0001752724-21-263241.txt : 20211129
0001752724-21-263241.hdr.sgml : 20211129
20211129144220
ACCESSION NUMBER: 0001752724-21-263241
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210930
FILED AS OF DATE: 20211129
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: 211455549
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
2021-09-30
N
41332676139.32
8323948552.93
33008727586.39
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
8247163779.31000000
0.00000000
0.00000000
16148417.70000000
AUD
EUR
GBP
USD
N
Ginnie Mae I Pool
N/A
GN 612529
36202XPN1
12875.26000000
PA
USD
13881.46000000
0.000042053908
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
5230540.95000000
0.015845933280
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
232152.03000000
PA
USD
256457.84000000
0.000776939490
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
3052236.20000000
PA
USD
3264780.19000000
0.009890657497
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAH3
2720000.00000000
PA
USD
2722615.33000000
0.008248168072
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
8914556.54000000
0.027006665181
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
3053715.90000000
PA
USD
3253721.16000000
0.009857154146
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS7638
3138WHPY2
21642212.19000000
PA
USD
22610082.22000000
0.068497285031
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0932
36179NA99
1682147.70000000
PA
USD
1764904.32000000
0.005346780833
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
2733689.57000000
0.008281717502
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
19288349.08000000
0.058434088468
Long
DBT
CORP
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_19-A
N/A
HDMOT 2019-A A4
41284WAD2
2960000.00000000
PA
USD
3024650.84000000
0.009163185197
Long
ABS-CBDO
CORP
US
N
2
2026-11-15
Fixed
2.39000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAY3
10600000.00000000
PA
USD
10619616.68000000
0.032172147963
Long
DBT
CORP
FR
Y
2
2026-10-04
Fixed
1.60400000
N
N
N
N
N
N
COMM 2019-GC44 Mortgage Trust
N/A
COMM 2019-GC44 ASB
12655TBJ7
2050000.00000000
PA
USD
2189707.50000000
0.006633722836
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
2.87300000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GYG3
25000000.00000000
PA
USD
24926535.50000000
0.075514984437
Long
DBT
CORP
US
N
2
2027-09-10
Variable
1.54200000
N
N
N
N
N
N
LSEGA Financing PLC
2138009YFYTGEHZNNZ09
LSEGA FIN PLC
50220PAB9
14145000.00000000
PA
USD
14089250.45000000
0.042683409753
Long
DBT
CORP
GB
Y
2
2026-04-06
Fixed
1.37500000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CCR0
200000000.00000000
PA
USD
196156240.00000000
0.594255684308
Long
DBT
UST
US
N
2
2028-07-31
Fixed
1.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4510
36179TAK1
169811.05000000
PA
USD
179620.42000000
0.000544160387
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
2321918.46000000
0.007034256179
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
696150.11000000
PA
USD
819802.80000000
0.002483594067
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS4759
3132A5JC0
1569964.02660000
PA
USD
1667212.15000000
0.005050822227
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2 10/21
21H0206A8
53000000.00000000
PA
USD
53753596.40000000
0.162846617638
Long
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AO0714
3138LQYL2
2496311.93000000
PA
USD
2724264.90000000
0.008253165448
Long
ABS-MBS
USGSE
US
N
2
2032-05-01
Fixed
4.00000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C23
N/A
WFRBS 2014-C23 A5
92939HAY1
925000.00000000
PA
USD
999518.00000000
0.003028041591
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
50022.27000000
PA
USD
53493.89000000
0.000162059836
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 1.5 11/21
01F0124B9
-192000000.00000000
PA
USD
-193530009.60000000
-0.58629951455
Short
ABS-MBS
USGSE
US
N
2
2021-11-16
Fixed
1.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723430
3620A9VX6
233100.53000000
PA
USD
261688.38000000
0.000792785421
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
27993172.19000000
0.084805365843
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
1013324.63000000
0.003069868801
Long
ABS-MBS
CORP
US
N
2
2045-08-15
Fixed
3.79100000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18547
3128MMTD5
206905.71000000
PA
USD
213636.25000000
0.000647211406
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
29111.33000000
0.000088192826
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.25000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BV5
33375000.00000000
PA
USD
33523070.52000000
0.101558202848
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
26885184.00000000
0.081448713615
Long
DBT
CORP
GB
Y
2
2027-06-26
Fixed
3.00000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PEC2
6460000.00000000
PA
USD
6467618.92000000
0.019593663230
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
1.15000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BH6
6550000.00000000
PA
USD
7288992.75000000
0.022082016736
Long
DBT
CORP
JP
N
2
2029-03-07
Fixed
3.74100000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AI5034
3138AJSY9
39137.97000000
PA
USD
44386.72000000
0.000134469648
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_21-C
N/A
WOART 2021-C A4
98164CAD1
10900000.00000000
PA
USD
10800837.25000000
0.032721156008
Long
ABS-CBDO
CORP
US
N
2
2027-09-15
Fixed
0.64000000
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
5856505.33000000
0.017742293503
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
3.00000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BW3
20165000.00000000
PA
USD
20195695.16000000
0.061182895060
Long
DBT
CORP
JP
N
2
2025-07-19
Variable
0.95300000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782379
36241KUC0
652.13000000
PA
USD
757.90000000
0.000002296059
Long
ABS-MBS
USGA
US
N
2
2038-08-15
Fixed
6.00000000
N
N
N
N
N
N
AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_21-2
N/A
AMCAR 2021-2 A3
03066RAC9
6890000.00000000
PA
USD
6877041.98000000
0.020834011132
Long
ABS-CBDO
CORP
US
N
2
2026-12-18
Fixed
0.34000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 831794
31407JC75
169630.56000000
PA
USD
197377.03000000
0.000597954069
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
23944.24000000
PA
USD
26225.77000000
0.000079451017
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 AS7248
3138WHBS0
307096.46000000
PA
USD
333727.99000000
0.001011029550
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
45653385.34000000
0.138307013563
Long
DBT
CORP
US
N
2
2023-07-21
Variable
2.81600000
N
N
N
N
N
N
Honeywell International Inc
ISRPG12PN4EIEOEMW547
HONEYWELL INTL
438516CF1
20000000.00000000
PA
USD
19472513.60000000
0.058992015214
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
1.75000000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GBY4
4660000.00000000
PA
USD
5123483.13000000
0.015521601420
Long
DBT
CORP
US
Y
2
2026-12-18
Fixed
3.45000000
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
19112733.30000000
0.057902060144
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
13976.13550000
PA
USD
15994.18000000
0.000048454397
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
289364.43000000
PA
USD
313162.02000000
0.000948724906
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
30075944.48000000
0.091115128268
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
8773285.06000000
0.026578682977
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
138731.86000000
PA
USD
155254.01000000
0.000470342304
Long
ABS-MBS
USGA
US
N
2
2046-10-15
Fixed
4.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NDA6
10970000.00000000
PA
USD
11442428.86000000
0.034664858952
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
740969.42000000
PA
USD
801866.36000000
0.002429255589
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61747YEA9
21800000.00000000
PA
USD
21737923.19000000
0.065855077670
Long
DBT
CORP
US
N
2
2025-05-30
Variable
0.79000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAD1
12178000.00000000
PA
USD
13234128.16000000
0.040092815227
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
1512.05000000
PA
USD
1629.87000000
0.000004937694
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
6590223.50000000
0.019965094027
Long
DBT
CORP
US
N
2
2027-03-02
Variable
1.26700000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZN4476
3131YA6M7
2702371.31850000
PA
USD
2869765.93000000
0.008693961081
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4947
36202FP83
68283.02000000
PA
USD
77751.57000000
0.000235548522
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
1066552.18000000
PA
USD
1118480.15000000
0.003388437639
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
10007003.60000000
0.030316235528
Long
DBT
NUSS
KR
N
2
2021-10-21
Fixed
1.87500000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2021-L6
N/A
MSC 2021-L6 A4
61692CBE7
2600000.00000000
PA
USD
2661438.00000000
0.008062831240
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Fixed
2.44400000
N
N
N
N
N
N
MUFG Union Bank NA
OX3PU53ZLPQKJ4700D47
MUFG UNION BANK
90520EAK7
8000000.00000000
PA
USD
8156203.52000000
0.024709233334
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
96427.01000000
PA
USD
103918.17000000
0.000314820284
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH2899
3138A4GH2
412135.19000000
PA
USD
465380.05000000
0.001409869704
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
15806294.56000000
0.047885197993
Long
DBT
CORP
CA
N
2
2025-09-11
Fixed
0.75000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CJ6
10440000.00000000
PA
USD
10501646.22000000
0.031814756241
Long
DBT
CORP
GB
N
2
2026-04-18
Variable
1.64500000
N
N
N
N
N
N
COMM 2015-CCRE24 Mortgage Trust
N/A
COMM 2015-CR24 A5
12593JBF2
2916100.00000000
PA
USD
3165718.16000000
0.009590548898
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
41768.10000000
PA
USD
46737.69000000
0.000141591916
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
3433409.74000000
PA
USD
3843960.40000000
0.011645284993
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL5242
36184BZF7
73514.35000000
PA
USD
78045.91000000
0.000236440225
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 BE2189
3140FMNF9
113050.88000000
PA
USD
119062.38000000
0.000360699695
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 697852
36296QH51
24312.82000000
PA
USD
27598.85000000
0.000083610766
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
574599.51000000
PA
USD
607935.71000000
0.001841742334
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
2126986.76000000
0.006443710241
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
18370097.10000000
0.055652242431
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
4.12500000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513AZ8
8980000.00000000
PA
USD
10239498.16000000
0.031020578218
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
33157244.29000000
0.100449931622
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
2.62500000
N
N
N
N
N
N
GOLDEN CREDIT CARD TRUST GCCT_2021-1A
N/A
GCCT 2021-1A A
380881FB3
23300000.00000000
PA
USD
23196023.75000000
0.070272395957
Long
ABS-CBDO
CORP
US
Y
2
2028-08-15
Fixed
1.14000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90351DAF4
1500000.00000000
PA
USD
1671673.67000000
0.005064338410
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
8270331.95000000
0.025054985619
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18539
3128MMS53
91766.47000000
PA
USD
94758.26000000
0.000287070320
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
10591915.81000000
0.032088228127
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
13280.35000000
PA
USD
14901.31000000
0.000045143545
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 Q26460
3132M6ZZ6
63109.01000000
PA
USD
69262.28000000
0.000209830202
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
11850311.18000000
0.035900539180
Long
DBT
CORP
US
N
2
2024-02-22
Fixed
3.40000000
N
N
N
N
N
N
N/A
N/A
GBP/USD FWD 20211027
N/A
1.00000000
NC
-81047.64000000
-0.00024553397
N/A
DFE
N/A
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
6117306.17000000
USD
4479798.65000000
GBP
2021-10-27
-81047.64000000
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC19
N/A
CGCMT 2014-GC19 A3
17322AAC6
102251.88000000
PA
USD
108067.97000000
0.000327392110
Long
ABS-MBS
CORP
US
N
2
2047-03-10
Fixed
3.75300000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BY9
10800000.00000000
PA
USD
10784968.34000000
0.032673081117
Long
DBT
CORP
JP
N
2
2027-07-20
Variable
1.53800000
N
N
N
N
N
N
3M Co
LUZQVYP4VS22CLWDAR65
3M CO
88579YBH3
28325000.00000000
PA
USD
29262952.07000000
0.088652166289
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
58960.89000000
PA
USD
66835.00000000
0.000202476753
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
143906.38000000
PA
USD
162420.89000000
0.000492054380
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
6.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2015-GC27
N/A
CGCMT 2015-GC27 A5
17323CAE7
20000.00000000
PA
USD
21237.00000000
0.000064337529
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
4313106.67000000
PA
USD
4359225.86000000
0.013206282637
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
3.36000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 4 10/21
01F0406A0
-165000000.00000000
PA
USD
-176678898.00000000
-0.53524904144
Short
ABS-MBS
USGSE
US
N
2
2021-10-14
Fixed
4.00000000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406FAE3
2825000.00000000
PA
USD
2983800.26000000
0.009039428291
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
6822959.55000000
0.020670168312
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.95000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4652
36179TEZ4
157972.78000000
PA
USD
168107.03000000
0.000509280551
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
30294301.15000000
0.091776640195
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.85000000
N
N
N
N
N
N
Linde Inc/CT
ZU69GUVJQGZ6Z1UOOO79
PRAXAIR INC
74005PBT0
12430000.00000000
PA
USD
11562070.53000000
0.035027313608
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
47840.21000000
PA
USD
56856.60000000
0.000172247172
Long
ABS-MBS
USGA
US
N
2
2038-06-15
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AV6106
36195GYB3
458955.94000000
PA
USD
525071.57000000
0.001590705272
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
638725.22000000
PA
USD
684766.83000000
0.002074502351
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
12667767.26000000
PA
USD
13332308.20000000
0.040390251835
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
669876.61000000
PA
USD
753515.06000000
0.002282775238
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
16703232.63000000
PA
USD
17258747.07000000
0.052285405503
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
158857.50000000
0.000481259083
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
5248955.71000000
0.015901720829
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
175838.85000000
0.000532704114
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
18886215.78000000
0.057215824907
Long
DBT
NUSS
KR
N
2
2024-06-25
Fixed
2.37500000
N
N
N
N
N
N
USAA Capital Corp
5493007XLF4LU3U2W757
USAA CAP CORP
90327QD48
1580000.00000000
PA
USD
1607850.23000000
0.004870985183
Long
DBT
CORP
US
Y
2
2023-05-01
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08693
3128MJXX3
895099.07000000
PA
USD
957511.73000000
0.002900783520
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
88192.10000000
PA
USD
97086.26000000
0.000294123000
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
58038.26000000
PA
USD
67609.03000000
0.000204821678
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
2995.39000000
PA
USD
3482.19000000
0.000010549300
Long
ABS-MBS
USGA
US
N
2
2037-02-15
Fixed
5.00000000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
ENTERGY LA LLC
29364WAY4
5560000.00000000
PA
USD
5797423.45000000
0.017563304840
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
588961.50000000
PA
USD
641638.92000000
0.001943846270
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
77808.59000000
PA
USD
82263.67000000
0.000249217937
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q03168
3132GJFH7
12455.30000000
PA
USD
13756.14000000
0.000041674251
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
5115.29000000
PA
USD
5659.48000000
0.000017145404
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C19466
31293FQT7
4.19950000
PA
USD
4.63000000
0.000000014026
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
12338262.66000000
0.037378789072
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QA7633
3133A2PS3
15650138.05000000
PA
USD
16400025.37000000
0.049683906557
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBW9
12030000.00000000
PA
USD
12489508.95000000
0.037836989981
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
18985295.54000000
0.057515987219
Long
DBT
CORP
CH
Y
2
2027-01-30
Variable
1.36400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4401
36202E3J6
4409.77000000
PA
USD
5294.60000000
0.000016040000
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
338204.87000000
PA
USD
359710.07000000
0.001089742308
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
3661.36000000
PA
USD
4212.28000000
0.000012761109
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
1497.87000000
PA
USD
1741.41000000
0.000005275604
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
06051GHC6
27480000.00000000
PA
USD
28315038.88000000
0.085780461563
Long
DBT
CORP
US
N
2
2023-12-20
Variable
3.00400000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE ELECTRIC CO
23338VAB2
8453000.00000000
PA
USD
9002762.49000000
0.027273885266
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
327899.08000000
PA
USD
349850.81000000
0.001059873662
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2016-BNK2
N/A
MSC 2016-BNK2 A3
61690YBT8
1590000.00000000
PA
USD
1669706.70000000
0.005058379471
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
2.79100000
N
N
N
N
N
N
Morgan Stanley Capital I 2017-HR2
N/A
MSC 2017-HR2 ASB
61691NAC9
1260000.00000000
PA
USD
1360459.80000000
0.004121515427
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
10722155.50000000
0.032482789504
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
2924014.23000000
0.008858306405
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
1151428.13000000
PA
USD
1245415.52000000
0.003772988573
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PCJ3
12500000.00000000
PA
USD
12527515.13000000
0.037952129772
Long
DBT
CORP
US
N
2
2029-06-01
Variable
2.06900000
N
N
N
N
N
N
COMM 2013-CCRE12 Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CR12 A4
12591KAE5
2127800.00000000
PA
USD
2258468.20000000
0.006842033501
Long
ABS-MBS
CORP
US
N
2
2046-10-10
Fixed
4.04600000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZD5
380000000.00000000
PA
USD
381781250.00000000
1.156606988260
Long
DBT
UST
US
N
2
2023-03-15
Fixed
0.50000000
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
362264.10000000
0.001097479746
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
60687.68000000
PA
USD
65166.32000000
0.000197421484
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
2627043.64000000
0.007958633464
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
213862.87000000
PA
USD
232357.15000000
0.000703926406
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
416053.04000000
PA
USD
431831.19000000
0.001308233372
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
159075.77000000
PA
USD
170815.90000000
0.000517487078
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
223708.61000000
PA
USD
242106.09000000
0.000733460838
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
1273905.31000000
0.003859298443
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Fixed
3.96000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61772BAA1
21355000.00000000
PA
USD
21427047.93000000
0.064913280507
Long
DBT
CORP
US
N
2
2024-04-05
Variable
0.73100000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
064159TF3
9530000.00000000
PA
USD
9889463.98000000
0.029960149036
Long
DBT
CORP
CA
N
2
2025-02-03
Fixed
2.20000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ2571
3617LL2C1
1252202.07000000
PA
USD
1301890.58000000
0.003944079869
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 A89112
312936DR5
64452.52000000
PA
USD
71557.37000000
0.000216783182
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2 10/21
01F0206A2
679000000.00000000
PA
USD
680803559.80000000
2.062495617312
Long
ABS-MBS
USGSE
US
N
2
2021-10-14
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD6369
31418UCF9
15471.41000000
PA
USD
17382.92000000
0.000052661587
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
3411.78000000
PA
USD
3772.61000000
0.000011429128
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
4442.79000000
PA
USD
4921.17000000
0.000014908693
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
18632000.00000000
PA
USD
20406565.53000000
0.061821727228
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.87500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BDJ2
10735000.00000000
PA
USD
11229307.14000000
0.034019206316
Long
DBT
CORP
US
N
2
2023-02-25
Fixed
3.75000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_21-3
N/A
HAROT 2021-3 A3
43815EAC8
13940000.00000000
PA
USD
13918517.07000000
0.042166172669
Long
ABS-CBDO
CORP
US
N
2
2025-11-18
Fixed
0.41000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2020-GC45
N/A
GSMS 2020-GC45 A5
36258YBG2
16325000.00000000
PA
USD
17373718.00000000
0.052633710143
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
3450751.60000000
0.010454058221
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
3.47200000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q14275
3132HQXC1
12910.49000000
PA
USD
13514.04000000
0.000040940808
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
4000000.00000000
PA
USD
4604943.28000000
0.013950684006
Long
DBT
CORP
CA
N
2
2030-04-15
Fixed
4.35000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM5632
3140JAHJ0
10352340.54000000
PA
USD
10953341.53000000
0.033183168001
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.00000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_18-B
N/A
FORDO 2018-B A3
34532TAD4
4437268.15000000
PA
USD
4460680.51000000
0.013513639683
Long
ABS-CBDO
CORP
US
N
2
2023-04-15
Fixed
3.24000000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236TGX7
14000000.00000000
PA
USD
14923461.84000000
0.045210654669
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
2149938.55000000
PA
USD
2309848.18000000
0.006997689244
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
3.50000000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550BP2
5000000.00000000
PA
USD
5102135.35000000
0.015456928282
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6534
3138WGHL1
800522.06000000
PA
USD
856335.66000000
0.002594270432
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
12171122.48000000
0.036872437594
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
11894469.10000000
0.036034315678
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
4.95000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAT4
11000000.00000000
PA
USD
11470523.90000000
0.034749972927
Long
DBT
CORP
FR
Y
2
2024-11-21
Fixed
2.37500000
N
N
N
N
N
N
TOYOTA LEASE OWNER TRUST TLOT_21-B
N/A
TLOT 2021-B A3
89239CAC3
18100000.00000000
PA
USD
18095672.29000000
0.054820871972
Long
ABS-CBDO
CORP
US
Y
2
2024-10-21
Fixed
0.42000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE9408
3140FVN28
2506662.73000000
PA
USD
2730858.14000000
0.008273139680
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
JPMCC Commercial Mortgage Securities Trust 2017-JP7
N/A
JPMCC 2017-JP7 A5
465968AE5
895000.00000000
PA
USD
978924.15000000
0.002965652485
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
12835379.08000000
0.038884804167
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
3.12000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust 2012-C1
N/A
UBSCM 2012-C1 AS
90269GAE1
273114.00000000
PA
USD
276484.23000000
0.000837609475
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
7623918.94000000
0.023096676235
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
5266203.67000000
0.015953973555
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.37500000
N
N
N
N
N
N
Protective Life Global Funding
635400EVYITCJYWL2I50
PROTECTIVE LIFE
74368CBB9
4970000.00000000
PA
USD
4973641.82000000
0.015067656900
Long
DBT
CORP
US
Y
2
2023-04-12
Fixed
0.50200000
N
N
N
N
N
N
Air Products and Chemicals Inc
7QEON6Y1RL5XR3R1W237
AIR PROD & CHEM
009158AY2
1120000.00000000
PA
USD
1152067.00000000
0.003490189062
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
64637270.02000000
0.195818726580
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
16497.56000000
PA
USD
18362.26000000
0.000055628499
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
8964060.93000000
PA
USD
9764416.21000000
0.029581316591
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
4.00000000
N
N
N
N
N
N
State Grid Overseas Investment BVI Ltd
3003006V8BHG5158QO96
STATE GRID OSEAS
N/A
12340000.00000000
PA
USD
12490756.55000000
0.037840769588
Long
DBT
CORP
VG
N
2
2022-05-04
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM8173
3140XCCK2
47869403.20320000
PA
USD
51701478.18000000
0.156629721774
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698462
36296Q5X3
96231.13000000
PA
USD
109889.81000000
0.000332911378
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
5544084.86000000
0.016795815123
Long
ABS-CBDO
CORP
US
Y
2
2025-08-15
Fixed
0.68000000
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
395962.90000000
0.001199570322
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.74100000
N
N
N
N
N
N
COMM 2015-CCRE24 Mortgage Trust
N/A
COMM 2015-CR24 A4
12593JBE5
2466233.14000000
PA
USD
2612604.08000000
0.007914888791
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
17589999.81000000
PA
USD
18071614.00000000
0.054747987339
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
147366.47000000
PA
USD
166519.65000000
0.000504471581
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
12950.07000000
PA
USD
14064.57000000
0.000042608640
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91335
3128P7PU1
6830.08000000
PA
USD
7439.67000000
0.000022538493
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
2163462.13000000
0.006554212440
Long
DBT
CORP
MY
Y
2
2030-04-21
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH5583
3138A7FZ6
9040.02000000
PA
USD
9988.65000000
0.000030260633
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
14722865.63000000
0.044602948088
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
4382153.94000000
0.013275743297
Long
ABS-MBS
CORP
US
N
2
2047-07-15
Fixed
3.82800000
N
N
N
N
N
N
John Deere Capital Corp
E0KSF7PFQ210NWI8Z391
JOHN DEERE CAP
24422EVR7
37500000.00000000
PA
USD
37301728.50000000
0.113005654042
Long
DBT
CORP
US
N
2
2026-06-17
Fixed
1.05000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 784643
3622AABL7
76656.79000000
PA
USD
83251.15000000
0.000252209509
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
17516.97000000
PA
USD
20329.52000000
0.000061588317
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
286428.16000000
0.000867734629
Long
DBT
CORP
US
Y
2
2021-12-15
Fixed
2.70000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5700
36179UKM3
1052533.97000000
PA
USD
1103223.37000000
0.003342217197
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
9000000.00000000
PA
USD
8777968.74000000
0.026592872194
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
92596.66000000
PA
USD
109016.45000000
0.000330265532
Long
ABS-MBS
USGA
US
N
2
2036-10-15
Fixed
6.50000000
N
N
N
N
N
N
NVIDIA Corp
549300S4KLFTLO7GSQ80
NVIDIA CORP
67066GAM6
50000000.00000000
PA
USD
49809562.50000000
0.150898159796
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
1.55000000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.750000 15-DEC-2025
N/A
11603000.00000000
NC
USD
2374.30000000
0.000007192946
N/A
DIR
N/A
N
2
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2025-12-15
0.00000000
USD
-69955.96000000
USD
11603000.00000000
USD
72330.26000000
N
N
N
Ginnie Mae II Pool
N/A
G2 BE0046
3617BTBP6
3479440.71000000
PA
USD
3742939.45000000
0.011339241842
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
209922.95000000
PA
USD
225415.98000000
0.000682898119
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08671
3128MJW97
270097.67000000
PA
USD
290031.93000000
0.000878652257
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
218870.99000000
PA
USD
235228.12000000
0.000712624015
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
8940.46000000
PA
USD
9879.28000000
0.000029929296
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
369358.89000000
PA
USD
385112.05000000
0.001166697652
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
2793306.40000000
PA
USD
2939901.63000000
0.008906437312
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
2418805.72000000
0.007327776309
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
1193.47000000
PA
USD
1348.72000000
0.000004085949
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXL3
16250000.00000000
PA
USD
16264092.49000000
0.049272097651
Long
DBT
CORP
US
N
2
2023-11-17
Variable
0.62700000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AH7
1025000.00000000
PA
USD
1065447.97000000
0.003227776554
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
23269757.87000000
0.070495773607
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
132360.41000000
PA
USD
151535.41000000
0.000459076799
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 MA2495
31418BXZ4
570269.19000000
PA
USD
612354.77000000
0.001855129884
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
35230.88000000
PA
USD
40128.57000000
0.000121569575
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20211027
N/A
1.00000000
NC
3044897.69000000
0.009224523066
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
151038866.52000000
EUR
178079203.75000000
USD
2021-10-27
3044897.69000000
N
N
N
Ginnie Mae I Pool
N/A
GN 487847
36210B5G6
32866.77000000
PA
USD
37532.33000000
0.000113704261
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
3261302.18000000
PA
USD
3418660.01000000
0.010356836691
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
154388.82000000
PA
USD
163025.82000000
0.000493887016
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
1481837.42040000
PA
USD
1482318.72000000
0.004490687246
Long
ABS-CBDO
CORP
US
Y
2
2066-07-26
Floating
0.83600000
N
N
N
N
N
N
United Parcel Service Inc
D01LMJZU09ULLNCY6Z23
UNITED PARCEL
911312BR6
5000000.00000000
PA
USD
5544984.45000000
0.016798540432
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.40000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
DUKE ENERGY PROG
26442UAH7
1520000.00000000
PA
USD
1678319.61000000
0.005084472297
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
4600623.01000000
0.013937595740
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
0.75000000
N
N
N
N
N
N
Siemens Financieringsmaatschappij NV
TAFO772JB70PDRN5VS48
SIEMENS FINAN
82620KAZ6
58305000.00000000
PA
USD
58129464.63000000
0.176103318365
Long
DBT
CORP
NL
Y
2
2026-03-11
Fixed
1.20000000
N
N
N
N
N
N
Kimberly-Clark Corp
MP3J6QPYPGN75NVW2S34
KIMBERLY-CLARK
494368BR3
5860000.00000000
PA
USD
6313731.54000000
0.019127461134
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.05000000
N
N
N
N
N
N
Illinois Tool Works Inc
76NA4I14SZCFAYMNSV04
ILLINOIS TOOL WK
452308AX7
7640000.00000000
PA
USD
8176103.61000000
0.024769520692
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
17295863.74000000
0.052397850522
Long
DBT
CORP
JP
N
2
2024-07-10
Variable
1.24100000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
N/A
8000000.00000000
PA
9442264.08000000
0.028605356129
Long
DBT
CORP
US
N
2
2023-07-26
Fixed
0.75000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL0786
36183V2T0
888371.81000000
PA
USD
941852.50000000
0.002853343854
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BA2101
3140E6KP6
332659.18000000
PA
USD
354624.10000000
0.001074334353
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
23962302.40000000
PA
USD
25156777.65000000
0.076212503448
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
3906891.98000000
PA
USD
4094702.53000000
0.012404908729
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
552.48000000
PA
USD
623.72000000
0.000001889560
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
9638.21000000
PA
USD
10920.78000000
0.000033084522
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
105732.63000000
PA
USD
115263.95000000
0.000349192345
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 677004
36295QDH0
2458.65880000
PA
USD
2778.22000000
0.000008416622
Long
ABS-MBS
USGA
US
N
2
2038-06-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5979
36179UUC4
2182249.85000000
PA
USD
2327612.35000000
0.007051505829
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
15043981.39000000
0.045575768864
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
561093.60000000
0.001699834077
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
14748801.30000000
0.044681520247
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
7856322.80000000
PA
USD
7922562.60000000
0.024001417744
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 733600
3620AL7M0
47723.07000000
PA
USD
55693.41000000
0.000168723286
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
3866384.95000000
PA
USD
4213027.24000000
0.012763373653
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
8436332.24000000
0.025557883798
Long
DBT
CORP
US
N
2
2024-01-23
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08738
3128MJZC7
222295.75000000
PA
USD
237796.86000000
0.000720406018
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
5884419.42000000
0.017826859289
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
4465129.90000000
0.013527119118
Long
ABS-CBDO
CORP
US
Y
2
2023-03-20
Fixed
3.45000000
N
N
N
N
N
N
Benchmark 2020-B21 Mortgage Trust
N/A
BMARK 2020-B21 AAB
08163LAJ8
4400000.00000000
PA
USD
4429524.00000000
0.013419250979
Long
ABS-MBS
CORP
US
N
2
2053-12-17
Fixed
1.79750000
N
N
N
N
N
N
Japan Bank for International Cooperation
549300TJ3QFYVCTSCJ29
JAPAN BANK COOP
471048BU1
10000000.00000000
PA
USD
10599518.30000000
0.032111259885
Long
DBT
NUSS
JP
N
2
2023-10-31
Fixed
3.37500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 764261
36176EZ20
49713.21000000
PA
USD
57103.98000000
0.000172996610
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
2701719.60000000
0.008184864420
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.46500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ3743
3138YVER6
1383650.50000000
PA
USD
1475087.80000000
0.004468781161
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE
191216CR9
12000000.00000000
PA
USD
13285490.76000000
0.040248418316
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
4052311.70000000
PA
USD
4440637.44000000
0.013452919166
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
154092.70000000
PA
USD
167907.30000000
0.000508675469
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 AL5562
3138ENFC8
16013.31000000
PA
USD
17353.10000000
0.000052571247
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
225454.53000000
PA
USD
247432.83000000
0.000749598206
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_19-DA1
N/A
DLL 2019-DA1 A3
23291GAC8
1118029.55000000
PA
USD
1122462.20000000
0.003400501267
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 AL4069
3138ELQX4
652.20000000
PA
USD
710.91000000
0.000002153703
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RAB
74977RDH4
15000000.00000000
PA
USD
14999042.85000000
0.045439627476
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
38923.45000000
PA
USD
43661.75000000
0.000132273350
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 719783
3620A5UG2
6135.46000000
PA
USD
7028.69000000
0.000021293429
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
34507496.10000000
0.104540521926
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
875652.36000000
PA
USD
918299.17000000
0.002781988998
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
15600000.00000000
PA
USD
16668348.53000000
0.050496792057
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
73168.16000000
PA
USD
78146.28000000
0.000236744296
Long
ABS-MBS
USGA
US
N
2
2034-02-20
Fixed
4.00000000
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
4490046.61000000
0.013602604336
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
469078.87000000
PA
USD
511960.98000000
0.001550986716
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
7489519.28000000
0.022689512221
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
2.20000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0318
36179MK74
12147087.98000000
PA
USD
13014951.26000000
0.039428818411
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
4985517.05000000
0.015103632931
Long
DBT
CORP
GB
Y
2
2024-04-06
Fixed
0.65000000
N
N
N
N
N
N
MassMutual Global Funding II
549300K1IE3K7YU6VG29
MASSMUTUAL GLBL
57629WCE8
14920000.00000000
PA
USD
15737155.87000000
0.047675742207
Long
DBT
CORP
US
Y
2
2024-06-22
Fixed
2.75000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C24
N/A
WFRBS 2014-C24 A5
92939KAE8
2189700.00000000
PA
USD
2335928.17000000
0.007076698621
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
18273562.66000000
0.055359791170
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
1105090.25000000
PA
USD
1288088.22000000
0.003902265595
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
4369363.09000000
0.013236993393
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
132685.57000000
PA
USD
147960.69000000
0.000448247178
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
AvalonBay Communities Inc
K9G90K85RBWD2LAGQX17
AVALONBAY COMMUN
05348EBG3
5000000.00000000
PA
USD
5080609.40000000
0.015391715378
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.30000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C04422
31292L4F9
664669.94000000
PA
USD
695699.72000000
0.002107623561
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
226553.80000000
0.000686345147
Long
ABS-MBS
CORP
US
N
2
2046-04-10
Fixed
3.24430000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3106
36179RNX3
563861.94000000
PA
USD
615733.80000000
0.001865366662
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
4.00000000
N
N
N
N
N
N
DLL FINANCE LLC DLLAD_21-1
N/A
DLLAD 2021-1A A3
233262AC8
10300000.00000000
PA
USD
10253985.78000000
0.031064468489
Long
ABS-CBDO
CORP
US
Y
2
2026-09-21
Fixed
0.64000000
N
N
N
N
N
N
CSAIL 2017-C8 Commercial Mortgage Trust
N/A
CSAIL 2017-C8 A4
12595BAD3
8560000.00000000
PA
USD
9269880.80000000
0.028083120670
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
3.39200000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2S1
9270000.00000000
PA
USD
9560957.95000000
0.028964939423
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
6952682.67000000
PA
USD
7015440.36000000
0.021253289275
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
6145000.00000000
PA
USD
6370484.26000000
0.019299393602
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.55000000
N
N
N
N
N
N
BANK 2017-BNK6
N/A
BANK 2017-BNK6 A4
060352AE1
4580000.00000000
PA
USD
4897531.40000000
0.014837080245
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Fixed
3.25400000
N
N
N
N
N
N
Chevron USA Inc
VA8TZDWPEZYU430RZ444
CHEVRON USA INC
166756AR7
5870000.00000000
PA
USD
6629353.24000000
0.020083637645
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.85000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1089
36179NF60
279978.73810000
PA
USD
298353.21000000
0.000903861589
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
11612660.37000000
0.035180575620
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
14087.25000000
PA
USD
15571.47000000
0.000047173796
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4520
36202FAV8
678937.51000000
PA
USD
772963.09000000
0.002341693080
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
11260.49000000
PA
USD
12482.50000000
0.000037815756
Long
ABS-MBS
USGA
US
N
2
2041-03-15
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2015-GC30
549300L45M7638EL0H21
GSMS 2015-GC30 A4
36250GAP0
5000.00000000
PA
USD
5374.00000000
0.000016280542
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
3.38200000
N
N
N
N
N
N
Evergy Kansas Central Inc
J75GNWGEO73W89ZV3S44
WESTAR ENERGY
95709TAN0
13385000.00000000
PA
USD
14074108.52000000
0.042637537248
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
55030.80000000
PA
USD
62613.76000000
0.000189688499
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
4687681.28000000
0.014201338926
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
1283336.41000000
0.003887869978
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
4315200.00000000
0.013072906214
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
143051.36000000
PA
USD
148699.44000000
0.000450485222
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
3523.65000000
PA
USD
3936.70000000
0.000011926239
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
8643735.04000000
0.026186210957
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
11364681.90000000
0.034429324396
Long
DBT
CORP
US
N
2
2028-01-13
Fixed
2.20000000
N
N
N
N
N
N
Nationwide Building Society
549300XFX12G42QIKN82
NATIONWIDE BLDG
63859UBF9
10580000.00000000
PA
USD
10491187.88000000
0.031783072681
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
14455970.10000000
0.043794387596
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
22887.57000000
PA
USD
26053.03000000
0.000078927701
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
1598504.10000000
PA
USD
1802309.86000000
0.005460100984
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
3825000.00000000
PA
USD
4083837.75000000
0.012371993859
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
1867292.54000000
0.005656966131
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
27690.49000000
PA
USD
31765.04000000
0.000096232246
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
15000000.00000000
PA
USD
16091100.00000000
0.048748016590
Long
ABS-MBS
CORP
US
N
2
2048-01-15
Fixed
3.49430000
N
N
N
N
N
N
Chile Government International Bond
N/A
CHILE
168863CF3
11616000.00000000
PA
USD
12374112.66000000
0.037487396712
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
19809.59000000
PA
USD
21140.43000000
0.000064044970
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2 10/21
01F0204A4
232000000.00000000
PA
USD
238923761.60000000
0.723819968445
Long
ABS-MBS
USGSE
US
N
2
2021-10-19
Fixed
2.00000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_19-A
N/A
MMAF 2019-A A5
60700FAJ2
4430000.00000000
PA
USD
4657476.07000000
0.014109832188
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
8717020.16000000
0.026408228360
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
3411229.48000000
PA
USD
3623609.56000000
0.010977731724
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
962613.70000000
0.002916239947
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
9333713.68000000
0.028276502496
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
35366.16000000
PA
USD
39566.56000000
0.000119866965
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
1714.11000000
PA
USD
1844.12000000
0.000005586764
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
2005988.54000000
0.006077145914
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
308372.40000000
0.000934214744
Long
ABS-MBS
CORP
US
N
2
2050-05-15
Fixed
3.62500000
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM SOFI_17-D
N/A
SOFI 2017-D A2FX
78471CAB5
119015.05930000
PA
USD
121153.89000000
0.000367035929
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
12959273.08000000
0.039260141264
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
36359.23000000
PA
USD
39802.54000000
0.000120581867
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
1111322.94000000
PA
USD
1155201.41000000
0.003499684763
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
1217020.16000000
PA
USD
1280983.45000000
0.003880741681
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 AD6995
31418UXZ2
705193.70000000
PA
USD
816324.47000000
0.002473056460
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
86837.89000000
PA
USD
92668.43000000
0.000280739176
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
2499401.49000000
0.007571941340
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
246915.40000000
PA
USD
264599.14000000
0.000801603573
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
17825.15000000
PA
USD
20469.76000000
0.000062013174
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.250000 15-DEC-2023
N/A
127003000.00000000
NC
USD
162249.84000000
0.000491536184
N/A
DIR
N/A
N
2
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2023-12-15
10346.72000000
USD
0.00000000
USD
127003000.00000000
USD
151903.12000000
N
N
N
TOYOTA AUTO LOAN EXTENDED NOTE TRUST
N/A
TALNT 2019-1A A
89231XAA9
550000.00000000
PA
USD
577285.23000000
0.001748886649
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
5275000.00000000
PA
USD
5540233.44000000
0.016784147239
Long
DBT
CORP
US
N
2
2026-08-16
Fixed
2.27500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD8316
31418WG20
149646.86000000
PA
USD
169206.23000000
0.000512610580
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
8629034.24000000
0.026141674856
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
5402627.10000000
0.016367268583
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 FM1001
3140X4DF0
2253954.58000000
PA
USD
2396754.77000000
0.007260972916
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 751248
36230KL58
5328.47000000
PA
USD
5868.40000000
0.000017778328
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AE6447
36181AEU2
7165.96000000
PA
USD
7600.71000000
0.000023026364
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
13994206.50000000
0.042395473934
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.06300000
N
N
N
N
N
N
BANK 2019-BNK17
N/A
BANK 2019-BN17 ASB
065403BA4
285000.00000000
PA
USD
314192.55000000
0.000951846899
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
98838.60000000
PA
USD
113198.45000000
0.000342934909
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
6096288.01000000
PA
USD
6570036.65000000
0.019903937929
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
583123.28000000
PA
USD
584653.80000000
0.001771209745
Long
ABS-CBDO
CORP
CA
Y
2
2022-12-19
Fixed
3.27000000
N
N
N
N
N
N
DISCOVER CARD EXECUTION NOTE TRUST DCENT_21-1
N/A
DCENT 2021-A2 A2
254683CQ6
12940000.00000000
PA
USD
12849936.31000000
0.038928905321
Long
ABS-CBDO
CORP
US
N
2
2028-09-15
Fixed
1.03000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NDX6
13316000.00000000
PA
15347795.74000000
0.046496174988
Long
DBT
CORP
US
N
2
2026-09-14
None
0.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AS8132
36193UA95
1951913.85000000
PA
USD
2090001.41000000
0.006331663056
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
DUKE ENERGY PROG
26442UAL8
12500000.00000000
PA
USD
12303565.75000000
0.037273674720
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3937
36179SLS4
149943.98000000
PA
USD
159630.42000000
0.000483600646
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
542176.84000000
PA
USD
584507.19000000
0.001770765590
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
36383.06000000
PA
USD
40637.75000000
0.000123112137
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
726206.38000000
PA
USD
779802.23000000
0.002362412267
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
415268.38000000
PA
USD
458781.57000000
0.001389879597
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
192960.97000000
PA
USD
204359.77000000
0.000619108293
Long
ABS-MBS
USGA
US
N
2
2043-08-15
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 703530
36296WST4
18134.11000000
PA
USD
20797.50000000
0.000063006063
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
8483220.14000000
0.025699930776
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
5049.20000000
PA
USD
5702.58000000
0.000017275976
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
59573094.83000000
0.180476798671
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
26384317.76000000
0.079931338434
Long
DBT
CORP
FR
Y
2
2023-09-27
Fixed
2.25000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2019-B A3
44891JAC2
6989144.61000000
PA
USD
7044113.53000000
0.021340154695
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
488593750.00000000
1.480195650442
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
703837.72000000
PA
USD
731627.27000000
0.002216466139
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
2260728.67000000
0.006848881599
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
3.85000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 733873
3620AMJS2
1049.12000000
PA
USD
1196.25000000
0.000003624041
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
79958.57000000
PA
USD
86429.56000000
0.000261838508
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
26143.74000000
PA
USD
28816.52000000
0.000087299699
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
728069.28000000
PA
USD
778599.47000000
0.002358768504
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
6864488.23000000
PA
USD
7232499.62000000
0.021910870696
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0698
36179MX39
1462215.74000000
PA
USD
1558251.44000000
0.004720725559
Long
ABS-MBS
USGA
US
N
2
2043-01-20
Fixed
3.00000000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513BR5
10000000.00000000
PA
USD
10009766.70000000
0.030324606344
Long
DBT
CORP
US
N
2
2026-05-13
Fixed
1.15000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PCK0
8500000.00000000
PA
USD
8508347.68000000
0.025776054704
Long
DBT
CORP
US
N
2
2025-06-23
Variable
0.96900000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-3
N/A
CARMX 2019-3 A4
14315PAE5
5000000.00000000
PA
USD
5153477.00000000
0.015612467904
Long
ABS-CBDO
CORP
US
N
2
2025-04-15
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2.5 10/21
01F0226A8
936000000.00000000
PA
USD
965103796.80000000
2.923783700156
Long
ABS-MBS
USGSE
US
N
2
2021-10-14
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAB7
200000000.00000000
PA
USD
196187500.00000000
0.594350386535
Long
DBT
UST
US
N
2
2025-07-31
Fixed
0.25000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5457
36179UB27
3493388.78000000
PA
USD
3638132.10000000
0.011021727785
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
447368.01000000
PA
USD
531234.21000000
0.001609375001
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
4583830.80000000
0.013886723709
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
12165065.34000000
0.036854087477
Long
DBT
CORP
US
N
2
2027-04-25
Fixed
3.05000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST_20-A
N/A
SRT 2020-B A4
80286RAD9
4600000.00000000
PA
USD
4612534.54000000
0.013973681741
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
21973086.20000000
0.066567504434
Long
DBT
CORP
US
Y
2
2024-11-01
Fixed
4.12500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AP5408
36189CAH3
422914.62000000
PA
USD
458169.92000000
0.001388026602
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 560457
31386DTN0
18.54000000
PA
USD
21.55000000
0.000000065285
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
7.50000000
N
N
N
N
N
N
New York Life Global Funding
635400DPNHEAUHB7ZI15
NEW YORK LIFE GL
64952WDP5
1100000.00000000
PA
USD
1113304.61000000
0.003372758332
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
76319.46000000
PA
USD
81771.17000000
0.000247725907
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
N/A
6870000.00000000
PA
9001111.09000000
0.027268882347
Long
DBT
CORP
US
N
2
2026-02-19
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 725405
3620AB3N4
36451.61000000
PA
USD
39329.25000000
0.000119148034
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 675756
36295NWR4
1027717.19000000
PA
USD
1096105.81000000
0.003320654536
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
1479139.78000000
0.004481056642
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
1094186.19000000
PA
USD
1167165.78000000
0.003535930844
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
2898.88000000
PA
USD
3253.73000000
0.000009857180
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
7117529.78000000
PA
USD
7437903.32000000
0.022533141577
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.00000000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_17-A
N/A
MMAF 2017-AA A5
55315XAE1
3090000.00000000
PA
USD
3154085.67000000
0.009555308249
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
307615.45000000
PA
USD
336617.71000000
0.001019783962
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
19134215.90000000
0.057967141720
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.20000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4196
36179SUV7
879188.50000000
PA
USD
937742.45000000
0.002840892450
Long
ABS-MBS
USGA
US
N
2
2047-01-20
Fixed
3.50000000
N
N
N
N
N
N
PENDING
N/A
CARD2 2021-1A A
14161GBY5
28920000.00000000
PA
USD
28918339.99000000
0.087608163369
Long
ABS-CBDO
CORP
CA
Y
2
2027-04-15
Fixed
0.60200000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4719
36179TG41
5973966.43000000
PA
USD
6357210.12000000
0.019259179571
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
418760.93000000
0.001268636995
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
2587728.69000000
0.007839528752
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
573257.22000000
PA
USD
629216.12000000
0.001906211375
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
2584726.32000000
PA
USD
2801424.86000000
0.008486921686
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
102554.32000000
PA
USD
120310.43000000
0.000364480665
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
2586238.11000000
0.007835013037
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
191355.74000000
PA
USD
207923.28000000
0.000629903953
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
17238118.76000000
0.052222912000
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
1801361.95000000
PA
USD
2004042.73000000
0.006071251079
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2013-C12
N/A
JPMBB 2013-C12 AS
46639NAU5
1465488.00000000
PA
USD
1527434.18000000
0.004627364614
Long
ABS-MBS
CORP
US
N
2
2045-07-15
Variable
4.17440000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A62378
3128KSUB6
7896.67000000
PA
USD
9242.80000000
0.000028001079
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
12618476.64000000
0.038227697832
Long
DBT
NUSS
JP
Y
2
2023-09-06
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08667
3128MJW55
2597450.19000000
PA
USD
2789149.81000000
0.008449734400
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Arab Petroleum Investments Corp
213800A54KIUYH5YD185
ARAB PETROLEUM
N/A
2880000.00000000
PA
USD
2903027.04000000
0.008794725674
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
9496532.55000000
PA
USD
9603036.16000000
0.029092415437
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
4962339.60000000
0.015033416804
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.75000000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_20-A
N/A
TESLA 2020-A A4
88167HAD8
750000.00000000
PA
USD
754368.23000000
0.002285359918
Long
ABS-CBDO
CORP
US
Y
2
2023-12-20
Fixed
0.78000000
N
N
N
N
N
N
N/A
N/A
SCDS: (AMXLMM)
BVN5KBGF8
-6200000.00000000
NC
USD
64738.23000000
0.000196124585
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
-38518.78000000
USD
-6200000.00000000
USD
103257.01000000
N
N
N
Ginnie Mae II Pool
N/A
G2 782944
36241LHV1
170568.71000000
PA
USD
201411.44000000
0.000610176322
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 AL0755
3138EGZV9
790064.51000000
PA
USD
923141.95000000
0.002796660209
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8249
3138WJEX2
2146827.16000000
PA
USD
2277532.44000000
0.006899788651
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
610584.00000000
0.001849765333
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
4451.30000000
PA
USD
4743.31000000
0.000014369866
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6148
36179UZM7
1418034.47000000
PA
USD
1515595.10000000
0.004591498100
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
5.00000000
N
N
N
N
N
N
Target Corp
8WDDFXB5T1Z6J0XC1L66
TARGET CORP
87612EBJ4
10000000.00000000
PA
USD
10348606.10000000
0.031351120920
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
10091.78000000
PA
USD
11390.91000000
0.000034508782
Long
ABS-MBS
USGA
US
N
2
2035-09-15
Fixed
5.00000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
INTEL CORP
458140BU3
15700000.00000000
PA
USD
15601390.50000000
0.047264440773
Long
DBT
CORP
US
N
2
2031-08-12
Fixed
2.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61747YEC5
15900000.00000000
PA
USD
15824953.91000000
0.047941726528
Long
DBT
CORP
US
N
2
2027-07-20
Variable
1.51200000
N
N
N
N
N
N
COMM 2015-CCRE27 Mortgage Trust
N/A
COMM 2015-CR27 A4
12635QBG4
3386000.00000000
PA
USD
3676417.22000000
0.011137712625
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Fixed
3.61200000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHF9
107080000.00000000
PA
USD
111629710.34000000
0.338182409630
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
837.49000000
PA
USD
900.49000000
0.000002728036
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
45425.25000000
PA
USD
50558.90000000
0.000153168279
Long
ABS-MBS
USGA
US
N
2
2037-08-15
Fixed
6.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAV2
1000000.00000000
PA
USD
1093094.52000000
0.003311531827
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
20746596.60000000
0.062851851970
Long
DBT
CORP
US
N
2
2030-10-15
Variable
2.73900000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4836
36179TLR4
33658425.40000000
PA
USD
35436431.72000000
0.107354734069
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.00000000
N
N
N
N
N
N
Cummins Inc
ZUNI8PYC725B6H8JU438
CUMMINS INC
231021AT3
25000000.00000000
PA
USD
23873617.50000000
0.072325167450
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
10260811.40000000
0.031085146718
Long
DBT
CORP
US
N
2
2026-02-13
Variable
2.01500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 704750
36296X5K6
7819.76000000
PA
USD
8726.73000000
0.000026437644
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
4639130.65000000
PA
USD
5154843.32000000
0.015616607173
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
3.50000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_21-4
N/A
CARMX 2021-4 A3
14317JAD9
20680000.00000000
PA
USD
20636989.74000000
0.062519797789
Long
ABS-CBDO
CORP
US
N
2
2026-09-15
Fixed
0.56000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3455
36179RZU6
134103.37000000
PA
USD
146440.16000000
0.000443640729
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
105953120.00000000
0.320985168915
Long
DBT
UST
US
N
2
2026-03-31
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05982
3128M76T8
14918.90000000
PA
USD
16480.39000000
0.000049927371
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807DP9
15000000.00000000
PA
USD
14856804.75000000
0.045008716894
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.37500000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-E
N/A
SOFI 2017-E A2B
83404KAC7
92991.39000000
PA
USD
93862.77000000
0.000284357431
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
10526251.52000000
0.031889298042
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
8059849.44000000
0.024417328474
Long
DBT
CORP
NO
N
2
2022-01-23
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZT2088
3132AEJ98
9141582.37550000
PA
USD
9951428.76000000
0.030147871449
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA8828
3140QGY27
208273482.36180000
PA
USD
215399101.36000000
0.652551967646
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 CA0559
3140Q7TR8
7016735.04000000
PA
USD
7634811.86000000
0.023129676356
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 738783
3620ASXL8
115087.83000000
PA
USD
129298.78000000
0.000391710888
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
25516.98000000
PA
USD
26680.59000000
0.000080828895
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.00000000
N
N
N
N
N
N
Manufacturers & Traders Trust Co
WWB2V0FCW3A0EE3ZJN75
MANUF & TRADERS
55279HAK6
3700000.00000000
PA
USD
3930845.96000000
0.011908504954
Long
DBT
CORP
US
N
2
2025-02-06
Fixed
2.90000000
N
N
N
N
N
N
Oncor Electric Delivery Co LLC
549300SP2X2BS1KERD24
ONCOR ELECTRIC D
68233JBM5
20000000.00000000
PA
USD
21077179.60000000
0.063853353767
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
2.75000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
AMAZON.COM INC
023135BC9
7000000.00000000
PA
USD
7695914.17000000
0.023314785914
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3811
31418DGV8
183871.93000000
PA
USD
189559.42000000
0.000574270606
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
FNCI 2 11/21
01F0204B2
207000000.00000000
PA
USD
212894656.20000000
0.644964746498
Long
ABS-MBS
USGSE
US
N
2
2021-11-16
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS7530
3138WHLL4
462499.44000000
PA
USD
481824.33000000
0.001459687680
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
303777.78000000
PA
USD
316390.00000000
0.000958504077
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 618002
36290URX6
74718.79000000
PA
USD
85465.97000000
0.000258919310
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
6126143.59000000
PA
USD
6165055.63000000
0.018677047195
Long
ABS-CBDO
CORP
US
N
2
2023-04-20
Fixed
3.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 776431
36176ULL7
73997.85000000
PA
USD
79895.86000000
0.000242044652
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
4.00000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2N2
10000000.00000000
PA
USD
10325368.60000000
0.031280722872
Long
DBT
CORP
US
N
2
2026-04-30
Variable
2.18800000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2019-B A4
44891JAD0
5740000.00000000
PA
USD
5887381.96000000
0.017835834309
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
2016515.48000000
PA
USD
2017577.98000000
0.006112256144
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
4702495.05000000
0.014246217269
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
79779.82000000
PA
USD
87084.99000000
0.000263824134
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
9336605.88000000
0.028285264421
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
5093581.30000000
0.015431013772
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
36706.59000000
PA
USD
41096.00000000
0.000124500406
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 3 11/21
01F0306B9
193000000.00000000
PA
USD
201700073.30000000
0.611050737330
Long
ABS-MBS
USGSE
US
N
2
2021-11-10
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 684647
36295YTC7
2973.44000000
PA
USD
3331.45000000
0.000010092633
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
2.88810000
PA
USD
3.29000000
0.000000009967
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
0641593X2
12000000.00000000
PA
USD
11994440.04000000
0.036337177822
Long
DBT
CORP
CA
N
2
2024-04-15
Fixed
0.70000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD3601
3140FBAB6
2261061.96000000
PA
USD
2470799.20000000
0.007485290650
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
21031515.75000000
0.063715015051
Long
DBT
CORP
US
N
2
2026-05-04
Fixed
3.11900000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_16-6A
N/A
NAVSL 2016-6A A2
63940LAB0
2916134.85000000
PA
USD
2924499.49000000
0.008859776501
Long
ABS-CBDO
CORP
US
Y
2
2066-03-25
Floating
0.83600000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06601
3128M8U28
2172575.95000000
PA
USD
2401885.69000000
0.007276517047
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING LLC HERTZ_21-2
N/A
HERTZ 2021-2A A
42806MAE9
15600000.00000000
PA
USD
15590235.96000000
0.047230648073
Long
ABS-CBDO
CORP
US
Y
2
2027-12-27
Fixed
1.68000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL4808
3138EMKW0
354649.37000000
PA
USD
403005.81000000
0.001220906831
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
9370469.40000000
0.028387854016
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
3360743.45000000
0.010181378367
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
2941820.20000000
PA
USD
3124672.27000000
0.009466200300
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
1261155.88000000
0.003820674022
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
2.95000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2074
36179QJT9
231565.13000000
PA
USD
253404.38000000
0.000767689028
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
2912550.22000000
0.008823576165
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL5319
3138EM4D0
3055918.04000000
PA
USD
3247832.44000000
0.009839314258
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT8360
3138WWJE0
74016.41000000
PA
USD
76387.82000000
0.000231417039
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE1472
3140FLT65
132034.77000000
PA
USD
139433.85000000
0.000422415101
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
4962399.55000000
PA
USD
5003850.97000000
0.015159175575
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
14992720.38000000
0.045420473542
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
4119357.20000000
PA
USD
4144185.80000000
0.012554818385
Long
ABS-CBDO
CORP
US
N
2
2023-06-15
Fixed
3.13000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust 2017-C7
N/A
JPMDB 2017-C7 A5
46648KAU0
360000.00000000
PA
USD
395557.20000000
0.001198341253
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
599441.13000000
PA
USD
639212.19000000
0.001936494487
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 BE3767
3140FPFH7
209819.75000000
PA
USD
223242.84000000
0.000676314588
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 4882
36202FM78
215157.92480000
PA
USD
236723.78000000
0.000717155120
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 617410
36290T3T4
500224.23000000
PA
USD
565057.44000000
0.001711842537
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
95309.59000000
PA
USD
111790.01000000
0.000338668037
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
5.50000000
N
N
N
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
AMERIPRISE FINL
03076CAJ5
1125000.00000000
PA
USD
1139579.21000000
0.003452357280
Long
DBT
CORP
US
N
2
2022-03-22
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2015-C30
N/A
WFCM 2015-C30 A4
94989NBE6
2380000.00000000
PA
USD
2587369.40000000
0.007838440282
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
146704.73000000
PA
USD
161657.81000000
0.000489742628
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 AL5853
3138ENQF9
439447.30000000
PA
USD
495434.86000000
0.001500920805
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH3819
3138A5G55
3365.11000000
PA
USD
3717.42000000
0.000011261930
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
3244448.48000000
PA
USD
3477760.34000000
0.010535881248
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
18787186.91000000
0.056915816766
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
87958.07000000
0.000266469132
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
5742079.25000000
0.017395639486
Long
DBT
CORP
US
N
2
2027-11-13
Fixed
3.00000000
N
N
N
N
N
N
PENDING
N/A
COMET 2021-A1 A1
14041NFW6
46490000.00000000
PA
USD
46384063.24000000
0.140520603584
Long
ABS-CBDO
CORP
US
N
2
2026-07-15
Fixed
0.55000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AI9978
36198XCP6
118299.81000000
PA
USD
125103.60000000
0.000379001582
Long
ABS-MBS
USGA
US
N
2
2044-09-15
Fixed
3.50000000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FIN
74432QCH6
4500000.00000000
PA
USD
4565012.85000000
0.013829714696
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
12024194.34000000
PA
USD
12918734.28000000
0.039137328896
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
3.50000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122DD7
4000000.00000000
PA
USD
4439904.64000000
0.013450699147
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
6538304.32000000
0.019807804777
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
473724.42000000
PA
USD
498747.97000000
0.001510957878
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS1047
3138WAEV5
980865.16000000
PA
USD
1071436.19000000
0.003245917877
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust 2018-C8
N/A
JPMDB 2018-C8 A4
46591ABA2
60000.00000000
PA
USD
68247.60000000
0.000206756227
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Fixed
4.21060000
N
N
N
N
N
N
Slovakia Government International Bond
N/A
SLOVAK REPUBLIC
N/A
706000.00000000
PA
USD
723450.56000000
0.002191694781
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
6955000.00000000
PA
USD
7595533.73000000
0.023010683190
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
208542.30000000
PA
USD
217252.84000000
0.000658167872
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 690106
36296FU76
83063.72000000
PA
USD
91182.67000000
0.000276238063
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
606716.92000000
PA
USD
640850.39000000
0.001941457417
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
934831.04000000
0.002832072328
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
1577094.50000000
PA
USD
1718002.53000000
0.005204691775
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
9145220.93000000
0.027705463368
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
4295062.63000000
0.013011900015
Long
DBT
CORP
GB
N
2
2023-05-25
Fixed
3.60000000
N
N
N
N
N
N
SA Global Sukuk Ltd
5493007DFAVKU7UOGR47
SA GLOBAL SUKU
78397PAA9
8084000.00000000
PA
USD
8007677.99000000
0.024259274972
Long
DBT
CORP
KY
Y
2
2024-06-17
Fixed
0.94600000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS3882
3138WDJ44
57808.49000000
PA
USD
64108.74000000
0.000194217543
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
800000000.00000000
PA
USD
797250000.00000000
2.415270318776
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
566718.42000000
PA
USD
613109.48000000
0.001857416279
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
12394348.00000000
PA
USD
13350268.29000000
0.040444661961
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
101101.54000000
PA
USD
114036.09000000
0.000345472541
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6389
3138WGC36
131259.17000000
PA
USD
138774.98000000
0.000420419053
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
381889.74000000
PA
USD
409354.79000000
0.001240141077
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
2650707.55000000
0.008030323323
Long
ABS-CBDO
CORP
US
N
2
2026-10-08
Fixed
0.61000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BA4735
3140E9HM1
189360.19000000
PA
USD
206985.70000000
0.000627063552
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1286
36179NNB0
9092.66000000
PA
USD
9937.30000000
0.000030105068
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
1392337.25000000
0.004218088220
Long
DBT
USGA
US
N
2
2027-02-01
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 932279
31412QXG9
1153279.22000000
PA
USD
1319834.65000000
0.003998441462
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
11608.82000000
PA
USD
13655.25000000
0.000041368604
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
3617248.96000000
0.010958462274
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
54805.92000000
PA
USD
61929.84000000
0.000187616562
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBX8
150000000.00000000
PA
USD
149812500.00000000
0.453857240052
Long
DBT
UST
US
N
2
2023-04-30
Fixed
0.12500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782762
36241LB70
20808.35000000
PA
USD
23562.32000000
0.000071382091
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
6.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2012-GC6
N/A
GSMS 2012-GC6 AS
36192BAE7
163080.26000000
PA
USD
163367.28000000
0.000494921470
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
418085.32000000
PA
USD
436057.01000000
0.001321035501
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
2.50000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CS6
24000000.00000000
PA
USD
23954333.28000000
0.072569696051
Long
DBT
CORP
GB
N
2
2025-05-24
Variable
0.97600000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 690637
36296GHN4
4442.71000000
PA
USD
4755.12000000
0.000014405644
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
7376155.30000000
0.022346075839
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
150298.91000000
PA
USD
158628.22000000
0.000480564479
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
8185984.49000000
0.024799454836
Long
ABS-CBDO
CORP
US
N
2
2026-04-15
Fixed
0.37000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM3870
3140X7JQ3
1591836.15660000
PA
USD
1693674.51000000
0.005130989995
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZM6688
3131Y1ND8
376000.94000000
PA
USD
409825.65000000
0.001241567548
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
161.11220000
PA
USD
179.31000000
0.000000543219
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
15054.60000000
PA
USD
16168.77000000
0.000048983317
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
90294.65000000
0.000273547805
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
923117.67000000
PA
USD
985553.10000000
0.002985734901
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
401655.95000000
PA
USD
418205.98000000
0.001266955773
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
10837.59000000
PA
USD
12794.16000000
0.000038759930
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AW5174
36195TXB6
879239.44000000
PA
USD
941531.36000000
0.002852370960
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 MA3703
31418DDH2
12842.16000000
PA
USD
13239.38000000
0.000040108725
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.00000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_21-B
N/A
HDMOT 2021-B A4
41285AAD9
9020000.00000000
PA
USD
8987890.60000000
0.027228830849
Long
ABS-CBDO
CORP
US
N
2
2029-05-15
Fixed
0.82000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET COR
857477AN3
31592000.00000000
PA
USD
34190265.40000000
0.103579470946
Long
DBT
CORP
US
N
2
2024-12-16
Fixed
3.30000000
N
N
N
N
N
N
Aflac Inc
549300N0B7DOGLXWPP39
AFLAC INC
001055BJ0
4330000.00000000
PA
USD
4842791.85000000
0.014671246679
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.60000000
N
N
N
N
N
N
Camden Property Trust
5493002MYX22OHYJBD89
CAMDEN PROP TRST
133131AS1
5935000.00000000
PA
USD
6300829.13000000
0.019088373259
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
4.87500000
N
N
N
N
N
N
JT International Financial Services BV
549300U2F0PG10VZUN93
JT INTL FIN SERV
AU5891414
7500000.00000000
PA
9016116.26000000
0.027314340537
Long
DBT
CORP
NL
N
2
2025-09-28
Fixed
1.12500000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QBM1
8930000.00000000
PA
USD
8684619.41000000
0.026310070229
Long
DBT
CORP
US
N
2
2030-08-10
Fixed
1.74900000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5056
36202FTM8
123724.25000000
PA
USD
140902.20000000
0.000426863470
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
185804.31000000
PA
USD
201664.36000000
0.000610942543
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
126905.70000000
PA
USD
132429.91000000
0.000401196652
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Fixed
3.88120000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT3764
3138WRFE5
477790.09000000
PA
USD
524926.28000000
0.001590265115
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
141251.38000000
PA
USD
163998.53000000
0.000496833843
Long
ABS-MBS
USGA
US
N
2
2040-10-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 4.5 10/21
01F0426A6
-170000000.00000000
PA
USD
-183785946.00000000
-0.55677985623
Short
ABS-MBS
USGSE
US
N
2
2021-10-14
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2G7
700000.00000000
PA
USD
732127.80000000
0.002217982495
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
2883478.80000000
0.008735504246
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
18719566.20000000
0.056710959703
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
967421.36000000
0.002930804762
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Fixed
3.44100000
N
N
N
N
N
N
Credit Suisse AG/New York NY
549300D0YARF5HYP1809
CRED SUIS NY
22550L2D2
14470000.00000000
PA
USD
14598297.82000000
0.044225569682
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
155512.50000000
PA
USD
164127.89000000
0.000497225739
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Fixed
4.20500000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
ACE INA HOLDINGS
00440EAS6
9485000.00000000
PA
USD
10184961.79000000
0.030855360187
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.15000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2826
36179RD71
344801.99000000
PA
USD
368731.56000000
0.001117072928
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
71112.37000000
PA
USD
80401.43000000
0.000243576277
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
-51330.34000000
-0.00015550535
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
13294.93000000
USD
0.00000000
USD
7920000.00000000
USD
-64625.27000000
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_19-B
N/A
NAROT 2019-B A4
65479HAD9
2500000.00000000
PA
USD
2571851.75000000
0.007791429534
Long
ABS-CBDO
CORP
US
N
2
2025-12-15
Fixed
2.54000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GKA6
25200000.00000000
PA
USD
24842543.54000000
0.075260530642
Long
DBT
CORP
US
N
2
2032-07-21
Variable
2.29900000
N
N
N
N
N
N
CNH EQUIPMENT TRUST CNH_20-A
N/A
CNH 2020-A A4
12597PAD0
2040000.00000000
PA
USD
2083183.54000000
0.006311008306
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
3559.90000000
PA
USD
4016.28000000
0.000012167327
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2755
36179RBY4
247038.17000000
PA
USD
270354.67000000
0.000819039962
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
1970000.00000000
PA
USD
2052996.10000000
0.006219555402
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
20307782.70000000
0.061522464465
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
825781.74000000
PA
USD
898745.50000000
0.002722751119
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
1711733.38000000
0.005185699374
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
7650291.30000000
0.023176571347
Long
DBT
CORP
US
N
2
2031-04-29
Variable
2.59200000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C50700
31298LX53
32.30000000
PA
USD
37.83000000
0.000000114606
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
7.00000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6
N/A
MSBAM 2012-C6 A4
61761DAD4
911038.57000000
PA
USD
923647.34000000
0.002798191289
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
4231154.94000000
0.012818291553
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
33067590.94000000
PA
USD
34360794.98000000
0.104096090617
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
2.50000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC FINANCIAL
693475AZ8
5000000.00000000
PA
USD
5200257.65000000
0.015754189968
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
129742.64000000
PA
USD
138624.60000000
0.000419963476
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4680
36202FFV3
83300.26000000
PA
USD
96025.73000000
0.000290910122
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
5.50000000
N
N
N
N
N
N
Comm 2013-CCRE13 Mortgage Trust
N/A
COMM 2013-CR13 A4
12630BBA5
4199989.00000000
PA
USD
4486050.25000000
0.013590497356
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
859012.98000000
PA
USD
934398.84000000
0.002830762977
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783851
3622A2H47
203531.31000000
PA
USD
238453.27000000
0.000722394613
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
3558.36000000
PA
USD
4048.61000000
0.000012265271
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
4.50000000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp
4NYF266XZC35SCTGX023
NATL RURAL UTIL
637432NS0
9996000.00000000
PA
USD
11198364.36000000
0.033925465108
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
172432.43000000
PA
USD
187735.45000000
0.000568744885
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
9617399.23000000
0.029135928383
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
415471.11000000
PA
USD
431888.41000000
0.001308406720
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
53795.39000000
PA
USD
62590.83000000
0.000189619032
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
3251973.36000000
0.009851859183
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
15727270.25000000
0.047645793703
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
556657.53000000
PA
USD
596447.02000000
0.001806937327
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
261088.03000000
PA
USD
291264.04000000
0.000882384936
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_21-B
N/A
HART 2021-B A4
44934KAD6
16090000.00000000
PA
USD
16107079.54000000
0.048796426635
Long
ABS-CBDO
CORP
US
N
2
2027-02-16
Fixed
0.60000000
N
N
N
N
N
N
N/A
N/A
SCDS: (CHILE)
N/A
-46240000.00000000
NC
USD
290518.29000000
0.000880125685
N/A
DCR
N/A
N
2
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N/A
CHILE
Y
Payout of notional amount upon default event with regard to reference instrument
2026-12-20
314118.60000000
USD
0.00000000
USD
-46240000.00000000
USD
-23600.31000000
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1011
36179NDQ8
3215996.90000000
PA
USD
3427121.63000000
0.010382471184
Long
ABS-MBS
USGA
US
N
2
2043-05-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q23995
3132M4C86
14923.68000000
PA
USD
16497.61000000
0.000049979539
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
7165071.63000000
PA
USD
7826922.19000000
0.023711674948
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 784221
3622A2VN9
998543.30000000
PA
USD
1127600.43000000
0.003416067544
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
933254.96000000
PA
USD
998024.53000000
0.003023517121
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
8687265.06000000
0.026318085231
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 Q26048
3132M6L57
1659985.30000000
PA
USD
1815494.88000000
0.005500045026
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 609185
36202TXN1
804129.03000000
PA
USD
875167.32000000
0.002651320980
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
1539795.75000000
PA
USD
1719982.65000000
0.005210690552
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353RFJ2
6245000.00000000
PA
USD
6841762.89000000
0.020727133065
Long
DBT
CORP
US
N
2
2028-01-22
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2608
31418B3S3
142287.47000000
PA
USD
150240.69000000
0.000455154442
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
9661226.42000000
0.029268702935
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
4766803.12000000
0.014441038684
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
512931.54000000
PA
USD
547090.22000000
0.001657410812
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
3.50000000
N
N
N
N
N
N
Sky Ltd
2138003TS48MQKF4BZ29
BRIT SKY BROADCA
N/A
8970000.00000000
PA
11641669.59000000
0.035268459105
Long
DBT
CORP
GB
N
2
2026-09-15
Fixed
2.50000000
N
N
N
N
N
N
CD 2017-CD4 Mortgage Trust
N/A
CD 2017-CD4 A4
12515DAR5
480000.00000000
PA
USD
525350.40000000
0.001591549988
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
5915987.53000000
PA
USD
6204124.52000000
0.018795406468
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
100526.55000000
PA
USD
110067.19000000
0.000333448751
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
4.00000000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP
55608JAR9
7470000.00000000
PA
USD
7407079.22000000
0.022439759910
Long
DBT
CORP
AU
Y
2
2027-01-12
Variable
1.34000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7288
3133JLCZ0
2051137.66000000
PA
USD
2233508.62000000
0.006766418409
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
1256.22000000
PA
USD
1388.94000000
0.000004207796
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
81291.55000000
PA
USD
89035.03000000
0.000269731784
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
4148945.55000000
PA
USD
4732099.76000000
0.014335904792
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
15828.16000000
PA
USD
17486.52000000
0.000052975444
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
63898.80000000
0.000193581530
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.24900000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAX7
5400000.00000000
PA
USD
5739456.53000000
0.017387693951
Long
DBT
CORP
JP
N
2
2030-07-16
Variable
3.15300000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BJ0648
3140H1WJ5
21265.47000000
PA
USD
22587.26000000
0.000068428145
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
10460969.37000000
0.031691525650
Long
DBT
CORP
US
N
2
2023-05-10
Fixed
2.75000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 733226
3620ALSP0
74476.87000000
PA
USD
84595.48000000
0.000256282159
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
16084729.05000000
0.048728715785
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
573952.51000000
PA
USD
655420.88000000
0.001985598742
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236TJK2
50000000.00000000
PA
USD
49686760.00000000
0.150526129400
Long
DBT
CORP
US
N
2
2026-06-18
Fixed
1.12500000
N
N
N
N
N
N
CDP Financial Inc
549300OXMGVYFCBFV096
CDP FINANCIAL
125094AU6
40000000.00000000
PA
USD
40108203.20000000
0.121507874228
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
979615.78000000
0.002967747779
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
6838079.05000000
0.020715972865
Long
DBT
CORP
AU
N
2
2024-05-20
Fixed
0.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 737036
3620AQY98
1831.50000000
PA
USD
2121.56000000
0.000006427269
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
5424723.90000000
0.016434210878
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
4091090.91000000
0.012393967320
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
3013027.23000000
PA
USD
3188193.48000000
0.009658637921
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
494938.12000000
PA
USD
532035.56000000
0.001611802692
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG J31851
31307NBU7
199467.82000000
PA
USD
205981.34000000
0.000624020842
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5906
3138WFR40
328692.89000000
PA
USD
352949.90000000
0.001069262361
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGRAM SOFI_17-F
N/A
SOFI 2017-F A2FX
83401BAB2
167886.67000000
PA
USD
171512.25000000
0.000519596671
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
78353.20000000
PA
USD
87960.39000000
0.000266476160
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
26465.73000000
PA
USD
30093.11000000
0.000091167131
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
96166.65000000
PA
USD
108703.31000000
0.000329316874
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
5.00000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NCA7
28825000.00000000
PA
USD
31312576.75000000
0.094861507969
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
14501769.83000000
0.043933137961
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
39247.21000000
PA
USD
44057.43000000
0.000133472063
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
5727.50000000
PA
USD
6334.34000000
0.000019189894
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
2403.70000000
PA
USD
2859.04000000
0.000008661466
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
3956.34000000
PA
USD
4361.30000000
0.000013212566
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
7273000.00000000
PA
USD
7606186.46000000
0.023042955654
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
11733079.36000000
0.035545385169
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
709417.94000000
PA
USD
774329.75000000
0.002345833379
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
4.00000000
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
11857418.46000000
0.035922070697
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.45100000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GWM2
4750000.00000000
PA
USD
4842205.10000000
0.014669469119
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
76649.49000000
PA
USD
83285.86000000
0.000252314663
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967NA5
16080000.00000000
PA
USD
15994711.84000000
0.048456008484
Long
DBT
CORP
US
N
2
2027-06-09
Variable
1.46200000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4774
36202FJT4
13743.83000000
PA
USD
16156.61000000
0.000048946479
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
6.00000000
N
N
N
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
VISA INC
92826CAL6
4000000.00000000
PA
USD
4130185.68000000
0.012512404997
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
1.90000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-3
N/A
HAROT 2019-3 A3
43815NAC8
23669856.86000000
PA
USD
23845525.07000000
0.072240061382
Long
ABS-CBDO
CORP
US
N
2
2023-08-15
Fixed
1.78000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q14935
3132HRPU8
63085.17000000
PA
USD
67146.92000000
0.000203421715
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MCH1
14400000.00000000
PA
USD
14283006.05000000
0.043270392694
Long
DBT
CORP
JP
N
2
2026-09-17
Fixed
1.40200000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4838
36179TLT0
4380113.37000000
PA
USD
4726039.83000000
0.014317546223
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
647112.59000000
0.001960428763
Long
DBT
CORP
US
N
2
2023-01-23
Fixed
3.12500000
N
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
PUBLIC STORAGE
74460WAD9
5710000.00000000
PA
USD
5774347.82000000
0.017493397177
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
1.85000000
N
N
N
N
N
N
Virginia Electric and Power Co
CQKUMNNZVDJLRYV2PT43
VIRGINIA EL&PWR
927804FQ2
1730000.00000000
PA
USD
1832028.95000000
0.005550135021
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.45000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL4719
36184BG43
130358.48000000
PA
USD
138768.69000000
0.000420399997
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
3.50000000
N
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
PUBLIC STORAGE
74460WAE7
9170000.00000000
PA
USD
9287145.56000000
0.028135424292
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
2.30000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
SUNTRUST BANK
86787EBB2
34710000.00000000
PA
USD
38659359.68000000
0.117118600160
Long
DBT
CORP
US
N
2
2025-11-03
Fixed
4.05000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCA4
3434000.00000000
PA
USD
3613429.83000000
0.010946892213
Long
DBT
CORP
CA
N
2
2024-06-12
Fixed
2.65000000
N
N
N
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE
191216DD9
14575000.00000000
PA
USD
14077295.67000000
0.042647192725
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
8561673.54000000
PA
USD
8640960.63000000
0.026177805876
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
269662.99000000
PA
USD
289580.35000000
0.000877284194
Long
ABS-MBS
USGA
US
N
2
2044-11-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AH0057
3138A1B34
10170.15000000
PA
USD
11328.19000000
0.000034318772
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
44734.49000000
PA
USD
48849.76000000
0.000147990436
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH3245
3140GRTB0
2575121.36000000
PA
USD
2805453.35000000
0.008499126004
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
1006572.60000000
0.003049413514
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 AD6987
31418UXR0
1302455.94000000
PA
USD
1462331.89000000
0.004430137108
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4085
36202ERE1
186128.63000000
PA
USD
215441.47000000
0.000652680323
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
59618.42000000
PA
USD
68568.50000000
0.000207728394
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
3749113.51000000
0.011357946167
Long
DBT
CORP
US
N
2
2022-08-07
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06062
3128M8B78
267833.40000000
PA
USD
296211.39000000
0.000897372942
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
23769723.57000000
0.072010420601
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
188114.77000000
PA
USD
195719.52000000
0.000592932640
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5191
36179TXU4
176369.72000000
PA
USD
187684.49000000
0.000568590502
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
19771790.16000000
0.059898674095
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
30600000.00000000
PA
USD
31096806.30000000
0.094207831000
Long
DBT
CORP
US
N
2
2023-06-05
Variable
2.90800000
N
N
N
N
N
N
salesforce.com Inc
RCGZFPDMRW58VJ54VR07
SALESFORCE.COM
79466LAJ3
7425000.00000000
PA
USD
7397390.81000000
0.022410408855
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
1.95000000
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
6749656.98000000
0.020448098044
Long
ABS-CBDO
CORP
US
N
2
2025-05-15
Fixed
1.68000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
085209AG9
15000000.00000000
PA
USD
14893958.40000000
0.045121273944
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
1035642.41000000
PA
USD
1104023.70000000
0.003344641798
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967MX6
10415000.00000000
PA
USD
10454778.22000000
0.031672769550
Long
DBT
CORP
US
N
2
2025-05-01
Variable
0.98100000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAU4
16022000.00000000
PA
USD
16441572.92000000
0.049809774935
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
6078521.22000000
0.018414891043
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
8412212.80000000
PA
USD
8781085.81000000
0.026602315363
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
331365.03000000
0.001003870958
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
4.21800000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS IN
718172CP2
5000000.00000000
PA
USD
4975470.05000000
0.015073195526
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
1.514514301381
Long
DBT
UST
US
N
2
2022-11-30
Fixed
0.12500000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BM0
13015000.00000000
PA
USD
13387202.97000000
0.040556555641
Long
DBT
CORP
GB
N
2
2023-11-22
Variable
3.03300000
N
N
N
N
N
N
Security Benefit Global Funding
5493003C0JW6BY7YFF93
SECURITY BENEFIT
81412DAA1
4000000.00000000
PA
USD
4028457.52000000
0.012204219352
Long
DBT
CORP
US
Y
2
2024-05-17
Fixed
1.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH9924
3140H0A28
4849957.78000000
PA
USD
5250632.68000000
0.015906801212
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp
4NYF266XZC35SCTGX023
NATL RURAL UTIL
637432NJ0
3375000.00000000
PA
USD
3472087.14000000
0.010518694278
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
2.70000000
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
7629578.51000000
0.023113821912
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
60124.53000000
PA
USD
67361.23000000
0.000204070968
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
5.50000000
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
5645226.87000000
0.017102225025
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
3.15000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 676489
36295PRJ3
2222.36000000
PA
USD
2508.32000000
0.000007598959
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
2194332.67000000
PA
USD
2330732.39000000
0.007060957996
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
BURLINGTON NORTH
12189LAR2
1265000.00000000
PA
USD
1354707.75000000
0.004104089581
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.75000000
N
N
N
N
N
N
Nestle Holdings Inc
549300EAEU8YV8MQXP30
NESTLE HOLDINGS
641062AS3
16825000.00000000
PA
USD
16385160.35000000
0.049638872952
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
43343.45000000
PA
USD
50180.71000000
0.000152022551
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
27682460.25000000
0.083864063458
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
67899.83000000
PA
USD
79747.79000000
0.000241596074
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
4389280.47000000
0.013297333132
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
126572.49000000
PA
USD
148292.52000000
0.000449252457
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
61766.54000000
PA
USD
70319.26000000
0.000213032325
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
5.00000000
N
N
N
N
N
N
Oncor Electric Delivery Co LLC
549300SP2X2BS1KERD24
ONCOR ELECTRIC D
68233JBZ6
23000000.00000000
PA
USD
22429449.81000000
0.067950058817
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
0.55000000
N
N
N
N
N
N
CDP Financial Inc
549300OXMGVYFCBFV096
CDP FINANCIAL
N/A
20000000.00000000
PA
USD
21420724.00000000
0.064894122149
Long
DBT
NUSS
CA
N
2
2024-07-24
Fixed
3.15000000
N
N
N
N
N
N
Walt Disney Co/The
549300GZKULIZ0WOW665
WALT DISNEY CO
254687DK9
2200000.00000000
PA
USD
2412293.53000000
0.007308047617
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
50266053.84000000
0.152281101137
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
0.95000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782716
36241LAR7
162274.83000000
PA
USD
187176.15000000
0.000567050485
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
5919630.00000000
0.017933529805
Long
ABS-MBS
CORP
US
N
2
2053-02-13
Fixed
2.84280000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4802
36202FKP0
21624.36000000
PA
USD
24624.58000000
0.000074600209
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
16744.16000000
PA
USD
18804.67000000
0.000056968781
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
542131.73000000
0.001642389057
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
52600.47000000
PA
USD
61142.13000000
0.000185230193
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
10851316.00000000
0.032874081473
Long
DBT
NUSS
KR
N
2
2025-11-10
Fixed
3.25000000
N
N
N
N
N
N
MERCEDES-BENZ AUTO LEASE TRUST MBALT_21-B
N/A
MBALT 2021-B A4
58769KAE4
8120000.00000000
PA
USD
8105006.42000000
0.024554131627
Long
ABS-CBDO
CORP
US
N
2
2027-03-15
Fixed
0.51000000
N
N
N
N
N
N
Temasek Financial I Ltd
549300XMGMDF3VRJMF12
TEMASEK FINL I
87973PAE4
20000000.00000000
PA
USD
22536695.60000000
0.068274960132
Long
DBT
CORP
SG
Y
2
2028-08-01
Fixed
3.62500000
N
N
N
N
N
N
BMW US Capital LLC
KK5MZM9DIXLXZL9DZL15
BMW US CAP LLC
05565EBQ7
10000000.00000000
PA
USD
10039740.60000000
0.030415412329
Long
DBT
CORP
US
Y
2
2024-04-01
Fixed
0.80000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC8900
3140F43J3
120272.00000000
PA
USD
128960.94000000
0.000390687401
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
232221.48000000
PA
USD
251036.81000000
0.000760516470
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
64629.16000000
PA
USD
73324.02000000
0.000222135251
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
5469149.02000000
PA
USD
5521833.88000000
0.016728405739
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
39716.79000000
PA
USD
42361.77000000
0.000128335058
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
22667579.13000000
0.068671472024
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
9988.66000000
PA
USD
11368.68000000
0.000034441436
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
458444.82000000
PA
USD
504339.73000000
0.001527898125
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA-BG
91412HGG2
34665000.00000000
PA
USD
33583895.71000000
0.101742472872
Long
DBT
MUN
US
N
2
2030-05-15
Fixed
1.61400000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCQ9
16780000.00000000
PA
USD
16737039.68000000
0.050704892020
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
281911.60000000
PA
USD
301383.29000000
0.000913041222
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
13208.52000000
PA
USD
14517.18000000
0.000043979823
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC7500
3140F3KN7
297502.69000000
PA
USD
320361.52000000
0.000970535804
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
US 5YR NOTE (CBT) Dec21
N/A
5200.00000000
NC
USD
-4386052.16000000
-0.01328755296
N/A
DIR
N/A
N
1
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Long
N/A
CBOT 5 Year US Treasury Note
2021-12-31
642645429.76000000
USD
-4386052.16000000
N
N
N
Freddie Mac Gold Pool
N/A
FG Q39051
3132QWBV0
271627.35000000
PA
USD
296719.50000000
0.000898912262
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
14389.70000000
PA
USD
15194.05000000
0.000046030401
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
893467.03000000
PA
USD
1002371.19000000
0.003036685335
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
98459.62000000
PA
USD
107383.79000000
0.000325319386
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
24.34920000
PA
USD
28.40000000
0.000000086037
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8461
3138WJMK1
1528001.26000000
PA
USD
1623886.70000000
0.004919567698
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 AB1808
31416XAJ9
12187704.89000000
PA
USD
13561973.43000000
0.041086023066
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2.5 10/21
21H0226A4
197000000.00000000
PA
USD
203371728.60000000
0.616115020088
Long
ABS-MBS
USGA
US
N
2
2021-10-21
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL2589
36183X2W9
4544.29000000
PA
USD
4841.67000000
0.000014667848
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
180.63000000
PA
USD
196.80000000
0.000000596205
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
5605110.00000000
0.016980690895
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
22822278.39000000
0.069140133712
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
1534983.20000000
PA
USD
1624027.88000000
0.004919995403
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.00000000
N
N
N
N
N
N
Chubb INA Holdings Inc
CZCBJZWDMLTHWJDXU843
CHUBB INA HLDGS
171239AE6
5100000.00000000
PA
5962534.99000000
0.018063510550
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
0.30000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2960
31418CJE5
382228.92000000
PA
USD
413425.99000000
0.001252474785
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
Rockwell Automation Inc
VH3R4HHBHH12O0EXZJ88
ROCKWELL AUTOMAT
773903AL3
7500000.00000000
PA
USD
7312329.08000000
0.022152714190
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
1.75000000
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
23761108.55000000
0.071984321382
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
259382.37000000
PA
USD
297659.24000000
0.000901759206
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
5.41000000
PA
USD
5.41000000
0.000000016389
Long
ABS-MBS
USGSE
US
N
2
2022-01-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 666776
36295CXD8
170.82000000
PA
USD
192.26000000
0.000000582452
Long
ABS-MBS
USGA
US
N
2
2037-07-15
Fixed
5.50000000
N
N
N
N
N
N
Sinopec Group Overseas Development 2015 Ltd
5299002Z28NLP3WPFH36
SINOPEC GRP OVER
N/A
304000.00000000
PA
USD
323177.78000000
0.000979067669
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
5214.14000000
PA
USD
6084.40000000
0.000018432700
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
567930.69000000
PA
USD
649263.70000000
0.001966945554
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
11506256.78000000
0.034858225752
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
1725.53000000
PA
USD
1968.33000000
0.000005963059
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
13614807.19000000
0.041246083037
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
17170863.12000000
0.052019160917
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
8531.14000000
PA
USD
9623.47000000
0.000029154319
Long
ABS-MBS
USGA
US
N
2
2038-09-15
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 705381
36296YUE0
4126.97000000
PA
USD
4764.31000000
0.000014433485
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
12619183.11000000
0.038229838084
Long
DBT
NUSS
IL
N
2
2030-07-03
Fixed
2.75000000
N
N
N
N
N
N
MDGH - GMTN BV
213800L53ZH5KG593W13
MDGH - GMTN BV
N/A
624000.00000000
PA
USD
651847.25000000
0.001974772424
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
12600000.00000000
PA
USD
13290308.64000000
0.040263014092
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
815171.27000000
PA
USD
964801.09000000
0.002922866649
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
2592603.99000000
PA
USD
2575752.06000000
0.007803245530
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
5315159.88000000
PA
USD
5525014.62000000
0.016738041796
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
4484.93000000
PA
USD
5145.55000000
0.000015588453
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
5.00000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
CAN IMPERIAL BK
13607HVE9
9975000.00000000
PA
USD
9878094.77000000
0.029925705994
Long
DBT
CORP
CA
N
2
2026-06-22
Fixed
1.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 656202
36294QAB7
33159.97000000
PA
USD
39099.08000000
0.000118450733
Long
ABS-MBS
USGA
US
N
2
2036-08-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2 10/21
01F0204A4
-157000000.00000000
PA
USD
-161685476.60000000
-0.48982644416
Short
ABS-MBS
USGSE
US
N
2
2021-10-19
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698235
36296QV48
946.81000000
PA
USD
1097.66000000
0.000003325362
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
18242244.06000000
PA
USD
19013646.54000000
0.057601876625
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Pepper Residential Securities Trust No. 22
N/A
PEPAU 22A A1U
71338AAA9
2784537.02080000
PA
USD
2789836.83000000
0.008451815728
Long
ABS-MBS
CORP
AU
Y
2
2060-06-20
Floating
1.08740000
N
N
N
N
N
N
ERP Operating LP
DX5HQV5MLU50FEWZ5072
ERP OPERATING LP
26884ABN2
4750000.00000000
PA
USD
4592839.84000000
0.013914016612
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
1.85000000
N
N
N
N
N
N
ConocoPhillips Co
6VJJ5GQWIRDQ06DUXG89
CONOCOPHIL CO
20826FAQ9
41760000.00000000
PA
USD
48007146.92000000
0.145437738532
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
3819769.64000000
PA
USD
4010920.08000000
0.012151089645
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
66912.80000000
PA
USD
71078.26000000
0.000215331717
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
2302.56000000
PA
USD
2538.63000000
0.000007690784
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
1378558.36790000
PA
USD
1377129.49000000
0.004172016283
Long
ABS-MBS
CORP
AU
Y
2
2050-04-10
Floating
0.93480000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 724254
3620AATK4
30952.16000000
PA
USD
35300.29000000
0.000106942292
Long
ABS-MBS
USGA
US
N
2
2039-08-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL6248
3131XM5H4
869087.20000000
PA
USD
952656.63000000
0.002886074985
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
1408694.10000000
0.004267641327
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
32469.03000000
PA
USD
37380.03000000
0.000113242868
Long
ABS-MBS
USGA
US
N
2
2035-08-15
Fixed
5.50000000
N
N
N
N
N
N
BMW VEHICLE OWNER TRUST BMWOT_19-A
N/A
BMWOT 2019-A A3
05588CAC6
13825682.40000000
PA
USD
13935603.49000000
0.042217936009
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
14688234.00000000
0.044498031502
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.12700000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3057
31418CMF8
1208189.34000000
PA
USD
1285482.53000000
0.003894371652
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
USAA Capital Corp
5493007XLF4LU3U2W757
USAA CAP CORP
90327QD55
2400000.00000000
PA
USD
2413436.69000000
0.007311510822
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
67704.10000000
PA
USD
68675.51000000
0.000208052581
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
44290.59000000
PA
USD
51290.55000000
0.000155384814
Long
ABS-MBS
USGA
US
N
2
2041-06-15
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CREDIT CARD TRUST BACCT_21-A1
N/A
BACCT 2021-A1 A1
05522RDD7
8220000.00000000
PA
USD
8190053.72000000
0.024811782576
Long
ABS-CBDO
CORP
US
N
2
2026-09-15
Fixed
0.44000000
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
2679065.81000000
0.008116234723
Long
ABS-CBDO
CORP
CA
Y
2
2023-08-21
Fixed
3.44000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBF2
13250000.00000000
PA
USD
13738985.29000000
0.041622280816
Long
DBT
CORP
US
N
2
2025-10-15
Variable
2.30100000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CM9
13330000.00000000
PA
USD
13248554.77000000
0.040136520668
Long
DBT
CORP
GB
N
2
2027-05-24
Variable
1.58900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB7568
31417EMS7
1302233.43000000
PA
USD
1397533.48000000
0.004233830208
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
19761.58000000
PA
USD
20571.23000000
0.000062320578
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
1587500.70000000
0.004809336245
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
2870269.40000000
0.008695486345
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
5022353.57000000
0.015215229235
Long
ABS-CBDO
CORP
US
N
2
2024-04-15
Fixed
3.02000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH3260
3140GRTS3
1268980.41000000
PA
USD
1382485.12000000
0.004188241174
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
BANK 2019-BNK23
N/A
BANK 2019-BN23 A3
06541RBB8
11780000.00000000
PA
USD
12559364.80000000
0.038048618405
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
2.92000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 609137
36202TV60
2074560.73000000
PA
USD
2229173.38000000
0.006753284791
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
10146909.60000000
0.030740081008
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
1.50000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC FINANCIAL
693475AL9
1335000.00000000
PA
USD
1372820.38000000
0.004158961827
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
1267016.40000000
0.003838428478
Long
ABS-MBS
CORP
US
N
2
2052-07-10
Fixed
3.16000000
N
N
N
N
N
N
COMM 2013-CCRE9 Mortgage Trust
549300C72XVZH4MIKU63
COMM 2013-CR9 A4
12625UBF9
1946904.00000000
PA
USD
2049505.84000000
0.006208981653
Long
ABS-MBS
CORP
US
N
2
2045-07-10
Variable
4.38800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2805
31418CDK7
85425.80000000
PA
USD
88976.27000000
0.000269553771
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
827213.11000000
PA
USD
861922.56000000
0.002611195956
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
1829120.65000000
PA
USD
1956068.76000000
0.005925913850
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 685484
36296ARD8
9.89000000
PA
USD
11.72000000
0.000000035505
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
6.00000000
N
N
N
N
N
N
Five Corners Funding Trust
N/A
FIVE COR FND TRS
33829TAA4
15000000.00000000
PA
USD
16201845.75000000
0.049083521040
Long
DBT
CORP
US
Y
2
2023-11-15
Fixed
4.41900000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2073
36179QJS1
156147.82000000
PA
USD
168738.36000000
0.000511193167
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
6284632.41000000
0.019039305267
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
730276.22000000
PA
USD
831649.73000000
0.002519484363
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
16488968.82000000
PA
USD
17580152.71000000
0.053259104471
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH8184
3140GXCW9
10663872.02000000
PA
USD
11346094.30000000
0.034373013229
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
1539815.42000000
0.004664873603
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
10424.10000000
0.000031579829
Long
ABS-MBS
CORP
US
N
2
2046-06-10
Variable
3.61200000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT8117
36194HAS1
571755.95000000
PA
USD
625707.41000000
0.001895581731
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
41029361.40000000
0.124298524663
Long
DBT
CORP
US
N
2
2028-01-20
Variable
3.82400000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST NAVSL_16-2
N/A
NAVSL 2016-2A A2
63940FAB3
234114.68230000
PA
USD
234467.31000000
0.000710319140
Long
ABS-CBDO
CORP
US
Y
2
2065-06-25
Floating
1.13600000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08595
3128MJUV0
148769.51000000
PA
USD
162637.86000000
0.000492711691
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AX8000
3138Y93J5
237477.63000000
PA
USD
262675.57000000
0.000795776115
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
4359336.34000000
0.013206617336
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
7634034.08000000
0.023127320070
Long
DBT
CORP
US
N
2
2025-03-10
Fixed
1.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CCJ8
300000000.00000000
PA
USD
298921860.00000000
0.905584316201
Long
DBT
UST
US
N
2
2026-06-30
Fixed
0.87500000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q02606
3132GF3P0
295181.16000000
PA
USD
336670.70000000
0.001019944495
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
5.00000000
N
N
N
N
N
N
DNB Bank ASA
549300GKFG0RYRRQ1414
DNB BANK ASA
23329PAG5
10000000.00000000
PA
USD
10005358.90000000
0.030311252906
Long
DBT
CORP
NO
Y
2
2027-05-25
Variable
1.53500000
N
N
N
N
N
N
Korea Development Bank/The
549300ML2LNRZUCS7149
KOREA DEV BANK
50065TAC7
605000.00000000
PA
USD
607982.09000000
0.001841882842
Long
DBT
NUSS
KR
N
2
2021-11-16
Fixed
4.62500000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122CN6
33439000.00000000
PA
USD
36458205.97000000
0.110450201009
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
22566360.83000000
0.068364831000
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
7494929.70000000
PA
USD
7535203.70000000
0.022827913254
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
32114.39000000
PA
USD
35477.43000000
0.000107478938
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
NTT Finance Corp
3538007PR116187GD960
NTT FINANCE
62954WAC9
34635000.00000000
PA
USD
34423325.43000000
0.104285526728
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
11064163.33000000
PA
USD
11967252.43000000
0.036254812908
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST KCOT_20-2
N/A
KCOT 2020-2A A4
50116YAD3
3000000.00000000
PA
USD
3004715.70000000
0.009102791654
Long
ABS-CBDO
CORP
US
Y
2
2026-06-15
Fixed
0.73000000
N
N
N
N
N
N
Public Service Electric and Gas Co
549300RUHPVD434XUK18
PUBLIC SERVICE
74456QBR6
5000000.00000000
PA
USD
5226428.70000000
0.015833475211
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
27031.79000000
PA
USD
30360.64000000
0.000091977613
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
5.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJT7
9400000.00000000
PA
USD
9595784.52000000
0.029070446580
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.68700000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HNDLSBKN
86959LAG8
23500000.00000000
PA
USD
23441211.70000000
0.071015193295
Long
DBT
CORP
SE
Y
2
2024-06-11
Fixed
0.55000000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_21-A
N/A
WOLS 2021-A A4
98163JAD7
8340000.00000000
PA
USD
8336105.22000000
0.025254245860
Long
ABS-CBDO
CORP
US
N
2
2026-11-16
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BK5246
3140HJZL8
1090383.73000000
PA
USD
1191530.12000000
0.003609742656
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
3731.08000000
PA
USD
4122.75000000
0.000012489878
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
32661.99000000
PA
USD
37001.86000000
0.000112097201
Long
ABS-MBS
USGA
US
N
2
2038-04-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM4655
3140J9E56
1235498.55000000
PA
USD
1313764.54000000
0.003980052053
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
2400137.46000000
0.007271220781
Long
ABS-MBS
CORP
US
Y
2
2045-07-10
Variable
4.41170000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC19
N/A
CGCMT 2014-GC19 A4
17322AAD4
1949000.00000000
PA
USD
2084241.11000000
0.006314212217
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
13.15940000
PA
USD
14.70000000
0.000000044533
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
363938.12000000
PA
USD
399953.98000000
0.001211661306
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
5.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C21
N/A
JPMBB 2014-C21 A4
46642EAX4
145459.38000000
PA
USD
152765.80000000
0.000462804267
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.49270000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST SRT_21-B
N/A
SRT 2021-B A3
80286DAC2
22520000.00000000
PA
USD
22501121.48000000
0.068167188271
Long
ABS-CBDO
CORP
US
Y
2
2024-08-20
Fixed
0.51000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust 2017-C7
N/A
UBSCM 2017-C7 A4
90276WAS6
2795000.00000000
PA
USD
3086322.85000000
0.009350020663
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
15972766.95000000
0.048389526400
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
781737.09000000
PA
USD
847043.56000000
0.002566119998
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
4466843.82000000
PA
USD
4858875.92000000
0.014719973398
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
5885393.19000000
0.017829809327
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 796386
36177RCY5
7416.86000000
PA
USD
8126.14000000
0.000024618155
Long
ABS-MBS
USGA
US
N
2
2043-03-15
Fixed
4.00000000
N
N
N
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
TEXAS INSTRUMENT
882508BB9
1980000.00000000
PA
USD
2076483.30000000
0.006290709917
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
1101000.00000000
PA
USD
1179380.89000000
0.003572936542
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
2.87500000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAB6
4935000.00000000
PA
USD
5424826.53000000
0.016434521796
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
11200000.00000000
PA
USD
11547095.62000000
0.034981947091
Long
DBT
CORP
NL
N
2
2023-01-10
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
EURO-BOBL FUTURE Dec21
N/A
-431.00000000
NC
391525.24000000
0.001186126423
N/A
DIR
N/A
N
1
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Short
N/A
Eurex 5 Year Euro BOBL Future
2021-12-08
-69395639.11000000
EUR
391525.24000000
N
N
N
HPEFS EQUIPMENT TRUST HPEFS_20-1
N/A
HPEFS 2020-1A A3
40438FAC8
4800000.00000000
PA
USD
4826316.48000000
0.014621334516
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
47102.76000000
PA
USD
54259.66000000
0.000164379738
Long
ABS-MBS
USGA
US
N
2
2036-03-15
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXZ2
25000000.00000000
PA
USD
25029939.00000000
0.075828245528
Long
DBT
CORP
US
N
2
2024-03-08
Variable
0.67300000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NBL4
29805000.00000000
PA
USD
32081768.18000000
0.097191774799
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
669272.24000000
PA
USD
735297.35000000
0.002227584653
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CCG4
790000000.00000000
PA
USD
785556250.00000000
2.379844081975
Long
DBT
UST
US
N
2
2024-06-15
Fixed
0.25000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C21
5493000F7E2NMQ4HIO61
WFRBS 2014-C21 A4
92939FAT6
18330.04000000
PA
USD
19348.09000000
0.000058615073
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
6113254.55000000
0.018520115730
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
312106.60000000
PA
USD
337581.90000000
0.001022704977
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
State Grid Overseas Investment BVI Ltd
3003006V8BHG5158QO96
STATE GRID OSEAS
N/A
7920000.00000000
PA
USD
8692135.85000000
0.026332841298
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
1246099.05000000
0.003775059328
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
195755.47000000
PA
USD
224283.38000000
0.000679466905
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
2536016.28000000
PA
USD
2681795.63000000
0.008124504717
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
21080934.60000000
0.063864729547
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
1.38000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 677084
36295QFZ8
5829.07000000
PA
USD
6798.21000000
0.000020595189
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
5295766.10000000
0.016043532990
Long
ABS-CBDO
CORP
US
N
2
2027-04-19
Fixed
0.46000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA1218
3140Q8K87
197958.82000000
PA
USD
214441.17000000
0.000649649912
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
2774320.21000000
0.008404808100
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
3788669.66000000
PA
USD
4149593.11000000
0.012571199841
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
Chile Government International Bond
N/A
CHILE
168863BW7
5000000.00000000
PA
USD
5330083.75000000
0.016147498373
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
312555.83000000
0.000946888453
Long
DBT
CORP
VG
N
2
2024-04-10
Fixed
4.37500000
N
N
N
N
N
N
Franklin Resources Inc
RIFQSET379FOGTEFKS80
FRANKLIN RES INC
354613AL5
5000000.00000000
PA
USD
4754352.75000000
0.014403320266
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
1.60000000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_20-B
N/A
VZOT 2020-B A
92290BAA9
10590000.00000000
PA
USD
10614082.72000000
0.032155382821
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
139709.00000000
PA
USD
151473.94000000
0.000458890575
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
42854.00000000
0.000129826270
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
31257141.60000000
0.094693567082
Long
DBT
NUSS
KR
N
2
2023-03-12
Fixed
3.37500000
N
N
N
N
N
N
COMM 2013-CCRE11 Mortgage Trust
549300BCCWSDWINK2593
COMM 2013-CR11 A3
12626LAD4
2059401.90000000
PA
USD
2173575.14000000
0.006584849822
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
16414884.21000000
0.049728921440
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
21496.06000000
PA
USD
25361.40000000
0.000076832407
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
5323961.30000000
PA
USD
5590371.79000000
0.016936041461
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828YY0
75000000.00000000
PA
USD
77824215.00000000
0.235768600277
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
3726628.70000000
PA
USD
4059363.72000000
0.012297849741
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
9452332.25000000
0.028635857669
Long
DBT
CORP
US
N
2
2026-05-03
Fixed
3.35000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6033
36179UV25
3185260.38000000
PA
USD
3318562.89000000
0.010053592284
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
2497.20000000
PA
USD
2769.74000000
0.000008390932
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
1911242.91000000
PA
USD
2043889.67000000
0.006191967456
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 MA4586
36179TCX1
438160.43000000
PA
USD
465406.30000000
0.001409949228
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 1.5 11/21
01F0124B9
327000000.00000000
PA
USD
329605797.60000000
0.998541360727
Long
ABS-MBS
USGSE
US
N
2
2021-11-16
Fixed
1.50000000
N
N
N
N
N
N
Abbott Ireland Financing DAC
54930021QV18ZVZQDE71
ABBOTT IL FIN
N/A
8000000.00000000
PA
9480347.85000000
0.028720730979
Long
DBT
CORP
IE
N
2
2023-09-27
Fixed
0.87500000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14912L5X5
640000.00000000
PA
USD
686266.97000000
0.002079047028
Long
DBT
CORP
US
N
2
2023-11-24
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07568
3128M9W57
109041.07000000
PA
USD
120613.53000000
0.000365398907
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
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
7033900.58000000
0.021309214545
Long
ABS-CBDO
CORP
US
N
2
2025-02-18
Fixed
1.99000000
N
N
N
N
N
N
N/A
N/A
US ULTRA BOND CBT Dec21
N/A
-403.00000000
NC
USD
1451213.41000000
0.004396453653
N/A
DIR
N/A
N
1
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
Short
N/A
CME Ultra Long Term US Treasury Bond Future
2021-12-21
-78449400.91000000
USD
1451213.41000000
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C24
N/A
JPMBB 2014-C24 A5
46643GAE0
1143600.00000000
PA
USD
1227117.11000000
0.003717553506
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
1123414.31360000
PA
USD
1226761.91000000
0.003716477427
Long
ABS-MBS
USGA
US
N
2
2045-12-20
Fixed
4.00000000
N
N
N
N
N
N
salesforce.com Inc
RCGZFPDMRW58VJ54VR07
SALESFORCE.COM
79466LAH7
14138000.00000000
PA
USD
14080623.33000000
0.042657273877
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
1.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723440
3620A9V99
13862.72000000
PA
USD
15026.60000000
0.000045523111
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
6.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BT5
18855000.00000000
PA
USD
21439089.25000000
0.064949759707
Long
DBT
CORP
GB
N
2
2029-06-19
Variable
4.58300000
N
N
N
N
N
N
Honeywell International Inc
ISRPG12PN4EIEOEMW547
HONEYWELL INTL
438516CE4
45700000.00000000
PA
USD
45305095.33000000
0.137251868347
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
1.10000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP
594918BR4
3825000.00000000
PA
USD
4064087.21000000
0.012312159562
Long
DBT
CORP
US
N
2
2026-08-08
Fixed
2.40000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
064159QE9
7520000.00000000
PA
USD
7971339.20000000
0.024149186542
Long
DBT
CORP
CA
N
2
2026-08-03
Fixed
2.70000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913R2H9
15600000.00000000
PA
USD
15486258.06000000
0.046915646837
Long
DBT
CORP
US
N
2
2025-11-13
Fixed
0.80000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHR3
22500000.00000000
PA
USD
23936705.55000000
0.072516292811
Long
DBT
CORP
US
N
2
2025-03-15
Variable
3.45800000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
PFIZER INC
717081DV2
6550000.00000000
PA
USD
7052261.07000000
0.021364837682
Long
DBT
CORP
US
N
2
2026-06-03
Fixed
2.75000000
N
N
N
N
N
N
Burlington Northern Santa Fe LLC
N/A
BURLINGTON NORTH
12189LAT8
12423000.00000000
PA
USD
13336273.37000000
0.040402264325
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
3.40000000
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
64691.40000000
0.000195982713
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
26022.30000000
PA
USD
30653.11000000
0.000092863652
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
14066652.54000000
PA
USD
14966638.38000000
0.045341458075
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
6836156.72000000
0.020710149163
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
0.37500000
N
N
N
N
N
N
Harvest Operations Corp
B1EEF6ML54YDWRC6ZK53
HARVEST OPERATIO
41754WAS0
8000000.00000000
PA
USD
8450108.48000000
0.025599618942
Long
DBT
CORP
CA
Y
2
2023-06-01
Fixed
4.20000000
N
N
N
N
N
N
BANK 2018-BNK14
N/A
BANK 2018-BN14 A4
06035RAS5
1055000.00000000
PA
USD
1208544.70000000
0.003661288357
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Variable
4.23100000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS3638
3138WDBG5
104989.27000000
PA
USD
114776.09000000
0.000347714372
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.00000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
949746RW3
20000000.00000000
PA
USD
21464712.40000000
0.065027385087
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
221191.05000000
PA
USD
244279.59000000
0.000740045460
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
Ontario Teachers' Cadillac Fairview Properties Trust
N/A
CADILLAC FAIRVIE
68327LAC0
24580000.00000000
PA
USD
27671357.04000000
0.083830426264
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
180414062.50000000
0.546564729063
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
1740330.13000000
PA
USD
2013871.74000000
0.006101028083
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
5.50000000
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
6043128.00000000
0.018307667219
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.45900000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJS9
28000000.00000000
PA
USD
28144861.92000000
0.085264910155
Long
DBT
CORP
US
N
2
2027-07-22
Variable
1.73400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AV1810
36195CAK8
2618336.06000000
PA
USD
2802191.95000000
0.008489245587
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
494659.12000000
PA
USD
513617.67000000
0.001556005661
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
3.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833AS9
6000000.00000000
PA
USD
6441661.98000000
0.019515026633
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
14661622.54000000
0.044417412036
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 956943
31413VS81
94166.02000000
PA
USD
109381.31000000
0.000331370876
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
657239.97000000
PA
USD
743538.54000000
0.002252551353
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
3265283.25000000
0.009892181519
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
115708.88000000
PA
USD
125437.83000000
0.000380014133
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET CRP
857477BG7
6970000.00000000
PA
USD
7218960.45000000
0.021869853756
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
280461.50000000
PA
USD
312917.29000000
0.000947983496
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
5099149.75000000
0.015447883401
Long
DBT
CORP
US
N
2
2024-06-02
Variable
1.65400000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q25856
3132M6E55
88274.45000000
PA
USD
96680.77000000
0.000292894567
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
11514213.27000000
0.034882329953
Long
DBT
CORP
US
N
2
2028-05-22
Variable
3.58400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1376
36179NQ50
56886.09000000
PA
USD
62168.13000000
0.000188338462
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
9789.08000000
PA
USD
10107.38000000
0.000030620326
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
4909620.49000000
PA
USD
5432886.37000000
0.016458939096
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
245280.46000000
PA
USD
261553.52000000
0.000792376862
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1678
36179N2K3
805193.86000000
PA
USD
881086.76000000
0.002669253935
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
4.00000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NDG3
11500000.00000000
PA
USD
12634114.13000000
0.038275071636
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.40000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5124
36202FVR4
432513.11000000
PA
USD
508925.98000000
0.001541792178
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
232620.36000000
PA
USD
247142.03000000
0.000748717227
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GFS3
4582000.00000000
PA
USD
5044728.02000000
0.015283012672
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.87500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 712463
36297HQQ4
591.30000000
PA
USD
682.07000000
0.000002066332
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
11769063.81000000
0.035654400125
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.37500000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YBT5
8000000.00000000
PA
USD
7885391.68000000
0.023888808374
Long
DBT
CORP
JP
N
2
2032-07-09
Variable
2.26000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q24529
3132M4VW2
46536.07000000
PA
USD
51029.50000000
0.000154593962
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
3995449.81000000
0.012104222434
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
1685502.00000000
0.005106231361
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
106249.39000000
PA
USD
111652.66000000
0.000338251935
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
1479941.65000000
PA
USD
1563543.55000000
0.004736758016
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Fixed
3.37200000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 702740
36296VV96
41746.54000000
PA
USD
48838.93000000
0.000147957626
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
10015516.40000000
0.030342025071
Long
DBT
CORP
US
N
2
2022-11-04
Variable
2.31200000
N
N
N
N
N
N
John Deere Capital Corp
E0KSF7PFQ210NWI8Z391
JOHN DEERE CAP
24422EVB2
3790000.00000000
PA
USD
3978952.31000000
0.012054243228
Long
DBT
CORP
US
N
2
2026-09-14
Fixed
2.25000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833DT4
3000000.00000000
PA
USD
3019516.41000000
0.009147630432
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.12500000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NDM0
10000000.00000000
PA
USD
9832262.90000000
0.029786858261
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.95000000
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
4702851.02000000
0.014247295681
Long
ABS-CBDO
CORP
US
N
2
2025-10-15
Fixed
0.57000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A91623
312939YU9
98416.26000000
PA
USD
108827.28000000
0.000329692441
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
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
1536106.95000000
0.004653638786
Long
DBT
MUN
US
N
2
2027-10-01
Fixed
2.58900000
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_21-1
N/A
MBART 2021-1 A3
58772WAC7
25280000.00000000
PA
USD
25257895.17000000
0.076518839158
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
0.46000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 4 11/21
01F0406B8
-75000000.00000000
PA
USD
-80402340.00000000
-0.24357903463
Short
ABS-MBS
USGSE
US
N
2
2021-11-10
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBJ4
12900000.00000000
PA
USD
15057804.16000000
0.045617644971
Long
DBT
CORP
US
N
2
2031-03-24
Variable
4.49300000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550BK3
22061000.00000000
PA
USD
23692024.44000000
0.071775030945
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM5243
3140X8ZH3
1086426.02620000
PA
USD
1156242.48000000
0.003502838687
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS8617
3132A9SE8
20433165.16000000
PA
USD
21344972.68000000
0.064664633388
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1677
36179N2J6
451856.58000000
PA
USD
484117.02000000
0.001466633388
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
3.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP FUNDIN
90351DAB3
7590000.00000000
PA
USD
8380462.98000000
0.025388627774
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
104097.48000000
PA
USD
119683.13000000
0.000362580259
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
149232.08000000
PA
USD
166560.48000000
0.000504595275
Long
ABS-MBS
USGA
US
N
2
2040-09-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 682670
36295WMT1
13369.42000000
PA
USD
15737.10000000
0.000047675572
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
147513.56000000
PA
USD
159645.09000000
0.000483645089
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
28430302.25000000
0.086129652152
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
355435.09000000
PA
USD
380618.73000000
0.001153085131
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
9772005.48000000
0.029604308298
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.85000000
N
N
N
N
N
N
Realty Income Corp
549300CUWDAUZSH43859
REALTY INCOME
N/A
4500000.00000000
PA
5967153.04000000
0.018077500940
Long
DBT
CORP
US
N
2
2027-07-13
Fixed
1.12500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM7505
3140XBKT6
11760546.56540000
PA
USD
12505654.81000000
0.037885903893
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 BD0448
3140F7QA0
348938.80000000
PA
USD
379199.02000000
0.001148784117
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
44475.85000000
PA
USD
52677.30000000
0.000159585975
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
25818.06000000
PA
USD
29939.28000000
0.000090701102
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
11037.29000000
PA
USD
12349.42000000
0.000037412590
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
1069899.97000000
0.003241263896
Long
DBT
CORP
GB
N
2
2023-09-26
Fixed
3.99400000
N
N
N
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
PROLOGIS LP
74340XBN0
3600000.00000000
PA
USD
3730170.31000000
0.011300557709
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
501007.15000000
0.001517802068
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
17350689.88000000
0.052563946412
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
624.34000000
PA
USD
739.20000000
0.000002239407
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
12080000.00000000
PA
USD
13080102.84000000
0.039626195241
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
4136348.28000000
PA
USD
4503712.68000000
0.013644005720
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAR2
400000000.00000000
PA
USD
400125000.00000000
1.212179412104
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
476972.21000000
PA
USD
551460.82000000
0.001670651552
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G18480
3128MMRA3
58805.79000000
PA
USD
60675.24000000
0.000183815749
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
6500000.00000000
PA
USD
6227980.07000000
0.018867676900
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
2566220.06000000
PA
USD
2725740.92000000
0.008257637053
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZM6238
3131Y04X7
1760027.42650000
PA
USD
1868188.33000000
0.005659679928
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468C6
6355000.00000000
PA
USD
7003689.23000000
0.021217689205
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
493812.09000000
PA
USD
532760.19000000
0.001613997960
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.00000000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC
713448EL8
1720000.00000000
PA
USD
1824433.17000000
0.005527123592
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
117508.23000000
PA
USD
121559.47000000
0.000368264634
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
370823.23000000
PA
USD
407809.10000000
0.001235458406
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
102100.09000000
PA
USD
111618.48000000
0.000338148387
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AA6294
36178D7F2
118765.13000000
PA
USD
125306.93000000
0.000379617571
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
8620000.00000000
PA
USD
9398148.00000000
0.028471706385
Long
DBT
CORP
US
N
2
2030-03-26
Fixed
3.20000000
N
N
N
N
N
N
GlaxoSmithKline Capital PLC
549300U0LV41VX7LEP38
GLAXOSMITHKLINE
377373AH8
12762000.00000000
PA
USD
14041455.08000000
0.042538613593
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
4369933.48000000
0.013238721391
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
5094734.25000000
0.015434506636
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
58691.60000000
PA
USD
65732.91000000
0.000199137969
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
8459711.09000000
0.025628710067
Long
ABS-CBDO
CORP
US
N
2
2024-03-15
Fixed
3.38000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
48128BAB7
55761000.00000000
PA
USD
56180967.87000000
0.170200343902
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.97200000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PCB0
10000000.00000000
PA
USD
10018545.60000000
0.030351202038
Long
DBT
CORP
US
N
2
2027-04-22
Variable
1.57800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BA7238
3140ECBG3
2075783.58000000
PA
USD
2225607.62000000
0.006742482315
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
4.00000000
N
N
N
N
N
N
Qatar Petroleum
254900QTESJKJ3P87J26
QATAR PETROLEUM
74730DAB9
27202000.00000000
PA
USD
27006048.76000000
0.081814873624
Long
DBT
CORP
QA
Y
2
2026-09-12
Fixed
1.37500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 627040
36291FS58
4640511.58000000
PA
USD
4968318.71000000
0.015051530529
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
1119362.80000000
0.003391111629
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
3187.48000000
PA
USD
3744.90000000
0.000011345181
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
139047.10000000
PA
USD
151345.77000000
0.000458502284
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
237444.01000000
PA
USD
270398.37000000
0.000819172351
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
284807.78000000
PA
USD
311747.06000000
0.000944438282
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
178561.60000000
0.000540952690
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
580441.54000000
PA
USD
635177.93000000
0.001924272689
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782167
36241KMQ8
19886.79000000
PA
USD
22458.63000000
0.000068038460
Long
ABS-MBS
USGA
US
N
2
2037-06-15
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
5067204.85000000
0.015351106269
Long
ABS-CBDO
CORP
US
N
2
2025-12-15
Fixed
0.62000000
N
N
N
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE
191216DP2
5000000.00000000
PA
USD
5064530.75000000
0.015343005078
Long
DBT
CORP
US
N
2
2032-01-05
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RB5086
3133KYUK3
79227598.85000000
PA
USD
82316397.71000000
0.249377675933
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
2.50000000
N
N
N
N
N
N
CAPITAL ONE PRIME AUTO RECEIVABLES TRUST COPAR_19-2
N/A
COPAR 2019-2 A3
14043TAF3
20144540.76000000
PA
USD
20324189.77000000
0.061572169714
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 678652
36295R5M6
172250.67000000
PA
USD
196745.30000000
0.000596040242
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
545.94650000
PA
USD
648.18000000
0.000001963662
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
6616056.23000000
PA
USD
6947121.04000000
0.021046315771
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
3216761.64000000
0.009745185213
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
30474291.47000000
0.092321921195
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
74618.49000000
PA
USD
84613.99000000
0.000256338235
Long
ABS-MBS
USGA
US
N
2
2041-08-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 741273
3620AVQ21
8899.74000000
PA
USD
10175.57000000
0.000030826907
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
623664.71000000
PA
USD
681004.07000000
0.002063103063
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
31183165.33000000
0.094469455838
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
38810.56000000
PA
USD
42342.53000000
0.000128276771
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 MA0081
31417YCT2
5595.43000000
PA
USD
6154.63000000
0.000018645462
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
1780613.24000000
PA
USD
1950881.35000000
0.005910198582
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
5204745.80000000
0.015767786826
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
2930919.43000000
0.008879225720
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
6033358.07000000
PA
USD
6453980.87000000
0.019552346733
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
2995318.92000000
0.009074324092
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
2726643.60000000
0.008260371724
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
0.50000000
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
27976621.74000000
0.084755226225
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
423118.64000000
PA
USD
457655.02000000
0.001386466711
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
9525.71000000
PA
USD
11203.08000000
0.000033939751
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
9909418.75000000
0.030020602048
Long
DBT
CORP
JP
N
2
2027-05-22
Variable
1.23400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3875
36179SJU2
87425.98000000
PA
USD
94582.15000000
0.000286536794
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
6897036.07000000
0.020894583264
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.50000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2T9
9255000.00000000
PA
USD
9279834.13000000
0.028113274302
Long
DBT
CORP
US
N
2
2025-05-19
Variable
0.80500000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
94974BGH7
15170000.00000000
PA
USD
16084088.07000000
0.048726773935
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
591999.78000000
0.001793464405
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
1575222.00000000
0.004772137901
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
1863327.60000000
0.005644954338
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
1620866.05000000
PA
USD
1671003.33000000
0.005062307614
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
11312866.32000000
0.034272349003
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
979182.38000000
PA
USD
1026039.88000000
0.003108389674
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698028
36296QPM5
33840.94000000
PA
USD
38264.11000000
0.000115921190
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
6218498.25000000
0.018838951709
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
12249181.86000000
0.037108918627
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
563115.56000000
PA
USD
590541.37000000
0.001789046149
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 762210
36176CR72
12716.65000000
PA
USD
14030.90000000
0.000042506636
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
4.00000000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513BP9
10000000.00000000
PA
USD
10207847.40000000
0.030924692184
Long
DBT
CORP
US
N
2
2028-03-20
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AV1816
36195CAR3
7800144.90000000
PA
USD
8346873.44000000
0.025286868202
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 Q33402
3132QPX82
79366.62000000
PA
USD
85496.92000000
0.000259013073
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
8331420.88000000
0.025240054643
Long
DBT
CORP
US
N
2
2026-09-11
Fixed
2.05000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
0641594A1
15000000.00000000
PA
USD
14996801.55000000
0.045432837454
Long
DBT
CORP
CA
N
2
2026-06-24
Fixed
1.35000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3239
31418CS54
338981.90000000
PA
USD
366651.03000000
0.001110769959
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
667323.97000000
PA
USD
716570.08000000
0.002170850355
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
481626.88000000
PA
USD
521640.54000000
0.001580310960
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2 11/21
01F0206B0
871000000.00000000
PA
USD
871680425.20000000
2.640757426709
Long
ABS-MBS
USGSE
US
N
2
2021-11-10
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 704098
36296XGF5
16943.24000000
PA
USD
19162.48000000
0.000058052767
Long
ABS-MBS
USGA
US
N
2
2038-12-15
Fixed
6.00000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114TZG0
22500000.00000000
PA
USD
22349500.88000000
0.067707853389
Long
DBT
CORP
CA
N
2
2026-09-10
Fixed
1.25000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAH9
54505000.00000000
PA
USD
57585348.44000000
0.174454917382
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
195.92990000
PA
USD
221.25000000
0.000000670277
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
80965.09000000
PA
USD
85977.79000000
0.000260469870
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08416
3128MJPA2
27049.12000000
PA
USD
29892.21000000
0.000090558504
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 G60384
31335AM96
986393.24000000
PA
USD
1091737.67000000
0.003307421248
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HRL6
6106000.00000000
PA
USD
6314782.82000000
0.019130645988
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
10074850.45000000
0.030521777683
Long
DBT
CORP
US
N
2
2027-05-18
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE5639
31419GHR8
29535.87000000
PA
USD
32685.15000000
0.000099019721
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 635096
36291QRR7
845372.25000000
PA
USD
902513.50000000
0.002734166282
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
1395548.53000000
PA
USD
1512880.95000000
0.004583275577
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
526344.42000000
0.001594561373
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
3444049.72000000
0.010433754863
Long
ABS-CBDO
CORP
US
N
2
2026-08-20
Fixed
1.26000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3831
31418DHH8
42445881.59000000
PA
USD
44391732.38000000
0.134484833636
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5319
36179T4C6
1585434.33000000
PA
USD
1646197.37000000
0.004987157913
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 AL7468
3138EQJN3
365206.45000000
PA
USD
414811.57000000
0.001256672402
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
3343574.40000000
0.010129364699
Long
ABS-MBS
CORP
US
N
2
2050-10-15
Fixed
3.58100000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 1.5 10/21
01F0126A9
270500000.00000000
PA
USD
262680872.90000000
0.795792180151
Long
ABS-MBS
USGSE
US
N
2
2021-10-14
Fixed
1.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1601
36179NX60
378259.72000000
PA
USD
413380.11000000
0.001252335791
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
44651.46000000
PA
USD
50475.81000000
0.000152916557
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
4.50000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PEB4
21600000.00000000
PA
USD
21589280.78000000
0.065404765220
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
0.55000000
N
N
N
N
N
N
DISCOVER CARD EXECUTION NOTE TRUST DCENT_21-1
N/A
DCENT 2021-A1 A1
254683CP8
34910000.00000000
PA
USD
34820605.96000000
0.105489088814
Long
ABS-CBDO
CORP
US
N
2
2026-09-15
Fixed
0.58000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6393
3138WGC77
311110.88000000
PA
USD
334070.93000000
0.001012068487
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
Analog Devices Inc
GYVOE5EZ4GDAVTU4CQ61
ANALOG DEVICES
032654AV7
14030000.00000000
PA
USD
14060381.97000000
0.042595952640
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
2.10000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MCB4
10000000.00000000
PA
USD
9872867.90000000
0.029909871182
Long
DBT
CORP
JP
N
2
2030-07-08
Fixed
2.13000000
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
1374125.00000000
0.004162914175
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.53600000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08763
3128MJZ52
253511.26000000
PA
USD
264916.71000000
0.000802565652
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
2.50000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
INTEL CORP
458140AS9
10000000.00000000
PA
USD
10950192.80000000
0.033173628917
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
7000000.00000000
PA
USD
6935413.45000000
0.021010847606
Long
DBT
CORP
US
N
2
2026-03-11
Fixed
0.90000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2.5 11/21
01F0226B6
936000000.00000000
PA
USD
963239097.60000000
2.918134590553
Long
ABS-MBS
USGSE
US
N
2
2051-11-15
Fixed
2.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-GC24
N/A
GSMS 2014-GC24 A5
36253GAE2
210000.00000000
PA
USD
226890.30000000
0.000687364574
Long
ABS-MBS
CORP
US
N
2
2047-09-10
Fixed
3.93100000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJZ3
23300000.00000000
PA
USD
23279950.58000000
0.070526652440
Long
DBT
CORP
US
N
2
2029-06-14
Variable
2.08700000
N
N
N
N
N
N
GS Mortgage Securities Trust 2013-GCJ14
549300ITVQSU1IHX4H03
GSMS 2013-GC14 A4
36198FAD4
29469.53000000
PA
USD
30438.19000000
0.000092212551
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
7902340.00000000
0.023940153340
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
41427348.95000000
0.125504228666
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
332185.66000000
PA
USD
363650.72000000
0.001101680514
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
75216.09000000
PA
USD
80181.19000000
0.000242909060
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
1761224.65800000
PA
USD
1883453.12000000
0.005705924637
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
640740.97000000
0.001941125928
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
3.53900000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 635110
36291QR71
3303460.88000000
PA
USD
3536763.18000000
0.010714630458
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
134931.47000000
PA
USD
142750.99000000
0.000432464382
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.00000000
N
N
N
N
N
N
Emerson Electric Co
FGLT0EWZSUIRRITFOA30
EMERSON ELECTRIC
291011BL7
879000.00000000
PA
USD
894208.95000000
0.002709007633
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
3176.74000000
PA
USD
3431.99000000
0.000010397219
Long
ABS-MBS
USGA
US
N
2
2038-06-15
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
US LONG BOND(CBT) Dec21
N/A
468.00000000
NC
USD
-2024887.35000000
-0.00613439989
N/A
DIR
N/A
N
1
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
Long
N/A
CBOT US Long Bond Future
2021-12-21
76539262.35000000
USD
-2024887.35000000
N
N
N
Freddie Mac Pool
N/A
FR QA1442
31334XS75
7826237.32000000
PA
USD
8469857.69000000
0.025659449210
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
COMM 2014-CCRE17 Mortgage Trust
N/A
COMM 2014-CR17 AM
12631DBD4
330000.00000000
PA
USD
352829.40000000
0.001068897306
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Fixed
4.17400000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CE7
26491000.00000000
PA
USD
27624958.65000000
0.083689862257
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
3780360.14000000
PA
USD
4046565.92000000
0.012259078782
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
241913.29000000
PA
USD
249683.93000000
0.000756417918
Long
ABS-MBS
USGSE
US
N
2
2028-07-01
Fixed
2.00000000
N
N
N
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TOTAL CAP INTL
89153VAG4
6254000.00000000
PA
USD
6697258.19000000
0.020289355814
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
29173282.11000000
0.088380510983
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
3.40000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PCC8
10000000.00000000
PA
USD
10155387.70000000
0.030765765428
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.58000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM INC
747525BN2
25188000.00000000
PA
USD
24623623.06000000
0.074597310652
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
463895.47000000
0.001405372166
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
3.50000000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP
N/A
7800000.00000000
PA
9110573.34000000
0.027600498432
Long
DBT
CORP
US
N
2
2024-06-26
Fixed
0.14200000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 733602
3620AMAB8
22566.44000000
PA
USD
26426.29000000
0.000080058493
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
5.00000000
N
N
N
N
N
N
PNC Bank NA
AD6GFRVSDT01YPT1CS68
PNC BANK NA
69353REK0
12514000.00000000
PA
USD
13310185.61000000
0.040323231409
Long
DBT
CORP
US
N
2
2025-02-23
Fixed
2.95000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2013-C12
N/A
JPMBB 2013-C12 A4
46639NAP6
1220429.72000000
PA
USD
1255443.85000000
0.003803369417
Long
ABS-MBS
CORP
US
N
2
2045-07-15
Fixed
3.36260000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_18-A
N/A
MMAF 2018-A A4
60700DAD0
4730000.00000000
PA
USD
4819541.27000000
0.014600809005
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
8049929.41000000
PA
USD
8069647.71000000
0.024447012351
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
160000.00000000
PA
USD
181755.20000000
0.000550627707
Long
ABS-MBS
CORP
US
Y
2
2040-07-05
Variable
4.24940000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q01798
3132GE7K0
395668.29000000
PA
USD
437021.24000000
0.001323956638
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
18204018.33000000
PA
USD
18351902.31000000
0.055597121282
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 FM5315
3140X83Z8
2179483.90500000
PA
USD
2323501.80000000
0.007039052910
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
AIG Global Funding
54930057MDZ7KOVOTV71
AIG GLOBAL FUNDI
00138CAS7
13000000.00000000
PA
USD
12970067.63000000
0.039292843373
Long
DBT
CORP
US
Y
2
2024-06-17
Fixed
0.65000000
N
N
N
N
N
N
Shell International Finance BV
213800ITMMKU4Z7I4F78
SHELL INTL FIN
822582CD2
29195000.00000000
PA
USD
30282781.76000000
0.091741742182
Long
DBT
CORP
NL
N
2
2029-11-07
Fixed
2.37500000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJD2
10890000.00000000
PA
USD
10886577.60000000
0.032980906554
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
229503.91000000
PA
USD
253256.42000000
0.000767240783
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 CA0862
3140Q75Y9
1575776.70000000
PA
USD
1676588.28000000
0.005079227230
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
-26442.90000000
-0.00008010881
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
7119.22000000
USD
0.00000000
USD
4080000.00000000
USD
-33562.12000000
N
N
N
Ginnie Mae I Pool
N/A
GN 781987
36241KF45
35873.44000000
PA
USD
41246.62000000
0.000124956709
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MAX8
6970000.00000000
PA
USD
7214311.05000000
0.021855768390
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
13679077.02000000
0.041440788604
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
7089406.40000000
0.021477369527
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
4561577.65000000
0.013819307751
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
3568587.51000000
0.010811042324
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
2953307.32000000
0.008947049874
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
6735365.88000000
0.020404803130
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
4527199.01000000
0.013715157599
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
18464.67000000
PA
USD
20643.75000000
0.000062540278
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
47787.86000000
PA
USD
52034.49000000
0.000157638581
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE6030
3133N3VX9
3267588.44000000
PA
USD
3402896.99000000
0.010309082593
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
2032757.93000000
PA
USD
2203405.93000000
0.006675222255
Long
ABS-MBS
USGA
US
N
2
2045-02-20
Fixed
3.50000000
N
N
N
N
N
N
ERP Operating LP
DX5HQV5MLU50FEWZ5072
ERP OPERATING LP
26884ABL6
8120000.00000000
PA
USD
8669752.74000000
0.026265031626
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
99742.18000000
PA
USD
108859.43000000
0.000329789840
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
6185279.82000000
0.018738316415
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
11591864.90000000
0.035117575706
Long
DBT
CORP
US
N
2
2027-05-20
Fixed
3.25000000
N
N
N
N
N
N
BHP Billiton Finance USA Ltd
5493003NUVITP3TMY274
BHP FINANCE USA
055451AQ1
2755000.00000000
PA
USD
2783135.05000000
0.008431512674
Long
DBT
CORP
AU
N
2
2022-02-24
Fixed
2.87500000
N
N
N
N
N
N
Credit Suisse AG/New York NY
549300D0YARF5HYP1809
CRED SUIS NY
22550L2C4
23500000.00000000
PA
USD
24913802.54000000
0.075476409912
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE4266
3140FPW47
248425.54000000
PA
USD
262403.20000000
0.000794950969
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
14032000.00000000
PA
USD
15294178.40000000
0.046333741159
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
1833090.45000000
PA
USD
2003950.79000000
0.006070972547
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.00000000
N
N
N
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
TEXAS INSTRUMENT
882508BL7
14000000.00000000
PA
USD
13924195.60000000
0.042183375786
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
1.90000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HNDLSBKN
N/A
5825000.00000000
PA
6826040.37000000
0.020679501662
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
167693.00000000
PA
USD
179743.85000000
0.000544534319
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
53447.99000000
PA
USD
57816.99000000
0.000175156675
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
3870532.29000000
PA
USD
4277517.60000000
0.012958747315
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 783050
36241LL79
30199.67000000
PA
USD
33875.34000000
0.000102625403
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
373917.85000000
PA
USD
401559.88000000
0.001216526383
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_21-A
N/A
WOLS 2021-A A3
98163JAC9
15660000.00000000
PA
USD
15658419.91000000
0.047437211473
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
0.42000000
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
4146336.81000000
0.012561334874
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
76641.70000000
PA
USD
84154.02000000
0.000254944755
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
5.00000000
N
N
N
N
N
N
Emerson Electric Co
FGLT0EWZSUIRRITFOA30
EMERSON ELECTRIC
291011BP8
9640000.00000000
PA
USD
9458495.57000000
0.028654529458
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
0.87500000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC
713448ER5
14500000.00000000
PA
USD
15461977.85000000
0.046842089897
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
2.62500000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
0641598J8
23300000.00000000
PA
USD
23291755.76000000
0.070562416255
Long
DBT
CORP
CA
N
2
2023-09-15
Fixed
0.40000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AC8568
31417VQW6
3473.66000000
PA
USD
3837.97000000
0.000011627137
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-GC24
N/A
GSMS 2014-GC24 AS
36253GAJ1
140000.00000000
PA
USD
150455.20000000
0.000455804300
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
218251.74000000
PA
USD
246853.61000000
0.000747843458
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
4.50000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
949746SH5
16620000.00000000
PA
USD
17803389.04000000
0.053935399337
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_21-2
N/A
GMALT 2021-2 A4
380144AD7
3830000.00000000
PA
USD
3819053.09000000
0.011569828252
Long
ABS-CBDO
CORP
US
N
2
2025-05-20
Fixed
0.41000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_21-2
N/A
GMALT 2021-2 A3
380144AC9
26760000.00000000
PA
USD
26758769.04000000
0.081065739265
Long
ABS-CBDO
CORP
US
N
2
2024-05-20
Fixed
0.34000000
N
N
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
ENTERGY ARKANSAS
29364DAS9
6213000.00000000
PA
USD
6649337.87000000
0.020144181118
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.70000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 739635
3620ATV46
218315.59000000
PA
USD
232875.23000000
0.000705495931
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
1368.31000000
PA
USD
1525.84000000
0.000004622535
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
4190441.10000000
0.012694948901
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
46222703.18000000
0.140031762990
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
7754000.00000000
PA
USD
8434068.29000000
0.025551025158
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
3482541.77000000
0.010550366598
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
4767561.89000000
PA
USD
5234204.17000000
0.015857031011
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BB3761
3617AUFA3
5286254.69000000
PA
USD
5918466.43000000
0.017930004767
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 934429
31412TSS3
25040.28000000
PA
USD
29203.92000000
0.000088473328
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
7.00000000
N
N
N
N
N
N
MERCEDES-BENZ AUTO LEASE TRUST MBALT_21-B
N/A
MBALT 2021-B A3
58769KAD6
15470000.00000000
PA
USD
15469296.12000000
0.046864260609
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
0.40000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR7994
3617M63B4
601787.36000000
PA
USD
625547.67000000
0.001895097799
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
1626159.43000000
0.004926452938
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
64966.72000000
PA
USD
74336.65000000
0.000225203015
Long
ABS-MBS
USGA
US
N
2
2038-01-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH1725
3140GP4K1
2390158.97000000
PA
USD
2606231.01000000
0.007895581564
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
647689.04000000
0.001962175119
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
4569318.91000000
0.013842759912
Long
DBT
CORP
US
N
2
2024-02-07
Fixed
2.95000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_21-A
N/A
HART 2021-A A4
44933LAD5
12470000.00000000
PA
USD
12414769.12000000
0.037610565531
Long
ABS-CBDO
CORP
US
N
2
2027-05-17
Fixed
0.62000000
N
N
N
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
LOCKHEED MARTIN
539830BP3
5895000.00000000
PA
USD
5855793.95000000
0.017740138376
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.85000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
0641598K5
7200000.00000000
PA
USD
7148577.02000000
0.021656627027
Long
DBT
CORP
CA
N
2
2026-09-15
Fixed
1.30000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AK6860
36183QTR6
241265.72000000
PA
USD
258158.08000000
0.000782090370
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
18142.80000000
PA
USD
19183.46000000
0.000058116326
Long
ABS-MBS
USGA
US
N
2
2042-12-15
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Banks
2549001DPIFGXC1TOL40
FED HOME LN BANK
3130AEBV1
6300000.00000000
PA
USD
6855956.10000000
0.020770131420
Long
DBT
USGSE
US
N
2
2025-06-13
Fixed
3.12500000
N
N
N
N
N
N
Duke Energy Carolinas LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAR
26442CBA1
2735000.00000000
PA
USD
2811990.52000000
0.008518930372
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.45000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AU7269
36194VCE9
776400.45000000
PA
USD
830893.51000000
0.002517193393
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 AY0015
3138YDAR0
178939.78000000
PA
USD
194765.82000000
0.000590043404
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
State of Wisconsin
549300VTAT608CNZ5827
WISCONSIN GEN REV
977100AC0
2410000.00000000
PA
USD
2764288.08000000
0.008374415744
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
6373421.29000000
0.019308291339
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
25187.02000000
PA
USD
28547.77000000
0.000086485520
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 732087
3620AKJ80
272336.04000000
PA
USD
311333.28000000
0.000943184735
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
9844.52000000
PA
USD
10553.85000000
0.000031972907
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
17913.92000000
PA
USD
19383.35000000
0.000058721893
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
121033.57000000
PA
USD
135926.21000000
0.000411788699
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
5.50000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BJ2
14640000.00000000
PA
USD
15421801.03000000
0.046720374148
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
1955757.78000000
0.005924971736
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
12996298.91000000
0.039372311083
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
211125.09000000
PA
USD
229433.94000000
0.000695070536
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1839
36179QBG5
459682.38180000
PA
USD
502989.29000000
0.001523806964
Long
ABS-MBS
USGA
US
N
2
2044-04-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 758419
36230TK84
8106.63000000
PA
USD
9015.95000000
0.000027313836
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
98889.55000000
PA
USD
99982.58000000
0.000302897407
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
61924.08000000
PA
USD
67008.54000000
0.000203002493
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
4166.20000000
PA
USD
4831.78000000
0.000014637886
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
5.00000000
N
N
N
N
N
N
PENNSYLVANIA HIGHER EDUCATION ASSISTANCE AGENCY PHEAA_16-2A
N/A
PHEAA 2016-2A A
69343VAA0
2353422.44110000
PA
USD
2385608.32000000
0.007227204725
Long
ABS-CBDO
CORP
US
Y
2
2065-11-25
Floating
1.03600000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
HOME DEPOT INC
437076BT8
11540000.00000000
PA
USD
12439739.30000000
0.037686212737
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
515372.62000000
0.001561322285
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
2.78200000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_21-B
N/A
WOART 2021-B A3
98163LAC4
14390000.00000000
PA
USD
14362778.44000000
0.043512063294
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
0.42000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AB9203
36178WGL7
223950.72000000
PA
USD
234535.97000000
0.000710527145
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
29355296.40000000
0.088931923604
Long
DBT
NUSS
QA
N
2
2022-01-20
Fixed
4.50000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_21-3
N/A
HAROT 2021-3 A4
43815EAD6
9760000.00000000
PA
USD
9720880.94000000
0.029449426411
Long
ABS-CBDO
CORP
US
N
2
2027-12-20
Fixed
0.60000000
N
N
N
N
N
N
Camden Property Trust
5493002MYX22OHYJBD89
CAMDEN PROP TRST
133131AU6
16018000.00000000
PA
USD
17123878.56000000
0.051876821107
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
4.25000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0933
36179NBA5
171797.96000000
PA
USD
183076.08000000
0.000554629315
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
9143813.83000000
0.027701200556
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
99836.30000000
PA
USD
111413.68000000
0.000337527945
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
427140.00000000
0.001294021403
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Fixed
4.06400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT8111
36194HAL6
832099.68000000
PA
USD
890518.65000000
0.002697827862
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
410806.13000000
PA
USD
441123.17000000
0.001336383442
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
8093989.62000000
0.024520756211
Long
DBT
CORP
US
N
2
2025-08-05
Fixed
1.20000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BX1
15000000.00000000
PA
USD
14868435.90000000
0.045043953484
Long
DBT
CORP
JP
N
2
2032-07-20
Variable
2.30900000
N
N
N
N
N
N
RESIMAC Premier Series 2020-1
N/A
RESI 2020-1A A1B
76120GAB5
1866283.29000000
PA
USD
1866736.61000000
0.005655281940
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
12106989.60000000
0.036678146918
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 Q09219
3132GUSG0
2220618.46000000
PA
USD
2499289.42000000
0.007571601823
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBM2
150000000.00000000
PA
USD
149156250.00000000
0.451869129488
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
3013220.79000000
PA
USD
3237241.70000000
0.009807229592
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
15979970.40000000
0.048411349265
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL7044
3131XNZH9
3771966.98000000
PA
USD
4133855.15000000
0.012523521663
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.50000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_21-B
N/A
HART 2021-B A3
44934KAC8
27670000.00000000
PA
USD
27722022.37000000
0.083983916973
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
0.38000000
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
5093284.50000000
0.015430114616
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
917950.06000000
PA
USD
986551.59000000
0.002988759828
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5176
36202FXD3
9221.93000000
PA
USD
10502.82000000
0.000031818312
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
72635.40000000
PA
USD
77817.81000000
0.000235749196
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
383237.50000000
PA
USD
401903.27000000
0.001217566684
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
957488.06000000
PA
USD
1028154.60000000
0.003114796222
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 Q42947
3132WGHZ3
314511.21000000
PA
USD
335424.60000000
0.001016169433
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BN1541
3140JHWB5
5650276.21000000
PA
USD
6156837.03000000
0.018652148932
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Dexia Credit Local SA
F4G136OIPBYND1F41110
DEXIA CRED LOCAL
25214BAW4
70000000.00000000
PA
USD
73865403.50000000
0.223775373669
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
3757981.04380000
PA
USD
3951870.69000000
0.011972199411
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 367097
36204DX20
5451.65000000
PA
USD
6061.72000000
0.000018363991
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.50000000
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
14045318.25000000
0.042550317073
Long
ABS-CBDO
CORP
US
Y
2
2030-07-15
Fixed
3.52000000
N
N
N
N
N
N
Duke Energy Florida LLC
7MOHLM3DKE63RX2ZCN83
DUKE ENERGY FLA
26444HAH4
16960000.00000000
PA
USD
17592712.81000000
0.053297155317
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
498187.75000000
PA
USD
529617.67000000
0.001604477690
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
381197.50000000
PA
USD
423752.41000000
0.001283758693
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
State Board of Administration Finance Corp
549300S34SOJ0RULXM35
FLORIDA ST BRD OF ADM
341271AE4
75000000.00000000
PA
USD
76206982.50000000
0.230869191490
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
13085533.82000000
0.039642648404
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
307455.96000000
0.000931438387
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
2472998.48000000
PA
USD
2631638.36000000
0.007972553177
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS4747
3132A5HY4
7426104.07560000
PA
USD
7899616.23000000
0.023931901674
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513BV6
3670000.00000000
PA
USD
3972212.13000000
0.012033823841
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 783637
3622A2BE1
77740.74000000
PA
USD
82961.31000000
0.000251331438
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
102552.04000000
PA
USD
115042.15000000
0.000348520401
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
1302431.20000000
0.003945717679
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
3.43500000
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
2289647.03000000
0.006936489823
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
7349803.84000000
0.022266244043
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
3781334.03000000
0.011455558291
Long
ABS-CBDO
CORP
US
N
2
2025-01-16
Fixed
1.76000000
N
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
JOHNSON&JOHNSON
478160CP7
6000000.00000000
PA
USD
5906754.30000000
0.017894522848
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
25933151.70000000
0.078564530038
Long
ABS-CBDO
CORP
US
N
2
2025-03-17
Fixed
0.62000000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550AX6
4694000.00000000
PA
USD
4891320.69000000
0.014818264888
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
1464103.31000000
0.004435503629
Long
DBT
CORP
US
N
2
2025-11-01
Variable
2.35400000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C01025
31292HD68
12.93850000
PA
USD
15.23000000
0.000000046139
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 BJ4590
3140H6C49
461975.14170000
PA
USD
490689.39000000
0.001486544395
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
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
3159430.33000000
0.009571499906
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
3.44000000
N
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
PUBLIC STORAGE
74460DAD1
11800000.00000000
PA
USD
12962373.51000000
0.039269534022
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
8565291.20000000
0.025948565201
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
10102.21000000
PA
USD
10628.71000000
0.000032199696
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
28594156.89000000
0.086626050080
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
7665000.00000000
PA
USD
8158789.72000000
0.024717068231
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
624264.36000000
PA
USD
689405.22000000
0.002088554362
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
72898.16000000
PA
USD
77411.48000000
0.000234518218
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
6859604.11000000
0.020781183073
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBN0
500000000.00000000
PA
USD
499687500.00000000
1.513804186157
Long
DBT
UST
US
N
2
2023-02-28
Fixed
0.12500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 635122
36291QSK1
8348490.04000000
PA
USD
8938386.83000000
0.027078859088
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
190539.82000000
PA
USD
204602.55000000
0.000619843795
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
9852138.51000000
0.029847071457
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
20890226.29000000
0.063286978376
Long
DBT
NUSS
SI
N
2
2024-02-18
Fixed
5.25000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL
06368FAC3
21600000.00000000
PA
USD
21449969.21000000
0.064982720566
Long
DBT
CORP
CA
N
2
2026-09-15
Fixed
1.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 737312
3620ARDR9
2632144.27000000
PA
USD
2939042.03000000
0.008903833152
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
15459.32000000
PA
USD
18373.87000000
0.000055663672
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
56356.94000000
PA
USD
64931.08000000
0.000196708824
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
2123459.25000000
PA
USD
2319952.07000000
0.007028298997
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
2243045.31000000
PA
USD
2408574.43000000
0.007296780597
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
9204174.91000000
0.027884064558
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
281517.14000000
PA
USD
305892.16000000
0.000926700852
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
452033.79000000
PA
USD
537757.03000000
0.001629135896
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 BM1144
3140J5HW2
3160470.11000000
PA
USD
3295687.35000000
0.009984290795
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
29904.08000000
PA
USD
31747.27000000
0.000096178411
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
539080.34000000
PA
USD
577379.63000000
0.001749172634
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
248966.81000000
PA
USD
269825.25000000
0.000817436083
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
30484163.23000000
0.092351827710
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
77001.65000000
PA
USD
87082.83000000
0.000263817591
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
4.50000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_21-2
N/A
HAROT 2021-2 A4
43811JAD9
7710000.00000000
PA
USD
7676147.70000000
0.023254903358
Long
ABS-CBDO
CORP
US
N
2
2027-08-16
Fixed
0.55000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14913QAA7
2596000.00000000
PA
USD
2635035.66000000
0.007982845303
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
4956.75000000
PA
USD
5484.60000000
0.000016615605
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
92220.77000000
PA
USD
102037.21000000
0.000309121912
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
1365868.91000000
PA
USD
1468016.10000000
0.004447357433
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
1089743.06000000
PA
USD
1165560.08000000
0.003531066373
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698099
36296QRU5
17336.08000000
PA
USD
19545.99000000
0.000059214612
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
1911268.24000000
PA
USD
2216488.79000000
0.006714856803
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
13462272.24000000
0.040783978130
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
103727.18000000
PA
USD
117889.73000000
0.000357147150
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
4.50000000
N
N
N
N
N
N
Protective Life Global Funding
635400EVYITCJYWL2I50
PROTECTIVE LIFE
74368CBC7
11760000.00000000
PA
USD
11872329.29000000
0.035967243084
Long
DBT
CORP
US
Y
2
2026-04-15
Fixed
1.61800000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6030
36179UVX7
931143.95000000
PA
USD
972506.39000000
0.002946209869
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46625HJT8
4000000.00000000
PA
USD
4300403.56000000
0.013028080372
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
3.87500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2602
36179Q3K5
180680.59000000
PA
USD
197745.28000000
0.000599069683
Long
ABS-MBS
USGA
US
N
2
2045-02-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0317
36179MK66
1495605.68000000
PA
USD
1596249.62000000
0.004835841114
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
8193380.40000000
0.024821860759
Long
ABS-MBS
CORP
US
N
2
2058-09-15
Fixed
3.83900000
N
N
N
N
N
N
GA Global Funding Trust
54930029I8ROQ4OROZ88
GA GLOBAL FNDING
36143L2A2
5600000.00000000
PA
USD
5637003.46000000
0.017077312190
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
1806577.67000000
PA
USD
1931961.93000000
0.005852882165
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
23949000.00000000
PA
USD
27078028.10000000
0.082032935165
Long
DBT
CORP
US
N
2
2028-02-20
Fixed
3.90000000
N
N
N
N
N
N
General Dynamics Corp
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS
369550BC1
5580000.00000000
PA
USD
6271288.34000000
0.018998879382
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
158613.37000000
PA
USD
169943.30000000
0.000514843535
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
20389904.40000000
0.061771252304
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
2620373.75000000
0.007938427020
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
2542233.46000000
PA
USD
2842742.23000000
0.008612092733
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
2432608.27000000
0.007369591159
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
88627.58000000
PA
USD
100238.99000000
0.000303674201
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
8175117.35000000
0.024766532816
Long
DBT
CORP
US
Y
2
2026-01-14
Fixed
0.80000000
N
N
N
N
N
N
Providence St Joseph Health Obligated Group
N/A
ST JOSEPH HLTH
743756AB4
300000.00000000
PA
USD
318234.30000000
0.000964091388
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
581762.52000000
PA
USD
618871.99000000
0.001874873814
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
4011294.41000000
0.012152223679
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
24327089.16000000
0.073698960665
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
5412426.67000000
PA
USD
5451646.74000000
0.016515773671
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
152622.09000000
PA
USD
177035.84000000
0.000536330397
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
4.50000000
N
N
N
N
N
N
SA Global Sukuk Ltd
5493007DFAVKU7UOGR47
SA GLOBAL SUKU
78397PAB7
23670000.00000000
PA
USD
23562420.09000000
0.071382394332
Long
DBT
CORP
KY
Y
2
2026-06-17
Fixed
1.60200000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5207
36202FYC4
87.45000000
PA
USD
101.56000000
0.000000307676
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
33406.80000000
PA
USD
35872.19000000
0.000108674864
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
1087518.27000000
PA
USD
1232648.89000000
0.003734312044
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
8911647.34000000
0.026997851755
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
1900.06000000
PA
USD
2125.24000000
0.000006438418
Long
ABS-MBS
USGA
US
N
2
2035-11-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG D99561
3128E6TS6
1198708.02000000
PA
USD
1249840.71000000
0.003786394694
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
52223.92000000
PA
USD
57027.97000000
0.000172766338
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
4.00000000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HNDLSBKN
86959LAF0
7000000.00000000
PA
USD
7031517.57000000
0.021301995212
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
472440.97000000
PA
USD
546241.59000000
0.001654839886
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
1044939.05000000
PA
USD
1141068.64000000
0.003456869511
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
2435426.96000000
PA
USD
2603624.61000000
0.007887685471
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
293906250.00000000
0.890389516623
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
21474.08000000
PA
USD
23013.72000000
0.000069720106
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
4424100.25000000
0.013402819719
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
18572750.00000000
0.056266179759
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
2.96800000
N
N
N
N
N
N
N/A
N/A
SCDS: (CHILE)
N/A
-49850000.00000000
NC
USD
313199.32000000
0.000948837907
N/A
DCR
N/A
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
CHILE
Y
Payout of notional amount upon default event with regard to reference instrument
2026-12-20
288452.04000000
USD
0.00000000
USD
-49850000.00000000
USD
24747.28000000
N
N
N
First Republic Bank/CA
YWC0TIKBQM2JV8L4IV08
FIRST REP BANK
336158AK6
15420000.00000000
PA
USD
15624053.63000000
0.047333098766
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
12070176.19000000
0.036566620626
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
2847538.60000000
PA
USD
3128662.99000000
0.009478290194
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
734932.63000000
PA
USD
765910.19000000
0.002320326307
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
2.50000000
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
11635095.05000000
0.035248541524
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
3.15000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 732926
3620ALHB3
66666.02000000
PA
USD
75340.02000000
0.000228242727
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 4449
36202E5J4
44724.71000000
PA
USD
51783.45000000
0.000156878055
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 AH3681
36182LCS4
42686.30000000
PA
USD
47508.69000000
0.000143927662
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
383295.82000000
PA
USD
417198.57000000
0.001263903823
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
15000000.00000000
PA
USD
16059600.00000000
0.048652587283
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
344541.63000000
PA
USD
368551.36000000
0.001116527012
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61772BAB9
3575000.00000000
PA
USD
3585283.09000000
0.010861621613
Long
DBT
CORP
US
N
2
2027-05-04
Variable
1.59300000
N
N
N
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
NORDEA BANK
65557CBE2
6680000.00000000
PA
USD
6750536.32000000
0.020450762006
Long
DBT
CORP
FI
Y
2
2023-06-09
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2542
31418BZG4
3291223.28000000
PA
USD
3479677.74000000
0.010541690014
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
18342604.88000000
0.055568954701
Long
DBT
NUSS
KR
N
2
2025-06-15
Fixed
1.12500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL1504
36183WU59
153665.10000000
PA
USD
163567.03000000
0.000495526613
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 736568
3620AQJM6
79246.54000000
PA
USD
90431.42000000
0.000273962150
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
469803.81000000
PA
USD
505908.04000000
0.001532649323
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 784179
3622A2UC4
4817.30000000
PA
USD
5560.42000000
0.000016845302
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
1500338.40000000
0.004545277899
Long
ABS-MBS
CORP
US
N
2
2051-01-15
Variable
3.87800000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 774484
36176SFZ8
6120.47000000
PA
USD
7145.68000000
0.000021647850
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 736548
3620AQHZ9
20536.82000000
PA
USD
23477.29000000
0.000071124492
Long
ABS-MBS
USGA
US
N
2
2040-02-15
Fixed
4.50000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS
110122CY2
24000000.00000000
PA
USD
24742939.44000000
0.074958779841
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
78433.63000000
PA
USD
85879.51000000
0.000260172131
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.50000000
N
N
N
N
N
N
National Securities Clearing Corp
549300RYC9NELN2ICA34
NATIONAL SECS CL
637639AE5
50000000.00000000
PA
USD
49195689.00000000
0.149038428916
Long
DBT
CORP
US
Y
2
2025-12-07
Fixed
0.75000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5019
36179TSG1
382312.79000000
PA
USD
405465.50000000
0.001228358466
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BQ7369
3617LSFJ7
650885.25000000
PA
USD
682711.65000000
0.002068276180
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
10304248.60000000
0.031216739794
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
140594.96000000
PA
USD
143924.49000000
0.000436019503
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
6397679.55000000
PA
USD
6435561.49000000
0.019496545188
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
4518.83000000
PA
USD
5322.69000000
0.000016125098
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
1031230.86000000
PA
USD
1122921.82000000
0.003401893687
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
Benchmark 2019-B15 Mortgage Trust
N/A
BMARK 2019-B15 A5
08160KAE4
20500000.00000000
PA
USD
21836600.00000000
0.066154019244
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
6372332.13000000
0.019304991727
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.12500000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406RAB3
7827000.00000000
PA
USD
8610417.03000000
0.026085273985
Long
DBT
CORP
US
N
2
2028-02-07
Variable
3.44200000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJR1
28000000.00000000
PA
USD
28144045.16000000
0.085262435779
Long
DBT
CORP
US
N
2
2025-04-22
Variable
0.97600000
N
N
N
N
N
N
JPMCC Commercial Mortgage Securities Trust 2017-JP5
N/A
JPMCC 2017-JP5 A5
46647TAS7
5080000.00000000
PA
USD
5606338.80000000
0.016984413547
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
3.72320000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAV2
2630000.00000000
PA
USD
2826020.19000000
0.008561433283
Long
DBT
CORP
US
N
2
2027-01-16
Fixed
3.01700000
N
N
N
N
N
N
TotalEnergies Capital Canada Ltd
5299005IX98ZZ9LSGK46
TOTAL CAP CANADA
89153UAF8
2099000.00000000
PA
USD
2188201.35000000
0.006629159952
Long
DBT
CORP
CA
N
2
2023-07-15
Fixed
2.75000000
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
1858502.21000000
0.005630335810
Long
ABS-MBS
CORP
US
N
2
2047-06-15
Fixed
3.89200000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZJ9427
3131X1PL9
14789.65540000
PA
USD
15993.34000000
0.000048451852
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
3.50000000
N
N
N
N
N
N
JOHN DEERE OWNER TRUST JDOT_20-B
N/A
JDOT 2020-B A4
47787NAD1
2410000.00000000
PA
USD
2420466.63000000
0.007332808038
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
2129994.04000000
0.006452820801
Long
DBT
NUSS
KR
N
2
2026-05-26
Fixed
2.62500000
N
N
N
N
N
N
MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_21-1
N/A
MBART 2021-1 A4
58772WAD5
12030000.00000000
PA
USD
11983860.14000000
0.036305125996
Long
ABS-CBDO
CORP
US
N
2
2027-12-15
Fixed
0.73000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3182
31418CRC0
1050587.86000000
PA
USD
1117799.85000000
0.003386376669
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C56964
31298TWZ1
21.12250000
PA
USD
23.86000000
0.000000072283
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
29181.70000000
PA
USD
30613.03000000
0.000092742229
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 MA0391
36179MNG1
1102407.13000000
PA
USD
1176544.23000000
0.003564342875
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
154080.01000000
PA
USD
177001.54000000
0.000536226485
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
5.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CV9
10000000.00000000
PA
USD
9926804.20000000
0.030073271300
Long
DBT
CORP
GB
N
2
2029-08-17
Variable
2.20600000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1838
36179QBF7
521300.22000000
PA
USD
558580.59000000
0.001692220908
Long
ABS-MBS
USGA
US
N
2
2044-04-20
Fixed
3.50000000
N
N
N
N
N
N
UBS AG/London
BFM8T61CT2L1QCEMIK50
UBS AG LONDON
902674YF1
8000000.00000000
PA
USD
7989872.64000000
0.024205333632
Long
DBT
CORP
CH
Y
2
2023-06-01
Fixed
0.37500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 711030
36297F4P4
2426857.84000000
PA
USD
2786624.23000000
0.008442083151
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
18685620.15000000
0.056608120083
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
166355.09000000
PA
USD
184242.14000000
0.000558161896
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1449
36179NTE8
901427.89000000
PA
USD
985148.55000000
0.002984509316
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 766310
36176HDP6
103878.42000000
PA
USD
114014.50000000
0.000345407134
Long
ABS-MBS
USGA
US
N
2
2041-05-15
Fixed
4.50000000
N
N
N
N
N
N
Truist Bank
JJKC32MCHWDI71265Z06
TRUIST BANK
89788KAA4
5950000.00000000
PA
USD
5991706.53000000
0.018151885783
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
1272151.11000000
0.003853984091
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.10000000
N
N
N
N
N
N
BANK 2017-BNK7
N/A
BANK 2017-BNK7 A4
06541XAE0
13570000.00000000
PA
USD
14568073.50000000
0.044134005050
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
3.17500000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
CHARLES SCHWAB
808513BW4
4574000.00000000
PA
USD
4991805.86000000
0.015122684892
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61761JVL0
10687000.00000000
PA
USD
11592864.32000000
0.035120603451
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
7514014.97000000
0.022763721959
Long
DBT
CORP
NO
N
2
2024-03-01
Fixed
3.70000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BE3048
3617BWL52
2975303.91000000
PA
USD
3203892.94000000
0.009706199463
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
8967694.91000000
0.027167647969
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
3951342.64000000
0.011970599683
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
44097974.53500000
NS
USD
4409797453.50000000
13.35948937128
Long
STIV
CORP
US
N
1
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXR0
8820000.00000000
PA
USD
8497112.50000000
0.025742017706
Long
DBT
CORP
US
N
2
2032-01-27
Variable
1.99200000
N
N
N
N
N
N
Equitable Financial Life Global Funding
635400B4JJBON4TCHF02
EQUITABLE FINANC
29449WAG2
18750000.00000000
PA
USD
18780491.06000000
0.056895531676
Long
DBT
CORP
US
Y
2
2023-04-06
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BD2381
3140F9UF0
158566.21000000
PA
USD
176593.40000000
0.000534990025
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
19000000.00000000
PA
USD
19599960.34000000
0.059378115344
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
1.99500000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
COMCAST CORP
20030NCT6
40135000.00000000
PA
USD
46186033.14000000
0.139920671038
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
584516.42000000
PA
USD
621911.85000000
0.001884083075
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Export-Import Bank of Korea
549300APVP4R32PI3Y06
EXP-IMP BK KOREA
302154CQ0
2000000.00000000
PA
USD
2055960.14000000
0.006228534967
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
32717470.00000000
0.099117634614
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Fixed
2.96000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 733720
3620AMDZ2
155078.53000000
PA
USD
176769.10000000
0.000535522308
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
8406843.42000000
PA
USD
9218712.47000000
0.027928106122
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
32665.27000000
PA
USD
38978.60000000
0.000118085739
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
7.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 698343
36296QZG7
38577.83000000
PA
USD
44185.47000000
0.000133859961
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
968512.79000000
PA
USD
1051315.89000000
0.003184963392
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
3.50000000
N
N
N
N
N
N
Chile Government International Bond
N/A
CHILE
168863DP0
32000000.00000000
PA
USD
31737116.16000000
0.096147650880
Long
DBT
NUSS
CL
N
2
2031-01-31
Fixed
2.45000000
N
N
N
N
N
N
Banco del Estado de Chile
5493004R4EJC0W0XVQ72
BANCO DEL ESTADO
05965MAG8
9000000.00000000
PA
USD
9359514.45000000
0.028354665975
Long
DBT
CORP
CL
Y
2
2025-01-09
Fixed
2.70400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5597
3138WFGF7
2157519.73000000
PA
USD
2299977.95000000
0.006967787364
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
66683.88000000
PA
USD
74161.74000000
0.000224673125
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
58392.84000000
PA
USD
62048.26000000
0.000187975316
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 MA2446
36179QWF4
652715.02000000
PA
USD
714278.25000000
0.002163907251
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL7010
3131XNYF4
1901441.01000000
PA
USD
2088375.67000000
0.006326737874
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
23776922.39000000
PA
USD
26309775.69000000
0.079705513098
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
9304003.00000000
0.028186493937
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
2755000.00000000
PA
USD
2940062.50000000
0.008906924668
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
434784.24000000
0.001317179642
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
1553709.07000000
0.004706964441
Long
DBT
CORP
JP
N
2
2026-10-19
Fixed
3.01000000
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
ENTERGY LA LLC
29364WAS7
1075000.00000000
PA
USD
1137428.95000000
0.003445843063
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
571221.16000000
PA
USD
620108.67000000
0.001878620338
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 AS0219
3138W9G53
6071719.50000000
PA
USD
6664505.12000000
0.020190130330
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
2061368.10000000
PA
USD
2198141.32000000
0.006659273109
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
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
3258448.88000000
0.009871476782
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
9365036.70000000
0.028371395642
Long
DBT
CORP
JP
N
2
2022-03-07
Fixed
3.21800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AZ2319
3138YTSH8
75080.91000000
PA
USD
81721.31000000
0.000247574856
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
15591181.00000000
0.047233511074
Long
DBT
CORP
US
N
2
2025-10-30
Variable
2.40600000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST SMB_17-B
N/A
SMB 2017-B A2A
83189DAB6
289635.06000000
PA
USD
299763.48000000
0.000908134005
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
4438078.50000000
0.013445166852
Long
DBT
NUSS
BM
N
2
2029-02-15
Fixed
4.75000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YBS7
8000000.00000000
PA
USD
7979595.84000000
0.024174200047
Long
DBT
CORP
JP
N
2
2027-07-09
Variable
1.55400000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BK4909
3140HJN31
248032.25000000
PA
USD
268684.53000000
0.000813980270
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
57762.40000000
PA
USD
61745.29000000
0.000187057467
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
9788129.58550000
PA
USD
10414337.90000000
0.031550255527
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
ATHENE GLOBAL FU
04685A3A7
12200000.00000000
PA
USD
12183384.94000000
0.036909586739
Long
DBT
CORP
US
Y
2
2024-08-19
Fixed
0.91400000
N
N
N
N
N
N
Southwestern Public Service Co
OL6FE7QD5EQ3DOYEO258
SOUTHWESTERN PUB
845743BP7
14881000.00000000
PA
USD
15709840.90000000
0.047592991456
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
3798.28000000
PA
USD
4360.34000000
0.000013209657
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
7157040.27000000
0.021682266458
Long
ABS-CBDO
CORP
US
Y
2
2031-07-15
Fixed
3.19000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAF3
21840000.00000000
PA
USD
23872199.33000000
0.072320871101
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
1830000.00000000
PA
USD
1949041.92000000
0.005904626026
Long
DBT
CORP
AU
N
2
2024-02-26
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM5822
3140JAPG7
8341104.79390000
PA
USD
8822460.78000000
0.026727660910
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 776656
36176UTM7
17879.26000000
PA
USD
20008.10000000
0.000060614575
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
4.00000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_21-B
N/A
WOART 2021-B A4
98163LAD2
3790000.00000000
PA
USD
3768785.48000000
0.011417542436
Long
ABS-CBDO
CORP
US
N
2
2027-06-15
Fixed
0.69000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08702
3128MJX88
437389.67000000
PA
USD
467888.11000000
0.001417467876
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
9585940.00000000
0.029040622589
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
6518.00000000
PA
USD
6923.77000000
0.000020975573
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
8921735.83000000
0.027028414853
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
2078961.88000000
PA
USD
2182992.30000000
0.006613379126
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAE6
25120000.00000000
PA
USD
25454015.11000000
0.077112984871
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
14236876.41000000
0.043130642866
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
3603063.35000000
0.010915486943
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
6297.84000000
PA
USD
7118.68000000
0.000021566053
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
21390.23000000
PA
USD
25212.19000000
0.000076380375
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
14251113.68000000
0.043173774701
Long
DBT
CORP
US
Y
2
2023-09-24
Fixed
3.35000000
N
N
N
N
N
N
New York Life Global Funding
635400DPNHEAUHB7ZI15
NEW YORK LIFE GL
64952WEG4
10000000.00000000
PA
USD
9759612.10000000
0.029566762531
Long
DBT
CORP
US
Y
2
2031-08-01
Fixed
1.85000000
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST DRIVE_21-1
N/A
DRIVE 2021-1 A3
262108AC7
9520000.00000000
PA
USD
9531212.66000000
0.028874826013
Long
ABS-CBDO
CORP
US
N
2
2024-11-15
Fixed
0.44000000
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
1333638.54000000
0.004040260372
Long
ABS-CBDO
CORP
CA
Y
2
2024-06-19
Fixed
2.96000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q15062
3132J6B86
2019707.53000000
PA
USD
2176583.26000000
0.006593962927
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
2008782.14000000
PA
USD
2200767.07000000
0.006667227824
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
AMAZON.COM INC
023135BY1
10000000.00000000
PA
USD
10082055.00000000
0.030543603880
Long
DBT
CORP
US
N
2
2028-05-12
Fixed
1.65000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PCP9
18700000.00000000
PA
USD
18572123.79000000
0.056264282654
Long
DBT
CORP
US
N
2
2027-09-22
Variable
1.47000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 745125
3620C0YW2
312999.03000000
PA
USD
337448.54000000
0.001022300963
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
111883.47000000
PA
USD
116980.65000000
0.000354393091
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
1742540.59000000
PA
USD
1830690.32000000
0.005546079639
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
12667967.84000000
0.038377631512
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AS6433
36193SEE5
2065099.55000000
PA
USD
2208729.08000000
0.006691348747
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
5248184.65000000
0.015899384901
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
7020020.00000000
0.021267163302
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
151247.62000000
PA
USD
158734.07000000
0.000480885152
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
951.49000000
PA
USD
1082.94000000
0.000003280768
Long
ABS-MBS
USGA
US
N
2
2039-02-15
Fixed
5.00000000
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
8729860.00000000
0.026447126679
Long
ABS-CBDO
CORP
US
Y
2
2033-05-25
Fixed
1.35000000
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
1614197.25000000
0.004890213492
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
3094921.60000000
PA
USD
3217114.37000000
0.009746253809
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
13730255.19000000
0.041595832962
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.68800000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBB5
11590000.00000000
PA
USD
12271734.81000000
0.037177242830
Long
DBT
CORP
JP
N
2
2023-07-19
Fixed
3.74800000
N
N
N
N
N
N
DNB Bank ASA
549300GKFG0RYRRQ1414
DNB BANK ASA
23329PAF7
9120000.00000000
PA
USD
9022499.36000000
0.027333678150
Long
DBT
CORP
NO
Y
2
2026-09-16
Variable
1.12700000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 744034
3620AYSX5
109561.87000000
PA
USD
120885.64000000
0.000366223265
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
49279.43000000
PA
USD
56105.66000000
0.000169972198
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
2135901.43000000
0.006470717250
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
5189949.08000000
0.015722960136
Long
DBT
CORP
US
N
2
2025-10-21
Variable
0.86400000
N
N
N
N
N
N
PacifiCorp
SGY07Y7FNYBNLM6Z1M11
PACIFICORP
695114CR7
7640000.00000000
PA
USD
8142674.49000000
0.024668247113
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
13219.83000000
PA
USD
14605.99000000
0.000044248873
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
8456175.00000000
0.025617997476
Long
ABS-CBDO
CORP
US
N
2
2024-08-16
Fixed
2.71000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 3 10/21
01F0306A1
-169500000.00000000
PA
USD
-177339375.00000000
-0.53724995771
Short
ABS-MBS
USGSE
US
N
2
2021-10-14
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AM2778
36184NCP4
6620.37000000
PA
USD
7067.57000000
0.000021411216
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
6734017.91000000
0.020400719453
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
64430.13000000
PA
USD
72882.93000000
0.000220798968
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
831533.84000000
0.002519133274
Long
DBT
CORP
VG
N
2
2023-05-22
Fixed
3.12500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT7695
36194GRQ9
1001037.51000000
PA
USD
1071279.71000000
0.003245443821
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM4049
3140J8QB2
5078995.73000000
PA
USD
5310618.25000000
0.016088527605
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AK6854
36183QTK1
4391784.76000000
PA
USD
4573174.69000000
0.013854441005
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
12937539.65000000
0.039194299798
Long
DBT
CORP
US
N
2
2021-11-17
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT3164
3138WQQS4
4633147.61000000
PA
USD
4923031.61000000
0.014914333177
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
19542376.80000000
0.059203665905
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
49366700.22000000
0.149556507716
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
2866245.00000000
0.008683294418
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
10904054.67000000
0.033033853369
Long
DBT
CORP
US
N
2
2025-03-10
Fixed
3.50000000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST FORDO_19-A
N/A
FORDO 2019-A A4
34533FAE1
18600000.00000000
PA
USD
19079548.92000000
0.057801528005
Long
ABS-CBDO
CORP
US
N
2
2024-08-15
Fixed
2.85000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GYB4
6600000.00000000
PA
USD
6677883.70000000
0.020230660762
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.61500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4638
36202FEK8
86535.23000000
PA
USD
101505.49000000
0.000307511065
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Fixed
5.50000000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE ELECTRIC CO
23338VAN6
4400000.00000000
PA
USD
4456182.46000000
0.013500012832
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
7697781.66000000
0.023320443479
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
130166.63000000
PA
USD
142926.66000000
0.000432996575
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2017-GS6
N/A
GSMS 2017-GS6 A3
36253PAC6
2490000.00000000
PA
USD
2722366.80000000
0.008247415150
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
2729775.41000000
0.008269859548
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
3690124.68000000
0.011179239400
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
3.06300000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2705
31418CAF1
242753.58000000
PA
USD
256322.49000000
0.000776529447
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
54255.13000000
PA
USD
61725.22000000
0.000186996665
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
1132827.82000000
0.003431903932
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
7550.15000000
PA
USD
8235.07000000
0.000024948159
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
6.00000000
N
N
N
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TOTAL CAP INTL
89153VAS8
11830000.00000000
PA
USD
12356735.96000000
0.037434753968
Long
DBT
CORP
FR
N
2
2025-01-10
Fixed
2.43400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1522
36179NVP0
341588.64000000
PA
USD
373338.45000000
0.001131029510
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
18668038.18000000
PA
USD
20088955.91000000
0.060859528309
Long
ABS-MBS
USGA
US
N
2
2047-06-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG V81873
3132L7CJ6
196586.40000000
PA
USD
214558.23000000
0.000650004546
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
725625.96000000
0.002198285159
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
4971037.18000000
PA
USD
5519969.93000000
0.016722758899
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
3.50000000
N
N
N
N
N
N
VERIZON MASTER TRUST VZMT_21-1
N/A
VZMT 2021-1 A
92348KAA1
30100000.00000000
PA
USD
30039240.14000000
0.091003932403
Long
ABS-CBDO
CORP
US
N
2
2027-05-20
Fixed
0.50000000
N
N
N
N
N
N
COMM 2012-CCRE4 Mortgage Trust
N/A
COMM 2012-CR4 AM
12624QAT0
50000.00000000
PA
USD
49993.50000000
0.000151455398
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
897451.86000000
PA
USD
926614.65000000
0.002807180760
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
33080823.95000000
0.100218416064
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
1477422.86000000
PA
USD
1583187.13000000
0.004796268277
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
5041869.50000000
0.015274352780
Long
ABS-MBS
CORP
US
N
2
2053-12-15
Fixed
1.67300000
N
N
N
N
N
N
CCUBS Commercial Mortgage Trust 2017-C1
N/A
CCUBS 2017-C1 A3
12508GAT3
5000000.00000000
PA
USD
5354850.00000000
0.016222527772
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
5919754.28000000
0.017933906311
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
597804.37000000
PA
USD
718400.46000000
0.002176395494
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
8072194.83000000
0.024454728855
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Fixed
3.80900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA0487
3140Q7RH2
1452759.27000000
PA
USD
1548066.82000000
0.004689871234
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AI5193
36198RXW1
280093.93000000
PA
USD
297571.71000000
0.000901494034
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
3.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833BZ2
7245000.00000000
PA
USD
7669623.58000000
0.023235138524
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C55999
31298SUY8
24.24850000
PA
USD
24.92000000
0.000000075495
Long
ABS-MBS
USGSE
US
N
2
2031-02-01
Fixed
7.50000000
N
N
N
N
N
N
IDB Trust Services Ltd
213800VKLEPJ95I3W549
IDB TRUST SERV
N/A
25624000.00000000
PA
USD
25902317.64000000
0.078471118198
Long
DBT
CORP
JE
N
2
2022-04-12
Fixed
2.39300000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 670615
36295HAQ3
85118.77000000
PA
USD
100720.44000000
0.000305132755
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
1076796.46000000
PA
USD
1119303.22000000
0.003390931131
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
127556.01000000
PA
USD
136352.94000000
0.000413081478
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
19532.89000000
PA
USD
20794.98000000
0.000062998429
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
8211288.22000000
0.024876112532
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
4023931.95000000
0.012190509129
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
125555.95000000
PA
USD
138802.27000000
0.000420501728
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 J31975
31307NFQ2
980124.89000000
PA
USD
1011830.75000000
0.003065343089
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
794654.99000000
PA
USD
833357.07000000
0.002524656752
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
473368.03000000
PA
USD
512117.51000000
0.001551460923
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
15126445.81000000
PA
USD
15258726.58000000
0.046226339806
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
2.78000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 709726
36297EPK5
119204.97000000
PA
USD
139391.16000000
0.000422285771
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
2623207.91000000
PA
USD
2842257.84000000
0.008610625273
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
31796.38000000
PA
USD
36853.58000000
0.000111647987
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8073
3138WH6K3
1246258.93000000
PA
USD
1298215.84000000
0.003932947238
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
2.50000000
N
N
N
N
N
N
Invesco Finance PLC
549300OYQ3LAJYXXO449
INVESCO FIN PLC
46132FAA8
5203000.00000000
PA
USD
5365317.37000000
0.016254238688
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
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAR8
39510000.00000000
PA
USD
41814286.81000000
0.126676457614
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
19578818.00000000
0.059314064587
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
28902.47000000
PA
USD
33608.31000000
0.000101816436
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
6.50000000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_21-2
N/A
HAROT 2021-2 A3
43811JAC1
18810000.00000000
PA
USD
18786094.37000000
0.056912506914
Long
ABS-CBDO
CORP
US
N
2
2025-08-15
Fixed
0.33000000
N
N
N
N
N
N
Mizuho Financial Group Inc
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL
60687YAR0
2250000.00000000
PA
USD
2536635.22000000
0.007684740992
Long
DBT
CORP
JP
N
2
2028-03-05
Fixed
4.01800000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MCJ7
13900000.00000000
PA
USD
13685801.00000000
0.041461158913
Long
DBT
CORP
JP
N
2
2031-09-17
Fixed
2.22200000
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
16685194.52000000
0.050547827014
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
116474.52000000
PA
USD
124312.74000000
0.000376605670
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
31538.81000000
PA
USD
35652.72000000
0.000108009979
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
523569.43000000
PA
USD
545508.56000000
0.001652619170
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
11360000.00000000
PA
USD
11416086.59000000
0.034585054998
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
88251.11000000
PA
USD
99437.90000000
0.000301247298
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
3137831.15000000
0.009506065151
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
2490140.51000000
PA
USD
2609191.14000000
0.007904549283
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
6605953.14000000
0.020012747000
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
101093.46000000
PA
USD
109492.99000000
0.000331709211
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
293625000.00000000
0.889537469239
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
7420000.00000000
PA
USD
7500892.84000000
0.022723968442
Long
ABS-CBDO
CORP
US
Y
2
2023-07-20
Fixed
1.74000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BJ2692
3140H37E0
4427416.88690000
PA
USD
4702610.95000000
0.014246568389
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust 2013-C6
549300G1IXWLFE766Q13
UBSBB 2013-C6 AS
90349GBH7
150000.00000000
PA
USD
154462.50000000
0.000467944423
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
275423.37000000
PA
USD
288220.45000000
0.000873164375
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
821044.80000000
0.002487356708
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
3184701.50000000
PA
USD
3270030.16000000
0.009906562291
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
14342114.71000000
0.043449462486
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
25410031.89000000
0.076979737626
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.37500000
N
N
N
N
N
N
Athene Global Funding
549300LM1QSI4MSIL320
ATHENE GLOBAL FU
04685A2Q3
4750000.00000000
PA
USD
4807994.41000000
0.014565827772
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
2805412.64000000
PA
USD
2980680.51000000
0.009029977002
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
53039929.35000000
0.160684562018
Long
DBT
CORP
US
N
2
2024-12-06
Fixed
2.15000000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP
55607PAF2
6665000.00000000
PA
USD
6633778.14000000
0.020097042888
Long
DBT
CORP
AU
Y
2
2027-09-23
Variable
1.62900000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC
713448DF2
6674000.00000000
PA
USD
7158966.94000000
0.021688103309
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
2.85000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 645634
36292DHK1
869.39000000
PA
USD
947.72000000
0.000002871119
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
86011.11000000
PA
USD
95021.35000000
0.000287867351
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
2946752.08000000
0.008927190762
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
3.50200000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AU7266
36194VCB5
1365994.46000000
PA
USD
1461777.17000000
0.004428456583
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
15061836.77000000
0.045629861770
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
1621.52000000
PA
USD
1933.45000000
0.000005857390
Long
ABS-MBS
USGA
US
N
2
2038-01-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT2769
3138WQCF7
62887.62000000
PA
USD
64890.95000000
0.000196587250
Long
ABS-MBS
USGSE
US
N
2
2028-05-01
Fixed
2.00000000
N
N
N
N
N
N
COMM 2013-LC6 Mortgage Trust
N/A
COMM 2013-LC6 A4
20048EAY7
706018.83000000
PA
USD
720139.21000000
0.002181663040
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
105212.00000000
0.000318739944
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
3023739.89000000
PA
USD
3038431.34000000
0.009204933246
Long
ABS-CBDO
CORP
US
N
2
2023-05-16
Fixed
3.02000000
N
N
N
N
N
N
N/A
N/A
US 2YR NOTE (CBT) Dec21
N/A
1430.00000000
NC
USD
-261362.79000000
-0.00079179904
N/A
DIR
N/A
N
1
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED
8NAV47T0Y26Q87Y0QP81
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Long
N/A
CBOT 2 Year US Treasury Note Future
2021-12-31
314939566.63000000
USD
-261362.79000000
N
N
N
VOLVO FINANCIAL EQUIPMENT LLC VFET_20-1
N/A
VFET 2020-1A A3
92888EAC7
12100000.00000000
PA
USD
12121364.97000000
0.036721697127
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
2633030.53000000
0.007976770758
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
3.37500000
N
N
N
N
N
N
MMAF EQUIPMENT FINANCE LLC MMAF_16-AA
N/A
MMAF 2016-AA A5
55315FAE0
6130000.00000000
PA
USD
6223123.28000000
0.018852963246
Long
ABS-CBDO
CORP
US
Y
2
2032-12-15
Fixed
2.21000000
N
N
N
N
N
N
City of New York NY
549300ABYZD2SFD5JB29
NEW YORK-B-2
64966QEM8
5000000.00000000
PA
USD
5162950.00000000
0.015641166374
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
1849070.71000000
0.005601763064
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
2.85000000
N
N
N
N
N
N
Virginia Electric and Power Co
CQKUMNNZVDJLRYV2PT43
VIRGINIA EL&PWR
927804FU3
5700000.00000000
PA
USD
6138935.97000000
0.018597917638
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL6273
3138EN6K0
919029.80000000
PA
USD
1013417.29000000
0.003070149515
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
5.00000000
N
N
N
N
N
N
John Deere Capital Corp
E0KSF7PFQ210NWI8Z391
JOHN DEERE CAP
24422EVS5
25000000.00000000
PA
USD
24990274.25000000
0.075708081096
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
2.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AX0458
36196BQK2
181167.00000000
PA
USD
203149.53000000
0.000615441869
Long
ABS-MBS
USGA
US
N
2
2046-11-15
Fixed
4.50000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_21-3
N/A
CARMX 2021-3 A3
14317DAC4
22690000.00000000
PA
USD
22670434.41000000
0.068680122100
Long
ABS-CBDO
CORP
US
N
2
2026-06-15
Fixed
0.55000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A77257
3128LBB23
46275.34000000
PA
USD
50530.47000000
0.000153082150
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
43559.69000000
PA
USD
47115.05000000
0.000142735129
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
554480.10000000
PA
USD
589967.99000000
0.001787309094
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
293568.67000000
PA
USD
319951.16000000
0.000969292618
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
498281250.00000000
1.509543949235
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
167923.03000000
PA
USD
181400.38000000
0.000549552779
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Mercy Health/OH
RV2KCMRGYKSCKT5REH48
MERCY HEALTH
58942HAC5
7000000.00000000
PA
USD
8010569.14000000
0.024268033716
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
4664634.65000000
0.014131519119
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
1.66000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C91485
3128P7UJ0
9745792.29000000
PA
USD
10406508.28000000
0.031526535679
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 597642
36200C5B7
11888.04000000
PA
USD
12959.17000000
0.000039259828
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
659456.72000000
PA
USD
681415.84000000
0.002064350521
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
7915000.00000000
PA
USD
7922983.07000000
0.024002691558
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
280472.44000000
PA
USD
296150.29000000
0.000897187839
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL3423
3131XJYU0
1983023.14000000
PA
USD
2190048.57000000
0.006634756108
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
400125000.00000000
1.212179412104
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
1016686.74000000
PA
USD
1018736.48000000
0.003086264011
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
5916055.61000000
0.017922701184
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
769935.83000000
PA
USD
841039.17000000
0.002547929688
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
10409575.54000000
0.031535827949
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
5278720.16000000
0.015991892284
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.63500000
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
5395417.58000000
0.016345427329
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
6457811.34000000
0.019563951149
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
9404360.09000000
0.028490525923
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
24577003.32000000
0.074456076065
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
113223.52000000
PA
USD
117562.94000000
0.000356157139
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
3.50000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA-BD
91412HFG3
48635000.00000000
PA
USD
54433157.70000000
0.164905349827
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
3.34900000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 727771
3620AEQY9
6968.81000000
PA
USD
7910.43000000
0.000023964662
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
816558.57000000
PA
USD
874947.49000000
0.002650655005
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Fixed
3.50000000
N
N
N
N
N
N
CNPC General Capital Ltd
N/A
CNPC GENERAL CAP
12623TAE8
1000000.00000000
PA
USD
1038201.68000000
0.003145233869
Long
DBT
CORP
VG
Y
2
2023-04-16
Fixed
3.40000000
N
N
N
N
N
N
COMM 2012-CCRE4 Mortgage Trust
N/A
COMM 2012-CR4 A3
12624QAR4
1357278.59000000
PA
USD
1383175.47000000
0.004190332591
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Fixed
2.85300000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU3220
3138X2SJ4
1819828.91000000
PA
USD
1996621.47000000
0.006048768359
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
149789070.00000000
0.453786258824
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
197556.82000000
PA
USD
206910.54000000
0.000626835855
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
2392883.73000000
PA
USD
2615849.53000000
0.007924720888
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
BRAZOS HIGHER EDUCATION AUTHORITY INC BRHEA_11-1
N/A
BRHEA 2011-1 A2
10620NCG1
546753.77400000
PA
USD
548862.33000000
0.001662779422
Long
ABS-CBDO
CORP
US
N
2
2030-02-25
Floating
0.94700000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q01349
3132GEQA1
99772.06000000
PA
USD
114712.81000000
0.000347522665
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 745242
3620C05B0
16759.31000000
PA
USD
18857.85000000
0.000057129890
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 2.5 10/21
01F0224A0
-278000000.00000000
PA
USD
-289554375.00000000
-0.87720550342
Short
ABS-MBS
USGSE
US
N
2
2021-10-19
Fixed
2.50000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_19-B
N/A
NAROT 2019-B A3
65479HAC1
7032672.65000000
PA
USD
7101532.36000000
0.021514105145
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
2.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2015-C27
N/A
JPMBB 2015-C27 A4
46644ABF8
110000.00000000
PA
USD
117112.60000000
0.000354792833
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.17940000
N
N
N
N
N
N
Pepper Residential Securities Trust
N/A
PEPAU 21A A1U
71336WAA3
235589.10480000
PA
USD
236120.03000000
0.000715326058
Long
ABS-MBS
CORP
AU
Y
2
2060-01-16
Floating
0.96460000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61746BDQ6
17649000.00000000
PA
USD
19041959.68000000
0.057687651334
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
1441.98000000
PA
USD
1696.07000000
0.000005138247
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
13624.42000000
PA
USD
15002.01000000
0.000045448616
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
AMAZON.COM INC
023135BZ8
3500000.00000000
PA
USD
3545086.34000000
0.010739845486
Long
DBT
CORP
US
N
2
2031-05-12
Fixed
2.10000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PCW0
9140000.00000000
PA
USD
10088949.26000000
0.030564490053
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA2971
3140QAJR2
2948592.54000000
PA
USD
3261061.97000000
0.009879393143
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61747YED3
21500000.00000000
PA
USD
21134384.76000000
0.064026656903
Long
DBT
CORP
US
N
2
2032-07-21
Variable
2.23900000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
085209AB0
2700000.00000000
PA
USD
2815868.85000000
0.008530679780
Long
DBT
NUSS
BM
Y
2
2023-01-03
Fixed
4.13800000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AV5898
36195GRT2
1835288.26000000
PA
USD
1963993.72000000
0.005949922531
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
451927.07000000
PA
USD
527223.05000000
0.001597223184
Long
ABS-MBS
USGA
US
N
2
2038-11-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 3 10/21
21H0306A7
100000000.00000000
PA
USD
104468750.00000000
0.316488267312
Long
ABS-MBS
USGA
US
N
2
2021-10-21
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AI4463
36198Q5Y0
123263.97000000
PA
USD
132511.22000000
0.000401442980
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
27148692.87000000
0.082247014214
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
13366655.98000000
0.040494308497
Long
DBT
CORP
US
N
2
2026-10-24
Variable
1.19700000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
95000U2K8
7000000.00000000
PA
USD
7224857.01000000
0.021887717395
Long
DBT
CORP
US
N
2
2026-02-11
Variable
2.16400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2149
36179QL66
1401263.22960000
PA
USD
1533419.59000000
0.004645497424
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 AB2468
31416XW63
620543.98000000
PA
USD
691441.38000000
0.002094722912
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
4468463.03000000
0.013537216841
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
83455.30000000
PA
USD
92324.01000000
0.000279695755
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 3 10/21
01F0306A1
193000000.00000000
PA
USD
201926250.00000000
0.611735940052
Long
ABS-MBS
USGSE
US
N
2
2021-10-14
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38148YAC2
6270000.00000000
PA
USD
6281105.30000000
0.019028619881
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
15616622.84000000
0.047310587174
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
399953.27000000
PA
USD
430800.55000000
0.001305111046
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
6593272.65000000
PA
USD
7284419.71000000
0.022068162703
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114TZJ4
15000000.00000000
PA
USD
14743295.25000000
0.044664839659
Long
DBT
CORP
CA
N
2
2031-09-10
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A93996
312942NM3
6103.35000000
PA
USD
6742.20000000
0.000020425507
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 569972
31386QFM8
204.58480000
PA
USD
234.68000000
0.000000710963
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
110371.36000000
PA
USD
124919.54000000
0.000378443972
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Benchmark 2020-B22 Mortgage Trust
N/A
BMARK 2020-B22 ASB
08163BBD2
4550000.00000000
PA
USD
4552639.00000000
0.013792228095
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
3075494.09290000
PA
USD
3079191.76000000
0.009328417013
Long
ABS-MBS
CORP
GB
Y
2
2060-08-25
Floating
0.57920000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CAW1
500000000.00000000
PA
USD
499296900.00000000
1.512620862749
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
5390856.28000000
0.016331608862
Long
DBT
CORP
GB
N
2
2026-03-08
Fixed
4.30000000
N
N
N
N
N
N
Hershey Co/The
21X2CX66SU2BR6QTAD08
HERSHEY COMPANY
427866BD9
10000000.00000000
PA
USD
10435306.50000000
0.031613779939
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
2.45000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5595
3138WFGD2
178662.04000000
PA
USD
191092.36000000
0.000578914650
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
611853.55000000
PA
USD
612266.92000000
0.001854863742
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
15000000.00000000
PA
USD
16131300.00000000
0.048869802562
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Fixed
3.63500000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_21-3
N/A
GMCAR 2021-3 A3
380140AC7
14910000.00000000
PA
USD
14891550.37000000
0.045113978813
Long
ABS-CBDO
CORP
US
N
2
2026-06-16
Fixed
0.48000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN CA0243
3140Q7HV2
4864313.99000000
PA
USD
5285474.56000000
0.016012354751
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
315.08000000
PA
USD
371.19000000
0.000001124520
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
8305078.81000000
0.025160251294
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
844360.21000000
PA
USD
871313.79000000
0.002639646704
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
25294346.21000000
0.076629267649
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
647635.53000000
PA
USD
685342.10000000
0.002076245133
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 746166
3620C16B7
111831.90000000
PA
USD
120754.64000000
0.000365826400
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
5816487.42000000
0.017621059172
Long
ABS-MBS
CORP
US
N
2
2049-03-15
Fixed
3.59400000
N
N
N
N
N
N
New York Life Global Funding
635400DPNHEAUHB7ZI15
NEW YORK LIFE GL
64952WCH4
5200000.00000000
PA
USD
5432210.99000000
0.016456893031
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
101618.61000000
PA
USD
107911.11000000
0.000326916903
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
13985440.90000000
0.042368918533
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
284589.91000000
PA
USD
307603.64000000
0.000931885784
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967MR9
38445000.00000000
PA
USD
39198304.40000000
0.118751334165
Long
DBT
CORP
US
N
2
2024-05-15
Variable
1.67800000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G07621
3128M9YS5
2063439.66000000
PA
USD
2356535.79000000
0.007139129443
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
10919148.90000000
0.033079581366
Long
DBT
CORP
US
N
2
2027-05-16
Fixed
3.25000000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_18-3
N/A
ALLYA 2018-3 A3
02007JAC1
29393.58000000
PA
USD
29418.56000000
0.000089123580
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
4628250.00000000
0.014021291756
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.56080000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782562
36241KZ35
1228.49000000
PA
USD
1423.58000000
0.000004312738
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
452701.68000000
PA
USD
484196.91000000
0.001466875415
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 890527
31410LLG5
7157808.57000000
PA
USD
7910060.61000000
0.023963542942
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 714032
36297KHH7
57255.59000000
PA
USD
59519.73000000
0.000180315129
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
5.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CG2
25000000.00000000
PA
USD
25529071.00000000
0.077340366826
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
11589777.31000000
0.035111251349
Long
DBT
CORP
US
N
2
2024-11-08
Fixed
2.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT2717
3138WQAT9
496039.02000000
PA
USD
515675.52000000
0.001562239921
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
2190829.04000000
PA
USD
2378124.55000000
0.007204532630
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
3.50000000
N
N
N
N
N
N
COMM 2014-CCRE17 Mortgage Trust
N/A
COMM 2014-CR17 A5
12631DBB8
15000000.00000000
PA
USD
16101750.00000000
0.048780280784
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
330140.82000000
PA
USD
359761.38000000
0.001089897752
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
4758013.79000000
PA
USD
5080607.12000000
0.015391708470
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
25008112.50000000
0.075762122107
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
77.21000000
PA
USD
85.33000000
0.000000258507
Long
ABS-MBS
USGA
US
N
2
2037-12-15
Fixed
6.50000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_21-2
N/A
GMCAR 2021-2 A3
380149AC8
7850000.00000000
PA
USD
7860033.87000000
0.023811986843
Long
ABS-CBDO
CORP
US
N
2
2026-04-16
Fixed
0.51000000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MBG4
2850000.00000000
PA
USD
3271694.21000000
0.009911603534
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
1373500.00000000
0.004161020737
Long
ABS-MBS
CORP
US
N
2
2050-02-10
Fixed
3.63100000
N
N
N
N
N
N
MassMutual Global Funding II
549300K1IE3K7YU6VG29
MASSMUTUAL GLBL
57629WCG3
2500000.00000000
PA
USD
2655451.53000000
0.008044695219
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
22695820.99000000
PA
USD
22866668.32000000
0.069274613085
Long
ABS-CBDO
CORP
US
N
2
2023-09-15
Fixed
1.91000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 3 11/21
21H0306B5
100000000.00000000
PA
USD
104292970.00000000
0.315955741483
Long
ABS-MBS
USGA
US
N
2
2021-11-18
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB1389
31416WRK0
8050.29000000
PA
USD
8893.08000000
0.000026941601
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
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
3039577.80000000
0.009208406449
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
1275654.12000000
PA
USD
1365645.91000000
0.004137226757
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
460313.97000000
PA
USD
488970.82000000
0.001481337984
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 738108
3620ASAH2
722693.68000000
PA
USD
830897.26000000
0.002517204753
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
1695101.45000000
0.005135312912
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
10795.04000000
PA
USD
12152.75000000
0.000036816778
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL6784
3131XNRD7
4060221.21000000
PA
USD
4448128.65000000
0.013475613800
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
17146380.72000000
0.051944991442
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
254826.23000000
PA
USD
270258.56000000
0.000818748796
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 G08681
3128MJXK1
795029.98000000
PA
USD
853706.93000000
0.002586306690
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
4351480.46000000
0.013182817933
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
233127.61000000
PA
USD
256499.61000000
0.000777066033
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
4.00000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BL7
19630000.00000000
PA
USD
19995305.27000000
0.060575813525
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.62300000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RAB
N/A
7300000.00000000
PA
8626977.54000000
0.026135444080
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
1909225.03000000
PA
USD
2068330.68000000
0.006266011540
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816BR9
18265000.00000000
PA
USD
19493686.55000000
0.059056158705
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CCP4
200000000.00000000
PA
USD
196812500.00000000
0.596243825166
Long
DBT
UST
US
N
2
2026-07-31
Fixed
0.62500000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GWT7
10000000.00000000
PA
USD
10360169.00000000
0.031386150747
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
11890.60000000
PA
USD
13938.74000000
0.000042227438
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Fixed
5.50000000
N
N
N
N
N
N
National Rural Utilities Cooperative Finance Corp
4NYF266XZC35SCTGX023
NATL RURAL UTIL
637432NQ4
10945000.00000000
PA
USD
12372401.81000000
0.037482213689
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.90000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_21-2
N/A
GMCAR 2021-2 A4
380149AD6
6480000.00000000
PA
USD
6510999.67000000
0.019725085291
Long
ABS-CBDO
CORP
US
N
2
2026-10-16
Fixed
0.82000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 782436
36241KV54
834.88000000
PA
USD
980.55000000
0.000002970578
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 RA5142
3133KLWB9
161148476.57980000
PA
USD
167076129.91000000
0.506157438128
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
WELLS FARGO CO
N/A
15280000.00000000
PA
17970244.79000000
0.054440889134
Long
DBT
CORP
US
N
2
2024-04-26
Fixed
0.50000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST CRVNA_21-P3
N/A
CRVNA 2021-P3 A4
14687JAF6
8360000.00000000
PA
USD
8333135.14000000
0.025245247997
Long
ABS-CBDO
CORP
US
N
2
2027-06-10
Fixed
1.03000000
N
N
N
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX COS INC
872540AT6
10000000.00000000
PA
USD
11383799.20000000
0.034487240291
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
11574281.51000000
0.035064306794
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
2.04000000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP
55607PAG0
10000000.00000000
PA
USD
9979614.70000000
0.030233260806
Long
DBT
CORP
AU
Y
2
2032-06-23
Variable
2.69100000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 697914
36296QK32
32691.47000000
PA
USD
37251.55000000
0.000112853638
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR2354
3617LYTK6
1048854.65000000
PA
USD
1090247.70000000
0.003302907381
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.50000000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_18-4
N/A
GMCAR 2018-4 A3
38013FAD3
3819640.33000000
PA
USD
3850301.73000000
0.011664496063
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
15738.78000000
PA
USD
17384.31000000
0.000052665798
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE6020
3133N3VM3
687488.49000000
PA
USD
721891.79000000
0.002186972485
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2016-BNK2
N/A
MSC 2016-BNK2 A4
61690YBU5
760000.00000000
PA
USD
814051.20000000
0.002466169584
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
3.04900000
N
N
N
N
N
N
Toyota Motor Credit Corp
Z2VZBHUMB7PWWJ63I008
TOYOTA MTR CRED
89236TFT7
20000000.00000000
PA
USD
22527098.40000000
0.068245885398
Long
DBT
CORP
US
N
2
2029-01-08
Fixed
3.65000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4600
36202FDD5
341772.28000000
PA
USD
383876.95000000
0.001162955915
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 AS2337
3138WBS30
13354.16000000
PA
USD
14828.18000000
0.000044921998
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
1715423.03000000
0.005196877175
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Fixed
3.91700000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4984
36202FRD0
6691.95000000
PA
USD
7880.66000000
0.000023874473
Long
ABS-MBS
USGA
US
N
2
2041-03-20
Fixed
5.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust 2014-C18
N/A
JPMBB 2014-C18 AS
46641JBA3
450000.00000000
PA
USD
480267.00000000
0.001454969746
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
15000000.00000000
PA
USD
16025550.00000000
0.048549432746
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Fixed
3.99800000
N
N
N
N
N
N
BANK 2019-BNK17
N/A
BANK 2019-BN17 A4
065403BC0
4459000.00000000
PA
USD
4981148.90000000
0.015090399613
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
4114224.30000000
0.012464049967
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.22380000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QAY6
8400000.00000000
PA
USD
8909240.59000000
0.026990560501
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
11768845.33000000
PA
USD
12426692.01000000
0.037646685948
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
22823.93000000
PA
USD
25274.90000000
0.000076570355
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
4922384.60000000
0.014912373059
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
32970806.66000000
0.099885118484
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
926559.18000000
PA
USD
1017185.84000000
0.003081566344
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 AT5300
3138WS3J5
513242.15000000
PA
USD
563761.04000000
0.001707915091
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 AM6376
36184XCM9
30126.15000000
PA
USD
32877.42000000
0.000099602203
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
335881.25000000
0.001017552855
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Fixed
3.61500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BC2738
3140EXBG7
10303794.52460000
PA
USD
10849984.25000000
0.032870046934
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4803
36202FKQ8
6815.23000000
PA
USD
7958.44000000
0.000024110108
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae Principal Strip
N/A
FNMA PRIN STP
31358DDG6
4900000.00000000
PA
USD
4267880.40000000
0.012929551400
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
345647.12000000
PA
USD
346222.17000000
0.001048880691
Long
ABS-MBS
CORP
AU
Y
2
2059-12-05
Floating
0.93290000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL5269
36184B2A4
20512.38000000
PA
USD
21782.25000000
0.000065989365
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 736686
3620AQNB5
4948.18000000
PA
USD
5756.60000000
0.000017439630
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
2736824.75000000
0.008291215536
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
249257800.00000000
0.755126956492
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
37838267.56000000
0.114631100096
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
9401045.73000000
0.028480485063
Long
ABS-MBS
CORP
US
N
2
2050-10-12
Fixed
3.47100000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807DK0
11500000.00000000
PA
USD
11827936.07000000
0.035832753743
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
2.65000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_19-4
N/A
CARMX 2019-4 A4
14315WAE0
4790000.00000000
PA
USD
4944680.60000000
0.014979918832
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
1170000.00000000
PA
USD
1285413.78000000
0.003894163374
Long
DBT
CORP
AU
N
2
2027-03-08
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6856
3138WGTN4
14568.98000000
PA
USD
15970.46000000
0.000048382537
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4833
36202FLN4
1740658.41000000
PA
USD
1914882.13000000
0.005801138880
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
1726137.71000000
PA
USD
1824992.93000000
0.005528819386
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
13926808.42000000
0.042191291329
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
34606.65000000
PA
USD
37873.09000000
0.000114736594
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
4.50000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
961214ET6
12220000.00000000
PA
USD
12323778.35000000
0.037334908829
Long
DBT
CORP
AU
N
2
2031-06-03
Fixed
2.15000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3565
31418C6B5
6614018.17000000
PA
USD
7296613.29000000
0.022105103175
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL5414
36184CAP0
80188.63000000
PA
USD
85308.06000000
0.000258440922
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 CA4120
3140QBSJ8
881748.70000000
PA
USD
928004.27000000
0.002811390616
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 MA3148
31418CQA5
1850488.29000000
PA
USD
1968874.76000000
0.005964709650
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC
172967ML2
8380000.00000000
PA
USD
8598899.68000000
0.026050382152
Long
DBT
CORP
US
N
2
2031-01-29
Variable
2.66600000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US BANCORP
91159HJA9
10000000.00000000
PA
USD
9534018.10000000
0.028883325099
Long
DBT
CORP
US
N
2
2030-07-22
Fixed
1.37500000
N
N
N
N
N
N
Public Service Electric and Gas Co
549300RUHPVD434XUK18
PUBLIC SERVICE
74456QBU9
1980000.00000000
PA
USD
2219783.84000000
0.006724839163
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE0685
3140FKXP0
6417883.22000000
PA
USD
6878182.15000000
0.020837465279
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
126844.42000000
PA
USD
138440.41000000
0.000419405472
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
4.00000000
N
N
N
N
N
N
City of New York NY
549300ABYZD2SFD5JB29
NYC-F3-TXBL
64966LM73
1020000.00000000
PA
USD
1112285.83000000
0.003369671936
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
23653224.92000000
0.071657487729
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.20000000
N
N
N
N
N
N
Metropolitan Life Global Funding I
635400MMSOCXNNNZDZ82
MET LIFE GLOB
59217GGV5
1065000.00000000
PA
USD
1060662.31000000
0.003213278388
Long
DBT
CORP
US
Y
2
2024-01-07
Fixed
0.40000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1157
36179NJA7
58784.99000000
PA
USD
62990.49000000
0.000190829803
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
188581.60000000
PA
USD
199973.87000000
0.000605821201
Long
ABS-MBS
USGA
US
N
2
2044-07-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3664
36179SB97
86410.45000000
PA
USD
93483.45000000
0.000283208281
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
393559.72000000
PA
USD
430658.35000000
0.001304680251
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 769934
36176MEF6
67123.50000000
PA
USD
77311.49000000
0.000234215298
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
3210003.65000000
PA
USD
3499835.52000000
0.010602758045
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
190882.80000000
0.000578279788
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
12187938.81000000
0.036923382696
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
3610195.84000000
0.010937094835
Long
DBT
CORP
US
N
2
2025-02-09
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AP3902
3138M7KQ7
237307.48000000
PA
USD
253848.81000000
0.000769035429
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4979
36202FQ82
3892713.23000000
PA
USD
4433989.94000000
0.013432780552
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
497784.64000000
PA
USD
522106.40000000
0.001581722284
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
50949.65000000
PA
USD
54370.65000000
0.000164715982
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
54549.85000000
PA
USD
62114.06000000
0.000188174657
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
11062457.77000000
0.033513735847
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
2763436.00000000
0.008371834366
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
493598.61000000
PA
USD
550278.79000000
0.001667070590
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
135183.63000000
PA
USD
143378.60000000
0.000434365728
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
3.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2014-LC18
5493007CD1Q2V06I4172
WFCM 2014-LC18 A5
94989AAU9
10000.00000000
PA
USD
10705.00000000
0.000032430816
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
3745253.60000000
0.011346252563
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 AR2638
3138NY4Y8
348364.83000000
PA
USD
384841.24000000
0.001165877233
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1012
36179NDR6
651322.38000000
PA
USD
706971.17000000
0.002141770439
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
5714.72000000
PA
USD
6434.66000000
0.000019493814
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 G08655
3128MJWR7
18469.68000000
PA
USD
20158.14000000
0.000061069121
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
136708.04000000
PA
USD
143068.49000000
0.000433426249
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
15597924.75000000
0.047253941277
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
9790540.30000000
0.029660459568
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
268857.88000000
PA
USD
295770.18000000
0.000896036295
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 MA3736
36179SEH6
206328.18000000
PA
USD
220069.10000000
0.000666699736
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJG5
13670000.00000000
PA
USD
13686461.96000000
0.041463161293
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
293001.33000000
PA
USD
320179.61000000
0.000969984708
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
380153.12000000
PA
USD
393638.18000000
0.001192527579
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
268387.50000000
0.000813080417
Long
ABS-MBS
CORP
US
N
2
2046-08-15
Variable
4.15300000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 1.5 10/21
01F0124A1
-77500000.00000000
PA
USD
-78250781.25000000
-0.23706088350
Short
ABS-MBS
USGSE
US
N
2
2021-10-19
Fixed
1.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 726380
3620AC6R0
48759.83000000
PA
USD
54385.40000000
0.000164760667
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
4.50000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_21-B
N/A
HALST 2021-B A3
44891VAC5
4060000.00000000
PA
USD
4055776.38000000
0.012286981888
Long
ABS-CBDO
CORP
US
Y
2
2024-06-17
Fixed
0.33000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BB3612
3617AUAM2
5093065.10000000
PA
USD
5701840.19000000
0.017273735181
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
10636793.60000000
0.032224185473
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
2.95000000
N
N
N
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
BANK OF NY MELLO
06406HDA4
700000.00000000
PA
USD
747361.50000000
0.002264133017
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
21995718.22000000
PA
USD
22272184.60000000
0.067473623579
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
1179846.92000000
PA
USD
1280622.84000000
0.003879649212
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
3.50000000
N
N
N
N
N
N
JPMCC Commercial Mortgage Securities Trust 2017-JP6
N/A
JPMCC 2017-JP6 A5
48128KAU5
2170000.00000000
PA
USD
2372873.30000000
0.007188623959
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Fixed
3.48980000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_21-4
N/A
CARMX 2021-4 A4
14317JAE7
8670000.00000000
PA
USD
8623206.28000000
0.026124019041
Long
ABS-CBDO
CORP
US
N
2
2027-04-15
Fixed
0.82000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A92533
312940Y60
22654.92000000
PA
USD
25028.04000000
0.000075822492
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
3337461.36000000
0.010110845234
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
1332873.71000000
0.004037943318
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
19934392.00000000
0.060391276664
Long
ABS-MBS
CORP
US
N
2
2053-01-15
Fixed
3.00550000
N
N
N
N
N
N
Adobe Inc
FU4LY2G4933NH2E1CP29
ADOBE INC
00724PAC3
46105000.00000000
PA
USD
48233177.29000000
0.146122497947
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
62451.34000000
PA
USD
71198.59000000
0.000215696257
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
1142375.15000000
0.003460827585
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
6081596.74000000
0.018424208337
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
2028497.00000000
0.006145335334
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
5193.11000000
PA
USD
5674.74000000
0.000017191635
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
18152.90000000
PA
USD
20668.96000000
0.000062616651
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
29402420.57000000
0.089074686363
Long
DBT
CORP
US
N
2
2023-10-06
Fixed
3.55000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL3691
36184AC49
2365.01000000
PA
USD
2525.42000000
0.000007650764
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
1176048.01000000
0.003562839576
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.40000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4128
36179SSR9
205184.73000000
PA
USD
221980.35000000
0.000672489872
Long
ABS-MBS
USGA
US
N
2
2046-12-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2888
31418CF66
22492.18000000
PA
USD
23416.32000000
0.000070939783
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
6650014.84000000
0.020146232000
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
5358004.30000000
0.016232083729
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT6424
3138WUD67
52640.69000000
PA
USD
55950.14000000
0.000169501050
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1761
36179N5W4
949196.20000000
PA
USD
1038683.85000000
0.003146694604
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
4.00000000
N
N
N
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
AMERIPRISE FINL
03076CAK2
51737000.00000000
PA
USD
54958470.01000000
0.166496784422
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
2780554.92000000
0.008423696165
Long
DBT
CORP
US
N
2
2031-01-28
Fixed
1.90000000
N
N
N
N
N
N
BlackRock Inc
549300LRIF3NWCU26A80
BLACKROCK INC
09247XAQ4
14497000.00000000
PA
USD
14964665.83000000
0.045335482232
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
733969.66000000
PA
USD
806168.64000000
0.002442289354
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
5.00000000
N
N
N
N
N
N
COMM 2014-CCRE20 Mortgage Trust
N/A
COMM 2014-CR20 A3
12592LBH4
1908987.15890000
PA
USD
2007109.10000000
0.006080540653
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Fixed
3.32600000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4835
36202FLQ7
113910.23000000
PA
USD
129750.09000000
0.000393078132
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AT8116
36194HAR3
1746657.64000000
PA
USD
1902759.58000000
0.005764413593
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
3563036.76000000
PA
USD
3689861.27000000
0.011178441399
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
13332236.98000000
0.040390036074
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
36847.58000000
PA
USD
39948.19000000
0.000121023113
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
13337.58000000
PA
USD
13685.86000000
0.000041461337
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C00933
31292HBA1
13.09990000
PA
USD
15.33000000
0.000000046442
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE5978
3140FRUC7
7411.00000000
PA
USD
8132.89000000
0.000024638604
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
3641002.48000000
0.011030423606
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
18625490.07000000
PA
USD
18815151.57000000
0.057000535754
Long
ABS-CBDO
CORP
US
N
2
2023-07-17
Fixed
2.91000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
0641594B9
10000000.00000000
PA
USD
9925539.10000000
0.030069438678
Long
DBT
CORP
CA
N
2
2031-08-01
Fixed
2.15000000
N
N
N
N
N
N
Mastercard Inc
AR5L2ODV9HN37376R084
MASTERCARD INC
57636QAM6
11000000.00000000
PA
USD
11895343.13000000
0.036036963554
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 782579
36241K2L1
3738.13000000
PA
USD
4363.43000000
0.000013219019
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
11573158.91000000
0.035060905876
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
5763182.89000000
PA
USD
5981758.52000000
0.018121748268
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
8186072.30000000
0.024799720857
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
2394.19000000
PA
USD
2769.69000000
0.000008390780
Long
ABS-MBS
USGA
US
N
2
2039-01-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4557
36202FB21
176172.33000000
PA
USD
192062.19000000
0.000581852752
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
156859.53000000
PA
USD
174453.90000000
0.000528508405
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
494273.02000000
PA
USD
552084.03000000
0.001672539568
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 AM0240
36184KHR1
94862.33000000
PA
USD
100884.20000000
0.000305628866
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
4513545.00000000
0.013673792751
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
3274226.87000000
PA
USD
3483696.84000000
0.010553865885
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
15539301.99000000
0.047076343519
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
20084.19000000
PA
USD
21350.88000000
0.000064682529
Long
ABS-MBS
USGA
US
N
2
2043-01-15
Fixed
3.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-GC26
549300V3F4KBEWHAZP46
GSMS 2014-GC26 A5
36250HAE3
3140000.00000000
PA
USD
3376944.40000000
0.010230459175
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
11802568.53000000
0.035755902735
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
111928.89000000
PA
USD
116564.45000000
0.000353132212
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
19682810.80000000
0.059629110963
Long
DBT
CORP
US
N
2
2026-11-19
Variable
1.04500000
N
N
N
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TOTAL CAP INTL
89153VAT6
10295000.00000000
PA
USD
10972391.44000000
0.033240879737
Long
DBT
CORP
FR
N
2
2030-01-10
Fixed
2.82900000
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
1774066.48000000
0.005374537613
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Fixed
3.77300000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust 2016-C37
549300TRQQDPEF728F16
WFCM 2016-C37 A4
95000PAD6
1310000.00000000
PA
USD
1410293.60000000
0.004272487015
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.52500000
N
N
N
N
N
N
GS Mortgage Securities Trust 2020-GSA2
N/A
GSMS 2020-GSA2 A5
36264KAV2
9640000.00000000
PA
USD
9518921.60000000
0.028837590225
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
G2SF 3 10/21
21H0306A7
-100000000.00000000
PA
USD
-104468750.00000000
-0.31648826731
Short
ABS-MBS
USGA
US
N
2
2021-10-21
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4452
36179S5M5
7019618.13000000
PA
USD
7573983.35000000
0.022945396274
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
8334306.16000000
0.025248795604
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
39898.54000000
PA
USD
45102.69000000
0.000136638681
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
679201.13000000
PA
USD
726559.72000000
0.002201113987
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST SRT_21-C
N/A
SRT 2021-C A4
80286CAD2
10220000.00000000
PA
USD
10182267.76000000
0.030847198618
Long
ABS-CBDO
CORP
US
Y
2
2026-03-20
Fixed
0.59000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14
N/A
MSBAM 2014-C14 AS
61690GAH4
200000.00000000
PA
USD
213484.00000000
0.000646750164
Long
ABS-MBS
CORP
US
N
2
2047-02-15
Variable
4.38400000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST-TXBL-B
13063DMA3
50000000.00000000
PA
USD
53762885.00000000
0.162874757469
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
74425.00000000
0.000225470672
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
440260.69000000
PA
USD
491572.32000000
0.001489219233
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
1697036.53000000
0.005141175240
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
2326975.32000000
0.007049575945
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
101783.16000000
PA
USD
114176.78000000
0.000345898761
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 MA4003
36179SNU7
991909.13000000
PA
USD
1046878.45000000
0.003171520160
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
15424467.35000000
0.046728451769
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
783675.76000000
PA
USD
814616.92000000
0.002467883434
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 MA3742
31418DEQ1
1020028.78690000
PA
USD
1086540.68000000
0.003291676957
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB7276
31417ECN9
431297.69000000
PA
USD
458759.19000000
0.001389811796
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
4516180.10000000
0.013681775791
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
7079364.86000000
PA
USD
7696208.33000000
0.023315677073
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
7684408.35000000
0.023279929012
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
4598306.33000000
0.013930577354
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
10975858.82000000
0.033251384171
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
1775138.73000000
PA
USD
1966975.84000000
0.005958956869
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHV4
23795000.00000000
PA
USD
25356677.27000000
0.076818099709
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
5786.87000000
PA
USD
6414.76000000
0.000019433527
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
9699.03000000
PA
USD
10716.76000000
0.000032466443
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
745834.75000000
PA
USD
801166.66000000
0.002427135847
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM2000
3140J6GJ0
824901.65800000
PA
USD
876412.15000000
0.002655092195
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
WFRBS Commercial Mortgage Trust 2014-C19
549300FCX3YXSYSLU895
WFRBS 2014-C19 A5
92938VAQ8
1215000.00000000
PA
USD
1305408.15000000
0.003954736354
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Fixed
4.10100000
N
N
N
N
N
N
Mizuho Bank Ltd
RB0PEZSDGCO3JS6CEU02
MIZUHO BANK LTD
60688XAP5
6300000.00000000
PA
USD
6787013.44000000
0.020561269507
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
4203398.54000000
PA
USD
4579358.91000000
0.013873176110
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHQ5
1960000.00000000
PA
USD
2196841.01000000
0.006655333818
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
23048.70000000
PA
USD
24426.75000000
0.000074000883
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
5397141.90000000
0.016350651159
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
56171.33000000
PA
USD
61230.90000000
0.000185499122
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
80646.32000000
PA
USD
85445.58000000
0.000258857539
Long
ABS-MBS
USGA
US
N
2
2044-12-15
Fixed
3.50000000
N
N
N
N
N
N
CD 2017-CD6 Mortgage Trust
N/A
CD 2017-CD6 A5
125039AF4
785000.00000000
PA
USD
858593.75000000
0.002601111320
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
9201345.90000000
PA
USD
9728603.26000000
0.029472821194
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 AS7023
3138WGYV0
8180857.64000000
PA
USD
9015400.84000000
0.027312173171
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
11745000.00000000
PA
USD
11525594.83000000
0.034916810409
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
2081275.93000000
0.006305229199
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
4294075.71000000
PA
USD
4301837.68000000
0.013032425041
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
170963.79000000
PA
USD
178090.31000000
0.000539524916
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
8515292.60000000
0.025797094352
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 2.5 10/21
01F0226A8
-936000000.00000000
PA
USD
-965103796.80000000
-2.92378370015
Short
ABS-MBS
USGSE
US
N
2
2021-10-14
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
US 10yr Ultra Fut Dec21
N/A
-185.00000000
NC
USD
-94944.96000000
-0.00028763592
N/A
DIR
N/A
N
1
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
Short
N/A
Ultra 10-Year US Treasury Note Futures
2021-12-21
-26776305.04000000
USD
-94944.96000000
N
N
N
Ginnie Mae II Pool
N/A
G2 AT3444
36194BZH1
865950.96000000
PA
USD
943257.26000000
0.002857599577
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
1136168.74000000
PA
USD
1242855.33000000
0.003765232472
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.50000000
N
N
N
N
N
N
CK Hutchison Europe Finance 18 Ltd
2549003J58N9TB141B68
CK HUTCHISON E F
N/A
9760000.00000000
PA
11760370.37000000
0.035628063333
Long
DBT
CORP
KY
N
2
2025-04-13
Fixed
1.25000000
N
N
N
N
N
N
Qatar Government International Bond
N/A
QATAR STATE OF
N/A
2501000.00000000
PA
USD
2630945.21000000
0.007970453278
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
2389670.07000000
0.007239509804
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
2026178.38000000
PA
USD
2142186.62000000
0.006489758244
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
1571637.32000000
PA
USD
1720976.34000000
0.005213700938
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
16780445.30000000
0.050836389424
Long
DBT
CORP
FR
Y
2
2024-02-27
Fixed
0.65000000
N
N
N
N
N
N
Caterpillar Financial Services Corp
EDBQKYOPJUCJKLOJDE72
CATERPILLAR FINL
14912L5F4
4100000.00000000
PA
USD
4172131.79000000
0.012639480813
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
2.85000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3105
36179RNW5
889709.54000000
PA
USD
946373.01000000
0.002867038747
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM8332
3140XCHJ0
24209348.97940000
PA
USD
26484698.54000000
0.080235442189
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
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
8056999.20000000
0.024408693667
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
6707309.55000000
0.020319806428
Long
DBT
CORP
CH
Y
2
2024-07-30
Variable
1.00800000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7281
3133JLCS6
11935200.61000000
PA
USD
12532460.73000000
0.037967112477
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 677190
36295QKB5
187.41000000
PA
USD
216.71000000
0.000000656523
Long
ABS-MBS
USGA
US
N
2
2038-06-15
Fixed
5.00000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
INTEL CORP
458140BQ2
4660000.00000000
PA
USD
5225071.46000000
0.015829363450
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
68901.82000000
PA
USD
76838.50000000
0.000232782374
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
4.50000000
N
N
N
N
N
N
KUBOTA CREDIT OWNER TRUST KCOT_20-1
N/A
KCOT 2020-1A A3
50117WAC8
7570000.00000000
PA
USD
7688369.82000000
0.023291930292
Long
ABS-CBDO
CORP
US
Y
2
2024-03-15
Fixed
1.96000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AA8610
36178GR71
511846.78000000
PA
USD
541460.90000000
0.001640356777
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
22827530.57000000
0.069156045201
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
6992852.58000000
PA
USD
7516338.22000000
0.022770760249
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
24984039.50000000
0.075689192910
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
9734672.88000000
0.029491209118
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
1218924.30000000
0.003692733374
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Fixed
3.51800000
N
N
N
N
N
N
GS Mortgage Securities Trust 2019-GC38
N/A
GSMS 2019-GC38 A4
36252SAV9
2600000.00000000
PA
USD
2952742.00000000
0.008945337236
Long
ABS-MBS
CORP
US
N
2
2052-02-10
Fixed
3.96800000
N
N
N
N
N
N
Pricoa Global Funding I
635400IBXEBMD9ADYA79
PRICOA GLOB FUND
74153WCM9
2445000.00000000
PA
USD
2416401.84000000
0.007320493750
Long
DBT
CORP
US
Y
2
2025-09-01
Fixed
0.80000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q02171
3132GFMU8
154273.86000000
PA
USD
176142.43000000
0.000533623810
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
NongHyup Bank
988400GSDJCW3LKJBD20
NONGHYUP BANK
65540JAG3
20000000.00000000
PA
USD
19872200.80000000
0.060202868311
Long
DBT
CORP
KR
Y
2
2026-07-28
Fixed
1.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA2995
31418CKH6
302202.07000000
PA
USD
326867.74000000
0.000990246410
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
126152.12000000
PA
USD
136527.14000000
0.000413609217
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
2025428.48000000
0.006136039248
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
1.12500000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP CAPITAL PLC
05565QDH8
2095000.00000000
PA
USD
2334800.40000000
0.007073282039
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
473063.24000000
PA
USD
502609.68000000
0.001522656935
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
239496.22000000
PA
USD
251202.99000000
0.000761019913
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
4746325.41000000
PA
USD
4946932.65000000
0.014986741421
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
84889.62000000
PA
USD
96642.51000000
0.000292778659
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
32773.50000000
PA
USD
36814.99000000
0.000111531078
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
9400000.00000000
PA
USD
9554381.84000000
0.028945017086
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
403884.56000000
PA
USD
420595.04000000
0.001274193435
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 AE0725
31419AYX9
22491.76000000
PA
USD
24851.48000000
0.000075287603
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
14665.53000000
PA
USD
17278.26000000
0.000052344519
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
9414460.90000000
0.028521126345
Long
DBT
CORP
GB
N
2
2023-04-19
Fixed
0.62500000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BN3
10250000.00000000
PA
USD
10588652.72000000
0.032078342590
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
64085.85000000
PA
USD
71614.67000000
0.000216956772
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
23100757.14000000
0.069983785589
Long
DBT
CORP
US
Y
2
2025-07-07
Fixed
1.40000000
N
N
N
N
N
N
Ohio Power Co
06ZODLC132CY1O2Y7D77
OHIO POWER CO
677415CT6
4975000.00000000
PA
USD
4752231.69000000
0.014396894510
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.62500000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QBE9
15500000.00000000
PA
USD
16896915.18000000
0.051189235137
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
3.41000000
N
N
N
N
N
N
COMM 2014-CR14 Mortgage Trust
N/A
COMM 2014-CR14 A3
12630DAX2
4000000.00000000
PA
USD
4227160.00000000
0.012806188875
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Fixed
3.95500000
N
N
N
N
N
N
N/A
N/A
US 10YR NOTE (CBT)Dec21
N/A
-594.00000000
NC
USD
927203.54000000
0.002808964803
N/A
DIR
N/A
N
1
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Short
N/A
CBOT 10 Year US Treasury Note
2021-12-21
-79103172.29000000
USD
927203.54000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GGZ6
44735000.00000000
PA
USD
47799921.45000000
0.144809948595
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
513829.25000000
PA
USD
555888.54000000
0.001684065338
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
4.00000000
N
N
N
N
N
N
Ontario Teachers' Finance Trust
635400ZZE5J8OXXBBY26
ONTARIO TEACHERS
68329AAH1
25000000.00000000
PA
USD
23868630.25000000
0.072310058567
Long
DBT
NUSS
CA
Y
2
2030-09-27
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A96229
3129444N8
351299.14000000
PA
USD
394374.46000000
0.001194758140
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
14073715.42000000
0.042636346351
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
7585051.96000000
0.022978928648
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
9449160.54000000
0.028626248967
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
30493.76000000
PA
USD
35547.07000000
0.000107689912
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
20851.70000000
PA
USD
23698.60000000
0.000071794951
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS6352
3138WGBW3
2163139.66000000
PA
USD
2340576.60000000
0.007090781048
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
3022409.86000000
0.009156396144
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
251312.23000000
PA
USD
259342.76000000
0.000785679361
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
1201707.08000000
PA
USD
1296404.48000000
0.003927459719
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
179.68820000
PA
USD
203.18000000
0.000000615534
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
3050712.51000000
0.009242139073
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
49523050.21000000
0.150030170294
Long
DBT
CORP
JP
N
2
2025-03-02
Fixed
3.77700000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US BANCORP
91159HHV5
4250000.00000000
PA
USD
4515853.10000000
0.013680785144
Long
DBT
CORP
US
N
2
2024-02-05
Fixed
3.37500000
N
N
N
N
N
N
VERIZON OWNER TRUST VZOT_20-A
N/A
VZOT 2020-A A1A
92348TAA2
10310000.00000000
PA
USD
10445549.69000000
0.031644811702
Long
ABS-CBDO
CORP
US
N
2
2024-07-22
Fixed
1.85000000
N
N
N
N
N
N
Eli Lilly & Co
FRDRIPF3EKNDJ2CQJL29
ELI LILLY & CO
532457BV9
8803000.00000000
PA
USD
9769024.67000000
0.029595277928
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.37500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA1996
36179QGD7
333123.36000000
PA
USD
364519.20000000
0.001104311576
Long
ABS-MBS
USGA
US
N
2
2044-06-20
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828YV6
100000000.00000000
PA
USD
102937500.00000000
0.311849342664
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
97641.57000000
PA
USD
106851.28000000
0.000323706146
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Fixed
4.00000000
N
N
N
N
N
N
Korea Hydro & Nuclear Power Co Ltd
9884008CRY5MLCN8OQ43
KOREA HYDRO & NU
50064YAP8
35000000.00000000
PA
USD
34736966.95000000
0.105235704281
Long
DBT
NUSS
KR
Y
2
2026-04-27
Fixed
1.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB5199
31417BX51
1013123.47000000
PA
USD
1100670.20000000
0.003334482364
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE ELECTRIC CO
23338VAC0
520000.00000000
PA
USD
558298.37000000
0.001691365922
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
23006448.03000000
0.069698075970
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
125200.66000000
PA
USD
141608.28000000
0.000429002540
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
1908864.78000000
PA
USD
1987957.83000000
0.006022521846
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.00000000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
INTEL CORP
458140BT6
19100000.00000000
PA
USD
19035441.05000000
0.057667903133
Long
DBT
CORP
US
N
2
2028-08-12
Fixed
1.60000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN 992300
31415XKM2
19885.97000000
PA
USD
22668.20000000
0.000068673352
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
BBCMS Trust 2021-C10
N/A
BBCMS 2021-C10 A5
05551VBJ1
5750000.00000000
PA
USD
5924282.50000000
0.017947624562
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Fixed
2.49200000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
N/A
7800000.00000000
PA
9284291.78000000
0.028126778760
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
1102142.31000000
PA
USD
1180089.12000000
0.003575082126
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.00000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING GROEP NV
456837AK9
7850000.00000000
PA
USD
8402637.02000000
0.025455804068
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
10220704.91000000
0.030963644033
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
4356844.82000000
PA
USD
4620140.28000000
0.013996723345
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG D99403
3128E6NU7
517339.34000000
PA
USD
539563.36000000
0.001634608176
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
96648.60000000
PA
USD
101503.26000000
0.000307504309
Long
ABS-MBS
CORP
US
N
2
2048-02-15
Fixed
3.19000000
N
N
N
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
ALPHABET INC
02079KAJ6
4000000.00000000
PA
USD
3902125.40000000
0.011821495965
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.80000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2754
36179RBX6
1757110.43000000
PA
USD
1879649.73000000
0.005694402260
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
280873.41000000
PA
USD
302458.81000000
0.000916299512
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
5763.85000000
PA
USD
6459.10000000
0.000019567855
Long
ABS-MBS
USGA
US
N
2
2041-07-15
Fixed
4.50000000
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
5077884.08000000
0.015383459016
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
30502369.80000000
0.092406984547
Long
DBT
CORP
US
N
2
2024-06-01
Variable
1.51400000
N
N
N
N
N
N
Duke Energy Progress LLC
0NIFZ782LS46WOC9QK20
DUKE ENERGY PROG
26442UAG9
12100000.00000000
PA
USD
13530246.02000000
0.040989904820
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.70000000
N
N
N
N
N
N
Schlumberger Finance Canada Ltd
549300P4EXZFF0LRNF59
SCHLUMBERGER
80685XAC5
4350000.00000000
PA
USD
4398101.00000000
0.013324054944
Long
DBT
CORP
CA
N
2
2025-09-17
Fixed
1.40000000
N
N
N
N
N
N
Connecticut Light and Power Co/The
549300O45IUXEDS1VZ32
CONN LIGHT & PWR
207597EN1
5000000.00000000
PA
USD
4989589.60000000
0.015115970729
Long
DBT
CORP
US
N
2
2031-07-01
Fixed
2.05000000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_21-3
N/A
GMALT 2021-3 A4
36262XAD6
8420000.00000000
PA
USD
8398397.65000000
0.025442960889
Long
ABS-CBDO
CORP
US
N
2
2025-07-21
Fixed
0.50000000
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
3493396.12000000
0.010583249871
Long
ABS-CBDO
CORP
US
Y
2
2024-12-16
Fixed
0.42000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC21
N/A
CGCMT 2014-GC21 A4
17322MAV8
606605.66000000
PA
USD
631785.86000000
0.001913996407
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Fixed
3.57500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AP4923
36188SPG5
1965750.97000000
PA
USD
2129208.86000000
0.006450442097
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
6768.44000000
PA
USD
7838.64000000
0.000023747174
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
6.00000000
N
N
N
N
N
N
ALLY AUTO RECEIVABLES TRUST ALLYA_19-3
N/A
ALLYA 2019-3 A3
02007RAC3
7966516.21000000
PA
USD
8032533.14000000
0.024334573694
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
189011.56000000
PA
USD
199576.93000000
0.000604618670
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Qatar Government International Bond
N/A
QATAR STATE OF
N/A
3600000.00000000
PA
USD
3895219.08000000
0.011800573256
Long
DBT
NUSS
QA
N
2
2026-06-02
Fixed
3.25000000
N
N
N
N
N
N
S&P Global Inc
Y6X4K52KMJMZE7I7MY94
S&P GLOBAL INC
78409VAP9
10680000.00000000
PA
USD
11144579.25000000
0.033762523020
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
307593750.00000000
0.931855822660
Long
DBT
UST
US
N
2
2025-01-31
Fixed
1.37500000
N
N
N
N
N
N
TotalEnergies Capital International SA
549300U37G2I8G4RUG09
TOTAL CAP INTL
89153VAQ2
12590000.00000000
PA
USD
13926100.53000000
0.042189146775
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
8286362.93000000
0.025103551502
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
3321239.50000000
0.010061701079
Long
DBT
CORP
US
N
2
2024-08-02
Variable
3.68900000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q17481
3132J8XK1
89151.28000000
PA
USD
93518.06000000
0.000283313132
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
EURO-SCHATZ FUT Dec21
N/A
-1536.00000000
NC
152962.05000000
0.000463398807
N/A
DIR
N/A
N
1
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
Short
N/A
Eurex 2 Year Euro SCHATZ Future
2021-12-08
-204798690.96000000
EUR
152962.05000000
N
N
N
Freddie Mac Pool
N/A
FR ZM6196
3131Y03D2
789816.73540000
PA
USD
838740.59000000
0.002540966136
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q61585
3132VMXP5
548450.93000000
PA
USD
597900.20000000
0.001811339738
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
1971204.68000000
0.005971768147
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
233102.54000000
PA
USD
253418.76000000
0.000767732592
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3034
36179RLP2
896524.79000000
PA
USD
958745.76000000
0.002904522016
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
3.50000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
N/A
7800000.00000000
PA
9107701.97000000
0.027591799611
Long
DBT
CORP
CA
N
2
2024-07-23
Fixed
0.12500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 677370
36295QQX1
33433.32000000
PA
USD
39623.72000000
0.000120040131
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
6.00000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_20-A
N/A
HDMOT 2020-A A4
41284UAE4
2000000.00000000
PA
USD
2042422.80000000
0.006187523571
Long
ABS-CBDO
CORP
US
N
2
2027-04-15
Fixed
1.93000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL
06367TQW3
20000000.00000000
PA
USD
19969044.20000000
0.060496255566
Long
DBT
CORP
CA
N
2
2024-07-09
Fixed
0.62500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4126
36179SSP3
3517713.83000000
PA
USD
3714123.62000000
0.011251944232
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
99529680.84560000
PA
USD
104105080.18000000
0.315386528934
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
F&G Global Funding
6354009CCUKJIZ7KFX73
F&G GLOBAL FUND
30321L2B7
22100000.00000000
PA
USD
22062540.28000000
0.066838505732
Long
DBT
CORP
US
Y
2
2024-09-20
Fixed
0.90000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3936
36179SLR6
2120225.29730000
PA
USD
2237723.09000000
0.006779186153
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
24192589.23000000
0.073291492883
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
2426761.46000000
0.007351878237
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
82430.74000000
PA
USD
90714.25000000
0.000274818984
Long
ABS-MBS
USGA
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
ENTERPRISE FLEET FINANCING LLC EFF_21-2
N/A
EFF 2021-2 A2
29374YAB8
14570000.00000000
PA
USD
14535244.72000000
0.044034550201
Long
ABS-CBDO
CORP
US
Y
2
2027-05-20
Fixed
0.48000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 5085
36202FUJ3
37476.89000000
PA
USD
43849.23000000
0.000132841321
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
1780950.65000000
0.005395393219
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Variable
4.16200000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_21-B
N/A
TESLA 2021-B A4
88161KAD7
6830000.00000000
PA
USD
6811388.25000000
0.020635113038
Long
ABS-CBDO
CORP
US
Y
2
2025-09-22
Fixed
0.63000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G05741
3128M7WA0
5103.59000000
PA
USD
5676.03000000
0.000017195543
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 CA0717
3140Q7YP6
20700982.60000000
PA
USD
22392604.80000000
0.067838436793
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 AE8842
31419KZG3
59594.83000000
PA
USD
66981.22000000
0.000202919727
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
6368609.16000000
0.019293712983
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
83383.86000000
PA
USD
92336.13000000
0.000279732473
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3804
36179SGM3
49748.39000000
PA
USD
53820.55000000
0.000163049453
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
13587034.66000000
0.041161946107
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
891891.00000000
0.002701985399
Long
ABS-MBS
CORP
US
N
2
2061-05-15
Variable
4.25500000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GJL4
5000000.00000000
PA
USD
4816562.95000000
0.014591786179
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
1184412.66000000
0.003588180298
Long
DBT
CORP
MX
N
2
2022-07-16
Fixed
3.12500000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GHT9
2777000.00000000
PA
USD
3020721.38000000
0.009151280891
Long
DBT
CORP
US
N
2
2027-04-23
Variable
3.55900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL9319
3138ERK90
107720.01000000
PA
USD
119167.87000000
0.000361019277
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
17587.24000000
PA
USD
19653.04000000
0.000059538920
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
50509.86000000
PA
USD
54632.59000000
0.000165509530
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
Roche Holdings Inc
PVJRP0EQNV6OGDPZGY95
ROCHE HLDGS INC
771196BK7
1000000.00000000
PA
USD
1059745.46000000
0.003210500790
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
10027.25000000
PA
USD
11576.91000000
0.000035072269
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
5099186.70000000
0.015447995342
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
6795.82000000
PA
USD
8005.14000000
0.000024251586
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 AD4567
31418SCD9
1648.47000000
PA
USD
1929.08000000
0.000005844151
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
1974475.34000000
0.005981676618
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
0.75000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RE5018
3133N2SF4
5667578.74000000
PA
USD
5784725.33000000
0.017524835863
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
11447432.10000000
0.034680016277
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
1239.02000000
PA
USD
1397.67000000
0.000004234243
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BE0878
3140FK6Q8
264730.31000000
PA
USD
281900.61000000
0.000854018408
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
75896.67000000
0.000229929099
Long
DBT
CORP
US
N
2
2031-02-13
Variable
2.49600000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AW3240
36195RS59
254365.08000000
PA
USD
285080.48000000
0.000863651830
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
458417.84000000
PA
USD
514675.24000000
0.001559209571
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
4.50000000
N
N
N
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
IBM CORP
459200JG7
2500000.00000000
PA
USD
2737884.83000000
0.008294427050
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
9477403.78000000
0.028711811914
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
6473063.86000000
PA
USD
6541548.88000000
0.019817634178
Long
ABS-CBDO
CORP
US
Y
2
2025-05-20
Fixed
2.06000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PCH7
20020000.00000000
PA
USD
20006453.67000000
0.060609587623
Long
DBT
CORP
US
N
2
2025-06-01
Variable
0.82400000
N
N
N
N
N
N
Public Service Electric and Gas Co
549300RUHPVD434XUK18
PUBLIC SERVICE
74456QCB0
7500000.00000000
PA
USD
7773231.45000000
0.023549018754
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
219763.10000000
PA
USD
240130.41000000
0.000727475511
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
1333.49000000
PA
USD
1416.70000000
0.000004291895
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
5375297.95000000
0.016284474873
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
1143322.48000000
PA
USD
1256077.51000000
0.003805289091
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 609102
36202TU38
1608829.45000000
PA
USD
1729431.97000000
0.005239317285
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
562.08000000
PA
USD
617.53000000
0.000001870808
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_21-C
N/A
TAOT 2021-C A4
89239BAD3
19620000.00000000
PA
USD
19549727.05000000
0.059225933501
Long
ABS-CBDO
CORP
US
N
2
2027-01-15
Fixed
0.72000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723526
3620A9YX3
496480.89000000
PA
USD
565700.40000000
0.001713790386
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
598829.74000000
PA
USD
623890.53000000
0.001890077490
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AK5780
36183PM53
75870.29000000
PA
USD
81496.94000000
0.000246895127
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
3291441.07000000
PA
USD
3560128.32000000
0.010785415192
Long
ABS-MBS
USGA
US
N
2
2046-07-20
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
15682832.28000000
0.047511168793
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
1775659.29480000
PA
USD
1781351.70000000
0.005396608201
Long
ABS-MBS
CORP
AU
Y
2
2060-08-18
Floating
1.03740000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5384
3138WE6W4
224659.08000000
PA
USD
245195.98000000
0.000742821665
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
1916027.06000000
PA
USD
2235560.79000000
0.006772635461
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
5.00000000
N
N
N
N
N
N
Public Storage
549300LMZF40TKJ6DM64
PUBLIC STORAGE
74460WAB3
14690000.00000000
PA
USD
14707809.72000000
0.044557336181
Long
DBT
CORP
US
N
2
2024-04-23
Floating
0.52000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST SRT_21-B
N/A
SRT 2021-B A4
80286DAD0
5540000.00000000
PA
USD
5518550.78000000
0.016718459581
Long
ABS-CBDO
CORP
US
Y
2
2025-06-20
Fixed
0.54000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 723547
3620A9ZL8
4715.39000000
PA
USD
5344.06000000
0.000016189839
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
8546301.76000000
0.025891036658
Long
DBT
CORP
US
N
2
2024-05-06
Fixed
0.25000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM5587
3140JAF52
3103540.15000000
PA
USD
3395549.14000000
0.010286822268
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
1982763.27000000
PA
USD
2079331.97000000
0.006299339968
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
4857297.75000000
0.014715192329
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
3.24800000
N
N
N
N
N
N
Republic of Poland Government International Bond
N/A
REP OF POLAND
857524AB8
29062000.00000000
PA
USD
29694595.75000000
0.089959831599
Long
DBT
NUSS
PL
N
2
2022-03-23
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
2037182.61310000
PA
USD
2055515.83000000
0.006227188929
Long
ABS-CBDO
CORP
US
N
2
2023-11-15
Fixed
2.51000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZS9878
3132AA6P4
7474657.40000000
PA
USD
8045678.62000000
0.024374397949
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280CT4
10000000.00000000
PA
USD
10136500.50000000
0.030708546621
Long
DBT
CORP
GB
N
2
2032-05-24
Variable
2.80400000
N
N
N
N
N
N
State Board of Administration Finance Corp
549300S34SOJ0RULXM35
FLORIDA ST BRD OF ADM
341271AF1
55000000.00000000
PA
USD
55598796.00000000
0.168436653168
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
16128.47000000
PA
USD
18292.56000000
0.000055417343
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
4.50000000
N
N
N
N
N
N
GA Global Funding Trust
54930029I8ROQ4OROZ88
GA GLOBAL FNDING
36143L2B0
5000000.00000000
PA
USD
5022248.60000000
0.015214911228
Long
DBT
CORP
US
Y
2
2024-04-08
Fixed
1.00000000
N
N
N
N
N
N
HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_21-B
N/A
HALST 2021-B A4
44891VAD3
4300000.00000000
PA
USD
4286356.53000000
0.012985524869
Long
ABS-CBDO
CORP
US
Y
2
2025-08-15
Fixed
0.38000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2014-GC23
N/A
CGCMT 2014-GC23 AS
17322VAV8
275000.00000000
PA
USD
294593.75000000
0.000892472299
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
53698.76000000
PA
USD
61007.31000000
0.000184821756
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
36105368.32000000
0.109381278710
Long
DBT
CORP
CA
N
2
2024-02-05
Fixed
3.30000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GYE8
45375000.00000000
PA
USD
45390485.13000000
0.137510556901
Long
DBT
CORP
US
N
2
2024-09-10
Variable
0.65700000
N
N
N
N
N
N
CANADIAN PACER AUTO RECEIVABLES TRUST CPART_21-1
N/A
CPART 2021-1A A3
13646CAD8
15590000.00000000
PA
USD
15562853.76000000
0.047147693649
Long
ABS-CBDO
CORP
CA
Y
2
2025-10-20
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BM3286
3140J7UL7
11260388.42000000
PA
USD
12235352.26000000
0.037067021829
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
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
10697.60000000
0.000032408398
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
3913722.31000000
0.011856628825
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
3.65000000
N
N
N
N
N
N
F&G Global Funding
6354009CCUKJIZ7KFX73
F&G GLOBAL FUND
30321L2A9
13400000.00000000
PA
USD
13481684.26000000
0.040842786880
Long
DBT
CORP
US
Y
2
2026-06-30
Fixed
1.75000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468J1
8670000.00000000
PA
USD
9081268.91000000
0.027511720608
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
352146.30000000
0.001066827853
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
107661.97000000
PA
USD
116293.62000000
0.000352311732
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
4994972.15000000
0.015132277174
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
34301.81000000
PA
USD
40248.23000000
0.000121932085
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
14.16000000
PA
USD
14.46000000
0.000000043806
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
6.50000000
N
N
N
N
N
N
Chevron USA Inc
VA8TZDWPEZYU430RZ444
CHEVRON USA INC
166756AE6
4030000.00000000
PA
USD
3986128.45000000
0.012075983357
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
3076031.57000000
0.009318843211
Long
DBT
NUSS
CA
N
2
2024-02-09
Fixed
7.12500000
N
N
N
N
N
N
GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_21-3
N/A
GMALT 2021-3 A3
36262XAC8
28600000.00000000
PA
USD
28515123.78000000
0.086386619130
Long
ABS-CBDO
CORP
US
N
2
2024-10-21
Fixed
0.39000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q50590
3132XSUQ1
5166386.35000000
PA
USD
5606226.65000000
0.016984073788
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
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
5646666.98000000
0.017106587841
Long
ABS-MBS
CORP
US
N
2
2046-07-15
Variable
4.21620000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBU9
5000000.00000000
PA
USD
4774826.95000000
0.014465346891
Long
DBT
CORP
US
N
2
2031-11-19
Variable
1.76400000
N
N
N
N
N
N
GS Mortgage Securities Trust 2013-GCJ12
549300SSCQUZ3RRV2T53
GSMS 2013-GC12 A4
36197XAK0
1055488.00000000
PA
USD
1092957.82000000
0.003311117694
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
57030.06000000
PA
USD
66902.32000000
0.000202680699
Long
ABS-MBS
USGA
US
N
2
2039-10-20
Fixed
5.50000000
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
25604608.94000000
0.077569209152
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
974512.97000000
PA
USD
1034119.45000000
0.003132866746
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 783750
3622A2EX6
75928.12000000
PA
USD
86455.24000000
0.000261916306
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
3651704.82000000
PA
USD
4055723.23000000
0.012286820869
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
1864375.50000000
PA
USD
1992696.18000000
0.006036876685
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
1752953.49000000
0.005310575772
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Fixed
3.36400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2304
36179QRZ6
593313.47000000
PA
USD
630196.03000000
0.001909180014
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
4.00000000
N
N
N
N
N
N
MUFG Americas Holdings Corp
5493004K1ECE43Q0BX47
UNIONBANCAL
908906AC4
2065000.00000000
PA
USD
2111476.58000000
0.006396722122
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
4871721.80000000
PA
USD
5325838.37000000
0.016134636986
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
84431.68000000
PA
USD
91815.11000000
0.000278154042
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
27469.62000000
PA
USD
29344.47000000
0.000088899125
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_21-2
N/A
CARMX 2021-2 A4
14314QAD6
5340000.00000000
PA
USD
5334937.15000000
0.016162201757
Long
ABS-CBDO
CORP
US
N
2
2026-12-15
Fixed
0.81000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM INC
747525BP7
21117000.00000000
PA
USD
20099433.64000000
0.060891270611
Long
DBT
CORP
US
N
2
2032-05-20
Fixed
1.65000000
N
N
N
N
N
N
Temasek Financial I Ltd
549300XMGMDF3VRJMF12
TEMASEK FINL I
87973PBA1
125000000.00000000
PA
USD
121840786.25000000
0.369116882591
Long
DBT
CORP
SG
Y
2
2031-08-02
Fixed
1.62500000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
BANK OF AMER CRP
06051GEU9
12370000.00000000
PA
USD
12837579.32000000
0.038891469798
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
431900.00000000
0.001308441832
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.14130000
N
N
N
N
N
N
Oncor Electric Delivery Co LLC
549300SP2X2BS1KERD24
ONCOR ELECTRIC D
68233JBH6
8555000.00000000
PA
USD
9606910.91000000
0.029104153999
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
1455918.17000000
PA
USD
1546921.79000000
0.004686402364
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AM0064
36184KB97
380082.10000000
PA
USD
405602.48000000
0.001228773447
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
285219.12000000
PA
USD
329311.29000000
0.000997649149
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 MA3552
31418C5N0
397030.34000000
PA
USD
423479.91000000
0.001282933154
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
3.50000000
N
N
N
N
N
N
GREAT AMERICA LEASING RECEIVABLES FUNDING GALC_18-1
N/A
GALC 2018-1 A4
39154TAR9
921826.71000000
PA
USD
923949.58000000
0.002799106925
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
4365110.59000000
0.013224110437
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
461129.05000000
PA
USD
493754.07000000
0.001495828849
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
17254397.35000000
0.052272228018
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
5909164.80000000
0.017901825462
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
331151.72000000
PA
USD
363517.53000000
0.001101277015
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
5508.94000000
PA
USD
6391.89000000
0.000019364242
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
2395.42000000
PA
USD
2680.36000000
0.000008120155
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
8359777.39000000
0.025325960742
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
25655737.33000000
0.077724102702
Long
DBT
CORP
US
N
2
2031-07-23
Variable
1.89800000
N
N
N
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
MERCK & CO INC
58933YAR6
8200000.00000000
PA
USD
8678999.88000000
0.026293045853
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
2.75000000
N
N
N
N
N
N
Hershey Co/The
21X2CX66SU2BR6QTAD08
HERSHEY COMPANY
427866BE7
5000000.00000000
PA
USD
4919345.65000000
0.014903166555
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
1105257.73000000
PA
USD
1191787.36000000
0.003610521965
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
54980.65000000
PA
USD
60307.48000000
0.000182701619
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BK6568
3140HLJN7
278338.37000000
PA
USD
305622.46000000
0.000925883796
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
5.00000000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_21-B
N/A
TESLA 2021-B A3
88161KAC9
13310000.00000000
PA
USD
13273983.14000000
0.040213555961
Long
ABS-CBDO
CORP
US
Y
2
2025-09-22
Fixed
0.60000000
N
N
N
N
N
N
Chevron Corp
N/A
CHEVRON CORP
166764BL3
5490000.00000000
PA
USD
5915745.11000000
0.017921760523
Long
DBT
CORP
US
N
2
2026-05-16
Fixed
2.95400000
N
N
N
N
N
N
Estee Lauder Cos Inc/The
549300VFZ8XJ9NUPU221
ESTEE LAUDER CO
29736RAP5
4750000.00000000
PA
USD
4930428.13000000
0.014936740948
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
9489821.30000000
0.028749430813
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
475884.47000000
PA
USD
508009.53000000
0.001539015791
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
49072.45000000
PA
USD
56782.89000000
0.000172023868
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
141510.78000000
PA
USD
157196.78000000
0.000476227929
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
10000000.00000000
PA
USD
10194597.70000000
0.030884552194
Long
DBT
CORP
US
N
2
2031-04-22
Variable
2.52200000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
N/A
4650000.00000000
PA
6064728.45000000
0.018373105822
Long
DBT
CORP
US
N
2
2026-06-03
Fixed
2.87500000
N
N
N
N
N
N
Benchmark 2020-B19 Mortgage Trust
N/A
BMARK 2020-B19 AAB
08162WBD7
7163000.00000000
PA
USD
7148100.96000000
0.021655184803
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
731.80000000
PA
USD
838.13000000
0.000002539116
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
27193812.57000000
0.082383704427
Long
DBT
CORP
CH
Y
2
2023-08-15
Variable
2.85900000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A87994
3129343B6
367350.87000000
PA
USD
416811.10000000
0.001262729982
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 769898
36176MDB6
55324.62000000
PA
USD
62901.44000000
0.000190560026
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
10018228.57000000
0.030350241595
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
225623.28000000
PA
USD
238234.83000000
0.000721732848
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS5056
3138WETN9
3641.90000000
PA
USD
3910.66000000
0.000011847351
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
3.50000000
N
N
N
N
N
N
Sinopec Group Overseas Development 2013 Ltd
529900F9XKMFEV9DNO17
SINOPEC OVERSEAS
N/A
888000.00000000
PA
USD
951421.85000000
0.002882334217
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
2022292.97000000
PA
USD
2170658.49000000
0.006576013826
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
10281.61050000
PA
USD
11690.73000000
0.000035417087
Long
ABS-MBS
USGA
US
N
2
2041-04-15
Fixed
4.50000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38148LAE6
8560000.00000000
PA
USD
9275691.93000000
0.028100725499
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AT5095
3138WSUV8
667717.99000000
PA
USD
734675.82000000
0.002225701727
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
121374.56000000
PA
USD
139115.42000000
0.000421450416
Long
ABS-MBS
USGA
US
N
2
2039-07-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR RA2633
3133KH4S2
55937113.09590000
PA
USD
58725455.12000000
0.177908872634
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.00000000
N
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS IN
718172CH0
4500000.00000000
PA
USD
4746308.40000000
0.014378949893
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
2.87500000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4681
36202FFW1
223995.75000000
PA
USD
259576.27000000
0.000786386780
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
65834.90000000
PA
USD
74054.17000000
0.000224347242
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 734101
3620AMRW4
264028.43000000
PA
USD
300211.55000000
0.000909491434
Long
ABS-MBS
USGA
US
N
2
2040-12-15
Fixed
4.50000000
N
N
N
N
N
N
Bank 2019-BNK19
N/A
BANK 2019-BN19 A3
06540WBD4
3910000.00000000
PA
USD
4231519.30000000
0.012819395382
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
1274372.60000000
PA
USD
1276881.58000000
0.003868315058
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
188604.19850000
PA
USD
189510.82000000
0.000574123372
Long
ABS-CBDO
CORP
US
Y
2
2056-10-25
Floating
0.88600000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 626969
36291FQW1
5377713.63000000
PA
USD
5703499.82000000
0.017278763033
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
267131.56000000
PA
USD
286128.22000000
0.000866825960
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
1938.46000000
PA
USD
2250.00000000
0.000006816379
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
1588063.01000000
PA
USD
1783551.50000000
0.005403272499
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4069
36179SQW0
856531.94000000
PA
USD
913576.37000000
0.002767681267
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.50000000
N
N
N
N
N
N
MASTER CREDIT CARD TRUST MCCT_21-1A
N/A
MCCT 2021-1A A
576339CJ2
27400000.00000000
PA
USD
27334453.72000000
0.082809777045
Long
ABS-CBDO
CORP
CA
Y
2
2025-11-21
Fixed
0.53000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE5852
31419GQE7
236650.51000000
PA
USD
261372.42000000
0.000791828219
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
Automatic Data Processing Inc
HGBOLILQXWER4SAL2I23
AUTOMATIC DATA
053015AG8
23390000.00000000
PA
USD
23660384.19000000
0.071679176751
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
1.70000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AK7338
36183REK5
133986.20000000
PA
USD
142281.54000000
0.000431042183
Long
ABS-MBS
USGA
US
N
2
2045-04-15
Fixed
3.50000000
N
N
N
N
N
N
Toyota Motor Finance Netherlands BV
724500OPA8GZSQUNSR96
TOYOTA MOTOR FIN
N/A
5825000.00000000
PA
6866101.64000000
0.020800867352
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
15960787.55000000
0.048353234786
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
3628718.69000000
PA
USD
3897716.70000000
0.011808139801
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
2288.26000000
PA
USD
2695.06000000
0.000008164689
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
13437555.04000000
0.040709097328
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
23321517.45000000
0.070652579348
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
390.61000000
PA
USD
453.41000000
0.000001373606
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
12593778.77000000
PA
USD
12599369.15000000
0.038169811656
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
464225.55000000
PA
USD
479043.77000000
0.001451263968
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 AS3974
3138WDMY4
239977.68000000
PA
USD
262348.64000000
0.000794785679
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08591
3128MJUR9
40465.48000000
PA
USD
43586.43000000
0.000132045168
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
345417.50000000
0.001046442941
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
5080132.96000000
0.015390272002
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
1347035.37000000
PA
USD
1400340.79000000
0.004242334959
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA6278
36179U6P2
468302.88000000
PA
USD
488967.03000000
0.001481326502
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
3470230.70000000
0.010513070190
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
22183.14000000
PA
USD
23526.60000000
0.000071273877
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
269614.35000000
PA
USD
269909.77000000
0.000817692137
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
3500312.40000000
0.010604202754
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
1498200.70000000
PA
USD
1640083.60000000
0.004968636236
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
15000000.00000000
PA
USD
16075950.00000000
0.048702119637
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
14178556.86000000
0.042953963683
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
995319.22000000
PA
USD
1083356.60000000
0.003282030781
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
3910010.00000000
0.011845382375
Long
ABS-CBDO
CORP
US
N
2
2024-05-15
Fixed
3.00000000
N
N
N
N
N
N
DLLAA_21-1
N/A
DLLAA 2021-1A A3
23291YAC9
12100000.00000000
PA
USD
12103216.18000000
0.036666715335
Long
ABS-CBDO
CORP
US
Y
2
2026-04-17
Fixed
0.67000000
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
1653274.98000000
0.005008599545
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
63143.72000000
PA
USD
65912.57000000
0.000199682250
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
14433691.04000000
0.043726893144
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
1415772.73000000
PA
USD
1508653.37000000
0.004570468116
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
7274928.41000000
0.022039408792
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
4316387.96000000
0.013076505141
Long
ABS-CBDO
CORP
US
N
2
2024-10-15
Fixed
2.56000000
N
N
N
N
N
N
Saudi Government International Bond
N/A
SAUDI INT BOND
N/A
44763000.00000000
PA
USD
49038631.95000000
0.148562624298
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
3704717.38000000
0.011223448011
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
3187749.98000000
0.009657294337
Long
ABS-CBDO
CORP
US
N
2
2024-10-21
Fixed
0.51000000
N
N
N
N
N
N
BP Capital Markets America Inc
5493009NTB34VXE1T760
BP CAP MKTS AMER
10373QBJ8
8475000.00000000
PA
USD
9066552.71000000
0.027467137853
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
670317.44000000
PA
USD
763255.81000000
0.002312284858
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
8650.52000000
PA
USD
9895.34000000
0.000029977950
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 783711
3622A2DQ2
564293.35000000
PA
USD
645336.09000000
0.001955046853
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
1712103.81000000
PA
USD
1824475.35000000
0.005527251376
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
463945.74000000
PA
USD
524260.68000000
0.001588248679
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
6617.22000000
PA
USD
7789.66000000
0.000023598789
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
146397.04000000
PA
USD
156853.71000000
0.000475188598
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
40412.46000000
PA
USD
45828.20000000
0.000138836614
Long
ABS-MBS
USGA
US
N
2
2035-12-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4963
36179TQQ1
518665.71000000
PA
USD
559628.63000000
0.001695395948
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
44933.95000000
PA
USD
49645.89000000
0.000150402313
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 741372
3620AVT51
70430.39000000
PA
USD
80109.15000000
0.000242690814
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
2357067.30000000
0.007140739653
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
2551046.95000000
PA
USD
2657221.52000000
0.008050057406
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE7536
31419JLS5
5280.65000000
PA
USD
5835.70000000
0.000017679263
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
505612.50000000
PA
USD
540264.05000000
0.001636730917
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
47409.08000000
PA
USD
53567.51000000
0.000162282868
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
501717.96000000
PA
USD
538308.95000000
0.001630807938
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 AS7960
3138WHZ21
81499.50000000
PA
USD
88940.83000000
0.000269446405
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
7941105.22000000
0.024057592644
Long
DBT
CORP
US
Y
2
2025-06-24
Fixed
1.20000000
N
N
N
N
N
N
TOYOTA LEASE OWNER TRUST TLOT_21-A
N/A
TLOT 2021-A A3
89238EAC0
21350000.00000000
PA
USD
21361804.42000000
0.064715625175
Long
ABS-CBDO
CORP
US
Y
2
2024-04-22
Fixed
0.39000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AV0950
3138XCBU5
259012.75000000
PA
USD
286928.86000000
0.000869251500
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
11242042.32000000
0.034057787567
Long
DBT
CORP
JP
N
2
2027-01-11
Fixed
3.44600000
N
N
N
N
N
N
N/A
N/A
GBP/USD FWD 20211027
N/A
1.00000000
NC
90631.95000000
0.000274569656
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
4470000.00000000
GBP
6113687.39000000
USD
2021-10-27
90631.95000000
N
N
N
Freddie Mac Pool
N/A
FR ZL5863
3131XMQQ1
1734182.66000000
PA
USD
1899744.04000000
0.005755278009
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
10810401.60000000
0.032750131224
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
21771142.66000000
PA
USD
24477080.16000000
0.074153358671
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 0.500000 15-DEC-2024
N/A
95243000.00000000
NC
USD
143495.62000000
0.000434720240
N/A
DIR
N/A
N
2
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2024-12-15
0.00000000
USD
-167689.55000000
USD
95243000.00000000
USD
311185.17000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PAP1
60810000.00000000
PA
USD
63647224.33000000
0.192819381369
Long
DBT
CORP
US
N
2
2024-04-23
Variable
3.55900000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UNITEDHEALTH GRP
91324PED0
11500000.00000000
PA
USD
11736274.29000000
0.035555064215
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.30000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 705476
36296YXD9
71401.65000000
PA
USD
79453.18000000
0.000240703552
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
1452073.02000000
PA
USD
1604087.93000000
0.004859587288
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
3827292.21000000
0.011594788681
Long
DBT
CORP
JP
N
2
2027-07-12
Fixed
3.36400000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 658133
36294SEE3
624.05000000
PA
USD
736.48000000
0.000002231167
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
139405.62000000
PA
USD
150816.68000000
0.000456899405
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB9051
31417GBV7
165713.13000000
PA
USD
180280.61000000
0.000546160434
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS3293
3138WCUT8
792539.01000000
PA
USD
866415.38000000
0.002624806962
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
2201.94000000
PA
USD
2609.89000000
0.000007906666
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
5.50000000
N
N
N
N
N
N
Automatic Data Processing Inc
HGBOLILQXWER4SAL2I23
AUTOMATIC DATA
053015AF0
8000000.00000000
PA
USD
7605345.20000000
0.023040407056
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
9066427.50000000
0.027466758530
Long
DBT
USGSE
US
N
2
2027-12-10
Fixed
2.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2015-GC31
N/A
CGCMT 2015-GC31 A4
17323YAD1
520000.00000000
PA
USD
567179.60000000
0.001718271625
Long
ABS-MBS
CORP
US
N
2
2048-06-10
Fixed
3.76200000
N
N
N
N
N
N
COMM 2015-LC19 Mortgage Trust
N/A
COMM 2015-LC19 A4
200474BC7
1195000.00000000
PA
USD
1274168.75000000
0.003860096535
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.18300000
N
N
N
N
N
N
Saudi Arabian Oil Co
5586006WD91QHB7J4X50
SAUDI ARAB OIL
80414L2G9
11000000.00000000
PA
USD
11084961.58000000
0.033581911180
Long
DBT
CORP
SA
Y
2
2023-11-24
Fixed
1.25000000
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_21-C
N/A
TAOT 2021-C A3
89239BAC5
25380000.00000000
PA
USD
25348800.37000000
0.076794236626
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
0.43000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US BANCORP
91159HHZ6
31180000.00000000
PA
USD
31689056.84000000
0.096002055083
Long
DBT
CORP
US
N
2
2025-05-12
Fixed
1.45000000
N
N
N
N
N
N
Bank of Nova Scotia/The
L3I9ZG2KFGXZ61BMYR72
BANK NOVA SCOTIA
0641593U8
14350000.00000000
PA
USD
14176434.74000000
0.042947534717
Long
DBT
CORP
CA
N
2
2026-03-02
Fixed
1.05000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 739708
3620ATYD3
1539.77000000
PA
USD
1787.67000000
0.000005415749
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 1.000000 15-DEC-2026
N/A
52459000.00000000
NC
USD
-221991.41000000
-0.00067252337
N/A
DIR
N/A
N
2
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2026-12-15
0.00000000
USD
-704837.50000000
USD
52459000.00000000
USD
482846.09000000
N
N
N
Ginnie Mae I Pool
N/A
GN AA5821
36178DPE5
1169532.82000000
PA
USD
1282383.15000000
0.003884982075
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
1790196.16000000
PA
USD
1798422.47000000
0.005448324129
Long
ABS-CBDO
CORP
US
Y
2
2024-07-15
Fixed
1.49000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC FINANCIAL
693475AW5
11370000.00000000
PA
USD
12590950.17000000
0.038144306341
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
3.45000000
N
N
N
N
N
N
CARVANA AUTO RECEIVABLES TRUST CRVNA_21-P3
N/A
CRVNA 2021-P3 A3
14687JAE9
17410000.00000000
PA
USD
17373811.57000000
0.052633993614
Long
ABS-CBDO
CORP
US
N
2
2026-11-10
Fixed
0.70000000
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
10467590.49000000
0.031711584345
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
6839727.16000000
0.020720965817
Long
ABS-CBDO
CORP
US
N
2
2024-12-16
Fixed
3.16000000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
BANQ FED CRD MUT
06675FAM9
37330000.00000000
PA
USD
38072628.09000000
0.115341095746
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
9503596.27000000
0.028791162110
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
Sumitomo Mitsui Financial Group Inc
35380028MYWPB6AUO129
SUMITOMO MITSUI
86562MCG3
17400000.00000000
PA
USD
17212086.96000000
0.052144048615
Long
DBT
CORP
JP
N
2
2028-09-17
Fixed
1.90200000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q36540
3132QTHS8
251655.60000000
PA
USD
268403.48000000
0.000813128828
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
246192.38000000
PA
USD
253693.74000000
0.000768565644
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
19172.04000000
PA
USD
19785.46000000
0.000059940086
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
16326340.94000000
0.049460679443
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
35927679.84000000
0.108842971138
Long
DBT
CORP
US
N
2
2024-07-23
Variable
3.86400000
N
N
N
N
N
N
Analog Devices Inc
GYVOE5EZ4GDAVTU4CQ61
ANALOG DEVICES
032654AU9
9350000.00000000
PA
USD
9371087.80000000
0.028389727460
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
1.70000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 609089
36202TUN4
235.10000000
PA
USD
275.00000000
0.000000833112
Long
ABS-MBS
USGA
US
N
2
2038-05-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 701510
36296UKX7
50597.21000000
PA
USD
57118.58000000
0.000173040841
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
13102096.68000000
0.039692825619
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
4.15000000
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
13110823.52000000
0.039719263596
Long
ABS-CBDO
CORP
US
N
2
2027-09-15
Fixed
1.06000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU5706
3138X5KU0
2833509.53000000
PA
USD
3111360.07000000
0.009425870966
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
9916446.14000000
0.030041891539
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
1538426.46000000
PA
USD
1612891.69000000
0.004886258295
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
40630369.13000000
0.123089776858
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
18505671.44000000
0.056062965140
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
9465758.60000000
PA
USD
9507359.66000000
0.028802563307
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
6739343.46000000
0.020416853216
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
1474393.77000000
PA
USD
1617291.42000000
0.004899587285
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
4853828.69000000
PA
USD
5075176.87000000
0.015375257518
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4853
36202FMA1
2633.73000000
PA
USD
2907.39000000
0.000008807943
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
4.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BM4124
3617JUSM4
6164825.20000000
PA
USD
6465079.31000000
0.019585969477
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
5087.36000000
PA
USD
5667.90000000
0.000017170913
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
1007169.73000000
PA
USD
1081499.06000000
0.003276403360
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
681160.52000000
PA
USD
743428.26000000
0.002252217259
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
9292536.19000000
PA
USD
9320160.11000000
0.028235441931
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
2600723.99000000
0.007878898037
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
6665078.46000000
PA
USD
7380408.67000000
0.022358961431
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
316383.53000000
0.000958484477
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
686980.53000000
PA
USD
728188.44000000
0.002206048197
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q34714
3132QRGY0
95403.77000000
PA
USD
102311.02000000
0.000309951420
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
3569213.91000000
0.010812940003
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
14675168.87000000
0.044458450667
Long
DBT
CORP
US
N
2
2025-03-03
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q39218
3132QWG45
3101240.71000000
PA
USD
3320610.38000000
0.010059795159
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
1286187.33000000
PA
USD
1290209.62000000
0.003908692380
Long
ABS-CBDO
CORP
US
N
2
2023-05-15
Fixed
2.33000000
N
N
N
N
N
N
VOLVO FINANCIAL EQUIPMENT LLC VFET_20-1
N/A
VFET 2020-1A A4
92888EAD5
2300000.00000000
PA
USD
2307545.84000000
0.006990714301
Long
ABS-CBDO
CORP
US
Y
2
2028-03-15
Fixed
0.60000000
N
N
N
N
N
N
WORLD OMNI AUTO RECEIVABLES TRUST WOART_21-C
N/A
WOART 2021-C A3
98164CAC3
13980000.00000000
PA
USD
13929318.31000000
0.042198895045
Long
ABS-CBDO
CORP
US
N
2
2026-08-17
Fixed
0.44000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
STATE STREET CRP
857477BN2
11280000.00000000
PA
USD
12321849.45000000
0.037329065222
Long
DBT
CORP
US
N
2
2031-03-30
Variable
3.15200000
N
N
N
N
N
N
HONDA AUTO RECEIVABLES OWNER TRUST HAROT_19-2
N/A
HAROT 2019-2 A3
43815MAC0
6412986.88000000
PA
USD
6474416.24000000
0.019614255723
Long
ABS-CBDO
CORP
US
N
2
2023-06-21
Fixed
2.52000000
N
N
N
N
N
N
NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_17-C
N/A
NAROT 2017-C A4
65478HAE8
9765008.39000000
PA
USD
9802948.38000000
0.029698049869
Long
ABS-CBDO
CORP
US
N
2
2024-02-15
Fixed
2.28000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q38356
3132QVJA0
1105075.13000000
PA
USD
1223173.96000000
0.003705607726
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 5205
36202FYA8
40942.46000000
PA
USD
46608.20000000
0.000141199626
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
494382.62000000
PA
USD
528853.00000000
0.001602161121
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
BANK 2017-BNK6
N/A
BANK 2017-BNK6 AS
060352AJ0
440000.00000000
PA
USD
479648.40000000
0.001453095696
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
8768408.91000000
0.026563910671
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
16635.88000000
PA
USD
18924.11000000
0.000057330625
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
3427857.45000000
0.010384700352
Long
ABS-CBDO
CORP
US
N
2
2026-01-15
Fixed
0.49000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS
404280BX6
10050000.00000000
PA
USD
11079971.94000000
0.033566795057
Long
DBT
CORP
GB
N
2
2026-09-12
Variable
4.29200000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZT1682
3132AD2P2
5834041.50000000
PA
USD
6170717.62000000
0.018694200204
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 784329
3622A2Y22
4680105.11000000
PA
USD
4961817.95000000
0.015031836465
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 677101
36295QGJ3
6970.81000000
PA
USD
7905.12000000
0.000023948575
Long
ABS-MBS
USGA
US
N
2
2038-07-15
Fixed
5.50000000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_19-B
N/A
HART 2020-A A3
44891LAC7
14260000.00000000
PA
USD
14411676.49000000
0.043660200025
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
624045.28000000
PA
USD
690863.49000000
0.002092972194
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
19189.12000000
PA
USD
19442.19000000
0.000058900149
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
85772.84000000
PA
USD
97485.39000000
0.000295332165
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 698399
36296Q3G2
13328.94000000
PA
USD
15005.69000000
0.000045459765
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
9081573.40000000
0.027512643061
Long
DBT
NUSS
JP
N
2
2025-09-16
Fixed
2.75000000
N
N
N
N
N
N
UBS AG/London
BFM8T61CT2L1QCEMIK50
UBS AG LONDON
902674YH7
12000000.00000000
PA
USD
11928446.76000000
0.036137251061
Long
DBT
CORP
CH
Y
2
2026-06-01
Fixed
1.25000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
SIMON PROP GP LP
828807DF1
3300000.00000000
PA
USD
3369301.65000000
0.010207305450
Long
DBT
CORP
US
N
2
2029-09-13
Fixed
2.45000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 720059
3620A55U9
62772.70000000
PA
USD
68879.59000000
0.000208670842
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
FSWP: OIS 1.250000 15-DEC-2028
N/A
26585000.00000000
NC
USD
-205136.42000000
-0.00062146115
N/A
DIR
N/A
N
2
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
United States SOFR Secured Ove
SOFRRATE
Y
2028-12-15
0.00000000
USD
-572917.10000000
USD
26585000.00000000
USD
367780.68000000
N
N
N
DAIMLER TRUCKS RETAIL TRUST DTRT_19-1
N/A
DTRT 2019-1 A4
233871AD4
7420000.00000000
PA
USD
7495934.80000000
0.022708948051
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
39477383.56000000
0.119596804986
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
9544364.26000000
0.028914668810
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
2938799.57240000
PA
USD
3148638.09000000
0.009538804795
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
1514004.50000000
0.004586679374
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
11335086.31000000
0.034339664503
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
3773785.54000000
0.011432690127
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
3689812.01000000
PA
USD
4271882.81000000
0.012941676709
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
5.00000000
N
N
N
N
N
N
Virginia Electric and Power Co
CQKUMNNZVDJLRYV2PT43
VIRGINIA EL&PWR
927804FK5
2040000.00000000
PA
USD
2042624.81000000
0.006188135560
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
2.95000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE
05578AAP3
13385000.00000000
PA
USD
13175799.28000000
0.039916107779
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
918537.81000000
PA
USD
1008321.21000000
0.003054710931
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
Health Care Service Corp A Mutual Legal Reserve Co
549300TMJ1FKCKECR148
HEALTH CARE SVCS
42218SAF5
8000000.00000000
PA
USD
7997972.88000000
0.024229873323
Long
DBT
CORP
US
Y
2
2030-06-01
Fixed
2.20000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 745243
3620C05C8
554841.11000000
PA
USD
605095.34000000
0.001833137428
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
7699903.80000000
0.023326872506
Long
ABS-MBS
CORP
US
N
2
2062-09-15
Fixed
3.01100000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20211027
N/A
1.00000000
NC
1296074.39000000
0.003926459711
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO LLC
9R7GPTSO7KV3UQJZQ078
74390000.00000000
EUR
87504361.88000000
USD
2021-10-27
1296074.39000000
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCI 1.5 10/21
01F0124A1
221000000.00000000
PA
USD
223140937.50000000
0.676005874252
Long
ABS-MBS
USGSE
US
N
2
2021-10-19
Fixed
1.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 711594
36297GRP7
17028.07000000
PA
USD
19419.83000000
0.000058832410
Long
ABS-MBS
USGA
US
N
2
2041-09-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3998
31418DNQ1
4721632.63000000
PA
USD
5140681.30000000
0.015573703307
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.50000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AP9
11599000.00000000
PA
USD
11825797.80000000
0.035826275850
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
43958106.48000000
PA
USD
46981751.65000000
0.142331301705
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
2564229.60000000
0.007768338216
Long
DBT
NUSS
SK
Y
2
2022-05-21
Fixed
4.37500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 701895
36296UXY1
33355.65000000
PA
USD
37253.43000000
0.000112859333
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 771561
36176N5W7
99198.51000000
PA
USD
109227.24000000
0.000330904121
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
5038299.00000000
0.015263535944
Long
ABS-CBDO
CORP
CA
Y
2
2023-06-26
Fixed
3.54400000
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
14867883.24000000
0.045042279200
Long
ABS-CBDO
CORP
US
Y
2
2023-09-15
Fixed
0.51000000
N
N
N
N
N
N
John Deere Capital Corp
E0KSF7PFQ210NWI8Z391
JOHN DEERE CAP
24422ETT6
4600000.00000000
PA
USD
4856027.08000000
0.014711342832
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
14843516.38000000
0.044968459754
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
7155.99000000
PA
USD
7386.30000000
0.000022376809
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
940380.94000000
PA
USD
977623.88000000
0.002961713314
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
21488032.22000000
0.065098032524
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
9245608.77000000
PA
USD
9897814.35000000
0.029985446497
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
5196396.72000000
PA
USD
5553419.83000000
0.016824095431
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
10676965.14000000
0.032345885227
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN FM6043
3140X9WD3
6736510.83960000
PA
USD
7159255.19000000
0.021688976563
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Cummins Inc
ZUNI8PYC725B6H8JU438
CUMMINS INC
231021AU0
8000000.00000000
PA
USD
7928935.36000000
0.024020724031
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.75000000
N
N
N
N
N
N
UBS AG/London
BFM8T61CT2L1QCEMIK50
UBS AG LONDON
902674YB0
15000000.00000000
PA
USD
14921324.55000000
0.045204179745
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
212386.10000000
PA
USD
224257.89000000
0.000679389683
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
1720704.40000000
0.005212877095
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Fixed
3.82900000
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC CFII_20-1
N/A
CFII 2020-1A A1
165183CJ1
7673986.57000000
PA
USD
7707568.70000000
0.023350093334
Long
ABS-CBDO
CORP
US
Y
2
2032-08-16
Fixed
0.87000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL5247
36184BZL4
527219.58000000
PA
USD
559859.48000000
0.001696095308
Long
ABS-MBS
USGA
US
N
2
2045-01-15
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBV2
700000000.00000000
PA
USD
699343750.00000000
2.118663157098
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.37500000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
AMERICAN EXPRESS
025816BW8
35905000.00000000
PA
USD
37984830.16000000
0.115075111758
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
18754.77000000
PA
USD
20595.88000000
0.000062395255
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
1038907.07000000
PA
USD
1139036.52000000
0.003450713200
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
12377588.92000000
0.037497928048
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
334566.80000000
PA
USD
365152.93000000
0.001106231462
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
1088183.68000000
PA
USD
1174836.07000000
0.003559168001
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
14155000.00000000
PA
USD
14751401.25000000
0.044689396800
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
75118365.17000000
PA
USD
89169758.67000000
0.270139945372
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
2603978.50000000
0.007888757581
Long
DBT
CORP
US
N
2
2024-10-24
Fixed
2.10000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CCD1
400000000.00000000
PA
USD
399375000.00000000
1.209907285746
Long
DBT
UST
US
N
2
2023-05-31
Fixed
0.12500000
N
N
N
N
N
N
US Bank NA/Cincinnati OH
6BYL5QZYBDK8S7L73M02
US BANK NA OHIO
90331HMS9
3900000.00000000
PA
USD
4131618.50000000
0.012516745727
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
10440157.55000000
PA
USD
10532136.38000000
0.031907126236
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
617111.79000000
PA
USD
669262.49000000
0.002027531925
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
20993.00000000
PA
USD
22711.44000000
0.000068804348
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
104198.57000000
PA
USD
112688.44000000
0.000341389833
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
315456.00000000
0.000955674523
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
17530000.00000000
PA
USD
19191940.24000000
0.058142017712
Long
DBT
CORP
GB
N
2
2027-09-19
Fixed
3.27900000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN BH9277
3140GYJX8
19344169.93920000
PA
USD
20546514.56000000
0.062245703068
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
09659W2L7
7620000.00000000
PA
USD
7821418.62000000
0.023695001873
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
15255628.35000000
0.046216953713
Long
DBT
CORP
KR
Y
2
2025-05-06
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q50790
3132XS2Y5
15318878.61000000
PA
USD
16323634.67000000
0.049452480793
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
2051292.24000000
0.006214393555
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
123626.79000000
PA
USD
133279.48000000
0.000403770426
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZL5520
3131XMDZ5
1652723.80000000
PA
USD
1811969.52000000
0.005489364942
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
APPLE INC
037833CU2
7045000.00000000
PA
USD
7433663.91000000
0.022520298277
Long
DBT
CORP
US
N
2
2024-05-11
Fixed
2.85000000
N
N
N
N
N
N
Rio Tinto Finance USA Ltd
213800RX94ZKEZXPKH58
RIO TINTO FINANC
767201AS5
7025000.00000000
PA
USD
7678625.53000000
0.023262409948
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
4073964.19000000
0.012342081891
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.50000000
N
N
N
N
N
N
Benchmark 2020-B16 Mortgage Trust
N/A
BMARK 2020-B16 A5
08161NAF4
3320000.00000000
PA
USD
3488390.40000000
0.010568085034
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.73200000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CBQ3
150000000.00000000
PA
USD
147468750.00000000
0.446756845182
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.50000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822AJ3
1807000.00000000
PA
USD
1909767.81000000
0.005785645038
Long
DBT
CORP
JP
N
2
2026-09-13
Fixed
2.75700000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS8282
3138WJFY9
351358.17000000
PA
USD
375857.50000000
0.001138660976
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
9651.87000000
PA
USD
11184.56000000
0.000033883644
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
2249776.42000000
0.006815701738
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.65000000
N
N
N
N
N
N
BlackRock Inc
549300LRIF3NWCU26A80
BLACKROCK INC
09247XAP6
3750000.00000000
PA
USD
4121212.69000000
0.012485221307
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
1087787.50000000
0.003295454201
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
806108.21000000
PA
USD
856161.48000000
0.002593742754
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
FNCL 4 10/21
01F0406A0
75000000.00000000
PA
USD
80308590.00000000
0.243295018839
Long
ABS-MBS
USGSE
US
N
2
2021-10-14
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G06602
3128M8U36
620165.91000000
PA
USD
697338.98000000
0.002112589702
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
17981.66000000
PA
USD
20635.99000000
0.000062516769
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
3491389.18000000
0.010577169843
Long
DBT
NUSS
BM
Y
2
2024-02-06
Fixed
4.85400000
N
N
N
N
N
N
GS Mortgage Securities Trust 2015-GC28
5493002EPQ51IPGGFX73
GSMS 2015-GC28 A4
36251FAV8
87220.29000000
PA
USD
91525.48000000
0.000277276607
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
541855.36000000
PA
USD
601187.44000000
0.001821298438
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG C56546
31298THX3
7.54630000
PA
USD
8.52000000
0.000000025811
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 AI4815
3138AJK50
2463.48000000
PA
USD
2720.73000000
0.000008242456
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
43099927.07000000
0.130571307110
Long
DBT
CORP
US
N
2
2029-12-05
Variable
4.45200000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AL9337
36184HLS1
100033.28000000
PA
USD
104720.97000000
0.000317252368
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 AS6181
3138WF2P0
70096.68000000
PA
USD
74110.37000000
0.000224517500
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
14496.38000000
PA
USD
16367.48000000
0.000049585310
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
9788028.84000000
0.029652851096
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
10364187.36000000
0.031398324376
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
1856038.66000000
PA
USD
1964034.68000000
0.005950046619
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
3012031.15000000
PA
USD
3264542.07000000
0.009889936112
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08410
3128MJN48
13977.40000000
PA
USD
15440.71000000
0.000046777658
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR QU7369
3133JLFJ3
5864085.93000000
PA
USD
6157545.31000000
0.018654294667
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
141726.18000000
PA
USD
156079.95000000
0.000472844491
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
17124.13000000
PA
USD
19097.92000000
0.000057857183
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 MA1275
31418AMZ8
3590316.27000000
PA
USD
3771941.39000000
0.011427103271
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AS4793
3138WEKF5
1423761.63000000
PA
USD
1555212.27000000
0.004711518388
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
1032045.10000000
PA
USD
1112586.62000000
0.003370583180
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Brookfield Finance Inc
N/A
BROOKFIELD FIN
11271LAH5
2000000.00000000
PA
USD
2044479.68000000
0.006193754893
Long
DBT
CORP
CA
N
2
2031-04-15
Fixed
2.72400000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA3245
36179RTA7
437814.96000000
PA
USD
478091.40000000
0.001448378762
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2019-C7
N/A
CGCMT 2019-C7 A4
17328CAD4
20500000.00000000
PA
USD
22105765.00000000
0.066969455099
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
3.10200000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G16177
3128MFCN6
462410.74000000
PA
USD
477092.84000000
0.001445353622
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
75695.90000000
PA
USD
78866.66000000
0.000238926689
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
2.50000000
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
2668675.00000000
0.008084755745
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.37200000
N
N
N
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
BB&T CORPORATION
05531FBH5
56382000.00000000
PA
USD
59269801.47000000
0.179557970887
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
45281.23000000
PA
USD
53183.06000000
0.000161118176
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
912828ZF0
100000000.00000000
PA
USD
99468750.00000000
0.301340758257
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
26860891.23000000
0.081375118624
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
20981662.60000000
0.063563984843
Long
DBT
NUSS
JP
N
2
2024-05-23
Fixed
2.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA5931
36179USU7
3166391.03000000
PA
USD
3362288.36000000
0.010186058675
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
250818.69000000
PA
USD
269329.86000000
0.000815935298
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE ELECTRIC CO
23338VAK2
11838000.00000000
PA
USD
12015465.94000000
0.036400875824
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 737269
3620ARCE9
5185.60000000
PA
USD
5931.76000000
0.000017970277
Long
ABS-MBS
USGA
US
N
2
2040-05-15
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
US TREASURY N/B
91282CCC3
100000000.00000000
PA
USD
99515620.00000000
0.301482751007
Long
DBT
UST
US
N
2
2024-05-15
Fixed
0.25000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 743106
3620AXR34
20580.10000000
PA
USD
23157.45000000
0.000070155536
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
LONG GILT FUTURE Dec21
N/A
-25.00000000
NC
134064.43000000
0.000406148433
N/A
DIR
N/A
N
1
Credit Suisse Securities (USA) LLC
1V8Y6QCX6YMJ2OELII46
Short
N/A
Long Gilt Future
2021-12-29
-4430449.59000000
GBP
134064.43000000
N
N
N
Fannie Mae Pool
N/A
FN BC9083
3140F5CV3
195003.73000000
PA
USD
205921.99000000
0.000623841041
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
207410.73990000
PA
USD
207709.29000000
0.000629255670
Long
ABS-MBS
CORP
AU
Y
2
2049-11-10
Floating
0.88480000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
6174468P7
10000000.00000000
PA
USD
11022785.20000000
0.033393547725
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
38590000.00000000
PA
USD
41161172.98000000
0.124697848083
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99200000
N
N
N
N
N
N
BMW VEHICLE OWNER TRUST BMWOT_18-A
N/A
BMWOT 2018-A A4
09659QAE7
4093117.46000000
PA
USD
4110468.18000000
0.012452670795
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
34381215.41000000
0.104157954347
Long
DBT
CORP
FI
Y
2
2025-08-28
Fixed
0.75000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 722270
3620A8MT7
1073.90000000
PA
USD
1239.56000000
0.000003755249
Long
ABS-MBS
USGA
US
N
2
2039-09-15
Fixed
5.00000000
N
N
N
N
N
N
Entergy Arkansas LLC
549300A0I5ONUIFMLP35
ENTERGY ARKANSAS
29364DAU4
10288000.00000000
PA
USD
11238906.36000000
0.034048287170
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
8212564.02000000
0.024879977571
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
144162.66000000
PA
USD
169117.75000000
0.000512342529
Long
ABS-MBS
USGA
US
N
2
2039-09-20
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GP
38141GXP4
15000000.00000000
PA
USD
15001995.75000000
0.045448573292
Long
DBT
CORP
US
N
2
2023-01-27
Fixed
0.48100000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN MA3412
31418CYJ7
4604922.23000000
PA
USD
4912930.74000000
0.014883732573
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
48185000.00000000
PA
USD
52575013.92000000
0.159276099881
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.30000000
N
N
N
N
N
N
BBCMS Mortgage Trust 2020-C6
N/A
BBCMS 2020-C6 A4
05492TBP4
2515000.00000000
PA
USD
2626892.35000000
0.007958175131
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
163724.99000000
PA
USD
182392.98000000
0.000552559863
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
140234.56000000
PA
USD
154275.08000000
0.000467376634
Long
ABS-MBS
USGA
US
N
2
2041-02-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 708784
36297DM95
3085.16000000
PA
USD
3580.80000000
0.000010848040
Long
ABS-MBS
USGA
US
N
2
2039-05-15
Fixed
5.00000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 438590
36207QF77
238163.16000000
PA
USD
257523.78000000
0.000780168757
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
37579.18000000
PA
USD
42709.13000000
0.000129387386
Long
ABS-MBS
USGA
US
N
2
2040-07-15
Fixed
4.50000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 708333
36297C4S5
574.63000000
PA
USD
651.18000000
0.000001972750
Long
ABS-MBS
USGA
US
N
2
2039-03-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2SF 2 10/21
21H0206A8
-184000000.00000000
PA
USD
-186616259.20000000
-0.56535429519
Short
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AD8057
31418V5T5
133907.58000000
PA
USD
150934.05000000
0.000457254977
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
143470.58000000
PA
USD
149400.71000000
0.000452609721
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
2.50000000
N
N
N
N
N
N
CARMAX AUTO OWNER TRUST CARMX_21-2
N/A
CARMX 2021-2 A3
14314QAC8
13880000.00000000
PA
USD
13902127.50000000
0.042116520437
Long
ABS-CBDO
CORP
US
N
2
2026-02-17
Fixed
0.52000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q50034
3132XSBC3
1834496.37000000
PA
USD
1998920.08000000
0.006055732002
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q51526
3132XTVU9
8663067.37000000
PA
USD
9431910.27000000
0.028573989243
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
32695579.64000000
PA
USD
34787446.09000000
0.105388630927
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
150000000.00000000
PA
USD
146414070.00000000
0.443561690213
Long
DBT
UST
US
N
2
2027-03-31
Fixed
0.62500000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 737274
3620ARCK5
79201.93000000
PA
USD
90951.90000000
0.000275538945
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 702143
36296VBL1
2659.01000000
PA
USD
2945.33000000
0.000008922882
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBW5
25000000.00000000
PA
USD
24525646.50000000
0.074300490486
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
19720.86000000
PA
USD
21050.08000000
0.000063771255
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
7457520.00000000
0.022592570345
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
906551.06860000
PA
USD
965682.39000000
0.002925536549
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
6.25100000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AP6307
36189EAG1
3132823.96000000
PA
USD
3416690.08000000
0.010350868784
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
4434604.29000000
0.013434641727
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
582759.37000000
PA
USD
611142.14000000
0.001851456219
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
2071196.09000000
PA
USD
2201650.38000000
0.006669903813
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
6985000.00000000
PA
USD
7713922.68000000
0.023369342728
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
79088.30000000
PA
USD
87801.68000000
0.000265995348
Long
ABS-MBS
USGA
US
N
2
2039-06-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AU6739
3138X6PZ2
1323651.82000000
PA
USD
1430815.47000000
0.004334658057
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
3.50000000
N
N
N
N
N
N
PacifiCorp
SGY07Y7FNYBNLM6Z1M11
PACIFICORP
695114CU0
27904000.00000000
PA
USD
30812611.39000000
0.093346862005
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
69375.99000000
PA
USD
77304.04000000
0.000234192729
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
DLL SECURITIZATION TRUST DLL_19-MT3
N/A
DLL 2019-MT3 A3
23291RAC4
9836049.63000000
PA
USD
9881257.10000000
0.029935286278
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
299490.33000000
PA
USD
326870.99000000
0.000990256256
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
TOYOTA LEASE OWNER TRUST TLOT_21-A
N/A
TLOT 2021-A A4
89238EAD8
3840000.00000000
PA
USD
3840402.82000000
0.011634507297
Long
ABS-CBDO
CORP
US
Y
2
2025-08-20
Fixed
0.50000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG V60715
3132KEYL3
120536.85000000
PA
USD
124543.10000000
0.000377303546
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
21442255.39000000
0.064959351534
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
3294378.82000000
PA
USD
3453718.04000000
0.010463045056
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
PFS FINANCING CORP PFSFC_20-A
N/A
PFSFC 2020-A A
69335PDP7
3000000.00000000
PA
USD
3037316.70000000
0.009201556443
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
8667890.07000000
0.026259388664
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
133964.31000000
PA
USD
143021.52000000
0.000433283953
Long
ABS-MBS
USGA
US
N
2
2045-03-15
Fixed
3.50000000
N
N
N
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
IBM CORP
459200JY8
6703000.00000000
PA
USD
7111701.95000000
0.021544913936
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
1094738.40000000
0.003316511965
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
8339580.48000000
0.025264774166
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
4737999.84000000
0.014353779095
Long
ABS-CBDO
CORP
US
Y
2
2042-04-14
Fixed
0.85000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG Q03650
3132GJWK1
8489244.59000000
PA
USD
9384821.69000000
0.028431334305
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
10068766.29000000
0.030503345709
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
992899.23000000
PA
USD
1041774.50000000
0.003156057734
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
167565.78000000
PA
USD
179098.88000000
0.000542580381
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
17200670.78000000
PA
USD
18482636.77000000
0.055993181565
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.50000000
N
N
N
N
N
N
American Honda Finance Corp
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA F
02665WDJ7
25000000.00000000
PA
USD
26108030.25000000
0.079094324922
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
4173977.76000000
0.012645073182
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
1252051.05000000
PA
USD
1341554.55000000
0.004064241938
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
3.50000000
N
N
N
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S
23636ABB6
10500000.00000000
PA
USD
10434449.34000000
0.031611183171
Long
DBT
CORP
DK
Y
2
2027-09-10
Fixed
1.54900000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN AG7248
36182CBR7
30965.27000000
PA
USD
33621.82000000
0.000101857364
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
704044.78000000
PA
USD
746876.19000000
0.002262662770
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2017-P8
N/A
CGCMT 2017-P8 A3
17326DAC6
4560000.00000000
PA
USD
4885948.80000000
0.014801990737
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 G08752
3128MJZS2
50961.40000000
PA
USD
55034.21000000
0.000166726238
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
1329337.50000000
0.004027230363
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Fixed
4.16640000
N
N
N
N
N
N
Svenska Handelsbanken AB
NHBDILHZTYCNBV5UYZ31
SVENSKA HNDLSBKN
86959LAH6
5400000.00000000
PA
USD
5379063.28000000
0.016295881947
Long
DBT
CORP
SE
Y
2
2027-06-11
Variable
1.41800000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AL7620
3138EQPE6
3130136.90000000
PA
USD
3362869.46000000
0.010187819119
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac Pool
N/A
FR ZM0192
3131XTF96
2767990.09000000
PA
USD
2951020.94000000
0.008940123281
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Bermuda Government International Bond
N/A
BERMUDA-GOVT OF
N/A
8089000.00000000
PA
USD
8784148.44000000
0.026611593606
Long
DBT
NUSS
BM
N
2
2027-01-25
Fixed
3.71700000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AB2274
31416XQ45
1482644.10000000
PA
USD
1651776.43000000
0.005004059685
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Virginia Electric and Power Co
CQKUMNNZVDJLRYV2PT43
VIRGINIA EL&PWR
927804FV1
10000000.00000000
PA
USD
10738408.30000000
0.032532027391
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
53834.79000000
PA
USD
59539.65000000
0.000180375477
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
269355.37000000
PA
USD
283759.82000000
0.000859650888
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
207690.70000000
PA
USD
214568.79000000
0.000650036537
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
PENDING
N/A
TRFIG 2021-1A A2
892725AS1
11570000.00000000
PA
USD
11547602.79000000
0.034983483564
Long
ABS-CBDO
CORP
IE
Y
2
2025-01-15
Fixed
1.08000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
TORONTO DOM BANK
89114QCH9
43550000.00000000
PA
USD
43657160.00000000
0.132259445280
Long
DBT
CORP
CA
N
2
2025-06-12
Fixed
1.15000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
WESTPAC BANKING
AT5191404
13825000.00000000
PA
16381181.11000000
0.049626817838
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
1233480.02000000
0.003736829954
Long
DBT
CORP
US
N
2
2032-04-28
Variable
1.92800000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 BR2445
3617LYWE6
233173.31000000
PA
USD
244530.20000000
0.000740804683
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
3513572.11000000
PA
USD
3827838.30000000
0.011596443061
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
113408520.54000000
PA
USD
120683971.99000000
0.365612311695
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
1681653.15000000
PA
USD
1852118.46000000
0.005610996228
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
39670000.00000000
PA
USD
39919833.73000000
0.120937208577
Long
DBT
CORP
CA
N
2
2023-06-12
Fixed
0.75000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US BANCORP
902973BB1
15108000.00000000
PA
17960537.55000000
0.054411481033
Long
DBT
CORP
US
N
2
2024-06-07
Fixed
0.85000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 688025
36296DLE6
13435.29000000
PA
USD
15171.75000000
0.000045962844
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
2216625.75000000
0.006715271723
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 AS6528
3138WGHE7
107422.87000000
PA
USD
117243.29000000
0.000355188759
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
2996224.00000000
0.009077066034
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Fixed
4.05100000
N
N
N
N
N
N
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_21-3
N/A
GMCAR 2021-3 A4
380140AD5
10650000.00000000
PA
USD
10615143.62000000
0.032158596820
Long
ABS-CBDO
CORP
US
N
2
2027-08-16
Fixed
0.73000000
N
N
N
N
N
N
Ginnie Mae I Pool
N/A
GN 697957
36296QME6
30793.12000000
PA
USD
35013.21000000
0.000106072583
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
387630.01000000
0.001174325817
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
24529.34000000
PA
USD
26981.33000000
0.000081739988
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 ZA7078
31329Q2K6
574366.41720000
PA
USD
613673.13000000
0.001859123858
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
3.50000000
N
N
N
N
N
N
TESLA AUTO LEASE TRUST TESLA_20-A
N/A
TESLA 2020-A A3
88167HAC0
4140000.00000000
PA
USD
4158426.31000000
0.012597960036
Long
ABS-CBDO
CORP
US
Y
2
2023-12-20
Fixed
0.68000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78016EZQ3
17540000.00000000
PA
USD
17437040.20000000
0.052825544863
Long
DBT
CORP
CA
N
2
2026-04-27
Fixed
1.20000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG G08767
3128MJZ94
536943.12000000
PA
USD
579855.83000000
0.001756674287
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
7277921.04000000
0.022048474970
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
2860353.66000000
PA
USD
3064687.03000000
0.009284474907
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
3.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA0392
36179MNH9
1463784.90000000
PA
USD
1568418.00000000
0.004751525171
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
3515787.03000000
PA
USD
3717092.21000000
0.011260937581
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
62736404.94000000
PA
USD
66068529.89000000
0.200154730948
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_21-B
N/A
HDMOT 2021-B A3
41285AAC1
16740000.00000000
PA
USD
16738138.51000000
0.050708220927
Long
ABS-CBDO
CORP
US
N
2
2026-11-16
Fixed
0.56000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 4426
36202E4K2
90060.08000000
PA
USD
104385.45000000
0.000316235909
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Fixed
6.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA4901
36179TNS0
374826.69000000
PA
USD
404429.38000000
0.001225219539
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
9178596.63000000
0.027806575112
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
19861.48000000
PA
USD
22294.76000000
0.000067542015
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
46824.96000000
PA
USD
53089.00000000
0.000160833221
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
48019.96000000
PA
USD
51812.37000000
0.000156965668
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
38301.81000000
PA
USD
41084.54000000
0.000124465688
Long
ABS-MBS
USGA
US
N
2
2044-12-15
Fixed
3.50000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
PFIZER INC
717081ET6
13000000.00000000
PA
USD
14449129.89000000
0.043773665168
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
21491142.96000000
0.065107456516
Long
DBT
CORP
US
N
2
2029-09-06
Fixed
2.12500000
N
N
N
N
N
N
HYUNDAI AUTO RECEIVABLES TRUST HART_21-A
N/A
HART 2021-A A3
44933LAC7
15820000.00000000
PA
USD
15810003.34000000
0.047896433749
Long
ABS-CBDO
CORP
US
N
2
2025-09-15
Fixed
0.38000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 MA2753
36179RBW8
122257.02000000
PA
USD
129374.98000000
0.000391941736
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
47127870.28000000
0.142773968359
Long
DBT
CORP
US
N
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AE5471
31419GCH5
10407.63000000
PA
USD
11500.35000000
0.000034840331
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
222872.08000000
PA
USD
234156.27000000
0.000709376844
Long
ABS-MBS
USGA
US
N
2
2027-03-20
Fixed
3.00000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 AM9060
36185CB52
3064426.80000000
PA
USD
3324939.85000000
0.010072911296
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
6201.02000000
PA
USD
7235.52000000
0.000021920020
Long
ABS-MBS
USGA
US
N
2
2038-08-15
Fixed
5.50000000
N
N
N
N
N
N
Ginnie Mae II Pool
N/A
G2 784415
3622A23Y6
20868977.37000000
PA
USD
22431878.04000000
0.067957415145
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
644521.16000000
PA
USD
703473.58000000
0.002131174484
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
1166737.20000000
PA
USD
1215392.82000000
0.003682034749
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
752129.60000000
PA
USD
830671.64000000
0.002516521237
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
5791895.64000000
PA
USD
6175128.00000000
0.018707561458
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
414374.58000000
PA
USD
440125.64000000
0.001333361423
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
13644429.78000000
PA
USD
14517772.89000000
0.043981619261
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
3.00000000
N
N
N
N
N
N
COMM 2014-CCRE18 Mortgage Trust
N/A
COMM 2014-CR18 A4
12632QAW3
5444129.20000000
PA
USD
5710238.24000000
0.017299177089
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
1049985.87000000
PA
USD
1103900.44000000
0.003344268382
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
15747925.13000000
0.047708367699
Long
DBT
CORP
JP
N
2
2026-07-14
Fixed
2.63200000
N
N
N
N
N
N
US Bank NA/Cincinnati OH
6BYL5QZYBDK8S7L73M02
US BANK NA OHIO
90331HPL1
13010000.00000000
PA
USD
13500423.66000000
0.040899557926
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
1371008.95000000
0.004153474096
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
1610749.96000000
PA
USD
1739485.12000000
0.005269773321
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
7430020.36000000
PA
USD
7866991.75000000
0.023833065753
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
4199000.00000000
PA
USD
4450979.30000000
0.013484249849
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
1652405.13000000
PA
USD
1931121.10000000
0.005850334869
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
292413.59000000
PA
USD
317689.24000000
0.000962440127
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
1806491.66000000
PA
USD
1977179.65000000
0.005989869330
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
SANTANDER RETAIL AUTO LEASE TRUST SRT_19-A
N/A
SRT 2019-A A3
80285JAG1
220527.58000000
PA
USD
220785.46000000
0.000668869950
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
287216.25000000
PA
USD
314333.97000000
0.000952275331
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
61052.99000000
PA
USD
61343.18000000
0.000185839274
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
37220807.34000000
0.112760503241
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
71543000.00000000
PA
USD
72546165.21000000
0.219778738880
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
3287914.92000000
0.009960744204
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae Pool
N/A
FN AA1072
31416JFN6
7486.26000000
PA
USD
8474.88000000
0.000025674664
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
MITSUB UFJ FIN
606822BD5
4500000.00000000
PA
USD
4787607.65000000
0.014504066045
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
N/A
8000000.00000000
PA
9343718.15000000
0.028306811056
Long
DBT
CORP
NO
N
2
2023-11-14
Fixed
0.05000000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB
F3JS33DEI6XQ4ZBPTN86
SKANDINAV ENSKIL
83051GAR9
57625000.00000000
PA
USD
57134091.47000000
0.173087833575
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
224830.20000000
PA
USD
245384.33000000
0.000743392272
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.00000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
ROYAL BK CANADA
78016EZT7
18870000.00000000
PA
USD
18718362.38000000
0.056707312728
Long
DBT
CORP
CA
N
2
2026-07-14
Fixed
1.15000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE
46647PBY1
10125000.00000000
PA
USD
10075455.64000000
0.030523611107
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
3736088.67000000
PA
USD
3998281.02000000
0.012112799590
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
12076113.92000000
0.036584608989
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
5823327.38000000
0.017641780843
Long
ABS-CBDO
CORP
US
N
2
2027-05-17
Fixed
0.54000000
N
N
N
N
N
N
Freddie Mac Gold Pool
N/A
FG A93459
312941ZY6
391047.99000000
PA
USD
432183.66000000
0.001309301180
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 BD0094
3140F7C80
468628.33000000
PA
USD
488373.89000000
0.001479529584
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
GBP/USD FWD 20211027
N/A
1.00000000
NC
155128.02000000
0.000469960617
N/A
DFE
N/A
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
5649790.42000000
GBP
7767879.90000000
USD
2021-10-27
155128.02000000
N
N
N
2021-11-26
VANGUARD MALVERN FUNDS
Christine M. Buchanan
Christine M. Buchanan
Chief Financial Officer and Acting Treasurer