413RW85
161193.69000000
PA
USD
167181.18000000
0.000517803871
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AW5174
36195TXB6
890852.17000000
PA
USD
958805.66000000
0.002969672081
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G30381
3128CUM60
194255.37000000
PA
USD
218653.59000000
0.000677227397
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2 4/21
01F020448
162000000.00000000
PA
USD
166252500.00000000
0.514927506552
Long
ABS-MBS
USGSE
US
N
2
2021-04-19
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q52823
3132XVD59
18788442.08000000
PA
USD
20223693.05000000
0.062638070618
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3703
31418DDH2
26484.48000000
PA
USD
27474.92000000
0.000085097018
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.00000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET COR
857477AN3
31592000.00000000
PA
USD
34373138.54000000
0.106462606702
Long
DBT
CORP
US
N
2
2024-12-16
Fixed
3.30000000
N
N
N
N
N
N
Aflac Inc
549300N0B7DOGLXWPP39
AFLAC INC
001055BJ0
19050000.00000000
PA
USD
20772786.75000000
0.064338757524
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A73709
3128L7DN4
18216.75000000
PA
USD
21211.61000000
0.000065697907
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
Camden Property Trust
5493002MYX22OHYJBD89
CAMDEN PROP TRST
133131AS1
5935000.00000000
PA
USD
6410696.19000000
0.019855604002
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 257510
31371PAK6
30025.88000000
PA
USD
35043.69000000
0.000108539480
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03781
3128M5RA0
63656.08000000
PA
USD
73076.54000000
0.000226337171
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QBM1
8930000.00000000
PA
USD
8421695.47000000
0.026084195120
Long
DBT
CORP
US
N
2
2030-08-10
Fixed
1.74900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO4644
3140K0ES3
1694456.23000000
PA
USD
1779721.95000000
0.005512264694
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5056
36202FTM8
143683.77000000
PA
USD
158847.95000000
0.000491993677
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0934
36179NBB3
226794.69000000
PA
USD
246884.00000000
0.000764664366
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16
N/A
JPMCC 2013-C16 A3
46641BAC7
184413.18000000
PA
USD
196523.59000000
0.000608684995
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Fixed
3.88120000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783396
36241LXZ4
105268.57000000
PA
USD
121983.60000000
0.000377815136
Long
ABS-MBS
USGA
US
N
2
2037-04-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06856
3128M85R1
272904.98000000
PA
USD
317135.65000000
0.000982252113
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT3764
3138WRFE5
486928.98000000
PA
USD
530083.94000000
0.001641808703
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 750341
3620C6S63
143907.81000000
PA
USD
163702.17000000
0.000507028467
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ9342
3617LULX4
6283400.78000000
PA
USD
6464333.82000000
0.020021733781
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2G7
700000.00000000
PA
USD
721297.50000000
0.002234047146
Long
DBT
CORP
US
N
2
2030-10-30
Variable
2.87900000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET COR
857477AT0
2630000.00000000
PA
USD
2885401.93000000
0.008936844987
Long
DBT
CORP
US
N
2
2025-08-18
Fixed
3.55000000
N
N
N
N
N
N
SABIC Capital II BV
2138005PCUTH59D4RJ83
SABIC CAPITAL II
78520LAA8
17612000.00000000
PA
USD
18976877.16000000
0.058776355472
Long
DBT
CORP
NL
Y
2
2023-10-10
Fixed
4.00000000
N
N
N
N
N
N
Banc of America Commercial Mortgage Trust 2015-UBS7
N/A
BACM 2015-UBS7 A3
06054AAW9
911638.22000000
PA
USD
973392.59000000
0.003014851621
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Fixed
3.44100000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 974352
31414R5M3
105270.51000000
PA
USD
124450.63000000
0.000385456174
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
7.00000000
N
N
N
N
N
N
Credit Suisse AG/New York NY
549300D0YARF5HYP1809
CRED SUIS NY
22550L2D2
14470000.00000000
PA
USD
14540758.30000000
0.045036534276
Long
DBT
CORP
CH
N
2
2023-05-05
Fixed
1.00000000
N
N
N
N
N
N
COMM 2013-LC13 Mortgage Trust
N/A
COMM 2013-LC13 A5
12626GAF0
160000.00000000
PA
USD
171881.60000000
0.000532362302
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Fixed
4.20500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18578
3128MMUC5
684203.16000000
PA
USD
725752.63000000
0.002247845849
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 896907
31410TNY7
570.91000000
PA
USD
575.02000000
0.000001780987
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS
00440EAS6
9485000.00000000
PA
USD
10195938.69000000
0.031579490754
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725314
31402CYK2
978566.57000000
PA
USD
1117594.07000000
0.003461481347
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G02538
3128M4EK5
40039.18000000
PA
USD
46056.34000000
0.000142648539
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2826
36179RD71
457682.46000000
PA
USD
493011.79000000
0.001526986551
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783613
3622A2AN2
87271.41000000
PA
USD
98245.25000000
0.000304291253
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
SCDS: (QATAR)
BVN4MVCF9
7920000.00000000
NC
USD
-79582.54000000
-0.00024648795
N/A
DCR
N/A
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
N/A
QATAR STATE OF
Y
Receipt of notional amount upon default event with regard to reference instrument
2022-06-20
22581.08000000
USD
0.00000000
USD
7920000.00000000
USD
-102163.62000000
N
N
N
Fannie Mae Pool
N/A
FN 894202
31410QNT4
1419.25000000
PA
USD
1604.25000000
0.000004968782
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL3459
3138EKZZ1
77123.29000000
PA
USD
80842.06000000
0.000250389018
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
2.50000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_19-B
N/A
NAROT 2019-B A4
65479HAD9
2500000.00000000
PA
USD
2605959.75000000
0.008071339415
Long
ABS-CBDO
CORP
US
N
2
2025-12-15
Fixed
2.54000000
N
N
N
N
N
N
CNH EQUIPMENT TRUST CNH_20-A
N/A
CNH 2020-A A4
12597PAD0
2040000.00000000
PA
USD
2089614.23000000
0.006472082194
Long
ABS-CBDO
CORP
US
N
2
2027-04-15
Fixed
1.51000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 707437
36297B4W8
3621.91000000
PA
USD
4016.36000000
0.000012439718
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 559642
31386CWB4
1237.11000000
PA
USD
1314.50000000
0.000004071350
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
8.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2755
36179RBY4
305532.83000000
PA
USD
335837.10000000
0.001040175398
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
4.00000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
N/A
1150000.00000000
PA
USD
1217131.25000000
0.003769774046
Long
DBT
NUSS
BM
N
2
2023-01-03
Fixed
4.13800000
N
N
N
N
N
N
Ontario Teachers' Cadillac Fairview Properties Trust
N/A
CADILLAC FAIRVIE
68327LAA4
20096000.00000000
PA
USD
20543136.00000000
0.063627469044
Long
DBT
CORP
CA
Y
2
2022-03-20
Fixed
3.12500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 609112
36202TVD5
838366.27000000
PA
USD
880548.00000000
0.002727287625
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
3.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BZ1
1605000.00000000
PA
USD
1729201.32000000
0.005355789080
Long
DBT
CORP
GB
N
2
2025-03-11
Variable
3.80300000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJB6
7500000.00000000
PA
USD
7476332.03000000
0.023156157112
Long
DBT
CORP
US
N
2
2031-04-29
Variable
2.59200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995763
31416CFC5
93566.94000000
PA
USD
103657.08000000
0.000321053107
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C50700
31298LX53
7743.22000000
PA
USD
9073.75000000
0.000028103778
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL1029
3138EHEB4
108772.53000000
PA
USD
111925.29000000
0.000346661917
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6
N/A
MSBAM 2012-C6 A4
61761DAD4
1002194.96000000
PA
USD
1026999.29000000
0.003180885602
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Fixed
2.85800000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
ENTERGY LA LLC
29364WBE7
4435000.00000000
PA
USD
4116939.54000000
0.012751239301
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
1.60000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA4177
31418DUB6
38053833.59000000
PA
USD
39476152.70000000
0.122267977191
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS2369
3138WBT39
229049.47000000
PA
USD
246287.18000000
0.000762815858
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A16040
31296QV98
370785.71000000
PA
USD
428183.34000000
0.001326195874
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG V60717
3132KEYN9
523692.85000000
PA
USD
567267.50000000
0.001756975921
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.50000000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_18-C
N/A
SOFI 2018-C A2FX
78490DAB0
298910.37220000
PA
USD
309950.78000000
0.000959998690
Long
ABS-CBDO
CORP
US
Y
2
2048-01-25
Fixed
3.59000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5156
36202FWR3
175043.20000000
PA
USD
201558.74000000
0.000624280172
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
6.00000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC FINANCIAL
693475AZ8
5000000.00000000
PA
USD
5066655.00000000
0.015692756654
Long
DBT
CORP
US
N
2
2030-01-22
Fixed
2.55000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL2172
36183XMV9
131642.49000000
PA
USD
140347.56000000
0.000434693127
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07647
3128M9ZL9
606832.14000000
PA
USD
714249.80000000
0.002212218574
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
7.50000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
SUNTRUST BANK
86787EAN7
4000000.00000000
PA
USD
4183536.00000000
0.012957505968
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
2.75000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4680
36202FFV3
93806.54000000
PA
USD
107753.02000000
0.000333739305
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZM0613
3131XTVE7
41660.19000000
PA
USD
45910.78000000
0.000142197702
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Comm 2013-CCRE13 Mortgage Trust
N/A
COMM 2013-CR13 A4
12630BBA5
4199989.00000000
PA
USD
4554132.07000000
0.014105338995
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
4.19400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BN6116
3140JNYN4
1203304.10000000
PA
USD
1322404.85000000
0.004095833939
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05535
3128M7PU4
5930249.66000000
PA
USD
6575974.98000000
0.020367515674
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995297
31416BUW6
523057.63000000
PA
USD
596631.28000000
0.001847923233
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 479449
36209RTE3
1991.33000000
PA
USD
2027.55000000
0.000006279853
Long
ABS-MBS
USGA
US
N
2
2030-07-15
Fixed
8.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783851
3622A2H47
238672.66000000
PA
USD
279840.04000000
0.000866737847
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 717796
3620A3NM2
4005.47000000
PA
USD
4565.27000000
0.000014139836
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
4.50000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAH0
13875000.00000000
PA
USD
13882020.75000000
0.042996251669
Long
DBT
CORP
FR
Y
2
2021-04-13
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A19119
31296UDY4
32186.26000000
PA
USD
36858.41000000
0.000114160142
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A41502
3128K1U33
337943.03000000
PA
USD
384040.05000000
0.001189472551
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.00000000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp
4NYF266XZC35SCTGX023
NATL RURAL UTIL
637432NS0
9996000.00000000
PA
USD
10879026.65000000
0.033695192954
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08790
3128MJ2Y5
234855.59000000
PA
USD
258385.61000000
0.000800287862
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
94974BGA2
8943000.00000000
PA
USD
9650999.42000000
0.029891671205
Long
DBT
CORP
US
N
2
2024-09-09
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL6851
3138EPTH7
487813.71000000
PA
USD
501801.72000000
0.001554211265
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782798
36241LDB9
63509.28000000
PA
USD
73729.82000000
0.000228360550
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
6.00000000
N
N
N
N
N
N
AvalonBay Communities Inc
K9G90K85RBWD2LAGQX17
AVALONBAY COMMUN
05348EBA6
2960000.00000000
PA
USD
3219722.24000000
0.009972322490
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.35000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
SHELL INTL FIN
822582CF7
15040000.00000000
PA
USD
15783111.36000000
0.048884426870
Long
DBT
CORP
NL
N
2
2025-04-06
Fixed
2.37500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1285
36179NNA2
679308.93000000
PA
USD
734293.21000000
0.002274298261
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08568
3128MJT26
325998.18000000
PA
USD
363164.65000000
0.001124815973
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1011
36179NDQ8
3899687.38000000
PA
USD
4062325.79000000
0.012582086223
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 961203
31414BKQ2
170091.13000000
PA
USD
193194.27000000
0.000598373219
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q23995
3132M4C86
19355.94000000
PA
USD
21294.73000000
0.000065955352
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA2169
3140Q9MT7
10757490.37000000
PA
USD
11797733.23000000
0.036540667689
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 929737
31412M4W5
9329.23000000
PA
USD
10572.68000000
0.000032746357
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD9824
31418X4J4
9852.96000000
PA
USD
10427.05000000
0.000032295302
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 784221
3622A2VN9
1217666.12000000
PA
USD
1376050.27000000
0.004261987846
Long
ABS-MBS
USGA
US
N
2
2046-06-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2961
36179RJE0
1243607.21000000
PA
USD
1339604.61000000
0.004149106098
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
3.50000000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_20-1A
N/A
CPART 2020-1A A3
13645YAD1
8600000.00000000
PA
USD
8727877.70000000
0.027032521625
Long
ABS-CBDO
CORP
CA
Y
2
2024-07-19
Fixed
1.83000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07290
3128M9NF5
1324993.12000000
PA
USD
1578293.51000000
0.004888388094
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 917594
31411XNK7
44145.83000000
PA
USD
51459.11000000
0.000159382332
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q26048
3132M6L57
1988421.01000000
PA
USD
2189765.14000000
0.006782275776
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 687966
31400HJK0
15731.89000000
PA
USD
16201.44000000
0.000050180100
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Floating
2.53500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 609185
36202TXN1
816230.64000000
PA
USD
857172.20000000
0.002654886655
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU5704
3138X5KS5
1735977.42000000
PA
USD
1937571.96000000
0.006001167489
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE6002
3133N3U36
721878.23000000
PA
USD
752030.07000000
0.002329233959
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353RFJ2
6245000.00000000
PA
USD
6739110.65000000
0.020872789542
Long
DBT
CORP
US
N
2
2028-01-22
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA3423
31416LYV2
29349.57000000
PA
USD
30622.06000000
0.000094844534
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2608
31418B3S3
192674.95000000
PA
USD
202200.68000000
0.000626268428
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2020-A A4
44891LAD5
9420000.00000000
PA
USD
9733864.98000000
0.030148327533
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
1.72000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBH8
4650000.00000000
PA
USD
4780492.95000000
0.014806437887
Long
DBT
CORP
US
N
2
2026-03-13
Variable
2.00500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3454
36179RZT9
681685.70000000
PA
USD
730643.69000000
0.002262994742
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01770
31283H6F7
485854.22000000
PA
USD
553387.96000000
0.001713987352
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G04412
3128M6GV4
1264.48000000
PA
USD
1450.71000000
0.000004493228
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
CD 2017-CD4 Mortgage Trust
N/A
CD 2017-CD4 A4
12515DAR5
480000.00000000
PA
USD
524649.60000000
0.001624977130
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
3.51400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BF9981
3617GHCS0
11877729.03000000
PA
USD
12532044.62000000
0.038815022259
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5016
36202FSD9
117561.79000000
PA
USD
129272.75000000
0.000400391541
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 555800
31385XNR4
220855.55000000
PA
USD
258159.69000000
0.000799588129
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0021
31419AAX5
31240.35000000
PA
USD
35235.40000000
0.000109133256
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB5012
31417BSA6
74.51000000
PA
USD
75.29000000
0.000000233192
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
5.50000000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP
55608JAR9
7470000.00000000
PA
USD
7313705.19000000
0.022652459224
Long
DBT
CORP
AU
Y
2
2027-01-12
Variable
1.34000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18308
3128MMKW2
305119.20000000
PA
USD
319380.56000000
0.000989205187
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7288
3133JLCZ0
2526404.64000000
PA
USD
2762923.11000000
0.008557496024
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD9143
31418XER5
1368.08000000
PA
USD
1518.62000000
0.000004703563
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE8440
31419KLW3
94728.56000000
PA
USD
104024.51000000
0.000322191134
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 890727
31410LSQ6
4899502.65000000
PA
USD
5616296.95000000
0.017395141634
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A97047
312945ZL5
20043.95000000
PA
USD
22263.75000000
0.000068956660
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20
N/A
MSBAM 2015-C20 A4
61764RBF4
60000.00000000
PA
USD
64442.40000000
0.000199594979
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.24900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 555531
31385XEC7
542346.72000000
PA
USD
633958.73000000
0.001963536115
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAX7
5400000.00000000
PA
USD
5635958.40000000
0.017456038290
Long
DBT
CORP
JP
N
2
2030-07-16
Variable
3.15300000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
BB&T CORPORATION
05531FBJ1
3000000.00000000
PA
USD
3099786.00000000
0.009600848563
Long
DBT
CORP
US
N
2
2023-03-16
Fixed
2.20000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BJ0648
3140H1WJ5
28358.10000000
PA
USD
30053.04000000
0.000093082130
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAL4
10080000.00000000
PA
USD
10556310.24000000
0.032695655766
Long
DBT
CORP
US
N
2
2023-05-10
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745875
31403DT82
110207.46000000
PA
USD
129112.18000000
0.000399894214
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL2090
3138EJKC1
15410.96000000
PA
USD
16401.86000000
0.000050800853
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 733226
3620ALSP0
79015.91000000
PA
USD
89480.79000000
0.000277145426
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
4.50000000
N
N
N
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
LOCKHEED MARTIN
539830BH1
14639000.00000000
PA
USD
16116001.91000000
0.049915476032
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q00788
3132GD2V3
628038.51000000
PA
USD
713530.57000000
0.002209990931
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2 4/21
01F020448
-162000000.00000000
PA
USD
-166252500.00000000
-0.51492750655
Short
ABS-MBS
USGSE
US
N
2
2021-04-19
Fixed
2.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468U6
11680000.00000000
PA
USD
10875610.08000000
0.033684610942
Long
DBT
CORP
US
N
2
2032-02-13
Variable
1.79400000
N
N
N
N
N
N
CDP Financial Inc
549300OXMGVYFCBFV096
CDP FINANCIAL
125094AU6
40000000.00000000
PA
USD
39812640.00000000
0.123310166430
Long
DBT
NUSS
CA
Y
2
2025-06-10
Fixed
0.87500000
N
N
N
N
N
N
COMM 2013-CCRE11 Mortgage Trust
549300BCCWSDWINK2593
COMM 2013-CR11 A4
12626LAE2
922000.00000000
PA
USD
995142.26000000
0.003082216042
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Fixed
4.25800000
N
N
N
N
N
N
National Australia Bank Ltd
F8SB4JFBSYQFRQEH3Z21
NATL AUSTRALIABK
N/A
5825000.00000000
PA
6935189.53000000
0.021480097154
Long
DBT
CORP
AU
N
2
2024-05-20
Fixed
0.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3218
31418CSG0
348281.69000000
PA
USD
369102.60000000
0.001143207359
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-80 GY
38380W7M5
2800000.00000000
PA
USD
2936024.00000000
0.009093634787
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 737036
3620AQY98
2250.64000000
PA
USD
2565.17000000
0.000007945002
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
5.00000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS IN
718172CB3
5000000.00000000
PA
USD
5387620.00000000
0.016686869267
Long
DBT
CORP
US
N
2
2027-08-17
Fixed
3.12500000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP
55608JAH1
3973000.00000000
PA
USD
4135944.65000000
0.012810103101
Long
DBT
CORP
AU
Y
2
2023-11-28
Variable
3.18900000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZA5450
31329PBT9
4626336.51000000
PA
USD
4887788.37000000
0.015138759885
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 609147
36202TWG7
502348.38000000
PA
USD
527537.99000000
0.001633923230
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745946
31403DWF2
34203.71000000
PA
USD
39274.30000000
0.000121642786
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J20500
31306XRV7
21351.26000000
PA
USD
22212.24000000
0.000068797120
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J31851
31307NBU7
274711.10000000
PA
USD
282119.15000000
0.000873796847
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J07046
3128PJZK6
18268.18000000
PA
USD
18922.25000000
0.000058607160
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5906
3138WFR40
457029.57000000
PA
USD
489184.21000000
0.001515131534
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889514
31410KGX6
21239.55000000
PA
USD
24828.80000000
0.000076901292
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E02686
31294L6X6
738.77000000
PA
USD
781.13000000
0.000002419364
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.00000000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-F
N/A
SOFI 2017-F A2FX
83401BAB2
237298.02000000
PA
USD
242343.93000000
0.000750602581
Long
ABS-CBDO
CORP
US
Y
2
2041-01-25
Fixed
2.84000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD7859
31418VWV0
102510.36000000
PA
USD
116099.50000000
0.000359590538
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 428113
36207CSA7
29811.58000000
PA
USD
33974.56000000
0.000105228104
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C03668
31292LCD5
132343.42000000
PA
USD
150271.73000000
0.000465430879
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 622192
36291AF95
124599.63000000
PA
USD
135777.30000000
0.000420537835
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 545287
36212VXQ7
7616.31000000
PA
USD
9081.91000000
0.000028129052
Long
ABS-MBS
USGA
US
N
2
2031-01-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8896
3138WJ3E6
34842.68000000
PA
USD
36925.37000000
0.000114367535
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
3.00000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NCA7
28825000.00000000
PA
USD
30959318.30000000
0.095889111903
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.15000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833CJ7
13158000.00000000
PA
USD
14456155.12000000
0.044774496084
Long
DBT
CORP
US
N
2
2027-02-09
Fixed
3.35000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 736519
3620AQG49
48171.30000000
PA
USD
54068.97000000
0.000167465751
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698396
36296Q3D9
7104.78000000
PA
USD
7854.26000000
0.000024326698
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 644673
36292CFN9
2705.48000000
PA
USD
3164.15000000
0.000009800200
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 941151
31413CBU2
4024.39000000
PA
USD
4426.44000000
0.000013709843
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
961214EH2
17000000.00000000
PA
USD
17789956.00000000
0.055100149981
Long
DBT
CORP
AU
N
2
2025-02-19
Fixed
2.35000000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-1
N/A
GMCAR 2019-1 A4
36256XAE2
11470000.00000000
PA
USD
11894092.93000000
0.036839118901
Long
ABS-CBDO
CORP
US
N
2
2024-07-16
Fixed
3.11000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AO1132
3138LRHJ4
760848.85000000
PA
USD
825026.75000000
0.002555323782
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO9973
3140K6CK9
19329711.98000000
PA
USD
20152256.95000000
0.062416814319
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP
68389XBM6
5115000.00000000
PA
USD
5367343.41000000
0.016624067360
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
2.65000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23
N/A
MSBAM 2015-C23 A3
61690QAD1
11118379.76000000
PA
USD
11949812.20000000
0.037011696064
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.45100000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 929626
31412MYX0
1154.28000000
PA
USD
1312.87000000
0.000004066302
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GWM2
4750000.00000000
PA
USD
4889065.75000000
0.015142716266
Long
DBT
CORP
US
N
2
2023-07-24
Variable
2.90500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH3707
3140GSDM1
97896.31000000
PA
USD
108235.13000000
0.000335232526
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4774
36202FJT4
14716.48000000
PA
USD
17083.86000000
0.000052913185
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG V60869
3132KE6E0
573197.01000000
PA
USD
602634.57000000
0.001866516993
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
VISA INC
92826CAL6
4000000.00000000
PA
USD
4087996.00000000
0.012661593582
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
1.90000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5055
36202FTL0
644885.03000000
PA
USD
715124.55000000
0.002214927904
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
4.50000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-3
N/A
HAROT 2019-3 A3
43815NAC8
33200000.00000000
PA
USD
33612158.08000000
0.104105651042
Long
ABS-CBDO
CORP
US
N
2
2023-08-15
Fixed
1.78000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 867427
31409CVU6
109333.17000000
PA
USD
126954.23000000
0.000393210478
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q14935
3132HRPU8
75052.16000000
PA
USD
79858.09000000
0.000247341406
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4838
36179TLT0
6268003.89000000
PA
USD
6803037.57000000
0.021070787945
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61744YAN8
625000.00000000
PA
USD
654383.75000000
0.002026797748
Long
DBT
CORP
US
N
2
2023-01-23
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889579
31410KJY1
1706179.19000000
PA
USD
1979658.73000000
0.006131521232
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Virginia Electric and Power Co
CQKUMNNZVDJLRYV2PT43
VIRGINIA EL&PWR
927804FQ2
1730000.00000000
PA
USD
1859897.05000000
0.005760587963
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 254868
31371LCD9
1084736.30000000
PA
USD
1238803.78000000
0.003836899544
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL4719
36184BG43
132215.48000000
PA
USD
141901.28000000
0.000439505404
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
3.50000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
SUNTRUST BANK
86787EBB2
34710000.00000000
PA
USD
38842225.50000000
0.120304538732
Long
DBT
CORP
US
N
2
2025-11-03
Fixed
4.05000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 594108
36201VAH5
6975.81000000
PA
USD
7945.36000000
0.000024608859
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
5.00000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCA4
3434000.00000000
PA
USD
3630380.16000000
0.011244237552
Long
DBT
CORP
CA
N
2
2024-06-12
Fixed
2.65000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28510
31307HN37
498966.62000000
PA
USD
536552.43000000
0.001661843310
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18306
3128MMKU6
276546.36000000
PA
USD
290657.33000000
0.000900241826
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.50000000
N
N
N
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE
191216DD9
14575000.00000000
PA
USD
13809929.10000000
0.042772964960
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
1.00000000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-3
N/A
GMCAR 2019-3 A3
36257PAD0
14175901.81000000
PA
USD
14361000.81000000
0.044479778281
Long
ABS-CBDO
CORP
US
N
2
2024-04-16
Fixed
2.18000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AJ3305
36182XU66
301830.68000000
PA
USD
319959.26000000
0.000990997572
Long
ABS-MBS
USGA
US
N
2
2044-11-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 781107
36225BGQ5
12265.18000000
PA
USD
14313.05000000
0.000044331262
Long
ABS-MBS
USGA
US
N
2
2029-10-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM2486
3140X5XQ1
36044231.72000000
PA
USD
41214373.06000000
0.127651700599
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G02929
3128M4SS3
69968.06000000
PA
USD
81185.65000000
0.000251453207
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH0057
3138A1B34
13376.02000000
PA
USD
14846.96000000
0.000045984921
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3035
36179RLQ0
59150.80000000
PA
USD
64897.60000000
0.000201004853
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A87576
312934MZ2
20240.28000000
PA
USD
22844.44000000
0.000070755209
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E02920
31294MG54
123519.48000000
PA
USD
131173.12000000
0.000406277485
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH3245
3140GRTB0
3837426.66000000
PA
USD
4189946.49000000
0.012977360934
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2018-C47
549300VHRKFNCWVN9Y77
WFCM 2018-C47 A4
95002DBG3
870000.00000000
PA
USD
996471.90000000
0.003086334285
Long
ABS-MBS
CORP
US
N
2
2061-09-15
Fixed
4.44200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY8439
3138YNLV7
958624.91000000
PA
USD
1003368.34000000
0.003107694365
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD6987
31418UXR0
1513033.25000000
PA
USD
1695936.73000000
0.005252759938
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-B
N/A
NAROT 2020-B A3
65479CAD0
23110000.00000000
PA
USD
23183434.34000000
0.071805164060
Long
ABS-CBDO
CORP
US
N
2
2024-07-15
Fixed
0.55000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4085
36202ERE1
214083.94000000
PA
USD
244909.63000000
0.000758549225
Long
ABS-MBS
USGA
US
N
2
2038-02-20
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 754438
36230N4X0
62574.23000000
PA
USD
71726.57000000
0.000222155960
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
4.50000000
N
N
N
N
N
N
Huntington National Bank/The
2WHM8VNJH63UN14OL754
HUNTINGTON NATL
44644AAB3
3685000.00000000
PA
USD
3786470.16000000
0.011727689136
Long
DBT
CORP
US
N
2
2022-08-07
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4310
3140QBYG7
6364600.04000000
PA
USD
6657323.27000000
0.020619472619
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06062
3128M8B78
306351.07000000
PA
USD
340364.22000000
0.001054197074
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MCA6
23595000.00000000
PA
USD
23550641.40000000
0.072942500436
Long
DBT
CORP
JP
N
2
2025-07-08
Fixed
1.47400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5866
36179UQT2
361942.01000000
PA
USD
378884.26000000
0.001173503720
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14336
3128MDBD4
76001.75000000
PA
USD
80877.64000000
0.000250499219
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 913927
31411SLG9
10640.21000000
PA
USD
12228.43000000
0.000037874648
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5191
36179TXU4
251300.40000000
PA
USD
267432.55000000
0.000828308603
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
3.50000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BA1
18655000.00000000
PA
USD
19980941.44000000
0.061886205345
Long
DBT
CORP
JP
N
2
2023-07-26
Fixed
3.76100000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GWJ9
10600000.00000000
PA
USD
10876077.00000000
0.033686057116
Long
DBT
CORP
US
N
2
2023-06-05
Variable
2.90800000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-A
N/A
TAOT 2020-A A4
89232HAD7
6600000.00000000
PA
USD
6776919.60000000
0.020989893756
Long
ABS-CBDO
CORP
US
N
2
2025-05-15
Fixed
1.68000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2 5/21
01F020455
162000000.00000000
PA
USD
166031013.60000000
0.514241505200
Long
ABS-MBS
USGSE
US
N
2
2021-05-18
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3536
31418C4W1
51582709.18500000
PA
USD
55503253.00000000
0.171908101669
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.00000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
085209AG9
15000000.00000000
PA
USD
14640915.00000000
0.045346745790
Long
DBT
NUSS
BM
Y
2
2030-08-20
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ3756
3138YVE62
1316179.21000000
PA
USD
1419081.92000000
0.004395268129
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAU4
16022000.00000000
PA
USD
16537155.37000000
0.051219898528
Long
DBT
CORP
JP
N
2
2022-10-18
Fixed
2.77800000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38148LAC0
5675000.00000000
PA
USD
6122235.40000000
0.018962165435
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO8525
3140K4PK0
13743295.49000000
PA
USD
14383161.34000000
0.044548415242
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2013-LC12
549300V2DF3KW9L1CV04
WFCM 2013-LC12 A4
94988QAG6
314600.00000000
PA
USD
336096.62000000
0.001040979200
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
4.21800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO5964
3140K1TW6
2926760.08000000
PA
USD
3063027.98000000
0.009486999354
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 793187
31405MF44
51.81000000
PA
USD
60.96000000
0.000000188809
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS IN
718172CP2
5000000.00000000
PA
USD
4820195.00000000
0.014929405527
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.10000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAX9
500000000.00000000
PA
USD
499921900.00000000
1.548388971220
Long
DBT
UST
US
N
2
2022-11-30
Fixed
0.12500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A39972
31297WCH7
43801.59000000
PA
USD
50405.71000000
0.000156119676
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BM0
13015000.00000000
PA
USD
13549213.69000000
0.041965461097
Long
DBT
CORP
GB
N
2
2023-11-22
Variable
3.03300000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH9924
3140H0A28
5099212.06000000
PA
USD
5512039.17000000
0.017072228001
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91211
3128P7KY8
24147.31000000
PA
USD
27383.27000000
0.000084813154
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889280
31410G6R9
340.16000000
PA
USD
349.77000000
0.000001083329
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.00000000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp
4NYF266XZC35SCTGX023
NATL RURAL UTIL
637432NJ0
3375000.00000000
PA
USD
3495524.63000000
0.010826554679
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4610
3140QCDQ6
50832604.43000000
PA
USD
52733662.50000000
0.163329954993
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_20-B
N/A
WOART 2020-B A4
98163WAD8
7580000.00000000
PA
USD
7639998.73000000
0.023663075719
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
0.82000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 644678
36292CFT6
68181.38000000
PA
USD
76316.10000000
0.000236370936
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A59983
3128KPCU0
51209.00000000
PA
USD
57386.55000000
0.000177741165
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust 2011-C2
N/A
CFCRE 2011-C2 AJ
12527DAC4
2298152.00000000
PA
USD
2325867.71000000
0.007203821058
Long
ABS-MBS
CORP
US
Y
2
2047-12-15
Variable
5.73950000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_18-1
N/A
VALET 2018-1 A4
92868LAE1
5610000.00000000
PA
USD
5726941.57000000
0.017737836981
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
3.15000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_20-3
N/A
AMCAR 2020-3 A3
03066PAC3
6130000.00000000
PA
USD
6138878.08000000
0.019013712171
Long
ABS-CBDO
CORP
US
N
2
2025-06-18
Fixed
0.53000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 676489
36295PRJ3
2835.04000000
PA
USD
3194.51000000
0.000009894233
Long
ABS-MBS
USGA
US
N
2
2037-12-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB6308
31417DAJ2
2865863.05000000
PA
USD
3036125.69000000
0.009403675921
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD7964
31418VZ62
1077.85000000
PA
USD
1136.16000000
0.000003518984
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 891744
31410MWD8
47433.00000000
PA
USD
55332.90000000
0.000171380473
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
BURLINGTON NORTH
12189LAR2
1265000.00000000
PA
USD
1370475.70000000
0.004244721943
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 975127
31414SYY3
20873.86000000
PA
USD
23689.72000000
0.000073373263
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
Nestle Holdings Inc
549300EAEU8YV8MQXP30
NESTLE HOLDINGS
641062AS3
16825000.00000000
PA
USD
16127149.48000000
0.049950002974
Long
DBT
CORP
US
Y
2
2027-09-15
Fixed
1.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 749375
3620C5Q42
122150.92000000
PA
USD
139626.58000000
0.000432460063
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.50000000
N
N
N
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
MERCK & CO INC
58933YAX3
25000000.00000000
PA
USD
27550425.00000000
0.085330877127
Long
DBT
CORP
US
N
2
2029-03-07
Fixed
3.40000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 656039
36294PZC0
110815.44000000
PA
USD
130080.70000000
0.000402893974
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_18-3
N/A
CARMX 2018-3 A4
14313FAE9
4300000.00000000
PA
USD
4461741.49000000
0.013819181187
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
3.27000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 3852
36202EH51
143756.01000000
PA
USD
166488.09000000
0.000515657190
Long
ABS-MBS
USGA
US
N
2
2036-05-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A87434
312934HK1
68417.13000000
PA
USD
78587.47000000
0.000243405963
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E04113
31294NSA8
1286887.51000000
PA
USD
1349152.79000000
0.004178679310
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
2.50000000
N
N
N
N
N
N
CDP Financial Inc
549300OXMGVYFCBFV096
CDP FINANCIAL
N/A
20000000.00000000
PA
USD
21669550.00000000
0.067116268023
Long
DBT
NUSS
CA
N
2
2024-07-24
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A73397
3128L6X20
2467.49000000
PA
USD
2909.68000000
0.000009012040
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_19-1
N/A
FORDF 2019-1 A
34528QGS7
14900000.00000000
PA
USD
15252683.00000000
0.047241551407
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
2.84000000
N
N
N
N
N
N
Walt Disney Co/The
549300GZKULIZ0WOW665
WALT DISNEY CO
254687DK9
2200000.00000000
PA
USD
2409083.60000000
0.007461562450
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
3.37500000
N
N
N
N
N
N
Georgia-Pacific LLC
L2EVHWFHVAQK72TMH265
GEORGIA-PACIFIC
37331NAN1
50855000.00000000
PA
USD
49251745.27000000
0.152545545993
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
0.95000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 932359
31412QZY8
262139.16000000
PA
USD
276879.19000000
0.000857567320
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AO3007
3138LTKV9
172345.29000000
PA
USD
184423.97000000
0.000571209305
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13685
3128MCJ63
7843.02000000
PA
USD
8232.70000000
0.000025498826
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782716
36241LAR7
188956.53000000
PA
USD
213950.72000000
0.000662661378
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2020-GC45
N/A
GSMS 2020-GC45 AAB
36258YBH0
5550000.00000000
PA
USD
5913691.50000000
0.018316250393
Long
ABS-MBS
CORP
US
N
2
2053-02-13
Fixed
2.84280000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 564220
36213TYR8
2028.82000000
PA
USD
2410.80000000
0.000007466878
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4802
36202FKP0
25326.61000000
PA
USD
28633.52000000
0.000088685505
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783202
36241LRX6
21078.24000000
PA
USD
24022.50000000
0.000074403970
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
4.50000000
N
N
N
N
N
N
Malaysia Sovereign Sukuk Bhd
N/A
MALAYSIA SOVEREI
N/A
510000.00000000
PA
USD
544893.49000000
0.001687677756
Long
DBT
CORP
MY
N
2
2025-04-22
Fixed
3.04300000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782495
36241KXY9
59582.14000000
PA
USD
69136.80000000
0.000214134765
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
5.50000000
N
N
N
N
N
N
Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXP-IMP BK KOREA
302154BY4
10000000.00000000
PA
USD
10886250.00000000
0.033717565559
Long
DBT
NUSS
KR
N
2
2025-11-10
Fixed
3.25000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR6089
3617M4XS9
3692894.50000000
PA
USD
3799245.80000000
0.011767258637
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.00000000
N
N
N
N
N
N
Temasek Financial I Ltd
549300XMGMDF3VRJMF12
TEMASEK FINL I
87973PAE4
20000000.00000000
PA
USD
22228880.00000000
0.068848659429
Long
DBT
CORP
SG
Y
2
2028-08-01
Fixed
3.62500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 3 5/21
21H030658
-132000000.00000000
PA
USD
-137527500.00000000
-0.42595866322
Short
ABS-MBS
USGA
US
N
2
2051-05-01
Fixed
3.00000000
N
N
N
N
N
N
BMW US Capital LLC
KK5MZM9DIXLXZL9DZL15
BMW US CAP LLC
05565EBQ7
10000000.00000000
PA
USD
9988080.00000000
0.030935697987
Long
DBT
CORP
US
Y
2
2024-04-01
Fixed
0.80000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14572
3128MDJR5
16384.02000000
PA
USD
17320.93000000
0.000053647453
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC8900
3140F43J3
151596.61000000
PA
USD
166032.67000000
0.000514246635
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT9667
3138WXW52
292372.55000000
PA
USD
317640.44000000
0.000983815580
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 748784
3620C42R0
78933.15000000
PA
USD
89378.56000000
0.000276828793
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
4.50000000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST JDOT_19-B
N/A
JDOT 2019-B A3
477870AC3
8955675.54000000
PA
USD
9070745.22000000
0.028094472075
Long
ABS-CBDO
CORP
US
N
2
2023-12-15
Fixed
2.21000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3597
36179R7J2
52973.62000000
PA
USD
56778.16000000
0.000175856822
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
HOME DEPOT INC
437076BY7
21000000.00000000
PA
USD
22194018.00000000
0.068740682691
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
2.95000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 618133
36290UV29
10171.63000000
PA
USD
11605.97000000
0.000035946726
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL6159
3131XMZY4
470728.28000000
PA
USD
516159.63000000
0.001598681471
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 954857
31413TJA1
44543.16000000
PA
USD
51332.65000000
0.000158990652
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA1151
31416JH53
274.33000000
PA
USD
284.82000000
0.000000882162
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 735925
31402RSN0
439366.26000000
PA
USD
503660.35000000
0.001559967929
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA-BG
91412HGG2
34665000.00000000
PA
USD
33071876.33000000
0.102432257052
Long
DBT
MUN
US
N
2
2030-05-15
Fixed
1.61400000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G12522
3128MBAX5
660.17000000
PA
USD
669.05000000
0.000002072222
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A24438
31297B4X7
42928.68000000
PA
USD
50326.57000000
0.000155874559
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCQ9
16780000.00000000
PA
USD
16750735.68000000
0.051881412650
Long
DBT
CORP
CA
N
2
2024-03-04
Fixed
0.55000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5192
36179TXV2
431812.39000000
PA
USD
461610.12000000
0.001429727361
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q25885
3132M6F21
33713.27000000
PA
USD
37227.75000000
0.000115304085
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T65489
31323AC26
46630.53000000
PA
USD
48846.46000000
0.000151290271
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC7500
3140F3KN7
460838.96000000
PA
USD
502021.83000000
0.001554893004
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5978
36179UUB6
524881.61000000
PA
USD
545770.85000000
0.001690395169
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q39051
3132QWBV0
274690.44000000
PA
USD
301890.48000000
0.000935033831
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE3826
3140FPHC6
18849.39000000
PA
USD
19781.33000000
0.000061267956
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH1508
3138A2VA4
1115494.34000000
PA
USD
1250037.35000000
0.003871692851
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AD5625
36180HHA9
118663.80000000
PA
USD
130361.01000000
0.000403762167
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 253397
31371JNN0
3305.10000000
PA
USD
3858.77000000
0.000011951620
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
7.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6080
36179UXH0
19384157.05000000
PA
USD
19798070.83000000
0.061319807203
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8461
3138WJMK1
1954228.24000000
PA
USD
2073690.60000000
0.006422762545
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE8807
31419KYD1
24481.92000000
PA
USD
25636.09000000
0.000079401680
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB1808
31416XAJ9
15293090.63000000
PA
USD
17126060.83000000
0.053043892875
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL2589
36183X2W9
9644.06000000
PA
USD
10339.23000000
0.000032023301
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL5369
3138EM6F3
285.26000000
PA
USD
310.35000000
0.000000961235
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
Benchmark 2019-B15 Mortgage Trust
N/A
BMARK 2019-B15 AAB
08160KAF1
5250000.00000000
PA
USD
5573610.00000000
0.017262928977
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
2.85900000
N
N
N
N
N
N
GlaxoSmithKline Capital PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE
377373AG0
21524000.00000000
PA
USD
22981024.13000000
0.071178246662
Long
DBT
CORP
GB
N
2
2024-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM4036
3140J8PW7
1940450.20000000
PA
USD
2036388.58000000
0.006307228425
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2960
31418CJE5
540608.53000000
PA
USD
584374.20000000
0.001809959848
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH2793
3138A4C78
49674.95000000
PA
USD
52441.66000000
0.000162425546
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889253
31410G5N9
536228.26000000
PA
USD
601671.54000000
0.001863534237
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
064159TE6
16365000.00000000
PA
USD
16812828.23000000
0.052073729529
Long
DBT
CORP
CA
N
2
2023-02-01
Fixed
1.95000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A59940
3128KPBH0
18083.62000000
PA
USD
20550.81000000
0.000063651237
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
TOYOTA AUTO LOAN EXTENDED NOTE TRUST TALNT_20-1
N/A
TALNT 2021-1A A
89237MAA7
23810000.00000000
PA
USD
23642422.84000000
0.073226771578
Long
ABS-CBDO
CORP
US
Y
2
2034-02-27
Fixed
1.07000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4561
36202FB62
292428.96000000
PA
USD
331365.14000000
0.001026324568
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA7370
31416RFL2
66.32000000
PA
USD
66.91000000
0.000000207237
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
4.50000000
N
N
N
N
N
N
Kuwait International Government Bond
N/A
KUWAIT INTL BOND
N/A
4740000.00000000
PA
USD
4845661.71000000
0.015008282593
Long
DBT
NUSS
KW
N
2
2022-03-20
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA6053
31416PWP8
36961.61000000
PA
USD
43577.67000000
0.000134971449
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 666776
36295CXD8
174.58000000
PA
USD
193.92000000
0.000000600620
Long
ABS-MBS
USGA
US
N
2
2037-07-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12604
3128PR3M9
77796.64000000
PA
USD
82531.46000000
0.000255621532
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
Sinopec Group Overseas Development 2015 Ltd
5299002Z28NLP3WPFH36
SINOPEC GRP OVER
N/A
304000.00000000
PA
USD
322521.96000000
0.000998934925
Long
DBT
CORP
VG
N
2
2025-04-28
Fixed
3.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 733627
3620AMA44
6135.79000000
PA
USD
7079.34000000
0.000021926568
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 737111
3620AQ3U5
663021.56000000
PA
USD
750192.39000000
0.002323542183
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
4.50000000
N
N
N
N
N
N
Kimberly-Clark Corp
MP3J6QPYPGN75NVW2S34
KIMBERLY-CLARK
494368CB7
10507000.00000000
PA
USD
11313086.53000000
0.035039590010
Long
DBT
CORP
US
N
2
2030-03-26
Fixed
3.10000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 636292
36291R2Z4
1962.21000000
PA
USD
2201.68000000
0.000006819179
Long
ABS-MBS
USGA
US
N
2
2035-04-15
Fixed
5.00000000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_20-2
N/A
GFORT 2020-2 A
361886CM4
13590000.00000000
PA
USD
13629325.38000000
0.042213587969
Long
ABS-CBDO
CORP
US
Y
2
2025-10-15
Fixed
0.69000000
N
N
N
N
N
N
Allstate Corp/The
OBT0W1ED8G0NWVOLOJ77
ALLSTATE CORP
020002BJ9
18000000.00000000
PA
USD
16450830.00000000
0.050952526263
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
1.45000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 687924
36296DG93
11406.95000000
PA
USD
12868.75000000
0.000039857886
Long
ABS-MBS
USGA
US
N
2
2038-09-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A40375
3128K0MY6
81867.62000000
PA
USD
93527.45000000
0.000289678992
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995695
31416CC87
58400.97000000
PA
USD
67547.22000000
0.000209211419
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 705381
36296YUE0
4198.74000000
PA
USD
4759.59000000
0.000014741695
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
5.00000000
N
N
N
N
N
N
Israel Government International Bond
N/A
STATE OF ISRAEL
46513JB34
11864000.00000000
PA
USD
12394759.77000000
0.038389815146
Long
DBT
NUSS
IL
N
2
2030-07-03
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 253398
31371JNP5
3226.38000000
PA
USD
3811.49000000
0.000011805182
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
8.00000000
N
N
N
N
N
N
MDGH - GMTN BV
213800L53ZH5KG593W13
MDGH - GMTN BV
N/A
624000.00000000
PA
USD
653764.80000000
0.002024880698
Long
DBT
CORP
NL
N
2
2024-11-07
Fixed
2.50000000
N
N
N
N
N
N
GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_19-2
N/A
GFORT 2019-2 A
361886CD4
27600000.00000000
PA
USD
29371809.60000000
0.090972181953
Long
ABS-CBDO
CORP
US
Y
2
2026-04-15
Fixed
2.90000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4245
36202EWE5
958156.80000000
PA
USD
1121001.30000000
0.003472034431
Long
ABS-MBS
USGA
US
N
2
2038-09-20
Fixed
6.00000000
N
N
N
N
N
N
FIRSTKEY HOMES FKH_20-SFR2
N/A
FKH 2020-SFR2 A
33767JAA0
2594261.54000000
PA
USD
2563312.00000000
0.007939248171
Long
ABS-CBDO
CORP
US
Y
2
2037-10-19
Fixed
1.26600000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ5154
3617LPWP0
8815898.67000000
PA
USD
9194995.54000000
0.028479307837
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782105
36241KKS6
5150.17000000
PA
USD
5930.60000000
0.000018368620
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18334
3128MMLQ4
59801.14000000
PA
USD
63135.31000000
0.000195546579
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 656202
36294QAB7
33843.53000000
PA
USD
39375.49000000
0.000121956198
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 256376
31371MXD4
1513.70000000
PA
USD
1577.18000000
0.000004884939
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698235
36296QV48
1120.17000000
PA
USD
1286.23000000
0.000003983790
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE5015
3133N2SC1
29228855.15000000
PA
USD
30329327.39000000
0.093937865164
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 988476
31415TCM0
1199.26000000
PA
USD
1411.04000000
0.000004370360
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J33880
31307QJZ1
6191602.22000000
PA
USD
6568644.17000000
0.020344810236
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
3.00000000
N
N
N
N
N
N
Pepper Residential Securities Trust No. 22
N/A
PEPAU 22A A1U
71338AAA9
3765172.14080000
PA
USD
3761295.14000000
0.011649715510
Long
ABS-MBS
CORP
AU
Y
2
2060-06-20
Floating
1.11090000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 910252
31411KH55
86939.15000000
PA
USD
98551.00000000
0.000305238241
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18506
3128MMR47
101876.20000000
PA
USD
108939.51000000
0.000337414175
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4835 Z
3137FHRW5
12029964.27000000
PA
USD
12612455.14000000
0.039064074686
Long
ABS-MBS
USGSE
US
N
2
2048-10-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 723863
31402BFC3
30333.14000000
PA
USD
33850.72000000
0.000104844539
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
4.50000000
N
N
N
N
N
N
ConocoPhillips Co
6VJJ5GQWIRDQ06DUXG89
CONOCOPHIL CO
20826FAQ9
41760000.00000000
PA
USD
48309012.00000000
0.149625654309
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
4.95000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR SE9006
3133SKAF8
7681534.38000000
PA
USD
8053471.20000000
0.024943708179
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT5895
3138WTRR9
83917.16000000
PA
USD
88864.75000000
0.000275237389
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS3417
3138WCYP2
3108.25000000
PA
USD
3450.48000000
0.000010687039
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
5.00000000
N
N
N
N
N
N
Resimac MBS Trust
N/A
RESI 2018-2A A1A
76119TAA2
1986189.11790000
PA
USD
1985070.50000000
0.006148282900
Long
ABS-MBS
CORP
AU
Y
2
2050-04-10
Floating
0.95600000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0741
31417YZF7
333.40000000
PA
USD
333.40000000
0.000001032627
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Z40042
3132FCBK0
4713064.30000000
PA
USD
5295410.52000000
0.016401272373
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 724254
3620AATK4
42448.65000000
PA
USD
47615.28000000
0.000147476984
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 931193
31412PRN3
18008.67000000
PA
USD
18865.73000000
0.000058432103
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL6248
3131XM5H4
990160.64000000
PA
USD
1083394.76000000
0.003355557133
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2017-C38
N/A
WFCM 2017-C38 A5
95001MAF7
1285000.00000000
PA
USD
1401562.35000000
0.004341005435
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.45300000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 643322
36292AVP0
33230.16000000
PA
USD
38232.96000000
0.000118417484
Long
ABS-MBS
USGA
US
N
2
2035-08-15
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
SCDS: (CHILE)
N/A
-10860000.00000000
NC
USD
226561.32000000
0.000701719707
N/A
DCR
N/A
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
N/A
CHILE
Y
Payout of notional amount upon default event with regard to reference instrument
2026-06-20
224828.24000000
USD
0.00000000
USD
-10860000.00000000
USD
1733.08000000
N
N
N
BMW VEHICLE OWNER TRUST BMWOT_19-A
N/A
BMWOT 2019-A A3
05588CAC6
23707420.88000000
PA
USD
23974430.45000000
0.074255086044
Long
ABS-CBDO
CORP
US
N
2
2024-01-25
Fixed
1.92000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2019-L3
N/A
MSC 2019-L3 A4
61691UBE8
13640000.00000000
PA
USD
14404522.00000000
0.044614574797
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.12700000
N
N
N
N
N
N
USAA Capital Corp
5493007XLF4LU3U2W757
USAA CAP CORP
90327QD55
2400000.00000000
PA
USD
2351784.00000000
0.007284090591
Long
DBT
CORP
US
Y
2
2030-05-01
Fixed
2.12500000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_18-A
N/A
SOFI 2018-A A2B
83406EAC9
96559.43000000
PA
USD
99174.80000000
0.000307170313
Long
ABS-CBDO
CORP
US
Y
2
2042-02-25
Fixed
2.95000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 764519
36176FDY1
117868.13000000
PA
USD
134752.63000000
0.000417364164
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6147
36179UZL9
4746876.73000000
PA
USD
5007524.41000000
0.015509613740
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
4.50000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2012-C9
N/A
WFRBS 2012-C9 A3
92930RBB7
1239487.65470000
PA
USD
1272891.85000000
0.003942479219
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Fixed
2.87000000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_18-2
N/A
CPART 2018-2A A4
13646AAE0
2630000.00000000
PA
USD
2692879.09000000
0.008340551361
Long
ABS-CBDO
CORP
CA
Y
2
2023-08-21
Fixed
3.44000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 950326
31413NHB4
466.37000000
PA
USD
565.83000000
0.000001752523
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 254793
31371K7E5
174971.82000000
PA
USD
199815.44000000
0.000618880716
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 602190
36200H7B4
10530.53000000
PA
USD
11722.43000000
0.000036307433
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBF2
13250000.00000000
PA
USD
13744410.50000000
0.042570036707
Long
DBT
CORP
US
N
2
2025-10-15
Variable
2.30100000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01563
31283HWY7
663973.80000000
PA
USD
742987.88000000
0.002301227930
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CM9
13330000.00000000
PA
USD
13069945.03000000
0.040481040616
Long
DBT
CORP
GB
N
2
2027-05-24
Variable
1.58900000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A46671
3128K7MU9
705.91000000
PA
USD
803.83000000
0.000002489671
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB7568
31417EMS7
1502388.34000000
PA
USD
1605888.77000000
0.004973857837
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC9667
3140F5W58
30372.26000000
PA
USD
31427.02000000
0.000097337706
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
2.50000000
N
N
N
N
N
N
Lanark Master Issuer PLC
213800KIOPB5OYXIVY33
LAN 2020-1A 1A
513770BE6
1550000.00000000
PA
USD
1584960.41000000
0.004909037228
Long
ABS-MBS
CORP
GB
Y
2
2069-12-22
Variable
2.27700000
N
N
N
N
N
N
CD 2016-CD1 Mortgage Trust
N/A
CD 2016-CD1 A4
12514MBC8
2710000.00000000
PA
USD
2862003.90000000
0.008864375164
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
2.72400000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_19-1
N/A
ALLYA 2019-1 A4
02004WAD3
4910000.00000000
PA
USD
5088146.58000000
0.015759321702
Long
ABS-CBDO
CORP
US
N
2
2024-04-15
Fixed
3.02000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J14062
3128PTQP3
8656.31000000
PA
USD
9256.08000000
0.000028668502
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH3260
3140GRTS3
1499500.05000000
PA
USD
1637250.27000000
0.005070992611
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 721354
31401XMB0
66825.40000000
PA
USD
69188.21000000
0.000214293995
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Floating
2.70600000
N
N
N
N
N
N
BANK 2019-BNK23
N/A
BANK 2019-BN23 A3
06541RBB8
11780000.00000000
PA
USD
12316225.60000000
0.038146574267
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
2.92000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G30409
3128CUN28
13649.17000000
PA
USD
15743.95000000
0.000048763133
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 609137
36202TV60
2198633.86000000
PA
USD
2308725.61000000
0.007150727487
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Fixed
3.00000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS IN
718172CN7
10000000.00000000
PA
USD
10112110.00000000
0.031319851360
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
1.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
9128282R0
88000000.00000000
PA
USD
93266254.40000000
0.288870000894
Long
DBT
UST
US
N
2
2027-08-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS1622
3138WAYU5
96717.62000000
PA
USD
101962.23000000
0.000315803713
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.00000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC FINANCIAL
693475AL9
1335000.00000000
PA
USD
1386175.89000000
0.004293349541
Long
DBT
CORP
US
N
2
2022-11-09
Variable
2.85400000
N
N
N
N
N
N
GS Mortgage Securities Trust 2019-GC40
N/A
GSMS 2019-GC40 A4
36257HBP0
1170000.00000000
PA
USD
1246295.70000000
0.003860103981
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Fixed
3.16000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 605525
36200NVS7
7469.30000000
PA
USD
8011.16000000
0.000024812659
Long
ABS-MBS
USGA
US
N
2
2034-10-15
Fixed
6.50000000
N
N
N
N
N
N
COMM 2013-CCRE9 Mortgage Trust
549300C72XVZH4MIKU63
COMM 2013-CR9 A4
12625UBF9
1946904.00000000
PA
USD
2079799.67000000
0.006441683933
Long
ABS-MBS
CORP
US
N
2
2045-07-10
Variable
4.21870000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-24 HL
38380VBE0
11761495.81000000
PA
USD
12185615.35000000
0.037742040137
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2805
31418CDK7
102251.19000000
PA
USD
105802.26000000
0.000327697291
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BJ6294
3140H77G6
840532.94000000
PA
USD
862604.91000000
0.002671713179
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3310
36179RVB2
2412400.70000000
PA
USD
2598625.97000000
0.008048624779
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH3431
3138A4Y58
203029.30000000
PA
USD
214740.98000000
0.000665109020
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 685484
36296ARD8
10.07000000
PA
USD
11.91000000
0.000000036888
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA6826
31416QSQ9
12922.82000000
PA
USD
13365.60000000
0.000041396761
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
5.00000000
N
N
N
N
N
N
Five Corners Funding Trust
N/A
FIVE COR FND TRS
33829TAA4
15000000.00000000
PA
USD
16443030.00000000
0.050928367621
Long
DBT
CORP
US
Y
2
2023-11-15
Fixed
4.41900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995899
31416CKL9
141901.23000000
PA
USD
163634.55000000
0.000506819030
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2073
36179QJS1
201984.74000000
PA
USD
218982.02000000
0.000678244631
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
3.50000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RAB
74977RDF8
5990000.00000000
PA
USD
6320162.81000000
0.019575198428
Long
DBT
CORP
NL
Y
2
2024-07-22
Fixed
2.62500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5116
36202FVH6
865378.68000000
PA
USD
956992.69000000
0.002964056839
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM1792
3140J57E3
20236722.76000000
PA
USD
21481963.19000000
0.066535262575
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 555109
36213HVA4
6777.43000000
PA
USD
7397.47000000
0.000022911900
Long
ABS-MBS
USGA
US
N
2
2031-08-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH8184
3140GXCW9
13854080.97000000
PA
USD
14709341.88000000
0.045558681747
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
ERP Operating LP
DX5HQV5MLU50FEWZ5072
ERP OPERATING LP
26884ABM4
1500000.00000000
PA
USD
1501255.50000000
0.004649781214
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.50000000
N
N
N
N
N
N
COMM 2013-CCRE8 Mortgage Trust
549300NGGFIEJ2ER3D22
COMM 2013-CR8 A5
12625KAE5
10000.00000000
PA
USD
10557.20000000
0.000032698411
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Variable
3.61200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE2267
31419CQV8
22600.11000000
PA
USD
25805.22000000
0.000079925520
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT8117
36194HAS1
580035.02000000
PA
USD
636301.43000000
0.001970792070
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GGF0
37156000.00000000
PA
USD
40730109.95000000
0.126151810999
Long
DBT
CORP
US
N
2
2028-01-20
Variable
3.82400000
N
N
N
N
N
N
BMW US Capital LLC
KK5MZM9DIXLXZL9DZL15
BMW US CAP LLC
05565EBC8
14100000.00000000
PA
USD
14260274.70000000
0.044167803154
Long
DBT
CORP
US
Y
2
2021-08-13
Fixed
3.40000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_16-2
N/A
NAVSL 2016-2A A2
63940FAB3
431748.18230000
PA
USD
433069.98000000
0.001341331077
Long
ABS-CBDO
CORP
US
Y
2
2065-06-25
Floating
1.15860000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08595
3128MJUV0
196540.31000000
PA
USD
216441.73000000
0.000670376688
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 510403
36211EAC2
8654.84000000
PA
USD
9815.70000000
0.000030401792
Long
ABS-MBS
USGA
US
N
2
2035-01-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01381
31283HRA5
79139.65000000
PA
USD
90242.67000000
0.000279505168
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4700 KZ
3137F1SB5
11139851.85000000
PA
USD
11960190.54000000
0.037043840499
Long
ABS-MBS
USGSE
US
N
2
2047-07-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 781561
36225BWW4
12332.83000000
PA
USD
14194.68000000
0.000043964639
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AX8000
3138Y93J5
284448.88000000
PA
USD
320039.75000000
0.000991246871
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.50000000
N
N
N
N
N
N
NTT Finance Corp
3538007PR116187GD960
NTT FINANCE
62954WAE5
4335000.00000000
PA
USD
4266979.52000000
0.013215952390
Long
DBT
CORP
JP
Y
2
2031-04-03
Fixed
2.06500000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
TRUIST BANK
89788JAA7
7500000.00000000
PA
USD
7599982.50000000
0.023539134981
Long
DBT
CORP
US
N
2
2025-03-10
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12293
3128PRRN1
15372.33000000
PA
USD
16244.35000000
0.000050313003
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q02606
3132GF3P0
359990.55000000
PA
USD
401161.48000000
0.001242502101
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
5.00000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_18-4
N/A
GMCAR 2018-4 A4
38013FAE1
8450000.00000000
PA
USD
8792746.37000000
0.027233436874
Long
ABS-CBDO
CORP
US
N
2
2024-06-17
Fixed
3.32000000
N
N
N
N
N
N
Korea Development Bank/The
549300ML2LNRZUCS7149
KOREA DEV BANK
50065TAC7
605000.00000000
PA
USD
620808.05000000
0.001922805017
Long
DBT
NUSS
KR
N
2
2021-11-16
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 845488
31408AJ92
150.71000000
PA
USD
151.02000000
0.000000467748
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
5.00000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122CN6
33439000.00000000
PA
USD
36340267.96000000
0.112555321382
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
Honeywell International Inc
ISRPG12PN4EIEOEMW547
HONEYWELL INTL
438516BZ8
22500000.00000000
PA
USD
22139572.50000000
0.068572050727
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
1.95000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-A
N/A
FORDO 2020-A A3
34528GAK2
7830000.00000000
PA
USD
7902932.54000000
0.024477450548
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
1.04000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A93505
3129413N5
39974.68000000
PA
USD
44386.41000000
0.000137476329
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 942589
31413DUN5
17341.83000000
PA
USD
17574.09000000
0.000054431556
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
6.00000000
N
N
N
N
N
N
NTT Finance Corp
3538007PR116187GD960
NTT FINANCE
62954WAC9
34635000.00000000
PA
USD
34034671.55000000
0.105414285845
Long
DBT
CORP
JP
Y
2
2026-04-03
Fixed
1.16200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH5275
3140GT2H2
14308269.08000000
PA
USD
15466670.84000000
0.047904327756
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 985612
31415P3V8
56752.83000000
PA
USD
66409.88000000
0.000205688780
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.50000000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST KCOT_20-2
N/A
KCOT 2020-2A A4
50116YAD3
3000000.00000000
PA
USD
2998161.30000000
0.009286090269
Long
ABS-CBDO
CORP
US
Y
2
2026-06-15
Fixed
0.73000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AD6
427000.00000000
PA
USD
471236.77000000
0.001459543615
Long
DBT
CORP
JP
N
2
2026-03-01
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL9862
3138ER5Y2
9536767.49000000
PA
USD
10090303.41000000
0.031252310643
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Public Service Electric and Gas Co
549300RUHPVD434XUK18
PUBLIC SERVICE
74456QBR6
5000000.00000000
PA
USD
5248980.00000000
0.016257464900
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
2.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 704170
36296XJP0
27511.22000000
PA
USD
30488.81000000
0.000094431824
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
5.50000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_20-A
N/A
HALST 2020-A A3
44935SAC0
8260000.00000000
PA
USD
8371337.37000000
0.025928222904
Long
ABS-CBDO
CORP
US
Y
2
2023-07-17
Fixed
1.95000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 888873
31410GQ22
1388.44000000
PA
USD
1606.42000000
0.000004975503
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BK5246
3140HJZL8
1781289.81000000
PA
USD
1956582.98000000
0.006060049594
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD7992
31418V3A8
4723.06000000
PA
USD
5244.59000000
0.000016243867
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 687179
36296CM49
77014.44000000
PA
USD
86472.83000000
0.000267828987
Long
ABS-MBS
USGA
US
N
2
2038-04-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 553138
36213FPX5
47133.70000000
PA
USD
55525.38000000
0.000171976634
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AJ2972
3138AUJS7
43963.88000000
PA
USD
46141.60000000
0.000142912612
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM4655
3140J9E56
1639833.43000000
PA
USD
1740561.67000000
0.005390975057
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
COMM 2013-CCRE9 Mortgage Trust
549300C72XVZH4MIKU63
COMM 2013-CR9 AM
12625UAC7
2331000.00000000
PA
USD
2438598.96000000
0.007552979245
Long
ABS-MBS
CORP
US
Y
2
2045-07-10
Variable
4.24250000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC19
N/A
CGCMT 2014-GC19 A4
17322AAD4
8709000.00000000
PA
USD
9400059.15000000
0.029114443509
Long
ABS-MBS
CORP
US
N
2
2047-03-10
Fixed
4.02300000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C38532
31294FPR1
1974.42000000
PA
USD
2204.16000000
0.000006826860
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08864
3128MJ6A3
502706.37000000
PA
USD
556016.12000000
0.001722127452
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB2801
31416YDF2
358263.55000000
PA
USD
380424.44000000
0.001178274060
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 466453
36209BE20
3036.26000000
PA
USD
3422.40000000
0.000010600068
Long
ABS-MBS
USGA
US
N
2
2029-03-15
Fixed
6.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C21
N/A
JPMBB 2014-C21 A4
46642EAX4
179273.50000000
PA
USD
188826.98000000
0.000584846579
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.49270000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q07395
3132GSRQ4
230345.62000000
PA
USD
248477.81000000
0.000769600812
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13408
3128MCAH8
10095.51000000
PA
USD
10689.68000000
0.000033108736
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 252716
31371HVH8
4016.34000000
PA
USD
4517.03000000
0.000013990424
Long
ABS-MBS
USGSE
US
N
2
2029-09-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 879127
31409UVU6
16.93000000
PA
USD
16.93000000
0.000000052436
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
4.50000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust 2017-C7
N/A
UBSCM 2017-C7 A4
90276WAS6
2795000.00000000
PA
USD
3091633.35000000
0.009575597672
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
3.67900000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BK GR PLC
539439AS8
15000000.00000000
PA
USD
16179645.00000000
0.050112595339
Long
DBT
CORP
GB
N
2
2023-08-16
Fixed
4.05000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BN6105
3140JNYB0
1763234.53000000
PA
USD
1937751.02000000
0.006001722085
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BN4488
3140JL7A6
6596201.97000000
PA
USD
7225467.76000000
0.022379164808
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
Public Service Electric and Gas Co
549300RUHPVD434XUK18
PUBLIC SERVICE
74456QBS4
5430000.00000000
PA
USD
5825673.24000000
0.018043634805
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6329
36179VA67
8820465.72000000
PA
USD
8922694.92000000
0.027635921546
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18632
3128MMV26
272002.45000000
PA
USD
288338.84000000
0.000893060855
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 796386
36177RCY5
7521.06000000
PA
USD
8225.17000000
0.000025475504
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 357797
31376KNN2
46179.26000000
PA
USD
53874.44000000
0.000166863241
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.50000000
N
N
N
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
TEXAS INSTRUMENT
882508BB9
1980000.00000000
PA
USD
2095715.16000000
0.006490978371
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
2.62500000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDS8
6101000.00000000
PA
USD
6414762.23000000
0.019868197592
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
2.87500000
N
N
N
N
N
N
Federal Realty Investment Trust
549300LI6XZ51GOCJ427
FEDERAL REALTY I
313747AY3
6335000.00000000
PA
USD
6740465.34000000
0.020876985371
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.25000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAB6
4935000.00000000
PA
USD
5441498.79000000
0.016853745981
Long
DBT
CORP
US
N
2
2025-09-21
Fixed
3.79600000
N
N
N
N
N
N
Cooperatieve Rabobank UA/NY
DG3RU1DBUFHT4ZF9WN62
COOP RAB UA/NY
21688AAL6
39915000.00000000
PA
USD
41582449.13000000
0.128791728526
Long
DBT
CORP
NL
N
2
2023-01-10
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 937463
31412W5Y8
336365.51000000
PA
USD
395566.11000000
0.001225171776
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST HPEFS_20-1
N/A
HPEFS 2020-1A A3
40438FAC8
4800000.00000000
PA
USD
4853427.36000000
0.015032334844
Long
ABS-CBDO
CORP
US
Y
2
2030-02-20
Fixed
1.76000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782068
36241KJM1
55446.65000000
PA
USD
62607.08000000
0.000193910513
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C01333
31292HPS7
30090.85000000
PA
USD
34559.83000000
0.000107040839
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A73256
3128L6TM1
15387.70000000
PA
USD
18323.58000000
0.000056752923
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.50000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXZ2
25000000.00000000
PA
USD
24971000.00000000
0.077341722777
Long
DBT
CORP
US
N
2
2024-03-08
Variable
0.67300000
N
N
N
N
N
N
Fontainebleau Miami Beach Trust 2019-FBLU
N/A
FMBT 2019-FBLU A
34461LAA2
3380000.00000000
PA
USD
3553630.60000000
0.011006524076
Long
ABS-MBS
CORP
US
Y
2
2036-12-10
Fixed
3.14400000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NBL4
29805000.00000000
PA
USD
32294641.46000000
0.100024957230
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT5124
3138WSVS4
680368.57000000
PA
USD
740428.51000000
0.002293300891
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C21
5493000F7E2NMQ4HIO61
WFRBS 2014-C21 A4
92939FAT6
19991.89000000
PA
USD
21111.84000000
0.000065388894
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.41000000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GEE5
5990000.00000000
PA
USD
6153431.16000000
0.019058786869
Long
DBT
CORP
US
Y
2
2023-01-13
Fixed
1.95000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BJ4547
3140H6BR9
444330.25000000
PA
USD
480303.67000000
0.001487626178
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
State Grid Overseas Investment 2016 Ltd
3003006V8BHG5158QO96
STATE GRID OSEAS
N/A
7920000.00000000
PA
USD
8628209.57000000
0.026723823340
Long
DBT
CORP
VG
N
2
2027-05-04
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2018-C46
N/A
WFCM 2018-C46 A4
95001QAU5
1095000.00000000
PA
USD
1232630.55000000
0.003817779435
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Fixed
4.15200000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4660
36202FE93
263470.95000000
PA
USD
301577.10000000
0.000934063211
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7237
3133JLBE8
3681972.62000000
PA
USD
3860235.69000000
0.011956160289
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-A
N/A
NAROT 2020-A A3
65479MAC0
20890000.00000000
PA
USD
21205512.12000000
0.065679021254
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
1.38000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18465
3128MMQT3
57604.75000000
PA
USD
59945.42000000
0.000185666655
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 677084
36295QFZ8
7294.16000000
PA
USD
8417.30000000
0.000026070581
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
5.50000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-3
N/A
HAROT 2020-3 A4
43813KAD4
5290000.00000000
PA
USD
5282436.36000000
0.016361088003
Long
ABS-CBDO
CORP
US
N
2
2027-04-19
Fixed
0.46000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03891
3128M5UQ1
1067929.01000000
PA
USD
1231177.44000000
0.003813278773
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13004
3128MBRZ2
49224.35000000
PA
USD
52120.60000000
0.000161431139
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA1218
3140Q8K87
265305.42000000
PA
USD
288329.82000000
0.000893032918
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.50000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-LC14
549300QGM7D5K3CV2643
WFRBS 2014-LC14 A5
96221TAE7
2596900.00000000
PA
USD
2809715.96000000
0.008702425728
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Fixed
4.04500000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL5932
3131XMSV8
4504853.62000000
PA
USD
4927092.20000000
0.015260494134
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4923
36202FPG5
322992.68000000
PA
USD
359063.63000000
0.001112114041
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03661
3128M5MJ6
104305.58000000
PA
USD
113449.38000000
0.000351382423
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.50000000
N
N
N
N
N
N
Chile Government International Bond
N/A
CHILE
168863BW7
5000000.00000000
PA
USD
5373640.00000000
0.016643569548
Long
DBT
NUSS
CL
N
2
2025-03-27
Fixed
3.12500000
N
N
N
N
N
N
Sinopec Group Overseas Development 2014 Ltd
549300ZIMV82UUECOQ45
SINOPEC GRP OVER
N/A
288000.00000000
PA
USD
316268.70000000
0.000979566942
Long
DBT
CORP
VG
N
2
2024-04-10
Fixed
4.37500000
N
N
N
N
N
N
Republic of Poland Government International Bond
N/A
REP OF POLAND
857524AA0
10910000.00000000
PA
USD
10923637.50000000
0.033833364432
Long
DBT
NUSS
PL
N
2
2021-04-21
Fixed
5.12500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ0909
3617LKAJ9
1548691.62000000
PA
USD
1593292.54000000
0.004934844016
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.00000000
N
N
N
N
N
N
Franklin Resources Inc
RIFQSET379FOGTEFKS80
FRANKLIN RES INC
354613AL5
5000000.00000000
PA
USD
4621045.00000000
0.014312585852
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
1.60000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BP1139
3140K8HR5
23280149.10000000
PA
USD
24270798.60000000
0.075173015774
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0375
31419AMZ7
43651.88000000
PA
USD
46274.41000000
0.000143323959
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_20-B
N/A
VZOT 2020-B A
92290BAA9
25380000.00000000
PA
USD
25423219.60000000
0.078742365240
Long
ABS-CBDO
CORP
US
N
2
2025-02-20
Fixed
0.47000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL8874
3138ET2G0
179680.95000000
PA
USD
193760.39000000
0.000600126641
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2015-GC28
5493002EPQ51IPGGFX73
GSMS 2015-GC28 A5
36251FAW6
40000.00000000
PA
USD
42971.20000000
0.000133093053
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.39600000
N
N
N
N
N
N
Korea Development Bank/The
549300ML2LNRZUCS7149
KOREA DEV BANK
500630CU0
30000000.00000000
PA
USD
31687890.00000000
0.098145689151
Long
DBT
NUSS
KR
N
2
2023-03-12
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 942455
31413DQG5
147172.29000000
PA
USD
172890.65000000
0.000535487594
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
COMM 2013-CCRE11 Mortgage Trust
549300BCCWSDWINK2593
COMM 2013-CR11 A3
12626LAD4
2059427.13000000
PA
USD
2203072.17000000
0.006823491130
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Fixed
3.98300000
N
N
N
N
N
N
GlaxoSmithKline Capital Inc
5493007Q8VD7Q3ZYZS59
GLAXOSMITHKLINE
377372AN7
14500000.00000000
PA
USD
16303524.50000000
0.050496282574
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.87500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 764429
36176FA65
21800.07000000
PA
USD
25075.76000000
0.000077666191
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7298
3133JLDB2
9184159.93000000
PA
USD
9628839.50000000
0.029823036133
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889855
31410KTL8
796919.64000000
PA
USD
931629.50000000
0.002885500401
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828YY0
75000000.00000000
PA
USD
78234375.00000000
0.242312336027
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3561
31418C5X8
5071792.05000000
PA
USD
5488408.83000000
0.016999038653
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
4.00000000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS
00440EAV9
8670000.00000000
PA
USD
9434286.51000000
0.029220454601
Long
DBT
CORP
US
N
2
2026-05-03
Fixed
3.35000000
N
N
N
N
N
N
N/A
N/A
US LONG BOND(CBT) Jun21
N/A
135.00000000
NC
USD
20870156.25000000
0.064640336350
N/A
DIR
N/A
N
1
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Long
N/A
CBOT US Long Bond Future
2021-06-21
21273731.93000000
USD
-403575.68000000
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6033
36179UV25
3209908.75000000
PA
USD
3447988.00000000
0.010679321294
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A86041
312932WA0
3857.41000000
PA
USD
4280.33000000
0.000013257302
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3244
36179RS91
2515378.87000000
PA
USD
2709552.28000000
0.008392192595
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2 5/21
21H020659
179500000.00000000
PA
USD
180930399.60000000
0.560388803329
Long
ABS-MBS
USGA
US
N
2
2021-05-20
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4586
36179TCX1
619828.40000000
PA
USD
660552.12000000
0.002045902805
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
3.50000000
N
N
N
N
N
N
Abbott Ireland Financing DAC
54930021QV18ZVZQDE71
ABBOTT IL FIN
N/A
8000000.00000000
PA
9627176.52000000
0.029817885448
Long
DBT
CORP
IE
N
2
2023-09-27
Fixed
0.87500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 569835
36200RBC5
10990.74000000
PA
USD
12230.89000000
0.000037882267
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
6.50000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14912L5X5
4505000.00000000
PA
USD
4895705.14000000
0.015163280194
Long
DBT
CORP
US
N
2
2023-11-24
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4631 PT
3137BT2D2
30991550.30000000
PA
USD
37856798.52000000
0.117252413455
Long
ABS-MBS
USGSE
US
N
2
2046-11-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07568
3128M9W57
141941.00000000
PA
USD
157686.50000000
0.000488396362
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3876
31418DJW3
68199636.91000000
PA
USD
69982068.52000000
0.216752782943
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4753 JA
3137FDWS7
9732112.95000000
PA
USD
9914006.14000000
0.030706271855
Long
ABS-MBS
USGSE
US
N
2
2047-12-15
Fixed
3.00000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_19-D
N/A
TAOT 2019-D A4
89233MAE3
6850000.00000000
PA
USD
7084339.19000000
0.021942052688
Long
ABS-CBDO
CORP
US
N
2
2025-02-18
Fixed
1.99000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BP0001
3140K7AB9
12506384.27000000
PA
USD
13038568.44000000
0.040383859104
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD3209
31418QR70
717.75000000
PA
USD
757.79000000
0.000002347073
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS9509
3138WKR72
164793.72000000
PA
USD
174014.57000000
0.000538968668
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 780407
36225ANY2
1930.05000000
PA
USD
2042.80000000
0.000006327086
Long
ABS-MBS
USGA
US
N
2
2024-08-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 967186
31414H6X0
46725.68000000
PA
USD
54354.70000000
0.000168350732
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C24
N/A
JPMBB 2014-C24 A5
46643GAE0
1143600.00000000
PA
USD
1235408.21000000
0.003826382575
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
3.63850000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3311
36179RVC0
1462428.57360000
PA
USD
1604512.43000000
0.004969594952
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723440
3620A9V99
14061.07000000
PA
USD
15198.61000000
0.000047074073
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA5203
31346YX81
15356026.45000000
PA
USD
16009468.37000000
0.049585513775
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 257057
31371NQJ7
124999.81000000
PA
USD
137243.53000000
0.000425079133
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5102
3138WEU49
835306.28000000
PA
USD
889524.51000000
0.002755090226
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
3.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BT5
18855000.00000000
PA
USD
21150200.30000000
0.065507706070
Long
DBT
CORP
GB
N
2
2029-06-19
Variable
4.58300000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP
594918BR4
3825000.00000000
PA
USD
4036377.15000000
0.012501716493
Long
DBT
CORP
US
N
2
2026-08-08
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB6136
31417CZA6
1885258.71000000
PA
USD
1960826.29000000
0.006073192236
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD0787
31418M2V3
1255.60000000
PA
USD
1353.90000000
0.000004193382
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
064159QE9
7520000.00000000
PA
USD
7937510.40000000
0.024584547230
Long
DBT
CORP
CA
N
2
2026-08-03
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J09798
3128PM3F5
11136.12000000
PA
USD
11686.94000000
0.000036197512
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913R2H9
15600000.00000000
PA
USD
15300745.20000000
0.047390412620
Long
DBT
CORP
US
N
2
2025-11-13
Fixed
0.80000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 587814
36201NAP5
9904.01000000
PA
USD
11314.48000000
0.000035043905
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
4.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHR3
22500000.00000000
PA
USD
24165585.00000000
0.074847141717
Long
DBT
CORP
US
N
2
2025-03-15
Variable
3.45800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA0729
31416HY33
100455.73000000
PA
USD
115635.65000000
0.000358153873
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
5.50000000
N
N
N
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
WALMART INC
931142DV2
5550000.00000000
PA
USD
5939837.55000000
0.018397231554
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
2.65000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
PFIZER INC
717081DV2
6550000.00000000
PA
USD
7016255.20000000
0.021731178752
Long
DBT
CORP
US
N
2
2026-06-03
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08009
3128MJAK6
118665.75000000
PA
USD
135888.05000000
0.000420880857
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.00000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
BURLINGTON NORTH
12189LAT8
12423000.00000000
PA
USD
13445139.59000000
0.041643116370
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2016-53 KA
3136AS5K8
10611156.60000000
PA
USD
10674292.98000000
0.033061079192
Long
ABS-MBS
USGSE
US
N
2
2046-08-25
Fixed
1.85000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18
N/A
MSBAM 2014-C18 A4
61763XAE6
60000.00000000
PA
USD
65222.40000000
0.000202010843
Long
ABS-MBS
CORP
US
N
2
2047-10-15
Fixed
3.92300000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 681327
36295U4L2
26587.56000000
PA
USD
30991.82000000
0.000095989778
Long
ABS-MBS
USGA
US
N
2
2038-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08774
3128MJ2G4
20165833.55000000
PA
USD
21418073.33000000
0.066337378956
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
United Parcel Service Inc
D01LMJZU09ULLNCY6Z23
UNITED PARCEL
N/A
5825000.00000000
PA
6927494.43000000
0.021456263415
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
0.37500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J08396
3128PLKH4
82703.15000000
PA
USD
86005.19000000
0.000266380583
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J10298
3128PPKK8
22739.17000000
PA
USD
24234.82000000
0.000075061580
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
4.50000000
N
N
N
N
N
N
Harvest Operations Corp
B1EEF6ML54YDWRC6ZK53
HARVEST OPERATIO
41754WAS0
8000000.00000000
PA
USD
8598592.00000000
0.026632089974
Long
DBT
CORP
CA
Y
2
2023-06-01
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 443883
31380MCU8
8822.40000000
PA
USD
9977.52000000
0.000030902990
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
7.00000000
N
N
N
N
N
N
BANK 2018-BNK14
N/A
BANK 2018-BN14 A4
06035RAS5
1055000.00000000
PA
USD
1196433.30000000
0.003705667078
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Variable
4.23100000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2012-STAR
N/A
MSC 2012-STAR A2
61761BAC0
2251000.00000000
PA
USD
2277719.37000000
0.007054693047
Long
ABS-MBS
CORP
US
Y
2
2034-08-05
Fixed
3.20100000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4499
36202E7L7
34452.25000000
PA
USD
41108.18000000
0.000127322792
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS3638
3138WDBG5
137046.01000000
PA
USD
150608.06000000
0.000466472581
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A39733
31297VY69
1429.32000000
PA
USD
1633.10000000
0.000005058138
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
949746RW3
20000000.00000000
PA
USD
21330840.00000000
0.066067194501
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL3380
3131XJXH0
242694.11000000
PA
USD
266366.18000000
0.000825005776
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 410875
36206GMY3
241.88000000
PA
USD
256.55000000
0.000000794602
Long
ABS-MBS
USGA
US
N
2
2028-04-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 973288
31414QXR3
87220.93000000
PA
USD
99140.87000000
0.000307065222
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.00000000
N
N
N
N
N
N
Ontario Teachers' Cadillac Fairview Properties Trust
N/A
CADILLAC FAIRVIE
68327LAC0
24580000.00000000
PA
USD
27097876.88000000
0.083929217152
Long
DBT
CORP
CA
Y
2
2029-02-01
Fixed
4.12500000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828YU8
175000000.00000000
PA
USD
179976562.50000000
0.557434520178
Long
DBT
UST
US
N
2
2026-11-30
Fixed
1.62500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782425
36241KVS4
1889590.77000000
PA
USD
2185614.06000000
0.006769418794
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
5.50000000
N
N
N
N
N
N
SYNCHRONY CARD ISSUANCE TRUST SYNIT_19-A2
N/A
SYNIT 2019-A2 A
87166PAF8
11913000.00000000
PA
USD
12207622.79000000
0.037810202939
Long
ABS-CBDO
CORP
US
N
2
2025-06-15
Fixed
2.34000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA3617
31339UAS9
1689472.52000000
PA
USD
1761362.95000000
0.005455402065
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A67394
3128KYGB9
45243.20000000
PA
USD
49263.21000000
0.000152581055
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32
N/A
MSBAM 2016-C32 A3
61691GAR1
5600000.00000000
PA
USD
6080592.00000000
0.018833184926
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.45900000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G30328
3128CULH7
15875.86000000
PA
USD
17665.89000000
0.000054715885
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AV1810
36195CAK8
2935253.72000000
PA
USD
3063480.87000000
0.009488402073
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5387
36179T6Y6
735289.89000000
PA
USD
756368.96000000
0.002342672637
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2 4/21
21H020642
-173000000.00000000
PA
USD
-174675937.50000000
-0.54101709719
Short
ABS-MBS
USGA
US
N
2
2021-04-21
Fixed
2.00000000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
29135LAD2
34200000.00000000
PA
USD
35719198.20000000
0.110631705779
Long
DBT
NUSS
AE
Y
2
2024-09-30
Fixed
2.12500000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833AS9
6000000.00000000
PA
USD
6514452.00000000
0.020176962902
Long
DBT
CORP
US
N
2
2024-05-06
Fixed
3.45000000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP CAPITAL PLC
05565QDA3
13535000.00000000
PA
USD
14769676.24000000
0.045745553052
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91054
3128P7E33
27418.13000000
PA
USD
30516.63000000
0.000094517990
Long
ABS-MBS
USGSE
US
N
2
2027-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 956943
31413VS81
95689.66000000
PA
USD
111032.93000000
0.000343898045
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q00184
3132GDFZ0
732596.31000000
PA
USD
833235.85000000
0.002580749514
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2013-C12
N/A
JPMBB 2013-C12 A5
46639NAQ4
3136589.00000000
PA
USD
3311171.54000000
0.010255564907
Long
ABS-MBS
CORP
US
N
2
2045-07-15
Fixed
3.66370000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A96634
312945LP1
124676.10000000
PA
USD
135838.19000000
0.000420726428
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3446
31418CZL1
2459921.50000000
PA
USD
2547066.43000000
0.007888931389
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET CRP
857477BG7
6970000.00000000
PA
USD
7085632.30000000
0.021946057789
Long
DBT
CORP
US
N
2
2030-01-24
Fixed
2.40000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 724138
3620AAPX0
322917.14000000
PA
USD
361606.00000000
0.001119988426
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2R3
5000000.00000000
PA
USD
5094625.00000000
0.015779387065
Long
DBT
CORP
US
N
2
2024-06-02
Variable
1.65400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB1939
31416XEM8
6654577.24000000
PA
USD
7043986.46000000
0.021817069722
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 581059
36201EQL7
40884.39000000
PA
USD
46551.78000000
0.000144183046
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.00000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP
68389XBV6
5000000.00000000
PA
USD
5152915.00000000
0.015959926451
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q25856
3132M6E55
140448.70000000
PA
USD
155097.68000000
0.000480378109
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2A0
10500000.00000000
PA
USD
11452959.00000000
0.035472811660
Long
DBT
CORP
US
N
2
2028-05-22
Variable
3.58400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 966679
31414HM46
796.26000000
PA
USD
825.39000000
0.000002556448
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4794 Z
3137F5ML0
8958352.97000000
PA
USD
9575762.66000000
0.029658643267
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1376
36179NQ50
71706.89000000
PA
USD
78806.90000000
0.000244085595
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18554
3128MMTL7
12266.58000000
PA
USD
12595.49000000
0.000039011529
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 783342
36241LWB8
5851428.41000000
PA
USD
6595367.90000000
0.020427580623
Long
ABS-MBS
USGA
US
N
2
2041-05-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q11788
3132HM6Z9
291550.65000000
PA
USD
309648.92000000
0.000959063751
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 937392
31412W2Z8
11102.22000000
PA
USD
12593.24000000
0.000039004560
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1678
36179N2K3
1005215.97000000
PA
USD
1104773.97000000
0.003421774142
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2.5 4/21
21H022648
210000000.00000000
PA
USD
216660948.00000000
0.671055663649
Long
ABS-MBS
USGA
US
N
2
2021-04-21
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889675
31410KMY7
769613.79000000
PA
USD
848551.61000000
0.002628186431
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NDG3
11500000.00000000
PA
USD
12400875.50000000
0.038408757163
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4524
3140QCA22
22716307.49000000
PA
USD
24137414.70000000
0.074759890925
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5124
36202FVR4
516097.91000000
PA
USD
607049.84000000
0.001880192240
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB6694
31417DNL3
302179.30000000
PA
USD
320132.29000000
0.000991533491
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12370
3128PRT33
7525.75000000
PA
USD
7971.45000000
0.000024689667
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GFS3
4582000.00000000
PA
USD
5054935.71000000
0.015656458946
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J14619
3128PUDY5
76625.11000000
PA
USD
81171.19000000
0.000251408420
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 712463
36297HQQ4
707.91000000
PA
USD
802.55000000
0.000002485707
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
5.00000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807DC8
10780000.00000000
PA
USD
11616937.64000000
0.035980696427
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4616
3140QCDW3
12040053.90000000
PA
USD
12793312.18000000
0.039624236275
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725704
31402DGM6
447829.38000000
PA
USD
514511.17000000
0.001593575758
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q24529
3132M4VW2
47105.54000000
PA
USD
51945.18000000
0.000160887818
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BEF9
3625000.00000000
PA
USD
3979173.38000000
0.012324541445
Long
DBT
CORP
US
N
2
2027-01-20
Fixed
3.62500000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC23
N/A
CGCMT 2014-GC23 A4
17322VAT3
1575000.00000000
PA
USD
1699078.50000000
0.005262490822
Long
ABS-MBS
CORP
US
N
2
2047-07-10
Fixed
3.62200000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL3006
36183YKT4
279133.84000000
PA
USD
290253.08000000
0.000898989758
Long
ABS-MBS
USGA
US
N
2
2045-08-15
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC25
N/A
CGCMT 2014-GC25 A3
17322YAC4
1640000.00000000
PA
USD
1743746.40000000
0.005400838999
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Fixed
3.37200000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C01427
31292HSQ8
33500.01000000
PA
USD
39424.06000000
0.000122106632
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 962129
31414CLJ5
88435.39000000
PA
USD
100178.60000000
0.000310279344
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 702740
36296VV96
53953.37000000
PA
USD
63108.72000000
0.000195464223
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
6.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
17308CC46
10000000.00000000
PA
USD
10100230.00000000
0.031283055890
Long
DBT
CORP
US
N
2
2022-11-04
Variable
2.31200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 888367
31410F6C4
258905.47000000
PA
USD
304440.70000000
0.000942932530
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR SD8010
3132DV3T0
6284834.67000000
PA
USD
6552268.21000000
0.020294089602
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
John Deere Capital Corp
E0KSF7PFQ210NWI8Z391
JOHN DEERE CAP
24422EVB2
3790000.00000000
PA
USD
3970138.70000000
0.012296558677
Long
DBT
CORP
US
N
2
2026-09-14
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A66078
3128KWXF5
383146.83000000
PA
USD
437156.82000000
0.001353989090
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST HPEFS_19-1A
N/A
HPEFS 2019-1A A2
40438DAB5
913223.28000000
PA
USD
914641.61000000
0.002832884459
Long
ABS-CBDO
CORP
US
Y
2
2029-09-20
Fixed
2.19000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833DT4
3000000.00000000
PA
USD
3019278.00000000
0.009351494215
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 979507
31414XU83
175686.84000000
PA
USD
199016.05000000
0.000616404796
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL TRUST PROG_17-SFR1
N/A
PROG 2017-SFR1 A
74333JAA9
178840.64800000
PA
USD
179933.36000000
0.000557300710
Long
ABS-CBDO
CORP
US
Y
2
2034-08-17
Fixed
2.76800000
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST NALT_20-A
N/A
NALT 2020-A A3
65479NAD6
11340000.00000000
PA
USD
11459637.00000000
0.035493495173
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Fixed
1.84000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NDM0
10000000.00000000
PA
USD
9604700.00000000
0.029748269783
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.95000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C00972
31292HCH5
6280.08000000
PA
USD
7410.76000000
0.000022953063
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
8.00000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-C
N/A
TAOT 2020-C A4
89237VAC3
4700000.00000000
PA
USD
4699099.95000000
0.014554342462
Long
ABS-CBDO
CORP
US
N
2
2025-10-15
Fixed
0.57000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD4268
31418RW64
10896.59000000
PA
USD
11550.11000000
0.000035773713
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZH6
450000000.00000000
PA
USD
450703125.00000000
1.395945542783
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A91623
312939YU9
109246.81000000
PA
USD
121314.30000000
0.000375742139
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C66604
31287SKR7
31080.52000000
PA
USD
35061.00000000
0.000108593093
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
7.00000000
N
N
N
N
N
N
City of Dallas TX Waterworks & Sewer System Revenue
N/A
DALLAS WTR/SWR-B-REF
23542JBN4
1450000.00000000
PA
USD
1533863.51000000
0.004750776755
Long
DBT
MUN
US
N
2
2027-10-01
Fixed
2.58900000
N
N
N
N
N
N
Berkshire Hathaway Inc
5493000C01ZX7D35SD85
BERKSHIRE HATHWY
084670BZ0
8000000.00000000
PA
9516535.56000000
0.029475201437
Long
DBT
CORP
US
N
2
2023-01-17
Fixed
0.62500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBJ4
12900000.00000000
PA
USD
14846326.20000000
0.045982958040
Long
DBT
CORP
US
N
2
2031-03-24
Variable
4.49300000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-97 DL
38380XH59
3924673.06000000
PA
USD
4177265.02000000
0.012938083102
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
4.00000000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550BK3
22061000.00000000
PA
USD
23857780.21000000
0.073893789719
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 545082
31385HRB0
55289.69000000
PA
USD
65215.11000000
0.000201988264
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
7.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1677
36179N2J6
563651.44000000
PA
USD
609203.10000000
0.001886861450
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 602376
36200JFR6
10935.98000000
PA
USD
11725.62000000
0.000036317314
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.50000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_18-A
N/A
SMB 2018-A A2A
78449PAB5
1598083.91000000
PA
USD
1691171.98000000
0.005238002260
Long
ABS-CBDO
CORP
US
Y
2
2036-02-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 966591
31414HKC0
1515208.30000000
PA
USD
1788807.64000000
0.005540405454
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2011-C3
N/A
WFRBS 2011-C3 A4
92935VAG3
81318.93000000
PA
USD
81399.44000000
0.000252115370
Long
ABS-MBS
CORP
US
Y
2
2044-03-15
Fixed
4.37500000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90351DAB3
7590000.00000000
PA
USD
8458440.21000000
0.026198003197
Long
DBT
CORP
CH
Y
2
2025-09-24
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 950720
31413NVM4
106160.99000000
PA
USD
121909.16000000
0.000377584576
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 737453
3620ARH61
171168.66000000
PA
USD
190484.50000000
0.000589980352
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 255074
31371LJT7
54897.92000000
PA
USD
62999.45000000
0.000195125785
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
6.00000000
N
N
N
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX COS INC
872540AR0
29220000.00000000
PA
USD
31828147.98000000
0.098580104825
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 985661
31415P5W4
151548.28000000
PA
USD
172038.64000000
0.000532848696
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 682670
36295WMT1
15815.01000000
PA
USD
18594.34000000
0.000057591537
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08832
3128MJ4S6
215851.53000000
PA
USD
235583.38000000
0.000729663388
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Novartis Capital Corp
5493002KF87V5RSRQS84
NOVARTIS CAPITAL
66989HAR9
27712000.00000000
PA
USD
27870706.62000000
0.086322873133
Long
DBT
CORP
US
N
2
2030-08-14
Fixed
2.20000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 778793
36176W7E5
420029.10000000
PA
USD
450990.33000000
0.001396835091
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
3.50000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDK5
8630000.00000000
PA
USD
9670225.68000000
0.029951219964
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 735500
31402RDD8
147448.59000000
PA
USD
171762.32000000
0.000531992861
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 930498
31412NX35
64200.08000000
PA
USD
71734.05000000
0.000222179128
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZT0537
3132ACS27
606920.67000000
PA
USD
659874.68000000
0.002043804596
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA0190
31416HF83
2604.98000000
PA
USD
2988.01000000
0.000009254649
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD0448
3140F7QA0
471271.10000000
PA
USD
516142.05000000
0.001598627021
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 675091
36295M7C7
45283.13000000
PA
USD
53023.59000000
0.000164227936
Long
ABS-MBS
USGA
US
N
2
2038-01-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 688141
36296DP28
28994.59000000
PA
USD
32944.56000000
0.000102037925
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 645360
36292C5V2
11339.42000000
PA
USD
12679.97000000
0.000039273185
Long
ABS-MBS
USGA
US
N
2
2035-07-15
Fixed
5.00000000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP CAPITAL PLC
05565QCJ5
1000000.00000000
PA
USD
1086447.00000000
0.003365010719
Long
DBT
CORP
GB
N
2
2023-09-26
Fixed
3.99400000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
1638.78000000
0.000005075730
N/A
DFE
N/A
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
7847107.00000000
EUR
9208714.25000000
USD
2021-04-30
1638.78000000
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
PROLOGIS LP
74340XBN0
3600000.00000000
PA
USD
3671784.00000000
0.011372476081
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.12500000
N
N
N
N
N
N
State of Texas
549300X9CH74QB747L76
TEXAS ST-C-REF-TXBL
882723A74
480000.00000000
PA
USD
506259.50000000
0.001568018177
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
2.53100000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61744YAH1
17075000.00000000
PA
USD
17540498.65000000
0.054327515276
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
2.75000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 617658
36290UE77
635.83000000
PA
USD
745.38000000
0.000002308636
Long
ABS-MBS
USGA
US
N
2
2037-08-15
Fixed
6.50000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807CW5
5080000.00000000
PA
USD
5438988.36000000
0.016845970523
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.30000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AG3068
36181WMR2
4457225.27000000
PA
USD
4820180.69000000
0.014929361205
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
3.50000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP
68389XAU9
10000000.00000000
PA
USD
10740960.00000000
0.033267564402
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
3.40000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAR2
500000000.00000000
PA
USD
499921900.00000000
1.548388971220
Long
DBT
UST
US
N
2
2022-10-31
Fixed
0.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA0647
31416HWH4
508231.13000000
PA
USD
587649.97000000
0.001820105765
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Wells Fargo Bank NA
KB1H1DSPRFMYMCUFXT09
WELLS FARGO BANK
94988J5R4
26085000.00000000
PA
USD
27912254.25000000
0.086451557018
Long
DBT
CORP
US
N
2
2023-08-14
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18480
3128MMRA3
72683.41000000
PA
USD
74637.85000000
0.000231172956
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
2.00000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122DQ8
16500000.00000000
PA
USD
15199948.50000000
0.047078218858
Long
DBT
CORP
US
N
2
2030-11-13
Fixed
1.45000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08808
3128MJ3S7
3612863.72000000
PA
USD
3830114.97000000
0.011862868536
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD7816
31418VVJ8
46717.10000000
PA
USD
49394.70000000
0.000152988314
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468C6
6355000.00000000
PA
USD
7064980.60000000
0.021882094068
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB6180
31417C2N4
574529.13000000
PA
USD
619327.46000000
0.001918219243
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 553024
36213FLD3
5888.11000000
PA
USD
6465.44000000
0.000020025159
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
6.50000000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC
713448EL8
1720000.00000000
PA
USD
1795735.04000000
0.005561861425
Long
DBT
CORP
US
N
2
2029-07-29
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3067
31418CMR2
183930.03000000
PA
USD
189687.35000000
0.000587511370
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AX7238
3138Y9BG2
374805.21000000
PA
USD
420100.94000000
0.001301162566
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08624
3128MJVS6
133120.94000000
PA
USD
146601.43000000
0.000454062999
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL0007
3138EGAH7
388105.05000000
PA
USD
441834.12000000
0.001368475912
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AA6294
36178D7F2
144566.75000000
PA
USD
151776.67000000
0.000470092072
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.00000000
N
N
N
N
N
N
Progressive Corp/The
529900TACNVLY9DCR586
PROGRESSIVE CORP
743315AW3
12320000.00000000
PA
USD
13233909.92000000
0.040988882796
Long
DBT
CORP
US
N
2
2030-03-26
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 767599
31404FX40
84030.79000000
PA
USD
98310.81000000
0.000304494309
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
GlaxoSmithKline Capital PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE
377373AH8
25000000.00000000
PA
USD
27166825.00000000
0.084142767526
Long
DBT
CORP
GB
N
2
2029-06-01
Fixed
3.37500000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC FINANCIAL
693475AT2
4000000.00000000
PA
USD
4317168.00000000
0.013371399248
Long
DBT
CORP
US
N
2
2027-05-19
Fixed
3.15000000
N
N
N
N
N
N
Brown-Forman Corp
549300873K3LXF7ARU34
BROWN-FORMAN
115637AM2
5000000.00000000
PA
USD
5127130.00000000
0.015880063557
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 691778
36296HQ77
59799.67000000
PA
USD
66092.59000000
0.000204706049
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
5.50000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_18-A
N/A
FORDO 2018-B A4
34532TAE2
8300000.00000000
PA
USD
8611269.09000000
0.026671354239
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
3.38000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA6123
3133A0YU2
4851570.09000000
PA
USD
5058018.95000000
0.015666008547
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
48128BAB7
26183000.00000000
PA
USD
26709566.31000000
0.082726517683
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.97200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO6810
3140K2R89
15693752.92000000
PA
USD
16361553.49000000
0.050676013545
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BA7238
3140ECBG3
2401104.30000000
PA
USD
2629738.41000000
0.008144988149
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 627040
36291FS58
4767224.13000000
PA
USD
4982499.58000000
0.015432105292
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
3.00000000
N
N
N
N
N
N
BANK 2018-BNK10
549300GL0Y86051URC66
BANK 2018-BN10 ASB
065404AZ8
1030000.00000000
PA
USD
1129992.40000000
0.003499882221
Long
ABS-MBS
CORP
US
N
2
2061-02-15
Fixed
3.64100000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 3986
36202ENB1
3620.04000000
PA
USD
4202.76000000
0.000013017047
Long
ABS-MBS
USGA
US
N
2
2037-05-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5839
3138WFPZ3
188080.06000000
PA
USD
206300.37000000
0.000638966241
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5307
36202F3Q7
279008.59000000
PA
USD
315275.58000000
0.000976490989
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AJ3271
36182XT43
288447.58000000
PA
USD
314218.29000000
0.000973216285
Long
ABS-MBS
USGA
US
N
2
2044-10-15
Fixed
4.00000000
N
N
N
N
N
N
BANK 2018-BNK14
N/A
BANK 2018-BN14 ASB
06035RAQ9
160000.00000000
PA
USD
179883.20000000
0.000557145352
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
4.18500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU5904
3138X5R25
661400.91000000
PA
USD
721579.20000000
0.002234919644
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13683
3128MCJ48
12206.48000000
PA
USD
12866.72000000
0.000039851599
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782167
36241KMQ8
22154.77000000
PA
USD
24949.12000000
0.000077273954
Long
ABS-MBS
USGA
US
N
2
2037-06-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G04320
3128M6DZ8
35171.47000000
PA
USD
40714.31000000
0.000126102874
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_20-B
N/A
HART 2020-B A4
44933FAD8
5050000.00000000
PA
USD
5058710.75000000
0.015668151233
Long
ABS-CBDO
CORP
US
N
2
2025-12-15
Fixed
0.62000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07021
3128M9D25
83044.96000000
PA
USD
94439.92000000
0.000292505150
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 649998
31390MDB7
17572.26000000
PA
USD
21091.33000000
0.000065325369
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
7.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 607630
36202SA73
322.05000000
PA
USD
360.11000000
0.000001115354
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G04162
3128M55X4
363794.69000000
PA
USD
423444.80000000
0.001311519375
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78015K7G3
12000000.00000000
PA
USD
12285000.00000000
0.038049860411
Long
DBT
CORP
CA
N
2
2023-04-17
Fixed
1.60000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 545759
31385JJC3
240222.03000000
PA
USD
273460.33000000
0.000846978216
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RB5086
3133KYUK3
91750979.40000000
PA
USD
95180401.63000000
0.294798615864
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB0511
31416VR97
23477.59000000
PA
USD
27020.74000000
0.000083690304
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.50000000
N
N
N
N
N
N
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST COPAR_19-2
N/A
COPAR 2019-2 A3
14043TAF3
28620000.00000000
PA
USD
29020107.60000000
0.089882868807
Long
ABS-CBDO
CORP
US
N
2
2024-05-15
Fixed
1.92000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 665254
36295BBX0
859.40000000
PA
USD
964.25000000
0.000002986534
Long
ABS-MBS
USGA
US
N
2
2037-04-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 678652
36295R5M6
210553.88000000
PA
USD
239593.98000000
0.000742085266
Long
ABS-MBS
USGA
US
N
2
2040-01-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4100
36202ERV3
639.14650000
PA
USD
762.86000000
0.000002362777
Long
ABS-MBS
USGA
US
N
2
2038-03-20
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7350
3133JLEX3
12418721.20000000
PA
USD
13020022.02000000
0.040326415987
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.50000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US BANCORP
91159HHW3
3000000.00000000
PA
USD
3131190.00000000
0.009698114971
Long
DBT
CORP
US
N
2
2029-07-30
Fixed
3.00000000
N
N
N
N
N
N
Pacific Life Global Funding II
6354003EUPCHXTWUU869
PACIFIC LIFE GF
6944PL2C2
30430000.00000000
PA
USD
30384994.03000000
0.094110279318
Long
DBT
CORP
US
Y
2
2023-09-23
Fixed
0.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 738652
3620ASTH2
89055.95000000
PA
USD
101760.58000000
0.000315179150
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G12881
3128MBM61
2054.91000000
PA
USD
2164.13000000
0.000006702877
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 741273
3620AVQ21
12310.03000000
PA
USD
14126.26000000
0.000043752724
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5640
3138WFHS8
775398.53000000
PA
USD
837372.41000000
0.002593561523
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BK4
28181000.00000000
PA
USD
30797944.02000000
0.095389293521
Long
DBT
CORP
GB
N
2
2028-03-13
Variable
4.04100000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5018
3138WESG5
55248.97000000
PA
USD
60027.30000000
0.000185920259
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995230
31416BST6
21842.92000000
PA
USD
25555.12000000
0.000079150895
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 946788
31413JJ96
23050.46000000
PA
USD
25269.26000000
0.000078265512
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0081
31417YCT2
5702.83000000
PA
USD
6284.05000000
0.000019463347
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL6285
3131XM6W0
2113583.72000000
PA
USD
2312056.21000000
0.007161043227
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Providence St Joseph Health Obligated Group
N/A
ST JOSEPH HLTH
743820AA0
5000000.00000000
PA
USD
5090655.00000000
0.015767090936
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
2.53200000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
BANCO SANTANDER
05964HAJ4
2585000.00000000
PA
USD
2873966.81000000
0.008901427427
Long
DBT
CORP
ES
N
2
2028-04-12
Fixed
4.37900000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT2364
36194ATV9
7234540.50000000
PA
USD
7549938.25000000
0.023384134841
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC FINANCIAL
693475AX3
2820000.00000000
PA
USD
2978681.40000000
0.009225755920
Long
DBT
CORP
US
N
2
2026-07-23
Fixed
2.60000000
N
N
N
N
N
N
MERCEDES-BENZ AUTO LEASE TRUST MBALT_20-B
N/A
MBALT 2020-B A4
58769EAD0
2720000.00000000
PA
USD
2720600.03000000
0.008426410368
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745932
31403DVZ9
80523.08000000
PA
USD
94264.80000000
0.000291962757
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 485865
36209YW20
16948.23000000
PA
USD
18187.43000000
0.000056331230
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
7.00000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-B
N/A
FORDO 2020-B A4
34533GAE9
27800000.00000000
PA
USD
27996988.02000000
0.086713999681
Long
ABS-CBDO
CORP
US
N
2
2025-11-15
Fixed
0.79000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3183
31418CRD8
593253.64000000
PA
USD
641283.87000000
0.001986223991
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 673234
36295K4T7
11672.50000000
PA
USD
13725.30000000
0.000042510846
Long
ABS-MBS
USGA
US
N
2
2038-11-15
Fixed
6.00000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YBP3
10070000.00000000
PA
USD
9777295.31000000
0.030282842632
Long
DBT
CORP
JP
N
2
2027-05-22
Variable
1.23400000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4721 HZ
3137FAUN6
20455128.49000000
PA
USD
21687959.08000000
0.067173285762
Long
ABS-MBS
USGSE
US
N
2
2047-09-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3875
36179SJU2
115580.16000000
PA
USD
126424.68000000
0.000391570323
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
4.00000000
N
N
N
N
N
N
Virginia Electric and Power Co
CQKUMNNZVDJLRYV2PT43
VIRGINIA EL&PWR
927804FX7
6260000.00000000
PA
USD
6855545.10000000
0.021233417508
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12107
3128PRKU2
35108.72000000
PA
USD
36864.15000000
0.000114177921
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.00000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
94974BGH7
15170000.00000000
PA
USD
16108006.61000000
0.049890712495
Long
DBT
CORP
US
N
2
2025-02-19
Fixed
3.00000000
N
N
N
N
N
N
COMM 2012-CCRE5 Mortgage Trust
N/A
COMM 2012-CR5 A4
12623SAE0
579534.00000000
PA
USD
595111.87000000
0.001843217222
Long
ABS-MBS
CORP
US
N
2
2045-12-10
Fixed
2.77100000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2013-GC11
N/A
CGCMT 2013-GC11 A4
17320DAG3
1527488.00000000
PA
USD
1590542.70000000
0.004926327042
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Fixed
3.09300000
N
N
N
N
N
N
GS Mortgage Securities Trust 2015-GC34
54930070360RBP384M53
GSMS 2015-GC34 A4
36250VAD4
1720000.00000000
PA
USD
1868814.40000000
0.005788207330
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
3.50600000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BP1159
3140K8JD4
2913667.18000000
PA
USD
2989832.77000000
0.009260294631
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-B
N/A
TAOT 2020-B A3
89239RAC0
11210000.00000000
PA
USD
11367700.04000000
0.035208742345
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
1.36000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7243
3133JLBL2
1942515.96000000
PA
USD
2041411.58000000
0.006322785971
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G04715
3128M6SC3
87898.48000000
PA
USD
101909.61000000
0.000315640735
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698028
36296QPM5
43893.44000000
PA
USD
50397.05000000
0.000156092854
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
5.00000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDM1
5820000.00000000
PA
USD
6297583.38000000
0.019505264024
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.50000000
N
N
N
N
N
N
Saudi Government International Bond
N/A
SAUDI INT BOND
N/A
12238000.00000000
PA
USD
12370467.78000000
0.038314576495
Long
DBT
NUSS
SA
N
2
2021-10-26
Fixed
2.37500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5977
36179UUA8
1095846.89000000
PA
USD
1136290.32000000
0.003519388527
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ7367
3617LSFG3
11433414.65000000
PA
USD
11762680.99000000
0.036432101728
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 762210
36176CR72
12916.94000000
PA
USD
14135.69000000
0.000043781931
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AV1816
36195CAR3
9314184.08000000
PA
USD
9720390.55000000
0.030106593697
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A67566
3128KYMP1
4932.75000000
PA
USD
5509.21000000
0.000017063465
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q33402
3132QPX82
94674.02000000
PA
USD
100810.15000000
0.000312235420
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
3.00000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833DN7
8000000.00000000
PA
USD
8266728.00000000
0.025604220305
Long
DBT
CORP
US
N
2
2026-09-11
Fixed
2.05000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A48132
3128K9A95
121821.19000000
PA
USD
132811.18000000
0.000411350985
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3239
31418CS54
465351.99000000
PA
USD
503027.59000000
0.001558008106
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ4775
3138YWJV0
922262.25000000
PA
USD
987147.64000000
0.003057454611
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AN1589
36185GXS9
577443.58000000
PA
USD
609927.38000000
0.001889104735
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2120
31418BLA2
117429.79000000
PA
USD
122142.31000000
0.000378306702
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 916330
31411WA72
27952.60000000
PA
USD
28546.64000000
0.000088416415
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 945093
31413GNJ5
560.98000000
PA
USD
566.61000000
0.000001754939
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH6827
3138A8SR8
77510.75000000
PA
USD
82252.33000000
0.000254756994
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 704098
36296XGF5
17235.99000000
PA
USD
19440.82000000
0.000060213307
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
6.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAH9
54505000.00000000
PA
USD
58196351.13000000
0.180249331455
Long
DBT
CORP
US
N
2
2025-03-01
Variable
3.22000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 576140
31386XBH8
30731.37000000
PA
USD
34674.20000000
0.000107395072
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AM0874
36184K6K8
152058.63000000
PA
USD
162053.11000000
0.000501920896
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889583
31410KJ47
666093.94000000
PA
USD
760884.84000000
0.002356659499
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC8007
31417U3R4
57004.52000000
PA
USD
60009.37000000
0.000185864725
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14399
3128MDDC4
44016.12000000
PA
USD
46663.00000000
0.000144527524
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 729383
31402HJ44
2047249.65000000
PA
USD
2375989.42000000
0.007359061112
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08416
3128MJPA2
32578.86000000
PA
USD
36205.84000000
0.000112138962
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 888596
31410GGD9
97321.06000000
PA
USD
109924.11000000
0.000340463739
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G60384
31335AM96
1292621.31000000
PA
USD
1440619.60000000
0.004461975961
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
US 10YR NOTE (CBT)Jun21
N/A
-6824.00000000
NC
USD
-893517500.00000000
-2.76745756205
N/A
DIR
N/A
N
1
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
Short
N/A
US 10YR NOTE (CBT)Jun21
2021-06-21
-906694438.45000000
USD
13176938.45000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HRL6
6106000.00000000
PA
USD
6373003.17000000
0.019738858853
Long
DBT
CORP
US
N
2
2023-05-18
Fixed
2.70000000
N
N
N
N
N
N
Costco Wholesale Corp
29DX7H14B9S6O3FD6V18
COSTCO COMPANIES
22160KAM7
9225000.00000000
PA
USD
10028008.58000000
0.031059367250
Long
DBT
CORP
US
N
2
2027-05-18
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03600
3128M5KM1
121522.99000000
PA
USD
146339.35000000
0.000453251269
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7259
3133JLB40
553626.90000000
PA
USD
573506.53000000
0.001776299829
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE5639
31419GHR8
29991.63000000
PA
USD
33785.96000000
0.000104643961
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MCE8
6500000.00000000
PA
USD
6006266.50000000
0.018602979399
Long
DBT
CORP
JP
N
2
2031-01-12
Fixed
1.71000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 635096
36291QRR7
859353.51000000
PA
USD
900336.25000000
0.002788577015
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AL4511
36184BAL1
1767732.62000000
PA
USD
1932302.87000000
0.005984847739
Long
ABS-MBS
USGA
US
N
2
2045-02-20
Fixed
3.50000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust 2019-C16
N/A
UBSCM 2019-C16 ASB
90276YAC7
483000.00000000
PA
USD
527286.27000000
0.001633143587
Long
ABS-MBS
CORP
US
N
2
2052-04-15
Fixed
3.46030000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_20-1
N/A
VALET 2020-1 A4
92868JAE6
3400000.00000000
PA
USD
3463265.84000000
0.010726640763
Long
ABS-CBDO
CORP
US
N
2
2026-08-20
Fixed
1.26000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 606679
36201X6Q6
7653.92000000
PA
USD
9058.17000000
0.000028055523
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3831
31418DHH8
63510880.20000000
PA
USD
66742891.73000000
0.206720204620
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 969836
31414L4V7
14610.18000000
PA
USD
17368.48000000
0.000053794728
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G60236
31335AHM3
1062518.05000000
PA
USD
1229735.76000000
0.003808813513
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
7.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5319
36179T4C6
2976507.14000000
PA
USD
3061835.86000000
0.009483307047
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T65543
31323AEQ1
4439041.30000000
PA
USD
4673617.11000000
0.014475415437
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E02730
31294MA76
178152.07000000
PA
USD
188107.96000000
0.000582619586
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL7468
3138EQJN3
434591.40000000
PA
USD
494354.63000000
0.001531145678
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2017-C40
N/A
WFCM 2017-C40 A4
95000YAY1
3040000.00000000
PA
USD
3331657.60000000
0.010319015597
Long
ABS-MBS
CORP
US
N
2
2050-10-15
Fixed
3.58100000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1601
36179NX60
475262.36000000
PA
USD
522368.80000000
0.001617912895
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 736666
3620AQMP5
54956.51000000
PA
USD
61026.24000000
0.000189014237
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6393
3138WGC77
435597.42000000
PA
USD
466245.05000000
0.001444082952
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 987517
31415SAS1
81643.56000000
PA
USD
92650.21000000
0.000286961950
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
5.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MCB4
10000000.00000000
PA
USD
9675470.00000000
0.029967462996
Long
DBT
CORP
JP
N
2
2030-07-08
Fixed
2.13000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS1992
3138WBGA7
3931141.26000000
PA
USD
4220196.11000000
0.013071051924
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3978
31418DM41
1875723.44000000
PA
USD
1972204.65000000
0.006108433995
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34
N/A
MSBAM 2017-C34 A4
61767EAE4
1250000.00000000
PA
USD
1367450.00000000
0.004235350559
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.53600000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 586296
36201LKH6
31650.69000000
PA
USD
36054.03000000
0.000111668767
Long
ABS-MBS
USGA
US
N
2
2034-12-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08763
3128MJZ52
294238.77000000
PA
USD
305184.81000000
0.000945237234
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2.5 6/21
01F022667
629000000.00000000
PA
USD
642833093.80000000
1.991022343241
Long
ABS-MBS
USGSE
US
N
2
2021-06-14
Fixed
2.50000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
INTEL CORP
458140AS9
10000000.00000000
PA
USD
11024810.00000000
0.034146722145
Long
DBT
CORP
US
N
2
2025-07-29
Fixed
3.70000000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513BF1
9000000.00000000
PA
USD
8874792.00000000
0.027487553665
Long
DBT
CORP
US
N
2
2026-03-11
Fixed
0.90000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 880959
31409WWU1
3816.20000000
PA
USD
3996.47000000
0.000012378113
Long
ABS-MBS
USGSE
US
N
2
2021-08-01
Fixed
6.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-GC24
N/A
GSMS 2014-GC24 A5
36253GAE2
210000.00000000
PA
USD
227472.00000000
0.000704540321
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Fixed
3.93100000
N
N
N
N
N
N
GS Mortgage Securities Trust 2013-GCJ14
549300ITVQSU1IHX4H03
GSMS 2013-GC14 A4
36198FAD4
30000.00000000
PA
USD
31268.40000000
0.000096846418
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Fixed
3.95500000
N
N
N
N
N
N
Mizuho Bank Ltd
RB0PEZSDGCO3JS6CEU02
MIZUHO BANK LTD
60688XAG5
7360000.00000000
PA
USD
7992511.04000000
0.024754898608
Long
DBT
CORP
JP
Y
2
2024-04-16
Fixed
3.75000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122CM8
39015000.00000000
PA
USD
41730912.18000000
0.129251557450
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4945
36202FP67
401023.73000000
PA
USD
440963.65000000
0.001365779839
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AA8275
36178GFQ2
92265.15000000
PA
USD
98305.50000000
0.000304477863
Long
ABS-MBS
USGA
US
N
2
2042-07-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2678
36179Q6P1
2296787.63800000
PA
USD
2474077.59000000
0.007662865848
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2012-LC5
N/A
WFCM 2012-LC5 AS
94988HAE1
626372.00000000
PA
USD
647963.04000000
0.002006911129
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
3.53900000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 520110
36211QYF2
13504.99000000
PA
USD
15900.49000000
0.000049247979
Long
ABS-MBS
USGA
US
N
2
2030-04-15
Fixed
8.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 635110
36291QR71
3471629.56000000
PA
USD
3627384.22000000
0.011234958341
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3662
36179SB71
182862.19000000
PA
USD
192832.13000000
0.000597251577
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4766 ZB
3137F3B45
16846754.72000000
PA
USD
18429507.33000000
0.057081007843
Long
ABS-MBS
USGSE
US
N
2
2048-01-15
Fixed
4.00000000
N
N
N
N
N
N
Emerson Electric Co
FGLT0EWZSUIRRITFOA30
EMERSON ELECTRIC
291011BL7
879000.00000000
PA
USD
882261.09000000
0.002732593514
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.80000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 686944
36296CER7
3238.70000000
PA
USD
3458.01000000
0.000010710362
Long
ABS-MBS
USGA
US
N
2
2038-06-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA1442
31334XS75
9882558.84000000
PA
USD
10648335.59000000
0.032980682361
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2011-84 Z
3136A0A72
5676457.54000000
PA
USD
6550688.77000000
0.020289197663
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS3463
3138WCZ55
196090.56000000
PA
USD
209103.38000000
0.000647647897
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
COMM 2014-CCRE17 Mortgage Trust
N/A
COMM 2014-CR17 AM
12631DBD4
330000.00000000
PA
USD
354898.50000000
0.001099213543
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Fixed
4.17400000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2017-179 QG
38380UKN2
2100000.00000000
PA
USD
2187906.00000000
0.006776517532
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CE7
26491000.00000000
PA
USD
27648073.90000000
0.085633321329
Long
DBT
CORP
GB
N
2
2025-11-07
Variable
2.63300000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 627051
36291FTG3
3988678.15000000
PA
USD
4168642.52000000
0.012911376962
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU9260
3138X9JE0
264781.92000000
PA
USD
271809.31000000
0.000841864575
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J27464
31307GJH3
768962.04000000
PA
USD
829968.18000000
0.002570628684
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.50000000
N
N
N
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
TOTAL CAP INTL
89153VAG4
7867000.00000000
PA
USD
8545253.41000000
0.026466886400
Long
DBT
CORP
FR
N
2
2024-01-15
Fixed
3.70000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
INTEL CORP
458140BP4
27000000.00000000
PA
USD
29312604.00000000
0.090788806714
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A67245
3128KYBN8
3147.66000000
PA
USD
3630.21000000
0.000011243710
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2 4/21
21H020642
173000000.00000000
PA
USD
174675937.50000000
0.541017097195
Long
ABS-MBS
USGA
US
N
2
2021-04-21
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 931201
31412PRW3
202717.36000000
PA
USD
234483.58000000
0.000726257019
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5.00000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM INC
747525BN2
25188000.00000000
PA
USD
23957868.46000000
0.074203789226
Long
DBT
CORP
US
N
2
2028-05-20
Fixed
1.30000000
N
N
N
N
N
N
Camden Property Trust
5493002MYX22OHYJBD89
CAMDEN PROP TRST
133131AV4
435000.00000000
PA
USD
470349.84000000
0.001456796561
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 733602
3620AMAB8
24086.80000000
PA
USD
27278.49000000
0.000084488623
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
5.00000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-3
N/A
GMALT 2020-3 A3
362569AC9
11650000.00000000
PA
USD
11675541.46000000
0.036162207796
Long
ABS-CBDO
CORP
US
N
2
2023-08-21
Fixed
0.45000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353REK0
12514000.00000000
PA
USD
13349159.33000000
0.041345840383
Long
DBT
CORP
US
N
2
2025-02-23
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE5981
31419GUF9
7708.27000000
PA
USD
8140.53000000
0.000025213352
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2013-C12
N/A
JPMBB 2013-C12 A4
46639NAP6
1220429.72000000
PA
USD
1269283.52000000
0.003931303277
Long
ABS-MBS
CORP
US
N
2
2045-07-15
Fixed
3.36260000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD7151
31418U5M2
27138.97000000
PA
USD
28737.49000000
0.000089007528
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-14 MA
38380UX32
4595477.90000000
PA
USD
4727184.30000000
0.014641327045
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA9747
31416TZM4
2709.37000000
PA
USD
2851.66000000
0.000008832337
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
4.50000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_18-A
N/A
MMAF 2018-A A4
60700DAD0
4730000.00000000
PA
USD
4891057.92000000
0.015148886537
Long
ABS-CBDO
CORP
US
Y
2
2025-01-10
Fixed
3.39000000
N
N
N
N
N
N
DAIMLER TRUCKS RETAIL TRUST DTRT_19-1
N/A
DTRT 2019-1 A3
233871AC6
28984220.74000000
PA
USD
29213949.67000000
0.090483248433
Long
ABS-CBDO
CORP
US
Y
2
2022-08-15
Fixed
2.77000000
N
N
N
N
N
N
Aventura Mall Trust
N/A
AVMT 2018-AVM A
05359AAA1
460000.00000000
PA
USD
508286.20000000
0.001574295397
Long
ABS-MBS
CORP
US
Y
2
2040-07-05
Variable
4.11230000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q01798
3132GE7K0
511954.05000000
PA
USD
568919.07000000
0.001762091265
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-4
N/A
GMCAR 2019-4 A3
36258MAD6
26510000.00000000
PA
USD
26814279.13000000
0.083050840693
Long
ABS-CBDO
CORP
US
N
2
2024-07-16
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 910870
31411K6F5
279.25000000
PA
USD
281.33000000
0.000000871352
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13240
3128MBZD2
9645.90000000
PA
USD
10215.24000000
0.000031639271
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995794
31416CGB6
414185.40000000
PA
USD
446634.09000000
0.001383342676
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
5.00000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
SHELL INTL FIN
822582CD2
29195000.00000000
PA
USD
29396036.77000000
0.091047219840
Long
DBT
CORP
NL
N
2
2029-11-07
Fixed
2.37500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12243
3128PRP45
10775.39000000
PA
USD
11385.23000000
0.000035263037
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJD2
10890000.00000000
PA
USD
10852070.13000000
0.033611701556
Long
DBT
CORP
US
N
2
2026-06-19
Variable
1.31900000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AF5097
36181LUW6
272792.18000000
PA
USD
302083.49000000
0.000935631634
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC5872
31417SQ29
7251.53000000
PA
USD
7492.65000000
0.000023206698
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC1912
3140EWDS1
443808.30000000
PA
USD
470762.78000000
0.001458075544
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA0862
3140Q75Y9
2203782.75000000
PA
USD
2339831.52000000
0.007247070632
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
SCDS: (QATAR)
BVN4MVDN1
4080000.00000000
NC
USD
-40997.06000000
-0.00012697862
N/A
DCR
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
N/A
QATAR STATE OF
Y
Receipt of notional amount upon default event with regard to reference instrument
2022-06-20
12091.82000000
USD
0.00000000
USD
4080000.00000000
USD
-53088.88000000
N
N
N
Fannie Mae Pool
N/A
FN MA3785
31418DF31
3443003.55000000
PA
USD
3600948.93000000
0.011153081329
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 781987
36241KF45
41962.65000000
PA
USD
48223.48000000
0.000149360739
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 3 4/21
21H030641
-132000000.00000000
PA
USD
-137445000.00000000
-0.42570313912
Short
ABS-MBS
USGA
US
N
2
2021-04-21
Fixed
3.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAX8
6970000.00000000
PA
USD
7288075.95000000
0.022573078759
Long
DBT
CORP
JP
N
2
2023-01-17
Fixed
3.10200000
N
N
N
N
N
N
AIG Global Funding
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDI
00138CAM0
13570000.00000000
PA
USD
13638596.35000000
0.042242302590
Long
DBT
CORP
US
Y
2
2023-07-07
Fixed
0.80000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-A
N/A
NAROT 2020-A A4
65479MAD8
6910000.00000000
PA
USD
7129988.14000000
0.022083439435
Long
ABS-CBDO
CORP
US
N
2
2027-05-17
Fixed
1.70000000
N
N
N
N
N
N
NSTAR Electric Co
54930080R72Y2Z31UR68
NSTAR ELECTRIC
67021CAG2
4490000.00000000
PA
USD
4596965.27000000
0.014238004626
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.37500000
N
N
N
N
N
N
Slovenia Government International Bond
N/A
SLOVENIA
N/A
3385000.00000000
PA
USD
3654112.58000000
0.011317743068
Long
DBT
NUSS
SI
N
2
2022-10-26
Fixed
5.50000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_20-3
N/A
CARMX 2020-3 A4
14315FAE7
2940000.00000000
PA
USD
2944757.80000000
0.009120685651
Long
ABS-CBDO
CORP
US
N
2
2026-03-16
Fixed
0.77000000
N
N
N
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
MARSH & MCLENNAN
571748BG6
5800000.00000000
PA
USD
6640014.00000000
0.020565861280
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2013-C17
N/A
JPMBB 2013-C17 A4
46640UAD4
4237760.00000000
PA
USD
4592545.27000000
0.014224314729
Long
ABS-MBS
CORP
US
N
2
2047-01-15
Fixed
4.19890000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 717173
3620A2XA9
22869.77000000
PA
USD
25381.77000000
0.000078613984
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q34970
3132QRQY9
48370.14000000
PA
USD
52875.19000000
0.000163768302
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745948
31403DWH8
168138.75000000
PA
USD
193283.45000000
0.000598649433
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE6030
3133N3VX9
5957298.74000000
PA
USD
6245752.93000000
0.019344731554
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AL4508
36184BAH0
2528490.36000000
PA
USD
2765133.54000000
0.008564342304
Long
ABS-MBS
USGA
US
N
2
2045-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 970227
31414MLG9
70546.80000000
PA
USD
79969.97000000
0.000247687928
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
ERP Operating LP
DX5HQV5MLU50FEWZ5072
ERP OPERATING LP
26884ABL6
8120000.00000000
PA
USD
8446594.52000000
0.026161313995
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ8874
3140E12G7
153174.34000000
PA
USD
168499.33000000
0.000521886527
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-A
N/A
HART 2019-A A4
44932NAE0
6050000.00000000
PA
USD
6261175.25000000
0.019392498516
Long
ABS-CBDO
CORP
US
N
2
2025-05-15
Fixed
2.71000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM INC
747525AU7
10570000.00000000
PA
USD
11539776.36000000
0.035741707747
Long
DBT
CORP
US
N
2
2027-05-20
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05380
3128M7JZ0
14909.09000000
PA
USD
17002.06000000
0.000052659829
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
6.00000000
N
N
N
N
N
N
BHP Billiton Finance USA Ltd
5493003NUVITP3TMY274
BHP FINANCE USA
055451AQ1
2755000.00000000
PA
USD
2817081.17000000
0.008725237711
Long
DBT
CORP
AU
N
2
2022-02-24
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A78361
3128LCJE7
25393.99000000
PA
USD
29291.44000000
0.000090723256
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.50000000
N
N
N
N
N
N
CNH EQUIPMENT TRUST CNH_20-A
N/A
CNH 2020-A A3
12597PAC2
7250000.00000000
PA
USD
7319411.50000000
0.022670133159
Long
ABS-CBDO
CORP
US
N
2
2025-06-16
Fixed
1.16000000
N
N
N
N
N
N
Credit Suisse AG/New York NY
549300D0YARF5HYP1809
CRED SUIS NY
22550L2C4
23500000.00000000
PA
USD
24784416.00000000
0.076763823294
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 965216
31414FYM7
43526.52000000
PA
USD
49342.24000000
0.000152825831
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE4266
3140FPW47
286959.94000000
PA
USD
301148.10000000
0.000932734486
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
N/A
10751000.00000000
PA
USD
11856740.35000000
0.036723428184
Long
DBT
NUSS
BM
N
2
2024-02-06
Fixed
4.85400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0215
31419AGZ4
2266635.20000000
PA
USD
2485584.45000000
0.007698505605
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4746 NV
3137FCYL2
8641560.00000000
PA
USD
8935113.79000000
0.027674386037
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Fixed
3.50000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HNDLSBKN
N/A
5825000.00000000
PA
6909063.09000000
0.021399176731
Long
DBT
CORP
SE
N
2
2024-06-18
Fixed
0.12500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q32916
3132QPG24
190932.44000000
PA
USD
202685.23000000
0.000627769207
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q25331
3132M5SU7
55754.63000000
PA
USD
60772.22000000
0.000188227471
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q03088
3132GJCZ0
4557312.45000000
PA
USD
5068029.49000000
0.015697013809
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 257406
31371N3P8
9028.45000000
PA
USD
10245.79000000
0.000031733893
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 783050
36241LL79
36289.48000000
PA
USD
41570.85000000
0.000128755802
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q36893
3132QTUT1
445508.79000000
PA
USD
477304.75000000
0.001478337737
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32
N/A
MSBAM 2016-C32 A4
61691GAS9
3763000.00000000
PA
USD
4151153.45000000
0.012857208735
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.72000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE3782
3140FPFY0
110106.54000000
PA
USD
123858.78000000
0.000383623059
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 836018
31407NYP2
200805.56000000
PA
USD
233728.09000000
0.000723917069
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
Emerson Electric Co
FGLT0EWZSUIRRITFOA30
EMERSON ELECTRIC
291011BP8
9640000.00000000
PA
USD
9343666.40000000
0.028939780402
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
0.87500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 257016
31371NN92
3875.28000000
PA
USD
4459.73000000
0.000013812951
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
7.00000000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC
713448ER5
14500000.00000000
PA
USD
15394055.50000000
0.047679419042
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC8568
31417VQW6
4305.79000000
PA
USD
4778.51000000
0.000014800296
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C01165
31292HJJ4
15607.84000000
PA
USD
17910.70000000
0.000055474125
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
7.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-GC24
N/A
GSMS 2014-GC24 AS
36253GAJ1
140000.00000000
PA
USD
151040.40000000
0.000467811651
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Variable
4.16200000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 443383
36207VRC2
222314.31000000
PA
USD
249757.28000000
0.000773563666
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 434797
36207K7J3
8533.99000000
PA
USD
10277.79000000
0.000031833005
Long
ABS-MBS
USGA
US
N
2
2030-07-15
Fixed
8.50000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
949746SH5
16620000.00000000
PA
USD
17722255.02000000
0.054890462326
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06019
3128M8AU8
514768.01000000
PA
USD
595085.51000000
0.001843135579
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.00000000
N
N
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
ENTERGY ARKANSAS
29364DAS9
6213000.00000000
PA
USD
6726641.14000000
0.020834168206
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13103
3128MBU47
859.36000000
PA
USD
888.60000000
0.000002752226
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2016-55 CP
3136ATHU1
21363352.70000000
PA
USD
21247563.33000000
0.065809264858
Long
ABS-MBS
USGSE
US
N
2
2046-03-25
Fixed
1.75000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 739635
3620ATV46
251726.97000000
PA
USD
269068.32000000
0.000833375011
Long
ABS-MBS
USGA
US
N
2
2042-05-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 720159
3620A6B48
1598.46000000
PA
USD
1774.54000000
0.000005496214
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
4.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C18
N/A
JPMBB 2014-C18 A5
46641JAW6
3930000.00000000
PA
USD
4250452.20000000
0.013164762954
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Fixed
4.07930000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBM1
44049000.00000000
PA
USD
46501119.73000000
0.144026138761
Long
DBT
CORP
JP
N
2
2024-07-16
Fixed
2.69600000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807CV7
1003000.00000000
PA
USD
1086111.59000000
0.003363971867
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
3.50000000
N
N
N
N
N
N
CSAIL 2016-C7 Commercial Mortgage Trust
5493006MX7HG5PC85C29
CSAIL 2016-C7 A4
12637UAV1
3282567.74000000
PA
USD
3472136.03000000
0.010754114063
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
3.21000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU3248
3138X2TE4
5396523.54000000
PA
USD
5885545.17000000
0.018229073843
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO4071
3140JYQZ2
4197169.63000000
PA
USD
4417240.24000000
0.013681349168
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14778
3128MDQ71
17732.35000000
PA
USD
18942.98000000
0.000058671367
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 780685
36225AXN5
3502.97000000
PA
USD
3835.91000000
0.000011880817
Long
ABS-MBS
USGA
US
N
2
2027-12-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5764
36179UMM1
74809294.25000000
PA
USD
81182544.90000000
0.251443589846
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 631236
36291LHM0
105264.27000000
PA
USD
119333.89000000
0.000369608291
Long
ABS-MBS
USGA
US
N
2
2035-06-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 888650
31410GH30
16111.00000000
PA
USD
18791.61000000
0.000058202534
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BB3761
3617AUFA3
6037173.95000000
PA
USD
6780120.65000000
0.020999808246
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL9733
3138ERY79
881022.09000000
PA
USD
943117.58000000
0.002921081991
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 934429
31412TSS3
25402.88000000
PA
USD
29591.82000000
0.000091653611
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR7994
3617M63B4
1060692.96000000
PA
USD
1106301.48000000
0.003426505241
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
CDP Financial Inc
549300OXMGVYFCBFV096
CDP FINANCIAL
125094AQ5
1519000.00000000
PA
USD
1633585.77000000
0.005059642695
Long
DBT
NUSS
CA
Y
2
2024-07-24
Fixed
3.15000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 676389
36295PNE8
82603.42000000
PA
USD
95442.83000000
0.000295611425
Long
ABS-MBS
USGA
US
N
2
2038-01-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01749
31283H5J0
66519.42000000
PA
USD
75956.53000000
0.000235257253
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 967499
31414JKL6
58130.77000000
PA
USD
65940.95000000
0.000204236381
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 615583
36290R2Q5
79862.28000000
PA
USD
90930.21000000
0.000281634659
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH1725
3140GP4K1
2511163.50000000
PA
USD
2741844.00000000
0.008492208503
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2012-C9
N/A
WFRBS 2012-C9 AS
92930RAC6
632824.00000000
PA
USD
653770.47000000
0.002024898260
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Fixed
3.38800000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp
4NYF266XZC35SCTGX023
NATL RURAL UTIL
637432NL5
4350000.00000000
PA
USD
4599576.90000000
0.014246093528
Long
DBT
CORP
US
N
2
2024-02-07
Fixed
2.95000000
N
N
N
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
LOCKHEED MARTIN
539830BP3
5895000.00000000
PA
USD
5726461.95000000
0.017736351473
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.85000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 890263
31410LB84
2192.34000000
PA
USD
2332.34000000
0.000007223867
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AK6860
36183QTR6
279669.69000000
PA
USD
292272.75000000
0.000905245204
Long
ABS-MBS
USGA
US
N
2
2045-01-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AC3754
36179DE30
22918.90000000
PA
USD
24302.78000000
0.000075272070
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE6021
3133N3VN1
12419137.21000000
PA
USD
12564369.08000000
0.038915139572
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal Home Loan Banks
2549001DPIFGXC1TOL40
FED HOME LN BANK
3130AEBV1
6300000.00000000
PA
USD
6914810.70000000
0.021416978583
Long
DBT
USGSE
US
N
2
2025-06-13
Fixed
3.12500000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-4
N/A
CARMX 2019-4 A3
14315WAD2
33050000.00000000
PA
USD
33760601.44000000
0.104565418981
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
2.02000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AU7269
36194VCE9
988229.93000000
PA
USD
1031072.66000000
0.003193501895
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725042
31402CP30
418806.32000000
PA
USD
489629.36000000
0.001516510280
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY0015
3138YDAR0
247369.55000000
PA
USD
271331.45000000
0.000840384517
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T65531
31323AEC2
164568.51000000
PA
USD
172440.36000000
0.000534092928
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 952235
31413QLQ9
26185.22000000
PA
USD
30092.68000000
0.000093204906
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
7.00000000
N
N
N
N
N
N
State of Wisconsin
549300VTAT608CNZ5827
WISCONSIN GEN REV
977100AC0
2585000.00000000
PA
USD
3000123.86000000
0.009292168831
Long
DBT
MUN
US
N
2
2026-05-01
Fixed
5.70000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GGL7
5800000.00000000
PA
USD
6341801.20000000
0.019642218185
Long
DBT
CORP
US
N
2
2028-04-24
Variable
3.70500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 650395
36292JRQ4
25844.08000000
PA
USD
28923.81000000
0.000089584609
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Non Gold Pool
N/A
FH 1B0736
31336SLR7
8159.64000000
PA
USD
8530.66000000
0.000026421686
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Floating
2.33600000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28390
31307HKB2
19037.00000000
PA
USD
20527.15000000
0.000063577956
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 732087
3620AKJ80
309985.24000000
PA
USD
356021.83000000
0.001102692790
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AD2437
36180DV61
10002.67000000
PA
USD
10775.49000000
0.000033374512
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY9148
3138YPEW8
67907.93000000
PA
USD
74496.96000000
0.000230736583
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4521
36202FAW6
139291.46000000
PA
USD
154118.81000000
0.000477346292
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0947
31419BBR5
3409061.13000000
PA
USD
3945466.33000000
0.012220141889
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BJ2
14640000.00000000
PA
USD
15512002.32000000
0.048044731214
Long
DBT
CORP
JP
N
2
2024-07-18
Fixed
2.80100000
N
N
N
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
STATOIL ASA
85771PAG7
1904000.00000000
PA
USD
1975142.96000000
0.006117534710
Long
DBT
CORP
NO
N
2
2023-01-17
Fixed
2.45000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NCR0
12085000.00000000
PA
USD
13169737.52000000
0.040790124077
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS9456
3138WKQJ7
279091.24000000
PA
USD
305664.55000000
0.000946723114
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI8517
3138ANPB3
645566.03000000
PA
USD
687322.02000000
0.002128816191
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1839
36179QBG5
576961.61180000
PA
USD
634135.80000000
0.001964084547
Long
ABS-MBS
USGA
US
N
2
2044-04-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4801
36202FKN5
27236.15450000
PA
USD
30272.62000000
0.000093762227
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 758419
36230TK84
8229.34000000
PA
USD
9132.12000000
0.000028284565
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
4.50000000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-B
N/A
SOFI 2017-B A2FX
83403YAB0
157215.57000000
PA
USD
159555.91000000
0.000494186414
Long
ABS-CBDO
CORP
US
Y
2
2040-05-25
Fixed
2.74000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG D98758
3128E5WT2
71315.54000000
PA
USD
77292.75000000
0.000239395876
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723540
3620A9ZD6
4694.40000000
PA
USD
5386.78000000
0.000016684267
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
5.00000000
N
N
N
N
N
N
Australia & New Zealand Banking Group Ltd
JHE42UYNWWTJB8YTTU19
AUST & NZ BANK
N/A
5825000.00000000
PA
6953956.28000000
0.021538222690
Long
DBT
CORP
AU
N
2
2023-02-21
Fixed
0.62500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A93651
312942BU8
44531.61000000
PA
USD
49897.17000000
0.000154544595
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
PENNSYLVANIA HIGHER EDUCATION ASSISTANCE AGENCY PHEAA_16-2A
N/A
PHEAA 2016-2A A
69343VAA0
2574578.40110000
PA
USD
2588483.96000000
0.008017212320
Long
ABS-CBDO
CORP
US
Y
2
2065-11-25
Floating
1.06760000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
HOME DEPOT INC
437076BT8
11540000.00000000
PA
USD
12368883.58000000
0.038309669813
Long
DBT
CORP
US
N
2
2027-09-14
Fixed
2.80000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2016-UB11
N/A
MSC 2016-UB11 A4
61767FBA8
487000.00000000
PA
USD
515547.94000000
0.001596786906
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
2.78200000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AB9203
36178WGL7
268438.23000000
PA
USD
279967.06000000
0.000867131261
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
3.00000000
N
N
N
N
N
N
Qatar Government International Bond
N/A
QATAR STATE OF
N/A
29000000.00000000
PA
USD
29964540.00000000
0.092808023140
Long
DBT
NUSS
QA
N
2
2022-01-20
Fixed
4.50000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_18-1A
N/A
CFII 2018-1A A1
165183BG8
5142199.00000000
PA
USD
5178729.70000000
0.016039881334
Long
ABS-CBDO
CORP
US
Y
2
2030-04-15
Fixed
3.04000000
N
N
N
N
N
N
Camden Property Trust
5493002MYX22OHYJBD89
CAMDEN PROP TRST
133131AU6
16018000.00000000
PA
USD
17482189.36000000
0.054146916143
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 938199
31412XX41
8959.07000000
PA
USD
10130.53000000
0.000031376902
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0933
36179NBA5
208114.34000000
PA
USD
221347.46000000
0.000685571017
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Fixed
3.00000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833CG3
8675000.00000000
PA
USD
9257109.85000000
0.028671692112
Long
DBT
CORP
US
N
2
2024-02-09
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 784210
3622A2VB5
141417.87000000
PA
USD
157167.35000000
0.000486788419
Long
ABS-MBS
USGA
US
N
2
2046-09-15
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14
N/A
MSBAM 2014-C14 A5
61690GAF8
400000.00000000
PA
USD
431792.00000000
0.001337372838
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Fixed
4.06400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS4382
3138WD2Q3
255038.79000000
PA
USD
270170.67000000
0.000836789278
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J22163
31307AML3
15144.18000000
PA
USD
15754.54000000
0.000048795933
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT8111
36194HAL6
1046103.05000000
PA
USD
1091706.66000000
0.003381301263
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ8655
3140E1TM5
576587.64000000
PA
USD
617154.79000000
0.001911489915
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
TRUIST FINANCIAL
89788MAA0
8030000.00000000
PA
USD
7993487.59000000
0.024757923239
Long
DBT
CORP
US
N
2
2025-08-05
Fixed
1.20000000
N
N
N
N
N
N
RESIMAC Premier Series 2020-1
N/A
RESI 2020-1A A1B
76120GAB5
2226349.00000000
PA
USD
2226956.79000000
0.006897468050
Long
ABS-MBS
CORP
AU
Y
2
2052-02-07
Fixed
1.27400000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBV1
11660000.00000000
PA
USD
12080949.32000000
0.037417862047
Long
DBT
CORP
JP
N
2
2025-01-15
Fixed
2.34800000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08814
3128MJ3Y4
375349.41000000
PA
USD
403991.84000000
0.001251268467
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q09219
3132GUSG0
2546720.31000000
PA
USD
2897824.41000000
0.008975320659
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E02704
31294MAD3
7783.89000000
PA
USD
8227.50000000
0.000025482720
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBM2
150000000.00000000
PA
USD
149179680.00000000
0.462048514462
Long
DBT
UST
US
N
2
2024-02-15
Fixed
0.12500000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZM0495
3131XTRQ5
3441184.92000000
PA
USD
3682895.47000000
0.011406891212
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
3.50000000
N
N
N
N
N
N
Union Electric Co
QMPJLLDULY5C1M8PNY21
UNION ELECTRIC
906548CR1
15000000.00000000
PA
USD
15703455.00000000
0.048637710274
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 735502
31402RDF3
83975.08000000
PA
USD
98585.48000000
0.000305345034
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL7044
3131XNZH9
4273978.64000000
PA
USD
4674799.20000000
0.014479076679
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.50000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-1
N/A
HAROT 2019-1 A4
43814WAD7
5000000.00000000
PA
USD
5158158.50000000
0.015976166943
Long
ABS-CBDO
CORP
US
N
2
2024-06-18
Fixed
2.90000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4322
36179SYT8
1312799.90000000
PA
USD
1424853.94000000
0.004413145585
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
4.00000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122DP0
16000000.00000000
PA
USD
15443584.00000000
0.047832821770
Long
DBT
CORP
US
N
2
2027-11-13
Fixed
1.12500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5176
36202FXD3
10688.65000000
PA
USD
11819.66000000
0.000036608580
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1521
36179NVN5
91259.86000000
PA
USD
98634.96000000
0.000305498287
Long
ABS-MBS
USGA
US
N
2
2043-12-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BS1355
3617MBQG7
579142.76000000
PA
USD
611035.98000000
0.001892538359
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08676
3128MJXE5
1301685.91000000
PA
USD
1393741.79000000
0.004316783114
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL6205
3138EN3P2
1625533.92000000
PA
USD
1753923.30000000
0.005432359522
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q42947
3132WGHZ3
389888.11000000
PA
USD
416662.51000000
0.001290512848
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_16-C
N/A
SMB 2016-C A2B
78449KAC4
203153.61570000
PA
USD
204601.49000000
0.000633704365
Long
ABS-CBDO
CORP
US
Y
2
2034-09-15
Floating
1.20600000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BN1541
3140JHWB5
9176832.48000000
PA
USD
10040968.91000000
0.031099508784
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
US 2YR NOTE (CBT) Jun21
N/A
902.00000000
NC
USD
199095358.92000000
0.616650436744
N/A
DIR
N/A
N
1
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Long
N/A
CBOT 2 Year US Treasury Note Future
2021-06-30
199120411.46000000
USD
-25052.54000000
N
N
N
Ginnie Mae I Pool
N/A
GN 426734
36207BBB5
3751.37000000
PA
USD
4469.53000000
0.000013843304
Long
ABS-MBS
USGA
US
N
2
2029-05-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0776
31417Y2J5
528815.28000000
PA
USD
590499.15000000
0.001828930421
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
4.50000000
N
N
N
N
N
N
Dexia Credit Local SA
F4G136OIPBYND1F41110
DEXIA CRED LOCAL
25214BAW4
70000000.00000000
PA
USD
74807250.00000000
0.231697632904
Long
DBT
CORP
FR
Y
2
2023-09-26
Fixed
3.25000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6542
36179VHT0
5999401.06380000
PA
USD
6330049.05000000
0.019605818701
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03219
3128M44C4
461008.52000000
PA
USD
526481.64000000
0.001630651437
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G12833
3128MBLN5
499.97000000
PA
USD
525.18000000
0.000001626619
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18283
3128MMJ53
424.04000000
PA
USD
440.97000000
0.000001365799
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 945629
31413HA65
13681.53000000
PA
USD
15501.17000000
0.000048011180
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2.5 4/21
01F022444
108000000.00000000
PA
USD
112320000.00000000
0.347884438044
Long
ABS-MBS
USGSE
US
N
2
2021-04-19
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 825686
31407BJ75
667666.95000000
PA
USD
765074.95000000
0.002369637366
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 367097
36204DX20
7401.98000000
PA
USD
8232.97000000
0.000025499662
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.50000000
N
N
N
N
N
N
Province of Quebec Canada
549300WN65YFEQH74Y36
QUEBEC PROVINCE
748149AF8
10150000.00000000
PA
USD
10251713.15000000
0.031752238854
Long
DBT
NUSS
CA
N
2
2021-08-25
Fixed
2.75000000
N
N
N
N
N
N
BMW VEHICLE OWNER TRUST BMWOT_20-A
N/A
BMWOT 2020-A A3
09661RAD3
17400000.00000000
PA
USD
17438560.14000000
0.054011785030
Long
ABS-CBDO
CORP
US
N
2
2024-10-25
Fixed
0.48000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDR_19-1
N/A
FORDR 2019-1 A
34532PAA8
13211000.00000000
PA
USD
14231730.74000000
0.044079395039
Long
ABS-CBDO
CORP
US
Y
2
2030-07-15
Fixed
3.52000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03341
3128M5BJ8
282425.02000000
PA
USD
327850.63000000
0.001015439211
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C00702
31292GX76
6895.31000000
PA
USD
7812.78000000
0.000024198224
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
6.00000000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
DUKE ENERGY FLA
26444HAH4
16960000.00000000
PA
USD
17257529.28000000
0.053451085074
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB6390
31417DC43
605163.79000000
PA
USD
644574.96000000
0.001996417358
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH4420
3138A54E9
651802.43000000
PA
USD
728674.38000000
0.002256895274
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C01345
31292HP65
32970.69000000
PA
USD
37246.66000000
0.000115362654
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
7.00000000
N
N
N
N
N
N
State Board of Administration Finance Corp
549300S34SOJ0RULXM35
FLORIDA ST BRD OF ADM
341271AE4
75000000.00000000
PA
USD
75275565.00000000
0.233148127034
Long
DBT
MUN
US
N
2
2027-07-01
Fixed
1.70500000
N
N
N
N
N
N
Invesco Finance PLC
549300OYQ3LAJYXXO449
INVESCO FIN PLC
46132FAB6
12165000.00000000
PA
USD
13272830.06000000
0.041109428656
Long
DBT
CORP
GB
N
2
2024-01-30
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GRD8
295000.00000000
PA
USD
311265.12000000
0.000964069545
Long
DBT
CORP
US
N
2
2023-01-22
Fixed
3.62500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4262
36179SWX1
3351078.38000000
PA
USD
3583455.56000000
0.011098899784
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD5101
31418SU31
6282.18000000
PA
USD
6607.48000000
0.000020465094
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 3633 ZM
31398WPQ1
11394056.91000000
PA
USD
12984667.25000000
0.040216913011
Long
ABS-MBS
USGSE
US
N
2
2038-08-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 783637
3622A2BE1
95955.00000000
PA
USD
102121.99000000
0.000316298531
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 783366
36241LW36
121519.71000000
PA
USD
139229.46000000
0.000431230078
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
5.00000000
N
N
N
N
N
N
BANK 2017-BNK7
N/A
BANK 2017-BNK7 A5
06541XAF7
1190000.00000000
PA
USD
1298171.00000000
0.004020775363
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
3.43500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995699
31416CDC7
1845.60000000
PA
USD
1926.85000000
0.000005967958
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 545195
31385HUU4
7290.84000000
PA
USD
8387.58000000
0.000025978530
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU0533
3138WZSX1
3500399.42000000
PA
USD
3651885.86000000
0.011310846333
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH2235
3138A3PV3
88982.03000000
PA
USD
93841.69000000
0.000290652275
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745095
31403CXY2
161009.25000000
PA
USD
187822.88000000
0.000581736619
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-A
N/A
FORDO 2020-A A4
34528GAL0
2250000.00000000
PA
USD
2299630.50000000
0.007122557551
Long
ABS-CBDO
CORP
US
N
2
2025-07-15
Fixed
1.35000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CK3
7440000.00000000
PA
USD
7119328.56000000
0.022050423925
Long
DBT
CORP
GB
N
2
2031-08-18
Variable
2.35700000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-4
N/A
GMCAR 2019-4 A4
36258MAE4
3710000.00000000
PA
USD
3809186.48000000
0.011798047524
Long
ABS-CBDO
CORP
US
N
2
2025-01-16
Fixed
1.76000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06409
3128M8N26
64502.60000000
PA
USD
74103.81000000
0.000229518895
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
6.00000000
N
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
JOHNSON&JOHNSON
478160CP7
6000000.00000000
PA
USD
5814036.00000000
0.018007591227
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
0.95000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_20-3
N/A
CARMX 2020-3 A3
14315FAD9
25850000.00000000
PA
USD
25954470.19000000
0.080387787364
Long
ABS-CBDO
CORP
US
N
2
2025-03-17
Fixed
0.62000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468Q5
32000000.00000000
PA
USD
33053888.00000000
0.102376542486
Long
DBT
CORP
US
N
2
2026-04-28
Variable
2.18800000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550AX6
4694000.00000000
PA
USD
4864838.13000000
0.015067676985
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.12500000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET CRP
857477BE2
1400000.00000000
PA
USD
1467275.60000000
0.004544536570
Long
DBT
CORP
US
N
2
2025-11-01
Variable
2.35400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 626331
31389HY44
3555.36000000
PA
USD
3657.07000000
0.000011326902
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Floating
2.12500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 569703
36200Q3L6
20479.57000000
PA
USD
23154.59000000
0.000071715825
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07195
3128M9KG6
303698.92000000
PA
USD
337370.26000000
0.001044923996
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C01025
31292HD68
1636.70000000
PA
USD
1943.43000000
0.000006019311
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 253356
31371JMD3
3938.49000000
PA
USD
4646.79000000
0.000014392324
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3881
31418DJ37
2501303.25000000
PA
USD
2627168.58000000
0.008137028713
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
4.00000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_18-D
N/A
WOART 2018-D A4
98162WAE7
3070000.00000000
PA
USD
3214945.14000000
0.009957526561
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
3.44000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J07841
3128PKWA8
33517.96000000
PA
USD
34837.99000000
0.000107902373
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 571267
36200STY6
18339.32000000
PA
USD
20513.78000000
0.000063536545
Long
ABS-MBS
USGA
US
N
2
2031-10-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G02061
3128LXJE1
68141.67000000
PA
USD
76998.04000000
0.000238483082
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
7.00000000
N
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
PUBLIC STORAGE
74460DAD1
11800000.00000000
PA
USD
12876289.80000000
0.039881239682
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
3.38500000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BM5
8000000.00000000
PA
USD
8382096.00000000
0.025961545197
Long
DBT
CORP
JP
N
2
2029-07-18
Fixed
3.19500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 617179
36290TUC1
10298.26000000
PA
USD
10697.22000000
0.000033132090
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
AIG Global Funding
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDI
00138CAN8
29000000.00000000
PA
USD
28231964.00000000
0.087441781793
Long
DBT
CORP
US
Y
2
2025-09-22
Fixed
0.90000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78013XW20
9880000.00000000
PA
USD
10643180.60000000
0.032964716008
Long
DBT
CORP
CA
N
2
2023-10-05
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH4733
3138A6HK9
763148.33000000
PA
USD
844672.26000000
0.002616171069
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AE0391
36180SNG5
98739.97000000
PA
USD
105140.86000000
0.000325648762
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.50000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDW9
6810000.00000000
PA
USD
6792259.95000000
0.021037406835
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 635122
36291QSK1
8644909.12000000
PA
USD
9031965.91000000
0.027974362402
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q37204
3132QUAE3
270204.93000000
PA
USD
290091.66000000
0.000898489798
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
Entergy Gulf States Louisiana LLC
8F4SD5Y4YNDDSMHFUP83
ENTERGY GULF STA
29365PAP7
8675000.00000000
PA
USD
10062687.70000000
0.031166777561
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.59000000
N
N
N
N
N
N
Slovenia Government International Bond
N/A
SLOVENIA
EK0692013
18841000.00000000
PA
USD
21263460.85000000
0.065858503638
Long
DBT
NUSS
SI
N
2
2024-02-18
Fixed
5.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 737312
3620ARDR9
2772153.12000000
PA
USD
3086628.11000000
0.009560095134
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 681463
36295VB81
15700.65000000
PA
USD
18461.52000000
0.000057180159
Long
ABS-MBS
USGA
US
N
2
2038-05-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 677292
36295QNH9
62390.78000000
PA
USD
71105.46000000
0.000220232220
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT8270
36194HFK3
2562900.44000000
PA
USD
2792615.26000000
0.008649460384
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5133
3138WEV30
2979879.18000000
PA
USD
3189526.79000000
0.009878799278
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HJZ4
8190000.00000000
PA
USD
9166395.42000000
0.028390725779
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3278
31418CUC6
368910.72000000
PA
USD
404769.65000000
0.001253677548
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL0719
3138EGYR9
518370.85000000
PA
USD
611300.38000000
0.001893357275
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL1768
3138EH6E7
125351.24000000
PA
USD
140304.99000000
0.000434561276
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725205
31402CU67
231485.24000000
PA
USD
264372.30000000
0.000818830208
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM1144
3140J5HW2
3812456.50000000
PA
USD
3944973.29000000
0.012218614815
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL2283
36183XRC6
76913.22000000
PA
USD
82009.24000000
0.000254004080
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5398
36179T7K5
818570.09000000
PA
USD
875061.74000000
0.002710295242
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
4.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2015-C31
N/A
JPMBB 2015-C31 A3
46644YAU4
250000.00000000
PA
USD
273205.00000000
0.000846187392
Long
ABS-MBS
CORP
US
N
2
2048-08-15
Fixed
3.80140000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-1
N/A
HAROT 2020-1 A3
43813RAC1
30170000.00000000
PA
USD
30691699.64000000
0.095060226868
Long
ABS-CBDO
CORP
US
N
2
2024-04-22
Fixed
1.61000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 733736
3620AMEH1
98057.30000000
PA
USD
110604.25000000
0.000342570311
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
4.50000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913QAA7
2596000.00000000
PA
USD
2656852.84000000
0.008228968636
Long
DBT
CORP
US
N
2
2022-06-06
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI7282
3138AMCU7
5029.32000000
PA
USD
5538.28000000
0.000017153502
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07972
3128MAFM6
106803.52000000
PA
USD
117513.34000000
0.000363969571
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZM0457
3131XTQJ2
1732527.32000000
PA
USD
1846336.87000000
0.005718588536
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C04272
31292LW92
1295534.17000000
PA
USD
1379085.37000000
0.004271388345
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889072
31410GW90
133500.21000000
PA
USD
155871.48000000
0.000482774770
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.50000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB
N/A
8000000.00000000
PA
9462144.79000000
0.029306738986
Long
DBT
CORP
SE
N
2
2022-09-06
Fixed
0.30000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 888637
31410GHN6
130241.43000000
PA
USD
151836.87000000
0.000470278527
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Santander UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC
80283LAX1
1544000.00000000
PA
USD
1642911.73000000
0.005088527634
Long
DBT
CORP
GB
N
2
2024-06-18
Fixed
2.87500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698099
36296QRU5
22231.26000000
PA
USD
24933.59000000
0.000077225854
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 710994
36297F3B6
2617392.91000000
PA
USD
2988043.75000000
0.009254753568
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
5.00000000
N
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
JOHNSON&JOHNSON
478160CK8
12444000.00000000
PA
USD
13378581.73000000
0.041436969257
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
2.90000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 487825
36210B4J1
128412.26000000
PA
USD
146162.78000000
0.000452704385
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28192
31307HC54
21372.21000000
PA
USD
22812.05000000
0.000070654889
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 892414
31410NN79
5620.94000000
PA
USD
5661.25000000
0.000017534372
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6030
36179UVX7
1938893.85000000
PA
USD
2031845.00000000
0.006293155769
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
3.50000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-4
N/A
SDART 2020-4 A3
80286WAD8
5720000.00000000
PA
USD
5731881.58000000
0.017753137485
Long
ABS-CBDO
CORP
US
N
2
2024-07-15
Fixed
0.48000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HJT8
4000000.00000000
PA
USD
4359536.00000000
0.013502624033
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
3.87500000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP
68389XBC8
5140000.00000000
PA
USD
5470717.88000000
0.016944245151
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.95000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 493361
36210JB64
15576.09000000
PA
USD
17578.78000000
0.000054446082
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2602
36179Q3K5
221148.95000000
PA
USD
243080.62000000
0.000752884302
Long
ABS-MBS
USGA
US
N
2
2045-02-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 627118
31389JVK7
288039.49000000
PA
USD
332139.89000000
0.001028724171
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A56052
3128KJWM0
24160.51000000
PA
USD
26803.68000000
0.000083018012
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0317
36179MK66
1801481.33000000
PA
USD
1916978.80000000
0.005937385083
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-LC22
549300XO83D3BDYP0P62
WFCM 2015-LC22 A4
94989TAZ7
7485000.00000000
PA
USD
8254458.00000000
0.025566216904
Long
ABS-MBS
CORP
US
N
2
2058-09-15
Fixed
3.83900000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12636
3128PR4V8
16176.04000000
PA
USD
17072.62000000
0.000052878372
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
US ULTRA BOND CBT Jun21
N/A
93.00000000
NC
USD
16853343.75000000
0.052199216699
N/A
DIR
N/A
N
1
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
Long
N/A
CME Ultra Long Term US Treasury Bond Future
2021-06-21
17039470.42000000
USD
-186126.67000000
N
N
N
GA Global Funding Trust
54930029I8ROQ4OROZ88
GA GLOBAL FNDING
36143L2A2
5600000.00000000
PA
USD
5575752.00000000
0.017269563311
Long
DBT
CORP
US
Y
2
2026-01-15
Fixed
1.62500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3376
36179RXD6
2397568.09000000
PA
USD
2582649.32000000
0.007999140913
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
3.50000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122DE5
9949000.00000000
PA
USD
11151863.95000000
0.034540241483
Long
DBT
CORP
US
N
2
2028-02-20
Fixed
3.90000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5175
36202FXC5
100811.23000000
PA
USD
111945.42000000
0.000346724265
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550BC1
5580000.00000000
PA
USD
6217436.88000000
0.019257029336
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.75000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1995
36179QGC9
202221.74000000
PA
USD
218228.06000000
0.000675909419
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967LM1
20000000.00000000
PA
USD
20602480.00000000
0.063811272944
Long
DBT
CORP
US
N
2
2023-07-24
Variable
2.87600000
N
N
N
N
N
N
Ascension Health
N/A
ASCENSION HEALTH
04352EAA3
2500000.00000000
PA
USD
2564232.50000000
0.007942099201
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
2.53200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE5839
31419GPZ1
3205752.44000000
PA
USD
3562227.30000000
0.011033150306
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
AvalonBay Communities Inc
K9G90K85RBWD2LAGQX17
AVALONBAY COMMUN
05348EBC2
2250000.00000000
PA
USD
2385801.00000000
0.007389450143
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.20000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 720558
3620A6QK6
89946.57000000
PA
USD
101435.20000000
0.000314171363
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
6.00000000
N
N
N
N
N
N
Northwestern Mutual Global Funding
635400LZXFVELZDVP257
NW MUTUAL GLOBAL
66815L2A6
8320000.00000000
PA
USD
8132708.48000000
0.025189126774
Long
DBT
CORP
US
Y
2
2026-01-14
Fixed
0.80000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG D97984
3128E42R2
5544.23000000
PA
USD
6207.42000000
0.000019226004
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2.5 4/21
01F022642
-692000000.00000000
PA
USD
-710165000.00000000
-2.19956687984
Short
ABS-MBS
USGSE
US
N
2
2021-04-14
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 604788
36200M2V4
83585.88000000
PA
USD
93037.66000000
0.000288161984
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 1.5 4/21
01F012445
110000000.00000000
PA
USD
110464068.00000000
0.342136130878
Long
ABS-MBS
USGSE
US
N
2
2021-04-19
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-66 CB
3136B26S6
5318528.52000000
PA
USD
5358789.78000000
0.016597574530
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Fixed
3.00000000
N
N
N
N
N
N
Providence St Joseph Health Obligated Group
N/A
ST JOSEPH HLTH
743756AB4
300000.00000000
PA
USD
318703.50000000
0.000987108155
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
2.74600000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07032
3128M9ED0
743848.45000000
PA
USD
788320.92000000
0.002441636220
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BB4
3650000.00000000
PA
USD
4024946.25000000
0.012466312004
Long
DBT
CORP
GB
N
2
2026-05-25
Fixed
3.90000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90351DAH0
24139000.00000000
PA
USD
24600682.51000000
0.076194752586
Long
DBT
CORP
CH
Y
2
2022-02-01
Fixed
2.65000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_19-A
N/A
HDMOT 2019-A A3
41284WAC4
10776891.68000000
PA
USD
10905994.53000000
0.033778719536
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
2.34000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 736158
3620APZX6
155011.92000000
PA
USD
178835.05000000
0.000553898957
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
4.50000000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
N/A
7840000.00000000
PA
USD
8188011.33000000
0.025360414175
Long
DBT
NUSS
AE
N
2
2024-09-30
Fixed
2.12500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J29140
31307JEM1
264762.94000000
PA
USD
283011.54000000
0.000876560813
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL7215
3138EQAR3
2550466.74000000
PA
USD
2842030.49000000
0.008802512285
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG D98389
3128E5KA6
7289.47000000
PA
USD
8172.20000000
0.000025311442
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A30684
31297KXM9
9768.91000000
PA
USD
11498.45000000
0.000035613709
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AO5000
3138LVRW5
3767.06000000
PA
USD
4025.85000000
0.000012469111
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE5016
3133N2SD9
4729344.62000000
PA
USD
4896900.57000000
0.015166982754
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ5794
3138YXNL5
117413.49000000
PA
USD
122452.16000000
0.000379266389
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5207
36202FYC4
115.90000000
PA
USD
133.04000000
0.000000412059
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08627
3128MJVV9
44680.95000000
PA
USD
47840.60000000
0.000148174859
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783276
36241LT97
1322108.87000000
PA
USD
1506717.97000000
0.004666699913
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
4.50000000
N
N
N
N
N
N
Public Service Electric and Gas Co
549300RUHPVD434XUK18
PUBLIC SERVICE E
74456QBL9
8385000.00000000
PA
USD
8924583.14000000
0.027641769857
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 650377
36292JQ69
1947.71000000
PA
USD
2176.82000000
0.000006742181
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 982279
31415BXG9
96631.38000000
PA
USD
114115.49000000
0.000353445540
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13307
3128MB3Q8
1755.18000000
PA
USD
1790.62000000
0.000005546018
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG D99561
3128E6TS6
1484424.71000000
PA
USD
1541173.97000000
0.004773419163
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2827
36179RD89
65792.61000000
PA
USD
72184.43000000
0.000223574072
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5017
36202FSE7
541126.42000000
PA
USD
619196.78000000
0.001917814492
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
4.50000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HNDLSBKN
86959LAF0
14000000.00000000
PA
USD
14063658.00000000
0.043558829773
Long
DBT
CORP
SE
Y
2
2023-06-30
Fixed
0.62500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 662505
36294XAE6
552926.03000000
PA
USD
637807.81000000
0.001975457724
Long
ABS-MBS
USGA
US
N
2
2037-07-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3377
36179RXE4
1373583.58000000
PA
USD
1507037.25000000
0.004667688807
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AQ8359
3138MQJD6
2936854.04000000
PA
USD
3136454.68000000
0.009714421063
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAJ0
300000000.00000000
PA
USD
292968750.00000000
0.907400898845
Long
DBT
UST
US
N
2
2025-08-31
Fixed
0.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AH3688
36182LCZ8
25610.29000000
PA
USD
27343.27000000
0.000084689263
Long
ABS-MBS
USGA
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_16-4
N/A
CARMX 2018-4 A4
14315EAD2
4290000.00000000
PA
USD
4497016.52000000
0.013928437187
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
3.48000000
N
N
N
N
N
N
CSAIL 2019-C18 Commercial Mortgage Trust
N/A
CSAIL 2019-C18 A4
12597DAD7
17500000.00000000
PA
USD
18237625.00000000
0.056486698044
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
2.96800000
N
N
N
N
N
N
First Republic Bank/CA
YWC0TIKBQM2JV8L4IV08
FIRST REP BANK
336158AK6
15420000.00000000
PA
USD
15759240.00000000
0.048810491020
Long
DBT
CORP
US
N
2
2022-06-06
Fixed
2.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833BY5
11092000.00000000
PA
USD
12099586.19000000
0.037475585312
Long
DBT
CORP
US
N
2
2026-02-23
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL6231
3131XM4Q5
3262071.62000000
PA
USD
3576632.86000000
0.011077768096
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE0891
3140FK7D6
751298.42000000
PA
USD
777839.16000000
0.002409171466
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
2.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3
N/A
JPMCC 2011-C3 A4
46635TCG5
101648.32000000
PA
USD
101397.25000000
0.000314053822
Long
ABS-MBS
CORP
US
Y
2
2046-02-15
Fixed
4.71710000
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_18-1
N/A
MBART 2018-1 A4
58772RAE4
11460000.00000000
PA
USD
11781662.72000000
0.036490893114
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A49098
3128KADB4
35960.68000000
PA
USD
42728.94000000
0.000132342710
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 732926
3620ALHB3
68085.26000000
PA
USD
77180.72000000
0.000239048890
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE4719
31419FG59
9079.67000000
PA
USD
9544.68000000
0.000029562372
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4449
36202E5J4
47924.16000000
PA
USD
54778.66000000
0.000169663847
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 552170
36213EMT0
11361.94000000
PA
USD
12243.52000000
0.000037921385
Long
ABS-MBS
USGA
US
N
2
2031-11-15
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AH3681
36182LCS4
48787.28000000
PA
USD
53392.80000000
0.000165371476
Long
ABS-MBS
USGA
US
N
2
2044-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6075
3138WFXD3
533281.72000000
PA
USD
584943.76000000
0.001811723924
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C21
5493000F7E2NMQ4HIO61
WFRBS 2014-C21 A5
92939FAU3
80000.00000000
PA
USD
86392.80000000
0.000267581113
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.67800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB7426
31417EHC8
382983.85000000
PA
USD
409008.25000000
0.001266805601
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
NORDEA BANK
65557CBE2
6680000.00000000
PA
USD
6739097.96000000
0.020872750238
Long
DBT
CORP
FI
Y
2
2023-06-09
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 953485
31413RXN1
122641.49000000
PA
USD
135910.32000000
0.000420949833
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE6018
3133N3VK7
26944751.32000000
PA
USD
28070303.64000000
0.086941077346
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2542
31418BZG4
4205852.05000000
PA
USD
4429059.56000000
0.013717956696
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
3.00000000
N
N
N
N
N
N
Korea Electric Power Corp
988400QG33WS7JEIV602
KOREA ELEC PWR
N/A
18400000.00000000
PA
USD
18267363.60000000
0.056578806272
Long
DBT
NUSS
KR
N
2
2025-06-15
Fixed
1.12500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A78348
3128LCHZ2
92825.82000000
PA
USD
102051.77000000
0.000316081042
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL1504
36183WU59
156376.82000000
PA
USD
167652.00000000
0.000519262124
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 954941
31413TLW0
58793.43000000
PA
USD
66391.11000000
0.000205630644
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 736568
3620AQJM6
98643.27000000
PA
USD
111368.11000000
0.000344936185
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2755
31418CBZ6
657120.65000000
PA
USD
724695.06000000
0.002244570278
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH4088
3138A5RJ3
26663.70000000
PA
USD
28441.60000000
0.000088091079
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 521330
36211SEB9
103355.58000000
PA
USD
115802.27000000
0.000358669939
Long
ABS-MBS
USGA
US
N
2
2035-05-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 784179
3622A2UC4
6434.45000000
PA
USD
7397.92000000
0.000022913294
Long
ABS-MBS
USGA
US
N
2
2046-05-15
Fixed
4.50000000
N
N
N
N
N
N
Benchmark 2018-B1 Mortgage Trust
N/A
BMARK 2018-B1 AM
08162PAZ4
1360000.00000000
PA
USD
1488479.20000000
0.004610209669
Long
ABS-MBS
CORP
US
N
2
2051-01-15
Variable
3.87800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 906261
31411EZ26
25586.52000000
PA
USD
29257.18000000
0.000090617144
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3919
31418DK92
3636439.61000000
PA
USD
3827493.42000000
0.011854748909
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 774484
36176SFZ8
6934.85000000
PA
USD
7853.95000000
0.000024325738
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 479581
36209RXJ7
13112.66000000
PA
USD
15454.37000000
0.000047866228
Long
ABS-MBS
USGA
US
N
2
2030-09-15
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G02408
3128M4AH6
194203.20000000
PA
USD
219972.86000000
0.000681313521
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4894 DZ
3137FMES7
7707256.80000000
PA
USD
8027955.76000000
0.024864680183
Long
ABS-MBS
USGSE
US
N
2
2049-06-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 736548
3620AQHZ9
28619.30000000
PA
USD
31754.57000000
0.000098352214
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 907250
31411F5K6
4238.79000000
PA
USD
4824.14000000
0.000014941624
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122CY2
24000000.00000000
PA
USD
24995256.00000000
0.077416849958
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08735
3128MJY95
109768.94000000
PA
USD
120700.92000000
0.000373842340
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0508
31417YR66
79808.38000000
PA
USD
89572.14000000
0.000277428361
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZT1863
3132AEB88
282932.54000000
PA
USD
298692.96000000
0.000925130275
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
3.50000000
N
N
N
N
N
N
National Securities Clearing Corp
549300RYC9NELN2ICA34
NATIONAL SECS CL
637639AE5
50000000.00000000
PA
USD
48697750.00000000
0.150829677642
Long
DBT
CORP
US
Y
2
2025-12-07
Fixed
0.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18531
3128MMSV6
7360138.58000000
PA
USD
7787717.73000000
0.024120600125
Long
ABS-MBS
USGSE
US
N
2
2029-11-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5019
36179TSG1
548598.13000000
PA
USD
583815.44000000
0.001808229222
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0765
31417YZ75
162450.27000000
PA
USD
173201.12000000
0.000536449201
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13343
3128MB5C7
2975.77000000
PA
USD
3103.99000000
0.000009613869
Long
ABS-MBS
USGSE
US
N
2
2023-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3675
31418DCM2
10248513.45000000
PA
USD
10786931.40000000
0.033409949860
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ7369
3617LSFJ7
656552.89000000
PA
USD
692721.14000000
0.002145538679
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
4.00000000
N
N
N
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
TEXAS INSTRUMENT
882508BG8
10000000.00000000
PA
USD
10034210.00000000
0.031078574671
Long
DBT
CORP
US
N
2
2029-09-04
Fixed
2.25000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_16-A
N/A
SMB 2016-A A2A
78449FAB7
165739.45000000
PA
USD
170687.50000000
0.000528663862
Long
ABS-CBDO
CORP
US
Y
2
2031-05-15
Fixed
2.70000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_18-1
N/A
CARMX 2018-1 A4
14314AAD1
7400000.00000000
PA
USD
7530292.54000000
0.023323286935
Long
ABS-CBDO
CORP
US
N
2
2023-06-15
Fixed
2.64000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 686074
36296BFP2
4607.85000000
PA
USD
5370.69000000
0.000016634432
Long
ABS-MBS
USGA
US
N
2
2038-05-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO3166
3140JXQU5
2049436.80000000
PA
USD
2188697.67000000
0.006778969542
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J25117
31307DVJ2
228343.05000000
PA
USD
237680.80000000
0.000736159646
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.50000000
N
N
N
N
N
N
Benchmark 2019-B15 Mortgage Trust
N/A
BMARK 2019-B15 A5
08160KAE4
20500000.00000000
PA
USD
21446485.00000000
0.066425377334
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
2.92800000
N
N
N
N
N
N
Aflac Inc
549300N0B7DOGLXWPP39
AFLAC INC
001055BK7
6375000.00000000
PA
USD
6323184.00000000
0.019584555844
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 254797
31371K7J4
3977.38000000
PA
USD
4289.14000000
0.000013284589
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 535914
31384WK33
1636.50000000
PA
USD
1883.11000000
0.000005832484
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
7.00000000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406RAB3
7827000.00000000
PA
USD
8578861.62000000
0.026570979823
Long
DBT
CORP
US
N
2
2028-02-07
Variable
3.44200000
N
N
N
N
N
N
JPMCC Commercial Mortgage Securities Trust 2017-JP5
N/A
JPMCC 2017-JP5 A5
46647TAS7
5080000.00000000
PA
USD
5594045.20000000
0.017326222140
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
3.72320000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G04425
3128M6HA9
50373.86000000
PA
USD
57616.87000000
0.000178454526
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18519
3128MMSH7
578620.02000000
PA
USD
618708.26000000
0.001916301418
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAV2
2630000.00000000
PA
USD
2805991.71000000
0.008690890751
Long
DBT
CORP
US
N
2
2027-01-16
Fixed
3.01700000
N
N
N
N
N
N
Total Capital Canada Ltd
5299005IX98ZZ9LSGK46
TOTAL CAP CANADA
89153UAF8
2099000.00000000
PA
USD
2208840.67000000
0.006841357685
Long
DBT
CORP
CA
N
2
2023-07-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 733835
31402NHL5
635909.53000000
PA
USD
744149.47000000
0.002304825678
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16
N/A
MSBAM 2014-C16 A5
61763MAF7
1737600.00000000
PA
USD
1875756.58000000
0.005809709078
Long
ABS-MBS
CORP
US
N
2
2047-06-15
Fixed
3.89200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995707
31416CDL7
1597.22000000
PA
USD
1669.47000000
0.000005170785
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST JDOT_20-B
N/A
JDOT 2020-B A4
47787NAD1
2410000.00000000
PA
USD
2420731.97000000
0.007497640500
Long
ABS-CBDO
CORP
US
N
2
2027-06-15
Fixed
0.72000000
N
N
N
N
N
N
Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXP-IMP BK KOREA
302154CC1
2000000.00000000
PA
USD
2132440.00000000
0.006604724813
Long
DBT
NUSS
KR
N
2
2026-05-26
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 895637
31410SBE6
6653.28000000
PA
USD
7731.60000000
0.000023946788
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3182
31418CRC0
1470471.21000000
PA
USD
1561249.28000000
0.004835597653
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PCC4
650000.00000000
PA
USD
680488.25000000
0.002107650217
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C56964
31298TWZ1
3659.48000000
PA
USD
4130.97000000
0.000012794695
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0850
36179M5K2
34415.34000000
PA
USD
36184.91000000
0.000112074137
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5867
36179UQU9
306343.27000000
PA
USD
321480.55000000
0.000995709405
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 608176
36202ST99
34973.89000000
PA
USD
41375.48000000
0.000128150690
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD0759
31418MZZ8
585469.45000000
PA
USD
674589.84000000
0.002089381298
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0391
36179MNG1
1331296.22000000
PA
USD
1416677.57000000
0.004387821228
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A97169
3129456E3
174399.21000000
PA
USD
195872.79000000
0.000606669297
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 3 4/21
21H030641
132000000.00000000
PA
USD
137445000.00000000
0.425703139129
Long
ABS-MBS
USGA
US
N
2
2021-04-21
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 721868
31401X6D4
7428.98000000
PA
USD
8423.65000000
0.000026090248
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1838
36179QBF7
663450.57000000
PA
USD
715963.21000000
0.002217525453
Long
ABS-MBS
USGA
US
N
2
2044-04-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14116
3128MCYM1
21663.83000000
PA
USD
22966.37000000
0.000071132858
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA9350
31416TL80
483044.17000000
PA
USD
559214.15000000
0.001732032588
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 711030
36297F4P4
2838365.60000000
PA
USD
3253615.65000000
0.010077299252
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
4.50000000
N
N
N
N
N
N
Walt Disney Co/The
549300GZKULIZ0WOW665
WALT DISNEY CO
254687FK7
18120000.00000000
PA
USD
18706000.80000000
0.057937380487
Long
DBT
CORP
US
N
2
2024-08-30
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AW6549
3138XWH35
169972.59000000
PA
USD
189522.92000000
0.000587002087
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995676
31416CCM6
15927.34000000
PA
USD
17815.15000000
0.000055178182
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1449
36179NTE8
1126657.35000000
PA
USD
1238203.30000000
0.003835039700
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q01302
3132GENT3
22889.26000000
PA
USD
25782.56000000
0.000079855336
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 254311
31371KN49
11069.11000000
PA
USD
12252.18000000
0.000037948208
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 766310
36176HDP6
105982.31000000
PA
USD
116071.73000000
0.000359504527
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-13 PA
3136B02X3
20815138.67000000
PA
USD
21299715.10000000
0.065970792539
Long
ABS-MBS
USGSE
US
N
2
2048-03-25
Fixed
3.00000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
TRUIST BANK
89788KAA4
5950000.00000000
PA
USD
5805135.35000000
0.017980023584
Long
DBT
CORP
US
N
2
2030-03-11
Fixed
2.25000000
N
N
N
N
N
N
MidAmerican Energy Co
NINLOILYRTLIMK26MZ18
MIDAMERICAN ENER
595620AQ8
1170000.00000000
PA
USD
1268364.24000000
0.003928456026
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.10000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD4670
31418SFL8
50788.04000000
PA
USD
53958.95000000
0.000167124991
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03072
3128M4W90
84630.50000000
PA
USD
95757.47000000
0.000296585947
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.00000000
N
N
N
N
N
N
BANK 2017-BNK7
N/A
BANK 2017-BNK7 A4
06541XAE0
13570000.00000000
PA
USD
14558031.70000000
0.045090034517
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
3.17500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995930
31416CLK0
10343.71000000
PA
USD
11789.35000000
0.000036514702
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18569
3128MMT37
2053603.26000000
PA
USD
2178286.14000000
0.006746722308
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH5613
3138A7GX0
957371.53000000
PA
USD
1014077.99000000
0.003140864954
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725232
31402CVZ2
2873393.18000000
PA
USD
3281775.34000000
0.010164517182
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA3546
31339S5F8
21251738.68000000
PA
USD
22156055.42000000
0.068623102644
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 1.5 4/21
01F012643
191000000.00000000
PA
USD
184583584.20000000
0.571703672200
Long
ABS-MBS
USGSE
US
N
2
2021-04-14
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-49 AP
3136AD7G8
19397288.13000000
PA
USD
19273727.40000000
0.059695778361
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
Fixed
1.75000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61761JVL0
10687000.00000000
PA
USD
11678197.88000000
0.036170435424
Long
DBT
CORP
US
N
2
2024-10-23
Fixed
3.70000000
N
N
N
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
STATOIL ASA
85771PAN2
7000000.00000000
PA
USD
7611135.00000000
0.023573677193
Long
DBT
CORP
NO
N
2
2024-03-01
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE6027
3133N3VU5
32758728.22000000
PA
USD
33919337.20000000
0.105057065176
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS4578
3138WECQ0
776346.49000000
PA
USD
862857.73000000
0.002672496229
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C77937
31288GZA3
142066.33000000
PA
USD
161862.52000000
0.000501330589
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BE3048
3617BWL52
3255838.51000000
PA
USD
3462167.18000000
0.010723237925
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.50000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
PFIZER INC
717081EW9
8500000.00000000
PA
USD
8779947.50000000
0.027193795424
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.62500000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
ENTERGY LA LLC
29364WBH0
3950000.00000000
PA
USD
3871292.30000000
0.011990405504
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
2.35000000
N
N
N
N
N
N
Vanguard Cmt Funds-Vanguard Market Liquidity Fund
1I6HV0TLSTR3A4XQ6L78
Vanguard Market Liquidity Fund
N/A
22210474.48600000
NS
USD
2221047448.60000000
6.879165273555
Long
STIV
CORP
US
N
1
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXR0
8820000.00000000
PA
USD
8346851.10000000
0.025852382517
Long
DBT
CORP
US
N
2
2032-01-27
Variable
1.99200000
N
N
N
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
WALMART INC
931142EM1
13000000.00000000
PA
USD
14124422.00000000
0.043747031785
Long
DBT
CORP
US
N
2
2026-07-08
Fixed
3.05000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD2381
3140F9UF0
171613.78000000
PA
USD
192818.94000000
0.000597210724
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
4.50000000
N
N
N
N
N
N
Chevron Corp
N/A
CHEVRON CORP
166764BX7
5650000.00000000
PA
USD
5770813.95000000
0.017873721225
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
1.99500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 953613
31413R3W4
41296.02000000
PA
USD
46792.53000000
0.000144928712
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01883
3128LXCU2
6127.82000000
PA
USD
6978.06000000
0.000021612878
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO4027
3140JYPM2
14415125.52000000
PA
USD
15028517.94000000
0.046547253545
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA2639
3140Q94Z3
54327125.90000000
PA
USD
60326312.86000000
0.186846380418
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NCT6
40135000.00000000
PA
USD
45694620.61000000
0.141528199898
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3238
31418CS47
806718.34000000
PA
USD
856520.85000000
0.002652869253
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14120
3128MCYR0
50922.60000000
PA
USD
54179.14000000
0.000167806977
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.00000000
N
N
N
N
N
N
Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXP-IMP BK KOREA
302154CQ0
2000000.00000000
PA
USD
2080888.00000000
0.006445054776
Long
DBT
NUSS
KR
N
2
2022-11-01
Fixed
3.00000000
N
N
N
N
N
N
BANK 2019-BNK24
N/A
BANK 2019-BN24 A3
06540VBB0
30620000.00000000
PA
USD
32102926.60000000
0.099431166130
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Fixed
2.96000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91039
3128P7EL3
2133.29000000
PA
USD
2366.83000000
0.000007330691
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 733720
3620AMDZ2
179951.24000000
PA
USD
203995.41000000
0.000631827177
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BL1036
3617JDEH8
11482234.30000000
PA
USD
12574032.88000000
0.038945070890
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A77611
3128LBN46
33094.39000000
PA
USD
39456.00000000
0.000122205559
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C01103
31292HGL2
26897.83000000
PA
USD
31744.89000000
0.000098322233
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698343
36296QZG7
46068.41000000
PA
USD
52542.26000000
0.000162737131
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0154
36179ME30
1184255.93000000
PA
USD
1289472.33000000
0.003993833305
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4569 GZ
3137BP3H0
14337888.10890000
PA
USD
15512734.66000000
0.048046999463
Long
ABS-MBS
USGSE
US
N
2
2046-04-15
Fixed
3.50000000
N
N
N
N
N
N
Banco del Estado de Chile
5493004R4EJC0W0XVQ72
BANCO DEL ESTADO
05965MAG8
9000000.00000000
PA
USD
9403731.00000000
0.029125816189
Long
DBT
CORP
CL
Y
2
2025-01-09
Fixed
2.70400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6209
36179U3S9
35361275.03000000
PA
USD
36116354.94000000
0.111861804153
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5597
3138WFGF7
2844998.35000000
PA
USD
3067428.57000000
0.009500629133
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 367095
36204DXY0
85283.30000000
PA
USD
94688.83000000
0.000293276089
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL9283
36184HJ47
84230.88000000
PA
USD
89749.32000000
0.000277977134
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 564701
36213UKN9
112481.98000000
PA
USD
119864.64000000
0.000371252162
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RA2330
3133KHST4
34721817.69050000
PA
USD
37086422.09000000
0.114866356017
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG V60564
3132KETV7
508429.27000000
PA
USD
544510.77000000
0.001686492372
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2446
36179QWF4
806395.14000000
PA
USD
886334.46000000
0.002745209807
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA7208
31416RAJ2
7944.55000000
PA
USD
8332.94000000
0.000025809296
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05875
3128M72G0
2137954.59000000
PA
USD
2437147.22000000
0.007548482826
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL7010
3131XNYF4
2169428.22000000
PA
USD
2380205.31000000
0.007372118827
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 784190
3622A2UP5
29347176.02000000
PA
USD
32651720.86000000
0.101130925592
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2019-C7
N/A
CGCMT 2019-C7 AAB
17328CAE2
8630000.00000000
PA
USD
9242125.90000000
0.028625282897
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
3.04200000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GCT4
3820000.00000000
PA
USD
4122501.98000000
0.012768467633
Long
DBT
CORP
US
Y
2
2024-01-11
Fixed
3.60000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2017-RC1
N/A
WFCM 2017-RC1 A4
95001FAX3
396000.00000000
PA
USD
433936.80000000
0.001344015845
Long
ABS-MBS
CORP
US
N
2
2060-01-15
Fixed
3.63100000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAK6
1449000.00000000
PA
USD
1545004.94000000
0.004785284680
Long
DBT
CORP
JP
N
2
2026-10-19
Fixed
3.01000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AP2539
3138M5ZD4
23553.43000000
PA
USD
25265.94000000
0.000078255229
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL0913
3138EHAP7
604724.63000000
PA
USD
712016.14000000
0.002205300344
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
6.00000000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
ENTERGY LA LLC
29364WAS7
1075000.00000000
PA
USD
1155531.48000000
0.003578983436
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
4.05000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AN9448
36187SP92
580091.96000000
PA
USD
632743.37000000
0.001959771827
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.50000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_18-3
N/A
HAROT 2018-3 A4
43815HAD9
5020000.00000000
PA
USD
5120680.62000000
0.015860088140
Long
ABS-CBDO
CORP
US
N
2
2024-11-21
Fixed
3.07000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS0219
3138W9G53
6965863.51000000
PA
USD
7575378.66000000
0.023462930449
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q31550
3132QMWL1
2477177.85000000
PA
USD
2641679.30000000
0.008181972211
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 781830
36241KA73
5359.13000000
PA
USD
6091.06000000
0.000018865607
Long
ABS-MBS
USGA
US
N
2
2034-11-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AJ8147
3138E1BR7
1385233.88000000
PA
USD
1479909.21000000
0.004583666166
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3754
31418DE40
3220329.21000000
PA
USD
3332392.48000000
0.010321291713
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_20-B
N/A
NAROT 2020-B A4
65479CAE8
3240000.00000000
PA
USD
3255854.62000000
0.010084233928
Long
ABS-CBDO
CORP
US
N
2
2027-02-16
Fixed
0.71000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BG8
9250000.00000000
PA
USD
9494209.25000000
0.029406051011
Long
DBT
CORP
JP
N
2
2022-03-07
Fixed
3.21800000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4775 VZ
3137F4L91
8679993.44000000
PA
USD
9478900.04000000
0.029358634381
Long
ABS-MBS
USGSE
US
N
2
2048-04-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ2319
3138YTSH8
96950.33000000
PA
USD
106341.73000000
0.000329368171
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2H5
14968000.00000000
PA
USD
15594141.38000000
0.048299137382
Long
DBT
CORP
US
N
2
2025-10-30
Variable
2.40600000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM2319
3140X5SH7
43615390.07000000
PA
USD
46932440.80000000
0.145362053007
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_17-B
N/A
SMB 2017-B A2A
83189DAB6
332911.15000000
PA
USD
345546.06000000
0.001070246589
Long
ABS-CBDO
CORP
US
Y
2
2035-10-15
Fixed
2.82000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
N/A
3810000.00000000
PA
USD
4415637.60000000
0.013676385372
Long
DBT
NUSS
BM
N
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J29219
31307JG49
91386.79000000
PA
USD
97589.65000000
0.000302260688
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BK4909
3140HJN31
390266.58000000
PA
USD
427015.06000000
0.001322577405
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 479925
36209SD65
58643.76000000
PA
USD
62531.48000000
0.000193676360
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3210
31418CR89
7583290.68000000
PA
USD
8051440.58000000
0.024937418817
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Non Gold Pool
N/A
FH 1J0585
3128LUUJ3
48063.44000000
PA
USD
50797.90000000
0.000157334391
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Floating
2.53700000
N
N
N
N
N
N
Southwestern Public Service Co
OL6FE7QD5EQ3DOYEO258
SOUTHWESTERN PUB
845743BP7
14881000.00000000
PA
USD
15880809.75000000
0.049187024355
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.30000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723640
3620A94Z1
5229.25000000
PA
USD
5967.28000000
0.000018482228
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
5.00000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDR_18-1
N/A
FORDR 2018-1 A
34532RAA4
6690000.00000000
PA
USD
7216177.87000000
0.022350391587
Long
ABS-CBDO
CORP
US
Y
2
2031-07-15
Fixed
3.19000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A17993
31296S3A2
24052.00000000
PA
USD
26154.65000000
0.000081007796
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
6.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAF3
21840000.00000000
PA
USD
23809761.39000000
0.073745062866
Long
DBT
CORP
US
N
2
2028-05-01
Variable
3.54000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
961214EC3
19310000.00000000
PA
USD
20779510.31000000
0.064359582149
Long
DBT
CORP
AU
N
2
2024-02-26
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01315
31283HN84
23722.46000000
PA
USD
27588.00000000
0.000085447256
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 776656
36176UTM7
20433.84000000
PA
USD
22562.73000000
0.000069882680
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
4.00000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-B
N/A
FORDO 2020-B A3
34533GAD1
43000000.00000000
PA
USD
43149136.90000000
0.133644170606
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
0.56000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08702
3128MJX88
594504.41000000
PA
USD
634839.16000000
0.001966263037
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
3.50000000
N
N
N
N
N
N
DBJPM 16-C3 Mortgage Trust
N/A
DBJPM 2016-C3 A4
23312VAE6
9200000.00000000
PA
USD
9648776.00000000
0.029884784691
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
2.63200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AP6054
3138M9WQ0
8204.88000000
PA
USD
8688.61000000
0.000026910899
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_21-1
N/A
GMCAR 2021-1 A3
36261LAC5
8920000.00000000
PA
USD
8907877.72000000
0.027590028799
Long
ABS-CBDO
CORP
US
N
2
2025-10-16
Fixed
0.35000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7234
3133JLBB4
3139405.24000000
PA
USD
3291390.13000000
0.010194296703
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07224
3128M9LD2
252352.96000000
PA
USD
286758.36000000
0.000888165695
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAY7
250000000.00000000
PA
USD
238398450.00000000
0.738382396802
Long
DBT
UST
US
N
2
2027-11-30
Fixed
0.62500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAE6
25120000.00000000
PA
USD
25713359.52000000
0.079641004512
Long
DBT
CORP
US
N
2
2023-04-25
Variable
2.77600000
N
N
N
N
N
N
TWDC Enterprises 18 Corp
7260JQNI6SCF9FIV2392
WALT DISNEY CO
25468PDK9
13228000.00000000
PA
USD
14223354.09000000
0.044053450362
Long
DBT
CORP
US
N
2
2026-02-13
Fixed
3.00000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90352JAA1
3535000.00000000
PA
USD
3646688.33000000
0.011294748222
Long
DBT
CORP
CH
Y
2
2023-05-23
Fixed
3.49100000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 697827
36296QHC6
7237.23000000
PA
USD
8195.73000000
0.000025384320
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 700768
36296TQV8
21789.86000000
PA
USD
25625.69000000
0.000079369469
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
6.00000000
N
N
N
N
N
N
Nestle Holdings Inc
549300EAEU8YV8MQXP30
NESTLE HOLDINGS
641062AD6
13500000.00000000
PA
USD
14442705.00000000
0.044732837542
Long
DBT
CORP
US
Y
2
2023-09-24
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BJ0620
3140H1VN7
34934063.99000000
PA
USD
37802192.56000000
0.117083284504
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING LLC HERTZ_16-2A
N/A
HERTZ 2016-2A A
42806DAU3
605400.70000000
PA
USD
607435.45000000
0.001881386575
Long
ABS-CBDO
CORP
US
Y
2
2022-03-25
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 535425
31384VYW6
7918.24000000
PA
USD
9235.77000000
0.000028605597
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
7.50000000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_19-1
N/A
CPART 2019-1A A4
13646BAJ7
1300000.00000000
PA
USD
1346347.21000000
0.004169989695
Long
ABS-CBDO
CORP
CA
Y
2
2024-06-19
Fixed
2.96000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA5917
3133A0SE5
18327802.16000000
PA
USD
19309965.25000000
0.059808016467
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 3470
36202D2B6
2050.76000000
PA
USD
2198.46000000
0.000006809206
Long
ABS-MBS
USGA
US
N
2
2033-11-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q15062
3132J6B86
2215104.09000000
PA
USD
2366652.65000000
0.007330142692
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL6254
3131XM5P6
2394833.87000000
PA
USD
2619638.84000000
0.008113707137
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 938512
31412YDR0
5391.95000000
PA
USD
6541.74000000
0.000020261480
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 712281
31401MJ28
33987.28000000
PA
USD
36167.78000000
0.000112021081
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Floating
3.34800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 310139
31374CPY6
519312.75000000
PA
USD
548291.54000000
0.001698202406
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 745125
3620C0YW2
400508.60000000
PA
USD
430574.62000000
0.001333602294
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AO2429
3617A2VW9
143403.78000000
PA
USD
149064.76000000
0.000461692577
Long
ABS-MBS
USGA
US
N
2
2045-08-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL2310
3138EJR83
2035444.21000000
PA
USD
2156072.57000000
0.006677921068
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
3.00000000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406RAN7
12400000.00000000
PA
USD
12611754.80000000
0.039061905549
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 993054
31415YE39
15343.60000000
PA
USD
17413.42000000
0.000053933919
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AS6433
36193SEE5
2657068.31000000
PA
USD
2773528.68000000
0.008590344250
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Reckitt Benckiser Treasury Services PLC
213800LAXWIUOOBZ3908
RECKITT BEN TSY
75625QAD1
5000000.00000000
PA
USD
5287680.00000000
0.016377328929
Long
DBT
CORP
GB
Y
2
2024-06-26
Fixed
2.75000000
N
N
N
N
N
N
BANK 2020-BNK28
N/A
BANK 2020-BN28 ASB
06540YAB5
7000000.00000000
PA
USD
6904380.00000000
0.021384671975
Long
ABS-MBS
CORP
US
N
2
2063-03-15
Fixed
1.72500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q15206
3132J6GQ1
174750.60000000
PA
USD
181348.68000000
0.000561684327
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 423711
36206WVC6
1172.94000000
PA
USD
1346.82000000
0.000004171454
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A69445
3128L1P61
15713.14000000
PA
USD
18079.62000000
0.000055997315
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.50000000
N
N
N
N
N
N
TOYOTA AUTO LOAN EXTENDED NOTE TRUST TALNT_20-1
N/A
TALNT 2020-1A A
89237JAA4
8600000.00000000
PA
USD
8727870.82000000
0.027032500316
Long
ABS-CBDO
CORP
US
Y
2
2033-05-25
Fixed
1.35000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 256985
31371NNA9
77378.01000000
PA
USD
92110.01000000
0.000285288809
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
7.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3
N/A
JPMCC 2016-JP3 A5
46590RAE9
1525000.00000000
PA
USD
1611665.75000000
0.004991750656
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
2.87040000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR2441
3617LYWA4
4202865.08000000
PA
USD
4383592.90000000
0.013577134549
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
SSM Health Care Corp
5493000QP6H63JFPC580
SSM HEALTH CARE
784710AB1
13150000.00000000
PA
USD
13928821.90000000
0.043141207080
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.68800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 984905
31415PDJ4
10195.16000000
PA
USD
12006.51000000
0.000037187303
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBB5
11590000.00000000
PA
USD
12415219.59000000
0.038453184564
Long
DBT
CORP
JP
N
2
2023-07-19
Fixed
3.74800000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G30419
3128CUPC4
14529.25000000
PA
USD
16148.33000000
0.000050015604
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
5.00000000
N
N
N
N
N
N
DNB Bank ASA
549300GKFG0RYRRQ1414
DNB BANK ASA
23329PAF7
9120000.00000000
PA
USD
8985945.12000000
0.027831823970
Long
DBT
CORP
NO
Y
2
2026-09-16
Variable
1.12700000
N
N
N
N
N
N
Caterpillar Inc
WRJR7GS4GTRECRRTVX92
CATERPILLAR INC
149123CG4
12000000.00000000
PA
USD
12291984.00000000
0.038071491687
Long
DBT
CORP
US
N
2
2029-09-19
Fixed
2.60000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-70 YK
38381V3P3
18527512.00000000
PA
USD
19751809.99000000
0.061176525273
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 963958
31414EMF8
7841.58000000
PA
USD
9118.16000000
0.000028241328
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11922
3128PRD30
5729.02000000
PA
USD
6014.01000000
0.000018626963
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 744034
3620AYSX5
195845.02000000
PA
USD
213925.24000000
0.000662582459
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4715
36202FGY6
59285.77000000
PA
USD
67026.55000000
0.000207598768
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Fixed
5.00000000
N
N
N
N
N
N
Province of Manitoba Canada
5493003QILFOB3JRKE30
MANITOBA (PROV)
563469TX3
2100000.00000000
PA
USD
2151697.80000000
0.006664371260
Long
DBT
NUSS
CA
N
2
2022-09-06
Fixed
2.10000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468R3
5200000.00000000
PA
USD
5170412.00000000
0.016014119240
Long
DBT
CORP
US
N
2
2025-10-21
Variable
0.86400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 893282
31410PM75
24483.52000000
PA
USD
27917.76000000
0.000086468609
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 960354
31414AMB5
6772.12000000
PA
USD
6866.72000000
0.000021268029
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
6.00000000
N
N
N
N
N
N
PacifiCorp
SGY07Y7FNYBNLM6Z1M11
PACIFICORP
695114CR7
7640000.00000000
PA
USD
8232764.68000000
0.025499027014
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD3808
31418RGS4
16303.21000000
PA
USD
18111.76000000
0.000056096861
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-2
N/A
GMCAR 2019-2 A4
36257FAE0
8260000.00000000
PA
USD
8565424.24000000
0.026529360740
Long
ABS-CBDO
CORP
US
N
2
2024-08-16
Fixed
2.71000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AM2778
36184NCP4
9853.56000000
PA
USD
10500.69000000
0.000032523385
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.50000000
N
N
N
N
N
N
Costco Wholesale Corp
29DX7H14B9S6O3FD6V18
COSTCO COMPANIES
22160KAN5
6700000.00000000
PA
USD
6654714.70000000
0.020611393195
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
1.37500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698097
36296QRS0
79994.90000000
PA
USD
90349.07000000
0.000279834717
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
4.50000000
N
N
N
N
N
N
State Grid Overseas Investment 2013 Ltd
529900GBH9XYPD4XZZ70
STATE GRID OSEAS
N/A
800000.00000000
PA
USD
838079.36000000
0.002595751132
Long
DBT
CORP
VG
N
2
2023-05-22
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA3529
31339S4N2
17315572.32000000
PA
USD
18223519.55000000
0.056443009774
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT7695
36194GRQ9
1137750.34000000
PA
USD
1187782.91000000
0.003678874556
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A61164
3128KRJH8
11630.74000000
PA
USD
13366.10000000
0.000041398310
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 689635
36296FEG4
19789.92000000
PA
USD
21844.99000000
0.000067659651
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM4049
3140J8QB2
7789286.52000000
PA
USD
8091270.93000000
0.025060783836
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3396
31418CX25
185277.18000000
PA
USD
192193.17000000
0.000595272551
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AK6854
36183QTK1
5334301.00000000
PA
USD
5567166.18000000
0.017242970780
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BED4
12900000.00000000
PA
USD
13093345.20000000
0.040553517067
Long
DBT
CORP
US
N
2
2021-11-17
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3882
31418DJ45
830894.20000000
PA
USD
876144.45000000
0.002713648679
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT3164
3138WQQS4
5457147.91000000
PA
USD
5779685.54000000
0.017901198861
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2C6
18285000.00000000
PA
USD
19776160.04000000
0.061251943751
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BJ7
48755000.00000000
PA
USD
49981480.78000000
0.154805727864
Long
DBT
CORP
GB
N
2
2023-03-13
Variable
3.26200000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2020-C58
N/A
WFCM 2020-C58 ASB
95002UAC5
2850000.00000000
PA
USD
2836519.50000000
0.008785443307
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Fixed
1.84900000
N
N
N
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
MARSH & MCLENNAN
571748AX0
10130000.00000000
PA
USD
10976310.85000000
0.033996507584
Long
DBT
CORP
US
N
2
2025-03-10
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.250000 16-JUN-2026
N/A
39983000.00000000
NC
USD
1284397.04000000
0.003978113804
N/A
DIR
N/A
N
1
MERRILL LYNCH & CO INC
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2026-06-16
0.00000000
USD
984574.88000000
USD
39983000.00000000
USD
299822.16000000
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_19-A
N/A
FORDO 2019-A A4
34533FAE1
18600000.00000000
PA
USD
19409579.88000000
0.060116549049
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
2.85000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4638
36202FEK8
100874.21000000
PA
USD
117390.33000000
0.000363588577
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14388
3128MDCZ4
15878.90000000
PA
USD
16556.47000000
0.000051279720
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.50000000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE ELECTRIC CO
23338VAN6
4400000.00000000
PA
USD
4378475.20000000
0.013561283693
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
1.90000000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAR
26442CAY0
7430000.00000000
PA
USD
7485383.22000000
0.023184191017
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
2.45000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BK8723
3140HNVR0
144054.46000000
PA
USD
160476.35000000
0.000497037258
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
MUFG Bank Ltd
C3GTMMZIHMY46P4OIX74
BK TOKYO-MIT UFJ
064255BG6
260000.00000000
PA
USD
262810.60000000
0.000813993214
Long
DBT
CORP
JP
Y
2
2021-09-08
Fixed
2.85000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2017-GS6
N/A
GSMS 2017-GS6 A3
36253PAC6
2490000.00000000
PA
USD
2710838.10000000
0.008396175116
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
3.43300000
N
N
N
N
N
N
BMW VEHICLE OWNER TRUST BMWOT_20-A
N/A
BMWOT 2020-A A4
09661RAE1
2720000.00000000
PA
USD
2728405.07000000
0.008450584620
Long
ABS-CBDO
CORP
US
N
2
2027-04-26
Fixed
0.62000000
N
N
N
N
N
N
University of California
N/A
UNIV CA-AX-TXBL
91412GU94
3430000.00000000
PA
USD
3730791.11000000
0.011555236545
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
3.06300000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI8382
3138ANJ46
290750.42000000
PA
USD
310808.01000000
0.000962653756
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2705
31418CAF1
318308.73000000
PA
USD
334045.85000000
0.001034627428
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783610
3622A2AK8
63888.10000000
PA
USD
71528.79000000
0.000221543384
Long
ABS-MBS
USGA
US
N
2
2041-11-15
Fixed
4.50000000
N
N
N
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX COS INC
872540AP4
1100000.00000000
PA
USD
1142116.80000000
0.003537434661
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 727729
3620AEPN4
7654.04000000
PA
USD
8334.07000000
0.000025812796
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
6.00000000
N
N
N
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
TOTAL CAP INTL
89153VAS8
11830000.00000000
PA
USD
12368477.94000000
0.038308413440
Long
DBT
CORP
FR
N
2
2025-01-10
Fixed
2.43400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 753182
31403MXK0
96784.80000000
PA
USD
113688.23000000
0.000352122204
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA5872
3133A0QZ0
22548990.94000000
PA
USD
23731345.03000000
0.073502186874
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1522
36179NVP0
423080.63000000
PA
USD
465004.41000000
0.001440240365
Long
ABS-MBS
USGA
US
N
2
2043-12-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 784368
3622A2Z96
22435658.28000000
PA
USD
23958797.17000000
0.074206665684
Long
ABS-MBS
USGA
US
N
2
2047-06-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6212
36179U3V2
2340020.39000000
PA
USD
2433148.99000000
0.007536099261
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG V81873
3132L7CJ6
259756.11000000
PA
USD
285825.10000000
0.000885275145
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
4.00000000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_19-4
N/A
ALLYA 2019-4 A4
02007TAD7
710000.00000000
PA
USD
728516.30000000
0.002256405659
Long
ABS-CBDO
CORP
US
N
2
2025-01-15
Fixed
1.92000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 627045
36291FTA6
5383162.94000000
PA
USD
5994888.35000000
0.018567738290
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
3.50000000
N
N
N
N
N
N
COMM 2012-CCRE4 Mortgage Trust
N/A
COMM 2012-CR4 AM
12624QAT0
50000.00000000
PA
USD
50525.50000000
0.000156490697
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
3.25100000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18559
3128MMTR4
1106482.21000000
PA
USD
1135986.45000000
0.003518447362
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.00000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
SHELL INTL FIN
822582BD3
30615000.00000000
PA
USD
33128950.73000000
0.102609031407
Long
DBT
CORP
NL
N
2
2025-05-11
Fixed
3.25000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1760
36179N5V6
1835833.22000000
PA
USD
1981139.05000000
0.006136106170
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
3.50000000
N
N
N
N
N
N
BANK 2020-BNK30
N/A
BANK 2020-BN30 ASB
06541UBQ8
5050000.00000000
PA
USD
4965463.00000000
0.015379338545
Long
ABS-MBS
CORP
US
N
2
2053-12-15
Fixed
1.67300000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ2570
3617LL2B3
1156701.55000000
PA
USD
1190008.66000000
0.003685768286
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS2227
3138WBPM1
5013.89000000
PA
USD
5288.89000000
0.000016381076
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 3 4/21
01F030645
397000000.00000000
PA
USD
413500312.50000000
1.280718695202
Long
ABS-MBS
USGSE
US
N
2
2021-04-14
Fixed
3.00000000
N
N
N
N
N
N
CCUBS Commercial Mortgage Trust 2017-C1
N/A
CCUBS 2017-C1 A3
12508GAT3
5000000.00000000
PA
USD
5356650.00000000
0.016590947071
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
3.28300000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HJX9
5500000.00000000
PA
USD
5994362.00000000
0.018566108046
Long
DBT
CORP
US
N
2
2024-05-13
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A85077
312931UA4
608154.21000000
PA
USD
720708.05000000
0.002232221465
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2015-UBS8
N/A
MSC 2015-UBS8 A4
61691ABL6
7386100.00000000
PA
USD
8134238.07000000
0.025193864315
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Fixed
3.80900000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1287
36179NNC8
22899.92000000
PA
USD
25447.04000000
0.000078816143
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA0487
3140Q7RH2
2192598.46000000
PA
USD
2340322.15000000
0.007248590242
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11210
3128PQKX8
190167.51000000
PA
USD
200251.29000000
0.000620230657
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AI5193
36198RXW1
311326.81000000
PA
USD
331697.79000000
0.001027354872
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
3.50000000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_18-2
N/A
VALET 2018-2 A4
92869BAE2
8820000.00000000
PA
USD
9137091.35000000
0.028299963405
Long
ABS-CBDO
CORP
US
N
2
2025-02-20
Fixed
3.33000000
N
N
N
N
N
N
BRAZOS HIGHER EDUCATION AUTHORITY INC BRHEA_05-3
N/A
BRHEA 2005-3 A16
10620NAK4
139891.69000000
PA
USD
139812.40000000
0.000433035596
Long
ABS-CBDO
CORP
US
N
2
2026-06-25
Floating
0.40060000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3813
31418DGX4
29212701.92000000
PA
USD
30747467.17000000
0.095232953505
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11312
3128PQN56
37691.79000000
PA
USD
39802.34000000
0.000123278264
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
4.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833BZ2
7245000.00000000
PA
USD
7630600.64000000
0.023633967375
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA0466
31416HQU2
5122.14000000
PA
USD
5681.96000000
0.000017598517
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C55999
31298SUY8
3943.95000000
PA
USD
4058.12000000
0.000012569059
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 872554
31409JMB3
61.50000000
PA
USD
61.65000000
0.000000190946
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
6.00000000
N
N
N
N
N
N
IDB Trust Services Ltd
213800VKLEPJ95I3W549
IDB TRUST SERV
N/A
25624000.00000000
PA
USD
26130978.53000000
0.080934479891
Long
DBT
CORP
JE
N
2
2022-04-12
Fixed
2.39300000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A49662
3128KAWX5
776.13000000
PA
USD
922.03000000
0.000002855768
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 670615
36295HAQ3
86545.39000000
PA
USD
100776.45000000
0.000312131042
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR6121
3617M4YS8
1670320.66000000
PA
USD
1742138.77000000
0.005395859748
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1225
36179NLE6
157241.75000000
PA
USD
169049.43000000
0.000523590330
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5817
36179UPA4
30709.81000000
PA
USD
32885.04000000
0.000101853576
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.00000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
BANCO SANTANDER
05971KAC3
7600000.00000000
PA
USD
8048825.60000000
0.024929319540
Long
DBT
CORP
ES
N
2
2029-06-27
Fixed
3.30600000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
CAN IMPERIAL BK
13607GAP9
3800000.00000000
PA
USD
4044199.40000000
0.012525944049
Long
DBT
CORP
CA
N
2
2024-04-02
Fixed
3.10000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q01659
3132GEZY9
142257.77000000
PA
USD
160073.88000000
0.000495790703
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J16684
3128PWM96
81528.11000000
PA
USD
87036.98000000
0.000269576307
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J31975
31307NFQ2
1307090.02000000
PA
USD
1342040.95000000
0.004156652080
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5922
36179USK9
1588592.07000000
PA
USD
1647220.33000000
0.005101872496
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4263
36179SWY9
656166.36000000
PA
USD
717736.09000000
0.002223016527
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
4.00000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_19-A
N/A
FORDO 2019-A A3
34533FAD3
28618299.69000000
PA
USD
29064221.45000000
0.090019500946
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
2.78000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J30303
31307LKQ0
191759.59000000
PA
USD
207150.10000000
0.000641598078
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 781419
36225BSG4
5882.88000000
PA
USD
6740.72000000
0.000020877774
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
7.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468G7
15000000.00000000
PA
USD
17184735.00000000
0.053225622136
Long
DBT
CORP
US
N
2
2030-01-23
Variable
4.43100000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 709726
36297EPK5
167764.65000000
PA
USD
192642.87000000
0.000596665389
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AF3757
36181KE63
3156041.50000000
PA
USD
3331228.00000000
0.010317685014
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783292
36241LUR5
36739.25000000
PA
USD
42535.87000000
0.000131744722
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS2399
3132A2UY6
5534370.06000000
PA
USD
6379477.78000000
0.019758912415
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8073
3138WH6K3
1463268.02000000
PA
USD
1514086.29000000
0.004689521529
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J08546
3128PLP71
319.59000000
PA
USD
332.58000000
0.000001030087
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
5.00000000
N
N
N
N
N
N
Invesco Finance PLC
549300OYQ3LAJYXXO449
INVESCO FIN PLC
46132FAA8
5203000.00000000
PA
USD
5430105.75000000
0.016818458754
Long
DBT
CORP
GB
N
2
2022-11-30
Fixed
3.12500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2013-LC12
549300V2DF3KW9L1CV04
WFCM 2013-LC12 ASB
94988QAL5
0.00590000
PA
USD
0.01000000
0.000000000030
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
3.92800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 981475
31415A2G5
9505.43000000
PA
USD
9853.88000000
0.000030520045
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4827 KZ
3137FHNX7
5260356.07000000
PA
USD
5720216.40000000
0.017717007370
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO6851
3140K2TH7
21688940.23000000
PA
USD
22611852.35000000
0.070034825034
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAR8
39510000.00000000
PA
USD
42300630.81000000
0.131016125162
Long
DBT
CORP
FR
Y
2
2023-07-20
Fixed
3.75000000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
02665WDT5
20000000.00000000
PA
USD
18772060.00000000
0.058141983119
Long
DBT
CORP
US
N
2
2031-01-13
Fixed
1.80000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 257498
31371N7K5
31267.98000000
PA
USD
36378.02000000
0.000112672249
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J09473
3128PMQ29
22996.58000000
PA
USD
23829.19000000
0.000073805238
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.50000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAR0
2250000.00000000
PA
USD
2499075.00000000
0.007740289369
Long
DBT
CORP
JP
N
2
2028-03-05
Fixed
4.01800000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A90921
312939AW1
63246.10000000
PA
USD
70150.37000000
0.000217274056
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 956182
31413UXK0
562.17000000
PA
USD
581.19000000
0.000001800097
Long
ABS-MBS
USGSE
US
N
2
2022-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 310122
31374CPF7
8251.22000000
PA
USD
9204.35000000
0.000028508281
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
5.00000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-2
N/A
HAROT 2020-2 A3
43813DAC2
16600000.00000000
PA
USD
16679811.14000000
0.051661740786
Long
ABS-CBDO
CORP
US
N
2
2024-07-15
Fixed
0.82000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0624
36179MVR8
139925.98000000
PA
USD
148898.87000000
0.000461178772
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 651881
36292LFW9
34883.66000000
PA
USD
39270.00000000
0.000121629468
Long
ABS-MBS
USGA
US
N
2
2036-09-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD7239
3140FFBH3
622588.56000000
PA
USD
644143.76000000
0.001995081819
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
2.50000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_20-1
N/A
FORDF 2020-1 A1
34528QHK3
29760000.00000000
PA
USD
29834507.14000000
0.092405277339
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
0.70000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 742224
3620AWSM3
104045.60000000
PA
USD
118025.72000000
0.000365556546
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
4.50000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-4
N/A
CARMX 2020-1 A4
14315XAD0
3040000.00000000
PA
USD
3152892.53000000
0.009765333386
Long
ABS-CBDO
CORP
US
N
2
2025-06-16
Fixed
2.03000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD8048
3140FF5J6
3200662.20000000
PA
USD
3358805.00000000
0.010403098200
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.50000000
N
N
N
N
N
N
Virginia Electric and Power Co
CQKUMNNZVDJLRYV2PT43
VIRGINIA EL&PWR
927804FS8
6210000.00000000
PA
USD
6583177.53000000
0.020389823856
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.10000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 755123
36230PVQ0
102727.26000000
PA
USD
110933.90000000
0.000343591323
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAM3
300000000.00000000
PA
USD
292593750.00000000
0.906239425694
Long
DBT
UST
US
N
2
2025-09-30
Fixed
0.25000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST_20-A
N/A
SRT 2020-A A3
80286KAC6
13620000.00000000
PA
USD
13868360.70000000
0.042953942919
Long
ABS-CBDO
CORP
US
Y
2
2023-07-20
Fixed
1.74000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR2390
3617LYUP3
12473771.85000000
PA
USD
12802758.85000000
0.039653495085
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 974660
31414SJD6
181.88000000
PA
USD
188.13000000
0.000000582687
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.00000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust 2013-C6
549300G1IXWLFE766Q13
UBSBB 2013-C6 AS
90349GBH7
150000.00000000
PA
USD
154936.50000000
0.000479878892
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Fixed
3.46880000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q13630
3132HQA77
334375.96000000
PA
USD
348433.36000000
0.001079189313
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.00000000
N
N
N
N
N
N
GS Mortgage Securities Corp II
5493005BBCF84ICNQ550
GSMS 2018-GS10 A5
36250SAE9
720000.00000000
PA
USD
814017.60000000
0.002521225563
Long
ABS-MBS
CORP
US
N
2
2051-07-10
Variable
4.15500000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7368
3133JLFH7
4411795.03000000
PA
USD
4544010.79000000
0.014073990742
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
4.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBP4
13550000.00000000
PA
USD
14091972.90000000
0.043646528429
Long
DBT
CORP
JP
N
2
2029-07-16
Fixed
3.04000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NBN0
23444000.00000000
PA
USD
25472515.54000000
0.078895047669
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 950989
31413N7A7
24938.37000000
PA
USD
29324.88000000
0.000090826828
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 603957
36200K5S2
21027.25000000
PA
USD
23980.74000000
0.000074274628
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
5.50000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
ATHENE GLOBAL FU
04685A2Q3
4750000.00000000
PA
USD
4787776.75000000
0.014828997722
Long
DBT
CORP
US
Y
2
2023-10-13
Fixed
1.20000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C09022
31292SAX8
3436219.41000000
PA
USD
3641675.09000000
0.011279220906
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
BRANCH BKG & TR
07330NAT2
50883000.00000000
PA
USD
53048071.65000000
0.164303762422
Long
DBT
CORP
US
N
2
2024-12-06
Fixed
2.15000000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC
713448DF2
6674000.00000000
PA
USD
7183973.69000000
0.022250646813
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 879624
31409VG98
394.01000000
PA
USD
394.97000000
0.000001223325
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 255320
31371LSH3
13983.37000000
PA
USD
15284.36000000
0.000047339663
Long
ABS-MBS
USGSE
US
N
2
2024-07-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 645634
36292DHK1
886.36000000
PA
USD
955.04000000
0.000002958008
Long
ABS-MBS
USGA
US
N
2
2036-04-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q02438
3132GFV79
110605.93000000
PA
USD
124007.42000000
0.000384083436
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
CSAIL 2016-C7 Commercial Mortgage Trust
5493006MX7HG5PC85C29
CSAIL 2016-C7 A5
12637UAW9
2713000.00000000
PA
USD
2947918.67000000
0.009130475693
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
3.50200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY0332
3138YDLN7
141271.42000000
PA
USD
149466.97000000
0.000462938326
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY4225
3138YHVT4
115327.52000000
PA
USD
120250.81000000
0.000372448232
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AU7266
36194VCB5
1503685.65000000
PA
USD
1569796.69000000
0.004862071219
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Berkshire Hathaway Energy Co
549300JD0S5IZJE9LY15
MIDAMERICAN ENER
59562VAY3
14200000.00000000
PA
USD
15262472.40000000
0.047271871741
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
3.75000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 676377
36295PM25
3358.28000000
PA
USD
3936.90000000
0.000012193609
Long
ABS-MBS
USGA
US
N
2
2038-01-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J14480
3128PT6R1
9073.53000000
PA
USD
9664.22000000
0.000029932618
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
3.50000000
N
N
N
N
N
N
COMM 2014-CCRE15 Mortgage Trust
N/A
COMM 2014-CR15 A4
12591RBA7
10000.00000000
PA
USD
10849.80000000
0.000033604670
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Variable
4.07400000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782013
36241KGW2
759511.04000000
PA
USD
894779.50000000
0.002771366306
Long
ABS-MBS
USGA
US
N
2
2035-12-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT2769
3138WQCF7
75504.55000000
PA
USD
77508.78000000
0.000240064978
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4945 KR
3137FQXD0
23689379.38000000
PA
USD
24193252.48000000
0.074932835144
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468V4
9470000.00000000
PA
USD
9227615.35000000
0.028580339926
Long
DBT
CORP
US
N
2
2026-12-10
Variable
0.98500000
N
N
N
N
N
N
COMM 2013-LC6 Mortgage Trust
N/A
COMM 2013-LC6 A4
20048EAY7
748279.52000000
PA
USD
773376.82000000
0.002395350431
Long
ABS-MBS
CORP
US
N
2
2046-01-10
Fixed
2.94100000
N
N
N
N
N
N
TMSQ 2014-1500 Mortgage Trust
N/A
TMSQ 2014-1500 A
87264JAA4
100000.00000000
PA
USD
106192.00000000
0.000328904418
Long
ABS-MBS
CORP
US
Y
2
2036-10-10
Fixed
3.68000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_18-3
N/A
GMCAR 2018-3 A3
36255JAD6
7630582.26000000
PA
USD
7716844.47000000
0.023901087089
Long
ABS-CBDO
CORP
US
N
2
2023-05-16
Fixed
3.02000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3911
31418DKZ4
7846652.36000000
PA
USD
8337573.46000000
0.025823647238
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
4.50000000
N
N
N
N
N
N
VOLVO FINANCIAL EQUIPMENT LLC VFET_20-1
N/A
VFET 2020-1A A3
92888EAC7
12100000.00000000
PA
USD
12119223.27000000
0.037536406488
Long
ABS-CBDO
CORP
US
Y
2
2024-10-15
Fixed
0.51000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
DUKE ENERGY PROG
26442UAF1
2500000.00000000
PA
USD
2658845.00000000
0.008235138877
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 670551
31391L5L5
25659.19000000
PA
USD
30148.49000000
0.000093377764
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_16-AA
N/A
MMAF 2016-AA A5
55315FAE0
6130000.00000000
PA
USD
6265364.50000000
0.019405473719
Long
ABS-CBDO
CORP
US
Y
2
2032-12-15
Fixed
2.21000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3029
31418CLK8
330665.39000000
PA
USD
350431.38000000
0.001085377703
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
3.00000000
N
N
N
N
N
N
City of New York NY
549300ABYZD2SFD5JB29
NEW YORK-B-2
64966QEM8
5000000.00000000
PA
USD
4991189.00000000
0.015459018700
Long
DBT
MUN
US
N
2
2029-10-01
Fixed
2.33000000
N
N
N
N
N
N
Georgia Power Co
D981X4Z4RWS7PDMJUZ03
GEORGIA POWER
373334JX0
1820000.00000000
PA
USD
1869045.36000000
0.005788922673
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745133
31403CY62
227919.21000000
PA
USD
267724.23000000
0.000829212013
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Virginia Electric and Power Co
CQKUMNNZVDJLRYV2PT43
VIRGINIA EL&PWR
927804FU3
5700000.00000000
PA
USD
6126633.60000000
0.018975787811
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3980
31418DM66
2487625.20000000
PA
USD
2608466.07000000
0.008079102144
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL6273
3138EN6K0
1091467.90000000
PA
USD
1211883.55000000
0.003753520546
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725221
31402CVN9
115433.42000000
PA
USD
134929.76000000
0.000417912782
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AX0458
36196BQK2
182974.72000000
PA
USD
204727.01000000
0.000634093134
Long
ABS-MBS
USGA
US
N
2
2046-11-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL3365
3138EKW35
11607135.49000000
PA
USD
13455136.55000000
0.041674079571
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725424
31402C4H2
498825.22000000
PA
USD
583220.16000000
0.001806385484
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 612801
31388RX69
41073.79000000
PA
USD
47917.04000000
0.000148411614
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 903036
31411BHM8
354.40000000
PA
USD
355.85000000
0.000001102160
Long
ABS-MBS
USGSE
US
N
2
2021-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4819 ZL
3137FGZ73
8112857.42000000
PA
USD
8691304.15000000
0.026919243768
Long
ABS-MBS
USGSE
US
N
2
2048-07-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A77257
3128LBB23
103950.08000000
PA
USD
113515.95000000
0.000351588608
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3027
31418CLH5
60980.84000000
PA
USD
65917.72000000
0.000204164431
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2960
36179RJD2
729891.03000000
PA
USD
774102.35000000
0.002397597587
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AX0889
3138Y17B5
338746.03000000
PA
USD
377416.40000000
0.001168957373
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAP6
500000000.00000000
PA
USD
498359400.00000000
1.543549499760
Long
DBT
UST
US
N
2
2023-10-15
Fixed
0.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3444
31418CZJ6
246711.78000000
PA
USD
268123.18000000
0.000830447665
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 972217
31414PSE0
2913.36000000
PA
USD
3017.61000000
0.000009346327
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS9528
3132AASR6
378005.44000000
PA
USD
426104.21000000
0.001319756264
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.00000000
N
N
N
N
N
N
Mercy Health/OH
RV2KCMRGYKSCKT5REH48
MERCY HEALTH
58942HAC5
7000000.00000000
PA
USD
8043371.00000000
0.024912425216
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.30200000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_20-B
N/A
TAOT 2020-B A4
89239RAD8
4570000.00000000
PA
USD
4693850.20000000
0.014538082612
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
1.66000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 932561
31412RB63
15778.97000000
PA
USD
16641.25000000
0.000051542306
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08105
3128MJDK3
289725.01000000
PA
USD
337849.70000000
0.001046408947
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A13738
31296NEK9
68399.10000000
PA
USD
78787.04000000
0.000244024084
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91485
3128P7UJ0
11530672.23000000
PA
USD
12376029.63000000
0.038331803000
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 806622
31406DD37
132972.52000000
PA
USD
154936.92000000
0.000479880193
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 597642
36200C5B7
12123.64000000
PA
USD
13063.01000000
0.000040459561
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4125
36179SSN8
829107.25000000
PA
USD
856141.37000000
0.002651693904
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
2.50000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_18-3
N/A
FORDF 2018-3 A1
34528QGH1
21965000.00000000
PA
USD
22344528.84000000
0.069206854156
Long
ABS-CBDO
CORP
US
N
2
2023-10-15
Fixed
3.52000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8271
3138WJFM5
382354.64000000
PA
USD
401258.90000000
0.001242803836
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01109
31283HGS8
6287.67000000
PA
USD
7244.47000000
0.000022438019
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL3423
3131XJYU0
2159232.33000000
PA
USD
2372136.09000000
0.007347126341
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZU7
400000000.00000000
PA
USD
400437520.00000000
1.240259807843
Long
DBT
UST
US
N
2
2023-06-15
Fixed
0.25000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_17-A
N/A
MMAF 2017-AA A4
55315XAD3
3327467.63000000
PA
USD
3351505.59000000
0.010380490017
Long
ABS-CBDO
CORP
US
Y
2
2024-08-16
Fixed
2.41000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_18-3
N/A
GMCAR 2018-3 A4
36255JAE4
5820000.00000000
PA
USD
5996687.05000000
0.018573309335
Long
ABS-CBDO
CORP
US
N
2
2024-01-16
Fixed
3.16000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07924
3128MAD55
947054.28000000
PA
USD
1035094.34000000
0.003205958091
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
3.50000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_20-C
N/A
FORDO 2020-C A4
34533YAE0
10470000.00000000
PA
USD
10433888.97000000
0.032316485051
Long
ABS-CBDO
CORP
US
N
2
2026-08-15
Fixed
0.51000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
N/A
MSBAM 2015-C25 A5
61765TAF0
4848200.00000000
PA
USD
5301361.25000000
0.016419703341
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.63500000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA4529
31346YA60
18224374.13000000
PA
USD
18999868.63000000
0.058847566072
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_19-A
N/A
WOART 2019-A A4
98162YAE3
5230000.00000000
PA
USD
5467580.07000000
0.016934526532
Long
ABS-CBDO
CORP
US
N
2
2025-06-16
Fixed
3.22000000
N
N
N
N
N
N
Corp Andina de Fomento
UKZ46SXGNYCZK0UOZE76
CORP ANDINA FOM
219868BS4
6291000.00000000
PA
USD
6561890.46000000
0.020323892229
Long
DBT
CORP
N/A
N
2
2022-06-15
Fixed
4.37500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
N/A
8000000.00000000
PA
9529126.60000000
0.029514199183
Long
DBT
CORP
US
N
2
2024-07-26
Variable
0.63700000
N
N
N
N
N
N
Unilever Capital Corp
MYF1DAS6G5WY7PRWCU78
UNILEVER CAPITAL
904764AX5
23425000.00000000
PA
USD
24770157.20000000
0.076719660058
Long
DBT
CORP
US
N
2
2024-05-05
Fixed
2.60000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5253
36179TZS7
194104.20000000
PA
USD
199668.70000000
0.000618426224
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T65516
31323ADV1
245939.05000000
PA
USD
256770.82000000
0.000795286435
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA-BD
91412HFG3
48635000.00000000
PA
USD
53690272.67000000
0.166292827067
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
3.34900000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14912L6C0
95000.00000000
PA
USD
102630.40000000
0.000317873210
Long
DBT
CORP
US
N
2
2024-06-09
Fixed
3.30000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 727771
3620AEQY9
7077.73000000
PA
USD
7896.53000000
0.000024457620
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1375
36179NQ43
1001120.89000000
PA
USD
1082208.08000000
0.003351881675
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4837 ZB
3137FJDU0
32305892.25000000
PA
USD
34723665.23000000
0.107548279606
Long
ABS-MBS
USGSE
US
N
2
2048-10-15
Fixed
4.00000000
N
N
N
N
N
N
CNPC General Capital Ltd
N/A
CNPC GENERAL CAP
12623TAE8
1000000.00000000
PA
USD
1047096.00000000
0.003243130373
Long
DBT
CORP
VG
Y
2
2023-04-16
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 788359
31405FZY1
447863.13000000
PA
USD
533862.75000000
0.001653512667
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
6.50000000
N
N
N
N
N
N
COMM 2012-CCRE4 Mortgage Trust
N/A
COMM 2012-CR4 A3
12624QAR4
1357278.59000000
PA
USD
1394875.21000000
0.004320293612
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
2.85300000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03819
3128M5SG6
253937.43000000
PA
USD
295465.87000000
0.000915135133
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU3220
3138X2SJ4
2210279.94000000
PA
USD
2410985.74000000
0.007467453875
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZP8
150000000.00000000
PA
USD
149812500.00000000
0.464008523633
Long
DBT
UST
US
N
2
2023-05-15
Fixed
0.12500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AC3752
36179DEZ9
226021.51000000
PA
USD
235710.51000000
0.000730057143
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT8110
36194HAK8
2877991.79000000
PA
USD
3135617.53000000
0.009711828190
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 955171
31413TT44
86757.93000000
PA
USD
100371.91000000
0.000310878076
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
BRAZOS HIGHER EDUCATION AUTHORITY INC BRHEA_11-1
N/A
BRHEA 2011-1 A2
10620NCG1
674173.71400000
PA
USD
677220.24000000
0.002097528335
Long
ABS-CBDO
CORP
US
N
2
2030-02-25
Floating
1.00650000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q01349
3132GEQA1
110168.47000000
PA
USD
124277.82000000
0.000384920936
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18552
3128MMTJ2
64014.57000000
PA
USD
67900.66000000
0.000210306115
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C46901
31298FU26
75441.44000000
PA
USD
82367.72000000
0.000255114387
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 745242
3620C05B0
20801.76000000
PA
USD
23582.49000000
0.000073041143
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
4.50000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_19-B
N/A
NAROT 2019-B A3
65479HAC1
11895313.45000000
PA
USD
12080267.73000000
0.037415750985
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G14394
3128MDC76
6102.35000000
PA
USD
6499.01000000
0.000020129134
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2015-C27
N/A
JPMBB 2015-C27 A4
46644ABF8
110000.00000000
PA
USD
117254.50000000
0.000363167876
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.17940000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY8156
3138YNB22
544262.22000000
PA
USD
567601.98000000
0.001758011893
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Pepper Residential Securities Trust
N/A
PEPAU 21A A1U
71336WAA3
338332.16480000
PA
USD
338819.70000000
0.001049413291
Long
ABS-MBS
CORP
AU
Y
2
2060-01-16
Floating
0.98610000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BDQ6
17649000.00000000
PA
USD
19215066.37000000
0.059514089797
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
3.87500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 699253
36296RZS9
2197.85000000
PA
USD
2584.74000000
0.000008005616
Long
ABS-MBS
USGA
US
N
2
2038-09-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A93280
312941UD7
18011.56000000
PA
USD
19829.11000000
0.000061415943
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807CS4
5740000.00000000
PA
USD
6164358.20000000
0.019092630771
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
3.37500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 615877
36290SFS5
819757.25000000
PA
USD
931447.21000000
0.002884935801
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2.5 4/21
01F022642
692000000.00000000
PA
USD
710165000.00000000
2.199566879840
Long
ABS-MBS
USGSE
US
N
2
2021-04-14
Fixed
2.50000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PCW0
21140000.00000000
PA
USD
23423838.76000000
0.072549759471
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.45000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13652
3128MCH57
12102.63000000
PA
USD
12775.63000000
0.000039569469
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS4954
3138WEQG7
2685420.35000000
PA
USD
2860107.21000000
0.008858500618
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A41756
3128K15R8
238577.72000000
PA
USD
279281.46000000
0.000865007779
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 506289
31383LNE1
3598.14000000
PA
USD
3966.17000000
0.000012284266
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 943734
31413E4T9
13584.48000000
PA
USD
15825.13000000
0.000049014569
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12435
3128PRV48
27660.46000000
PA
USD
29381.76000000
0.000091003000
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA2971
3140QAJR2
4268555.92000000
PA
USD
4748484.60000000
0.014707299649
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
085209AB0
2700000.00000000
PA
USD
2845176.30000000
0.008812255682
Long
DBT
NUSS
BM
Y
2
2023-01-03
Fixed
4.13800000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE5017
3133N2SE7
9091798.59000000
PA
USD
9596187.94000000
0.029721905705
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AV5898
36195GRT2
2093543.63000000
PA
USD
2184178.79000000
0.006764973388
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 697558
36296P5T4
581706.02000000
PA
USD
672155.49000000
0.002081841478
Long
ABS-MBS
USGA
US
N
2
2038-11-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AI4463
36198Q5Y0
124976.14000000
PA
USD
134177.01000000
0.000415581318
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
3.50000000
N
N
N
N
N
N
Costco Wholesale Corp
29DX7H14B9S6O3FD6V18
COSTCO COMPANIES
22160KAP0
27777000.00000000
PA
USD
26588644.39000000
0.082351990847
Long
DBT
CORP
US
N
2
2030-04-20
Fixed
1.60000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJK6
13480000.00000000
PA
USD
13274645.68000000
0.041115052106
Long
DBT
CORP
US
N
2
2026-10-24
Variable
1.19700000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 664614
36295AK38
41281.67000000
PA
USD
46232.88000000
0.000143195330
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A36621
31297SLA1
211355.38000000
PA
USD
229106.78000000
0.000709603662
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2K8
7000000.00000000
PA
USD
7219226.00000000
0.022359832444
Long
DBT
CORP
US
N
2
2026-02-11
Variable
2.16400000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.250000 16-JUN-2025
N/A
57905000.00000000
NC
USD
919872.66000000
0.002849086390
N/A
DIR
N/A
N
1
MERRILL LYNCH & CO INC
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2025-06-16
0.00000000
USD
681687.30000000
USD
57905000.00000000
USD
238185.36000000
N
N
N
Freddie Mac Gold Pool
N/A
FG G04219
3128M6AU2
246646.57000000
PA
USD
282722.87000000
0.000875666726
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 555591
31385XF85
27639.22000000
PA
USD
32312.62000000
0.000100080641
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2149
36179QL66
1738754.77960000
PA
USD
1911153.88000000
0.005919343781
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA4328
31416MY24
66400.16000000
PA
USD
69456.56000000
0.000215125145
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
BH6825732
85733000.00000000
PA
USD
90503278.43000000
0.280312341148
Long
DBT
NUSS
AE
N
2
2025-04-16
Fixed
2.50000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QC48
16905000.00000000
PA
USD
18122498.10000000
0.056130119902
Long
DBT
CORP
CA
N
2
2023-07-19
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 735676
31402RJV2
471826.40000000
PA
USD
539103.18000000
0.001669743650
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB2468
31416XW63
741301.43000000
PA
USD
835813.73000000
0.002588733883
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_18-2
N/A
GMCAR 2018-2 A4
38013RAE5
4430000.00000000
PA
USD
4535428.24000000
0.014047408338
Long
ABS-CBDO
CORP
US
N
2
2023-12-18
Fixed
3.02000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A97618
312946PB6
89099.86000000
PA
USD
100190.44000000
0.000310316015
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A28013
31297F3W1
169505.04000000
PA
USD
194352.58000000
0.000601960809
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38148YAC2
6270000.00000000
PA
USD
6353641.80000000
0.019678891623
Long
DBT
CORP
US
N
2
2022-10-31
Variable
2.87600000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
CHUBB INA HLDGS
171239AG1
16500000.00000000
PA
USD
15070159.50000000
0.046676228355
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.37500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08597
3128MJUX6
538661.79000000
PA
USD
578541.40000000
0.001791894140
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI1193
3138AEKF9
8238223.61000000
PA
USD
9154277.83000000
0.028353194431
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A93996
312942NM3
7605.09000000
PA
USD
8447.99000000
0.000026165636
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-11 BX
3136B1EY6
37000000.00000000
PA
USD
39809410.00000000
0.123300162274
Long
ABS-MBS
USGSE
US
N
2
2047-12-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 569972
31386QFM8
15718.17000000
PA
USD
18187.29000000
0.000056330797
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A94717
312943G23
112182.65000000
PA
USD
127656.52000000
0.000395385654
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 636966
36291STX8
24030.83000000
PA
USD
26267.37000000
0.000081356919
Long
ABS-MBS
USGA
US
N
2
2035-02-15
Fixed
5.50000000
N
N
N
N
N
N
Benchmark 2020-B22 Mortgage Trust
N/A
BMARK 2020-B22 ASB
08163BBD2
4550000.00000000
PA
USD
4479384.00000000
0.013873824658
Long
ABS-MBS
CORP
US
N
2
2054-01-15
Fixed
1.73100000
N
N
N
N
N
N
Gosforth Funding 2018-1 plc
213800GD24WOLHNGMP34
GFUND 2018-1A A1
38312RAA1
4780168.60290000
PA
USD
4785773.35000000
0.014822792668
Long
ABS-MBS
CORP
GB
Y
2
2060-08-25
Floating
0.63750000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAW1
500000000.00000000
PA
USD
499687500.00000000
1.547662973070
Long
DBT
UST
US
N
2
2023-11-15
Fixed
0.25000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280AW9
4840000.00000000
PA
USD
5410786.04000000
0.016758620556
Long
DBT
CORP
GB
N
2
2026-03-08
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 959279
31413YFU0
111659.31000000
PA
USD
129951.84000000
0.000402494861
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
7.00000000
N
N
N
N
N
N
Hershey Co/The
21X2CX66SU2BR6QTAD08
HERSHEY COMPANY
427866BD9
10000000.00000000
PA
USD
10331260.00000000
0.031998616269
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
2.45000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
BURLINGTON NORTH
12189LAV3
1175000.00000000
PA
USD
1262612.70000000
0.003910642001
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5595
3138WFGD2
255025.51000000
PA
USD
272644.48000000
0.000844451315
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_18-1
N/A
ALLYA 2018-1 A4
02007MAF7
1770000.00000000
PA
USD
1782573.37000000
0.005521096288
Long
ABS-CBDO
CORP
US
N
2
2023-02-15
Fixed
2.53000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC25
N/A
CGCMT 2014-GC25 A4
17322YAD2
4607300.00000000
PA
USD
4974824.32000000
0.015408333003
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Fixed
3.63500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2.5 4/21
01F022444
-54000000.00000000
PA
USD
-56160000.00000000
-0.17394221902
Short
ABS-MBS
USGSE
US
N
2
2021-04-19
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA0243
3140Q7HV2
6537023.85000000
PA
USD
7227406.78000000
0.022385170460
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 3975
36202EMY2
372.35000000
PA
USD
435.38000000
0.000001348485
Long
ABS-MBS
USGA
US
N
2
2037-04-20
Fixed
5.50000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
BURLINGTON NORTH
12189LBA8
7535000.00000000
PA
USD
8166907.71000000
0.025295050741
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS0285
3138W9J76
992670.06000000
PA
USD
1019059.20000000
0.003156293065
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.00000000
N
N
N
N
N
N
Chevron Corp
N/A
CHEVRON CORP
166764BW9
24740000.00000000
PA
USD
25189377.36000000
0.078018094618
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.55400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2891
36179RF87
861066.31000000
PA
USD
915043.20000000
0.002834128288
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G60727
31335AYY8
1371737.35000000
PA
USD
1480970.30000000
0.004586952640
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 746166
3620C16B7
114078.33000000
PA
USD
122868.72000000
0.000380556584
Long
ABS-MBS
USGA
US
N
2
2038-09-15
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2016-UBS9
N/A
MSC 2016-UBS9 A4
61766CAE9
5373000.00000000
PA
USD
5820893.28000000
0.018028830018
Long
ABS-MBS
CORP
US
N
2
2049-03-15
Fixed
3.59400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4611
3140QCDR4
10811732.93000000
PA
USD
11024358.63000000
0.034145324134
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7207
3133JLAG4
649849.64000000
PA
USD
676995.22000000
0.002096831389
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.50000000
N
N
N
N
N
N
New York Life Global Funding
635400DPNHEAUHB7ZI15
NEW YORK LIFE GL
64952WCH4
5200000.00000000
PA
USD
5415602.40000000
0.016773538084
Long
DBT
CORP
US
Y
2
2026-07-14
Fixed
2.35000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL5265
36184BZ67
131191.92000000
PA
USD
139783.81000000
0.000432947045
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BS7
13280000.00000000
PA
USD
14151592.96000000
0.043831187360
Long
DBT
CORP
GB
N
2
2024-05-18
Variable
3.95000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3522
31418C4G6
421528.29000000
PA
USD
459386.76000000
0.001422841033
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G02309
3128LXR69
427019.74000000
PA
USD
485371.86000000
0.001503323689
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967MR9
38445000.00000000
PA
USD
39116403.48000000
0.121153739698
Long
DBT
CORP
US
N
2
2024-05-15
Variable
1.67800000
N
N
N
N
N
N
SOFI_18-D
N/A
SOFI 2018-D A2FX
83401AAB4
569737.01200000
PA
USD
590209.60000000
0.001828033609
Long
ABS-CBDO
CORP
US
Y
2
2048-02-25
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07621
3128M9YS5
2582081.51000000
PA
USD
2902248.77000000
0.008989024059
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406RAD9
10000000.00000000
PA
USD
10876420.00000000
0.033687119476
Long
DBT
CORP
US
N
2
2027-05-16
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO4138
3140JYS49
21870705.09000000
PA
USD
23017493.32000000
0.071291201289
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_18-3
N/A
ALLYA 2018-3 A3
02007JAC1
568802.40000000
PA
USD
572282.22000000
0.001772507821
Long
ABS-CBDO
CORP
US
N
2
2023-01-17
Fixed
3.00000000
N
N
N
N
N
N
CSAIL 2020-C19 Commercial Mortgage Trust
N/A
CSAIL 2020-C19 A3
12597NAS2
4500000.00000000
PA
USD
4540860.00000000
0.014064231920
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.56080000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 937179
31412WUC8
10140.90000000
PA
USD
11483.68000000
0.000035567962
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782562
36241KZ35
1455.81000000
PA
USD
1653.59000000
0.000005121601
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AX9528
3138YBSS3
607861.41000000
PA
USD
649854.66000000
0.002012769971
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4828 ZH
3137FJAF6
18006504.03000000
PA
USD
18613143.15000000
0.057649776041
Long
ABS-MBS
USGSE
US
N
2
2048-10-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 890527
31410LLG5
8521298.54000000
PA
USD
9374548.09000000
0.029035429079
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.50000000
N
N
N
N
N
N
New York Life Global Funding
635400DPNHEAUHB7ZI15
NEW YORK LIFE GL
64952WDS9
15000000.00000000
PA
USD
13578660.00000000
0.042056664026
Long
DBT
CORP
US
Y
2
2030-08-07
Fixed
1.20000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 714032
36297KHH7
59571.77000000
PA
USD
63253.13000000
0.000195911499
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18546
3128MMTC7
109170.82000000
PA
USD
117849.75000000
0.000365011521
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J29007
31307JAG8
330188.89000000
PA
USD
353651.32000000
0.001095350700
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
3.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CG2
25000000.00000000
PA
USD
25443100.00000000
0.078803940042
Long
DBT
CORP
GB
N
2
2026-06-04
Variable
2.09900000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913Q3B3
11095000.00000000
PA
USD
11593931.06000000
0.035909439027
Long
DBT
CORP
US
N
2
2024-11-08
Fixed
2.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU6676
3138X6M28
57780.41000000
PA
USD
60113.42000000
0.000186186995
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E02696
31294L7H0
9005.89000000
PA
USD
9560.50000000
0.000029611370
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT2717
3138WQAT9
575088.77000000
PA
USD
591608.54000000
0.001832366492
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0462
36179MQP8
2668496.82000000
PA
USD
2905633.59000000
0.008999507733
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05979
3128M76Q4
104218.48000000
PA
USD
119772.56000000
0.000370966966
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
5.50000000
N
N
N
N
N
N
COMM 2014-CCRE17 Mortgage Trust
N/A
COMM 2014-CR17 A5
12631DBB8
1328100.00000000
PA
USD
1443618.14000000
0.004471263224
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Fixed
3.97700000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 747148
3620C3BR2
395023.28000000
PA
USD
431068.21000000
0.001335131071
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
4.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C23
N/A
WFRBS 2014-C23 A4
92939HAX3
5015267.24000000
PA
USD
5415034.19000000
0.016771778188
Long
ABS-MBS
CORP
US
N
2
2057-10-15
Fixed
3.65000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA-BG
91412HGF4
25000000.00000000
PA
USD
24770357.50000000
0.076720280440
Long
DBT
MUN
US
N
2
2027-05-15
Fixed
1.31600000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 672395
36295J7G5
78.52000000
PA
USD
85.78000000
0.000000265683
Long
ABS-MBS
USGA
US
N
2
2037-12-15
Fixed
6.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBG4
2850000.00000000
PA
USD
3220879.05000000
0.009975905433
Long
DBT
CORP
JP
N
2
2028-10-16
Fixed
4.30600000
N
N
N
N
N
N
CD 2017-CD3 Mortgage Trust
N/A
CD 2017-CD3 A4
12515GAD9
1250000.00000000
PA
USD
1375475.00000000
0.004260206084
Long
ABS-MBS
CORP
US
N
2
2050-02-10
Fixed
3.63100000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11305
3128PQNW7
4829.89000000
PA
USD
5089.47000000
0.000015763420
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL1685
3138EH2T8
74853.17000000
PA
USD
86536.97000000
0.000268027645
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
6.50000000
N
N
N
N
N
N
MassMutual Global Funding II
549300K1IE3K7YU6VG29
MASSMUTUAL GLBL
57629WCG3
2500000.00000000
PA
USD
2660585.00000000
0.008240528112
Long
DBT
CORP
US
Y
2
2025-01-11
Fixed
2.95000000
N
N
N
N
N
N
TAOT_19-C
N/A
TAOT 2019-C A3
89238UAD2
34940000.00000000
PA
USD
35351956.58000000
0.109494262362
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
1.91000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-2
N/A
GMALT 2020-2 A3
36259PAD8
12390000.00000000
PA
USD
12463410.75000000
0.038602445200
Long
ABS-CBDO
CORP
US
N
2
2023-07-20
Fixed
0.80000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967MP3
11593000.00000000
PA
USD
13126324.96000000
0.040655664016
Long
DBT
CORP
US
N
2
2031-03-31
Variable
4.41200000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2.5 5/21
21H022655
125000000.00000000
PA
USD
128720700.00000000
0.398681698576
Long
ABS-MBS
USGA
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 769810
31404JGT6
82366.67000000
PA
USD
94259.59000000
0.000291946621
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB1389
31416WRK0
10190.12000000
PA
USD
11400.83000000
0.000035311354
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05701
3128M7U20
120278.41000000
PA
USD
137423.06000000
0.000425635185
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 607763
36202SFC7
64788.52000000
PA
USD
75814.88000000
0.000234818526
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
6.00000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDR_20-1
N/A
FORDR 2020-1 A
34531NAA4
2940000.00000000
PA
USD
3043387.75000000
0.009426168422
Long
ABS-CBDO
CORP
US
Y
2
2031-08-15
Fixed
2.04000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AU7261
36194VB67
1409336.57000000
PA
USD
1471315.53000000
0.004557049290
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA1458
31418ATQ1
583983.74000000
PA
USD
618414.66000000
0.001915392062
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 888227
31410FYY5
5664.21000000
PA
USD
6150.39000000
0.000019049367
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 738108
3620ASAH2
808962.39000000
PA
USD
929453.70000000
0.002878761379
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
4.50000000
N
N
N
N
N
N
WHEELS SPV LLC WHLS_20-1
N/A
WHLS 2020-1A A3
96328DBU7
1700000.00000000
PA
USD
1695843.16000000
0.005252470127
Long
ABS-CBDO
CORP
US
Y
2
2029-08-20
Fixed
0.62000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU6178
3138X52L0
24435.65000000
PA
USD
28000.42000000
0.000086724629
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BO8587
3617KQRG5
2370946.86000000
PA
USD
2439219.22000000
0.007554900352
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL6784
3131XNRD7
4821895.11000000
PA
USD
5277948.50000000
0.016347187926
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
Lithuania Government International Bond
N/A
LITHUANIA
N/A
16800000.00000000
PA
USD
17656863.84000000
0.054687928726
Long
DBT
NUSS
LT
N
2
2022-02-01
Fixed
6.62500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5397
36179T7J8
367072.66000000
PA
USD
391526.31000000
0.001212659458
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A66534
3128KXHK0
44221.08000000
PA
USD
48990.39000000
0.000151736060
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08681
3128MJXK1
1066393.38000000
PA
USD
1141809.89000000
0.003536484080
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_20-2
N/A
HAROT 2020-2 A4
43813DAD0
4300000.00000000
PA
USD
4354706.75000000
0.013487666582
Long
ABS-CBDO
CORP
US
N
2
2026-10-15
Fixed
1.09000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4922
36202FPF7
284820.16000000
PA
USD
313156.38000000
0.000969927272
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J29049
31307JBS1
448000.98000000
PA
USD
479860.57000000
0.001486253781
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J27667
31307GQU6
203100.72000000
PA
USD
217579.26000000
0.000673899916
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.00000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BL7
19630000.00000000
PA
USD
20171532.81000000
0.062476516703
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.62300000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RAB
AX3301345
7300000.00000000
PA
8738376.41000000
0.027065038878
Long
DBT
CORP
NL
N
2
2024-02-27
Fixed
0.62500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AM4931
36184SPQ7
2307935.16000000
PA
USD
2436204.20000000
0.007545562046
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 949358
31413ME78
5778.71000000
PA
USD
6636.53000000
0.000020555070
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816BR9
18265000.00000000
PA
USD
19564682.61000000
0.060596942799
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GWT7
10000000.00000000
PA
USD
10464640.00000000
0.032411729039
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.20000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4748
36202FHZ2
14184.58000000
PA
USD
16506.50000000
0.000051124950
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 255814
31371MDT1
30373.80000000
PA
USD
35404.94000000
0.000109658365
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 686314
31400FN78
122928.56000000
PA
USD
136452.37000000
0.000422628704
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6.00000000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp
4NYF266XZC35SCTGX023
NATL RURAL UTIL
637432NQ4
10945000.00000000
PA
USD
12026913.25000000
0.037250498196
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A21415
31296XSC0
491152.71000000
PA
USD
563257.71000000
0.001744556551
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782436
36241KV54
976.05000000
PA
USD
1143.70000000
0.000003542338
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE5013
3133N2SA5
27415794.53000000
PA
USD
29263824.70000000
0.090637724454
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
4.50000000
N
N
N
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
WALMART INC
931142EN9
6952000.00000000
PA
USD
7597242.93000000
0.023530649816
Long
DBT
CORP
US
N
2
2029-07-08
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G02031
3128LXHG8
116396.36000000
PA
USD
135725.08000000
0.000420376096
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-92 AB
38380XSV0
24501523.87000000
PA
USD
25684702.46000000
0.079552246097
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
N/A
15280000.00000000
PA
18165813.68000000
0.056264279591
Long
DBT
CORP
US
N
2
2024-04-26
Fixed
0.50000000
N
N
N
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX COS INC
872540AT6
10000000.00000000
PA
USD
11102220.00000000
0.034386481176
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_19-1
N/A
MBART 2019-1 A4
58769TAE5
11300000.00000000
PA
USD
11649479.62000000
0.036081487456
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
2.04000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C01372
31292HQZ0
12175.63000000
PA
USD
14462.50000000
0.000044794147
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL8046
3138EQ5G3
795979.05000000
PA
USD
844536.08000000
0.002615749284
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 697914
36296QK32
38434.38000000
PA
USD
43523.97000000
0.000134805126
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3443
31418CZH0
30150613.60500000
PA
USD
32442147.68000000
0.100481822601
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR2354
3617LYTK6
2282025.37000000
PA
USD
2380128.73000000
0.007371881639
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15658
3128PVJB7
137101.10000000
PA
USD
148255.45000000
0.000459185932
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_18-4
N/A
GMCAR 2018-4 A3
38013FAD3
7689028.63000000
PA
USD
7801514.51000000
0.024163332364
Long
ABS-CBDO
CORP
US
N
2
2023-10-16
Fixed
3.21000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AJ1415
3138ASSD5
20351.44000000
PA
USD
22750.79000000
0.000070465151
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A70254
3128L3H74
86597.74000000
PA
USD
99348.80000000
0.000307709236
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE6020
3133N3VM3
1280529.56000000
PA
USD
1326636.56000000
0.004108940653
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 770284
31404JXM2
102685.02000000
PA
USD
115003.46000000
0.000356195816
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 557521
36213LLA6
16523.37000000
PA
USD
18623.38000000
0.000057681482
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889657
31410KME1
573562.49000000
PA
USD
639549.54000000
0.001980852317
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2016-BNK2
N/A
MSC 2016-BNK2 A4
61690YBU5
760000.00000000
PA
USD
812994.80000000
0.002518057684
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
3.04900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 545815
31385JK49
76204.14000000
PA
USD
87719.97000000
0.000271691706
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
7.00000000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236TFT7
20000000.00000000
PA
USD
22174660.00000000
0.068680725898
Long
DBT
CORP
US
N
2
2029-01-08
Fixed
3.65000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 604204
36200MGM9
4699.22000000
PA
USD
4977.30000000
0.000015416000
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4600
36202FDD5
386048.82000000
PA
USD
427252.24000000
0.001323312014
Long
ABS-MBS
USGA
US
N
2
2039-12-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 721229
31401XHE0
354978.75000000
PA
USD
403056.89000000
0.001248372682
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A24338
31297BZB1
74391.39000000
PA
USD
87860.70000000
0.000272127584
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS2337
3138WBS30
21388.99000000
PA
USD
23835.88000000
0.000073825959
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
COMM 2014-LC17 Mortgage Trust
N/A
COMM 2014-LC17 A5
12592MBK5
1586900.00000000
PA
USD
1722865.59000000
0.005336165665
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Fixed
3.91700000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 564819
36213UPC8
18049.26000000
PA
USD
19819.77000000
0.000061387015
Long
ABS-MBS
USGA
US
N
2
2031-09-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4984
36202FRD0
8334.73000000
PA
USD
9747.34000000
0.000030190063
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA0245
31334WHW4
9585802.98000000
PA
USD
10133614.37000000
0.031386456022
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 948156
31413KZV6
8897.26000000
PA
USD
9175.85000000
0.000028420009
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995050
31416BL71
2067464.78000000
PA
USD
2404630.45000000
0.007447769878
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C18
N/A
JPMBB 2014-C18 AS
46641JBA3
450000.00000000
PA
USD
477481.50000000
0.001478885178
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Variable
4.43860000
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-GC20
N/A
GSMS 2014-GC20 A5
36252WAX6
5884300.00000000
PA
USD
6336096.55000000
0.019624549391
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Fixed
3.99800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 952190
31413QKB3
6999.54000000
PA
USD
8039.02000000
0.000024898949
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
BANK 2019-BNK17
N/A
BANK 2019-BN17 A4
065403BC0
4459000.00000000
PA
USD
4910919.65000000
0.015210403514
Long
ABS-MBS
CORP
US
N
2
2052-04-15
Fixed
3.71400000
N
N
N
N
N
N
JPMCC Commercial Mortgage Securities Trust 2017-JP6
N/A
JPMCC 2017-JP6 A4
48128KAT8
3830000.00000000
PA
USD
4124871.70000000
0.012775807277
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.22380000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18566
3128MMTY9
390266.30000000
PA
USD
417536.63000000
0.001293220226
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2 5/21
01F020653
1057000000.00000000
PA
USD
1053201353.40000000
3.262040250845
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAY6
8400000.00000000
PA
USD
9004783.20000000
0.027890170434
Long
DBT
CORP
US
N
2
2024-04-14
Fixed
3.22400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2806
31418CDL5
15282985.62000000
PA
USD
16038593.24000000
0.049675721121
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q23414
3132M3N78
23106.97000000
PA
USD
25420.33000000
0.000078733415
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YBH1
5000000.00000000
PA
USD
4842605.00000000
0.014998815162
Long
DBT
CORP
JP
N
2
2031-07-10
Variable
2.20100000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS
00440EAR8
30810000.00000000
PA
USD
33148294.14000000
0.102668943011
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL2935
3138EKHM0
1063307.63000000
PA
USD
1159883.72000000
0.003592463462
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889983
31410KXL3
6540347.74000000
PA
USD
7608625.25000000
0.023565903840
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03941
3128M5WA4
65638.59000000
PA
USD
76069.95000000
0.000235608545
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4519
36202FAU0
10516.88000000
PA
USD
11687.84000000
0.000036200299
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT5300
3138WS3J5
535131.64000000
PA
USD
581587.70000000
0.001801329328
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
IBM CORP
459200JS1
8000000.00000000
PA
9486372.77000000
0.029381779381
Long
DBT
CORP
US
N
2
2023-01-31
Fixed
0.37500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AM6376
36184XCM9
44770.46000000
PA
USD
48657.33000000
0.000150704486
Long
ABS-MBS
USGA
US
N
2
2045-05-15
Fixed
4.00000000
N
N
N
N
N
N
Benchmark 2019-B10 Mortgage Trust
N/A
BMARK 2019-B10 ASB
08162VAC2
305000.00000000
PA
USD
336177.10000000
0.001041228467
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Fixed
3.61500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4803
36202FKQ8
7884.96000000
PA
USD
9133.64000000
0.000028289273
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 748490
31403GRK0
18682.04000000
PA
USD
20960.15000000
0.000064919070
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Principal Strip
N/A
FNMA PRIN STP
31358DDG6
4900000.00000000
PA
USD
4133439.10000000
0.012802342757
Long
DBT
USGSE
US
N
2
2030-01-15
None
0.00000000
N
N
N
N
N
N
RESIMAC Bastille Trust Series 2018-1NC
N/A
RESI 2018-1NCA A1
76118VAA8
454798.96000000
PA
USD
455407.25000000
0.001410515449
Long
ABS-MBS
CORP
AU
Y
2
2059-12-05
Floating
0.95300000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL5269
36184B2A4
34049.85000000
PA
USD
36257.04000000
0.000112297542
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 494516
36210KK53
17662.63000000
PA
USD
18133.77000000
0.000056165031
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 736686
3620AQNB5
6451.97000000
PA
USD
7241.72000000
0.000022429502
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13
N/A
JPMCC 2013-C13 A4
46640JAR8
2611548.75570000
PA
USD
2776520.29000000
0.008599610049
Long
ABS-MBS
CORP
US
N
2
2046-01-15
Variable
3.99360000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAK7
250000000.00000000
PA
USD
249296875.00000000
0.772137671523
Long
DBT
UST
US
N
2
2023-09-15
Fixed
0.12500000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP CAPITAL PLC
05565QCP1
35250000.00000000
PA
USD
38327325.00000000
0.118709757116
Long
DBT
CORP
GB
N
2
2024-02-10
Fixed
3.81400000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2017-C4
N/A
CGCMT 2017-C4 A4
17326FAD9
8583000.00000000
PA
USD
9352895.10000000
0.028968364102
Long
ABS-MBS
CORP
US
N
2
2050-10-12
Fixed
3.47100000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3495
31418C3D4
58505779.53000000
PA
USD
62713210.96000000
0.194239228568
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-4
N/A
CARMX 2019-4 A4
14315WAE0
4790000.00000000
PA
USD
4969510.52000000
0.015391874773
Long
ABS-CBDO
CORP
US
N
2
2025-07-15
Fixed
2.13000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
961214DK6
15935000.00000000
PA
USD
17471914.82000000
0.054115093204
Long
DBT
CORP
AU
N
2
2027-03-08
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0207
31419AGR2
605836.83000000
PA
USD
675093.67000000
0.002090941791
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6856
3138WGTN4
19873.61000000
PA
USD
21857.51000000
0.000067698429
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 808960
31406FWV9
129551.45000000
PA
USD
149343.85000000
0.000462556991
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 969666
31414LW38
41017.39000000
PA
USD
46525.50000000
0.000144101650
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 972445
31414PZJ1
6328.38000000
PA
USD
7197.62000000
0.000022292913
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.00000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDR_18-2
N/A
FORDR 2018-2 A
34528HAA2
12560000.00000000
PA
USD
13391008.54000000
0.041475458340
Long
ABS-CBDO
CORP
US
Y
2
2030-01-15
Fixed
3.47000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4833
36202FLN4
2169586.91000000
PA
USD
2385648.26000000
0.007388977068
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2386
31418BUL8
2173895.68000000
PA
USD
2289263.02000000
0.007090446752
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.00000000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
02665WDS7
14000000.00000000
PA
USD
13837334.00000000
0.042857845108
Long
DBT
CORP
US
N
2
2024-07-12
Fixed
0.55000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 732186
3620AKNB8
35153.52000000
PA
USD
38385.38000000
0.000118889568
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3565
31418C6B5
8993416.12000000
PA
USD
10004875.95000000
0.030987719440
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 931950
31412QL72
9642.81000000
PA
USD
11130.95000000
0.000034475465
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL5414
36184CAP0
106101.07000000
PA
USD
113832.60000000
0.000352569356
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 506473
36210YT62
1869.69000000
PA
USD
2020.24000000
0.000006257212
Long
ABS-MBS
USGA
US
N
2
2029-04-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4120
3140QBSJ8
1300024.37000000
PA
USD
1366113.19000000
0.004231210108
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 756187
31403SCY0
92029.13000000
PA
USD
107269.49000000
0.000332241686
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3148
31418CQA5
2608964.53000000
PA
USD
2770026.09000000
0.008579495812
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 832775
31407KFQ7
23.15000000
PA
USD
26.42000000
0.000000081829
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967ML2
8380000.00000000
PA
USD
8416436.24000000
0.026067905908
Long
DBT
CORP
US
N
2
2031-01-29
Variable
2.66600000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5711
36179UKY7
98559623.20000000
PA
USD
106597988.37000000
0.330161870376
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US BANCORP
91159HJA9
10000000.00000000
PA
USD
9223200.00000000
0.028566664431
Long
DBT
CORP
US
N
2
2030-07-22
Fixed
1.37500000
N
N
N
N
N
N
Empower Finance 2020 LP
N/A
EMPOWER FIN 2020
29248HAB9
4670000.00000000
PA
USD
4316644.45000000
0.013369777677
Long
DBT
CORP
US
Y
2
2031-03-17
Fixed
1.77600000
N
N
N
N
N
N
Public Service Electric and Gas Co
549300RUHPVD434XUK18
PUBLIC SERVICE
74456QBU9
1980000.00000000
PA
USD
2151347.22000000
0.006663285422
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.70000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING II LP HERTZ_15-3
N/A
HERTZ 2015-3A A
42806DAH2
400303.11000000
PA
USD
401496.69000000
0.001243540334
Long
ABS-CBDO
CORP
US
Y
2
2021-09-25
Fixed
2.67000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE0685
3140FKXP0
7364283.68000000
PA
USD
7890445.55000000
0.024438775071
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08660
3128MJWW6
167496.79000000
PA
USD
184306.57000000
0.000570845686
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12637
3128PR4W6
71278.38000000
PA
USD
75305.37000000
0.000233240440
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 256689
31371NC29
9970.69000000
PA
USD
11473.60000000
0.000035536742
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
7.00000000
N
N
N
N
N
N
City of New York NY
549300ABYZD2SFD5JB29
NYC-F3-TXBL
64966LM73
1020000.00000000
PA
USD
1108034.06000000
0.003431871494
Long
DBT
MUN
US
N
2
2028-06-01
Fixed
3.75000000
N
N
N
N
N
N
Connecticut Light and Power Co/The
549300O45IUXEDS1VZ32
CONN LIGHT & PWR
207597EJ0
21650000.00000000
PA
USD
23485162.25000000
0.072739694370
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM3982
3140X7M89
146736789.96000000
PA
USD
155574864.21000000
0.481856073802
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 771197
31404KX23
26743.52000000
PA
USD
30718.45000000
0.000095143079
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4763 ZW
3137F3MZ4
4241360.49000000
PA
USD
4644798.70000000
0.014386157279
Long
ABS-MBS
USGSE
US
N
2
2047-08-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1157
36179NJA7
71258.77000000
PA
USD
77033.10000000
0.000238591672
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2072
36179QJR3
238874.98000000
PA
USD
253299.59000000
0.000784535127
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C01443
31292HS88
60445.29000000
PA
USD
70541.68000000
0.000218486046
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO4016
3140JYPA8
7222279.22000000
PA
USD
7529610.31000000
0.023321173890
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3664
36179SB97
112537.26000000
PA
USD
123096.21000000
0.000381261180
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2372
36179QT50
493346.21000000
PA
USD
542216.25000000
0.001679385643
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BN8593
3140JRRP8
6447987.28000000
PA
USD
6786082.33000000
0.021018273129
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 888890
31410GRK1
525840.79000000
PA
USD
608990.36000000
0.001886202538
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 769934
36176MEF6
87196.11000000
PA
USD
99407.03000000
0.000307889590
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AP0075
36188KCL5
3426006.47000000
PA
USD
3721092.86000000
0.011525198526
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
3.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2016-GS3
N/A
GSMS 2016-GS3 A4
36251PAD6
180000.00000000
PA
USD
190107.00000000
0.000588811136
Long
ABS-MBS
CORP
US
N
2
2049-10-10
Fixed
2.85000000
N
N
N
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
MARSH & MCLENNAN
571748AV4
11420000.00000000
PA
USD
12298232.26000000
0.038090844183
Long
DBT
CORP
US
N
2
2024-06-03
Fixed
3.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833AZ3
3430000.00000000
PA
USD
3621675.26000000
0.011217276198
Long
DBT
CORP
US
N
2
2025-02-09
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0530
31417YSU2
52117.14000000
PA
USD
58141.77000000
0.000180080279
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AP3902
3138M7KQ7
272152.48000000
PA
USD
290606.11000000
0.000900083184
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05671
3128M7T48
161789.38000000
PA
USD
186285.44000000
0.000576974765
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4979
36202FQ82
4532451.88000000
PA
USD
5124259.56000000
0.015871173053
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC23
N/A
CGCMT 2014-GC23 A3
17322VAS5
700316.55000000
PA
USD
745465.96000000
0.002308903192
Long
ABS-MBS
CORP
US
N
2
2047-07-10
Fixed
3.35600000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AM2842
36184NEP2
81986.91000000
PA
USD
87375.62000000
0.000270625164
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 774502
36176SGK0
55377.29000000
PA
USD
61853.23000000
0.000191575642
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
5.00000000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST KCOT_20-2
N/A
KCOT 2020-2A A3
50116YAC5
11050000.00000000
PA
USD
11033487.99000000
0.034173600151
Long
ABS-CBDO
CORP
US
Y
2
2024-10-15
Fixed
0.59000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2016-GC36
N/A
CGCMT 2016-GC36 A4
17324TAD1
2600000.00000000
PA
USD
2799472.00000000
0.008670697503
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
3.34900000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 737286
3620ARCX7
634601.29000000
PA
USD
706464.30000000
0.002188104843
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 626951
36291FQC5
145664.46000000
PA
USD
153609.70000000
0.000475769445
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18493
3128MMRP0
93300.21000000
PA
USD
99686.51000000
0.000308755212
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2014-LC18
5493007CD1Q2V06I4172
WFCM 2014-LC18 A5
94989AAU9
10000.00000000
PA
USD
10806.20000000
0.000033469629
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.40500000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2015-C32
N/A
JPMBB 2015-C32 A5
46590JAW7
3488500.00000000
PA
USD
3785266.70000000
0.011723961705
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Fixed
3.59820000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 932557
31412RB22
56391.28000000
PA
USD
59591.70000000
0.000184571092
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AR2638
3138NY4Y8
379915.56000000
PA
USD
422999.69000000
0.001310140753
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.50000000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS
00440EAP2
440000.00000000
PA
USD
458472.08000000
0.001420008029
Long
DBT
CORP
US
N
2
2023-03-13
Fixed
2.70000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1012
36179NDR6
781161.81000000
PA
USD
850397.27000000
0.002633902923
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI9475
3138APQ50
6863.66000000
PA
USD
7626.72000000
0.000023621948
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 948413
31413LDS5
16858.43000000
PA
USD
19036.82000000
0.000058962014
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08655
3128MJWR7
24518.72000000
PA
USD
26979.37000000
0.000083562170
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL8626
36184FSP4
190296.78000000
PA
USD
197808.82000000
0.000612665688
Long
ABS-MBS
USGA
US
N
2
2045-08-15
Fixed
3.00000000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
02665WDD0
15000000.00000000
PA
USD
15607170.00000000
0.048339490428
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
2.15000000
N
N
N
N
N
N
Mars Inc
54930073HKEO6GZBSS03
MARS INC
571676AJ4
10000000.00000000
PA
USD
9672880.00000000
0.029959441088
Long
DBT
CORP
US
Y
2
2026-07-16
Fixed
0.87500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4800
36202FKM7
334641.34000000
PA
USD
367914.90000000
0.001139528741
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 3554
36202D5P2
3479.64000000
PA
USD
3735.43000000
0.000011569604
Long
ABS-MBS
USGA
US
N
2
2034-05-20
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3736
36179SEH6
277804.49000000
PA
USD
297756.83000000
0.000922230835
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 735060
31402QTR2
250866.19000000
PA
USD
294164.54000000
0.000911104573
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJG5
13670000.00000000
PA
USD
13592504.77000000
0.042099544903
Long
DBT
CORP
US
N
2
2025-09-25
Variable
0.98100000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AI4695
36198RGC4
296871.49000000
PA
USD
323220.23000000
0.001001097650
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 711765
36297GW22
388623.60000000
PA
USD
401967.77000000
0.001244999392
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
2.50000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2013-C15
5493003CHVRASC16O965
WFRBS 2013-C15 A4
92938CAD9
255000.00000000
PA
USD
272648.55000000
0.000844463920
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.15300000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 726380
3620AC6R0
58554.20000000
PA
USD
65187.66000000
0.000201903244
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 310104
31374CNV4
188479.89000000
PA
USD
212564.91000000
0.000658369161
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03844
3128M5S92
28954.43000000
PA
USD
33318.77000000
0.000103196951
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BB3612
3617AUAM2
5511196.31000000
PA
USD
6082948.21000000
0.018840482725
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
COMM 2019-GC44 Mortgage Trust
N/A
COMM 2019-GC44 A5
12655TBM0
9970000.00000000
PA
USD
10446665.70000000
0.032356057928
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 810098
31406G7K9
223862.83000000
PA
USD
259859.55000000
0.000804853040
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18173
3128MMFP3
1402.31000000
PA
USD
1421.81000000
0.000004403717
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J21441
31306YS69
204316.18000000
PA
USD
213498.03000000
0.000661259278
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
2.50000000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406HDA4
700000.00000000
PA
USD
749095.20000000
0.002320143898
Long
DBT
CORP
US
N
2
2025-02-24
Fixed
3.00000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-3
N/A
CARMX 2019-3 A3
14315PAD7
27410000.00000000
PA
USD
27977047.12000000
0.086652237495
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
2.18000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0783
36179M2Q2
1415830.62000000
PA
USD
1541474.40000000
0.004774349674
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13601
3128MCGJ8
9870.13000000
PA
USD
10384.04000000
0.000032162089
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
5.00000000
N
N
N
N
N
N
JPMCC Commercial Mortgage Securities Trust 2017-JP6
N/A
JPMCC 2017-JP6 A5
48128KAU5
2170000.00000000
PA
USD
2364453.70000000
0.007323331968
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.48980000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A92533
312940Y60
28641.29000000
PA
USD
31884.52000000
0.000098754703
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHG7
3000000.00000000
PA
USD
3294834.00000000
0.010204963270
Long
DBT
CORP
US
N
2
2029-03-05
Variable
3.97000000
N
N
N
N
N
N
Chevron Corp
N/A
CHEVRON CORP
166764BY5
1300000.00000000
PA
USD
1290537.30000000
0.003997131796
Long
DBT
CORP
US
N
2
2030-05-11
Fixed
2.23600000
N
N
N
N
N
N
Cantor Commercial Real Estate Lending 2019-CF3
N/A
CF 2019-CF3 A4
12529TAX1
18800000.00000000
PA
USD
19792828.00000000
0.061303568786
Long
ABS-MBS
CORP
US
N
2
2053-01-15
Fixed
3.00550000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J24135
31307CSY5
36848.51000000
PA
USD
38349.67000000
0.000118778965
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
2.50000000
N
N
N
N
N
N
Adobe Inc
FU4LY2G4933NH2E1CP29
ADOBE INC
00724PAC3
46105000.00000000
PA
USD
47449744.54000000
0.146964278086
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.15000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 697855
36296QH85
72798.05000000
PA
USD
81809.79000000
0.000253386332
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.50000000
N
N
N
N
N
N
COMM 2014-CR14 Mortgage Trust
N/A
COMM 2014-CR14 A4
12630DAY0
1067800.00000000
PA
USD
1158648.42000000
0.003588637415
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Variable
4.23600000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833BG4
5635000.00000000
PA
USD
6114268.02000000
0.018937488374
Long
DBT
CORP
US
N
2
2025-05-13
Fixed
3.20000000
N
N
N
N
N
N
BANK 2019-BNK23
N/A
BANK 2019-BN23 ASB
06541RAZ6
1900000.00000000
PA
USD
2017743.00000000
0.006249478184
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
2.84600000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AK0397
36183HNN1
7617.30000000
PA
USD
8302.46000000
0.000025714891
Long
ABS-MBS
USGA
US
N
2
2044-12-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4679
36202FFU5
21638.13000000
PA
USD
24462.80000000
0.000075767694
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
5.00000000
N
N
N
N
N
N
Huntington National Bank/The
2WHM8VNJH63UN14OL754
HUNTINGTON NATL
44644AAE7
27770000.00000000
PA
USD
29849723.07000000
0.092452405056
Long
DBT
CORP
US
N
2
2023-10-06
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03282
3128M46T5
81105.33000000
PA
USD
95280.21000000
0.000295107748
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 254050
31371KEX5
70607.53000000
PA
USD
82947.58000000
0.000256910365
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
6.50000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HNDLSBKN
86960BAX0
8755000.00000000
PA
USD
9516553.68000000
0.029475257559
Long
DBT
CORP
SE
N
2
2023-11-20
Fixed
3.90000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL3691
36184AC49
3089.72000000
PA
USD
3294.68000000
0.000010204486
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
3.50000000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406HCV9
1100000.00000000
PA
USD
1190323.20000000
0.003686742499
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.40000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2015-161 AZ
38379FUM9
10532263.37000000
PA
USD
11052241.21000000
0.034231683782
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4128
36179SSR9
269132.13000000
PA
USD
294384.72000000
0.000911786528
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
4.00000000
N
N
N
N
N
N
FORD CREDIT AUTO LEASE TRUST FORDL_20-B
N/A
FORDL 2020-B A3
34531RAD9
14190000.00000000
PA
USD
14235625.11000000
0.044091456923
Long
ABS-CBDO
CORP
US
N
2
2023-08-15
Fixed
0.62000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2888
31418CF66
28106.95000000
PA
USD
29080.08000000
0.000090068619
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
2.50000000
N
N
N
N
N
N
SYNCHRONY CREDIT CARD MASTER NOTE TRUST SYNCT_17-2
N/A
SYNCT 2017-2 A
87165LBU4
6490000.00000000
PA
USD
6707934.20000000
0.020776227916
Long
ABS-CBDO
CORP
US
N
2
2025-10-15
Fixed
2.62000000
N
N
N
N
N
N
NVIDIA Corp
549300S4KLFTLO7GSQ80
NVIDIA CORP
67066GAF1
5000000.00000000
PA
USD
5247145.00000000
0.016251781425
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD0527
31418MSR4
119804.08000000
PA
USD
137243.95000000
0.000425080434
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT6424
3138WUD67
62876.37000000
PA
USD
66583.28000000
0.000206225845
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 888469
31410GCE1
42585.71000000
PA
USD
49876.18000000
0.000154479583
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1761
36179N5W4
1183801.82000000
PA
USD
1300950.97000000
0.004029385658
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J14781
3128PUJ29
94168.22000000
PA
USD
99600.20000000
0.000308487888
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 723852
31402BEZ3
21098.18000000
PA
USD
24453.00000000
0.000075737341
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
AMERIPRISE FINL
03076CAK2
51737000.00000000
PA
USD
55021264.76000000
0.170415257937
Long
DBT
CORP
US
N
2
2025-04-02
Fixed
3.00000000
N
N
N
N
N
N
BlackRock Inc
549300LRIF3NWCU26A80
BLACKROCK INC
09247XAR2
2800000.00000000
PA
USD
2703013.60000000
0.008371940591
Long
DBT
CORP
US
N
2
2031-01-28
Fixed
1.90000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 829181
31407FFW5
18001.70000000
PA
USD
21207.80000000
0.000065686107
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
BlackRock Inc
549300LRIF3NWCU26A80
BLACKROCK INC
09247XAQ4
19497000.00000000
PA
USD
19676333.41000000
0.060942754550
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AV1610
3138XCYG1
976774.69000000
PA
USD
1085921.74000000
0.003363383852
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A85726
312932LF1
328108.75000000
PA
USD
372484.05000000
0.001153680594
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
5.00000000
N
N
N
N
N
N
COMM 2014-CCRE20 Mortgage Trust
N/A
COMM 2014-CR20 A3
12592LBH4
2246740.23000000
PA
USD
2392733.41000000
0.007410921632
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Fixed
3.32600000
N
N
N
N
N
N
Linde Finance BV
5H8RMHHYTWIP1RKLCE38
LINDE FINANCE BV
AM1131474
8000000.00000000
PA
9426104.44000000
0.029195112589
Long
DBT
CORP
NL
N
2
2022-01-18
Fixed
0.25000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4835
36202FLQ7
130171.35000000
PA
USD
147193.83000000
0.000455897817
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J24728
31307DHD1
61963.83000000
PA
USD
64498.97000000
0.000199770191
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT8116
36194HAR3
2205720.24000000
PA
USD
2419834.80000000
0.007494861730
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2811
31418CDR2
5346065.54000000
PA
USD
5542438.29000000
0.017166382032
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
SUNTRUST BANK
86787EBC0
12550000.00000000
PA
USD
13453022.70000000
0.041667532425
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q24379
3132M4Q81
42866.21000000
PA
USD
47348.07000000
0.000146649365
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2019-81 JA
3136B8FR5
8184914.71000000
PA
USD
8329132.91000000
0.025797504645
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995708
31416CDM5
2193.94000000
PA
USD
2293.06000000
0.000007102206
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J05575
3128PHFQ9
415.24000000
PA
USD
423.49000000
0.000001311659
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM6218
3140JA4C9
7830709.66000000
PA
USD
8224748.62000000
0.025474199178
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C00933
31292HBA1
2202.61000000
PA
USD
2596.27000000
0.000008041327
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05317
3128M7G26
286789.49000000
PA
USD
325844.86000000
0.001009226816
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15847
3128PVP87
168609.16000000
PA
USD
179527.14000000
0.000556042541
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE5978
3140FRUC7
7565.64000000
PA
USD
8340.06000000
0.000025831348
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.50000000
N
N
N
N
N
N
COPART_20-1-A1
N/A
COPAR 2020-1 A4
14043MAD3
3550000.00000000
PA
USD
3635202.84000000
0.011259174654
Long
ABS-CBDO
CORP
US
N
2
2025-08-15
Fixed
1.63000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_19-A
N/A
TAOT 2019-A A3
89239AAD5
33379261.17000000
PA
USD
33906993.96000000
0.105018834931
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Fixed
2.91000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T65530
31323AEB4
4180429.17000000
PA
USD
4472729.38000000
0.013853213558
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM2316
3140X5SE4
86421070.49000000
PA
USD
93349413.14000000
0.289127565277
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 808874
31406FT76
130839.58000000
PA
USD
150811.73000000
0.000467103400
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
Mastercard Inc
AR5L2ODV9HN37376R084
MASTERCARD INC
57636QAM6
11000000.00000000
PA
USD
11791527.00000000
0.036521445371
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
2.95000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 583003
36201GU45
4509.12000000
PA
USD
5135.45000000
0.000015905832
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782579
36241K2L1
4533.51000000
PA
USD
5232.89000000
0.000016207629
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.50000000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST DEFT_20-2
N/A
DEFT 2020-2 A3
24704GAC7
11550000.00000000
PA
USD
11555947.10000000
0.035791792761
Long
ABS-CBDO
CORP
US
Y
2
2023-10-23
Fixed
0.57000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM6110
3140JAYG7
10516960.13000000
PA
USD
10812751.74000000
0.033489922211
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
Ameren Illinois Co
RC71E2BZ6UOMFPDJSE79
AMEREN ILLINOIS
02361DAV2
8575000.00000000
PA
USD
7998374.13000000
0.024773058132
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
1.55000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 692332
36296JED3
2433.24000000
PA
USD
2809.39000000
0.000008701416
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA7899
31416RX57
25431.22000000
PA
USD
26691.43000000
0.000082670344
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4557
36202FB21
210527.93000000
PA
USD
230474.86000000
0.000713840964
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782288
36241KRH3
176705.85000000
PA
USD
194319.38000000
0.000601857979
Long
ABS-MBS
USGA
US
N
2
2037-12-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08368
3128MJMS6
623383.44000000
PA
USD
696321.30000000
0.002156689317
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD6018
31418TVL8
909.64000000
PA
USD
967.72000000
0.000002997282
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AM0240
36184KHR1
111315.74000000
PA
USD
119355.24000000
0.000369674417
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.50000000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_20-3
N/A
GMCAR 2020-3 A4
362590AD3
4500000.00000000
PA
USD
4482363.15000000
0.013883051865
Long
ABS-CBDO
CORP
US
N
2
2026-01-16
Fixed
0.58000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH4101
3140GSRX2
4549396.13000000
PA
USD
4830246.28000000
0.014960536972
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
METLIFE INC
59156RBZ0
13076000.00000000
PA
USD
15220725.52000000
0.047142570727
Long
DBT
CORP
US
N
2
2030-03-23
Fixed
4.55000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AD1625
36180CYW3
27667.86000000
PA
USD
29274.04000000
0.000090669363
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 605429
36200NSS1
9825.57000000
PA
USD
11195.22000000
0.000034674526
Long
ABS-MBS
USGA
US
N
2
2034-05-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU5576
3138X5FS1
20401.30000000
PA
USD
22955.34000000
0.000071098696
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA0494
31417YRQ2
263262.19000000
PA
USD
293548.77000000
0.000909197372
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 946022
31413HPF9
58836.61000000
PA
USD
69662.06000000
0.000215761632
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-GC26
549300V3F4KBEWHAZP46
GSMS 2014-GC26 A5
36250HAE3
3140000.00000000
PA
USD
3388845.00000000
0.010496139943
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Fixed
3.62900000
N
N
N
N
N
N
Protective Life Global Funding
635400EVYITCJYWL2I50
PROTECTIVE LIFE
74368CAZ7
11770000.00000000
PA
USD
11773095.51000000
0.036464358222
Long
DBT
CORP
US
Y
2
2023-10-13
Fixed
0.63100000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2781
31418CCT9
141081.65000000
PA
USD
145981.27000000
0.000452142201
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBT2
20000000.00000000
PA
USD
19518040.00000000
0.060452478428
Long
DBT
CORP
US
N
2
2026-11-19
Variable
1.04500000
N
N
N
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
TOTAL CAP INTL
89153VAT6
10295000.00000000
PA
USD
10669151.19000000
0.033045153722
Long
DBT
CORP
FR
N
2
2030-01-10
Fixed
2.82900000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE
05583JAG7
3500000.00000000
PA
USD
3609396.00000000
0.011179244116
Long
DBT
CORP
FR
Y
2
2025-01-14
Fixed
2.37500000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15
N/A
MSBAM 2014-C15 A3
61763KAZ7
1681053.77000000
PA
USD
1794676.19000000
0.005558581889
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Fixed
3.77300000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3848
31418DH21
2720636.91000000
PA
USD
2881556.87000000
0.008924935829
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2016-C37
549300TRQQDPEF728F16
WFCM 2016-C37 A4
95000PAD6
1810000.00000000
PA
USD
1966727.90000000
0.006091471067
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.52500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01424
31283HSM8
27943.05000000
PA
USD
33438.58000000
0.000103568034
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
7.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J18912
3128PY3V4
373552.33000000
PA
USD
390323.26000000
0.001208933297
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BP0849
3140K75K5
19057900.17000000
PA
USD
20057220.22000000
0.062122460692
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2020-GSA2
N/A
GSMS 2020-GSA2 A5
36264KAV2
9640000.00000000
PA
USD
9382708.40000000
0.029060703695
Long
ABS-MBS
CORP
US
N
2
2053-12-12
Fixed
2.01200000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4452
36179S5M5
9987344.04000000
PA
USD
10839828.77000000
0.033573786860
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
4.00000000
N
N
N
N
N
N
Hershey Co/The
21X2CX66SU2BR6QTAD08
HERSHEY COMPANY
427866BC1
8000000.00000000
PA
USD
8368648.00000000
0.025919893221
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
2.05000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698035
36296QPU7
41864.70000000
PA
USD
47176.77000000
0.000146118804
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC9096
3140F5DA8
880067.78000000
PA
USD
939459.51000000
0.002909751991
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Non Gold Pool
N/A
FH 1B0506
31336SDK1
8766.59000000
PA
USD
9383.44000000
0.000029062969
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Floating
2.46100000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05253
3128M7E28
41536.72000000
PA
USD
47231.15000000
0.000146287233
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
248.43000000
0.000000769452
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
22210.00000000
EUR
26307.61000000
USD
2021-04-30
248.43000000
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14
N/A
MSBAM 2014-C14 AS
61690GAH4
200000.00000000
PA
USD
214158.00000000
0.000663303378
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Variable
4.38400000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-73 LZ
3136B3EF3
8150384.23000000
PA
USD
8855636.98000000
0.027428225554
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01158
31283HJB2
9831.64000000
PA
USD
11549.59000000
0.000035772103
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
7.50000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST-TXBL-B
13063DMA3
50000000.00000000
PA
USD
53629260.00000000
0.166103854859
Long
DBT
MUN
US
N
2
2026-04-01
Fixed
2.65000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2018-C5
N/A
CGCMT 2018-C5 A4
17291DAD5
65000.00000000
PA
USD
73724.95000000
0.000228345466
Long
ABS-MBS
CORP
US
N
2
2051-06-10
Variable
4.22800000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 720060
3620A55V7
500650.67000000
PA
USD
557305.15000000
0.001726119915
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
4.50000000
N
N
N
N
N
N
MUFG Americas Holdings Corp
5493004K1ECE43Q0BX47
MUFG AMERICAS HL
553794AC2
1600000.00000000
PA
USD
1697420.80000000
0.005257356491
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2016-C32
549300VOKB4Z9J8DIM89
WFCM 2016-C32 A4
94989YAZ6
2139000.00000000
PA
USD
2338654.26000000
0.007243424350
Long
ABS-MBS
CORP
US
N
2
2059-01-15
Fixed
3.56000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 783278
36241LUB0
120476.26000000
PA
USD
138055.93000000
0.000427595349
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-15 HQ
3136B1HW7
7450499.17000000
PA
USD
7658666.12000000
0.023720893512
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4003
36179SNU7
1327358.70000000
PA
USD
1400929.28000000
0.004339044651
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.00000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NCS8
13900000.00000000
PA
USD
15516973.10000000
0.048060127021
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ0917
3617LKAS9
1339390.91000000
PA
USD
1396986.73000000
0.004326833542
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3648
31418DBS0
21746197.26000000
PA
USD
22888616.34000000
0.070892035550
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05353
3128M7H66
165900.32000000
PA
USD
189215.02000000
0.000586048441
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB7276
31417ECN9
472774.17000000
PA
USD
503778.65000000
0.001560334335
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513AU9
4143000.00000000
PA
USD
4482576.85000000
0.013883713750
Long
DBT
CORP
US
N
2
2028-01-25
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD2425
3140F9VT9
8895116.87000000
PA
USD
9584251.82000000
0.029684936418
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Banks
2549001DPIFGXC1TOL40
FED HOME LN BANK
3130AERV4
7050000.00000000
PA
USD
7758348.75000000
0.024029636708
Long
DBT
USGSE
US
N
2
2025-09-12
Fixed
3.12500000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550BM9
4100000.00000000
PA
USD
4521418.50000000
0.014004016506
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.62500000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_18-A
N/A
WOART 2018-A A4
98161VAD2
10860000.00000000
PA
USD
11105924.70000000
0.034397955602
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
2.73000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q36171
3132QS2D9
1805393.42000000
PA
USD
1988354.88000000
0.006158455484
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3787
31418DF56
628594.69000000
PA
USD
653487.86000000
0.002024022942
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5467
36179UCC4
21536426.20000000
PA
USD
23371133.73000000
0.072386518199
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13248
3128MBZM2
225.83000000
PA
USD
235.78000000
0.000000730272
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHV4
23795000.00000000
PA
USD
24955672.51000000
0.077294249529
Long
DBT
CORP
US
N
2
2030-07-23
Variable
3.19400000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 731603
3620AJX87
5879.55000000
PA
USD
6403.91000000
0.000019834585
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB3419
31416YYR3
11668.02000000
PA
USD
12965.58000000
0.000040157794
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL8111
3138ETAM8
822967.87000000
PA
USD
880824.32000000
0.002728143461
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 618318
36290U4B9
1231.35000000
PA
USD
1418.12000000
0.000004392288
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91015
3128P7DU4
10105.22000000
PA
USD
11224.30000000
0.000034764594
Long
ABS-MBS
USGSE
US
N
2
2026-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G04468
3128M6JM1
17754.68000000
PA
USD
20167.69000000
0.000062464614
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C19
549300FCX3YXSYSLU895
WFRBS 2014-C19 A5
92938VAQ8
1215000.00000000
PA
USD
1319429.25000000
0.004086617727
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Fixed
4.10100000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1997
36179QGE5
978016.18030000
PA
USD
1086993.00000000
0.003366701824
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
4.50000000
N
N
N
N
N
N
Mizuho Bank Ltd
RB0PEZSDGCO3JS6CEU02
MIZUHO BANK LTD
60688XAP5
6300000.00000000
PA
USD
6904932.30000000
0.021386382593
Long
DBT
CORP
JP
Y
2
2024-09-25
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH7911
3140GWYH0
5052936.19000000
PA
USD
5517103.46000000
0.017087913433
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZT0534
3132ACSX9
2225532.63000000
PA
USD
2433844.04000000
0.007538252013
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHQ5
1960000.00000000
PA
USD
2162444.48000000
0.006697656541
Long
DBT
CORP
US
N
2
2030-02-07
Variable
3.97400000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AE0577
36180SUA0
28521.73000000
PA
USD
29900.65000000
0.000092610139
Long
ABS-MBS
USGA
US
N
2
2043-06-15
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2017-C42
N/A
WFCM 2017-C42 A4
95001GAE3
4890000.00000000
PA
USD
5374941.30000000
0.016647600014
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
3.58900000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 642087
36291YJ81
57439.06000000
PA
USD
61888.13000000
0.000191683736
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AK5750
36183PL70
248037.16000000
PA
USD
263406.91000000
0.000815840143
Long
ABS-MBS
USGA
US
N
2
2044-12-15
Fixed
3.50000000
N
N
N
N
N
N
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST COPAR_20-1
N/A
COPAR 2020-1 A3
14043MAC5
14610000.00000000
PA
USD
14822885.23000000
0.045910355221
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
1.60000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AG9
812000.00000000
PA
USD
818764.77000000
0.002535928791
Long
DBT
CORP
JP
N
2
2021-09-13
Fixed
2.19000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ8503
3140E1NV1
413309.49000000
PA
USD
438467.31000000
0.001358048021
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
CD 2017-CD6 Mortgage Trust
N/A
CD 2017-CD6 A5
125039AF4
785000.00000000
PA
USD
854621.65000000
0.002646986934
Long
ABS-MBS
CORP
US
N
2
2050-11-13
Fixed
3.45600000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3332
31418CV27
13123807.02000000
PA
USD
13908201.22000000
0.043077339437
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM4761
3140J9JF9
37224573.75000000
PA
USD
44184671.93000000
0.136851493630
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS7023
3138WGYV0
10698237.71000000
PA
USD
11791975.25000000
0.036522833718
Long
ABS-MBS
USGSE
US
N
2
2046-04-01
Fixed
4.00000000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC
713448EZ7
4645000.00000000
PA
USD
4418509.80000000
0.013685281328
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
1.62500000
N
N
N
N
N
N
Invesco Finance PLC
549300OYQ3LAJYXXO449
INVESCO FIN PLC
46132FAD2
1897000.00000000
PA
USD
2080217.95000000
0.006442979456
Long
DBT
CORP
GB
N
2
2026-01-15
Fixed
3.75000000
N
N
N
N
N
N
WHEELS SPV LLC WHLS_20-1
N/A
WHLS 2020-1A A2
96328DBT0
5200000.00000000
PA
USD
5200154.44000000
0.016106239361
Long
ABS-CBDO
CORP
US
Y
2
2029-08-20
Fixed
0.51000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS7125
3138WG4K7
207431.06000000
PA
USD
214634.64000000
0.000664779657
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
2.50000000
N
N
N
N
N
N
Nevada Power Co
MJZFGXRJ52U8U4MKJ519
NEVADA POWER CO
641423CD8
8360000.00000000
PA
USD
8336182.36000000
0.025819338637
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.40000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT3444
36194BZH1
1338195.40000000
PA
USD
1457886.14000000
0.004515454955
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AV3070
36195DMT4
1296457.08000000
PA
USD
1421848.72000000
0.004403837633
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BP1160
3140K8JE2
48004543.08000000
PA
USD
50010091.28000000
0.154894342071
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Qatar Government International Bond
N/A
QATAR STATE OF
N/A
2501000.00000000
PA
USD
2667042.39000000
0.008260528339
Long
DBT
NUSS
QA
N
2
2023-04-23
Fixed
3.87500000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US BANCORP
91159HHG8
2235000.00000000
PA
USD
2421025.76000000
0.007498550445
Long
DBT
CORP
US
N
2
2024-01-30
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ2936
3138YUHN4
2700139.70000000
PA
USD
2843424.23000000
0.008806829063
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G61422
31335BSK3
2286349.72000000
PA
USD
2510128.49000000
0.007774524921
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.50000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAV9
16800000.00000000
PA
USD
16747365.60000000
0.051870974630
Long
DBT
CORP
FR
Y
2
2024-02-27
Fixed
0.65000000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
TRUIST FINANCIAL
89788MAC6
14735000.00000000
PA
USD
14145983.11000000
0.043813812186
Long
DBT
CORP
US
N
2
2027-08-03
Fixed
1.12500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15660
3128PVJD3
101216.69000000
PA
USD
108006.27000000
0.000334523687
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.00000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14912L5F4
6100000.00000000
PA
USD
6273008.20000000
0.019429148259
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
2.85000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G04827
3128M6VU9
2400234.98000000
PA
USD
2883094.09000000
0.008929697002
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3105
36179RNW5
1185979.01000000
PA
USD
1265684.51000000
0.003920156201
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23
N/A
MSBAM 2015-C23 A4
61690QAE9
7440000.00000000
PA
USD
8134672.80000000
0.025195210787
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.71900000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP
902613AB4
6665000.00000000
PA
USD
6703537.03000000
0.020762608730
Long
DBT
CORP
CH
Y
2
2024-07-30
Variable
1.00800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB6318
31417DAU7
476238.51000000
PA
USD
513555.89000000
0.001590617006
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08070
3128MJCG3
74433.53000000
PA
USD
87323.18000000
0.000270462743
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7281
3133JLCS6
15159844.11000000
PA
USD
15893870.12000000
0.049227475739
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fifth Third Bank NA
QFROUN1UWUYU0DVIWD51
FIFTH THIRD BANK
31677QBR9
10000000.00000000
PA
USD
10334040.00000000
0.032007226657
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3944
31418DL26
5834590.44000000
PA
USD
6102254.03000000
0.018900277902
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 542622
36212SYT7
3359.63000000
PA
USD
3557.37000000
0.000011018105
Long
ABS-MBS
USGA
US
N
2
2031-03-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 677190
36295QKB5
224.59000000
PA
USD
254.82000000
0.000000789244
Long
ABS-MBS
USGA
US
N
2
2038-06-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03443
3128M5EQ9
296313.17000000
PA
USD
326932.93000000
0.001012596853
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI9342
3138APLY2
12590.73000000
PA
USD
13359.20000000
0.000041376938
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 457964
36208QWZ5
62.82000000
PA
USD
69.41000000
0.000000214980
Long
ABS-MBS
USGA
US
N
2
2029-01-15
Fixed
6.50000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
INTEL CORP
458140BQ2
4660000.00000000
PA
USD
5195140.42000000
0.016090709629
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
3.75000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 720065
3620A56A2
85219.46000000
PA
USD
94891.94000000
0.000293905174
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-37 NY
3136B16H2
12066436.51000000
PA
USD
12437720.76000000
0.038522876577
Long
ABS-MBS
USGSE
US
N
2
2048-06-25
Fixed
3.50000000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST KCOT_20-1
N/A
KCOT 2020-1A A3
50117WAC8
7570000.00000000
PA
USD
7726717.93000000
0.023931667779
Long
ABS-CBDO
CORP
US
Y
2
2024-03-15
Fixed
1.96000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR4079
3617M2Q85
1059061.65000000
PA
USD
1089561.57000000
0.003374657358
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AA8610
36178GR71
521642.10000000
PA
USD
547845.70000000
0.001696821523
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
3.00000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_20-B
N/A
HART 2020-B A3
44933FAC0
22790000.00000000
PA
USD
22817879.01000000
0.070672943525
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
0.48000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM1519
3140X4VM5
9345938.70000000
PA
USD
10074249.01000000
0.031202585964
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CL1
25000000.00000000
PA
USD
24622950.00000000
0.076263720831
Long
DBT
CORP
GB
N
2
2028-09-22
Variable
2.01300000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2D4
8575000.00000000
PA
USD
9638522.95000000
0.029853028312
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
4.15000000
N
N
N
N
N
N
BANK 2017-BNK6
N/A
BANK 2017-BNK6 A5
060352AF8
1110000.00000000
PA
USD
1216260.30000000
0.003767076486
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Fixed
3.51800000
N
N
N
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
WALMART INC
931142EE9
9411000.00000000
PA
USD
10572166.82000000
0.032744767744
Long
DBT
CORP
US
N
2
2028-06-26
Fixed
3.70000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2019-GC38
N/A
GSMS 2019-GC38 A4
36252SAV9
2600000.00000000
PA
USD
2895724.00000000
0.008968815139
Long
ABS-MBS
CORP
US
N
2
2052-02-10
Fixed
3.96800000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 736160
3620APZZ1
14342.68000000
PA
USD
15354.04000000
0.000047555480
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD9156
31418XE61
2141.41000000
PA
USD
2279.27000000
0.000007059495
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
Pricoa Global Funding I
635400IBXEBMD9ADYA79
PRICOA GLOB FUND
74153WCM9
2445000.00000000
PA
USD
2392835.93000000
0.007411239163
Long
DBT
CORP
US
Y
2
2025-09-01
Fixed
0.80000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725690
31402DF70
46998.96000000
PA
USD
54228.20000000
0.000167958928
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q02171
3132GFMU8
174367.86000000
PA
USD
198436.20000000
0.000614608849
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 735591
31402RF87
277537.74000000
PA
USD
317011.74000000
0.000981868331
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2995
31418CKH6
429712.89000000
PA
USD
464501.07000000
0.001438681389
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08848
3128MJ5J5
180132.51000000
PA
USD
196599.52000000
0.000608920170
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS IN
718172CQ0
2000000.00000000
PA
USD
2029318.00000000
0.006285328988
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
1.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BA4849
3140E9L79
369298.32000000
PA
USD
392177.68000000
0.001214676921
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
3.00000000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP CAPITAL PLC
05565QDH8
2095000.00000000
PA
USD
2304533.52000000
0.007137743487
Long
DBT
CORP
GB
N
2
2028-11-28
Fixed
3.72300000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AP5143
3138M8WD1
595263.77000000
PA
USD
630627.91000000
0.001953219694
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR6122
3617M4YT6
241499.08000000
PA
USD
254802.88000000
0.000789191210
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T62157
3128S3ME6
5233569.17000000
PA
USD
5412651.96000000
0.016764399799
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5018
36202FSF4
103786.75000000
PA
USD
114771.35000000
0.000355476910
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 704411
36296XR89
39535.20000000
PA
USD
44889.20000000
0.000139033601
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
4.50000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_18-4
N/A
HAROT 2018-4 A4
43815AAD4
11220000.00000000
PA
USD
11571849.10000000
0.035841045417
Long
ABS-CBDO
CORP
US
N
2
2025-07-15
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS7877
3138WHXF4
523744.32000000
PA
USD
541933.59000000
0.001678510171
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2931
31418CHH0
313311.87000000
PA
USD
332040.02000000
0.001028414848
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0725
31419AYX9
27865.28000000
PA
USD
30957.58000000
0.000095883727
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A73833
3128L7HJ9
14908.87000000
PA
USD
17315.06000000
0.000053629272
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BLDG
AN2064235
8000000.00000000
PA
9526598.26000000
0.029506368252
Long
DBT
CORP
GB
N
2
2023-04-19
Fixed
0.62500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 889189
31410G2W2
178288.95000000
PA
USD
204399.62000000
0.000633079121
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A81692
3129272Z8
435662.45000000
PA
USD
483536.87000000
0.001497640244
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.50000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BN3
10250000.00000000
PA
USD
10555737.00000000
0.032693880291
Long
DBT
CORP
JP
N
2
2025-02-25
Fixed
2.19300000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 798875
36177T2H9
129773.26000000
PA
USD
143027.74000000
0.000442994346
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
4.00000000
N
N
N
N
N
N
Equitable Financial Life Global Funding
635400B4JJBON4TCHF02
EQUITABLE FINANC
29449WAA5
22980000.00000000
PA
USD
22961317.26000000
0.071117209328
Long
DBT
CORP
US
Y
2
2025-07-07
Fixed
1.40000000
N
N
N
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
MARSH & MCLENNAN
571748BN1
18000000.00000000
PA
USD
17616060.00000000
0.054561548554
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.25000000
N
N
N
N
N
N
Ohio Power Co
06ZODLC132CY1O2Y7D77
OHIO POWER CO
677415CT6
4975000.00000000
PA
USD
4626038.58000000
0.014328052277
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.62500000
N
N
N
N
N
N
COMM 2014-CR14 Mortgage Trust
N/A
COMM 2014-CR14 A3
12630DAX2
4000000.00000000
PA
USD
4289200.00000000
0.013284775032
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Fixed
3.95500000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GGZ6
44735000.00000000
PA
USD
48063284.00000000
0.148864570378
Long
DBT
CORP
US
N
2
2026-01-23
Variable
3.36600000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3737
36179SEJ2
675262.86000000
PA
USD
738621.02000000
0.002287702621
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 588181
36201NM64
5379.98000000
PA
USD
6062.61000000
0.000018777489
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 786244
31405DP50
208999.44000000
PA
USD
245994.03000000
0.000761907896
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS
68329AAH1
25000000.00000000
PA
USD
23171875.00000000
0.071769361759
Long
DBT
NUSS
CA
Y
2
2030-09-27
Fixed
1.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 747502
31403FNT7
4471.34000000
PA
USD
5110.05000000
0.000015827162
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 981043
31415ALY5
104558.60000000
PA
USD
122723.57000000
0.000380107017
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BN5579
3140JNFV7
65705.28000000
PA
USD
70115.52000000
0.000217166117
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A96229
3129444N8
405245.17000000
PA
USD
451827.49000000
0.001399427995
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB
87020PAL1
14050000.00000000
PA
USD
14056729.95000000
0.043537371789
Long
DBT
CORP
SE
Y
2
2023-09-25
Fixed
0.60000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
CAN IMPERIAL BK
13607GRR7
7650000.00000000
PA
USD
7522191.45000000
0.023298195739
Long
DBT
CORP
CA
N
2
2025-10-23
Fixed
0.95000000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP CAPITAL PLC
05565QCS5
8740000.00000000
PA
USD
9541798.86000000
0.029553448489
Long
DBT
CORP
GB
N
2
2024-11-04
Fixed
3.53500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 764517
36176FDW5
40312.84000000
PA
USD
45754.17000000
0.000141712639
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD8953
31418W5P1
24123.16000000
PA
USD
27393.34000000
0.000084844343
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 1.5 4/21
01F012643
-191000000.00000000
PA
USD
-184583584.20000000
-0.57170367220
Short
ABS-MBS
USGSE
US
N
2
2021-04-14
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO4051
3140JYQD1
5168797.01000000
PA
USD
5388722.09000000
0.016690282728
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAH4
100000000.00000000
PA
USD
95062500.00000000
0.294433443657
Long
DBT
UST
US
N
2
2027-08-31
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6352
3138WGBW3
2902064.81000000
PA
USD
3195074.11000000
0.009895980780
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
SHELL INTL FIN
822582BT8
2805000.00000000
PA
USD
2992988.30000000
0.009270068134
Long
DBT
CORP
NL
N
2
2026-05-10
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT7249
3138WVBT7
291347.84000000
PA
USD
299076.89000000
0.000926319407
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q63366
3132VPW46
1212572.78000000
PA
USD
1308390.40000000
0.004052427520
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 576143
31386XBL9
11390.21000000
PA
USD
12870.48000000
0.000039863245
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.00000000
N
N
N
N
N
N
Public Service Electric and Gas Co
549300RUHPVD434XUK18
PUBLIC SERVICE
74456QBX3
2730000.00000000
PA
USD
2998738.47000000
0.009287877915
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.65000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AU8
45530000.00000000
PA
USD
49686980.06000000
0.153893582053
Long
DBT
CORP
JP
N
2
2025-03-02
Fixed
3.77700000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US BANCORP
91159HHV5
5650000.00000000
PA
USD
6088586.90000000
0.018857947223
Long
DBT
CORP
US
N
2
2024-02-05
Fixed
3.37500000
N
N
N
N
N
N
Empower Finance 2020 LP
N/A
EMPOWER FIN 2020
29248HAA1
4500000.00000000
PA
USD
4327803.00000000
0.013404338627
Long
DBT
CORP
US
Y
2
2027-09-17
Fixed
1.35700000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_20-A
N/A
VZOT 2020-A A1A
92348TAA2
10310000.00000000
PA
USD
10512385.30000000
0.032559608730
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
1.85000000
N
N
N
N
N
N
Eli Lilly and Co
FRDRIPF3EKNDJ2CQJL29
ELI LILLY & CO
532457BV9
8803000.00000000
PA
USD
9669972.26000000
0.029950435056
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD0130
31418MEC2
14297.33000000
PA
USD
17102.93000000
0.000052972250
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 592488
31387SF50
4943.64000000
PA
USD
5857.22000000
0.000018141343
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
7.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1996
36179QGD7
416950.62000000
PA
USD
458269.68000000
0.001419381144
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-59 Y
38380WKW8
8000000.00000000
PA
USD
8511600.00000000
0.026362652981
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4883 ZN
3137FLRP1
4857949.99000000
PA
USD
5162689.19000000
0.015990199676
Long
ABS-MBS
USGSE
US
N
2
2049-05-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 962064
31414CJH2
266258.68000000
PA
USD
305631.36000000
0.000946620316
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995023
31416BLC0
5536907.02000000
PA
USD
6460314.72000000
0.020009285576
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828YV6
100000000.00000000
PA
USD
103390620.00000000
0.320227811055
Long
DBT
UST
US
N
2
2024-11-30
Fixed
1.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2224
36179QPH8
121074.02000000
PA
USD
133069.04000000
0.000412149645
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB5199
31417BX51
1230267.66000000
PA
USD
1354861.91000000
0.004196361949
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL1095
3138EHGD8
4358231.81000000
PA
USD
5058478.50000000
0.015667431893
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
6.00000000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE ELECTRIC CO
23338VAC0
520000.00000000
PA
USD
560372.28000000
0.001735619620
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
3.37500000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353RFG8
21067000.00000000
PA
USD
22739382.73000000
0.070429820000
Long
DBT
CORP
US
N
2
2027-10-25
Fixed
3.10000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 704090
36296XF74
127599.10000000
PA
USD
143836.03000000
0.000445497831
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5753
36179UMA7
3341499.59000000
PA
USD
3501278.74000000
0.010844376664
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A55306
3128KH3P9
220118.72000000
PA
USD
259234.45000000
0.000802916942
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 992300
31415XKM2
20195.45000000
PA
USD
22947.65000000
0.000071074878
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A35950
31297RTF4
86689.71000000
PA
USD
99109.55000000
0.000306968216
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18472
3128MMQ22
10550.25000000
PA
USD
10979.66000000
0.000034006880
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-6 BD
38381BL77
4682289.00000000
PA
USD
4953768.12000000
0.015343116440
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
3.50000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
N/A
7800000.00000000
PA
9403904.87000000
0.029126354710
Long
DBT
CORP
GB
N
2
2024-09-06
Fixed
0.87500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AQ1177
36189NJW7
1118554.63000000
PA
USD
1168588.70000000
0.003619425064
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 645360
31390F5V7
15424.49000000
PA
USD
17967.13000000
0.000055648904
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
7.00000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING GROEP NV
456837AK9
7850000.00000000
PA
USD
8495615.40000000
0.026313144491
Long
DBT
CORP
NL
N
2
2023-10-02
Fixed
4.10000000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DETROIT EDISON
250847EJ5
10112000.00000000
PA
USD
10334959.49000000
0.032010074558
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH9912
3140H0AN2
4878604.53000000
PA
USD
5173868.90000000
0.016024826164
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 3358
36202DWT4
2766.41000000
PA
USD
2965.59000000
0.000009185208
Long
ABS-MBS
USGA
US
N
2
2033-03-20
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 605149
36200NH20
547.85000000
PA
USD
589.29000000
0.000001825185
Long
ABS-MBS
USGA
US
N
2
2034-03-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-64 A
3136B22V3
7392910.36000000
PA
USD
7570414.14000000
0.023447554031
Long
ABS-MBS
USGSE
US
N
2
2048-09-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J18100
3128PX7M2
225454.22000000
PA
USD
237735.59000000
0.000736329345
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 735036
31402QSZ5
453014.21000000
PA
USD
528247.64000000
0.001636121201
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
Santander UK PLC
PTCQB104N23FMNK2RZ28
SANTANDER UK PLC
80283LAT0
53095000.00000000
PA
USD
53350121.48000000
0.165239289802
Long
DBT
CORP
GB
N
2
2021-06-01
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG D99403
3128E6NU7
540020.84000000
PA
USD
560661.08000000
0.001736514109
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-C27
5493001SKB2HKIF64L70
WFCM 2015-C27 A4
94989DAV1
102118.84000000
PA
USD
107417.79000000
0.000332701010
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.19000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0704
31419AYA9
5274.45000000
PA
USD
5620.36000000
0.000017407725
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
4.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2012-C7
N/A
WFRBS 2012-C7 AS
92936TAC6
682784.00000000
PA
USD
685999.91000000
0.002124721271
Long
ABS-MBS
CORP
US
N
2
2045-06-15
Variable
4.09000000
N
N
N
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
ALPHABET INC
02079KAJ6
4000000.00000000
PA
USD
3829152.00000000
0.011859885966
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.80000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 930253
31412NQE9
194716.08000000
PA
USD
220683.88000000
0.000683515736
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2754
36179RBX6
2322887.35000000
PA
USD
2493057.66000000
0.007721652092
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS7949
3138WHZP0
409000.83000000
PA
USD
445555.32000000
0.001380001443
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 766378
36176HFT6
5868.36000000
PA
USD
6523.35000000
0.000020204522
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 257203
31371NU45
3500.02000000
PA
USD
3896.68000000
0.000012069037
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
5.00000000
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_20-1
N/A
MBART 2020-1 A4
58769VAD2
5050000.00000000
PA
USD
5078755.21000000
0.015730234171
Long
ABS-CBDO
CORP
US
N
2
2026-10-15
Fixed
0.77000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBQ8
30000000.00000000
PA
USD
30604590.00000000
0.094790425513
Long
DBT
CORP
US
N
2
2024-06-01
Variable
1.51400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0982
31419BCU7
43387.85000000
PA
USD
45513.33000000
0.000140966695
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A86612
312933KZ6
14677.13000000
PA
USD
16275.15000000
0.000050408399
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
Toyota Finance Australia Ltd
3UKPTDP5PGQRH8AUK042
TOYOTA FIN AUSTR
BH6216643
8000000.00000000
PA
9569511.57000000
0.029639282005
Long
DBT
CORP
AU
N
2
2022-04-21
Fixed
1.58400000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
DUKE ENERGY PROG
26442UAG9
12100000.00000000
PA
USD
13297500.70000000
0.041185840085
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01740
31283H4Z5
175739.47000000
PA
USD
202590.26000000
0.000627475060
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
Schlumberger Finance Canada Ltd
549300P4EXZFF0LRNF59
SCHLUMBERGER
80685XAC5
4350000.00000000
PA
USD
4340899.80000000
0.013444902844
Long
DBT
CORP
CA
N
2
2025-09-17
Fixed
1.40000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE
05583JAJ1
6970000.00000000
PA
USD
6720341.57000000
0.020814656789
Long
DBT
CORP
FR
Y
2
2032-01-20
Variable
2.27700000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL5616
3138ENG29
118593.80000000
PA
USD
136129.45000000
0.000421628536
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 868937
31409ELS8
12974.64000000
PA
USD
14884.40000000
0.000046100882
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 563577
36213TCN1
35629.24000000
PA
USD
38078.09000000
0.000117937811
Long
ABS-MBS
USGA
US
N
2
2032-05-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 616527
36290S4L2
6276.97000000
PA
USD
7093.57000000
0.000021970642
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
5.50000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_21-A
N/A
HALST 2021-A A4
44891TAD8
3490000.00000000
PA
USD
3488079.45000000
0.010803495008
Long
ABS-CBDO
CORP
US
Y
2
2024-12-16
Fixed
0.42000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03580
3128M5JZ4
11664.93000000
PA
USD
12937.78000000
0.000040071690
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 582195
36201FXY8
5439.89000000
PA
USD
6055.68000000
0.000018756025
Long
ABS-MBS
USGA
US
N
2
2032-01-15
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC21
N/A
CGCMT 2014-GC21 A4
17322MAV8
664382.58000000
PA
USD
697767.80000000
0.002161169506
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Fixed
3.57500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12397
3128PRUW7
8714.52000000
PA
USD
9271.72000000
0.000028716943
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AP4923
36188SPG5
2449433.41000000
PA
USD
2586443.45000000
0.008010892326
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4961
36202FQN9
8248.04000000
PA
USD
9421.44000000
0.000029180665
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
6.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
N/A
8000000.00000000
PA
9777132.01000000
0.030282336849
Long
DBT
CORP
US
N
2
2022-08-24
Fixed
2.75000000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_19-3
N/A
ALLYA 2019-3 A3
02007RAC3
12310000.00000000
PA
USD
12461676.43000000
0.038597073557
Long
ABS-CBDO
CORP
US
N
2
2024-05-15
Fixed
1.93000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD7679
3140FFQ95
266595.35000000
PA
USD
279905.76000000
0.000866941399
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5
N/A
JPMCC 2011-C5 AS
46636VAK2
1382583.00000000
PA
USD
1394777.38000000
0.004319990607
Long
ABS-MBS
CORP
US
Y
2
2046-08-15
Variable
5.42410000
N
N
N
N
N
N
Qatar Government International Bond
N/A
QATAR STATE OF
N/A
3600000.00000000
PA
USD
3913874.28000000
0.012122293041
Long
DBT
NUSS
QA
N
2
2026-06-02
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15891
3128PVRL6
17248.91000000
PA
USD
18178.50000000
0.000056303572
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A38009
31297T3S0
5799.90000000
PA
USD
6623.41000000
0.000020514434
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
S&P Global Inc
Y6X4K52KMJMZE7I7MY94
S&P GLOBAL INC
78409VAP9
10680000.00000000
PA
USD
10877483.88000000
0.033690414591
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828Z52
300000000.00000000
PA
USD
308671860.00000000
0.956037540564
Long
DBT
UST
US
N
2
2025-01-31
Fixed
1.37500000
N
N
N
N
N
N
Total Capital International SA
549300U37G2I8G4RUG09
TOTAL CAP INTL
89153VAQ2
12590000.00000000
PA
USD
13688930.74000000
0.042398201370
Long
DBT
CORP
FR
N
2
2029-02-19
Fixed
3.45500000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBF6
7750000.00000000
PA
USD
8382764.25000000
0.025963614942
Long
DBT
CORP
JP
N
2
2023-10-16
Fixed
3.93600000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
SUNTRUST BANK
86787EAY3
3135000.00000000
PA
USD
3343621.71000000
0.010356071577
Long
DBT
CORP
US
N
2
2024-08-02
Variable
3.68900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 735212
31402QYH8
121383.45000000
PA
USD
137634.33000000
0.000426289543
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q17481
3132J8XK1
135856.66000000
PA
USD
140953.64000000
0.000436570315
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC8540
31417VP23
9254.82000000
PA
USD
9759.90000000
0.000030228964
Long
ABS-MBS
USGSE
US
N
2
2024-12-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q61585
3132VMXP5
1514580.83000000
PA
USD
1669586.52000000
0.005171146441
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
Kimberly-Clark Corp
MP3J6QPYPGN75NVW2S34
KIMBERLY-CLARK
494368CC5
2000000.00000000
PA
USD
1934836.00000000
0.005992693505
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
1.05000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q20201
3132JMGJ2
285264.51000000
PA
USD
309634.97000000
0.000959020544
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-115 KY
38380XT23
4344000.00000000
PA
USD
4515761.76000000
0.013986496102
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 253480
31371JQ98
5603.32000000
PA
USD
6598.62000000
0.000020437653
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 640008
31390AAH3
30769.71000000
PA
USD
32865.49000000
0.000101793024
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3034
36179RLP2
1182340.43000000
PA
USD
1273609.31000000
0.003944701380
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995196
31416BRR1
15082.12000000
PA
USD
17506.68000000
0.000054222770
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 615516
36290RYM9
26612.94000000
PA
USD
29894.20000000
0.000092590161
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BN7020
3140JPYS8
2148511.67000000
PA
USD
2233580.49000000
0.006917983383
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 677370
36295QQX1
33968.79000000
PA
USD
40164.19000000
0.000124399008
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE8810
31419KYG4
127945.40000000
PA
USD
136212.49000000
0.000421885733
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
4.00000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDE9
6866000.00000000
PA
USD
7372758.86000000
0.022835363896
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
2.95000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_20-A
N/A
HDMOT 2020-A A4
41284UAE4
2000000.00000000
PA
USD
2056989.80000000
0.006371035796
Long
ABS-CBDO
CORP
US
N
2
2027-04-15
Fixed
1.93000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AY5643
3138YKHV8
144978.89000000
PA
USD
151158.51000000
0.000468177468
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G04576
3128M6MZ8
158944.63000000
PA
USD
182987.69000000
0.000566760770
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0971
31419BCH6
474972.37000000
PA
USD
499004.74000000
0.001545548286
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD9176
31418XFS2
2304.68000000
PA
USD
2435.73000000
0.000007544093
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A26917
31297EVJ2
44676.68000000
PA
USD
53566.39000000
0.000165909130
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4126
36179SSP3
4641778.03000000
PA
USD
4904271.97000000
0.015189813909
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RA3256
3133KJTM4
122310748.74560000
PA
USD
127822609.25000000
0.395900076462
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01704
31283H3M5
46593.28000000
PA
USD
54489.06000000
0.000168766880
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3936
36179SLR6
2858573.13730000
PA
USD
3017013.27000000
0.009344479754
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Mastercard Inc
AR5L2ODV9HN37376R084
MASTERCARD INC
57636QAG9
22315000.00000000
PA
USD
24074939.42000000
0.074566388631
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
SHELL INTL FIN
822582CB6
2135000.00000000
PA
USD
2379914.39000000
0.007371217772
Long
DBT
CORP
NL
N
2
2028-11-13
Fixed
3.87500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 738882
3620AS2P3
103908.27000000
PA
USD
113512.35000000
0.000351577458
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5085
36202FUJ3
44870.26000000
PA
USD
51877.07000000
0.000160676863
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
6.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2013-C18
549300O5GNH0TNJ6B119
WFRBS 2013-C18 A5
96221QAE3
1665327.00000000
PA
USD
1805447.61000000
0.005591943796
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Variable
4.16200000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05741
3128M7WA0
6215.80000000
PA
USD
6907.45000000
0.000021394180
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 947401
31413KAA9
1227461.91000000
PA
USD
1456567.68000000
0.004511371339
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.00000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP
68389XBN4
14885000.00000000
PA
USD
15966320.83000000
0.049451874551
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 604740
36200MZD8
1221.56000000
PA
USD
1412.66000000
0.000004375377
Long
ABS-MBS
USGA
US
N
2
2033-11-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE8842
31419KZG3
60762.30000000
PA
USD
68208.93000000
0.000211260908
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAD2
5950000.00000000
PA
USD
6446307.35000000
0.019965901085
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q21997
3132JPGE6
84419.06000000
PA
USD
92890.72000000
0.000287706872
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 190337
31368HLS0
785258.28000000
PA
USD
896819.30000000
0.002777684100
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3804
36179SGM3
65909.52000000
PA
USD
72093.64000000
0.000223292872
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
4.00000000
N
N
N
N
N
N
First Republic Bank/CA
YWC0TIKBQM2JV8L4IV08
FIRST REP BANK
33616CHQ6
13330000.00000000
PA
USD
13640149.11000000
0.042247111894
Long
DBT
CORP
US
N
2
2024-02-12
Variable
1.91200000
N
N
N
N
N
N
BANK 2018-BNK12
N/A
BANK 2018-BN12 A4
06541KBA5
780000.00000000
PA
USD
885487.20000000
0.002742585621
Long
ABS-MBS
CORP
US
N
2
2061-05-15
Variable
4.25500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T60293
3128S1KE2
46924.87000000
PA
USD
49574.29000000
0.000153544551
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2 4/21
01F020646
1515500000.00000000
PA
USD
1512658437.50000000
4.685099096176
Long
ABS-MBS
USGSE
US
N
2
2021-04-14
Fixed
2.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJL4
5000000.00000000
PA
USD
4711020.00000000
0.014591261977
Long
DBT
CORP
US
N
2
2031-10-24
Variable
1.92200000
N
N
N
N
N
N
America Movil SAB de CV
5493000FNR3UCEAONM59
AMERICA MOVIL SA
02364WBD6
1160000.00000000
PA
USD
1194739.68000000
0.003700421493
Long
DBT
CORP
MX
N
2
2022-07-16
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 928168
31412LFH8
6598.75000000
PA
USD
6966.39000000
0.000021576733
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2.5 5/21
01F022659
-180000000.00000000
PA
USD
-184345308.00000000
-0.57096566844
Short
ABS-MBS
USGSE
US
N
2
2021-05-13
Fixed
2.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHT9
2777000.00000000
PA
USD
3012995.01000000
0.009332034151
Long
DBT
CORP
US
N
2
2027-04-23
Variable
3.55900000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS4122
3132A4SK5
5433938.36000000
PA
USD
6236506.60000000
0.019316093250
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J13248
3128PSTD9
4230.83000000
PA
USD
4516.40000000
0.000013988472
Long
ABS-MBS
USGSE
US
N
2
2025-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03850
3128M5TF7
10240.72000000
PA
USD
11653.75000000
0.000036094713
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2017-116 H
38380TWR3
4476275.80000000
PA
USD
4696239.99000000
0.014545484418
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C01491
31292HUQ5
76354.40000000
PA
USD
89725.58000000
0.000277903605
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL9319
3138ERK90
119625.22000000
PA
USD
131713.74000000
0.000407951926
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0217
31419AG35
22228.04000000
PA
USD
24619.69000000
0.000076253623
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3121
31418CPF5
70563.84000000
PA
USD
76276.64000000
0.000236248718
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3913
31418DK35
18634655.51000000
PA
USD
19121683.41000000
0.059224858329
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Roche Holdings Inc
PVJRP0EQNV6OGDPZGY95
ROCHE HLDGS INC
771196BK7
1000000.00000000
PA
USD
1062927.00000000
0.003292163123
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
2.62500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 709815
36297ESC0
10192.22000000
PA
USD
11569.64000000
0.000035834203
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2J1
5000000.00000000
PA
USD
5045955.00000000
0.015628643336
Long
DBT
CORP
US
N
2
2031-02-11
Variable
2.57200000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 686360
36296BQM7
6904.41000000
PA
USD
8047.82000000
0.000024926204
Long
ABS-MBS
USGA
US
N
2
2038-05-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5596
36179UGD8
28404291.51000000
PA
USD
30824104.23000000
0.095470318538
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD4567
31418SCD9
1685.96000000
PA
USD
1956.62000000
0.000006060164
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.50000000
N
N
N
N
N
N
Allstate Corp/The
OBT0W1ED8G0NWVOLOJ77
ALLSTATE CORP
020002BH3
2000000.00000000
PA
USD
1961254.00000000
0.006074516966
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 941128
31413CA58
46809.14000000
PA
USD
53629.60000000
0.000166104907
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A80033
312926BA5
2727.21000000
PA
USD
2748.83000000
0.000008513845
Long
ABS-MBS
USGSE
US
N
2
2037-10-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 994383
31416AUG3
5195.67000000
PA
USD
5895.41000000
0.000018259627
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE5018
3133N2SF4
9722067.96000000
PA
USD
9907236.41000000
0.030685304229
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
HOME DEPOT INC
437076BW1
10000000.00000000
PA
USD
11444650.00000000
0.035447076512
Long
DBT
CORP
US
N
2
2028-12-06
Fixed
3.90000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 652541
36292L5A8
2641.84000000
PA
USD
2954.30000000
0.000009150240
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MCD0
6730000.00000000
PA
USD
6538450.74000000
0.020251293281
Long
DBT
CORP
JP
N
2
2026-01-12
Fixed
0.94800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE0878
3140FK6Q8
352598.49000000
PA
USD
375427.30000000
0.001162796610
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHZ5
75000.00000000
PA
USD
74059.50000000
0.000229381655
Long
DBT
CORP
US
N
2
2031-02-13
Variable
2.49600000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 625364
31389GWZ9
42538.43000000
PA
USD
49970.76000000
0.000154772522
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 747536
31403FPV0
25228.03000000
PA
USD
29058.15000000
0.000090000696
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08015
3128MJAR1
85842.03000000
PA
USD
97786.09000000
0.000302869114
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AW3240
36195RS59
256891.50000000
PA
USD
286972.16000000
0.000888827890
Long
ABS-MBS
USGA
US
N
2
2046-10-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB1047
31416WEV0
514291.60000000
PA
USD
576396.22000000
0.001785249956
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 890365
31410LFE7
215084.10000000
PA
USD
246470.48000000
0.000763383586
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.50000000
N
N
N
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
IBM CORP
459200JG7
2500000.00000000
PA
USD
2745545.00000000
0.008503671469
Long
DBT
CORP
US
N
2
2026-02-19
Fixed
3.45000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HRY8
8595000.00000000
PA
USD
9469824.89000000
0.029330526266
Long
DBT
CORP
US
N
2
2028-02-01
Variable
3.78200000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_19-3
N/A
EFF 2019-3 A2
29374WAB2
9248582.50000000
PA
USD
9366785.86000000
0.029011387421
Long
ABS-CBDO
CORP
US
Y
2
2025-05-20
Fixed
2.06000000
N
N
N
N
N
N
Public Service Electric and Gas Co
549300RUHPVD434XUK18
PUBLIC SERVICE
74456QCB0
7500000.00000000
PA
USD
7574700.00000000
0.023460828462
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08753
3128MJZT0
314230.20000000
PA
USD
345452.58000000
0.001069957057
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT8419
3138WWK99
1638.30000000
PA
USD
1734.93000000
0.000005373532
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
LLOYDS BK GR PLC
53944YAH6
5000000.00000000
PA
USD
5423330.00000000
0.016797472483
Long
DBT
CORP
GB
N
2
2024-03-12
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BN4458
3140JL5U4
2278378.90000000
PA
USD
2489843.45000000
0.007711696843
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12213
3128PRN62
17065.14000000
PA
USD
18036.55000000
0.000055863916
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 609102
36202TU38
1635460.56000000
PA
USD
1717579.32000000
0.005319792704
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 720568
3620A6QV2
583.50000000
PA
USD
629.83000000
0.000001950748
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723526
3620A9YX3
580124.23000000
PA
USD
659385.85000000
0.002042290561
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6084
36179UXM9
1591782.35000000
PA
USD
1709138.10000000
0.005293648036
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3726
31418DD82
5012069.39000000
PA
USD
5275389.98000000
0.016339263520
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AK5780
36183PM53
76857.47000000
PA
USD
81457.77000000
0.000252296034
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AU7144
36194U5D1
4415663.31000000
PA
USD
4723159.06000000
0.014628859823
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J27419
31307GG45
13968.52000000
PA
USD
14938.33000000
0.000046267917
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.50000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_21-1
N/A
AMCAR 2021-1 A3
03063FAC8
15660000.00000000
PA
USD
15645334.41000000
0.048457695595
Long
ABS-CBDO
CORP
US
N
2
2025-08-18
Fixed
0.37000000
N
N
N
N
N
N
Pepper Residential Securities Trust No. 23
N/A
PEPAU 23A A1U
71338BAA7
2354273.85480000
PA
USD
2351882.38000000
0.007284395300
Long
ABS-MBS
CORP
AU
Y
2
2060-08-18
Floating
1.05810000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-19 ZA
3136ACLS8
21090527.37000000
PA
USD
22960202.62000000
0.071113756996
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5384
3138WE6W4
309944.02000000
PA
USD
339969.75000000
0.001052975297
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AX5295
3138Y63D4
2203582.66000000
PA
USD
2584675.09000000
0.008005415252
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
5.00000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST
N/A
FORDF 2019-4 A
34528QHF4
8460000.00000000
PA
USD
8916778.24000000
0.027617596039
Long
ABS-CBDO
CORP
US
N
2
2026-09-15
Fixed
2.44000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723547
3620A9ZL8
5672.68000000
PA
USD
6438.69000000
0.000019942308
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
4.50000000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC
713448EW4
7280000.00000000
PA
8640266.53000000
0.026761166901
Long
DBT
CORP
US
N
2
2024-05-06
Fixed
0.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A27768
31297FTZ6
34814.80000000
PA
USD
41016.52000000
0.000127038897
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM5587
3140JAF52
3579624.15000000
PA
USD
3940031.09000000
0.012203307528
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR2365
3617LYTW0
2805233.73000000
PA
USD
2959766.48000000
0.009167171462
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
4.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GGA1
4500000.00000000
PA
USD
4829260.50000000
0.014957483753
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
3.24800000
N
N
N
N
N
N
Medtronic Global Holdings SCA
549300JXMTTP8GKYIX14
MEDTRONIC GLOBAL
58507LAL3
8000000.00000000
PA
9423331.24000000
0.029186523263
Long
DBT
CORP
LU
N
2
2022-12-02
None
0.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 723865
31402BFE9
22099.00000000
PA
USD
25305.28000000
0.000078377075
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Republic of Poland Government International Bond
N/A
REP OF POLAND
857524AB8
29062000.00000000
PA
USD
30365081.96000000
0.094048606426
Long
DBT
NUSS
PL
N
2
2022-03-23
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 829207
31407FGQ7
1170.54000000
PA
USD
1305.56000000
0.000004043661
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST COPAR_19-1
N/A
COPAR 2019-1 A3
14042WAC4
10516093.81000000
PA
USD
10662564.07000000
0.033024751688
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
2.51000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBJ9
150000000.00000000
PA
USD
143835930.00000000
0.445497522067
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91071
3128P7FL2
15659.97000000
PA
USD
17283.44000000
0.000053531337
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS9878
3132AA6P4
9507019.02000000
PA
USD
10194001.92000000
0.031573492070
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E02697
31294L7J6
17329.36000000
PA
USD
18403.58000000
0.000057000704
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 890274
31410LCK6
38601.32000000
PA
USD
44059.20000000
0.000136462874
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
DELL EQUIPMENT FINANCE TRUST DEFT_20-2
N/A
DEFT 2020-2 A2
24704GAB9
13380000.00000000
PA
USD
13386565.57000000
0.041461697299
Long
ABS-CBDO
CORP
US
Y
2
2022-10-24
Fixed
0.47000000
N
N
N
N
N
N
State Board of Administration Finance Corp
549300S34SOJ0RULXM35
FLORIDA ST BRD OF ADM
341271AF1
55000000.00000000
PA
USD
54955131.00000000
0.170210424373
Long
DBT
MUN
US
N
2
2030-07-01
Fixed
2.15400000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q24832
3132M5A93
16472.52000000
PA
USD
18782.56000000
0.000058174504
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2.5 5/21
01F022659
180000000.00000000
PA
USD
184345308.00000000
0.570965668444
Long
ABS-MBS
USGSE
US
N
2
2021-05-13
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 606472
36201XW95
1616.63000000
PA
USD
1852.35000000
0.000005737212
Long
ABS-MBS
USGA
US
N
2
2033-05-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13746
3128MCL37
1643.71000000
PA
USD
1735.01000000
0.000005373780
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC23
N/A
CGCMT 2014-GC23 AS
17322VAV8
275000.00000000
PA
USD
296670.00000000
0.000918864638
Long
ABS-MBS
CORP
US
N
2
2047-07-10
Fixed
3.86300000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AB5980
36178SUD8
74204.95000000
PA
USD
82988.52000000
0.000257037167
Long
ABS-MBS
USGA
US
N
2
2045-12-15
Fixed
4.50000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL
06367WHH9
33960000.00000000
PA
USD
36407497.20000000
0.112763547934
Long
DBT
CORP
CA
N
2
2024-02-05
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4535 AZ
3137BMGL4
11571572.31480000
PA
USD
12389451.05000000
0.038373372651
Long
ABS-MBS
USGSE
US
N
2
2045-12-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM3286
3140J7UL7
14730348.82000000
PA
USD
16286066.62000000
0.050442210951
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 778210
31404TR70
111121.36000000
PA
USD
128942.26000000
0.000399367927
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19
N/A
MSBAM 2014-C19 A4
61764PBU5
10000.00000000
PA
USD
10813.40000000
0.000033491930
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.52600000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
BURLINGTON NORTH
12189LAY7
3575000.00000000
PA
USD
3923283.65000000
0.012151436323
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2011-127 ZU
3136A2TR4
13080533.67000000
PA
USD
13829786.64000000
0.042834468959
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468J1
8670000.00000000
PA
USD
9126622.89000000
0.028267539844
Long
DBT
CORP
US
N
2
2025-07-22
Variable
2.72000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16
N/A
MSBAM 2014-C16 AS
61763MAH3
330000.00000000
PA
USD
354363.90000000
0.001097557747
Long
ABS-MBS
CORP
US
N
2
2047-06-15
Fixed
4.09400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2962
36179RJF7
139022.73000000
PA
USD
151055.87000000
0.000467859565
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
4.00000000
N
N
N
N
N
N
Target Corp
8WDDFXB5T1Z6J0XC1L66
TARGET CORP
87612EBH8
4500000.00000000
PA
USD
4912308.00000000
0.015214703597
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782350
36241KTF5
37741.24000000
PA
USD
43731.74000000
0.000135448644
Long
ABS-MBS
USGA
US
N
2
2038-06-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 638029
31389WY25
1000.21000000
PA
USD
1023.46000000
0.000003169923
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.500000 16-JUN-2028
N/A
33933000.00000000
NC
USD
1754857.62000000
0.005435253356
N/A
DIR
N/A
N
1
MERRILL LYNCH & CO INC
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2028-06-16
0.00000000
USD
1311080.65000000
USD
33933000.00000000
USD
443776.97000000
N
N
N
Chevron USA Inc
VA8TZDWPEZYU430RZ444
CHEVRON USA INC
166756AE6
4030000.00000000
PA
USD
3952442.65000000
0.012241749378
Long
DBT
CORP
US
N
2
2025-08-12
Fixed
0.68700000
N
N
N
N
N
N
Province of Quebec Canada
549300WN65YFEQH74Y36
QUEBEC PROVINCE
748148PD9
2674000.00000000
PA
USD
3154049.85000000
0.009768917909
Long
DBT
NUSS
CA
N
2
2024-02-09
Fixed
7.12500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q50590
3132XSUQ1
8031746.68000000
PA
USD
8699326.19000000
0.026944090126
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB3409
31416YYF9
998477.60000000
PA
USD
1065418.13000000
0.003299878805
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10
549300P1YQ48837ZOI22
MSBAM 2013-C10 A4
61762MBW0
5386756.00000000
PA
USD
5686744.44000000
0.017613335949
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
4.08130000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
87214.36000000
0.000270125699
N/A
DFE
N/A
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
9078457.05000000
EUR
10739043.02000000
USD
2021-04-30
87214.36000000
N
N
N
Freddie Mac Gold Pool
N/A
FG A36680
31297SM51
97006.70000000
PA
USD
106389.76000000
0.000329516932
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2013-GCJ12
549300SSCQUZ3RRV2T53
GSMS 2013-GC12 A4
36197XAK0
1055488.00000000
PA
USD
1101908.36000000
0.003412898598
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Fixed
3.13500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4560
36202FB54
66084.70000000
PA
USD
76921.93000000
0.000238247350
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 893184
31410PJ53
113230.71000000
PA
USD
132082.83000000
0.000409095095
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_20-B
N/A
WOART 2020-B A3
98163WAC0
25510000.00000000
PA
USD
25606471.17000000
0.079309943316
Long
ABS-CBDO
CORP
US
N
2
2025-05-15
Fixed
0.63000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4451
36179S5L7
1360171.09000000
PA
USD
1448153.08000000
0.004485309120
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
3.50000000
N
N
N
N
N
N
FIFTH THIRD AUTO TRUST FITAT_17-1
N/A
FITAT 2017-1 A4
31679RAE5
7291171.45000000
PA
USD
7295849.47000000
0.022597155385
Long
ABS-CBDO
CORP
US
N
2
2024-07-15
Fixed
2.03000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783750
3622A2EX6
81383.78000000
PA
USD
92789.68000000
0.000287393925
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL5724
3138ENLE7
4259589.52000000
PA
USD
4746231.01000000
0.014700319691
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5710
36179UKX9
2841752.00000000
PA
USD
3032708.36000000
0.009393091556
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-GC26
549300V3F4KBEWHAZP46
GSMS 2014-GC26 A4
36250HAD5
1662985.95000000
PA
USD
1770830.59000000
0.005484725825
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Fixed
3.36400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 955282
31413TXK3
736860.06000000
PA
USD
866565.26000000
0.002683979420
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18505
3128MMR39
463405.69000000
PA
USD
490325.25000000
0.001518665634
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28531
31307HPQ4
430224.05000000
PA
USD
459727.22000000
0.001423895526
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2.5 4/21
21H022648
-210000000.00000000
PA
USD
-216660948.00000000
-0.67105566364
Short
ABS-MBS
USGA
US
N
2
2021-04-21
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2304
36179QRZ6
741639.78000000
PA
USD
794069.78000000
0.002459441944
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZN3096
3131Y9NM1
3620714.72000000
PA
USD
3832911.78000000
0.011871530988
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 784658
3622AAB37
230054.87000000
PA
USD
259468.12000000
0.000803640679
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.50000000
N
N
N
N
N
N
MUFG Americas Holdings Corp
5493004K1ECE43Q0BX47
UNIONBANCAL
908906AC4
3065000.00000000
PA
USD
3178788.13000000
0.009845538837
Long
DBT
CORP
US
N
2
2022-06-18
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AW5063
3138XUTV4
6510674.57000000
PA
USD
7154948.14000000
0.022160747087
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G30493
3128CURN8
106321.29000000
PA
USD
114872.05000000
0.000355788804
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AG6295
36182A7G0
28175.14000000
PA
USD
30176.04000000
0.000093463093
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB9779
31417G2M7
52537.05000000
PA
USD
54654.53000000
0.000169279384
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.50000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM INC
747525BP7
21117000.00000000
PA
USD
19431462.18000000
0.060184324259
Long
DBT
CORP
US
N
2
2032-05-20
Fixed
1.65000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE2978
31419DJY8
316617.34000000
PA
USD
336962.92000000
0.001043662358
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
Reckitt Benckiser Treasury Services PLC
213800LAXWIUOOBZ3908
RECKITT BEN TSY
75625QAC3
1150000.00000000
PA
USD
1175236.75000000
0.003640015815
Long
DBT
CORP
GB
Y
2
2022-06-24
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 836418
31407PG36
183793.91000000
PA
USD
213287.26000000
0.000660606468
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GEU9
12370000.00000000
PA
USD
12997530.10000000
0.040256752624
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
3.30000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust 2016-C4
N/A
JPMDB 2016-C4 A3
46646RAJ2
400000.00000000
PA
USD
430668.00000000
0.001333891516
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.14130000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR6120
3617M4YR0
4889988.04000000
PA
USD
5030816.27000000
0.015581754727
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.00000000
N
N
N
N
N
N
Oncor Electric Delivery Co LLC
549300SP2X2BS1KERD24
ONCOR ELECTRIC D
68233JBH6
8555000.00000000
PA
USD
9484398.09000000
0.029375663281
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU4279
3138X3XH0
1757721.93000000
PA
USD
1861609.10000000
0.005765890630
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06387
3128M8NC4
49982.61000000
PA
USD
58187.57000000
0.000180222133
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AM0064
36184KB97
503474.74000000
PA
USD
536542.41000000
0.001661812275
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 771563
36176N5Y3
341074.82000000
PA
USD
389930.96000000
0.001207718241
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAU5
200000000.00000000
PA
USD
189437500.00000000
0.586737519871
Long
DBT
UST
US
N
2
2027-10-31
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3552
31418C5N0
581493.92000000
PA
USD
623708.98000000
0.001931789957
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
292.72000000
0.000000906630
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
37035.00000000
EUR
43746.19000000
USD
2021-04-30
292.72000000
N
N
N
GREAT AMERICA LEASING RECEIVABLES FUNDING GALC_18-1
N/A
GALC 2018-1 A4
39154TAR9
2627596.71000000
PA
USD
2652046.50000000
0.008214082143
Long
ABS-CBDO
CORP
US
Y
2
2024-06-17
Fixed
2.83000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GFX2
3998000.00000000
PA
USD
4384614.60000000
0.013580299022
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT7613
36194GN67
467220.89000000
PA
USD
487320.55000000
0.001509359292
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
Dexia Credit Local SA
F4G136OIPBYND1F41110
DEXIA CRED LOCAL
25214BAT1
16910000.00000000
PA
USD
17416234.67000000
0.053942637206
Long
DBT
CORP
FR
Y
2
2022-09-20
Fixed
2.37500000
N
N
N
N
N
N
BBCMS Mortgage Trust 2020-C8
N/A
BBCMS 2020-C8 ASB
05552AAZ1
5880000.00000000
PA
USD
5850482.40000000
0.018120475267
Long
ABS-MBS
CORP
US
N
2
2053-10-15
Fixed
1.86700000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AR9203
3138W7GM0
378084.12000000
PA
USD
411278.85000000
0.001273838244
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4837
36202FLS3
6667.09000000
PA
USD
7832.72000000
0.000024259983
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 650090
36292JF79
2459.14000000
PA
USD
2749.56000000
0.000008516106
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
5.50000000
N
N
N
N
N
N
Cboe Global Markets Inc
529900RLNSGA90UPEH54
CBOE GLOBAL MKTS
12503MAC2
8750000.00000000
PA
USD
8134848.75000000
0.025195755751
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
1.62500000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJF7
26656000.00000000
PA
USD
24973260.03000000
0.077348722682
Long
DBT
CORP
US
N
2
2031-07-23
Variable
1.89800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BA5522
3140EAD42
2892939.62000000
PA
USD
3064460.27000000
0.009491435531
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
3.00000000
N
N
N
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
MERCK & CO INC
58933YAR6
8200000.00000000
PA
USD
8732836.00000000
0.027047878778
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 257206
31371NU78
75480.59000000
PA
USD
85505.42000000
0.000264832665
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
Hershey Co/The
21X2CX66SU2BR6QTAD08
HERSHEY COMPANY
427866BE7
5000000.00000000
PA
USD
4754945.00000000
0.014727309199
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
1.70000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT7899
3138WVX55
1309806.92000000
PA
USD
1397757.31000000
0.004329220230
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL8960
3138ET5W2
69593.08000000
PA
USD
76705.56000000
0.000237577195
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 437096
36207NRR7
2543.02000000
PA
USD
2709.90000000
0.000008393269
Long
ABS-MBS
USGA
US
N
2
2031-07-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6277
36179U6N7
427352.15000000
PA
USD
444360.47000000
0.001376300680
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BK6568
3140HLJN7
407294.74000000
PA
USD
453724.06000000
0.001405302169
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
5.00000000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
29135LAG5
33599000.00000000
PA
USD
35380956.56000000
0.109584082891
Long
DBT
NUSS
AE
Y
2
2025-04-16
Fixed
2.50000000
N
N
N
N
N
N
Chevron Corp
N/A
CHEVRON CORP
166764BL3
5490000.00000000
PA
USD
5890270.41000000
0.018243709148
Long
DBT
CORP
US
N
2
2026-05-16
Fixed
2.95400000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91006
3128P7DK6
19814.21000000
PA
USD
21651.52000000
0.000067060424
Long
ABS-MBS
USGSE
US
N
2
2026-10-01
Fixed
5.00000000
N
N
N
N
N
N
Estee Lauder Cos Inc/The
549300VFZ8XJ9NUPU221
ESTEE LAUDER CO
29736RAP5
4750000.00000000
PA
USD
4803736.75000000
0.014878430019
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
2.37500000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
N/A
8000000.00000000
PA
9651460.79000000
0.029893100189
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB7937
31417EZB0
579383.82000000
PA
USD
614373.50000000
0.001902875532
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783677
3622A2CN0
57475.39000000
PA
USD
65300.45000000
0.000202252585
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS2358
3138WBTQ8
182598.22000000
PA
USD
204030.56000000
0.000631936046
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBL9
15000000.00000000
PA
USD
14919225.00000000
0.046208744704
Long
DBT
CORP
US
N
2
2031-04-22
Variable
2.52200000
N
N
N
N
N
N
Benchmark 2020-B19 Mortgage Trust
N/A
BMARK 2020-B19 AAB
08162WBD7
7163000.00000000
PA
USD
7063362.67000000
0.021877082916
Long
ABS-MBS
CORP
US
N
2
2053-09-15
Fixed
1.74500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 700829
36296TSS3
1570.83000000
PA
USD
1782.71000000
0.000005521519
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
5.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90352JAE3
26640000.00000000
PA
USD
27451454.40000000
0.085024339275
Long
DBT
CORP
CH
Y
2
2023-08-15
Variable
2.85900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 975376
31414TCM1
87977.93000000
PA
USD
99722.29000000
0.000308866032
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7257
3133JLB24
3842252.32000000
PA
USD
3952290.20000000
0.012241277200
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A87994
3129343B6
441167.87000000
PA
USD
503519.45000000
0.001559531525
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18327
3128MMLH4
22943.99000000
PA
USD
24221.18000000
0.000075019333
Long
ABS-MBS
USGSE
US
N
2
2024-10-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 511591
36211FKC8
2217.20000000
PA
USD
2557.80000000
0.000007922176
Long
ABS-MBS
USGA
US
N
2
2030-08-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 981861
31415BJE0
10559.64000000
PA
USD
11962.00000000
0.000037049444
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 885763
31410DB82
65535.07000000
PA
USD
76434.13000000
0.000236736506
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 769898
36176MDB6
56246.75000000
PA
USD
63253.06000000
0.000195911282
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.50000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
ABBOTT LABS
002824BB5
9405000.00000000
PA
USD
10049327.15000000
0.031125396441
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD4225
3140FBVT4
329689.08000000
PA
USD
345989.20000000
0.001071619109
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 544459
36212UZY0
4507.91000000
PA
USD
4970.69000000
0.000015395527
Long
ABS-MBS
USGA
US
N
2
2031-04-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5056
3138WETN9
4881.53000000
PA
USD
5224.97000000
0.000016183099
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11
N/A
MSBAM 2013-C11 A4
61762TAE6
190000.00000000
PA
USD
203735.10000000
0.000631020929
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.15190000
N
N
N
N
N
N
Sinopec Group Overseas Development 2013 Ltd
529900F9XKMFEV9DNO17
SINOPEC OVERSEAS
N/A
888000.00000000
PA
USD
963667.55000000
0.002984730627
Long
DBT
CORP
VG
N
2
2023-10-17
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB7570
31417EMU2
2327030.73000000
PA
USD
2486840.96000000
0.007702397345
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 748063
3620C4B82
10435.05050000
PA
USD
11969.17000000
0.000037071652
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C48311
31298HGU6
8048.87000000
PA
USD
9435.61000000
0.000029224553
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
7.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38148LAE6
8560000.00000000
PA
USD
9325007.20000000
0.028881987976
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A57091
3128KK2Y4
12096.86000000
PA
USD
14022.97000000
0.000043432808
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT5095
3138WSUV8
678154.72000000
PA
USD
744513.31000000
0.002305952586
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 710716
36297FSD5
142578.66000000
PA
USD
163635.79000000
0.000506822870
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4696
36202FGD2
377372.03000000
PA
USD
418006.54000000
0.001294675661
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RA2633
3133KH4S2
71055332.48590000
PA
USD
74655073.79000000
0.231226303352
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4885 ZX
3137FMBS0
31608332.85000000
PA
USD
33485235.65000000
0.103712539056
Long
ABS-MBS
USGSE
US
N
2
2048-12-15
Fixed
4.00000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS IN
718172CH0
4500000.00000000
PA
USD
4774950.00000000
0.014789269920
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4883 ZM
3137FLRN6
4857949.99000000
PA
USD
5183141.16000000
0.016053544780
Long
ABS-MBS
USGSE
US
N
2
2049-05-15
Fixed
4.00000000
N
N
N
N
N
N
Federal Realty Investment Trust
549300LI6XZ51GOCJ427
FED RLTY INVS TR
313747AT4
5330000.00000000
PA
USD
5536457.55000000
0.017147858115
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
2.75000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4681
36202FFW1
229079.50000000
PA
USD
261903.64000000
0.000811184122
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD4296
31418RX22
88423.39000000
PA
USD
99311.78000000
0.000307594576
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 357277
31376J2J7
26895.32000000
PA
USD
28935.47000000
0.000089620724
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 734101
3620AMRW4
444843.94000000
PA
USD
504072.69000000
0.001561245054
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
4.50000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
961214EL3
2500000.00000000
PA
USD
2588307.50000000
0.008016665777
Long
DBT
CORP
AU
N
2
2030-01-16
Fixed
2.65000000
N
N
N
N
N
N
Bank 2019-BNK19
N/A
BANK 2019-BN19 A3
06540WBD4
3910000.00000000
PA
USD
4166535.10000000
0.012904849731
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
3.18300000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_18-1
N/A
VALET 2018-1 A3
92868LAD3
5587049.66000000
PA
USD
5635634.64000000
0.017455035521
Long
ABS-CBDO
CORP
US
N
2
2022-11-21
Fixed
3.02000000
N
N
N
N
N
N
EDSOUTH INDENTURE NO 5 LLC EDUSA_15-1
N/A
EDUSA 2015-1 A
281378AA7
211914.95850000
PA
USD
213532.95000000
0.000661367435
Long
ABS-CBDO
CORP
US
Y
2
2056-10-25
Floating
0.90860000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC6344
31417TBN7
89685.48000000
PA
USD
105365.51000000
0.000326344562
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 626969
36291FQW1
5647003.62000000
PA
USD
5951783.13000000
0.018434230141
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AD2413
36180DVE4
313288.01000000
PA
USD
337663.41000000
0.001045831959
Long
ABS-MBS
USGA
US
N
2
2043-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 971029
31414NHE7
4375.35000000
PA
USD
5148.83000000
0.000015947274
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH1115
3138A2GZ6
1751149.50000000
PA
USD
1962382.78000000
0.006078013093
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 912410
31411NVB0
45.39000000
PA
USD
46.19000000
0.000000143062
Long
ABS-MBS
USGSE
US
N
2
2022-02-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4069
36179SQW0
1141783.62000000
PA
USD
1223790.06000000
0.003790398124
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 851813
31408HK20
1335.87000000
PA
USD
1474.56000000
0.000004567098
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE5852
31419GQE7
285838.88000000
PA
USD
317375.14000000
0.000982993876
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AK7338
36183REK5
178124.84000000
PA
USD
189704.47000000
0.000587564395
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 545278
36212VXF1
8311.89000000
PA
USD
8886.35000000
0.000027523351
Long
ABS-MBS
USGA
US
N
2
2031-01-15
Fixed
7.00000000
N
N
N
N
N
N
Toyota Motor Finance Netherlands BV
724500OPA8GZSQUNSR96
TOYOTA MOTOR FIN
N/A
5825000.00000000
PA
6972732.59000000
0.021596377837
Long
DBT
CORP
NL
N
2
2023-09-26
Fixed
0.62500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HMN7
14605000.00000000
PA
USD
16082354.17000000
0.049811260175
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL9045
3131XRBN3
4607166.95000000
PA
USD
4909765.68000000
0.015206829367
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 817021
31406QVN4
441947.06000000
PA
USD
514515.12000000
0.001593587993
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
6.00000000
N
N
N
N
N
N
Novartis Capital Corp
5493002KF87V5RSRQS84
NOVARTIS CAPITAL
66989HAQ1
13000000.00000000
PA
USD
13368524.00000000
0.041405817834
Long
DBT
CORP
US
N
2
2027-02-14
Fixed
2.00000000
N
N
N
N
N
N
VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_20-1
N/A
VALET 2020-1 A3
92868JAD8
23190000.00000000
PA
USD
23400597.67000000
0.072477775732
Long
ABS-CBDO
CORP
US
N
2
2024-11-20
Fixed
0.98000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 708192
36297CXV6
397.71000000
PA
USD
457.13000000
0.000001415851
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.00000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-3
N/A
SDART 2020-3 A3
80285WAD9
13870000.00000000
PA
USD
13887337.50000000
0.043012719035
Long
ABS-CBDO
CORP
US
N
2
2024-07-15
Fixed
0.52000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU3794
3138X3GC0
545304.21000000
PA
USD
559808.05000000
0.001733872052
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD5541
31418TEP8
15931.26000000
PA
USD
17809.38000000
0.000055160311
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS3974
3138WDMY4
333048.35000000
PA
USD
366007.61000000
0.001133621365
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 929298
31412MNP9
1900688.95000000
PA
USD
2180370.77000000
0.006753178953
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08591
3128MJUR9
54385.06000000
PA
USD
58411.39000000
0.000180915363
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2019-C49
N/A
WFCM 2019-C49 ASB
95001WAZ1
310000.00000000
PA
USD
346341.30000000
0.001072709655
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
3.93300000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBD7
4600000.00000000
PA
USD
5001299.40000000
0.015490333255
Long
DBT
CORP
US
N
2
2030-05-06
Variable
3.70200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AR2626
3138NY4L6
1543505.18000000
PA
USD
1587762.72000000
0.004917716716
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 1.5 5/21
01F012452
110000000.00000000
PA
USD
110275000.00000000
0.341550537796
Long
ABS-MBS
USGSE
US
N
2
2021-05-18
Fixed
1.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6278
36179U6P2
694998.54000000
PA
USD
740825.70000000
0.002294531092
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-C29
549300NYO16WLNMVJJ46
WFCM 2015-C29 A4
94989KAV5
3198900.00000000
PA
USD
3495150.13000000
0.010825394754
Long
ABS-MBS
CORP
US
N
2
2048-06-15
Fixed
3.63700000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5594
36179UGB2
31482.62000000
PA
USD
33579.99000000
0.000104006018
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
3.50000000
N
N
N
N
N
N
HPEFS EQUIPMENT TRUST HPEFS_19-1A
N/A
HPEFS 2019-1A A3
40438DAC3
1500000.00000000
PA
USD
1509928.95000000
0.004676645158
Long
ABS-CBDO
CORP
US
Y
2
2029-09-20
Fixed
2.21000000
N
N
N
N
N
N
DBJPM 17-C6 Mortgage Trust
N/A
DBJPM 2017-C6 A5
23312JAF0
3210000.00000000
PA
USD
3480538.80000000
0.010780139641
Long
ABS-MBS
CORP
US
N
2
2050-06-10
Fixed
3.32800000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5280
36202F2M7
1808459.73000000
PA
USD
2014406.40000000
0.006239143860
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC21
N/A
CGCMT 2014-GC21 A5
17322MAW6
4233700.00000000
PA
USD
4595893.04000000
0.014234683649
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Fixed
3.85500000
N
N
N
N
N
N
MassMutual Global Funding II
549300K1IE3K7YU6VG29
MASSMUTUAL GLBL
57629WCH1
13000000.00000000
PA
USD
14234025.00000000
0.044086500963
Long
DBT
CORP
US
Y
2
2026-03-08
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6515
3138WGGZ1
1393599.33000000
PA
USD
1533035.91000000
0.004748213462
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_19-A
N/A
TAOT 2019-A A4
89239AAE3
3800000.00000000
PA
USD
3970947.56000000
0.012299063928
Long
ABS-CBDO
CORP
US
N
2
2024-05-15
Fixed
3.00000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-2
N/A
GMALT 2020-2 A4
36259PAE6
1640000.00000000
PA
USD
1656471.01000000
0.005130524273
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
1.01000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3753
31418DE32
118339.39000000
PA
USD
123849.08000000
0.000383593016
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
KSA Sukuk Ltd
635400XBJFPNCGN9CK71
KSA SUKUK LTD
N/A
13168000.00000000
PA
USD
14434263.85000000
0.044706693091
Long
DBT
CORP
KY
N
2
2027-04-20
Fixed
3.62800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH4084
3140GSRE4
2003348.60000000
PA
USD
2143561.77000000
0.006639171846
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
Ontario Teachers' Cadillac Fairview Properties Trust
N/A
CADILLAC FAIRVIE
68327LAB2
6600000.00000000
PA
USD
7235368.80000000
0.022409830920
Long
DBT
CORP
CA
Y
2
2027-03-20
Fixed
3.87500000
N
N
N
N
N
N
PENDING
N/A
COPAR 2019-1 A4
14042WAD2
4210000.00000000
PA
USD
4360857.35000000
0.013506716600
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
2.56000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J36731
31307TPQ8
3721411.82000000
PA
USD
3989735.29000000
0.012357254445
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 946500
31413H7M4
18324.95000000
PA
USD
20734.18000000
0.000064219182
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.50000000
N
N
N
N
N
N
Saudi Government International Bond
N/A
SAUDI INT BOND
N/A
5918000.00000000
PA
USD
6517227.09000000
0.020185558082
Long
DBT
NUSS
SA
N
2
2025-04-17
Fixed
4.00000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-3
N/A
HAROT 2019-3 A4
43815NAD6
3640000.00000000
PA
USD
3731614.80000000
0.011557787728
Long
ABS-CBDO
CORP
US
N
2
2025-08-15
Fixed
1.85000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-3
N/A
GMALT 2020-3 A4
362569AD7
3180000.00000000
PA
USD
3189513.92000000
0.009878759416
Long
ABS-CBDO
CORP
US
N
2
2024-10-21
Fixed
0.51000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 823794
31406YGB0
233934.07000000
PA
USD
272760.11000000
0.000844809451
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QBJ8
8475000.00000000
PA
USD
9110209.73000000
0.028216703992
Long
DBT
CORP
US
N
2
2025-04-06
Fixed
3.19400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4697
36202FGE0
802407.79000000
PA
USD
907150.49000000
0.002809682500
Long
ABS-MBS
USGA
US
N
2
2040-05-20
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 737194
3620AQ7F4
11596.92000000
PA
USD
13235.21000000
0.000040992909
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G02381
3128LXUE8
345945.12000000
PA
USD
400961.19000000
0.001241881750
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783711
3622A2DQ2
646559.18000000
PA
USD
737518.22000000
0.002284286961
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6042
36179UWB4
2654589.78000000
PA
USD
2886705.25000000
0.008940881710
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06774
3128M82F0
559415.29000000
PA
USD
621166.91000000
0.001923916501
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 716222
3620A1VP0
11287.74000000
PA
USD
13143.83000000
0.000040709881
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1600
36179NX52
181393.47000000
PA
USD
196052.75000000
0.000607226680
Long
ABS-MBS
USGA
US
N
2
2044-01-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 650475
36292JT82
46571.17000000
PA
USD
52783.76000000
0.000163485120
Long
ABS-MBS
USGA
US
N
2
2035-12-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2220
31418BPE0
458204.99000000
PA
USD
485995.67000000
0.001505255791
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4963
36179TQQ1
757633.14000000
PA
USD
822305.08000000
0.002546894058
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI7784
3138AMUJ2
55479.87000000
PA
USD
62187.08000000
0.000192609663
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZA6156
31329PZV8
263980.71000000
PA
USD
275835.63000000
0.000854335141
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 741372
3620AVT51
80270.52000000
PA
USD
89166.12000000
0.000276170811
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
4.50000000
N
N
N
N
N
N
Federal Home Loan Banks
2549001DPIFGXC1TOL40
FED HOME LN BANK
3130AEB25
2100000.00000000
PA
USD
2350250.70000000
0.007279341560
Long
DBT
USGSE
US
N
2
2028-06-09
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS7611
3138WHN57
3131369.63000000
PA
USD
3240117.40000000
0.010035491639
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91028
3128P7D91
3037.79000000
PA
USD
3338.48000000
0.000010340146
Long
ABS-MBS
USGSE
US
N
2
2027-02-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 585433
36201KLN4
15835.07000000
PA
USD
16935.19000000
0.000052452715
Long
ABS-MBS
USGA
US
N
2
2032-06-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE7536
31419JLS5
6363.27000000
PA
USD
7071.06000000
0.000021900923
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5264
36179TZ57
777707.10000000
PA
USD
831377.76000000
0.002574994523
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 675136
36295NBD8
55399.69000000
PA
USD
62458.77000000
0.000193451158
Long
ABS-MBS
USGA
US
N
2
2038-02-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE6038
3133N3V76
1593813.59000000
PA
USD
1696740.64000000
0.005255249858
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745418
31403DDX4
157634.51000000
PA
USD
179677.74000000
0.000556508988
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS7960
3138WHZ21
105680.98000000
PA
USD
117003.20000000
0.000362389534
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
4.50000000
N
N
N
N
N
N
Pacific Life Global Funding II
6354003EUPCHXTWUU869
PACIFIC LIFE GF
6944PL2B4
7924000.00000000
PA
USD
7849720.42000000
0.024312638685
Long
DBT
CORP
US
Y
2
2025-06-24
Fixed
1.20000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AV0950
3138XCBU5
261971.25000000
PA
USD
292487.52000000
0.000905910403
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
5.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAN0
10290000.00000000
PA
USD
11185590.15000000
0.034644700351
Long
DBT
CORP
JP
N
2
2027-01-11
Fixed
3.44600000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZX1
250000000.00000000
PA
USD
250039050.00000000
0.774436381751
Long
DBT
UST
US
N
2
2022-06-30
Fixed
0.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 774902
31404P3K5
107556.95000000
PA
USD
121990.09000000
0.000377835237
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2.5 5/21
01F022451
273000000.00000000
PA
USD
283813366.20000000
0.879044278934
Long
ABS-MBS
USGSE
US
N
2
2021-05-18
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL5863
3131XMQQ1
2149643.53000000
PA
USD
2351755.59000000
0.007284002598
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GFB0
10000000.00000000
PA
USD
10935230.00000000
0.033869269439
Long
DBT
CORP
US
N
2
2024-01-22
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4412
3140QB3W6
28179426.11000000
PA
USD
31873813.69000000
0.098721543481
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST
N/A
FORDF 2019-3 A1
34528QHA5
37695000.00000000
PA
USD
38698685.92000000
0.119859959084
Long
ABS-CBDO
CORP
US
N
2
2024-09-15
Fixed
2.23000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01956
3128LXE55
230562.65000000
PA
USD
268600.88000000
0.000831927227
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
6.00000000
N
N
N
N
N
N
Unilever Finance Netherlands BV
549300SWJ4YK4LLNT176
UNILEVER FINANCE
N/A
8000000.00000000
PA
9497292.96000000
0.029415602068
Long
DBT
CORP
NL
N
2
2023-02-14
Fixed
0.37500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAP1
60810000.00000000
PA
USD
64161239.10000000
0.198724150716
Long
DBT
CORP
US
N
2
2024-04-23
Variable
3.55900000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 705476
36296YXD9
89322.47000000
PA
USD
101811.87000000
0.000315338009
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AJ4994
3138AWRQ8
1866470.29000000
PA
USD
2099844.03000000
0.006503766563
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAR1
3500000.00000000
PA
USD
3784389.00000000
0.011721243239
Long
DBT
CORP
JP
N
2
2027-07-12
Fixed
3.36400000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210401
N/A
1.00000000
NC
-706.24000000
-0.00000218741
N/A
DFE
N/A
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
9203008.62000000
USD
7847107.00000000
EUR
2021-04-01
-706.24000000
N
N
N
Ginnie Mae I Pool
N/A
GN 658133
36294SEE3
829.32000000
PA
USD
970.96000000
0.000003007317
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4005
36179SNW3
185946.10000000
PA
USD
203393.05000000
0.000629961510
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4636
36202FEH5
14169.09000000
PA
USD
16077.80000000
0.000049797154
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB9051
31417GBV7
219353.76000000
PA
USD
236073.82000000
0.000731182409
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13694
3128MCKF1
22267.08000000
PA
USD
23504.87000000
0.000072800734
Long
ABS-MBS
USGSE
US
N
2
2024-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 971074
31414NJT2
23835.42000000
PA
USD
24571.79000000
0.000076105264
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS3293
3138WCUT8
1060638.99000000
PA
USD
1167713.47000000
0.003616714247
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 616635
36290TBC2
2258.73000000
PA
USD
2647.67000000
0.000008200526
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 255499
31371LX46
66376.31000000
PA
USD
78338.56000000
0.000242635024
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
6.00000000
N
N
N
N
N
N
Automatic Data Processing Inc
HGBOLILQXWER4SAL2I23
AUTOMATIC DATA
053015AF0
20000000.00000000
PA
USD
18290420.00000000
0.056650217978
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
1.25000000
N
N
N
N
N
N
Federal Home Loan Banks
2549001DPIFGXC1TOL40
FED HOME LN BANK
313381FD2
8450000.00000000
PA
USD
9055518.55000000
0.028047311093
Long
DBT
USGSE
US
N
2
2027-12-10
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4746 ZN
3137FCYW8
10082578.32000000
PA
USD
10713041.94000000
0.033181094863
Long
ABS-MBS
USGSE
US
N
2
2047-12-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18228
3128MMHE6
688.98000000
PA
USD
708.15000000
0.000002193325
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2015-GC31
N/A
CGCMT 2015-GC31 A4
17323YAD1
620000.00000000
PA
USD
678943.40000000
0.002102865412
Long
ABS-MBS
CORP
US
N
2
2048-06-10
Fixed
3.76200000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 543737
36212UBE0
2073.63000000
PA
USD
2298.60000000
0.000007119365
Long
ABS-MBS
USGA
US
N
2
2030-12-15
Fixed
7.00000000
N
N
N
N
N
N
COMM 2015-LC19 Mortgage Trust
N/A
COMM 2015-LC19 A4
200474BC7
1195000.00000000
PA
USD
1280789.05000000
0.003966938914
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.18300000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO4133
3140JYSX5
7768321.29000000
PA
USD
8098883.56000000
0.025084362144
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28512
31307HN52
33598.12000000
PA
USD
36458.51000000
0.000112921547
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15972
3128PVT59
31878.43000000
PA
USD
34148.15000000
0.000105765758
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
3.50000000
N
N
N
N
N
N
Saudi Arabian Oil Co
5586006WD91QHB7J4X50
SAUDI ARAB OIL
80414L2G9
11000000.00000000
PA
USD
11082500.00000000
0.034325403175
Long
DBT
CORP
SA
Y
2
2023-11-24
Fixed
1.25000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US BANCORP
91159HHZ6
31180000.00000000
PA
USD
31526472.16000000
0.097645735852
Long
DBT
CORP
US
N
2
2025-05-12
Fixed
1.45000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 949037
31413LZA0
7289.47000000
PA
USD
8519.68000000
0.000026387678
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
0641593U8
14350000.00000000
PA
USD
14099348.55000000
0.043669372748
Long
DBT
CORP
CA
N
2
2026-03-02
Fixed
1.05000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807CR6
2550000.00000000
PA
USD
2744256.45000000
0.008499680492
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06954
3128M9BX9
1705.87000000
PA
USD
1962.96000000
0.000006079800
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 739708
3620ATYD3
1563.31000000
PA
USD
1757.75000000
0.000005444211
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-49 ZD
3136B2JD5
2201760.09000000
PA
USD
2303261.23000000
0.007133802872
Long
ABS-MBS
USGSE
US
N
2
2048-07-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD7342
31418VEQ1
198619.60000000
PA
USD
224362.69000000
0.000694909974
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB0284
31416VJ62
174375.89000000
PA
USD
202507.95000000
0.000627220124
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AA5821
36178DPE5
1368160.82000000
PA
USD
1493334.54000000
0.004625247927
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
3.00000000
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FCAT 2020-2 A
33844QAA1
3613902.24000000
PA
USD
3635174.75000000
0.011259087652
Long
ABS-CBDO
CORP
US
Y
2
2024-07-15
Fixed
1.49000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5529
36179UEA6
3495917.01000000
PA
USD
3793738.72000000
0.011750201768
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC FINANCIAL
693475AW5
11370000.00000000
PA
USD
12283613.61000000
0.038045566398
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
3.45000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_18-B
N/A
TAOT 2018-B A4
89238TAE3
10350000.00000000
PA
USD
10599480.54000000
0.032829365484
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
3.11000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_18-B
N/A
NAROT 2018-B A4
65479GAE9
6700000.00000000
PA
USD
6925320.33000000
0.021449529658
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
3.16000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G01391
31283HRL1
56665.12000000
PA
USD
64869.96000000
0.000200919244
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A79169
3128LDFJ8
47210.51000000
PA
USD
54662.21000000
0.000169303171
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO2884
3140JXF29
1747261.12000000
PA
USD
1849641.36000000
0.005728823407
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL0015
3138EGAR5
217596.63000000
PA
USD
249197.14000000
0.000771828766
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAM9
37330000.00000000
PA
USD
38426456.76000000
0.119016794123
Long
DBT
CORP
FR
Y
2
2022-07-20
Fixed
2.70000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PDP4
8345000.00000000
PA
USD
9367612.99000000
0.029013949259
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q36540
3132QTHS8
312698.30000000
PA
USD
334811.92000000
0.001037000148
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AD1612
36180CYH6
270471.20000000
PA
USD
278437.88000000
0.000862394991
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU3617
3138X3AT9
23631.64000000
PA
USD
24263.65000000
0.000075150874
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAY2
15235000.00000000
PA
USD
16469202.59000000
0.051009430983
Long
DBT
CORP
US
N
2
2024-12-05
Variable
4.02300000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHL6
33950000.00000000
PA
USD
36244646.55000000
0.112259156847
Long
DBT
CORP
US
N
2
2024-07-23
Variable
3.86400000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 544464
36212UZ53
27782.20000000
PA
USD
32965.43000000
0.000102102564
Long
ABS-MBS
USGA
US
N
2
2031-04-15
Fixed
7.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 609089
36202TUN4
252.53000000
PA
USD
289.54000000
0.000000896781
Long
ABS-MBS
USGA
US
N
2
2038-05-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD0450
31418MQC9
253106.59000000
PA
USD
282394.84000000
0.000874650732
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 701510
36296UKX7
57079.19000000
PA
USD
64376.54000000
0.000199390993
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
6.00000000
N
N
N
N
N
N
ERP Operating LP
DX5HQV5MLU50FEWZ5072
ERP OPERATING LP
26884ABK8
11480000.00000000
PA
USD
12885186.44000000
0.039908794905
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
4.15000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
INTEL CORP
458140AU4
3615000.00000000
PA
USD
3829163.45000000
0.011859921429
Long
DBT
CORP
US
N
2
2026-05-19
Fixed
2.60000000
N
N
N
N
N
N
FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_20-2
N/A
FORDF 2020-2 A
34528QHQ0
13150000.00000000
PA
USD
13065840.00000000
0.040468326264
Long
ABS-CBDO
CORP
US
N
2
2027-09-15
Fixed
1.06000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T65532
31323AED0
946453.90000000
PA
USD
981281.79000000
0.003039286539
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU5706
3138X5KU0
3321002.59000000
PA
USD
3610747.11000000
0.011183428857
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.50000000
N
N
N
N
N
N
Qatar Government International Bond
N/A
QATAR STATE OF
BH6207386
9195000.00000000
PA
USD
9993677.70000000
0.030953035529
Long
DBT
NUSS
QA
N
2
2025-04-16
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD1460
3140F8TS6
1755023.66000000
PA
USD
1842418.22000000
0.005706451452
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBK1
39500000.00000000
PA
USD
40448158.00000000
0.125278532013
Long
DBT
CORP
US
N
2
2026-04-22
Variable
2.08300000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550BL1
16745000.00000000
PA
USD
18460927.13000000
0.057178323187
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_19-1A
N/A
CFII 2019-1A A1
165183BY9
13425093.19000000
PA
USD
13600398.06000000
0.042123992488
Long
ABS-CBDO
CORP
US
Y
2
2031-04-15
Fixed
2.94000000
N
N
N
N
N
N
Oncor Electric Delivery Co LLC
549300SP2X2BS1KERD24
ONCOR ELECTRIC D
68233JAZ7
6350000.00000000
PA
USD
6745966.95000000
0.020894025297
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.95000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AA5647
36178DHY0
1629808.04000000
PA
USD
1780086.45000000
0.005513393646
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA0522
3140Q7SL2
7585996.21000000
PA
USD
7880095.42000000
0.024406718010
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 257238
31371NV77
30572.73000000
PA
USD
34108.55000000
0.000105643106
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08179
3128MJFV7
89317.15000000
PA
USD
102214.55000000
0.000316585214
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4853
36202FMA1
3232.79000000
PA
USD
3588.86000000
0.000011115638
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
4.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2019-23 ME
38381RWP0
10623222.00000000
PA
USD
11507499.00000000
0.035641736315
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BM4124
3617JUSM4
11495980.29000000
PA
USD
12129267.40000000
0.037567515788
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4620
36202FDZ6
6293.40000000
PA
USD
6933.51000000
0.000021474895
Long
ABS-MBS
USGA
US
N
2
2040-01-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6395
3138WGC93
1400340.64000000
PA
USD
1498864.27000000
0.004642374949
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6304
3138WGAE4
1036225.91000000
PA
USD
1139904.87000000
0.003530583735
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_20-2
N/A
EFF 2020-2 A2
29375MAB3
10590000.00000000
PA
USD
10611364.27000000
0.032866172506
Long
ABS-CBDO
CORP
US
Y
2
2026-07-20
Fixed
0.61000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-LC14
549300QGM7D5K3CV2643
WFRBS 2014-LC14 A4
96221TAD9
2470714.97000000
PA
USD
2640131.90000000
0.008177179508
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Fixed
3.76600000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 784188
3622A2UM2
8191790.81000000
PA
USD
9101616.97000000
0.028190089965
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6
N/A
JPMCC 2012-C6 A3
46634SAC9
313738.71000000
PA
USD
321280.99000000
0.000995091316
Long
ABS-MBS
CORP
US
N
2
2045-05-15
Fixed
3.50740000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4004
36179SNV5
919615.29000000
PA
USD
978013.71000000
0.003029164440
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4883
36202FM86
380125.77000000
PA
USD
422574.79000000
0.001308824727
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q34714
3132QRGY0
97175.78000000
PA
USD
103133.51000000
0.000319431474
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967KY6
3310000.00000000
PA
USD
3551702.82000000
0.011000553237
Long
DBT
CORP
US
N
2
2026-10-21
Fixed
3.20000000
N
N
N
N
N
N
Mastercard Inc
AR5L2ODV9HN37376R084
MASTERCARD INC
57636QAN4
14133000.00000000
PA
USD
14697797.08000000
0.045522924480
Long
DBT
CORP
US
N
2
2025-03-03
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 190312
31368HKZ5
2731.76000000
PA
USD
3215.69000000
0.000009959833
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
6.50000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BU7
22800000.00000000
PA
USD
21849513.60000000
0.067673662395
Long
DBT
CORP
JP
N
2
2030-07-17
Fixed
2.04800000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q39218
3132QWG45
3861498.21000000
PA
USD
4183089.96000000
0.012956124466
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_17-4
N/A
CARMX 2017-4 A4
14314RAD4
2470000.00000000
PA
USD
2495485.71000000
0.007729172399
Long
ABS-CBDO
CORP
US
N
2
2023-05-15
Fixed
2.33000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_17-B
N/A
FORDO 2017-B A4
34531HAE9
3055604.14000000
PA
USD
3057322.00000000
0.009469326441
Long
ABS-CBDO
CORP
US
N
2
2022-09-15
Fixed
1.87000000
N
N
N
N
N
N
VOLVO FINANCIAL EQUIPMENT LLC VFET_20-1
N/A
VFET 2020-1A A4
92888EAD5
2300000.00000000
PA
USD
2318358.14000000
0.007180561954
Long
ABS-CBDO
CORP
US
Y
2
2028-03-15
Fixed
0.60000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET CRP
857477BN2
11280000.00000000
PA
USD
11943884.40000000
0.036993336116
Long
DBT
CORP
US
N
2
2031-03-30
Variable
3.15200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 888129
31410FVW2
264115.85000000
PA
USD
303020.64000000
0.000938534233
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.50000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-2
N/A
HAROT 2019-2 A3
43815MAC0
11281425.20000000
PA
USD
11449401.11000000
0.035461791943
Long
ABS-CBDO
CORP
US
N
2
2023-06-21
Fixed
2.52000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2017-109 A
3136B0QY5
8876348.80000000
PA
USD
9243474.59000000
0.028629460143
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Fixed
3.50000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_17-C
N/A
NAROT 2017-C A4
65478HAE8
22360000.00000000
PA
USD
22546764.14000000
0.069833229812
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
2.28000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO4111
3140JYR99
778354.92000000
PA
USD
811476.10000000
0.002513353873
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 594411
36201VKY7
13039.07000000
PA
USD
13088.45000000
0.000040538355
Long
ABS-MBS
USGA
US
N
2
2032-09-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q38356
3132QVJA0
1557404.00000000
PA
USD
1716364.80000000
0.005316031017
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
Abu Dhabi Government International Bond
N/A
ABU DHABI GOVT
N/A
1516000.00000000
PA
USD
1522374.78000000
0.004715193152
Long
DBT
NUSS
AE
N
2
2023-09-02
Fixed
0.75000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5205
36202FYA8
48650.95000000
PA
USD
55012.43000000
0.000170387894
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC1171
3140EVJR9
679720.43000000
PA
USD
725589.80000000
0.002247341522
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBE0
500000000.00000000
PA
USD
497421900.00000000
1.540645816883
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.12500000
N
N
N
N
N
N
BANK 2017-BNK6
N/A
BANK 2017-BNK6 AS
060352AJ0
440000.00000000
PA
USD
477202.00000000
0.001478019494
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Fixed
3.74100000
N
N
N
N
N
N
NTT Finance Corp
3538007PR116187GD960
NTT FINANCE
62954WAB1
8785000.00000000
PA
USD
8740275.57000000
0.027070921073
Long
DBT
CORP
JP
Y
2
2024-03-01
Fixed
0.58300000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 702044
36296U5D8
19701.43000000
PA
USD
22483.49000000
0.000069637253
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
4.50000000
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST NALT_20-B
N/A
NALT 2020-B A4
65480EAE1
3420000.00000000
PA
USD
3427218.94000000
0.010614994079
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
0.49000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PCP5
1925000.00000000
PA
USD
2128116.38000000
0.006591333430
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783904
3622A2KR2
74151.41000000
PA
USD
85027.91000000
0.000263353692
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
5.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BX6
10050000.00000000
PA
USD
11118284.85000000
0.034436238221
Long
DBT
CORP
GB
N
2
2026-09-12
Variable
4.29200000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 784329
3622A2Y22
5017158.08000000
PA
USD
5359578.12000000
0.016600016225
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 967003
31414HX85
8054.96000000
PA
USD
8293.45000000
0.000025686985
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A53213
3128KFSA9
149487.81000000
PA
USD
173490.87000000
0.000537346632
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 677101
36295QGJ3
8097.10000000
PA
USD
9075.14000000
0.000028108083
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE1743
31419B5D3
17528.74000000
PA
USD
18556.48000000
0.000057474275
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
3.50000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2020-A A3
44891LAC7
14260000.00000000
PA
USD
14499344.12000000
0.044908263721
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
1.41000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q01855
3132GFBY2
726403.43000000
PA
USD
809234.78000000
0.002506411918
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-A
N/A
SOFI 2017-A A2B
83404FAC8
31294.09000000
PA
USD
31641.28000000
0.000098001325
Long
ABS-CBDO
CORP
US
Y
2
2040-03-26
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC9802
31417W3L3
87416.66000000
PA
USD
98206.02000000
0.000304169747
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB3301
31416YU30
3578.35000000
PA
USD
3792.83000000
0.000011747387
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698399
36296Q3G2
16373.46000000
PA
USD
18411.44000000
0.000057025048
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
4.50000000
N
N
N
N
N
N
Development Bank of Japan Inc
5493001HGBABMWFZUI25
DEV BANK JAPAN
N/A
8500000.00000000
PA
USD
9113003.85000000
0.028225358113
Long
DBT
NUSS
JP
N
2
2025-09-16
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J15719
3128PVK82
206461.96000000
PA
USD
222672.86000000
0.000689676128
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807DF1
3300000.00000000
PA
USD
3267633.60000000
0.010120716512
Long
DBT
CORP
US
N
2
2029-09-13
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13072
3128MBT56
161.70000000
PA
USD
171.22000000
0.000000530313
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 720059
3620A55U9
94012.11000000
PA
USD
103139.76000000
0.000319450831
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G04645
3128M6P69
53993.31000000
PA
USD
61588.95000000
0.000190757098
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
DAIMLER TRUCKS RETAIL TRUST DTRT_19-1
N/A
DTRT 2019-1 A4
233871AD4
7420000.00000000
PA
USD
7572132.26000000
0.023452875499
Long
ABS-CBDO
CORP
US
Y
2
2025-05-15
Fixed
2.79000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHX0
37816000.00000000
PA
USD
38927034.08000000
0.120567213102
Long
DBT
CORP
US
N
2
2030-10-22
Variable
2.88400000
N
N
N
N
N
N
WOLS_20-A
N/A
WOLS 2020-A A4
98162HAD2
9400000.00000000
PA
USD
9613028.44000000
0.029774065142
Long
ABS-CBDO
CORP
US
N
2
2025-06-16
Fixed
1.79000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2303
36179QRY9
3775115.19240000
PA
USD
4073933.30000000
0.012618037719
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
3.50000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST_20-A
N/A
SRT 2020-A A4
80286KAD4
1490000.00000000
PA
USD
1523570.45000000
0.004718896454
Long
ABS-CBDO
CORP
US
Y
2
2024-03-20
Fixed
1.76000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RAB
74977RDE1
10635000.00000000
PA
USD
11460616.32000000
0.035496528384
Long
DBT
CORP
NL
Y
2
2023-09-26
Fixed
3.87500000
N
N
N
N
N
N
Prudential PLC
5493001Z3ZE83NGK8Y12
PRUDENTIAL PLC
74435KAA3
3500000.00000000
PA
USD
3688706.00000000
0.011424887944
Long
DBT
CORP
GB
N
2
2030-04-14
Fixed
3.12500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723507
3620A9YC9
4224752.47000000
PA
USD
4809844.78000000
0.014897348187
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 932840
31412RLV7
285321.05000000
PA
USD
302365.25000000
0.000936504318
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
Virginia Electric and Power Co
CQKUMNNZVDJLRYV2PT43
VIRGINIA EL&PWR
927804FK5
2040000.00000000
PA
USD
2067305.40000000
0.006402985909
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C90987
3128P7CY7
19922.49000000
PA
USD
22042.37000000
0.000068270989
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03721
3128M5PE4
405073.56000000
PA
USD
465340.40000000
0.001441281014
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE
05578AAP3
13385000.00000000
PA
USD
13058620.16000000
0.040445964529
Long
DBT
CORP
FR
Y
2
2026-01-20
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT3341
3138WQWB4
1122078.99000000
PA
USD
1219547.48000000
0.003777257743
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD0567
31418MTZ5
139637.40000000
PA
USD
163196.98000000
0.000505463761
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
6.50000000
N
N
N
N
N
N
Health Care Service Corp A Mutual Legal Reserve Co
549300TMJ1FKCKECR148
HEALTH CARE SVCS
42218SAF5
8000000.00000000
PA
USD
7880432.00000000
0.024407760486
Long
DBT
CORP
US
Y
2
2030-06-01
Fixed
2.20000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 3441
36202DZE4
1955.08000000
PA
USD
2100.64000000
0.000006506231
Long
ABS-MBS
USGA
US
N
2
2033-09-20
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210430
N/A
1.00000000
NC
1177436.74000000
0.003646829759
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
117230924.00000000
EUR
138725448.38000000
USD
2021-04-30
1177436.74000000
N
N
N
Ginnie Mae I Pool
N/A
GN 745243
3620C05C8
604979.63000000
PA
USD
660139.62000000
0.002044625184
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
4.00000000
N
N
N
N
N
N
BANK 2019-BNK20
N/A
BANK 2019-BN20 A3
06540AAD3
7180000.00000000
PA
USD
7556662.80000000
0.023404962532
Long
ABS-MBS
CORP
US
N
2
2062-09-15
Fixed
3.01100000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A71813
3128L5AN1
131401.56000000
PA
USD
152350.96000000
0.000471870798
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 711594
36297GRP7
19228.69000000
PA
USD
21578.65000000
0.000066834726
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG E02926
31294MHB0
43859.54000000
PA
USD
46810.51000000
0.000144984401
Long
ABS-MBS
USGSE
US
N
2
2026-07-01
Fixed
4.00000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AP9
11599000.00000000
PA
USD
11934477.88000000
0.036964201661
Long
DBT
CORP
JP
N
2
2022-07-25
Fixed
2.66500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G60707
31335AYC6
52062537.60000000
PA
USD
55273171.82000000
0.171195480034
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Slovakia Government International Bond
N/A
SLOVAK REPUBLIC
831588AB4
2500000.00000000
PA
USD
2609075.00000000
0.008080988160
Long
DBT
NUSS
SK
Y
2
2022-05-21
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH6067
3138A7W53
114566.31000000
PA
USD
121690.98000000
0.000376908815
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 701895
36296UXY1
45382.14000000
PA
USD
50353.79000000
0.000155958866
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 912488
31411NXR3
50.87000000
PA
USD
51.53000000
0.000000159601
Long
ABS-MBS
USGSE
US
N
2
2022-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA6024
3133A0VR2
22619681.16000000
PA
USD
23564697.51000000
0.072986035888
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G04243
3128M6BL1
654495.75000000
PA
USD
738345.88000000
0.002286850441
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4928
36202FPM2
17841.67000000
PA
USD
20525.59000000
0.000063573124
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C48005
31298G3N8
22279.60000000
PA
USD
22838.74000000
0.000070737555
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 771561
36176N5W7
128706.46000000
PA
USD
140829.45000000
0.000436185666
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
4.00000000
N
N
N
N
N
N
SECURITIZED TERM AUTO RECEIVABLES TRUST SSTRT_18-2A
N/A
SSTRT 2018-2A A4
81378TAE0
5000000.00000000
PA
USD
5091155.50000000
0.015768641115
Long
ABS-CBDO
CORP
CA
Y
2
2023-06-26
Fixed
3.54400000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING AESOP_17-1
N/A
AESOP 2017-1A A
05377RCQ5
2745000.00000000
PA
USD
2831267.39000000
0.008769176147
Long
ABS-CBDO
CORP
US
Y
2
2023-09-20
Fixed
3.07000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_20-B
N/A
HALST 2020-B A3
44891PAC8
14830000.00000000
PA
USD
14871986.70000000
0.046062435325
Long
ABS-CBDO
CORP
US
Y
2
2023-09-15
Fixed
0.51000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH5968
3138A7T24
2023.13000000
PA
USD
2153.06000000
0.000006668590
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 256713
31371NDS1
3983.75000000
PA
USD
4461.11000000
0.000013817225
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Fixed
5.00000000
N
N
N
N
N
N
John Deere Capital Corp
E0KSF7PFQ210NWI8Z391
JOHN DEERE CAP
24422ETT6
9000000.00000000
PA
USD
9568935.00000000
0.029637496217
Long
DBT
CORP
US
N
2
2024-06-24
Fixed
2.65000000
N
N
N
N
N
N
NISSAN AUTO LEASE TRUST NALT_20-B
N/A
NALT 2020-B A3
65480EAD3
14820000.00000000
PA
USD
14842553.08000000
0.045971271700
Long
ABS-CBDO
CORP
US
N
2
2023-10-16
Fixed
0.43000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J26553
31307FH61
7839.88000000
PA
USD
8052.05000000
0.000024939306
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ7636
3617LSPV9
950650.63000000
PA
USD
991530.22000000
0.003071028609
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833DB3
19825000.00000000
PA
USD
21292664.58000000
0.065948955233
Long
DBT
CORP
US
N
2
2027-09-12
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08877
3128MJ6P0
13980738.70000000
PA
USD
14990497.55000000
0.046429494446
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL9744
3138ERZJ2
6339279.38000000
PA
USD
6746609.78000000
0.020896016310
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
3.00000000
N
N
N
N
N
N
Precision Castparts Corp
0XOOAY5P5J7Q734SEC89
PRECISION CAST
740189AG0
10440000.00000000
PA
USD
10777713.12000000
0.033381398434
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G02794
3128M4NK5
93545.35000000
PA
USD
108531.27000000
0.000336149749
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6083
36179UXL1
6097697.12000000
PA
USD
6432515.57000000
0.019923184332
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 615136
31388ULR9
302853.89000000
PA
USD
354811.75000000
0.001098944856
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 888336
31410F4V4
426842.93000000
PA
USD
487238.90000000
0.001509106400
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 712282
31401MJ36
2759.67000000
PA
USD
2769.76000000
0.000008578671
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Floating
2.71000000
N
N
N
N
N
N
Cummins Inc
ZUNI8PYC725B6H8JU438
CUMMINS INC
231021AU0
8000000.00000000
PA
USD
7868400.00000000
0.024370494233
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18380
3128MMM67
7235.82000000
PA
USD
7688.06000000
0.000023811934
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
3.50000000
N
N
N
N
N
N
Sanofi
549300E9PC51EN656011
SANOFI
AX6646951
8000000.00000000
PA
9413401.75000000
0.029155769033
Long
DBT
CORP
FR
N
2
2022-03-21
None
0.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL7671
3138EQQZ8
161169.03000000
PA
USD
187046.86000000
0.000579333082
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
6.00000000
N
N
N
N
N
N
UBS AG/London
BFM8T61CT2L1QCEMIK50
UBS AG LONDON
902674YB0
15000000.00000000
PA
USD
14940645.00000000
0.046275088050
Long
DBT
CORP
CH
Y
2
2024-02-09
Fixed
0.45000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8320
3138WJG69
275850.75000000
PA
USD
289489.00000000
0.000896623202
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C19
549300FCX3YXSYSLU895
WFRBS 2014-C19 A4
92938VAP0
1640000.00000000
PA
USD
1751044.40000000
0.005423442815
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Fixed
3.82900000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18343
3128MMLZ4
16178.77000000
PA
USD
17171.06000000
0.000053183267
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 670876
36295HJV3
80328.27000000
PA
USD
92153.50000000
0.000285423509
Long
ABS-MBS
USGA
US
N
2
2038-04-15
Fixed
5.00000000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_20-1
N/A
CFII 2020-1A A1
165183CJ1
9219149.60000000
PA
USD
9265072.03000000
0.028696353067
Long
ABS-CBDO
CORP
US
Y
2
2032-08-16
Fixed
0.87000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 865804
31409A3M9
2970.81000000
PA
USD
3538.16000000
0.000010958607
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
US 10yr Ultra Fut Jun21
N/A
-3088.00000000
NC
USD
-443707000.00000000
-1.37427671252
N/A
DIR
N/A
N
1
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
Short
N/A
Ultra 10-Year US Treasury Note Futures
2021-06-21
-453084657.50000000
USD
9377657.50000000
N
N
N
Ginnie Mae I Pool
N/A
GN AL5247
36184BZL4
711559.30000000
PA
USD
758938.62000000
0.002350631546
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
3.50000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816BW8
35905000.00000000
PA
USD
38403054.47000000
0.118944311106
Long
DBT
CORP
US
N
2
2023-08-03
Fixed
3.70000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 768143
36176KEQ6
26013.47000000
PA
USD
28349.61000000
0.000087806162
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL7017
3131XNYN7
1113717.66000000
PA
USD
1218606.92000000
0.003774344582
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.50000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122DC9
11229000.00000000
PA
USD
12430615.29000000
0.038500869076
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08669
3128MJW71
454775.55000000
PA
USD
500416.87000000
0.001549922022
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB4987
31417BRH2
1398860.50000000
PA
USD
1500406.30000000
0.004647151019
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
3.50000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
INTEL CORP
458140BH2
21350000.00000000
PA
USD
21721532.70000000
0.067277272051
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
2.45000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM2485
3140X5XP3
90812881.66000000
PA
USD
107817993.33000000
0.333940545055
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
5.50000000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406RAL1
2500000.00000000
PA
USD
2632240.00000000
0.008152736228
Long
DBT
CORP
US
N
2
2024-10-24
Fixed
2.10000000
N
N
N
N
N
N
US Bank NA/Cincinnati OH
6BYL5QZYBDK8S7L73M02
US BANK NA OHIO
90331HMS9
3900000.00000000
PA
USD
4156152.00000000
0.012872690553
Long
DBT
CORP
US
N
2
2025-01-27
Fixed
2.80000000
N
N
N
N
N
N
GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_19-2
N/A
GMCAR 2019-2 A3
36257FAD2
19191691.02000000
PA
USD
19460303.69000000
0.060273653965
Long
ABS-CBDO
CORP
US
N
2
2024-02-16
Fixed
2.65000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AP4904
36188SNV4
653227.52000000
PA
USD
689987.25000000
0.002137071106
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AQ0562
36189MTT5
26062.83000000
PA
USD
28121.95000000
0.000087101039
Long
ABS-MBS
USGA
US
N
2
2046-12-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BK1993
3140HFGB9
134950.53000000
PA
USD
147070.19000000
0.000455514871
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2016-BNK1
549300DNBJ7A0SEFVK31
WFCM 2016-BNK1 A3
95000GAY0
300000.00000000
PA
USD
315648.00000000
0.000977644472
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
2.65200000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP CAPITAL PLC
05565QDN5
7530000.00000000
PA
USD
8116617.12000000
0.025139287621
Long
DBT
CORP
GB
N
2
2027-09-19
Fixed
3.27900000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G13888
3128MCRH0
6297.09000000
PA
USD
6591.05000000
0.000020414206
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
5.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
09659W2L7
7620000.00000000
PA
USD
7791282.36000000
0.024131640718
Long
DBT
CORP
FR
Y
2
2026-06-09
Variable
2.21900000
N
N
N
N
N
N
Korea East-West Power Co Ltd
549300VDRGYGX9NBTB52
KOREA E-W POWER
5006EPAK7
15000000.00000000
PA
USD
15231930.00000000
0.047177273934
Long
DBT
CORP
KR
Y
2
2025-05-06
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2018-58 B
3136B2XU1
15838165.39000000
PA
USD
16145584.18000000
0.050007100065
Long
ABS-MBS
USGSE
US
N
2
2048-08-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q50790
3132XS2Y5
22684105.33000000
PA
USD
24207903.30000000
0.074978212568
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
Temasek Financial I Ltd
549300XMGMDF3VRJMF12
TEMASEK FINL I
87973PAC8
2000000.00000000
PA
USD
2065000.00000000
0.006395845482
Long
DBT
CORP
SG
Y
2
2023-01-23
Fixed
2.37500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG V81296
3132L6NM9
154386.96000000
PA
USD
168560.52000000
0.000522076048
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 501021
36210SSJ8
4289.28000000
PA
USD
4285.98000000
0.000013274801
Long
ABS-MBS
USGA
US
N
2
2031-05-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL5520
3131XMDZ5
1789473.01000000
PA
USD
1957871.90000000
0.006064041717
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G03771
3128M5QY9
148704.95000000
PA
USD
176356.10000000
0.000546221000
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833CU2
7045000.00000000
PA
USD
7503467.47000000
0.023240202672
Long
DBT
CORP
US
N
2
2024-05-11
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD9746
31418XZL5
164431.32000000
PA
USD
173381.12000000
0.000537006708
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
Rio Tinto Finance USA Ltd
213800RX94ZKEZXPKH58
RIO TINTO FINANC
767201AS5
7025000.00000000
PA
USD
7700559.13000000
0.023850647129
Long
DBT
CORP
AU
N
2
2025-06-15
Fixed
3.75000000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550BG2
3754000.00000000
PA
USD
4100865.85000000
0.012701454876
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 892544
31410NS90
140.82000000
PA
USD
142.38000000
0.000000440988
Long
ABS-MBS
USGSE
US
N
2
2021-09-01
Fixed
5.50000000
N
N
N
N
N
N
Benchmark 2020-B16 Mortgage Trust
N/A
BMARK 2020-B16 A5
08161NAF4
3320000.00000000
PA
USD
3423285.20000000
0.010602810257
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.73200000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AJ3
1807000.00000000
PA
USD
1909547.25000000
0.005914367628
Long
DBT
CORP
JP
N
2
2026-09-13
Fixed
2.75700000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_17-3
N/A
CARMX 2017-3 A4
14314WAE1
9177143.30000000
PA
USD
9226609.02000000
0.028577223058
Long
ABS-CBDO
CORP
US
N
2
2022-11-15
Fixed
2.22000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8282
3138WJFY9
468361.90000000
PA
USD
499969.72000000
0.001548537082
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723541
3620A9ZE4
11486.57000000
PA
USD
13185.09000000
0.000040837674
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
5.00000000
N
N
N
N
N
N
MidAmerican Energy Co
NINLOILYRTLIMK26MZ18
MIDAMERICAN ENER
595620AT2
2010000.00000000
PA
USD
2224432.83000000
0.006889650685
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.65000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 610288
36202U6Z1
283209.39000000
PA
USD
323396.80000000
0.001001644533
Long
ABS-MBS
USGA
US
N
2
2033-06-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A64440
3128KU4Z7
2788.30000000
PA
USD
3235.51000000
0.000010021221
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
BlackRock Inc
549300LRIF3NWCU26A80
BLACKROCK INC
09247XAP6
3750000.00000000
PA
USD
4056150.00000000
0.012562958185
Long
DBT
CORP
US
N
2
2029-04-30
Fixed
3.25000000
N
N
N
N
N
N
Palisades Center Trust 2016-PLSD
N/A
PCT 2016-PLSD A
69640GAA3
1250000.00000000
PA
USD
1150400.00000000
0.003563089899
Long
ABS-MBS
CORP
US
Y
2
2033-04-13
Fixed
2.71300000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AV1092
3138XCGA4
1199457.22000000
PA
USD
1270175.54000000
0.003934066096
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06602
3128M8U36
726340.63000000
PA
USD
821822.68000000
0.002545399939
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE1000
31419BDE2
20009.94000000
PA
USD
23082.57000000
0.000071492760
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
085209AC8
3206000.00000000
PA
USD
3510012.16000000
0.010871426351
Long
DBT
NUSS
BM
Y
2
2024-02-06
Fixed
4.85400000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A71518
3128L4VK7
50781.93000000
PA
USD
58050.33000000
0.000179797065
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C70217
31287XG26
20323.60000000
PA
USD
22751.84000000
0.000070468403
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2015-GC28
5493002EPQ51IPGGFX73
GSMS 2015-GC28 A4
36251FAV8
87220.29000000
PA
USD
92153.47000000
0.000285423416
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.13600000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL0160
3138EGFA7
668697.50000000
PA
USD
743720.75000000
0.002303497820
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3456
36179RZV4
285167.04000000
PA
USD
316947.22000000
0.000981668496
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
4.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2018-97 DJ
38380XH42
27187285.32000000
PA
USD
28615705.29000000
0.088630329006
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL5215
3138EMYM7
856807.87000000
PA
USD
1017910.11000000
0.003152734033
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C56546
31298THX3
1281.43000000
PA
USD
1444.64000000
0.000004474428
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA4012
3140QBN61
20785783.67000000
PA
USD
21877798.07000000
0.067761266802
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD7726
31418VSQ6
1723.49000000
PA
USD
1832.15000000
0.000005674648
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI4815
3138AJK50
3213.34000000
PA
USD
3587.61000000
0.000011111767
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAX4
37465000.00000000
PA
USD
42875395.58000000
0.132796322091
Long
DBT
CORP
US
N
2
2029-12-05
Variable
4.45200000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20210401
N/A
1.00000000
NC
-21.38000000
-0.00000006621
N/A
DFE
N/A
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
255891.62000000
USD
218189.00000000
EUR
2021-04-01
-21.38000000
N
N
N
Fannie Mae Pool
N/A
FN 745355
31403DBY4
24818.70000000
PA
USD
28349.62000000
0.000087806193
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
5.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAQ3
9575000.00000000
PA
USD
9857510.38000000
0.030531289699
Long
DBT
CORP
JP
N
2
2022-07-12
Fixed
2.78400000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL9337
36184HLS1
121021.75000000
PA
USD
125787.93000000
0.000389598142
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB2518
31416XYQ7
2611.72000000
PA
USD
2778.06000000
0.000008604378
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05900
3128M73H7
1399.09000000
PA
USD
1626.72000000
0.000005038377
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6181
3138WF2P0
93257.43000000
PA
USD
98206.59000000
0.000304171513
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AV8738
3138XLV82
14662.11000000
PA
USD
16653.88000000
0.000051581425
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
5.00000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833DF4
9240000.00000000
PA
USD
9847548.48000000
0.030500435087
Long
DBT
CORP
US
N
2
2025-01-13
Fixed
2.75000000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_19-MT3
N/A
DLL 2019-MT3 A4
23291RAD2
10200000.00000000
PA
USD
10438030.26000000
0.032329311710
Long
ABS-CBDO
CORP
US
Y
2
2026-09-21
Fixed
2.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM4121
3140J8SK0
2282532.37000000
PA
USD
2396068.73000000
0.007421251991
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q51190
3132XTKC1
4465481.61000000
PA
USD
4844637.62000000
0.015005110719
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BO8296
3140K4GE4
23133028.78000000
PA
USD
24117392.36000000
0.074697876497
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08410
3128MJN48
17181.35000000
PA
USD
19074.06000000
0.000059077356
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12374
3128PRT74
1670.25000000
PA
USD
1765.25000000
0.000005467441
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28524
31307HPH4
221018.61000000
PA
USD
238690.15000000
0.000739285868
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4710 WZ
3137FAD21
19687943.71000000
PA
USD
20982032.25000000
0.064986845604
Long
ABS-MBS
USGSE
US
N
2
2047-08-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7369
3133JLFJ3
11089486.63000000
PA
USD
11626442.90000000
0.036010136705
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 778421
36176WSJ1
143851.06000000
PA
USD
157617.74000000
0.000488183394
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 783449
36241LZN9
20306.18000000
PA
USD
23078.41000000
0.000071479876
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 871111
31409GYG5
30931.94000000
PA
USD
36259.93000000
0.000112306493
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH9914
3138ACAQ0
185097.01000000
PA
USD
196012.22000000
0.000607101148
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA1275
31418AMZ8
4349964.65000000
PA
USD
4606583.42000000
0.014267794554
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.000000 16-JUN-2023
N/A
113155000.00000000
NC
USD
362942.29000000
0.001124127266
N/A
DIR
N/A
N
1
MERRILL LYNCH & CO INC
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2023-06-16
0.00000000
USD
333416.61000000
USD
113155000.00000000
USD
29525.68000000
N
N
N
Fannie Mae Pool
N/A
FN AS4793
3138WEKF5
1680122.69000000
PA
USD
1815534.87000000
0.005623186680
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q62935
3132VPHM3
2189724.52000000
PA
USD
2362751.95000000
0.007318061203
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
TD Ameritrade Holding Corp
ZI85ER3E6RXD4HPHW309
TD AMERITRADE
87236YAD0
3670000.00000000
PA
USD
3994828.03000000
0.012373027994
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.62500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3245
36179RTA7
573366.22000000
PA
USD
629072.25000000
0.001948401408
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM4680
3140X8FW2
74499991.16520000
PA
USD
78648672.17000000
0.243595522799
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2019-C7
N/A
CGCMT 2019-C7 A4
17328CAD4
20500000.00000000
PA
USD
21719750.00000000
0.067271750562
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
3.10200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 357444
31376KBM7
75554.50000000
PA
USD
84887.28000000
0.000262918124
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G16177
3128MFCN6
554123.34000000
PA
USD
568911.84000000
0.001762068872
Long
ABS-MBS
USGSE
US
N
2
2032-01-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD0166
3140F7FG9
88731.84000000
PA
USD
91813.15000000
0.000284369356
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T65527
31323AD82
42907.43000000
PA
USD
45434.69000000
0.000140723126
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 253842
31371J5B6
32771.01000000
PA
USD
37731.58000000
0.000116864578
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
7.00000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
N/A
MSBAM 2015-C25 A4
61765TAE3
2500000.00000000
PA
USD
2690725.00000000
0.008333879581
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.37200000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J28633
31307HSW8
52026.68000000
PA
USD
55431.42000000
0.000171685616
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 942601
31413DU21
183367.23000000
PA
USD
211102.48000000
0.000653839633
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
6.00000000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
BB&T CORPORATION
05531FBH5
76382000.00000000
PA
USD
80432690.22000000
0.249121093639
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 713007
36297JDL5
102039.68000000
PA
USD
117851.80000000
0.000365017870
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A73060
3128L6MH9
48796.98000000
PA
USD
56881.07000000
0.000176175561
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 434462
36207KTT7
904.64000000
PA
USD
1016.31000000
0.000003147778
Long
ABS-MBS
USGA
US
N
2
2029-07-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 988024
31415SSM5
18310.95000000
PA
USD
19111.86000000
0.000059194432
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZF0
100000000.00000000
PA
USD
99343750.00000000
0.307693595459
Long
DBT
UST
US
N
2
2025-03-31
Fixed
0.50000000
N
N
N
N
N
N
GOLDEN CREDIT CARD TRUST GCCT_18-4A
N/A
GCCT 2018-4A A
380881ER9
25470000.00000000
PA
USD
27214116.83000000
0.084289242701
Long
ABS-CBDO
CORP
CA
Y
2
2025-08-15
Fixed
3.44000000
N
N
N
N
N
N
Japan Bank for International Cooperation
549300TJ3QFYVCTSCJ29
JAPAN BANK COOP
471048BY3
20000000.00000000
PA
USD
21183840.00000000
0.065611897026
Long
DBT
NUSS
JP
N
2
2024-05-23
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 891440
31410MLV0
171539.14000000
PA
USD
200299.87000000
0.000620381122
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
6.50000000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE ELECTRIC CO
23338VAM8
9170000.00000000
PA
USD
9395609.51000000
0.029100661809
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 952423
31413QSL3
43952.24000000
PA
USD
49805.91000000
0.000154261939
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A69654
3128L1WP1
13297.26000000
PA
USD
15236.63000000
0.000047191831
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5931
36179USU7
5132143.90000000
PA
USD
5477018.32000000
0.016963759262
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08659
3128MJWV8
338671.11000000
PA
USD
362621.76000000
0.001123134501
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AV5063
3138XGTV5
350863.96000000
PA
USD
370509.04000000
0.001147563471
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.00000000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE ELECTRIC CO
23338VAK2
11838000.00000000
PA
USD
11729054.89000000
0.036327952895
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 827756
31407DTM7
130562.29000000
PA
USD
154855.86000000
0.000479629129
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C69806
31287V3P3
3235.67000000
PA
USD
3467.61000000
0.000010740095
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 749991
31403JF84
42629.10000000
PA
USD
50467.48000000
0.000156310994
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 737269
3620ARCE9
5741.24000000
PA
USD
6513.69000000
0.000020174602
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725931
31402DPQ7
140808.46000000
PA
USD
167785.18000000
0.000519674617
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 743106
3620AXR34
81455.21000000
PA
USD
90654.44000000
0.000280780528
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4978
36202FQ74
44698.60000000
PA
USD
49620.61000000
0.000153688016
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
4.50000000
N
N
N
N
N
N
SECURITIZED TERM AUTO RECEIVABLES TRUST SSTRT_18-1A
N/A
SSTRT 2018-1A A4
81376QAE8
2857471.69000000
PA
USD
2884298.78000000
0.008933428242
Long
ABS-CBDO
CORP
CA
Y
2
2022-11-25
Fixed
3.29800000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18521
3128MMSK0
104538.46000000
PA
USD
111767.25000000
0.000346172426
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC9083
3140F5CV3
242608.08000000
PA
USD
254602.91000000
0.000788571850
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
RESIMAC Premier Series 2018-1
N/A
RESI 2018-1A A1
76119HAA8
322444.60990000
PA
USD
322903.87000000
0.001000117800
Long
ABS-MBS
CORP
AU
Y
2
2049-11-10
Floating
0.90600000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468P7
10000000.00000000
PA
USD
10842200.40000000
0.033581132419
Long
DBT
CORP
US
N
2
2031-04-01
Variable
3.62200000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP
30231GBH4
33865000.00000000
PA
USD
36257697.71000000
0.112299579706
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99200000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745275
31403C6L0
563902.17000000
PA
USD
643625.42000000
0.001993476384
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
5.00000000
N
N
N
N
N
N
BMW VEHICLE OWNER TRUST BMWOT_18-A
N/A
BMWOT 2018-A A4
09659QAE7
9199893.76000000
PA
USD
9289361.81000000
0.028771584874
Long
ABS-CBDO
CORP
US
N
2
2024-06-25
Fixed
2.51000000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
NORDEA BANK ABP
65559CAB7
34800000.00000000
PA
USD
34072958.40000000
0.105532870241
Long
DBT
CORP
FI
Y
2
2025-08-28
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 935021
31412UG61
53099.62000000
PA
USD
60381.95000000
0.000187018703
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 722270
3620A8MT7
1542.86000000
PA
USD
1772.74000000
0.000005490639
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C72254
31288AQF5
171252.28000000
PA
USD
202009.98000000
0.000625677781
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
ENTERGY ARKANSAS
29364DAU4
10288000.00000000
PA
USD
11241512.42000000
0.034817906258
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.50000000
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
CRED AGRICOLE SA
22535WAH0
8335000.00000000
PA
USD
8153905.46000000
0.025254779369
Long
DBT
CORP
FR
Y
2
2027-01-26
Variable
1.24700000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4542
36202FBK1
166235.16000000
PA
USD
193447.36000000
0.000599157105
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C71275
31287YMY7
21991.52000000
PA
USD
24493.94000000
0.000075864143
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH9292
3140GYKE8
128791.92000000
PA
USD
136125.19000000
0.000421615342
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXP4
15000000.00000000
PA
USD
14962785.00000000
0.046343661425
Long
DBT
CORP
US
N
2
2023-01-27
Fixed
0.48100000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 725423
31402C4G4
317158.80000000
PA
USD
370798.95000000
0.001148461399
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3412
31418CYJ7
6013452.18000000
PA
USD
6420265.23000000
0.019885241823
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
3.50000000
N
N
N
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
IBM CORP
459200JZ5
61085000.00000000
PA
USD
66406603.03000000
0.205678630497
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.30000000
N
N
N
N
N
N
PENDING
N/A
SOFI 2018-B A2FX
83404RAB4
790178.93000000
PA
USD
814502.45000000
0.002522727271
Long
ABS-CBDO
CORP
US
Y
2
2047-08-25
Fixed
3.34000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 598800
36200EGH8
12211.62000000
PA
USD
13201.88000000
0.000040889677
Long
ABS-MBS
USGA
US
N
2
2036-06-15
Fixed
6.00000000
N
N
N
N
N
N
BBCMS Mortgage Trust 2020-C6
N/A
BBCMS 2020-C6 A4
05492TBP4
2515000.00000000
PA
USD
2576617.50000000
0.007980458787
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.63900000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08587
3128MJUM0
217929.31000000
PA
USD
242848.42000000
0.000752165118
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723069
3620A9JN2
142432.51000000
PA
USD
156654.40000000
0.000485199678
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 983471
31415LQY6
112809.84000000
PA
USD
127789.53000000
0.000395797621
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 708784
36297DM95
3138.38000000
PA
USD
3524.90000000
0.000010917537
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J38271
31307VFL5
304961.12000000
PA
USD
323299.87000000
0.001001344316
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 438590
36207QF77
294159.66000000
PA
USD
321012.58000000
0.000994259980
Long
ABS-MBS
USGA
US
N
2
2042-03-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 733795
3620AMGC0
42158.61000000
PA
USD
48200.39000000
0.000149289223
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J14664
3128PUFD9
96394.31000000
PA
USD
103101.21000000
0.000319331432
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08341
3128MJLX6
481082.33000000
PA
USD
546302.08000000
0.001692040527
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 708333
36297C4S5
917.01000000
PA
USD
1046.57000000
0.000003241501
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
5.50000000
N
N
N
N
N
N
Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXP-IMP BK KOREA
302154BX6
5000000.00000000
PA
USD
5010400.00000000
0.015518520195
Long
DBT
NUSS
KR
N
2
2021-05-10
Fixed
2.50000000
N
N
N
N
N
N
SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_21-1
N/A
SDART 2021-1 A3
80286NAD8
11940000.00000000
PA
USD
11933059.28000000
0.036959807886
Long
ABS-CBDO
CORP
US
N
2
2024-09-16
Fixed
0.32000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
GNR 2017-136 GB
38380HHT2
100000000.00000000
PA
USD
102731000.00000000
0.318184795269
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD8057
31418V5T5
184489.87000000
PA
USD
206797.79000000
0.000640506881
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD1424
3140F8SN8
211409.10000000
PA
USD
218772.06000000
0.000677594330
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J06383
3128PJCU9
593.81000000
PA
USD
625.31000000
0.000001936748
Long
ABS-MBS
USGSE
US
N
2
2022-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q50034
3132XSBC3
2664201.65000000
PA
USD
2890982.22000000
0.008954128605
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2017-4 ZA
3136AVHM4
20243261.15000000
PA
USD
21713529.21000000
0.067252483147
Long
ABS-MBS
USGSE
US
N
2
2047-02-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q51526
3132XTVU9
11468473.60000000
PA
USD
12617512.59000000
0.039079738932
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q50554
3132XSTL4
42474819.10000000
PA
USD
45328014.10000000
0.140392723582
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZE3
250000000.00000000
PA
USD
241718750.00000000
0.748666234940
Long
DBT
UST
US
N
2
2027-03-31
Fixed
0.62500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05179
3128M7CQ7
79180.84000000
PA
USD
91002.75000000
0.000281859335
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL0939
3138EHBH4
5650443.62000000
PA
USD
6266359.49000000
0.019408555464
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 737274
3620ARCK5
112338.32000000
PA
USD
128805.56000000
0.000398944532
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
4.50000000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
TRUIST FINANCIAL
89788MAB8
3750000.00000000
PA
USD
3625957.50000000
0.011230539416
Long
DBT
CORP
US
N
2
2030-06-05
Fixed
1.95000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 702143
36296VBL1
2757.86000000
PA
USD
3001.57000000
0.000009296647
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 794102
31405NGK5
1998.23000000
PA
USD
2364.51000000
0.000007323506
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH9278
3140GYJY6
36258780.55000000
PA
USD
39088792.88000000
0.121068222443
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBW5
25000000.00000000
PA
USD
24293750.00000000
0.075244102267
Long
DBT
CORP
US
N
2
2027-02-04
Variable
1.04000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB8613
31417FSB5
25548.37000000
PA
USD
27091.27000000
0.000083908753
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2015-GC32
54930066YOFVQE068N73
GSMS 2015-GC32 A3
36250PAC9
7000000.00000000
PA
USD
7459270.00000000
0.023103311539
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Fixed
3.49800000
N
N
N
N
N
N
CSX Transportation Inc
N/A
CSX TRANS
126410LM9
972574.81860000
PA
USD
1061467.18000000
0.003287641679
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
6.25100000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL3039
3138EKLV5
216971.04000000
PA
USD
232790.18000000
0.000721012116
Long
ABS-MBS
USGSE
US
N
2
2027-10-01
Fixed
3.50000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
AT5802778
5825000.00000000
PA
6968185.20000000
0.021582293380
Long
DBT
CORP
CA
N
2
2023-07-20
Fixed
0.62500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AP6307
36189EAG1
3262788.36000000
PA
USD
3543371.85000000
0.010974750042
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
3.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAY6
4040000.00000000
PA
USD
4371304.24000000
0.013539073353
Long
DBT
CORP
JP
N
2
2028-01-17
Fixed
3.54400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6082
36179UXK3
1129714.92000000
PA
USD
1198882.85000000
0.003713253975
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G61372
31335BQZ2
2863680.26000000
PA
USD
3036325.53000000
0.009404294878
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
IBM CORP
459200KA8
19985000.00000000
PA
USD
21575486.24000000
0.066824927939
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 717166
3620A2W36
106847.38000000
PA
USD
121788.14000000
0.000377209745
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR2331
3617LYSU5
6243238.47000000
PA
USD
6423018.76000000
0.019893770226
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU6739
3138X6PZ2
1687719.50000000
PA
USD
1833246.83000000
0.005678045256
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 257281
31371NXJ9
1413.41000000
PA
USD
1554.79000000
0.000004815591
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
PacifiCorp
SGY07Y7FNYBNLM6Z1M11
PACIFICORP
695114CU0
27904000.00000000
PA
USD
30169944.32000000
0.093444214081
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08583
3128MJUH1
92079.39000000
PA
USD
102625.09000000
0.000317856764
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB0181
31416VFX7
857305.04000000
PA
USD
924134.28000000
0.002862285743
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
5.00000000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_19-MT3
N/A
DLL 2019-MT3 A3
23291RAC4
17800000.00000000
PA
USD
17970135.96000000
0.055658214476
Long
ABS-CBDO
CORP
US
Y
2
2023-02-21
Fixed
2.08000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG V82821
3132L8D20
400077.72000000
PA
USD
440367.63000000
0.001363933809
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 933795
31412S3C7
45624.36000000
PA
USD
51208.84000000
0.000158607180
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG V60715
3132KEYL3
132520.28000000
PA
USD
136066.63000000
0.000421433966
Long
ABS-MBS
USGSE
US
N
2
2029-12-01
Fixed
2.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468W2
21430000.00000000
PA
USD
21373167.64000000
0.066198294281
Long
DBT
CORP
US
N
2
2024-01-25
Variable
0.52900000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J35503
31307SDG5
3936166.04000000
PA
USD
4123140.62000000
0.012770445669
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 848275
31408DMY7
162641.58000000
PA
USD
186930.80000000
0.000578973613
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
7.00000000
N
N
N
N
N
N
PFS FINANCING CORP PFSFC_20-A
N/A
PFSFC 2020-A A
69335PDP7
3000000.00000000
PA
USD
3038461.80000000
0.009410911465
Long
ABS-CBDO
CORP
US
Y
2
2025-06-15
Fixed
1.27000000
N
N
N
N
N
N
AEP Transmission Co LLC
549300X123Z1I0LA3Y84
AEP TRANSMISSION
00115AAE9
8040000.00000000
PA
USD
8677692.60000000
0.026877085235
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.10000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AM2510
36184MYF4
189735.78000000
PA
USD
202195.56000000
0.000626252570
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5796
3138WFNN2
16774780.71000000
PA
USD
17881733.39000000
0.055384408579
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
IBM CORP
459200JY8
6703000.00000000
PA
USD
7176211.69000000
0.022226605867
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2018-C48
549300REQJRID6TODX95
WFCM 2018-C48 ASB
95001RAV1
980000.00000000
PA
USD
1105253.80000000
0.003423260301
Long
ABS-MBS
CORP
US
N
2
2052-01-15
Fixed
4.24500000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GGS7
8200000.00000000
PA
USD
8556954.20000000
0.026503126809
Long
DBT
CORP
US
N
2
2022-01-24
Fixed
5.75000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_20-B
N/A
MMAF 2020-BA A5
60700KAE2
4800000.00000000
PA
USD
4752277.44000000
0.014719047067
Long
ABS-CBDO
CORP
US
Y
2
2042-04-14
Fixed
0.85000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4540
36202FBH8
38040.42270000
PA
USD
42275.65000000
0.000130938753
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q03650
3132GJWK1
9388278.12000000
PA
USD
10541801.77000000
0.032650719237
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NBJ9
9390000.00000000
PA
USD
10207775.10000000
0.031616151213
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
3.60000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_18-C
N/A
SMB 2018-C A2A
78449QAB3
1128186.67000000
PA
USD
1180392.38000000
0.003655984150
Long
ABS-CBDO
CORP
US
Y
2
2035-11-15
Fixed
3.63000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5528
36179UD90
252898.12000000
PA
USD
271774.49000000
0.000841756728
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 784189
3622A2UN0
20928023.02000000
PA
USD
22524716.07000000
0.069764941169
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM2279
3140X5Q97
25290658.41000000
PA
USD
28256916.28000000
0.087519065535
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
02665WDJ7
25000000.00000000
PA
USD
25844900.00000000
0.080048419807
Long
DBT
CORP
US
N
2
2027-01-08
Fixed
2.35000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YBA6
4000000.00000000
PA
USD
4082020.00000000
0.012643084346
Long
DBT
CORP
JP
N
2
2030-09-13
Variable
2.86900000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1224
36179NLD8
1530175.65000000
PA
USD
1654041.53000000
0.005122999538
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM3664
3140X7CA5
281401712.82010000
PA
USD
301638435.60000000
0.934253184305
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH8122
3138AAAY7
16903.76000000
PA
USD
17939.41000000
0.000055563048
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AG7248
36182CBR7
31370.25000000
PA
USD
33800.35000000
0.000104688530
Long
ABS-MBS
USGA
US
N
2
2045-05-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 635097
36291QRS5
718063.96000000
PA
USD
757155.22000000
0.002345107890
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 721211
31401XGU5
499966.19000000
PA
USD
567269.29000000
0.001756981465
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J11824
3128PRAZ2
266419.00000000
PA
USD
282326.03000000
0.000874437609
Long
ABS-MBS
USGSE
US
N
2
2025-03-01
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2017-P8
N/A
CGCMT 2017-P8 A3
17326DAC6
4560000.00000000
PA
USD
4842172.80000000
0.014997476526
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.20300000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12073
3128PRJS9
25104.67000000
PA
USD
26531.55000000
0.000082175154
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08752
3128MJZS2
70486.32000000
PA
USD
76344.73000000
0.000236459610
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16
N/A
JPMCC 2013-C16 A4
46641BAD5
1250000.00000000
PA
USD
1349012.50000000
0.004178244795
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Fixed
4.16640000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G04484
3128M6J58
1092481.93000000
PA
USD
1317999.70000000
0.004082190037
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL7620
3138EQPE6
4105867.72000000
PA
USD
4399557.97000000
0.013626582550
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 963364
31414DWZ5
49194.65000000
PA
USD
55821.65000000
0.000172894260
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE4914
31419FN85
1852.66000000
PA
USD
1954.06000000
0.000006052235
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_21-1
N/A
EFF 2021-1 A2
29374EAB2
7520000.00000000
PA
USD
7514976.64000000
0.023275849584
Long
ABS-CBDO
CORP
US
Y
2
2026-12-21
Fixed
0.44000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZM0192
3131XTF96
3846203.83000000
PA
USD
4127787.49000000
0.012784838241
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05421
3128M7LA2
17609.92000000
PA
USD
18678.24000000
0.000057851398
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J12788
3128PSCZ8
18122.99000000
PA
USD
19164.48000000
0.000059357410
Long
ABS-MBS
USGSE
US
N
2
2025-08-01
Fixed
4.00000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
N/A
8089000.00000000
PA
USD
8781721.74000000
0.027199290710
Long
DBT
NUSS
BM
N
2
2027-01-25
Fixed
3.71700000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.000000 16-JUN-2024
N/A
77960000.00000000
NC
USD
897710.98000000
0.002780445867
N/A
DIR
N/A
N
1
MERRILL LYNCH & CO INC
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2024-06-16
0.00000000
USD
773450.48000000
USD
77960000.00000000
USD
124260.50000000
N
N
N
Fannie Mae Pool
N/A
FN 254981
31371LFW4
307903.01000000
PA
USD
353486.70000000
0.001094840829
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
6.00000000
N
N
N
N
N
N
TD Ameritrade Holding Corp
ZI85ER3E6RXD4HPHW309
TD AMERITRADE
87236YAF5
4574000.00000000
PA
USD
4968525.80000000
0.015388824838
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB2274
31416XQ45
1805918.61000000
PA
USD
2036363.22000000
0.006307149879
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 357725
31376KLE4
171969.91000000
PA
USD
202361.03000000
0.000626765074
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 646284
36292D6V9
11748.03000000
PA
USD
13046.54000000
0.000040408549
Long
ABS-MBS
USGA
US
N
2
2035-08-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 972305
31414PU64
6552.98000000
PA
USD
7502.55000000
0.000023237361
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
6.00000000
N
N
N
N
N
N
Virginia Electric and Power Co
CQKUMNNZVDJLRYV2PT43
VIRGINIA EL&PWR
927804FV1
10000000.00000000
PA
USD
10699630.00000000
0.033139554574
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI8715
3138ANVH3
63557.76000000
PA
USD
70672.75000000
0.000218892004
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE4533
3140FQBB2
301763.10000000
PA
USD
316681.06000000
0.000980844129
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3198
31418CRU0
330646.89000000
PA
USD
340532.24000000
0.001054717476
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_16-B
N/A
SMB 2016-B A2B
78449GAC3
126101.83020000
PA
USD
127383.74000000
0.000394540783
Long
ABS-CBDO
CORP
US
Y
2
2032-02-17
Floating
1.55600000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C01848
31292JBR0
72983.56000000
PA
USD
84017.99000000
0.000260225705
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
6.00000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCH9
43550000.00000000
PA
USD
43515072.90000000
0.134777570176
Long
DBT
CORP
CA
N
2
2025-06-12
Fixed
1.15000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 3413
36202DYJ4
2744.07000000
PA
USD
2948.86000000
0.000009133391
Long
ABS-MBS
USGA
US
N
2
2033-07-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE6040
3133N3V92
3131701.19000000
PA
USD
3270871.17000000
0.010130744114
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828Z86
135000000.00000000
PA
USD
138079687.50000000
0.427668932436
Long
DBT
UST
US
N
2
2023-02-15
Fixed
1.37500000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
AT5191404
13825000.00000000
PA
16644624.86000000
0.051552759667
Long
DBT
CORP
AU
N
2
2023-10-17
Fixed
0.75000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468X0
1285000.00000000
PA
USD
1213518.02000000
0.003758582927
Long
DBT
CORP
US
N
2
2032-04-28
Variable
1.92800000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A27686
31297FRF2
1997.17000000
PA
USD
2289.35000000
0.000007090716
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR2445
3617LYWE6
570831.44000000
PA
USD
602261.48000000
0.001865361436
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH1753
3140GP5P9
4113812.56000000
PA
USD
4491715.61000000
0.013912018882
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4778
36179TJX4
161203054.72000000
PA
USD
172382164.16000000
0.533912680801
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q34124
3132QQSN3
2295013.63000000
PA
USD
2533238.34000000
0.007846102175
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.00000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCG1
43170000.00000000
PA
USD
43460361.42000000
0.134608114403
Long
DBT
CORP
CA
N
2
2023-06-12
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD6388
31418UC28
1225.21000000
PA
USD
1292.80000000
0.000004004139
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG T69069
31323ECE2
5505740.00000000
PA
USD
5794985.70000000
0.017948587461
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA4558
31416NB43
2252.17000000
PA
USD
2348.60000000
0.000007274228
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 688025
36296DLE6
16329.66000000
PA
USD
18404.35000000
0.000057003089
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29
N/A
MSBAM 2016-C29 A4
61766EBE4
2055000.00000000
PA
USD
2224907.40000000
0.006891120553
Long
ABS-MBS
CORP
US
N
2
2049-05-15
Fixed
3.32500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 687969
31400HJN4
12734.40000000
PA
USD
13588.03000000
0.000042085685
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Floating
2.41000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 506813
36211AAN6
3635.68000000
PA
USD
3858.06000000
0.000011949421
Long
ABS-MBS
USGA
US
N
2
2029-09-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6528
3138WGHE7
147229.82000000
PA
USD
161493.30000000
0.000500187018
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15
N/A
MSBAM 2014-C15 A4
61763KBA1
2800000.00000000
PA
USD
3033352.00000000
0.009395085077
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Fixed
4.05100000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 697957
36296QME6
35420.95000000
PA
USD
39691.58000000
0.000122935211
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
4.50000000
N
N
N
N
N
N
COMM 2013-CCRE12 Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CR12 A3
12591KAD7
371293.11000000
PA
USD
391929.58000000
0.001213908490
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Fixed
3.76500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI3661
3138AHB70
24908.00000000
PA
USD
27930.00000000
0.000086506520
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06566
3128M8TX2
205983.88000000
PA
USD
238793.12000000
0.000739604793
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
6.00000000
N
N
N
N
N
N
FANNIEMAE GRANTOR TRUST FNGT_17-T1
N/A
FNGT 2017-T1 A
3136AV6R5
6918517.67000000
PA
USD
7422324.13000000
0.022988880510
Long
ABS-CBDO
CORP
US
N
2
2027-06-25
Fixed
2.89800000
N
N
N
N
N
N
Hilton USA Trust 2016-HHV
N/A
HILT 2016-HHV A
43300LAA8
30000.00000000
PA
USD
32328.00000000
0.000100128277
Long
ABS-MBS
CORP
US
Y
2
2038-11-05
Fixed
3.71900000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_20-A
N/A
TESLA 2020-A A3
88167HAC0
4140000.00000000
PA
USD
4159614.91000000
0.012883416091
Long
ABS-CBDO
CORP
US
Y
2
2023-12-20
Fixed
0.68000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08767
3128MJZ94
754954.62000000
PA
USD
817702.60000000
0.002532638973
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Kimberly-Clark Corp
MP3J6QPYPGN75NVW2S34
KIMBERLY-CLARK
494368BQ5
6906000.00000000
PA
USD
7293295.39000000
0.022589244731
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
2.65000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1448
36179NTD0
3545865.17000000
PA
USD
3832855.44000000
0.011871356489
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BN8278
3140JRFU0
925477.98000000
PA
USD
962355.59000000
0.002980667144
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 831560
31407HZZ2
23238.09000000
PA
USD
27010.22000000
0.000083657720
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0392
36179MNH9
1778855.05000000
PA
USD
1923465.65000000
0.005957476555
Long
ABS-MBS
USGA
US
N
2
2042-09-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ7347
3140E0EV3
4530600.34000000
PA
USD
4771032.05000000
0.014777135003
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4718
36179TG33
85320839.34000000
PA
USD
89947216.81000000
0.278590072770
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4426
36202E4K2
107325.43000000
PA
USD
123085.99000000
0.000381229526
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL4184
3138ELUJ0
2480.48000000
PA
USD
2549.36000000
0.000007896035
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 962871
31414DFL5
1578.62000000
PA
USD
1638.70000000
0.000005075482
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967MQ1
10000000.00000000
PA
USD
10647420.00000000
0.032977846539
Long
DBT
CORP
US
N
2
2026-04-08
Variable
3.10600000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4901
36179TNS0
540041.47000000
PA
USD
586139.41000000
0.001815427165
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST JDOT_20-B
N/A
JDOT 2020-B A3
47787NAC3
9160000.00000000
PA
USD
9178670.83000000
0.028428745937
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
0.51000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE0481
31419ARB5
26636.78000000
PA
USD
29812.39000000
0.000092336774
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS0837
3138W94X5
54443.07000000
PA
USD
61358.76000000
0.000190044139
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4587
36179TCY9
68729.63000000
PA
USD
74596.27000000
0.000231044172
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AJ9940
36183GBH9
38796.59000000
PA
USD
41888.12000000
0.000129738471
Long
ABS-MBS
USGA
US
N
2
2044-12-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A31891
31297MC48
23675.01000000
PA
USD
26437.88000000
0.000081885034
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
PFIZER INC
717081ET6
13000000.00000000
PA
USD
14262430.00000000
0.044174478683
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.45000000
N
N
N
N
N
N
Unilever Capital Corp
MYF1DAS6G5WY7PRWCU78
UNILEVER CAPITAL
904764BH9
21050000.00000000
PA
USD
20923089.55000000
0.064804284635
Long
DBT
CORP
US
N
2
2029-09-06
Fixed
2.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 888795
31410GNL3
11285.24000000
PA
USD
13176.48000000
0.000040811007
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ0167
3138YRFH6
537571.17000000
PA
USD
560525.73000000
0.001736094894
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AR0371
3138NWMV8
243605.20000000
PA
USD
255053.62000000
0.000789967817
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac REMICS
N/A
FHR 4731 LT
3137FBPK6
28183934.40000000
PA
USD
33839886.36000000
0.104810985130
Long
ABS-MBS
USGSE
US
N
2
2047-11-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL8316
3138ETG26
5124721.73000000
PA
USD
5882883.31000000
0.018220829365
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2753
36179RBW8
160249.22000000
PA
USD
170294.46000000
0.000527446514
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.00000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122CP1
42525000.00000000
PA
USD
46290588.75000000
0.143374069213
Long
DBT
CORP
US
N
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae REMICS
N/A
FNR 2013-1 JZ
3136ABYU1
11117797.72000000
PA
USD
11116797.12000000
0.034431630332
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE5471
31419GCH5
12606.13000000
PA
USD
14035.09000000
0.000043470347
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5326
36202F4K9
272356.38000000
PA
USD
287976.35000000
0.000891938129
Long
ABS-MBS
USGA
US
N
2
2027-03-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 582213
36201FYJ0
7215.05000000
PA
USD
7464.54000000
0.000023119634
Long
ABS-MBS
USGA
US
N
2
2032-02-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AM9060
36185CB52
3427198.21000000
PA
USD
3734636.05000000
0.011567145330
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 677222
36295QLB4
7088.29000000
PA
USD
8191.78000000
0.000025372086
Long
ABS-MBS
USGA
US
N
2
2038-08-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A75929
3128L9SS3
6961.09000000
PA
USD
8028.05000000
0.000024864972
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 995800
31416CGH3
220144.85000000
PA
USD
257385.74000000
0.000797191003
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 784415
3622A23Y6
23927276.58000000
PA
USD
25834062.79000000
0.080014854131
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AO7210
3138LYAL1
719115.52000000
PA
USD
787761.64000000
0.002439903983
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB5622
31417CG82
1777115.03000000
PA
USD
1842974.56000000
0.005708174582
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI8223
3138AND59
986797.76000000
PA
USD
1110263.92000000
0.003438777954
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL9478
3131XRQ72
7158850.03000000
PA
USD
7684084.12000000
0.023799619711
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08497
3128MJRT9
529793.95000000
PA
USD
561469.06000000
0.001739016634
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3214
31418CSC9
19307378.00000000
PA
USD
20376732.58000000
0.063112074098
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 734700
3620ANGH7
2792.73000000
PA
USD
3035.18000000
0.000009400746
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
5.00000000
N
N
N
N
N
N
COMM 2014-CCRE18 Mortgage Trust
N/A
COMM 2014-CR18 A4
12632QAW3
6144605.75000000
PA
USD
6546770.20000000
0.020277060826
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91908
3128P8DM0
1323536.77000000
PA
USD
1385423.89000000
0.004291020400
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
3.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAF7
14962000.00000000
PA
USD
15664316.28000000
0.048516487414
Long
DBT
CORP
JP
N
2
2026-07-14
Fixed
2.63200000
N
N
N
N
N
N
Berkshire Hathaway Finance Corp
549300RLHFT5RU20WM87
BERKSHIRE HATH
084664CU3
9850000.00000000
PA
USD
9582779.35000000
0.029680375793
Long
DBT
CORP
US
N
2
2030-03-12
Fixed
1.85000000
N
N
N
N
N
N
US Bank NA/Cincinnati OH
6BYL5QZYBDK8S7L73M02
US BANK NA OHIO
90331HPL1
13010000.00000000
PA
USD
13456776.41000000
0.041679158647
Long
DBT
CORP
US
N
2
2025-01-21
Fixed
2.05000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
891160MJ9
1250000.00000000
PA
USD
1371875.00000000
0.004249055942
Long
DBT
CORP
CA
N
2
2031-09-15
Variable
3.62500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q50123
3132XSD56
1952146.51000000
PA
USD
2117900.73000000
0.006559692888
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA0070
3140Q7CG0
12305927.68000000
PA
USD
12935214.67000000
0.040063745427
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
CAN IMPERIAL BK
13607RAD2
7975000.00000000
PA
USD
8562015.83000000
0.026518804002
Long
DBT
CORP
CA
N
2
2023-09-13
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A90393
312938NJ8
1698956.03000000
PA
USD
1996889.21000000
0.006184888538
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723344
3620A9S93
372232.93000000
PA
USD
403503.59000000
0.001249756229
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08542
3128MJS84
2274286.23000000
PA
USD
2503177.45000000
0.007752995731
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5139
3138WEV97
196970.73000000
PA
USD
210015.41000000
0.000650472693
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
3.00000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST SRT_19-A
N/A
SRT 2019-A A3
80285JAG1
4557315.52000000
PA
USD
4596728.55000000
0.014237271442
Long
ABS-CBDO
CORP
US
Y
2
2022-06-20
Fixed
2.77000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU6657
3138X6MF9
381315.29000000
PA
USD
419591.60000000
0.001299585006
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.00000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_15-A
N/A
MMAF 2015-AA A5
55315GAE8
154360.85000000
PA
USD
156011.54000000
0.000483208573
Long
ABS-CBDO
CORP
US
Y
2
2036-02-19
Fixed
2.49000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833EC0
38000000.00000000
PA
USD
36647504.00000000
0.113506911812
Long
DBT
CORP
US
N
2
2028-02-08
Fixed
1.20000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBB1
33370000.00000000
PA
USD
34248465.25000000
0.106076460891
Long
DBT
CORP
US
N
2
2023-04-01
Variable
3.20700000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS IN
718172CJ6
3000000.00000000
PA
USD
3233529.00000000
0.010015085639
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.37500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4198
36179SUX3
271034.66000000
PA
USD
302251.46000000
0.000936151881
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06007
3128M8AG9
108961.11000000
PA
USD
125407.63000000
0.000388420253
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD1608
31418NYE4
35807.84000000
PA
USD
37770.87000000
0.000116986270
Long
ABS-MBS
USGSE
US
N
2
2025-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA1072
31416JFN6
9674.95000000
PA
USD
10959.86000000
0.000033945554
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_20-1
N/A
EFF 2020-1 A2
29373KAB9
6633265.08920000
PA
USD
6720473.95000000
0.020815066804
Long
ABS-CBDO
CORP
US
Y
2
2025-12-22
Fixed
1.78000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BD5
4500000.00000000
PA
USD
4821340.50000000
0.014932953440
Long
DBT
CORP
JP
N
2
2024-03-07
Fixed
3.40700000
N
N
N
N
N
N
DNB Bank ASA
549300GKFG0RYRRQ1414
DNB BANK ASA
ZQ5125310
8000000.00000000
PA
9446661.40000000
0.029258782875
Long
DBT
CORP
NO
N
2
2023-11-14
Fixed
0.05000000
N
N
N
N
N
N
Dexia Credit Local SA
F4G136OIPBYND1F41110
DEXIA CRED LOCAL
25214BAP9
14000000.00000000
PA
USD
14107492.00000000
0.043694595144
Long
DBT
CORP
FR
Y
2
2021-09-15
Fixed
1.87500000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAV ENSKIL
83051GAR9
57625000.00000000
PA
USD
56523786.25000000
0.175068960253
Long
DBT
CORP
SE
Y
2
2025-09-02
Fixed
0.85000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08672
3128MJXA3
299487.09000000
PA
USD
327094.92000000
0.001013098579
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBY1
10125000.00000000
PA
USD
10018434.38000000
0.031029713447
Long
DBT
CORP
US
N
2
2025-02-16
Variable
0.56300000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 635058
36291QQK3
4058064.16000000
PA
USD
4240117.85000000
0.013132754767
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.00000000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
DUKE ENERGY FLA
26444HAE1
10765000.00000000
PA
USD
11918781.94000000
0.036915587227
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
3.80000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_21-1
N/A
GMCAR 2021-1 A4
36261LAD3
5840000.00000000
PA
USD
5800606.28000000
0.017965995869
Long
ABS-CBDO
CORP
US
N
2
2027-05-17
Fixed
0.54000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 552839
36213FEL3
2505.45000000
PA
USD
2546.03000000
0.000007885721
Long
ABS-MBS
USGA
US
N
2
2032-10-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A93459
312941ZY6
476771.03000000
PA
USD
529185.09000000
0.001639024729
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 745586
31403DJ75
22174.69000000
PA
USD
25268.70000000
0.000078263777
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD0094
3140F7C80
477151.13000000
PA
USD
493784.86000000
0.001529380952
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
2.50000000
N
N
N
N
N
N
RESIMAC Premier Series 2017-1
N/A
RESI 2017-1A A1A
76118RAA7
154680.76690000
PA
USD
154775.12000000
0.000479379056
Long
ABS-MBS
CORP
AU
Y
2
2048-09-11
Floating
1.05710000
N
N
N
N
N
N
2021-05-28
VANGUARD MALVERN FUNDS
Christine M. Buchanan
Christine M. Buchanan
Treasurer