0001752724-21-229707.txt : 20211028
0001752724-21-229707.hdr.sgml : 20211028
20211028112416
ACCESSION NUMBER: 0001752724-21-229707
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210831
FILED AS OF DATE: 20211028
PERIOD START: 20210831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: MORGAN STANLEY PATHWAY FUNDS
CENTRAL INDEX KEY: 0000875186
IRS NUMBER: 000000000
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06318
FILM NUMBER: 211356104
BUSINESS ADDRESS:
STREET 1: 2000 WESTCHESTER AVENUE
CITY: PURCHASE
STATE: NY
ZIP: 10577
BUSINESS PHONE: 8883749999
MAIL ADDRESS:
STREET 1: 2000 WESTCHESTER AVENUE
CITY: PURCHASE
STATE: NY
ZIP: 10577
FORMER COMPANY:
FORMER CONFORMED NAME: CONSULTING GROUP CAPITAL MARKETS FUNDS
DATE OF NAME CHANGE: 19950125
FORMER COMPANY:
FORMER CONFORMED NAME: TRUST FOR TRAK INVESTMENTS
DATE OF NAME CHANGE: 19920929
FORMER COMPANY:
FORMER CONFORMED NAME: INSTITUTIONAL ADVISORS PORTFOLIOS
DATE OF NAME CHANGE: 19600201
0000875186
S000008437
Core Fixed Income Fund
C000023145
Core Fixed Income Fund
TIIUX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000875186
XXXXXXXX
S000008437
C000023145
MORGAN STANLEY PATHWAY FUNDS
811-06318
0000875186
549300P3RUTI9W6SLI87
2000 Westchester Avenue
NULL
Purchase
10577
888-454-3965
Core Fixed Income Fund
S000008437
1UKL0F219G5CMXW7TL44
2021-08-31
2021-08-31
N
1629787429.18
319224582.44
1310562846.74
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
92140700.64000000
AUD
BRL
CAD
CHF
CNY
EUR
GBP
IDR
JPY
MXN
MYR
RUB
USD
ZAR
N
GNMA II P#MA7313 3% 04/20/51
N/A
GINNIE MAE II POOL P#MA7313 3.00000000
36179WDS4
1837195.86000000
NS
USD
1922488.95000000
0.146691854937
Long
ABS-MBS
USGSE
US
N
2
2051-04-20
Fixed
3.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 05/22/30
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 3.97300000
404280CC1
420000.00000000
NS
USD
471357.82000000
0.035966060015
Long
DBT
CORP
GB
N
2
2030-05-22
Variable
3.97300000
N
N
N
N
N
N
TYSON FOODS INC 3.9% 09/28/23
WD6L6041MNRW1JE49D58
TYSON FOODS INC REGD 3.90000000
902494BG7
285000.00000000
NS
USD
304438.45000000
0.023229595647
Long
DBT
CORP
US
N
2
2023-09-28
Fixed
3.90000000
N
N
N
N
N
N
WILLIAMS COS IN 7.75% 06/15/31
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC REGD 7.75000000
969457BD1
260000.00000000
NS
USD
366444.46000000
0.027960846052
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
N
N
N
N
N
N
MARRIOTT INTER 4.625% 06/15/30
225YDZ14ZO8E1TXUSU86
MARRIOTT INTERNATIONAL REGD SER FF 4.62500000
571903BE2
97000.00000000
NS
USD
111599.22000000
0.008515365766
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.62500000
N
N
N
N
N
N
FGLMC P#G07509 6.5% 09/01/39
N/A
FREDDIE MAC GOLD POOL P#G07509 6.50000000
3128M9VA7
22420.71000000
NS
USD
26061.84000000
0.001988599025
Long
ABS-MBS
USGA
US
N
2
2039-09-01
Fixed
6.50000000
N
N
N
N
N
N
SOUTHERN NATURAL G 8% 03/01/32
N/A
SOUTHERN NATURAL GAS REGD 8.00000000
843452AZ6
258000.00000000
NS
USD
371372.50000000
0.028336870751
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
8.00000000
N
N
N
N
N
N
AMERICAN TOWER C 2.1% 06/15/30
5493006ORUSIL88JOE18
AMERICAN TOWER CORP REGD 2.10000000
03027XBC3
208000.00000000
NS
USD
205942.36000000
0.015714039239
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
MARSH & MCLENNA 2.25% 11/15/30
549300XMP3KDCKJXIU47
MARSH & MCLENNAN COS INC REGD 2.25000000
571748BN1
268000.00000000
NS
USD
274731.17000000
0.020962838270
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.25000000
N
N
N
N
N
N
JPMORGAN CHASE 4.95% 06/01/45
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD 4.95000000
46625HLL2
490000.00000000
NS
USD
655188.30000000
0.049992894398
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
4.95000000
N
N
N
N
N
N
UMBS P#BR7222 2.5% 04/01/51
N/A
FANNIE MAE POOL UMBS P#BR7222 2.50000000
3140L6AY0
99098.41000000
NS
USD
103547.95000000
0.007901028955
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#MA4097 3% 08/01/50
N/A
FANNIE MAE POOL UMBS P#MA4097 3.00000000
31418DRT1
377243.29000000
NS
USD
394691.42000000
0.030116176494
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
STATE OF ISRAEL 2.75% 07/03/30
N/A
STATE OF ISRAEL REGD 2.75000000
46513JB34
200000.00000000
NS
USD
215666.40000000
0.016456013577
Long
DBT
USGA
IL
N
2
2030-07-03
Fixed
2.75000000
N
N
N
N
N
N
CHEVRON USA INC 4.95% 08/15/47
N/A
CHEVRON USA INC REGD 4.95000000
166756AW6
30000.00000000
NS
USD
41243.31000000
0.003146992157
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.95000000
N
N
N
N
N
N
UMBS P#AS2350 4.5% 05/01/44
N/A
FANNIE MAE POOL UMBS P#AS2350 4.50000000
3138WBTG0
140711.25000000
NS
USD
155797.62000000
0.011887840433
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.50000000
N
N
N
N
N
N
FNA 2019-M28 2.232% 02/25/27
N/A
FANNIE MAE-ACES SER 2019-M28 CL AV 2.23200000
3136B7GA3
112972.64000000
NS
USD
119464.84000000
0.009115536908
Long
ABS-CBDO
CORP
US
N
2
2027-02-25
Fixed
2.23200000
N
N
N
N
N
N
GNMA II P#MA4068 3% 11/20/46
N/A
GINNIE MAE II POOL P#MA4068 3.00000000
36179SQV2
59533.57000000
NS
USD
62829.16000000
0.004794059297
Long
ABS-MBS
USGSE
US
N
2
2046-11-20
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 01/20/28
N/A
BANK OF AMERICA CORP REGD V/R MTN 3.82400000
06051GGF0
802000.00000000
NS
USD
894295.51000000
0.068237514303
Long
DBT
CORP
US
N
2
2028-01-20
Variable
3.82400000
N
N
N
N
N
N
UMBS P#AB7795 2.5% 02/01/28
N/A
FANNIE MAE POOL UMBS P#AB7795 2.50000000
31417EUV1
63299.46000000
NS
USD
66565.45000000
0.005079149784
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
2.50000000
N
N
N
N
N
N
CENTERPOINT ENE 3.35% 04/01/51
N/A
CENTERPOINT ENER HOUSTON REGD SER AF 3.35000000
15189XAW8
146000.00000000
NS
USD
163147.49000000
0.012448658254
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.35000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 12/05/29
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 4.45200000
46647PAX4
697000.00000000
NS
USD
814921.80000000
0.062181054653
Long
DBT
CORP
US
N
2
2029-12-05
Variable
4.45200000
N
N
N
N
N
N
GOLDMAN SACHS G 5.15% 05/22/45
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD 5.15000000
38148LAF3
290000.00000000
NS
USD
388927.02000000
0.029676334940
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
ORACLE CORP 3.8% 11/15/37
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP REGD 3.80000000
68389XBP9
444000.00000000
NS
USD
486582.76000000
0.037127770042
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
3.80000000
N
N
N
N
N
N
CLEVELAND OH A 2.882% 01/01/31
N/A
CLEVELAND OH ARPT SYS REVENUE REGD N/C B/E 2.88200000
186352SP6
90000.00000000
NS
USD
95670.53000000
0.007299957437
Long
DBT
MUN
US
N
2
2031-01-01
Fixed
2.88200000
N
N
N
N
N
N
MICROSOFT CORP 3.45% 08/08/36
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP REGD 3.45000000
594918BS2
5000.00000000
NS
USD
5859.21000000
0.000447075851
Long
DBT
CORP
US
N
2
2036-08-08
Fixed
3.45000000
N
N
N
N
N
N
BOEING CO 5.805% 05/01/50
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 5.80500000
097023CW3
490000.00000000
NS
USD
667552.96000000
0.050936356212
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
UMBS P#FM6117 3% 11/01/48
N/A
FANNIE MAE POOL UMBS P#FM6117 3.00000000
3140X9YP4
482274.10000000
NS
USD
509164.93000000
0.038850859481
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA II P#BM9743 4% 11/20/49
N/A
GINNIE MAE II POOL P#BM9743 4.00000000
3617K1ZG1
146189.82000000
NS
USD
153525.30000000
0.011714455387
Long
ABS-MBS
USGSE
US
N
2
2049-11-20
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#MA5076 3% 03/20/48
N/A
GINNIE MAE II POOL P#MA5076 3.00000000
36179TT96
167583.53000000
NS
USD
175578.75000000
0.013397201853
Long
ABS-MBS
USGSE
US
N
2
2048-03-20
Fixed
3.00000000
N
N
N
N
N
N
GNMA II P#MA4722 5% 09/20/47
N/A
GINNIE MAE II POOL P#MA4722 5.00000000
36179TG74
123846.60000000
NS
USD
135048.19000000
0.010304594727
Long
ABS-MBS
USGSE
US
N
2
2047-09-20
Fixed
5.00000000
N
N
N
N
N
N
PUBLIC SERVICE ELE 3% 05/15/27
N/A
PUBLIC SERVICE ELECTRIC REGD MTN 3.00000000
74456QBS4
23000.00000000
NS
USD
25064.88000000
0.001912527893
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.00000000
N
N
N
N
N
N
COX COMMUNICATI 3.85% 02/01/25
N/A
COX COMMUNICATIONS INC REGD P/P 3.85000000
224044CE5
70000.00000000
NS
USD
76254.92000000
0.005818486323
Long
DBT
CORP
US
Y
2
2025-02-01
Fixed
3.85000000
N
N
N
N
N
N
3M COMPANY 3.05% 04/15/30
LUZQVYP4VS22CLWDAR65
3M COMPANY REGD 3.05000000
88579YBN0
30000.00000000
NS
USD
33023.70000000
0.002519810483
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.05000000
N
N
N
N
N
N
MIDAMERICAN ENER 3.1% 05/01/27
N/A
MIDAMERICAN ENERGY CO REGD 3.10000000
595620AQ8
255000.00000000
NS
USD
279644.27000000
0.021337723001
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.10000000
N
N
N
N
N
N
T/L ASURION LLC 0% 11/03/24
N/A
T/L ASURION LLC ZCP REGD 0.00000000
04649VAW0
176069.32000000
NS
USD
173345.53000000
0.013226800258
Long
LON
CORP
US
N
2
2024-11-03
Variable
3.08463000
N
N
N
N
N
N
PROLOGIS LP 3% 04/15/50
N/A
PROLOGIS LP REGD 3.00000000
74340XBP5
67000.00000000
NS
USD
70190.34000000
0.005355740106
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#AV9187 4% 03/01/44
N/A
FANNIE MAE POOL UMBS P#AV9187 4.00000000
3138XMF54
179320.44000000
NS
USD
198464.10000000
0.015143424864
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#QC4824 2.5% 08/01/51
N/A
FREDDIE MAC POOL UMBS P#QC4824 2.50000000
3133APLD9
99486.43000000
NS
USD
104945.06000000
0.008007632770
Long
ABS-MBS
USGA
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA II P#MA7256 3% 03/20/51
N/A
GINNIE MAE II POOL P#MA7256 3.00000000
36179WBZ0
698434.22000000
NS
USD
730859.51000000
0.055766841843
Long
ABS-MBS
USGSE
US
N
2
2051-03-20
Fixed
3.00000000
N
N
N
N
N
N
GNMA II P#MA5652 4.5% 12/20/48
N/A
GINNIE MAE II POOL P#MA5652 4.50000000
36179UH54
68331.78000000
NS
USD
72747.46000000
0.005550856273
Long
ABS-MBS
USGSE
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
US TREAS BDS 3.125% 08/15/44
N/A
UNITED STATES TREASURY BOND 3.12500000
912810RH3
415000.00000000
NS
USD
511309.18000000
0.039014472390
Long
DBT
UST
US
N
2
2044-08-15
Fixed
3.12500000
N
N
N
N
N
N
UMBS P#AS9830 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#AS9830 4.00000000
3138WK4Q5
127667.78000000
NS
USD
137787.18000000
0.010513588138
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
MEX BONOS 7.75% 11/13/42/MXN/
N/A
MEX BONOS DESARR FIX RT /MXN/ REGD SER M 7.75000000
P4R0C9EK5
111575700.00000000
NS
5667956.18000000
0.432482592811
Long
DBT
USGA
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
GNMA P#784571 3.5% 06/15/48
N/A
GINNIE MAE I POOL P#784571 3.50000000
3622A3CG3
94176.08000000
NS
USD
100962.43000000
0.007703745780
Long
ABS-MBS
USGSE
US
N
2
2048-06-15
Fixed
3.50000000
N
N
N
N
N
N
BAMLL 2018-PARK V/R 08/10/28
N/A
BAMLL COMMERCIAL MORTGAGE SECURITIES SER 2018-PARK CL A V/R REGD 144A P/P 4.22710800
05491YAA8
420000.00000000
NS
USD
484337.87000000
0.036956477989
Long
ABS-CBDO
CORP
US
Y
2
2038-08-10
Variable
4.22710800
N
N
N
N
N
N
LLOYDS BANKING GR V/R 05/11/27
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC REGD V/R 1.62700000
53944YAP8
350000.00000000
NS
USD
351491.85000000
0.026819915647
Long
DBT
CORP
GB
N
2
2027-05-11
Variable
1.62700000
N
N
N
N
N
N
FGLMC P#G02427 5.5% 12/01/36
N/A
FREDDIE MAC GOLD POOL P#G02427 5.50000000
3128M4A45
8898.28000000
NS
USD
10340.89000000
0.000789041901
Long
ABS-MBS
USGA
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
DUKE ENERGY PROG 4.1% 03/15/43
N/A
DUKE ENERGY PROGRESS INC REGD 4.10000000
144141DD7
48000.00000000
NS
USD
58588.55000000
0.004470487634
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.10000000
N
N
N
N
N
N
GNMA II 30 YR TBA 2% SEP 21
N/A
GNMA II 30 YR TBA 2% SEP 21 TO BE ANNOUNCED 2.00000000
21H020691
2300000.00000000
NS
USD
2348335.95000000
0.179185298579
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
UMBS P#MA3239 4% 01/01/48
N/A
FANNIE MAE POOL UMBS P#MA3239 4.00000000
31418CS54
57726.65000000
NS
USD
62432.85000000
0.004763819618
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
CITIZENS FINANC 2.85% 07/27/26
2138004JDDA4ZQUPFW65
CITIZENS FINANCIAL GROUP REGD 2.85000000
174610AR6
142000.00000000
NS
USD
151951.44000000
0.011594364999
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
2.85000000
N
N
N
N
N
N
FIDELITY NATL IN 3.1% 03/01/41
6WQI0GK1PRFVBA061U48
FIDELITY NATL INFO SERV REGD 3.10000000
31620MBU9
142000.00000000
NS
USD
147945.57000000
0.011288704724
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
3.10000000
N
N
N
N
N
N
ENTERPRISE PRODU 3.9% 02/15/24
N/A
ENTERPRISE PRODUCTS OPER REGD 3.90000000
29379VBB8
50000.00000000
NS
USD
53612.87000000
0.004090827855
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.90000000
N
N
N
N
N
N
GNMA II P#4853 4% 11/20/40
N/A
GINNIE MAE II POOL P#4853 4.00000000
36202FMA1
17196.69000000
NS
USD
18849.72000000
0.001438291955
Long
ABS-MBS
USGSE
US
N
2
2040-11-20
Fixed
4.00000000
N
N
N
N
N
N
COMM 2018-COR 4.228% 04/10/28
N/A
COMM 2018-COR3 MORTGAGE TRUST SER 2018-COR3 CL A3 REGD 4.22800000
12595VAD9
465000.00000000
NS
USD
537761.62000000
0.041032875404
Long
ABS-CBDO
CORP
US
N
2
2051-05-10
Fixed
4.22800000
N
N
N
N
N
N
UMBS TBA 30YR 1.5% SEP 21
N/A
UMBS TBA 30YR 1.5% SEP 21 TO BE ANNOUNCED 1.50000000
01F012692
200000.00000000
NS
USD
196609.38000000
0.015001903990
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
1.50000000
N
N
N
N
N
N
INTEL CORP 3.2% 08/12/61
KNX4USFCNGPY45LOCE31
INTEL CORP REGD 3.20000000
458140BX7
168000.00000000
NS
USD
173828.46000000
0.013263649311
Long
DBT
CORP
US
N
2
2061-08-12
Fixed
3.20000000
N
N
N
N
N
N
HYUNDAI CAPITA 2.375% 02/10/23
N/A
HYUNDAI CAPITAL AMERICA REGD 144A P/P 2.37500000
44891ABE6
412000.00000000
NS
USD
421916.84000000
0.032193560274
Long
DBT
CORP
US
Y
2
2023-02-10
Fixed
2.37500000
N
N
N
N
N
N
CREDIT SUISSE 4.282% 01/09/28
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD 144A P/P 4.28200000
225401AC2
65000.00000000
NS
USD
72734.71000000
0.005549883409
Long
DBT
CORP
CH
Y
2
2028-01-09
Fixed
4.28200000
N
N
N
N
N
N
GSMS 2021-ROSS A V/R 05/15/23
N/A
GS MORTGAGE SECURITIES CORP TRUST 2021-ROSS SER 2021-ROSS CL A V/R REGD 144A P/P 1.24600000
36264YAA8
370000.00000000
NS
USD
370719.65000000
0.028287056276
Long
ABS-CBDO
CORP
US
Y
2
2026-05-15
Variable
1.24600000
N
N
N
N
N
N
PHILIP MORRIS IN 4.5% 03/20/42
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTL INC REGD 4.50000000
718172AP4
60000.00000000
NS
USD
71456.53000000
0.005452354320
Long
DBT
CORP
US
N
2
2042-03-20
Fixed
4.50000000
N
N
N
N
N
N
CGCMT 2016-C2 3.176% 08/10/26
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C2 SER 2016-C2 CL B REGD 3.17600000
17291CBU8
285000.00000000
NS
USD
297765.63000000
0.022720438835
Long
ABS-CBDO
CORP
US
N
2
2049-08-10
Fixed
3.17600000
N
N
N
N
N
N
FGLMC P#G08716 3.5% 08/01/46
N/A
FREDDIE MAC GOLD POOL P#G08716 3.50000000
3128MJYN4
280423.00000000
NS
USD
301942.86000000
0.023039174409
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP 3.75% 04/01/40
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 3.75000000
20030NDH1
20000.00000000
NS
USD
23004.69000000
0.001755329021
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
KLA CORP 4.1% 03/15/29
549300H0BF5JCG96TJ81
KLA CORP REGD 4.10000000
482480AG5
383000.00000000
NS
USD
441508.01000000
0.033688427159
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.10000000
N
N
N
N
N
N
GILEAD SCIENCES 4.8% 04/01/44
549300WTZWR07K8MNV44
GILEAD SCIENCES INC REGD 4.80000000
375558AX1
218000.00000000
NS
USD
279095.94000000
0.021295883726
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
4.80000000
N
N
N
N
N
N
PIONEER NATURAL 2.15% 01/15/31
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCE REGD 2.15000000
723787AR8
250000.00000000
NS
USD
245107.79000000
0.018702482724
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.15000000
N
N
N
N
N
N
UMBS P#BF0141 5.5% 09/01/56
N/A
FANNIE MAE POOL UMBS P#BF0141 5.50000000
3140FXEP3
285052.36000000
NS
USD
338510.98000000
0.025829435104
Long
ABS-MBS
USGSE
US
N
2
2056-09-01
Fixed
5.50000000
N
N
N
N
N
N
FNR 2012-75 AO ZCP 03/25/42
N/A
FANNIE MAE REMICS SER 2012-75 CL AO ZCP 0.00000000
3136A6Q56
15096.98000000
NS
USD
14393.95000000
0.001098302918
Long
ABS-CBDO
CORP
US
N
2
2042-03-25
Fixed
0.00000000
N
N
N
N
N
N
PHILIP MORRIS 1.125% 05/01/23
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTL INC REGD 1.12500000
718172CQ0
100000.00000000
NS
USD
101271.18000000
0.007727304360
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
1.12500000
N
N
N
N
N
N
LEVEL 3 FINANC 3.875% 11/15/29
N/A
LEVEL 3 FINANCING INC REGD 144A P/P 3.87500000
527298BQ5
595000.00000000
NS
USD
639687.48000000
0.048810133874
Long
DBT
CORP
US
Y
2
2029-11-15
Fixed
3.87500000
N
N
N
N
N
N
LLOYDS BANKING 4.582% 12/10/25
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC REGD SER WI 4.58200000
539439AM1
245000.00000000
NS
USD
276313.41000000
0.021083568078
Long
DBT
CORP
GB
N
2
2025-12-10
Fixed
4.58200000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 02/22/48
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 4.26000000
46647PAA4
38000.00000000
NS
USD
46864.17000000
0.003575881165
Long
DBT
CORP
US
N
2
2048-02-22
Variable
4.26000000
N
N
N
N
N
N
ABBOTT LABORATO 3.75% 11/30/26
HQD377W2YR662HK5JX27
ABBOTT LABORATORIES REGD 3.75000000
002824BF6
164000.00000000
NS
USD
185645.11000000
0.014165296266
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
T/L STERIGENICS-NO 0% 12/11/26
N/A
T/L STERIGENICS-NORDION HOLDINGS LLC REGD 0.00000000
N/A
360000.00000000
NS
USD
358200.00000000
0.027331768246
Long
LON
CORP
US
N
2
2026-12-11
Variable
3.25000000
N
N
N
N
N
N
NATWEST GROUP PLC V/R 03/22/25
N/A
NATWEST GROUP PLC REGD V/R 4.26900000
780097BK6
865000.00000000
NS
USD
937899.57000000
0.071564638989
Long
DBT
CORP
GB
N
2
2025-03-22
Variable
4.26900000
N
N
N
N
N
N
ANHEUSER-BUSCH 3.65% 02/01/26
N/A
ANHEUSER-BUSCH CO/INBEV REGD SER * 3.65000000
03522AAG5
340000.00000000
NS
USD
375625.19000000
0.028661364156
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
CHEVRON CORP 1.554% 05/11/25
N/A
CHEVRON CORP REGD 1.55400000
166764BW9
190000.00000000
NS
USD
194944.70000000
0.014874883755
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.55400000
N
N
N
N
N
N
GNMA II P#MA4718 3% 09/20/47
N/A
GINNIE MAE II POOL P#MA4718 3.00000000
36179TG33
6654.31000000
NS
USD
7019.23000000
0.000535588966
Long
ABS-MBS
USGSE
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
CHEVRON CORP 1.995% 05/11/27
N/A
CHEVRON CORP REGD 1.99500000
166764BX7
70000.00000000
NS
USD
72674.37000000
0.005545279280
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
1.99500000
N
N
N
N
N
N
UMBS P#BF0191 4% 06/01/57
N/A
FANNIE MAE POOL UMBS P#BF0191 4.00000000
3140FXF98
157394.39000000
NS
USD
171192.30000000
0.013062502147
Long
ABS-MBS
USGSE
US
N
2
2057-06-01
Fixed
4.00000000
N
N
N
N
N
N
MOTOROLA SOLUTI 2.75% 05/24/31
6S552MUG6KGJVEBSEC55
MOTOROLA SOLUTIONS INC REGD 2.75000000
620076BU2
172000.00000000
NS
USD
177341.74000000
0.013531723445
Long
DBT
CORP
US
N
2
2031-05-24
Fixed
2.75000000
N
N
N
N
N
N
FGLMC P#C91981 3% 02/01/38
N/A
FREDDIE MAC GOLD POOL P#C91981 3.00000000
3128P8FW6
32596.11000000
NS
USD
34157.99000000
0.002606360319
Long
ABS-MBS
USGA
US
N
2
2038-02-01
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
CAD/USD FWD 20211019 STAR USD
N/A
1.00000000
NC
N/A
-50482.65000000
-0.00385198238
N/A
DFE
N/A
N
2
CITIBANK N.A.
N/A
-11545682.97000000
USD
14501678.00000000
CAD
2021-10-19
-50482.65000000
N
N
N
SBIC 2018-10B 3.548% 09/10/28
N/A
SBA SMALL BUSINESS INVESTMENT COS SER 2018-10B CL 1 REGD 3.54800000
831641FL4
531229.51000000
NS
USD
577855.47000000
0.044092160207
Long
ABS-CBDO
CORP
US
N
2
2028-09-10
Fixed
3.54800000
N
N
N
N
N
N
WAMU 05-AR4 A5 4.6787% 4/25/35
N/A
WAMU 05-AR4 A5 4.6787% 4/25/35 2.84475900
92922FG77
164039.94000000
NS
USD
166067.60000000
0.012671471682
Long
ABS-CBDO
CORP
US
N
2
2035-04-25
Variable
2.84475900
N
N
N
N
N
N
AMAZON.COM INC 2.5% 06/03/50
N/A
AMAZON.COM INC REGD 2.50000000
023135BT2
200000.00000000
NS
USD
192054.73000000
0.014654370103
Long
DBT
CORP
US
N
2
2050-06-03
Fixed
2.50000000
N
N
N
N
N
N
HERSHEY COMPANY 0.9% 06/01/25
21X2CX66SU2BR6QTAD08
HERSHEY COMPANY REGD 0.90000000
427866BF4
50000.00000000
NS
USD
50197.11000000
0.003830194799
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.90000000
N
N
N
N
N
N
CAALT 2021-2A 0.96% 07/15/24
N/A
CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-2 SER 2021-2A CL A REGD 144A P/P 0.96000000
22537CAA7
410000.00000000
NS
USD
412125.56000000
0.031446455316
Long
ABS-CBDO
CORP
US
Y
2
2030-02-15
Fixed
0.96000000
N
N
N
N
N
N
LOCKHEED MARTIN 3.55% 01/15/26
DPRBOZP0K5RM2YE8UU08
LOCKHEED MARTIN CORP REGD SER 10YR 3.55000000
539830BH1
170000.00000000
NS
USD
188090.12000000
0.014351858094
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.55000000
N
N
N
N
N
N
NATIONAL RETAIL 3.5% 04/15/51
5493008JKH5SOTI0JS97
NATIONAL RETAIL PROP INC REGD 3.50000000
637417AQ9
150000.00000000
NS
USD
159738.97000000
0.012188577632
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.50000000
N
N
N
N
N
N
T/L PILOT TRA 0% 07/28/2028
N/A
T/L PILOT TRAVEL CENTERS LLC REGD 0.00000000
N/A
680000.00000000
NS
USD
676035.60000000
0.051583607888
Long
LON
CORP
US
N
2
2028-07-28
Variable
0.00000000
N
N
N
N
N
N
CWL 06-SD3 A1 V/R 7/25/36
N/A
CWL 06-SD3 A1 V/R 7/25/36 0.74438000
23244AAA3
77684.90000000
NS
USD
75963.72000000
0.005796266862
Long
ABS-CBDO
CORP
US
Y
2
2036-07-25
Variable
0.74438000
N
N
N
N
N
N
UMBS P#AL4464 2.5% 06/01/28
N/A
FANNIE MAE POOL UMBS P#AL4464 2.50000000
3138EL6A6
157790.24000000
NS
USD
166040.84000000
0.012669429811
Long
ABS-MBS
USGSE
US
N
2
2028-06-01
Fixed
2.50000000
N
N
N
N
N
N
UNITED MEXICAN 4.75% 03/08/44
N/A
UNITED MEXICAN STATES REGD MTN 4.75000000
91086QBB3
210000.00000000
NS
USD
236650.05000000
0.018057130994
Long
DBT
USGA
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
AMAZON.COM INC 4.95% 12/05/44
ZXTILKJKG63JELOEG630
AMAZON.COM INC REGD 4.95000000
023135AQ9
160000.00000000
NS
USD
220238.73000000
0.016804896502
Long
DBT
CORP
US
N
2
2044-12-05
Fixed
4.95000000
N
N
N
N
N
N
T/L CLARIOS GLOB 0% 04/30/26
N/A
T/L CLARIOS GLOBAL LP REGD 0.00000000
C8000CAG8
218077.01000000
NS
USD
216123.04000000
0.016490856622
Long
LON
CORP
US
N
2
2026-04-30
Variable
3.33463000
N
N
N
N
N
N
REPUBLIC OF INDO 3.5% 01/11/28
N/A
REPUBLIC OF INDONESIA REGD 3.50000000
455780CD6
290000.00000000
NS
USD
320113.60000000
0.024425658090
Long
DBT
USGA
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
AETNA INC 2.8% 06/15/23
N/A
AETNA INC REGD 2.80000000
00817YAV0
40000.00000000
NS
USD
41514.63000000
0.003167694712
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
2.80000000
N
N
N
N
N
N
ALTRIA GROUP I 3.875% 09/16/46
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC REGD 3.87500000
02209SAV5
80000.00000000
NS
USD
80852.92000000
0.006169327949
Long
DBT
CORP
US
N
2
2046-09-16
Fixed
3.87500000
N
N
N
N
N
N
UMBS P#BR3290 2% 03/01/51
N/A
FANNIE MAE POOL UMBS P#BR3290 2.00000000
3140L1UQ6
195896.05000000
NS
USD
198856.74000000
0.015173384511
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
ABBVIE INC 4.25% 11/21/49
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD SER WI 4.25000000
00287YCB3
230000.00000000
NS
USD
279018.25000000
0.021289955738
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
BANK OF AMERICA 7.25% 10/15/25
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD 7.25000000
638585AP4
30000.00000000
NS
USD
36949.87000000
0.002819389401
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
7.25000000
N
N
N
N
N
N
DUKE ENERGY OHI 3.65% 02/01/29
N/A
DUKE ENERGY OHIO INC REGD 3.65000000
26442EAF7
335000.00000000
NS
USD
376055.31000000
0.028694183642
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.65000000
N
N
N
N
N
N
UMBS P#CA9358 2.5% 03/01/41
N/A
FANNIE MAE POOL UMBS P#CA9358 2.50000000
3140QHMG7
97400.36000000
NS
USD
103472.82000000
0.007895296303
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#CA2327 4% 09/01/48
N/A
FANNIE MAE POOL UMBS P#CA2327 4.00000000
3140Q9SR5
163563.65000000
NS
USD
181157.40000000
0.013822870108
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#U91254 4% 04/01/43
N/A
FREDDIE MAC GOLD POOL P#U91254 4.00000000
3132HBH73
72354.73000000
NS
USD
79684.45000000
0.006080170073
Long
ABS-MBS
USGA
US
N
2
2043-04-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#SD0552 2% 03/01/51
N/A
FREDDIE MAC POOL UMBS P#SD0552 2.00000000
3132DMTH8
295762.55000000
NS
USD
300318.69000000
0.022915245212
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
ANTHEM INC 4.55% 03/01/48
8MYN82XMYQH89CTMTH67
ANTHEM INC REGD 4.55000000
036752AH6
133000.00000000
NS
USD
169663.25000000
0.012945830901
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.55000000
N
N
N
N
N
N
PETROLEOS MEXIC 6.75% 09/21/47
N/A
PETROLEOS MEXICANOS REGD MTN 6.75000000
71654QCC4
1170000.00000000
NS
USD
1034865.00000000
0.078963401303
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 05/24/27
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 1.58900000
404280CM9
715000.00000000
NS
USD
717708.97000000
0.054763414954
Long
DBT
CORP
GB
N
2
2027-05-24
Variable
1.58900000
N
N
N
N
N
N
P/O IMM EURO$ FUT MAR22 99.375
N/A
PUT OPTION ON IMM EURO$ FUT OPT MAR22 99.375 0.00000000
N/A
-210.00000000
NC
USD
-3937.50000000
-0.00030044343
N/A
DO
CORP
US
N
1
WESTERN
N/A
Put
Purchased
P/O IMM EURO$ FUT MAR22 99.375
0
-525000.00000000
USD
99.37500000
USD
2022-03-14
XXXX
6559.00000000
N
N
N
UMBS P#CB0101 2.5% 04/01/41
N/A
FANNIE MAE POOL UMBS P#CB0101 2.50000000
3140QKDF2
196436.50000000
NS
USD
208683.59000000
0.015923203570
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#ZM8774 5% 10/01/48
N/A
FREDDIE MAC POOL UMBS P#ZM8774 5.00000000
3131Y3XB7
26962.41000000
NS
USD
29508.33000000
0.002251576875
Long
ABS-MBS
USGA
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
CIM 2019-R4 A1 V/R 10/25/59
N/A
CIM TRUST 2019-R4 SER 2019-R4 CL A1 V/R REGD 144A P/P 3.00000000
12556FAA7
1276638.23000000
NS
USD
1299023.19000000
0.099119488487
Long
ABS-CBDO
CORP
US
Y
2
2059-10-25
Variable
3.00000000
N
N
N
N
N
N
MICROSOFT CORP 2.921% 03/17/52
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP REGD 2.92100000
594918CE2
18000.00000000
NS
USD
19334.14000000
0.001475254700
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
2.92100000
N
N
N
N
N
N
UMBS TBA 15YR 1.5% OCT 21
N/A
UMBS TBA 15YR 1.5% OCT 21 TO BE ANNOUNCED 1.50000000
01F0124A1
5390000.00000000
NS
USD
5471895.66000000
0.417522568536
Long
ABS-MBS
USGA
US
N
2
2036-10-01
Fixed
1.50000000
N
N
N
N
N
N
UMBS P#RA2358 4% 03/01/50
N/A
FREDDIE MAC POOL UMBS P#RA2358 4.00000000
3133KHTP1
43748.11000000
NS
USD
47318.74000000
0.003610566263
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AQ1641 4% 10/01/42
N/A
FANNIE MAE POOL UMBS P#AQ1641 4.00000000
3138MGZF5
24148.67000000
NS
USD
26587.92000000
0.002028740557
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
PMTCR 2019-3R A V/R 10/27/22
N/A
PMT CREDIT RISK TRANSFER TRUST 2019-3R SER 2019-3R CL A V/R REGD 144A P/P 2.78788000
69349MAA4
287062.38000000
NS
USD
288184.19000000
0.021989345319
Long
ABS-CBDO
CORP
US
Y
2
2022-10-27
Variable
2.78788000
N
N
N
N
N
N
FHR 3866 SA V/R 05/15/41
N/A
FREDDIE MAC REMICS SER 3866 CL SA V/R 5.85450000
3137AACP6
669484.70000000
NS
USD
115966.47000000
0.008848600453
Long
ABS-CBDO
CORP
US
N
2
2041-05-15
Variable
5.85450000
N
N
N
N
N
N
UMBS P#RA3175 3% 07/01/50
N/A
FREDDIE MAC POOL UMBS P#RA3175 3.00000000
3133KJQ47
473654.56000000
NS
USD
503658.26000000
0.038430683522
Long
ABS-MBS
USGA
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
CIM 2018-R6 A1 V/R 09/25/58
N/A
CIM TRUST 2018-R6 SER 2018-R6 CL A1 V/R REGD 144A P/P 1.17175000
12554EAA2
585087.69000000
NS
USD
581439.43000000
0.044365627443
Long
ABS-CBDO
CORP
US
Y
2
2058-09-25
Variable
1.17175000
N
N
N
N
N
N
KINDER MORGAN 5.625% 11/15/23
549300WR7IX8XE0TBO16
KINDER MORGAN INC REGD P/P 5.62500000
49456BAB7
480000.00000000
NS
USD
525665.23000000
0.040109883422
Long
DBT
CORP
US
Y
2
2023-11-15
Fixed
5.62500000
N
N
N
N
N
N
US CASH MGMT BILL ZCP 12/21/21
N/A
UNITED STATES CASH MANAGEMENT BILL ZCP 0.00000000
912796P78
1865000.00000000
PA
USD
1864758.49000000
0.142286842224
Long
STIV
UST
US
N
2
2021-12-21
Fixed
0.00000000
N
N
N
N
N
N
FGLMC P#G08844 5% 10/01/48
N/A
FREDDIE MAC GOLD POOL P#G08844 5.00000000
3128MJ5E6
99456.90000000
NS
USD
109311.01000000
0.008340768263
Long
ABS-MBS
USGA
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
RAYMOND JAMES F 4.95% 07/15/46
RGUZHJ05YTITL6D76949
RAYMOND JAMES FINANCIAL REGD 4.95000000
754730AF6
220000.00000000
NS
USD
288820.93000000
0.022037930551
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
4.95000000
N
N
N
N
N
N
BSARM 2007-3 1A1 V/R 05/25/47
N/A
BEAR STEARNS ARM TRUST 2007-3 SER 2007-3 CL 1A1 V/R REGD 3.15058900
073881AA2
133241.46000000
NS
USD
132535.15000000
0.010112841999
Long
ABS-CBDO
CORP
US
N
2
2047-05-01
Variable
3.15058900
N
N
N
N
N
N
GNR 2020-47 MI 3.5% 04/20/50
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-47 CL MI 3.50000000
38382EDP9
362391.34000000
NS
USD
53093.52000000
0.004051199843
Long
ABS-CBDO
CORP
US
N
2
2050-04-20
Fixed
3.50000000
N
N
N
N
N
N
FNR 2018-94 KD 3.5% 12/25/48
N/A
FANNIE MAE REMICS SER 2018-94 CL KD 3.50000000
3136B3WS5
182882.85000000
NS
USD
192100.82000000
0.014657886913
Long
ABS-CBDO
CORP
US
N
2
2048-12-25
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT 4.8% 03/01/50
N/A
CHARTER COMM OPT LLC/CAP REGD 4.80000000
161175BT0
330000.00000000
NS
USD
385909.96000000
0.029446123927
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
OCCIDENTAL PETR 6.95% 07/01/24
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR REGD 6.95000000
674599DB8
200000.00000000
NS
USD
225291.00000000
0.017190400335
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
6.95000000
N
N
N
N
N
N
ROYAL BANK OF C 1.15% 06/10/25
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA REGD MTN 1.15000000
78015K7H1
160000.00000000
NS
USD
161161.89000000
0.012297150831
Long
DBT
CORP
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
N
EXXON MOBIL CO 3.452% 04/15/51
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORPORATION REGD 3.45200000
30231GBM3
100000.00000000
NS
USD
110706.20000000
0.008447225577
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45200000
N
N
N
N
N
N
REPUBLIC OF CO 4.125% 02/22/42
N/A
REPUBLIC OF COLOMBIA REGD 4.12500000
195325EA9
230000.00000000
NS
USD
221306.00000000
0.016886332505
Long
DBT
USGA
CO
N
2
2042-02-22
Fixed
4.12500000
N
N
N
N
N
N
T-MOBILE USA IN 3.75% 04/15/27
N/A
T-MOBILE USA INC REGD SER WI 3.75000000
87264ABD6
2029000.00000000
NS
USD
2248629.11000000
0.171577358200
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
QATAR PETROLEU 3.125% 07/12/41
N/A
QATAR PETROLEUM REGD 144A P/P 3.12500000
74730DAE3
240000.00000000
NS
USD
247596.00000000
0.018892340845
Long
DBT
CORP
QA
Y
2
2041-07-12
Fixed
3.12500000
N
N
N
N
N
N
ANHEUSER-BUSCH INB 4% 04/13/28
N/A
ANHEUSER-BUSCH INBEV WOR REGD 4.00000000
035240AL4
140000.00000000
NS
USD
159489.65000000
0.012169553745
Long
DBT
CORP
US
N
2
2028-04-13
Fixed
4.00000000
N
N
N
N
N
N
AMERICAN TOWER C 3.8% 08/15/29
5493006ORUSIL88JOE18
AMERICAN TOWER CORP REGD 3.80000000
03027XAW0
134000.00000000
NS
USD
149666.99000000
0.011420054396
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.80000000
N
N
N
N
N
N
EOG RESOURCES 4.375% 04/15/30
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC REGD 4.37500000
26875PAU5
210000.00000000
NS
USD
248373.89000000
0.018951696259
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
MARS INC 3.2% 04/01/30
54930073HKEO6GZBSS03
MARS INC REGD 144A P/P 3.20000000
571676AB1
350000.00000000
NS
USD
387457.20000000
0.029564183126
Long
DBT
CORP
US
Y
2
2030-04-01
Fixed
3.20000000
N
N
N
N
N
N
T/L ASPLUNDH TREE 0% 09/07/27
N/A
T/L ASPLUNDH TREE EXPERT LLC REGD 0.00000000
04538FAD1
626593.36000000
NS
USD
623169.03000000
0.047549725032
Long
LON
CORP
US
N
2
2027-09-07
Variable
1.83463000
N
N
N
N
N
N
GNR 2019-12 QA 3.5% 09/20/48
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-12 CL QA 3.50000000
38381BQQ0
298984.13000000
NS
USD
314156.02000000
0.023971076303
Long
ABS-CBDO
CORP
US
N
2
2048-09-20
Fixed
3.50000000
N
N
N
N
N
N
PETROLEOS MEXI 6.625% 06/15/35
N/A
PETROLEOS MEXICANOS REGD 6.62500000
706451BG5
199000.00000000
NS
USD
193026.02000000
0.014728482535
Long
DBT
CORP
MX
N
2
2035-06-15
Fixed
6.62500000
N
N
N
N
N
N
ONCOR ELECTRIC D 3.7% 11/15/28
N/A
ONCOR ELECTRIC DELIVERY REGD 3.70000000
68233JBH6
168000.00000000
NS
USD
191120.07000000
0.014583052653
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.70000000
N
N
N
N
N
N
CITIGROUP INC 6.625% 6/15/32
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD 6.62500000
172967BL4
30000.00000000
NS
USD
41027.72000000
0.003130541973
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
6.62500000
N
N
N
N
N
N
NOMURA HOLDING 2.608% 07/14/31
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC REGD 2.60800000
65535HAX7
200000.00000000
NS
USD
202260.53000000
0.015433104219
Long
DBT
CORP
JP
N
2
2031-07-14
Fixed
2.60800000
N
N
N
N
N
N
UMBS TBA 30YR 2% SEP 21
N/A
UMBS TBA 30YR 2% SEP 21 TO BE ANNOUNCED 2.00000000
01F020695
5600000.00000000
NS
USD
5680062.53000000
0.433406344772
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
TRP 2021-1 A 2.07% 06/17/27
N/A
TRP 2021 LLC SER 2021-1 CL A REGD 144A P/P 2.07000000
87267CAA6
329098.89000000
NS
USD
330402.52000000
0.025210734519
Long
ABS-CBDO
CORP
US
Y
2
2051-06-19
Fixed
2.07000000
N
N
N
N
N
N
CVS HEALTH CORP 5.05% 03/25/48
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 5.05000000
126650CZ1
1375000.00000000
NS
USD
1820913.79000000
0.138941355962
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
GNMA P#BS8439 3.5% 05/15/50
N/A
GINNIE MAE I POOL P#BS8439 3.50000000
3617MKLU1
80153.32000000
NS
USD
85462.85000000
0.006521079871
Long
ABS-MBS
USGSE
US
N
2
2050-05-15
Fixed
3.50000000
N
N
N
N
N
N
REPUBLIC OF CHI 3.24% 02/06/28
N/A
REPUBLIC OF CHILE REGD 3.24000000
168863CF3
100000.00000000
NS
USD
108846.50000000
0.008305324713
Long
DBT
USGA
CL
N
2
2028-02-06
Fixed
3.24000000
N
N
N
N
N
N
FED REPUBLIC O 4.625% 01/13/28
N/A
FED REPUBLIC OF BRAZIL REGD 4.62500000
105756BZ2
300000.00000000
NS
USD
324376.50000000
0.024750930549
Long
DBT
USGA
BR
N
2
2028-01-13
Fixed
4.62500000
N
N
N
N
N
N
DRSLF 2013-28A A V/R 08/15/30
N/A
DRYDEN XXVIII SENIOR LOAN FUND SER 2013-28A CL A1LR V/R REGD 144A P/P 1.32475000
26251BAL0
700000.00000000
NS
USD
701067.50000000
0.053493619305
Long
ABS-CBDO
CORP
KY
Y
2
2030-08-15
Variable
1.32475000
N
N
N
N
N
N
AMERICAN INTL GR 2.5% 06/30/25
ODVCVCQG2BP6VHV36M30
AMERICAN INTL GROUP REGD 2.50000000
026874DQ7
90000.00000000
NS
USD
94683.96000000
0.007224679093
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
2.50000000
N
N
N
N
N
N
T/L PHOENIX GUARANT 0% 3/5/26
N/A
T/L PHOENIX GUARANTOR INC (AKA BRIGHTSPRING) REGD 0.00000000
N/A
349125.00000000
NS
USD
347597.58000000
0.026522770797
Long
LON
CORP
US
N
2
2026-03-05
Variable
3.59550000
N
N
N
N
N
N
FIRSTENERGY CORP 4.4% 07/15/27
549300SVYJS666PQJH88
FIRSTENERGY CORP REGD SER B 4.40000000
337932AH0
310000.00000000
NS
USD
348295.21000000
0.026576002125
Long
DBT
CORP
US
N
2
2027-07-15
Variable
4.40000000
N
N
N
N
N
N
LUMEN TECHNOLO 5.375% 06/15/29
8M3THTGWLTYZVE6BBY25
LUMEN TECHNOLOGIES INC REGD 144A P/P 5.37500000
550241AA1
430000.00000000
NS
USD
442358.20000000
0.033753299286
Long
DBT
CORP
US
Y
2
2029-06-15
Fixed
5.37500000
N
N
N
N
N
N
CLEARWATER PAPE 4.75% 08/15/28
549300HCVV19GXN4P292
CLEARWATER PAPER CORP REGD 144A P/P 4.75000000
18538RAJ2
215000.00000000
NS
USD
221009.25000000
0.016863689562
Long
DBT
CORP
US
Y
2
2028-08-15
Fixed
4.75000000
N
N
N
N
N
N
INTEL CORP 3.7% 07/29/25
KNX4USFCNGPY45LOCE31
INTEL CORP REGD 3.70000000
458140AS9
70000.00000000
NS
USD
77162.61000000
0.005887745878
Long
DBT
CORP
US
N
2
2025-07-29
Fixed
3.70000000
N
N
N
N
N
N
JOHNSON & JOHNS 0.95% 09/01/27
549300G0CFPGEF6X2043
JOHNSON & JOHNSON REGD 0.95000000
478160CP7
210000.00000000
NS
USD
208141.08000000
0.015881808378
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
0.95000000
N
N
N
N
N
N
NIKE INC 3.375% 03/27/50
787RXPR0UX0O0XUXPZ81
NIKE INC REGD 3.37500000
654106AM5
220000.00000000
NS
USD
252680.90000000
0.019280334447
Long
DBT
CORP
US
N
2
2050-03-27
Fixed
3.37500000
N
N
N
N
N
N
BAYER US FINAN 4.875% 06/25/48
N/A
BAYER US FINANCE II LLC REGD 144A P/P 4.87500000
07274NAQ6
670000.00000000
NS
USD
849220.02000000
0.064798114955
Long
DBT
CORP
US
Y
2
2048-06-25
Fixed
4.87500000
N
N
N
N
N
N
UMBS P#310088 5% 06/01/38
N/A
FANNIE MAE POOL UMBS P#310088 5.00000000
31374CND4
40769.58000000
NS
USD
46541.47000000
0.003551258157
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.00000000
N
N
N
N
N
N
DEUTSCHE BANK 1.686% 03/19/26
N/A
DEUTSCHE BANK NY REGD 1.68600000
25160PAF4
846000.00000000
NS
USD
857439.20000000
0.065425263819
Long
DBT
CORP
US
N
2
2026-03-19
Fixed
1.68600000
N
N
N
N
N
N
DIAMOND SPORTS 5.375% 08/15/26
N/A
DIAMOND SPORTS GR/DIAMON REGD 144A P/P 5.37500000
25277LAA4
600000.00000000
NS
USD
398670.00000000
0.030419754458
Long
DBT
CORP
US
Y
2
2026-08-15
Fixed
5.37500000
N
N
N
N
N
N
T-MOBILE USA INC 3% 02/15/41
N/A
T-MOBILE USA INC REGD SER WI 3.00000000
87264ABL8
60000.00000000
NS
USD
59675.40000000
0.004553417651
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
3.00000000
N
N
N
N
N
N
GOLDMAN SACHS G 4.75% 10/21/45
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD 4.75000000
38141GVS0
180000.00000000
NS
USD
237694.04000000
0.018136790661
Long
DBT
CORP
US
N
2
2045-10-21
Fixed
4.75000000
N
N
N
N
N
N
CHASE 2007-A1 5A V/R 02/25/37
N/A
CHASE MORTGAGE FINANCE TRUST SERIES 2007-A1 SER 2007-A1 CL 5A1 V/R REGD 2.50853300
161630AQ1
50108.45000000
NS
USD
50685.30000000
0.003867445206
Long
ABS-CBDO
CORP
US
N
2
2037-02-25
Variable
2.50853300
N
N
N
N
N
N
MILEAGE PLUS HLD 6.5% 06/20/27
N/A
MILEAGE PLUS HLDINGS LLC REGD 144A P/P 6.50000000
599191AA1
170000.00000000
NS
USD
184892.00000000
0.014107831643
Long
DBT
CORP
US
Y
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#AY6181 3.5% 04/01/45
N/A
FANNIE MAE POOL UMBS P#AY6181 3.50000000
3138YK2P7
45071.75000000
NS
USD
48590.65000000
0.003707616931
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#Q00179 5% 04/01/41
N/A
FREDDIE MAC GOLD POOL P#Q00179 5.00000000
3132GDFU1
161126.29000000
NS
USD
184509.57000000
0.014078651051
Long
ABS-MBS
USGA
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
PROSUS NV 3.68% 01/21/30
N/A
PROSUS NV REGD 144A P/P 3.68000000
74365PAA6
200000.00000000
NS
USD
208444.72000000
0.015904977050
Long
DBT
CORP
NL
Y
2
2030-01-21
Fixed
3.68000000
N
N
N
N
N
N
MONDELEZ INTERNA 1.5% 05/04/25
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL REGD 1.50000000
609207AU9
330000.00000000
NS
USD
336258.72000000
0.025657580697
Long
DBT
CORP
US
N
2
2025-05-04
Fixed
1.50000000
N
N
N
N
N
N
ENERGY TRANSFER 5.25% 04/15/29
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD 5.25000000
29278NAG8
438000.00000000
NS
USD
516516.65000000
0.039411818462
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
SPIRIT LOYALTY KY 8% 09/20/25
N/A
SPIRIT LOYALTY KY LTD/IP REGD 144A P/P 8.00000000
84859BAA9
95743.00000000
NS
USD
108548.63000000
0.008282596311
Long
DBT
CORP
KY
Y
2
2025-09-20
Fixed
8.00000000
N
N
N
N
N
N
FGLMC P#A60881 5.5% 05/01/37
N/A
FREDDIE MAC GOLD POOL P#A60881 5.50000000
3128KQ6S0
10534.33000000
NS
USD
11780.93000000
0.000898921408
Long
ABS-MBS
USGA
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
BANK OF NY MELLO 3.4% 01/29/28
WFLLPEPC7FZXENRZV188
BANK OF NY MELLON CORP REGD MTN 3.40000000
06406RAF4
24000.00000000
NS
USD
26819.90000000
0.002046441348
Long
DBT
CORP
US
N
2
2028-01-29
Fixed
3.40000000
N
N
N
N
N
N
ENERGY TRANSFER 4.95% 06/15/28
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD SER 10Y 4.95000000
29278NAF0
33000.00000000
NS
USD
38260.21000000
0.002919372397
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
HALLIBURTON CO 4.85% 11/15/35
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO REGD 4.85000000
406216BJ9
20000.00000000
NS
USD
23703.17000000
0.001808625207
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
4.85000000
N
N
N
N
N
N
PHILIP MORRIS IN 2.5% 11/02/22
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTL INC REGD SER 5YR 2.50000000
718172CD9
110000.00000000
NS
USD
112594.64000000
0.008591319392
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.50000000
N
N
N
N
N
N
BOEING CO 3.25% 02/01/35
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 3.25000000
097023CP8
440000.00000000
NS
USD
450638.75000000
0.034385130871
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
WASTE MANAGEMENT I 2% 06/01/29
549300YX8JIID70NFS41
WASTE MANAGEMENT INC REGD 2.00000000
94106LBQ1
98000.00000000
NS
USD
99897.83000000
0.007622513506
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
2.00000000
N
N
N
N
N
N
UMBS P#AL0054 4.5% 02/01/41
N/A
FANNIE MAE POOL UMBS P#AL0054 4.50000000
3138EGBY9
120248.06000000
NS
USD
134383.71000000
0.010253892847
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
MSSTR 2005-1 4A1 V/R 10/25/32
N/A
MASTR SEASONED SECURITIZATION TRUST 2005-1 SER 2005-1 CL 4A1 V/R REGD 2.42226300
55265WCK7
194068.97000000
NS
USD
194012.59000000
0.014803760878
Long
ABS-CBDO
CORP
US
N
2
2032-10-01
Variable
2.42226300
N
N
N
N
N
N
UMBS P#BF0183 4% 01/01/57
N/A
FANNIE MAE POOL UMBS P#BF0183 4.00000000
3140FXFZ0
56723.73000000
NS
USD
64075.73000000
0.004889176445
Long
ABS-MBS
USGSE
US
N
2
2057-01-01
Fixed
4.00000000
N
N
N
N
N
N
COMMONSPIRIT HE 3.91% 10/01/50
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH REGD 3.91000000
20268JAG8
95000.00000000
NS
USD
106545.83000000
0.008129776474
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
3.91000000
N
N
N
N
N
N
GNMA P#745057 5% 11/15/39
N/A
GINNIE MAE I POOL P#745057 5.00000000
3620C0WS3
2524.94000000
NS
USD
2902.46000000
0.000221466678
Long
ABS-MBS
USGSE
US
N
2
2039-11-15
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#G18691 3% 06/01/33
N/A
FREDDIE MAC GOLD POOL P#G18691 3.00000000
3128MMXV0
42214.47000000
NS
USD
44608.03000000
0.003403730703
Long
ABS-MBS
USGA
US
N
2
2033-06-01
Fixed
3.00000000
N
N
N
N
N
N
UNITED PARCEL S 4.45% 04/01/30
D01LMJZU09ULLNCY6Z23
UNITED PARCEL SERVICE REGD 4.45000000
911312BY1
43000.00000000
NS
USD
52040.67000000
0.003970864131
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.45000000
N
N
N
N
N
N
NORTHROP GRUMMA 4.03% 10/15/47
RIMU48P07456QXSO0R61
NORTHROP GRUMMAN CORP REGD 4.03000000
666807BP6
121000.00000000
NS
USD
145110.38000000
0.011072370955
Long
DBT
CORP
US
N
2
2047-10-15
Fixed
4.03000000
N
N
N
N
N
N
NORFOLK SOUTHERN 4.8% 08/15/43
54930036C8MWP850MI84
NORFOLK SOUTHERN CORP REGD 4.80000000
655844BN7
33000.00000000
NS
USD
41021.35000000
0.003130055922
Long
DBT
CORP
US
N
2
2043-08-15
Fixed
4.80000000
N
N
N
N
N
N
N/A
N/A
MXN/USD FWD 20211019 STAR USD
N/A
1.00000000
NC
N/A
-2407.66000000
-0.00018371190
N/A
DFE
N/A
N
2
CITIBANK N.A.
N/A
-62442905.24000000
MXN
3086276.80000000
USD
2021-10-19
-2407.66000000
N
N
N
UMBS P#MA4402 1.5% 08/01/36
N/A
FANNIE MAE POOL UMBS P#MA4402 1.50000000
31418D3L4
2097508.27000000
NS
USD
2133082.22000000
0.162760772999
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
1.50000000
N
N
N
N
N
N
UMBS P#QC1352 2% 04/01/51
N/A
FREDDIE MAC POOL UMBS P#QC1352 2.00000000
3133AKQD5
98381.76000000
NS
USD
99868.66000000
0.007620287744
Long
ABS-MBS
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
GNMA II P#MA5530 5% 10/20/48
N/A
GINNIE MAE II POOL P#MA5530 5.00000000
36179UEB4
37911.99000000
NS
USD
40870.25000000
0.003118526524
Long
ABS-MBS
USGSE
US
N
2
2048-10-20
Fixed
5.00000000
N
N
N
N
N
N
JPMCC 2012-HSB 4.02% 07/05/22
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES SER 2012-HSBC CL C REGD 144A P/P 4.02060000
46637YAJ8
460000.00000000
NS
USD
470072.02000000
0.035867949497
Long
ABS-CBDO
CORP
US
Y
2
2032-07-05
Fixed
4.02060000
N
N
N
N
N
N
UMBS P#AH6438 3.5% 02/01/26
N/A
FANNIE MAE POOL UMBS P#AH6438 3.50000000
3138A8EL6
8673.39000000
NS
USD
9263.69000000
0.000706848208
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
3.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT 4% 11/13/30
N/A
FORD MOTOR CREDIT CO LLC REGD 4.00000000
345397B36
200000.00000000
NS
USD
211803.00000000
0.016161224204
Long
DBT
CORP
US
N
2
2030-11-13
Fixed
4.00000000
N
N
N
N
N
N
IPT 2018-INDP 3.763% 07/10/25
N/A
INDEPENDENCE PLAZA TRUST 2018-INDP SER 2018-INDP CL A REGD 144A P/P 3.76300000
45378YAA2
710000.00000000
NS
USD
752188.48000000
0.057394308244
Long
ABS-CBDO
CORP
US
Y
2
2035-07-10
Fixed
3.76300000
N
N
N
N
N
N
T/L CITYCENTER HOL 0% 04/18/24
N/A
T/L CITYCENTER HOLDINGS LLC REGD 0.00000000
17875LAL3
159082.85000000
NS
USD
158902.29000000
0.012124736360
Long
LON
CORP
US
N
2
2024-04-18
Variable
3.00000000
N
N
N
N
N
N
TENCENT HOLDING 3.68% 04/22/41
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD REGD 144A P/P MTN 3.68000000
88032WBB1
870000.00000000
NS
USD
918631.77000000
0.070094446236
Long
DBT
CORP
CN
Y
2
2041-04-22
Fixed
3.68000000
N
N
N
N
N
N
ANHEUSER-BUSCH 5.55% 01/23/49
N/A
ANHEUSER-BUSCH INBEV WOR REGD 5.55000000
03523TBV9
270000.00000000
NS
USD
375662.36000000
0.028664200342
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
MANITOBA (PROVI 3.05% 05/14/24
5493003QILFOB3JRKE30
MANITOBA (PROVINCE OF) REGD 3.05000000
563469UD5
152000.00000000
NS
USD
162624.69000000
0.012408766996
Long
DBT
USGA
CA
N
2
2024-05-14
Fixed
3.05000000
N
N
N
N
N
N
T/L SCIENTIFIC GAM 0% 08/14/24
N/A
T/L SCIENTIFIC GAMES INTERNATIONAL INC REGD 0.00000000
80875AAP6
315575.84000000
NS
USD
313226.38000000
0.023900141895
Long
LON
CORP
US
N
2
2024-08-14
Variable
2.83463000
N
N
N
N
N
N
CGCMT 2017-P7 3.509% 09/14/26
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P7 SER 2017-P7 CL AAB REGD 3.50900000
17325HBQ6
355000.00000000
NS
USD
380997.08000000
0.029071255983
Long
ABS-CBDO
CORP
US
N
2
2050-04-14
Fixed
3.50900000
N
N
N
N
N
N
UMBS P#BL2454 3.16% 05/01/29
N/A
FANNIE MAE POOL UMBS P#BL2454 3.16000000
3140HTWQ8
77671.63000000
NS
USD
86976.12000000
0.006636547054
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.16000000
N
N
N
N
N
N
UMBS P#AS4752 2.5% 04/01/30
N/A
FANNIE MAE POOL UMBS P#AS4752 2.50000000
3138WEH69
66273.32000000
NS
USD
69985.93000000
0.005340142990
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
2.50000000
N
N
N
N
N
N
MIDAMERICAN ENE 3.65% 04/15/29
N/A
MIDAMERICAN ENERGY CO REGD 3.65000000
595620AT2
100000.00000000
NS
USD
113674.75000000
0.008673735127
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.65000000
N
N
N
N
N
N
APPLE INC 3.85% 08/04/46
HWUPKR0MPOU8FGXBT394
APPLE INC REGD 3.85000000
037833CD0
80000.00000000
NS
USD
95749.64000000
0.007305993774
Long
DBT
CORP
US
N
2
2046-08-04
Fixed
3.85000000
N
N
N
N
N
N
CON EDISON CO O 3.35% 04/01/30
N/A
CON EDISON CO OF NY INC REGD SER 20A 3.35000000
209111FX6
60000.00000000
NS
USD
66443.94000000
0.005069878195
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.35000000
N
N
N
N
N
N
GNMA P#659726 5% 11/15/36
N/A
GINNIE MAE I POOL P#659726 5.00000000
36294T4K8
9336.36000000
NS
USD
10484.93000000
0.000800032598
Long
ABS-MBS
USGSE
US
N
2
2036-11-15
Fixed
5.00000000
N
N
N
N
N
N
WESTROCK RKT LLC 4% 03/01/23
N/A
WESTROCK RKT LLC REGD SER WI 4.00000000
772739AQ1
20000.00000000
NS
USD
20858.83000000
0.001591593264
Long
DBT
CORP
US
N
2
2023-03-01
Fixed
4.00000000
N
N
N
N
N
N
GNR 2008-51 GS V/R 06/16/38
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2008-51 CL GS V/R 6.13450000
38375QZ44
1056286.12000000
NS
USD
204960.39000000
0.015639111890
Long
ABS-CBDO
CORP
US
N
2
2038-06-16
Variable
6.13450000
N
N
N
N
N
N
UMBS P#MA3521 4% 11/01/48
N/A
FANNIE MAE POOL UMBS P#MA3521 4.00000000
31418C4F8
118209.49000000
NS
USD
126641.58000000
0.009663144374
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC V/R /PERP/
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD V/R /PERP/ SER P 5.95000000
172967JM4
220000.00000000
NS
USD
242000.00000000
0.018465348731
Long
DBT
CORP
US
N
2
2169-11-15
Variable
5.95000000
N
N
N
N
N
N
COX COMMUNICATI 3.15% 08/15/24
N/A
COX COMMUNICATIONS INC REGD 144A P/P 3.15000000
224044CH8
82000.00000000
NS
USD
87221.73000000
0.006655287857
Long
DBT
CORP
US
Y
2
2024-08-15
Fixed
3.15000000
N
N
N
N
N
N
FORD MOTOR COMPA 8.5% 04/21/23
20S05OYHG0MQM4VUIC57
FORD MOTOR COMPANY REGD 8.50000000
345370CV0
40000.00000000
NS
USD
44300.00000000
0.003380227061
Long
DBT
CORP
US
N
2
2023-04-21
Fixed
8.50000000
N
N
N
N
N
N
GNMA II P#MA5019 3.5% 02/20/48
N/A
GINNIE MAE II POOL P#MA5019 3.50000000
36179TSG1
540432.37000000
NS
USD
572726.62000000
0.043700813083
Long
ABS-MBS
USGSE
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
KRAFT HEINZ FOODS 3% 06/01/26
N/A
KRAFT HEINZ FOODS CO REGD 3.00000000
50077LAD8
10000.00000000
NS
USD
10610.13000000
0.000809585746
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#MA0776 4.5% 06/01/31
N/A
FANNIE MAE POOL UMBS P#MA0776 4.50000000
31417Y2J5
17570.93000000
NS
USD
19179.60000000
0.001463462820
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA II P#MA4836 3% 11/20/47
N/A
GINNIE MAE II POOL P#MA4836 3.00000000
36179TLR4
499782.44000000
NS
USD
526720.22000000
0.040190382423
Long
ABS-MBS
USGSE
US
N
2
2047-11-20
Fixed
3.00000000
N
N
N
N
N
N
JPMDB 2017-C7 3.409% 08/15/27
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C7 SER 2017-C7 CL A5 REGD 3.40920000
46648KAU0
190000.00000000
NS
USD
211196.48000000
0.016114944851
Long
ABS-CBDO
CORP
US
N
2
2050-10-15
Fixed
3.40920000
N
N
N
N
N
N
OCCIDENTAL PETRO 4.2% 03/15/48
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR REGD 4.20000000
674599CN3
560000.00000000
NS
USD
539680.40000000
0.041179284255
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.20000000
N
N
N
N
N
N
FGLMC P#A81872 6% 09/01/38
N/A
FREDDIE MAC GOLD POOL P#A81872 6.00000000
312928CH5
214.54000000
NS
USD
241.35000000
0.000018415751
Long
ABS-MBS
USGA
US
N
2
2038-09-01
Fixed
6.00000000
N
N
N
N
N
N
CAS 2018-C06 1M2 V/R 03/25/31
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C06 CL 1M2 V/R REGD 2.08438000
30711X3H5
557347.69000000
NS
USD
561539.95000000
0.042847235552
Long
ABS-CBDO
CORP
US
N
2
2031-03-25
Variable
2.08438000
N
N
N
N
N
N
T/L BERRY GLOBAL INC 0% 7/1/26
N/A
T/L BERRY GLOBAL INC REGD 0.00000000
N/A
226081.79000000
NS
USD
224386.18000000
0.017121359769
Long
LON
CORP
US
N
2
2026-07-01
Variable
1.85625000
N
N
N
N
N
N
COCA-COLA CO/T 2.125% 09/06/29
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE REGD 2.12500000
191216CM0
74000.00000000
NS
USD
76976.59000000
0.005873551977
Long
DBT
CORP
US
N
2
2029-09-06
Fixed
2.12500000
N
N
N
N
N
N
BOEING CO 5.93% 05/01/60
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 5.93000000
097023CX1
10000.00000000
NS
USD
13895.00000000
0.001060231490
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
COMM 2013-CR12 B V/R 11/10/23
N/A
COMM 2013-CCRE12 MORTGAGE TRUST SER 2013-CR12 CL B V/R REGD 4.76200000
12591KAH8
40000.00000000
NS
USD
42194.24000000
0.003219551058
Long
ABS-CBDO
CORP
US
N
2
2046-10-10
Variable
4.76200000
N
N
N
N
N
N
AERCAP IRELAND 4.875% 01/16/24
N/A
AERCAP IRELAND CAP/GLOBA REGD 4.87500000
00774MAK1
280000.00000000
NS
USD
304045.53000000
0.023199614635
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
4.87500000
N
N
N
N
N
N
GNMA II P#MA5467 4.5% 09/20/48
N/A
GINNIE MAE II POOL P#MA5467 4.50000000
36179UCC4
346983.82000000
NS
USD
371479.77000000
0.028345055784
Long
ABS-MBS
USGSE
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#CA2047 4.5% 07/01/48
N/A
FANNIE MAE POOL UMBS P#CA2047 4.50000000
3140Q9HZ9
115448.35000000
NS
USD
127516.49000000
0.009729902714
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
REYNOLDS AMERIC 5.85% 08/15/45
N/A
REYNOLDS AMERICAN INC REGD 5.85000000
761713BB1
1131000.00000000
NS
USD
1399890.40000000
0.106815968687
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
SANTANDER UK GROU V/R 08/21/26
N/A
SANTANDER UK GROUP HLDGS REGD V/R 1.53200000
80281LAM7
666000.00000000
NS
USD
669533.21000000
0.051087455413
Long
DBT
CORP
GB
N
2
2026-08-21
Variable
1.53200000
N
N
N
N
N
N
NXP BV/NXP FDG/N 2.5% 05/11/31
N/A
NXP BV/NXP FDG/NXP USA REGD 144A P/P 2.50000000
62954HAG3
218000.00000000
NS
USD
225413.36000000
0.017199736781
Long
DBT
CORP
NL
Y
2
2031-05-11
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#AH0356 3.5% 02/01/26
N/A
FANNIE MAE POOL UMBS P#AH0356 3.50000000
3138A1ME8
55269.37000000
NS
USD
59041.33000000
0.004505036148
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
3.50000000
N
N
N
N
N
N
HEAT 2005-6 M5 V/R 12/25/35
N/A
HOME EQUITY ASSET TRUST 2005-6 SER 2005-6 CL M5 V/R REGD 1.02938000
437084NG7
780000.00000000
NS
USD
778362.70000000
0.059391482212
Long
ABS-CBDO
CORP
US
N
2
2035-12-25
Variable
1.02938000
N
N
N
N
N
N
REPUBLIC OF PA 2.739% 01/29/33
N/A
REPUBLIC OF PARAGUAY REGD 144A P/P 2.73900000
699149AK6
200000.00000000
NS
USD
199250.00000000
0.015203391466
Long
DBT
USGA
PY
Y
2
2033-01-29
Fixed
2.73900000
N
N
N
N
N
N
UMBS P#AL3429 4.5% 06/01/41
N/A
FANNIE MAE POOL UMBS P#AL3429 4.50000000
3138EKY33
26105.26000000
NS
USD
29137.91000000
0.002223312683
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA II P#MA5596 4.5% 11/20/48
N/A
GINNIE MAE II POOL P#MA5596 4.50000000
36179UGD8
52297.98000000
NS
USD
55824.46000000
0.004259579015
Long
ABS-MBS
USGSE
US
N
2
2048-11-20
Fixed
4.50000000
N
N
N
N
N
N
CHEVRON CORP 2.954% 05/16/26
N/A
CHEVRON CORP REGD 2.95400000
166764BL3
230000.00000000
NS
USD
249468.29000000
0.019035202365
Long
DBT
CORP
US
N
2
2026-05-16
Fixed
2.95400000
N
N
N
N
N
N
UNION PACIFIC C 2.15% 02/05/27
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP REGD 2.15000000
907818FJ2
60000.00000000
NS
USD
62670.33000000
0.004781940076
Long
DBT
CORP
US
N
2
2027-02-05
Fixed
2.15000000
N
N
N
N
N
N
UMBS P#RA4175 2.5% 12/01/50
N/A
FREDDIE MAC POOL UMBS P#RA4175 2.50000000
3133KKT82
379285.90000000
NS
USD
398055.90000000
0.030372896728
Long
ABS-MBS
USGA
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
US TREAS BDS 1.125% 08/15/40
N/A
UNITED STATES TREASURY BOND 1.12500000
912810SQ2
3815000.00000000
NS
USD
3386110.53000000
0.258370709838
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
T-MOBILE USA IN 2.05% 02/15/28
N/A
T-MOBILE USA INC REGD SER WI 2.05000000
87264ACA1
30000.00000000
NS
USD
30581.85000000
0.002333489773
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
BRISTOL-MYERS SQ 2.6% 05/16/22
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO REGD 2.60000000
110122CL0
190000.00000000
NS
USD
193278.54000000
0.014747750592
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
TIME WARNER CABL 5.5% 09/01/41
N/A
TIME WARNER CABLE LLC REGD 5.50000000
88732JBB3
490000.00000000
NS
USD
612685.58000000
0.046749805362
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
AT&T INC 4.5% 05/15/35
549300Z40J86GGSTL398
AT&T INC REGD 4.50000000
00206RCP5
501000.00000000
NS
USD
595022.91000000
0.045402088994
Long
DBT
CORP
US
N
2
2035-05-15
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 01/23/49
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 3.89700000
46647PAN6
49000.00000000
NS
USD
57651.53000000
0.004398990108
Long
DBT
CORP
US
N
2
2049-01-23
Variable
3.89700000
N
N
N
N
N
N
UMBS P#AS8359 3% 11/01/46
N/A
FANNIE MAE POOL UMBS P#AS8359 3.00000000
3138WJJD1
293655.58000000
NS
USD
310124.18000000
0.023663434437
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
TEACHERS INSUR & 4.9% 09/15/44
N/A
TEACHERS INSUR & ANNUITY REGD P/P 4.90000000
878091BD8
348000.00000000
NS
USD
458824.32000000
0.035009715187
Long
DBT
CORP
US
Y
2
2044-09-15
Fixed
4.90000000
N
N
N
N
N
N
FHLMC P#840698 V/R 03/01/47
N/A
FREDDIE MAC NON GOLD POOL P#840698 V/R 2.09000000
31347AX33
147543.86000000
NS
USD
152927.26000000
0.011668823084
Long
ABS-MBS
USGA
US
N
2
2047-03-01
Variable
2.09000000
N
N
N
N
N
N
AFC 1999-2 2A V/R 06/25/29
N/A
AFC HOME EQUITY LOAN TRUST SER 1999-2 CL 2A V/R REGD 0.73438000
00105HEA0
78563.23000000
NS
USD
64585.80000000
0.004928096364
Long
ABS-CBDO
CORP
US
N
2
2029-06-25
Variable
0.73438000
N
N
N
N
N
N
GNR 2020-160 IH 2.5% 10/20/50
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-160 CL IH 2.50000000
38382KG64
96748.52000000
NS
USD
13074.49000000
0.000997624038
Long
ABS-CBDO
CORP
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
GNMA II P#785219 2% 12/20/50
N/A
GINNIE MAE II POOL P#785219 2.00000000
3622AAVL5
191912.20000000
NS
USD
196167.59000000
0.014968194046
Long
ABS-MBS
USGSE
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
ACTIVISION BLIZZ 2.5% 09/15/50
549300TPQQDBP9GNOF40
ACTIVISION BLIZZARD REGD 2.50000000
00507VAQ2
144000.00000000
NS
USD
128619.93000000
0.009814098600
Long
DBT
CORP
US
N
2
2050-09-15
Fixed
2.50000000
N
N
N
N
N
N
THERMO FISHER 4.497% 03/25/30
HCHV7422L5HDJZCRFL38
THERMO FISHER SCIENTIFIC REGD 4.49700000
883556CG5
403000.00000000
NS
USD
481485.49000000
0.036738832570
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
4.49700000
N
N
N
N
N
N
UMBS P#ZS8673 3% 10/01/32
N/A
FREDDIE MAC POOL UMBS P#ZS8673 3.00000000
3132A9T64
34656.24000000
NS
USD
36720.61000000
0.002801896154
Long
ABS-MBS
USGA
US
N
2
2032-10-01
Fixed
3.00000000
N
N
N
N
N
N
CVS HEALTH CORP 3% 08/15/26
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 3.00000000
126650DF4
180000.00000000
NS
USD
194445.74000000
0.014836811564
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#BO2252 3.5% 10/01/49
N/A
FANNIE MAE POOL UMBS P#BO2252 3.50000000
3140JWQE3
417257.98000000
NS
USD
449763.08000000
0.034318314540
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
GLP CAPITAL LP / F 4% 01/15/30
N/A
GLP CAPITAL LP / FIN II REGD 4.00000000
361841AP4
467000.00000000
NS
USD
504937.91000000
0.038528324777
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS G 6.75% 10/01/37
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD 6.75000000
38141GFD1
460000.00000000
NS
USD
671208.28000000
0.051215268437
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
6.75000000
N
N
N
N
N
N
UMBS P#MA3211 4% 12/01/47
N/A
FANNIE MAE POOL UMBS P#MA3211 4.00000000
31418CR97
28335.83000000
NS
USD
30566.02000000
0.002332281895
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
SHELL INTERNAT 3.875% 11/13/28
N/A
SHELL INTERNATIONAL FIN REGD 3.87500000
822582CB6
300000.00000000
NS
USD
344923.89000000
0.026318759978
Long
DBT
CORP
NL
N
2
2028-11-13
Fixed
3.87500000
N
N
N
N
N
N
BANK OF AMERICA 4.45% 03/03/26
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD MTN 4.45000000
06051GFU8
196000.00000000
NS
USD
221224.55000000
0.016880117618
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
4.45000000
N
N
N
N
N
N
GNMA P#604841 6% 12/15/33
N/A
GINNIE MAE I POOL P#604841 6.00000000
36200M5A7
4604.82000000
NS
USD
5168.89000000
0.000394402299
Long
ABS-MBS
USGSE
US
N
2
2033-12-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#BC0853 3% 04/01/31
N/A
FANNIE MAE POOL UMBS P#BC0853 3.00000000
3140EU5P0
205776.65000000
NS
USD
218774.05000000
0.016693136887
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
3.00000000
N
N
N
N
N
N
ORACLE CORP 2.8% 04/01/27
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP REGD 2.80000000
68389XBU8
762000.00000000
NS
USD
813498.60000000
0.062072460090
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
2.80000000
N
N
N
N
N
N
T/L REYNOLDS CONS ZCP 02/04/27
549300DWNZYMOSR1X343
T/L REYNOLDS CONSUMER PRODUC INC REGD 0.00000000
76171JAB7
398802.03000000
NS
USD
396594.66000000
0.030261399595
Long
LON
CORP
US
N
2
2027-02-04
Variable
1.83463000
N
N
N
N
N
N
TELEFONICA EMI 4.103% 03/08/27
N/A
TELEFONICA EMISIONES SAU REGD 4.10300000
87938WAT0
330000.00000000
NS
USD
372745.30000000
0.028441619639
Long
DBT
CORP
ES
N
2
2027-03-08
Fixed
4.10300000
N
N
N
N
N
N
QATAR PETROLEUM 3.3% 07/12/51
N/A
QATAR PETROLEUM REGD P/P 3.30000000
74730DAD5
250000.00000000
NS
USD
258762.50000000
0.019744379343
Long
DBT
CORP
QA
Y
2
2051-07-12
Fixed
3.30000000
N
N
N
N
N
N
UMBS P#BT3290 2.5% 08/01/51
N/A
FANNIE MAE POOL UMBS P#BT3290 2.50000000
3140LRUQ9
99903.84000000
NS
USD
105074.79000000
0.008017531571
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA II P#785220 2% 12/20/50
N/A
GINNIE MAE II POOL P#785220 2.00000000
3622AAVM3
97069.95000000
NS
USD
99340.59000000
0.007579994370
Long
ABS-MBS
USGSE
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
CHEVRON USA INC 5.25% 11/15/43
N/A
CHEVRON USA INC REGD 5.25000000
166756AU0
110000.00000000
NS
USD
151551.58000000
0.011563854444
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
5.25000000
N
N
N
N
N
N
FHR 4210 Z 3% 05/15/43
N/A
FREDDIE MAC REMICS SER 4210 CL Z 3.00000000
3137B1W73
150424.92000000
NS
USD
159639.20000000
0.012180964873
Long
ABS-CBDO
CORP
US
N
2
2043-05-15
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#AD8529 4.5% 08/01/40
N/A
FANNIE MAE POOL UMBS P#AD8529 4.50000000
31418WPP9
125174.50000000
NS
USD
139889.65000000
0.010674013104
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
CWHEL 2004-B 2A V/R 02/15/29
N/A
CWABS REVOLVING HOME EQUITY LOAN TRUST SERIES 2004-B SER 2004-B CL 2A V/R REGD 0.31550000
1266715X0
702433.73000000
NS
USD
666991.80000000
0.050893537967
Long
ABS-CBDO
CORP
US
N
2
2029-02-15
Variable
0.31550000
N
N
N
N
N
N
MPLX LP 4.8% 02/15/29
N/A
MPLX LP REGD 4.80000000
55336VAS9
550000.00000000
NS
USD
644029.68000000
0.049141457168
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
FNMA P#821116 6% 5/1/35
N/A
FNMA P#821116 6% 5/1/35 6.00000000
31406VGZ3
1123.16000000
NS
USD
1288.66000000
0.000098328745
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
FNR 2004-38 FK V/R 05/25/34
N/A
FANNIE MAE REMICS SER 2004-38 CL FK V/R 0.43438000
31393YBS3
17587.17000000
NS
USD
17706.86000000
0.001351088201
Long
ABS-CBDO
CORP
US
N
2
2034-05-25
Variable
0.43438000
N
N
N
N
N
N
BROADCOM INC 2.45% 02/15/31
549300WV6GIDOZJTV909
BROADCOM INC REGD 144A P/P 2.45000000
11135FBH3
98000.00000000
NS
USD
97074.50000000
0.007407084692
Long
DBT
CORP
US
Y
2
2031-02-15
Fixed
2.45000000
N
N
N
N
N
N
UMBS P#BR2644 2% 02/01/51
N/A
FANNIE MAE POOL UMBS P#BR2644 2.00000000
3140L05E3
96232.88000000
NS
USD
97810.30000000
0.007463228508
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
GLENCORE FUNDI 1.625% 04/27/26
N/A
GLENCORE FUNDING LLC REGD 144A P/P 1.62500000
378272BD9
25000.00000000
NS
USD
25103.03000000
0.001915438856
Long
DBT
CORP
US
Y
2
2026-04-27
Fixed
1.62500000
N
N
N
N
N
N
UMBS P#AT0059 2.5% 03/01/28
N/A
FANNIE MAE POOL UMBS P#AT0059 2.50000000
3138WMB59
26696.02000000
NS
USD
28043.99000000
0.002139843203
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
2.50000000
N
N
N
N
N
N
MCDONALD'S COR 4.875% 12/09/45
UE2136O97NLB5BYP9H04
MCDONALD'S CORP REGD MTN 4.87500000
58013MFA7
155000.00000000
NS
USD
204483.08000000
0.015602691660
Long
DBT
CORP
US
N
2
2045-12-09
Fixed
4.87500000
N
N
N
N
N
N
INTEL CORP 3.734% 12/08/47
KNX4USFCNGPY45LOCE31
INTEL CORP REGD SER WI 3.73400000
458140BG4
54000.00000000
NS
USD
61877.17000000
0.004721419514
Long
DBT
CORP
US
N
2
2047-12-08
Fixed
3.73400000
N
N
N
N
N
N
DELTA AIR LINES IN 7% 05/01/25
Q2CCMS6R0AS67HJMBN42
DELTA AIR LINES INC REGD 144A P/P 7.00000000
247361ZX9
970000.00000000
NS
USD
1134279.29000000
0.086549019211
Long
DBT
CORP
US
Y
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
MIDAMERICAN ENE 3.15% 04/15/50
N/A
MIDAMERICAN ENERGY CO REGD 3.15000000
595620AV7
100000.00000000
NS
USD
106479.69000000
0.008124729788
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.15000000
N
N
N
N
N
N
UMBS P#QC4818 2.5% 08/01/51
N/A
FREDDIE MAC POOL UMBS P#QC4818 2.50000000
3133APK73
99880.33000000
NS
USD
105050.10000000
0.008015647647
Long
ABS-MBS
USGA
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
T/L ICON LUXEMBOU 0% 06/16/28
N/A
T/L ICON LUXEMBOURG S.A.R.L. REGD 0.00000000
N/A
320217.59000000
NS
USD
320352.08000000
0.024443854851
Long
LON
CORP
LU
N
2
2028-06-16
Variable
3.00000000
N
N
N
N
N
N
VERIZON COMMUNI 1.68% 10/30/30
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD SER WI 1.68000000
92343VFX7
138000.00000000
NS
USD
133429.06000000
0.010181050098
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
1.68000000
N
N
N
N
N
N
TRANSOCEAN PROT 6.25% 12/01/24
N/A
TRANSOCEAN PROTEUS LTD REGD 144A P/P 6.25000000
893829AA9
68750.00000000
NS
USD
67804.69000000
0.005173707630
Long
DBT
CORP
KY
Y
2
2024-12-01
Fixed
6.25000000
N
N
N
N
N
N
SUNRN 2019-2 A 3.61% 10/30/27
N/A
SUNRUN ATLAS ISSUER 2019-2 LLC SER 2019-2 CL A REGD 144A P/P 3.61000000
86772FAA9
401268.51000000
NS
USD
430527.89000000
0.032850610031
Long
ABS-CBDO
CORP
US
Y
2
2055-02-01
Fixed
3.61000000
N
N
N
N
N
N
UMBS P#FM7630 2.5% 06/01/51
N/A
FANNIE MAE POOL UMBS P#FM7630 2.50000000
3140XBPQ7
98516.62000000
NS
USD
103354.73000000
0.007886285671
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#CA1710 4.5% 05/01/48
N/A
FANNIE MAE POOL UMBS P#CA1710 4.50000000
3140Q83U7
505702.48000000
NS
USD
548294.74000000
0.041836585049
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
F/C AUST 10Y BOND FUT SEP21
N/A
FUTURE CONTRACT ON AUST 10Y BOND FUT SEP21 /AUD/ 0.00000000
N/A
42.00000000
NC
4479994.54000000
0.341837444205
N/A
DIR
CORP
AU
N
1
CITIGROUP GLOBAL MARKETS, INC.
MBNUM2BPBDO7JBLYG310
Long
F/C AUST 10Y BOND FUT SEP21
AUST 10Y BOND FUT SEP21 /AUD/
2021-09-15
4351688.38000000
AUD
128306.16000000
N
N
N
AIR LEASE CORP 3.25% 03/01/25
5493004NW4M4P8TMMK63
AIR LEASE CORP REGD 3.25000000
00912XBA1
495000.00000000
NS
USD
526269.45000000
0.040155987277
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
3.25000000
N
N
N
N
N
N
IHS MARKIT LTD 4.75% 08/01/28
549300HLPTRASHS0E726
IHS MARKIT LTD REGD 4.75000000
44962LAF4
450000.00000000
NS
USD
533121.75000000
0.040678838968
Long
DBT
CORP
GB
N
2
2028-08-01
Fixed
4.75000000
N
N
N
N
N
N
NOTA DO TESO 10% 01/01/27/BRL/
N/A
NOTA DO TESOURO NACIONAL /BRL/ REGD SER NTNF 10.00000000
P8T60MXG3
1224000.00000000
NS
241060.41000000
0.018393655107
Long
DBT
USGA
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
IBM CORP 4.15% 05/15/39
VGRQXHF3J8VDLUA7XE92
IBM CORP REGD 4.15000000
459200KB6
100000.00000000
NS
USD
120241.64000000
0.009174809151
Long
DBT
CORP
US
N
2
2039-05-15
Fixed
4.15000000
N
N
N
N
N
N
COMMONWEALTH EDISO 4% 03/01/48
N/A
COMMONWEALTH EDISON CO REGD 4.00000000
202795JM3
92000.00000000
NS
USD
110568.45000000
0.008436714826
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
T/L MICHAELS ST 0% 09/17/27
N/A
T/L MICHAELS STORES INC REGD 0.00000000
N/A
0.01000000
NS
USD
0.01000000
0.000000000763
Long
LON
CORP
US
N
2
2027-09-17
Variable
0.00000000
N
N
N
N
N
N
TOYOTA MOTOR CREDI 3% 04/01/25
N/A
TOYOTA MOTOR CREDIT CORP REGD MTN 3.00000000
89236TGX7
257000.00000000
NS
USD
275758.39000000
0.021041218335
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.00000000
N
N
N
N
N
N
LOS ANGELES CA 5.75% 07/01/34
N/A
LOS ANGELES CA UNIF SCH DIST REGD N/C B/E 5.75000000
544646XZ0
530000.00000000
NS
USD
715303.74000000
0.054579888463
Long
DBT
MUN
US
N
2
2034-07-01
Fixed
5.75000000
N
N
N
N
N
N
WESTERN MIDSTREA 5.5% 08/15/48
N/A
WESTERN MIDSTREAM OPERAT REGD 5.50000000
958254AL8
10000.00000000
NS
USD
11473.80000000
0.000875486439
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
5.50000000
N
N
N
N
N
N
COMMONSPIRIT HE 4.35% 11/01/42
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH REGD 4.35000000
14916RAD6
30000.00000000
NS
USD
35452.60000000
0.002705143067
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
4.35000000
N
N
N
N
N
N
KRAFT HEINZ FO 4.625% 10/01/39
N/A
KRAFT HEINZ FOODS CO REGD SER WI 4.62500000
50077LAX4
10000.00000000
NS
USD
11915.71000000
0.000909205539
Long
DBT
CORP
US
N
2
2039-10-01
Fixed
4.62500000
N
N
N
N
N
N
T/L WESTERN DIGITA 0% 04/29/23
N/A
T/L WESTERN DIGITAL CORPORATION REGD 0.00000000
95810DAR2
71034.20000000
NS
USD
71140.75000000
0.005428259329
Long
LON
CORP
US
N
2
2023-04-29
Variable
1.83788000
N
N
N
N
N
N
UMBS P#FM1001 3.5% 11/01/48
N/A
FANNIE MAE POOL UMBS P#FM1001 3.50000000
3140X4DF0
167452.52000000
NS
USD
177707.08000000
0.013559600017
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#BM5521 3.5% 07/01/48
N/A
FANNIE MAE POOL UMBS P#BM5521 3.50000000
3140JAD39
912699.92000000
NS
USD
974064.92000000
0.074324167087
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
PUBLIC SERVICE 3.85% 08/01/25
N/A
PUBLIC SERVICE CO OF NEW REGD 3.85000000
744542AC5
500000.00000000
NS
USD
544915.76000000
0.041578758420
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.85000000
N
N
N
N
N
N
UMBS P#995243 4.5% 08/01/38
N/A
FANNIE MAE POOL UMBS P#995243 4.50000000
31416BS82
125781.25000000
NS
USD
140995.86000000
0.010758420349
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
4.50000000
N
N
N
N
N
N
US TREAS NTS 0.75% 8/31/26
N/A
UNITED STATES TREASURY NOTE 0.75000000
91282CCW9
9865000.00000000
NS
USD
9855366.24000000
0.751994935955
Long
DBT
UST
US
N
2
2026-08-31
Fixed
0.75000000
N
N
N
N
N
N
PPSI 2004-WWF1 M V/R 12/25/34
N/A
PARK PLACE SECURITIES INC ASSET-BACKED PASS-THROUG SER 2004-WWF1 CL M5 V/R REGD 1.88438000
70069FDN4
1656295.77000000
NS
USD
1673623.94000000
0.127702684702
Long
ABS-CBDO
CORP
US
N
2
2034-12-25
Variable
1.88438000
N
N
N
N
N
N
FNA 2015-M7 X2 V/R 12/25/24
N/A
FANNIE MAE-ACES SER 2015-M7 CL X2 V/R 0.57700000
3136ANLJ4
4044382.63000000
NS
USD
53466.74000000
0.004079677684
Long
ABS-CBDO
CORP
US
N
2
2024-12-25
Variable
0.57700000
N
N
N
N
N
N
UMBS P#AS8740 3.5% 02/01/37
N/A
FANNIE MAE POOL UMBS P#AS8740 3.50000000
3138WJWA2
30468.57000000
NS
USD
32820.07000000
0.002504272884
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
3.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH C 4.9% 02/01/46
N/A
ANHEUSER-BUSCH CO/INBEV REGD SER * 4.90000000
03522AAJ9
1115000.00000000
NS
USD
1423733.00000000
0.108635232834
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
REPUBLIC OF PANA 4.5% 04/01/56
N/A
REPUBLIC OF PANAMA REGD 4.50000000
698299BM5
290000.00000000
NS
USD
332105.10000000
0.025340646640
Long
DBT
USGA
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#MA3124 2.5% 09/01/32
N/A
FANNIE MAE POOL UMBS P#MA3124 2.50000000
31418CPJ7
942966.08000000
NS
USD
989705.17000000
0.075517566552
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
2.50000000
N
N
N
N
N
N
MICRON TECHNOL 2.497% 04/24/23
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC REGD 2.49700000
595112BR3
150000.00000000
NS
USD
154843.50000000
0.011815038125
Long
DBT
CORP
US
N
2
2023-04-24
Fixed
2.49700000
N
N
N
N
N
N
SINOPEC GRP OV 4.375% 04/10/24
N/A
SINOPEC GRP OVERSEA 2014 REGD P/P 4.37500000
82937WAE5
400000.00000000
NS
USD
436492.28000000
0.033305711441
Long
DBT
CORP
VG
Y
2
2024-04-10
Fixed
4.37500000
N
N
N
N
N
N
CGCMT 2016-C3 2.896% 10/15/26
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C3 SER 2016-C3 CL A3 REGD 2.89600000
17325GAC0
740000.00000000
NS
USD
790683.34000000
0.060331585163
Long
ABS-CBDO
CORP
US
N
2
2049-11-15
Fixed
2.89600000
N
N
N
N
N
N
HOME DEPOT INC 3.3% 04/15/40
QEKMOTMBBKA8I816DO57
HOME DEPOT INC REGD 3.30000000
437076CC4
70000.00000000
NS
USD
77606.72000000
0.005921632845
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
3.30000000
N
N
N
N
N
N
PFIZER INC 2.625% 04/01/30
765LHXWGK1KXCLTFYQ30
PFIZER INC REGD 2.62500000
717081EW9
160000.00000000
NS
USD
172176.60000000
0.013137607282
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.62500000
N
N
N
N
N
N
OHIO POWER COMPANY 4% 06/01/49
N/A
OHIO POWER COMPANY REGD 4.00000000
677415CR0
29000.00000000
NS
USD
35028.67000000
0.002672795897
Long
DBT
CORP
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
ORACLE CORP 4.3% 07/08/34
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP REGD 4.30000000
68389XAV7
411000.00000000
NS
USD
478460.15000000
0.036507989768
Long
DBT
CORP
US
N
2
2034-07-08
Fixed
4.30000000
N
N
N
N
N
N
GNMA II P#MA4654 4.5% 08/20/47
N/A
GINNIE MAE II POOL P#MA4654 4.50000000
36179TE35
40441.48000000
NS
USD
43567.96000000
0.003324370144
Long
ABS-MBS
USGSE
US
N
2
2047-08-20
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AP9766 4% 10/01/42
N/A
FANNIE MAE POOL UMBS P#AP9766 4.00000000
3138MDZ88
91397.56000000
NS
USD
100120.95000000
0.007639538252
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
UNITED AIR 2018- 3.5% 03/01/30
N/A
UNITED AIR 2018-1 AA PTT REGD SER AA 3.50000000
909318AA5
17669.23000000
NS
USD
18484.01000000
0.001410387151
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
GENERAL MOTORS C 5.2% 04/01/45
54930070NSV60J38I987
GENERAL MOTORS CO REGD 5.20000000
37045VAJ9
455000.00000000
NS
USD
558186.60000000
0.042591364571
Long
DBT
CORP
US
N
2
2045-04-01
Fixed
5.20000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 07/24/48
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 4.03200000
46647PAK2
199000.00000000
NS
USD
237909.23000000
0.018153210324
Long
DBT
CORP
US
N
2
2048-07-24
Variable
4.03200000
N
N
N
N
N
N
UMBS P#BE3776 4.5% 07/01/47
N/A
FANNIE MAE POOL UMBS P#BE3776 4.50000000
3140FPFS3
223478.65000000
NS
USD
243987.99000000
0.018617038519
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
CHEVRON USA INC 3.85% 01/15/28
N/A
CHEVRON USA INC REGD 3.85000000
166756AR7
240000.00000000
NS
USD
272843.08000000
0.020818771162
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.85000000
N
N
N
N
N
N
3M COMPANY 2.375% 08/26/29
LUZQVYP4VS22CLWDAR65
3M COMPANY REGD 2.37500000
88579YBJ9
150000.00000000
NS
USD
158152.20000000
0.012067502172
Long
DBT
CORP
US
N
2
2029-08-26
Fixed
2.37500000
N
N
N
N
N
N
CROWN CASTLE IN 4.15% 07/01/50
54930012H97VSM0I2R19
CROWN CASTLE INTL CORP REGD 4.15000000
22822VAQ4
74000.00000000
NS
USD
86096.97000000
0.006569465189
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.15000000
N
N
N
N
N
N
NATIONWIDE BLDG S V/R 03/08/24
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY REGD V/R 144A P/P 3.76600000
63861VAA5
900000.00000000
NS
USD
941292.68000000
0.071823543780
Long
DBT
CORP
GB
Y
2
2024-03-08
Variable
3.76600000
N
N
N
N
N
N
EXELON CORP 4.7% 04/15/50
3SOUA6IRML7435B56G12
EXELON CORP REGD 4.70000000
30161NAY7
143000.00000000
NS
USD
183286.77000000
0.013985347627
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.70000000
N
N
N
N
N
N
CENTENE CORP 3% 10/15/30
549300Z7JJ4TQSQGT333
CENTENE CORP REGD 3.00000000
15135BAW1
1050000.00000000
NS
USD
1084741.88000000
0.082769161562
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 05/15/26
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R SER . 1.29475000
38141GXD1
150000.00000000
NS
USD
153745.01000000
0.011731219939
Long
DBT
CORP
US
N
2
2026-05-15
Variable
1.29475000
N
N
N
N
N
N
SEVEN & I HOLDI 3.35% 09/17/21
52990037G8JRM3TWGY86
SEVEN & I HOLDINGS REGD 144A P/P 3.35000000
81783HAA3
200000.00000000
NS
USD
200253.72000000
0.015279978407
Long
DBT
CORP
JP
Y
2
2021-09-17
Fixed
3.35000000
N
N
N
N
N
N
UNITED AIRLINE 4.625% 04/15/29
N/A
UNITED AIRLINES INC REGD 144A P/P 4.62500000
90932LAH0
790000.00000000
NS
USD
820790.25000000
0.062628835545
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
UMBS P#FM1468 5% 08/01/49
N/A
FANNIE MAE POOL UMBS P#FM1468 5.00000000
3140X4T22
131125.78000000
NS
USD
143711.93000000
0.010965664894
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
5.00000000
N
N
N
N
N
N
HONEYWELL INTER 1.35% 06/01/25
ISRPG12PN4EIEOEMW547
HONEYWELL INTERNATIONAL REGD 1.35000000
438516CB0
110000.00000000
NS
USD
112288.57000000
0.008567965304
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.35000000
N
N
N
N
N
N
EQUATE PETROCHE 4.25% 11/03/26
N/A
EQUATE PETROCHEMICAL BV REGD 144A P/P MTN 4.25000000
29441WAC9
200000.00000000
NS
USD
222666.00000000
0.016990104713
Long
DBT
CORP
NL
Y
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
NISSAN MOTOR CO 4.81% 09/17/30
353800DRBDH1LUTNAY26
NISSAN MOTOR CO REGD 144A P/P 4.81000000
654744AD3
245000.00000000
NS
USD
277858.07000000
0.021201430415
Long
DBT
CORP
JP
Y
2
2030-09-17
Fixed
4.81000000
N
N
N
N
N
N
UNITED MEXICAN 3.75% 01/11/28
N/A
UNITED MEXICAN STATES REGD 3.75000000
91087BAE0
323000.00000000
NS
USD
357414.04000000
0.027271797067
Long
DBT
USGA
MX
N
2
2028-01-11
Fixed
3.75000000
N
N
N
N
N
N
GNMA II P#MA4719 3.5% 09/20/47
N/A
GINNIE MAE II POOL P#MA4719 3.50000000
36179TG41
166955.69000000
NS
USD
177378.58000000
0.013534534451
Long
ABS-MBS
USGSE
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
BALL CORP 4% 11/15/23
0BGI85ALH27ZJP15DY16
BALL CORP REGD 4.00000000
058498AS5
130000.00000000
NS
USD
137637.50000000
0.010502167091
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.00000000
N
N
N
N
N
N
VOC ESCROW LTD 5% 02/15/28
N/A
VOC ESCROW LTD REGD 144A P/P 5.00000000
91832VAA2
110000.00000000
NS
USD
108908.80000000
0.008310078396
Long
DBT
CORP
US
Y
2
2028-02-15
Fixed
5.00000000
N
N
N
N
N
N
GNMA II P#MA5529 4.5% 10/20/48
N/A
GINNIE MAE II POOL P#MA5529 4.50000000
36179UEA6
239802.91000000
NS
USD
255282.70000000
0.019478859837
Long
ABS-MBS
USGSE
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
CIT GROUP INC 5.25% 03/07/25
N8O96ZZJQRFYQUJY7K79
CIT GROUP INC REGD 5.25000000
125581GW2
40000.00000000
NS
USD
45138.00000000
0.003444169053
Long
DBT
CORP
US
N
2
2025-03-07
Fixed
5.25000000
N
N
N
N
N
N
JPMORGAN CHASE 4.25% 10/01/27
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD 4.25000000
46625HNJ5
210000.00000000
NS
USD
241087.26000000
0.018395703845
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.25000000
N
N
N
N
N
N
LAM RESEARCH C 4.875% 03/15/49
549300I4GMO6D34U1T02
LAM RESEARCH CORP REGD 4.87500000
512807AT5
49000.00000000
NS
USD
67753.88000000
0.005169830669
Long
DBT
CORP
US
N
2
2049-03-15
Fixed
4.87500000
N
N
N
N
N
N
SUMITOMO MITSUI 3.04% 07/16/29
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP REGD 3.04000000
86562MBP4
200000.00000000
NS
USD
215294.97000000
0.016427672319
Long
DBT
CORP
JP
N
2
2029-07-16
Fixed
3.04000000
N
N
N
N
N
N
GNR 2019-86 C 2.5% 03/20/49
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-86 CL C 2.50000000
38381WC71
508821.27000000
NS
USD
531469.06000000
0.040552733607
Long
ABS-CBDO
CORP
US
N
2
2049-03-20
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#MA2773 3% 10/01/36
N/A
FANNIE MAE POOL UMBS P#MA2773 3.00000000
31418CCK8
678070.00000000
NS
USD
717006.30000000
0.054709799059
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
D.R. HORTON INC 1.3% 10/15/26
529900ZIUEYVSB8QDD25
D.R. HORTON INC REGD 1.30000000
23331ABQ1
248000.00000000
NS
USD
247772.45000000
0.018905804526
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
1.30000000
N
N
N
N
N
N
USD PUT /CAD CALL 11/22/21 1.2685
N/A
USD PUT /CAD CALL 11/22/21 1.2685 0.00000000
N/A
2050000.00000000
NC
USD
31316.33000000
0.002389532869
N/A
DFE
CORP
US
N
2
CITIGROUP GLOBAL MARKETS, INC.
MBNUM2BPBDO7JBLYG310
Put
Written
USD PUT /CAD CALL 11/22/21 1.2685
0
2050000.00000000
USD
1.26850000
USD
2021-11-22
XXXX
12938.08000000
N
N
N
BOAMS 2004-F 1A1 V/R 07/25/34
N/A
BANC OF AMERICA MORTGAGE 2004-F TRUST SER 2004-F CL 1A1 V/R REGD 2.44575500
05949AHR4
26088.00000000
NS
USD
26710.52000000
0.002038095316
Long
ABS-CBDO
CORP
US
N
2
2034-07-25
Variable
2.44575500
N
N
N
N
N
N
APPLE INC 2.45% 08/04/26
HWUPKR0MPOU8FGXBT394
APPLE INC REGD 2.45000000
037833BZ2
280000.00000000
NS
USD
298673.09000000
0.022789680841
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
FRESENIUS MED 1.875% 12/01/26
N/A
FRESENIUS MED CARE III REGD 144A P/P 1.87500000
35805BAC2
355000.00000000
NS
USD
358596.64000000
0.027362033106
Long
DBT
CORP
US
Y
2
2026-12-01
Fixed
1.87500000
N
N
N
N
N
N
BHP BILLITON FIN U 5% 09/30/43
N/A
BHP BILLITON FIN USA LTD REGD 5.00000000
055451AV0
150000.00000000
NS
USD
208076.26000000
0.015876862412
Long
DBT
CORP
AU
N
2
2043-09-30
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#G60440 3.5% 03/01/46
N/A
FREDDIE MAC GOLD POOL P#G60440 3.50000000
31335APZ5
389798.41000000
NS
USD
424672.20000000
0.032403802767
Long
ABS-MBS
USGA
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
VIRGIN MEDIA SEC 4.5% 08/15/30
N/A
VIRGIN MEDIA SECURED FIN REGD 144A P/P 4.50000000
92769XAR6
525000.00000000
NS
USD
533163.75000000
0.040682043697
Long
DBT
CORP
GB
Y
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF CHI 2.55% 07/27/33
N/A
REPUBLIC OF CHILE REGD 2.55000000
168863DT2
435000.00000000
NS
USD
443795.70000000
0.033862984984
Long
DBT
USGA
CL
N
2
2033-07-27
Fixed
2.55000000
N
N
N
N
N
N
SCHLUMBERGER HLDGS 4% 12/21/25
N/A
SCHLUMBERGER HLDGS CORP REGD 144A P/P 4.00000000
806851AG6
90000.00000000
NS
USD
100010.88000000
0.007631139570
Long
DBT
CORP
US
Y
2
2025-12-21
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#MA3937 3.5% 09/20/46
N/A
GINNIE MAE II POOL P#MA3937 3.50000000
36179SLS4
215284.29000000
NS
USD
229641.49000000
0.017522356182
Long
ABS-MBS
USGSE
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#U90841 3.5% 02/01/43
N/A
FREDDIE MAC GOLD POOL P#U90841 3.50000000
3132H35A7
37243.12000000
NS
USD
40244.93000000
0.003070812674
Long
ABS-MBS
USGA
US
N
2
2043-02-01
Fixed
3.50000000
N
N
N
N
N
N
UNITED AIR 201 4.625% 09/03/22
N/A
UNITED AIR 2014-2 B PTT REGD SER B 4.62500000
90932QAB2
43600.44000000
NS
USD
44489.15000000
0.003394659791
Long
DBT
CORP
US
N
2
2022-09-03
Fixed
4.62500000
N
N
N
N
N
N
HYUNDAI CAPITAL 3.75% 03/05/23
N/A
HYUNDAI CAPITAL SERVICES REGD 144A P/P 3.75000000
44920UAM0
200000.00000000
NS
USD
209263.42000000
0.015967446393
Long
DBT
CORP
KR
Y
2
2023-03-05
Fixed
3.75000000
N
N
N
N
N
N
ABBVIE INC 4.05% 11/21/39
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD SER WI 4.05000000
00287YCA5
175000.00000000
NS
USD
205672.61000000
0.015693456480
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
KEURIG DR PEPPE 2.25% 03/15/31
DYTQ8KRTKO7Y2BVU5K74
KEURIG DR PEPPER INC REGD 2.25000000
49271VAN0
79000.00000000
NS
USD
80187.50000000
0.006118554344
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.25000000
N
N
N
N
N
N
RELX CAPITAL INC 4% 03/18/29
N/A
RELX CAPITAL INC REGD 4.00000000
74949LAC6
59000.00000000
NS
USD
66786.23000000
0.005095995981
Long
DBT
CORP
US
N
2
2029-03-18
Fixed
4.00000000
N
N
N
N
N
N
SPRINT CORP 7.875% 09/15/23
N/A
SPRINT CORP REGD SER WI 7.87500000
85207UAF2
34000.00000000
NS
USD
38562.80000000
0.002942460950
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.87500000
N
N
N
N
N
N
US TREAS NTS 0.125% 08/15/23
N/A
UNITED STATES TREASURY NOTE 0.12500000
91282CAF8
725000.00000000
NS
USD
724051.27000000
0.055247352067
Long
DBT
UST
US
N
2
2023-08-15
Fixed
0.12500000
N
N
N
N
N
N
COMM 2013-CR9 E V/R 07/10/23
N/A
COMM 2013-CCRE9 MORTGAGE TRUST SER 2013-CR9 CL E V/R REGD 144A P/P 4.41198200
12625UAL7
260000.00000000
NS
USD
86703.50000000
0.006615745304
Long
ABS-CBDO
CORP
US
Y
2
2045-07-10
Variable
4.41198200
N
N
N
N
N
N
HUMANA INC 3.95% 03/15/27
529900YLDW34GJAO4J06
HUMANA INC REGD 3.95000000
444859BF8
30000.00000000
NS
USD
33734.27000000
0.002574029172
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
FNR 2013-73 IA 3% 09/25/32
N/A
FANNIE MAE REMICS SER 2013-73 CL IA 3.00000000
3136AFRX4
48460.34000000
NS
USD
2820.83000000
0.000215238056
Long
ABS-CBDO
CORP
US
N
2
2032-09-25
Fixed
3.00000000
N
N
N
N
N
N
COMM 2014-CR1 3.828% 06/15/24
N/A
COMM 2014-CCRE18 MORTGAGE TRUST SER 2014-CR18 CL A5 REGD 3.82800000
12632QAX1
140000.00000000
NS
USD
151228.42000000
0.011539196336
Long
ABS-CBDO
CORP
US
N
2
2047-07-15
Fixed
3.82800000
N
N
N
N
N
N
US TREAS NTS 1.25% 05/31/28
N/A
UNITED STATES TREASURY NOTE 1.25000000
91282CCE9
2920000.00000000
NS
USD
2959693.75000000
0.225833790219
Long
DBT
UST
US
N
2
2028-05-31
Fixed
1.25000000
N
N
N
N
N
N
ALTRIA GROUP IN 2.35% 05/06/25
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC REGD 2.35000000
02209SBH5
40000.00000000
NS
USD
41741.48000000
0.003185004069
Long
DBT
CORP
US
N
2
2025-05-06
Fixed
2.35000000
N
N
N
N
N
N
FORD MOTOR COMP 4.75% 01/15/43
20S05OYHG0MQM4VUIC57
FORD MOTOR COMPANY REGD 4.75000000
345370CQ1
30000.00000000
NS
USD
32400.75000000
0.002472277470
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.75000000
N
N
N
N
N
N
EXXON MOBIL CO 2.992% 03/19/25
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORPORATION REGD 2.99200000
30231GBH4
430000.00000000
NS
USD
460266.26000000
0.035119739671
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99200000
N
N
N
N
N
N
HCA INC 5.25% 06/15/49
N/A
HCA INC REGD 5.25000000
404119BZ1
295000.00000000
NS
USD
384583.97000000
0.029344946788
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
COMCAST CORP 4.15% 10/15/28
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 4.15000000
20030NCT6
1077000.00000000
NS
USD
1250966.32000000
0.095452600622
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
HCA INC 5.25% 04/15/25
N/A
HCA INC REGD 5.25000000
404119BQ1
1059000.00000000
NS
USD
1209419.63000000
0.092282459632
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.25000000
N
N
N
N
N
N
AMER AIRLINE 17 3.65% 02/15/29
N/A
AMER AIRLINE 17-1 AA PTT REGD SER AA 3.65000000
023761AA7
37500.00000000
NS
USD
39118.73000000
0.002984880129
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.65000000
N
N
N
N
N
N
US TREAS NTS 0.875% 6/30/26
N/A
UNITED STATES TREASURY NOTE 0.87500000
91282CCJ8
11160000.00000000
NS
USD
11223646.82000000
0.856398977578
Long
DBT
UST
US
N
2
2026-06-30
Fixed
0.87500000
N
N
N
N
N
N
CSMC 2020-NET 2.815% 08/15/25
N/A
CSMC 2020-NET SER 2020-NET CL B REGD 144A P/P 2.81590000
126438AE0
280000.00000000
NS
USD
292064.19000000
0.022285401324
Long
ABS-CBDO
CORP
US
Y
2
2037-08-15
Fixed
2.81590000
N
N
N
N
N
N
LLOYDS BANKING 4.55% 08/16/28
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC REGD 4.55000000
539439AT6
200000.00000000
NS
USD
233561.20000000
0.017821442182
Long
DBT
CORP
GB
N
2
2028-08-16
Fixed
4.55000000
N
N
N
N
N
N
UNITED RENTALS 3.875% 11/15/27
N/A
UNITED RENTALS NORTH AM REGD 3.87500000
911365BM5
20000.00000000
NS
USD
21040.00000000
0.001605417096
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.87500000
N
N
N
N
N
N
ABSHE 2007-HE1 A V/R 12/25/36
N/A
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIE SER 2007-HE1 CL A1B V/R REGD 0.23438000
04544RAS4
578070.25000000
NS
USD
564106.15000000
0.043043044551
Long
ABS-CBDO
CORP
US
Y
2
2036-12-25
Variable
0.23438000
N
N
N
N
N
N
FGLMC P#G08795 3% 01/01/48
N/A
FREDDIE MAC GOLD POOL P#G08795 3.00000000
3128MJ3D0
73495.45000000
NS
USD
77185.56000000
0.005889497034
Long
ABS-MBS
USGA
US
N
2
2048-01-01
Fixed
3.00000000
N
N
N
N
N
N
US T BILL ZCP 01/13/22
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796K73
10130000.00000000
PA
USD
10128137.92000000
0.772808259076
Long
STIV
UST
US
N
2
2022-01-13
Fixed
0.00000000
N
N
N
N
N
N
FHR 1865 DA V/R 2/15/24
N/A
FREDDIE MAC SERIES 1865 CLASS_ DA 30.04856200
3133T7HY8
4715.72000000
NS
USD
776.78000000
0.000059270717
Long
ABS-MBS
USGA
US
N
2
2024-02-15
Variable
30.04856200
N
N
N
N
N
N
FORD MOTOR CREDIT V/R 08/03/22
N/A
FORD MOTOR CREDIT CO LLC REGD V/R 1.19775000
345397YP2
1250000.00000000
NS
USD
1246576.24000000
0.095117623935
Long
DBT
CORP
US
N
2
2022-08-03
Variable
1.19775000
N
N
N
N
N
N
FGLMC P#G05860 5.5% 02/01/40
N/A
FREDDIE MAC GOLD POOL P#G05860 5.50000000
3128M7ZZ2
79284.21000000
NS
USD
92386.92000000
0.007049407834
Long
ABS-MBS
USGA
US
N
2
2040-02-01
Fixed
5.50000000
N
N
N
N
N
N
NISSAN MOTOR AC 2.75% 03/09/28
N/A
NISSAN MOTOR ACCEPTANCE REGD 144A P/P 2.75000000
654740BT5
54000.00000000
NS
USD
55754.47000000
0.004254238561
Long
DBT
CORP
US
Y
2
2028-03-09
Fixed
2.75000000
N
N
N
N
N
N
NGPL PIPECO LL 4.875% 08/15/27
N/A
NGPL PIPECO LLC REGD 144A P/P 4.87500000
62912XAF1
190000.00000000
NS
USD
217586.53000000
0.016602525437
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
4.87500000
N
N
N
N
N
N
UMBS P#FM6871 2.5% 04/01/51
N/A
FANNIE MAE POOL UMBS P#FM6871 2.50000000
3140XAT51
98557.70000000
NS
USD
103549.82000000
0.007901171642
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
ATHENE GLOBAL FUN V/R 05/24/24
549300LM1QSI4MSIL320
ATHENE GLOBAL FUNDING REGD V/R 144A P/P 0.73909000
04685A2X8
535000.00000000
NS
USD
538259.78000000
0.041070886553
Long
DBT
CORP
US
Y
2
2024-05-24
Variable
0.73909000
N
N
N
N
N
N
CREDIT AGRICOLE L V/R 06/16/26
N/A
CREDIT AGRICOLE LONDON REGD V/R 144A P/P MTN 1.90700000
22535WAG2
500000.00000000
NS
USD
511960.84000000
0.039064196064
Long
DBT
CORP
GB
Y
2
2026-06-16
Variable
1.90700000
N
N
N
N
N
N
US TREAS NTS 1.125% 02/29/28
N/A
UNITED STATES TREASURY NOTE 1.12500000
91282CBP5
223000.00000000
NS
USD
224733.48000000
0.017147859834
Long
DBT
UST
US
N
2
2028-02-29
Fixed
1.12500000
N
N
N
N
N
N
UNITED AIR 2016- 3.1% 07/07/28
N/A
UNITED AIR 2016-1 AA PTT REGD SER AA 3.10000000
90931LAA6
3944.68000000
NS
USD
4147.63000000
0.000316477001
Long
DBT
CORP
US
N
2
2028-07-07
Fixed
3.10000000
N
N
N
N
N
N
KRAFT HEINZ FOO 6.75% 03/15/32
N/A
KRAFT HEINZ FOODS CO REGD 6.75000000
42307TAG3
10000.00000000
NS
USD
13560.69000000
0.001034722602
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
UMBS P#FM3347 3.5% 05/01/47
N/A
FANNIE MAE POOL UMBS P#FM3347 3.50000000
3140X6WH0
2656611.44000000
NS
USD
2842632.18000000
0.216901630247
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
DISH DBS CORP 5.125% 06/01/29
N/A
DISH DBS CORP REGD 144A P/P 5.12500000
25470XBC8
70000.00000000
NS
USD
69737.50000000
0.005321187013
Long
DBT
CORP
US
Y
2
2029-06-01
Fixed
5.12500000
N
N
N
N
N
N
UMBS P#995203 5% 07/01/35
N/A
FANNIE MAE POOL UMBS P#995203 5.00000000
31416BRY6
17715.39000000
NS
USD
20191.98000000
0.001540710546
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
MCDONALD'S CORP 3.8% 04/01/28
UE2136O97NLB5BYP9H04
MCDONALD'S CORP REGD MTN 3.80000000
58013MFF6
340000.00000000
NS
USD
384992.82000000
0.029376143308
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
UMBS P#BM3848 4.5% 03/01/46
N/A
FANNIE MAE POOL UMBS P#BM3848 4.50000000
3140J8H22
450714.62000000
NS
USD
502970.55000000
0.038378209122
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.50000000
N
N
N
N
N
N
L3 TECHNOLOGIES 3.85% 12/15/26
N/A
L3 TECHNOLOGIES INC REGD 3.85000000
502413BE6
141000.00000000
NS
USD
156437.12000000
0.011936636261
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
3.85000000
N
N
N
N
N
N
NORTHERN NATURAL 3.4% 10/16/51
N/A
NORTHERN NATURAL GAS CO REGD 144A P/P 3.40000000
665501AM4
50000.00000000
NS
USD
52399.78000000
0.003998265335
Long
DBT
CORP
US
Y
2
2051-10-16
Fixed
3.40000000
N
N
N
N
N
N
GNMA II P#MA5020 4% 02/20/48
N/A
GINNIE MAE II POOL P#MA5020 4.00000000
36179TSH9
197900.25000000
NS
USD
212638.44000000
0.016224970861
Long
ABS-MBS
USGSE
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
COMCAST CORP 3.95% 10/15/25
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 3.95000000
20030NCS8
30000.00000000
NS
USD
33483.94000000
0.002554928219
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
IMPERIAL BRANDS 3.5% 07/26/26
N/A
IMPERIAL BRANDS FIN PLC REGD 144A P/P 3.50000000
45262BAB9
205000.00000000
NS
USD
221410.55000000
0.016894309994
Long
DBT
CORP
GB
Y
2
2026-07-26
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP 3.999% 11/01/49
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD SER WI 3.99900000
20030NCE9
23000.00000000
NS
USD
27401.99000000
0.002090856616
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.99900000
N
N
N
N
N
N
VIACOMCBS INC 4.2% 05/19/32
5KYC8KF17ROCY24M3H09
VIACOMCBS INC REGD 4.20000000
92556HAD9
255000.00000000
NS
USD
294821.33000000
0.022495779636
Long
DBT
CORP
US
N
2
2032-05-19
Fixed
4.20000000
N
N
N
N
N
N
FHMS K104 XAM V/R 01/25/30
N/A
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K104 CL XAM V/R 1.50522600
3137FREM9
5000000.00000000
NS
USD
544485.50000000
0.041545928251
Long
ABS-CBDO
CORP
US
N
2
2052-02-25
Variable
1.50522600
N
N
N
N
N
N
KRAFT HEINZ FO 4.375% 06/01/46
N/A
KRAFT HEINZ FOODS CO REGD SER WI 4.37500000
50077LAB2
678000.00000000
NS
USD
786721.67000000
0.060029297485
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.37500000
N
N
N
N
N
N
WAMU 2005-AR1 A1 V/R 01/25/45
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR1 SER 2005-AR1 CL A1B V/R REGD 0.86438000
939336X57
371033.21000000
NS
USD
365668.37000000
0.027901627984
Long
ABS-CBDO
CORP
US
N
2
2045-01-25
Variable
0.86438000
N
N
N
N
N
N
DTE ELECTRIC CO 4.05% 05/15/48
N/A
DTE ELECTRIC CO REGD SER A 4.05000000
23338VAH9
30000.00000000
NS
USD
36985.93000000
0.002822140890
Long
DBT
CORP
US
N
2
2048-05-15
Fixed
4.05000000
N
N
N
N
N
N
EATON CORP 4.15% 11/02/42
N/A
EATON CORP REGD 4.15000000
278062AE4
160000.00000000
NS
USD
193285.50000000
0.014748281662
Long
DBT
CORP
US
N
2
2042-11-02
Fixed
4.15000000
N
N
N
N
N
N
GENERAL ELECTRI 6.75% 03/15/32
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO REGD MTN SER MTNA 6.75000000
36962GXZ2
610000.00000000
NS
USD
847331.30000000
0.064653999776
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
UMBS P#CA2471 4% 10/01/48
N/A
FANNIE MAE POOL UMBS P#CA2471 4.00000000
3140Q9W90
132756.87000000
NS
USD
143125.76000000
0.010920938309
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
CITRIX SYSTEMS I 3.3% 03/01/30
HCTKJGUQOPZ5NBK7NP58
CITRIX SYSTEMS INC REGD 3.30000000
177376AF7
232000.00000000
NS
USD
244958.38000000
0.018691082278
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.30000000
N
N
N
N
N
N
GNMA P#667703 5.5% 05/15/37
N/A
GINNIE MAE I POOL P#667703 5.50000000
36295DX87
10098.92000000
NS
USD
11719.55000000
0.000894237924
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Fixed
5.50000000
N
N
N
N
N
N
BARCLAYS PLC V/R 06/20/30
213800LBQA1Y9L22JB70
BARCLAYS PLC REGD V/R 5.08800000
06738EBK0
200000.00000000
NS
USD
233761.12000000
0.017836696697
Long
DBT
CORP
GB
N
2
2030-06-20
Variable
5.08800000
N
N
N
N
N
N
FHR 5013 IN 2.5% 09/25/50
N/A
FREDDIE MAC REMICS SER 5013 CL IN 2.50000000
3137FW3E8
95341.48000000
NS
USD
14548.07000000
0.001110062751
Long
ABS-CBDO
CORP
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#MA4020 3% 05/01/50
N/A
FANNIE MAE POOL UMBS P#MA4020 3.00000000
31418DPE6
1921295.31000000
NS
USD
2010166.27000000
0.153381905720
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.00000000
N
N
N
N
N
N
FGLMC P#G67709 3.5% 03/01/48
N/A
FREDDIE MAC GOLD POOL P#G67709 3.50000000
3132XCR64
1085304.02000000
NS
USD
1182012.88000000
0.090191239812
Long
ABS-MBS
USGA
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
US TIPS 1.75% 01/15/28
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.75000000
912810PV4
311256.00000000
NS
USD
379916.93000000
0.028988837196
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75000000
N
N
N
N
N
N
T/L CAESARS RES 0% 06/19/25
N/A
T/L CAESARS RESORT COLLECTION LLC REGD 0.00000000
12769LAD1
218350.00000000
NS
USD
219112.04000000
0.016718926569
Long
LON
CORP
US
N
2
2025-06-19
Variable
4.58463000
N
N
N
N
N
N
GNR 2015-167 OI 4% 04/16/45
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-167 CL OI 4.00000000
38379FFB0
64345.08000000
NS
USD
9309.24000000
0.000710323814
Long
ABS-CBDO
CORP
US
N
2
2045-04-16
Fixed
4.00000000
N
N
N
N
N
N
BROADCOM INC 3.15% 11/15/25
549300WV6GIDOZJTV909
BROADCOM INC REGD 3.15000000
11135FBB6
280000.00000000
NS
USD
300051.36000000
0.022894847106
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.15000000
N
N
N
N
N
N
T/L QUIKRETE HOLD 0% 06/10/28
N/A
T/L QUIKRETE HOLDINGS INC REGD 0.00000000
N/A
170000.00000000
NS
USD
168884.80000000
0.012886432758
Long
LON
CORP
US
N
2
2028-06-10
Variable
0.00000000
N
N
N
N
N
N
CIGNA CORP 3.75% 07/15/23
549300VIWYMSIGT1U456
CIGNA CORP REGD SER WI 3.75000000
125523AF7
216000.00000000
NS
USD
228833.67000000
0.017460717017
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
CWL 2007-13 2A2 V/R 02/25/36
N/A
CWABS ASSET-BACKED CERTIFICATES TRUST 2007-13 SER 2007-13 CL 2A2 V/R REGD 0.88438000
126698AD1
223431.35000000
NS
USD
222313.79000000
0.016963230000
Long
ABS-CBDO
CORP
US
N
2
2047-10-25
Variable
0.88438000
N
N
N
N
N
N
DEVON ENERGY CO 4.75% 05/15/42
54930042348RKR3ZPN35
DEVON ENERGY CORPORATION REGD 4.75000000
25179MAN3
10000.00000000
NS
USD
11480.48000000
0.000875996143
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.75000000
N
N
N
N
N
N
IMPERIAL BRAND 3.125% 07/26/24
N/A
IMPERIAL BRANDS FIN PLC REGD 144A P/P 3.12500000
45262BAA1
400000.00000000
NS
USD
421908.18000000
0.032192899489
Long
DBT
CORP
GB
Y
2
2024-07-26
Fixed
3.12500000
N
N
N
N
N
N
CVS HEALTH COR 4.875% 07/20/35
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 4.87500000
126650CM0
500000.00000000
NS
USD
616645.98000000
0.047051996135
Long
DBT
CORP
US
N
2
2035-07-20
Fixed
4.87500000
N
N
N
N
N
N
INTESA SANPAOL 5.017% 06/26/24
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA REGD P/P MTN 5.01700000
46115HAT4
200000.00000000
NS
USD
217193.20000000
0.016572513141
Long
DBT
CORP
IT
Y
2
2024-06-26
Fixed
5.01700000
N
N
N
N
N
N
DUPONT DE NEMO 4.493% 11/15/25
5493004JF0SDFLM8GD76
DUPONT DE NEMOURS INC REGD 4.49300000
26078JAC4
479000.00000000
NS
USD
541213.98000000
0.041296301153
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.49300000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP00.45 05/15/27 SBNYUS33 FLOAT
N/A
1.00000000
NC
USD
611246.36000000
0.046639988423
N/A
DIR
US
N
2
BA SECURITIES INC
N/A
BA SECURITIES INC
N/A
BA SECURITIES INC
N/A
BA SECURITIES INC
N/A
BA SECURITIES INC
N/A
N/A
N/A
Y
2027-05-15
-23507976.32000000
USD
23485000.00000000
USD
23485000.00000000
USD
659705.02000000
N
N
N
BNP PARIBAS V/R 03/01/33
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS REGD V/R 144A P/P MTN 4.37500000
09659T2A8
200000.00000000
NS
USD
222277.46000000
0.016960457909
Long
DBT
CORP
FR
Y
2
2033-03-01
Variable
4.37500000
N
N
N
N
N
N
UMBS P#FM3123 2.5% 03/01/38
N/A
FANNIE MAE POOL UMBS P#FM3123 2.50000000
3140X6PH8
311718.80000000
NS
USD
324921.36000000
0.024792505052
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA II P#MA4720 4% 09/20/47
N/A
GINNIE MAE II POOL P#MA4720 4.00000000
36179TG58
685699.72000000
NS
USD
735729.02000000
0.056138400522
Long
ABS-MBS
USGSE
US
N
2
2047-09-20
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#CA8377 1.5% 12/01/35
N/A
FANNIE MAE POOL UMBS P#CA8377 1.50000000
3140QGJX6
94149.79000000
NS
USD
95830.49000000
0.007312162880
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
1.50000000
N
N
N
N
N
N
NISSAN MOTOR C 4.345% 09/17/27
353800DRBDH1LUTNAY26
NISSAN MOTOR CO REGD 144A P/P 4.34500000
654744AC5
300000.00000000
NS
USD
334281.81000000
0.025506736348
Long
DBT
CORP
JP
Y
2
2027-09-17
Fixed
4.34500000
N
N
N
N
N
N
UMBS P#AD0836 5.5% 11/01/28
N/A
FANNIE MAE POOL UMBS P#AD0836 5.50000000
31418M4W9
42155.70000000
NS
USD
47113.76000000
0.003594925654
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
5.50000000
N
N
N
N
N
N
COMCAST CORP 2.8% 01/15/51
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 2.80000000
20030NDL2
520000.00000000
NS
USD
506575.72000000
0.038653294747
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.80000000
N
N
N
N
N
N
LEVEL 3 FINANCIN 3.4% 03/01/27
N/A
LEVEL 3 FINANCING INC REGD 144A P/P 3.40000000
527298BP7
586000.00000000
NS
USD
618435.10000000
0.047188511526
Long
DBT
CORP
US
Y
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
GLP CAPITAL LP 5.25% 06/01/25
N/A
GLP CAPITAL LP / FIN II REGD 5.25000000
361841AJ8
795000.00000000
NS
USD
892272.23000000
0.068083131779
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.25000000
N
N
N
N
N
N
KINDER MORGAN I 5.55% 06/01/45
549300WR7IX8XE0TBO16
KINDER MORGAN INC REGD 5.55000000
49456BAH4
240000.00000000
NS
USD
311612.50000000
0.023776997858
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
BANK OF NY MELL 3.25% 05/16/27
WFLLPEPC7FZXENRZV188
BANK OF NY MELLON CORP REGD MTN 3.25000000
06406RAD9
115000.00000000
NS
USD
126941.52000000
0.009686030724
Long
DBT
CORP
US
N
2
2027-05-16
Fixed
3.25000000
N
N
N
N
N
N
UMBS P#931368 4.5% 06/01/29
N/A
FANNIE MAE POOL UMBS P#931368 4.50000000
31412PW56
5919.95000000
NS
USD
6402.88000000
0.000488559554
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
4.50000000
N
N
N
N
N
N
NIKE INC 2.75% 03/27/27
787RXPR0UX0O0XUXPZ81
NIKE INC REGD 2.75000000
654106AJ2
70000.00000000
NS
USD
75801.67000000
0.005783901946
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
2.75000000
N
N
N
N
N
N
GNR 2020-129 IE 2.5% 09/20/50
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-129 CL IE 2.50000000
38382JZK5
95888.57000000
NS
USD
13089.57000000
0.000998774689
Long
ABS-CBDO
CORP
US
N
2
2050-09-20
Fixed
2.50000000
N
N
N
N
N
N
CSMC 2021-RPL4 A V/R 12/27/60
N/A
CSMC 2021-RPL4 TRUST SER 2021-RPL4 CL A1 V/R REGD 144A P/P 1.79561000
12662GAC2
1636522.91000000
NS
USD
1646088.39000000
0.125601637044
Long
ABS-CBDO
CORP
US
Y
2
2060-12-27
Variable
1.79561000
N
N
N
N
N
N
VERIZON COMMUNI 1.75% 01/20/31
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 1.75000000
92343VFR0
140000.00000000
NS
USD
135757.29000000
0.010358701250
Long
DBT
CORP
US
N
2
2031-01-20
Fixed
1.75000000
N
N
N
N
N
N
UMBS P#FM7195 2.5% 09/01/50
N/A
FANNIE MAE POOL UMBS P#FM7195 2.50000000
3140XA7H9
95861.14000000
NS
USD
101291.14000000
0.007728827370
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
CIGNA CORP 4.8% 08/15/38
549300VIWYMSIGT1U456
CIGNA CORP REGD SER WI 4.80000000
125523AJ9
300000.00000000
NS
USD
376068.06000000
0.028695156507
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
4.80000000
N
N
N
N
N
N
JPMCC 2021-MHC D V/R 04/15/26
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECUR SER 2021-MHC CL D V/R REGD 144A P/P 1.79600000
466330AL1
250000.00000000
NS
USD
251779.93000000
0.019211587649
Long
ABS-CBDO
CORP
US
Y
2
2038-04-15
Variable
1.79600000
N
N
N
N
N
N
PFIZER INC 1.7% 05/28/30
765LHXWGK1KXCLTFYQ30
PFIZER INC REGD 1.70000000
717081EY5
140000.00000000
NS
USD
140315.77000000
0.010706527378
Long
DBT
CORP
US
N
2
2030-05-28
Fixed
1.70000000
N
N
N
N
N
N
GNMA II P#MA2677 3% 03/20/45
N/A
GINNIE MAE II POOL P#MA2677 3.00000000
36179Q6N6
107597.80000000
NS
USD
114013.85000000
0.008699609506
Long
ABS-MBS
USGSE
US
N
2
2045-03-20
Fixed
3.00000000
N
N
N
N
N
N
UNITEDHEALTH GR 4.25% 06/15/48
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 4.25000000
91324PDL3
40000.00000000
NS
USD
50506.27000000
0.003853784664
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
4.25000000
N
N
N
N
N
N
RAYTHEON COMPANY 4.2% 12/15/44
N/A
RAYTHEON COMPANY REGD 4.20000000
755111BZ3
55000.00000000
NS
USD
64321.29000000
0.004907913432
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.20000000
N
N
N
N
N
N
NCMS 2020-2PA 2.966% 01/15/25
N/A
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2020 SER 2020-2PAC CL A REGD 144A P/P 2.96600000
63875DAA9
390000.00000000
NS
USD
409066.71000000
0.031213055598
Long
ABS-CBDO
CORP
US
Y
2
2038-12-15
Fixed
2.96600000
N
N
N
N
N
N
UMBS P#ZT1403 3.5% 11/01/33
N/A
FREDDIE MAC POOL UMBS P#ZT1403 3.50000000
3132ADRY6
64858.77000000
NS
USD
69365.49000000
0.005292801499
Long
ABS-MBS
USGA
US
N
2
2033-11-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#MA3088 4% 08/01/47
N/A
FANNIE MAE POOL UMBS P#MA3088 4.00000000
31418CNE0
11739.16000000
NS
USD
12658.25000000
0.000965863638
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BR3750 2% 02/01/51
N/A
FANNIE MAE POOL UMBS P#BR3750 2.00000000
3140L2EY5
292810.49000000
NS
USD
297235.91000000
0.022680019561
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
BOEING CO 2.7% 02/01/27
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 2.70000000
097023CM5
70000.00000000
NS
USD
72671.17000000
0.005545035110
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.70000000
N
N
N
N
N
N
UMBS P#CA2208 4.5% 08/01/48
N/A
FANNIE MAE POOL UMBS P#CA2208 4.50000000
3140Q9N25
123611.42000000
NS
USD
134091.67000000
0.010231609291
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
BP CAPITAL MAR 3.814% 02/10/24
N/A
BP CAPITAL MARKETS PLC REGD 3.81400000
05565QCP1
270000.00000000
NS
USD
291147.65000000
0.022215466486
Long
DBT
CORP
GB
N
2
2024-02-10
Fixed
3.81400000
N
N
N
N
N
N
PHILIP MORRIS IN 2.1% 05/01/30
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTL INC REGD 2.10000000
718172CP2
100000.00000000
NS
USD
101346.82000000
0.007733075926
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.10000000
N
N
N
N
N
N
T/L EYECARE PART 0% 02/05/2027
N/A
T/L EYECARE PARTNERS LLC REGD 0.00000000
N/A
108784.43000000
NS
USD
107978.34000000
0.008239081419
Long
LON
CORP
US
N
2
2027-02-05
Variable
3.85700000
N
N
N
N
N
N
UNITEDHEALTH G 3.125% 05/15/60
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 3.12500000
91324PEA6
20000.00000000
NS
USD
21059.67000000
0.001606917978
Long
DBT
CORP
US
N
2
2060-05-15
Fixed
3.12500000
N
N
N
N
N
N
SMB 2015-B A2A V/R 05/15/23
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2015-B SER 2015-B CL A2A V/R REGD 144A P/P 2.98000000
78448QAB4
12647.96000000
NS
USD
12760.43000000
0.000973660288
Long
ABS-CBDO
CORP
US
Y
2
2027-07-15
Fixed
2.98000000
N
N
N
N
N
N
FNR 2012-133 CS V/R 12/25/42
N/A
FANNIE MAE REMICS SER 2012-133 CL CS V/R 6.06562000
3136AAXW0
67091.74000000
NS
USD
13973.01000000
0.001066183894
Long
ABS-CBDO
CORP
US
N
2
2042-12-25
Variable
6.06562000
N
N
N
N
N
N
HERTZ 2021-1A 1.21% 12/25/24
N/A
HERTZ VEHICLE FINANCING LLC SER 2021-1A CL A REGD 144A P/P 1.21000000
42806MAA7
920000.00000000
NS
USD
926512.50000000
0.070695770317
Long
ABS-CBDO
CORP
US
Y
2
2025-12-26
Fixed
1.21000000
N
N
N
N
N
N
UMBS P#BM2006 4% 01/01/48
N/A
FANNIE MAE POOL UMBS P#BM2006 4.00000000
3140J6GQ4
714206.37000000
NS
USD
768811.16000000
0.058662670158
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
VISA INC 4.15% 12/14/35
549300JZ4OKEHW3DPJ59
VISA INC REGD 4.15000000
92826CAE2
154000.00000000
NS
USD
190082.19000000
0.014503859198
Long
DBT
CORP
US
N
2
2035-12-14
Fixed
4.15000000
N
N
N
N
N
N
BAT INTL FINANC 3.95% 06/15/25
N/A
BAT INTL FINANCE PLC REGD P/P 3.95000000
05530QAK6
70000.00000000
NS
USD
76577.69000000
0.005843114673
Long
DBT
CORP
GB
Y
2
2025-06-15
Fixed
3.95000000
N
N
N
N
N
N
BANCO SANTANDE 3.848% 04/12/23
5493006QMFDDMYWIAM13
BANCO SANTANDER SA REGD 3.84800000
05964HAG0
200000.00000000
NS
USD
210595.66000000
0.016069100426
Long
DBT
CORP
ES
N
2
2023-04-12
Fixed
3.84800000
N
N
N
N
N
N
ANHEUSER-BUSCH C 4.7% 02/01/36
N/A
ANHEUSER-BUSCH CO/INBEV REGD SER * 4.70000000
03522AAH3
1202000.00000000
NS
USD
1483916.58000000
0.113227426192
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
UMBS P#CB0100 2.5% 04/01/41
N/A
FANNIE MAE POOL UMBS P#CB0100 2.50000000
3140QKDE5
195865.34000000
NS
USD
208439.04000000
0.015904543648
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA P#AB2892 3% 09/15/42
N/A
GINNIE MAE I POOL P#AB2892 3.00000000
36178NF95
90877.55000000
NS
USD
96323.09000000
0.007349749784
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
OTIS WORLDWIDE 2.056% 04/05/25
549300ZLBKR8VSU25153
OTIS WORLDWIDE CORP REGD SER WI 2.05600000
68902VAH0
80000.00000000
NS
USD
82922.11000000
0.006327213548
Long
DBT
CORP
US
N
2
2025-04-05
Fixed
2.05600000
N
N
N
N
N
N
REPUBLIC OF IND 3.75% 04/25/22
N/A
REPUBLIC OF INDONESIA REGD EMTN 3.75000000
Y20721BC2
1400000.00000000
NS
USD
1431213.00000000
0.109205979977
Long
DBT
USGA
ID
N
2
2022-04-25
Fixed
3.75000000
N
N
N
N
N
N
BAT CAPITAL CO 3.984% 09/25/50
N/A
BAT CAPITAL CORP REGD 3.98400000
05526DBU8
150000.00000000
NS
USD
148747.85000000
0.011349921170
Long
DBT
CORP
US
N
2
2050-09-25
Fixed
3.98400000
N
N
N
N
N
N
FHRR R007 ZA 6% 05/15/36
N/A
FREDDIE MAC REFERENCE REMIC SER R007 CL ZA 6.00000000
31396NRF5
57513.88000000
NS
USD
67304.89000000
0.005135571343
Long
ABS-CBDO
CORP
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
RANGE RESOURCE 4.875% 05/15/25
H3Y3WLYCX0BTO1TRW162
RANGE RESOURCES CORP REGD 4.87500000
75281AAS8
50000.00000000
NS
USD
51812.50000000
0.003953454054
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.87500000
N
N
N
N
N
N
ORACLE CORP 3.9% 05/15/35
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP REGD 3.90000000
68389XBE4
506000.00000000
NS
USD
570716.01000000
0.043547397320
Long
DBT
CORP
US
N
2
2035-05-15
Fixed
3.90000000
N
N
N
N
N
N
ESA 2021-ESH A V/R 07/15/26
N/A
EXTENDED STAY AMERICA TRUST 2021-ESH SER 2021-ESH CL A V/R REGD 144A P/P 1.17600000
30227FAA8
830000.00000000
NS
USD
833949.72000000
0.063632943820
Long
ABS-CBDO
CORP
US
Y
2
2038-07-15
Variable
1.17600000
N
N
N
N
N
N
AERCAP IRELAND 4.45% 04/03/26
N/A
AERCAP IRELAND CAP/GLOBA REGD 4.45000000
00774MAL9
150000.00000000
NS
USD
164784.97000000
0.012573603044
Long
DBT
CORP
IE
N
2
2026-04-03
Fixed
4.45000000
N
N
N
N
N
N
GLP CAPITAL LP / 5.3% 01/15/29
N/A
GLP CAPITAL LP / FIN II REGD 5.30000000
361841AL3
220000.00000000
NS
USD
258626.50000000
0.019734002123
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
FGLMC P#Q41209 3.5% 06/01/46
N/A
FREDDIE MAC GOLD POOL P#Q41209 3.50000000
3132WEKX9
72845.13000000
NS
USD
78844.46000000
0.006016076237
Long
ABS-MBS
USGA
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP 6.5% 11/15/35
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 6.50000000
20030NAK7
7000.00000000
NS
USD
10221.46000000
0.000779929022
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
6.50000000
N
N
N
N
N
N
NATIONAL RETAIL 3.1% 04/15/50
5493008JKH5SOTI0JS97
NATIONAL RETAIL PROP INC REGD 3.10000000
637417AP1
164000.00000000
NS
USD
163185.92000000
0.012451590582
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.10000000
N
N
N
N
N
N
EQT CORP 3% 10/01/22
4NT01YGM4X7ZX86ISY52
EQT CORP REGD 3.00000000
26884LAE9
20000.00000000
NS
USD
20446.60000000
0.001560138840
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
3.00000000
N
N
N
N
N
N
SHELL INTERNATI 3.25% 04/06/50
N/A
SHELL INTERNATIONAL FIN REGD 3.25000000
822582CH3
480000.00000000
NS
USD
519270.42000000
0.039621939633
Long
DBT
CORP
NL
N
2
2050-04-06
Fixed
3.25000000
N
N
N
N
N
N
NRG ENERGY INC 2.45% 12/02/27
5E2UPK5SW04M13XY7I38
NRG ENERGY INC REGD 144A P/P 2.45000000
629377CP5
155000.00000000
NS
USD
157671.36000000
0.012030812592
Long
DBT
CORP
US
Y
2
2027-12-02
Fixed
2.45000000
N
N
N
N
N
N
IHS MARKIT LTD 4.75% 02/15/25
549300HLPTRASHS0E726
IHS MARKIT LTD REGD 144A P/P 4.75000000
44962LAB3
112000.00000000
NS
USD
124499.20000000
0.009499674152
Long
DBT
CORP
GB
Y
2
2025-02-15
Fixed
4.75000000
N
N
N
N
N
N
UMBS P#AL7430 3.5% 08/01/30
N/A
FANNIE MAE POOL UMBS P#AL7430 3.50000000
3138EQHG0
710761.73000000
NS
USD
770157.91000000
0.058765431350
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AL6175 3.5% 01/01/44
N/A
FANNIE MAE POOL UMBS P#AL6175 3.50000000
3138EN2H1
219909.91000000
NS
USD
239417.08000000
0.018268263944
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
FNGT 2000-T6 A3 V/R 01/25/28
N/A
FANNIE MAE GRANTOR TRUST 2000-T6 SER 2000-T6 CL A3 V/R 4.23766000
31358SR78
53134.11000000
NS
USD
54611.47000000
0.004167024125
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
4.23766000
N
N
N
N
N
N
BERRY GLOBAL IN 1.57% 01/15/26
N/A
BERRY GLOBAL INC REGD 144A P/P 1.57000000
08576PAB7
530000.00000000
NS
USD
535337.10000000
0.040847877027
Long
DBT
CORP
US
Y
2
2026-01-15
Fixed
1.57000000
N
N
N
N
N
N
UMBS P#AO2711 4% 05/01/42
N/A
FANNIE MAE POOL UMBS P#AO2711 4.00000000
3138LTAM0
10579.01000000
NS
USD
11568.99000000
0.000882749730
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
PLMRS 2014-1A A1 V/R 01/17/31
N/A
PALMER SQUARE CLO 2014-1 LTD SER 2014-1A CL A1R2 V/R REGD 144A P/P 1.26388000
69688XAS0
800000.00000000
NS
USD
801657.60000000
0.061168955154
Long
ABS-CBDO
CORP
KY
Y
2
2031-01-17
Variable
1.26388000
N
N
N
N
N
N
AON CORP 2.8% 05/15/30
N/A
AON CORP REGD 2.80000000
037389BE2
407000.00000000
NS
USD
430895.47000000
0.032878657522
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.80000000
N
N
N
N
N
N
BANK OF AMERIC 4.125% 01/22/24
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD MTN 4.12500000
06051GFB0
490000.00000000
NS
USD
531894.37000000
0.040585186076
Long
DBT
CORP
US
N
2
2024-01-22
Fixed
4.12500000
N
N
N
N
N
N
TECK RESOURCES L 3.9% 07/15/30
T8KI5SQ2JRWHL7XY0E11
TECK RESOURCES LIMITED REGD 3.90000000
878742BG9
200000.00000000
NS
USD
218265.21000000
0.016654310820
Long
DBT
CORP
CA
N
2
2030-07-15
Fixed
3.90000000
N
N
N
N
N
N
BANK OF AMERICA 4.25% 10/22/26
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD MTN 4.25000000
06051GFL8
20000.00000000
NS
USD
22730.37000000
0.001734397557
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
4.25000000
N
N
N
N
N
N
F/C US ULTRA BOND CBT DEC21
N/A
FUTURE CONTRACT ON US ULTRA BOND CBT DEC21 0.00000000
N/A
199.00000000
NC
USD
39258968.75000000
2.995580780246
N/A
DIR
CORP
US
N
1
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
Long
F/C US ULTRA BOND CBT DEC21
US ULTRA BOND CBT DEC21
2021-12-21
39386404.15000000
USD
-127435.40000000
N
N
N
T-MOBILE USA I 2.625% 02/15/29
N/A
T-MOBILE USA INC REGD 2.62500000
87264ABS3
110000.00000000
NS
USD
111512.50000000
0.008508748762
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
UBS GROUP AG 3.491% 05/23/23
549300SZJ9VS8SGXAN81
UBS GROUP AG REGD 144A P/P 3.49100000
90352JAA1
650000.00000000
NS
USD
664604.18000000
0.050711355174
Long
DBT
CORP
CH
Y
2
2023-05-23
Fixed
3.49100000
N
N
N
N
N
N
WELLS FARGO & 5.375% 11/02/43
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD 5.37500000
94974BFP0
230000.00000000
NS
USD
310028.88000000
0.023656162752
Long
DBT
CORP
US
N
2
2043-11-02
Fixed
5.37500000
N
N
N
N
N
N
FGLMC P#A96286 4% 01/01/41
N/A
FREDDIE MAC GOLD POOL P#A96286 4.00000000
3129446X4
27281.94000000
NS
USD
29904.81000000
0.002281829526
Long
ABS-MBS
USGA
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
US WEST COMM 7.25% 9/15/25
N/A
US WEST COMM QWEST CORORATION REGD 7.25000000
912920AK1
150000.00000000
NS
USD
177817.50000000
0.013568025405
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
7.25000000
N
N
N
N
N
N
VERIZON COMMUNIC 5.5% 03/16/47
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 5.50000000
92343VDV3
53000.00000000
NS
USD
75294.93000000
0.005745236116
Long
DBT
CORP
US
N
2
2047-03-16
Fixed
5.50000000
N
N
N
N
N
N
CITIGROUP INC 4.3% 11/20/26
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD 4.30000000
172967JC6
890000.00000000
NS
USD
1010668.64000000
0.077117144173
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
4.30000000
N
N
N
N
N
N
BANK OF AMERICA 4.2% 08/26/24
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD MTN 4.20000000
06051GFH7
600000.00000000
NS
USD
657894.87000000
0.050199414063
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
PARK AEROSPACE H 5.5% 02/15/24
N/A
PARK AEROSPACE HOLDINGS REGD 144A P/P 5.50000000
70014LAB6
60000.00000000
NS
USD
65868.86000000
0.005025997811
Long
DBT
CORP
IE
Y
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
FGLMC P#G07028 4% 06/01/42
N/A
FREDDIE MAC GOLD POOL P#G07028 4.00000000
3128M9D90
72064.98000000
NS
USD
79207.55000000
0.006043781127
Long
ABS-MBS
USGA
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#QA7256 3% 02/01/50
N/A
FREDDIE MAC POOL UMBS P#QA7256 3.00000000
3133A2BZ2
95626.43000000
NS
USD
100147.82000000
0.007641588516
Long
ABS-MBS
USGA
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
GEORGIA-PACIFIC 3.6% 03/01/25
N/A
GEORGIA-PACIFIC LLC REGD P/P 3.60000000
37331NAH4
175000.00000000
NS
USD
190434.52000000
0.014530743067
Long
DBT
CORP
US
Y
2
2025-03-01
Fixed
3.60000000
N
N
N
N
N
N
CAS 2017-C07 1M2 V/R 05/25/30
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C07 CL 1M2 V/R REGD 2.48438000
30711XUX0
866931.23000000
NS
USD
880331.91000000
0.067172048421
Long
ABS-CBDO
CORP
US
N
2
2030-05-25
Variable
2.48438000
N
N
N
N
N
N
LIFE STORAGE L 3.875% 12/15/27
N/A
LIFE STORAGE LP REGD 3.87500000
53227JAA2
350000.00000000
NS
USD
394966.55000000
0.030137169765
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.87500000
N
N
N
N
N
N
BSABS 2005-AC6 1 V/R 09/25/35
N/A
BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005-AC6 SER 2005-AC6 CL 1A3 V/R REGD 5.50000000
073879L55
305658.86000000
NS
USD
310227.39000000
0.023671309679
Long
ABS-CBDO
CORP
US
N
2
2035-09-25
Variable
5.50000000
N
N
N
N
N
N
MAGNA INTERNATI 2.45% 06/15/30
95RWVLFZX6VGDZNNTN43
MAGNA INTERNATIONAL INC REGD 2.45000000
559222AV6
239000.00000000
NS
USD
247109.83000000
0.018855244570
Long
DBT
CORP
CA
N
2
2030-06-15
Fixed
2.45000000
N
N
N
N
N
N
UMBS P#257125 5.5% 03/01/28
N/A
FANNIE MAE POOL UMBS P#257125 5.50000000
31371NSN6
9561.13000000
NS
USD
10686.79000000
0.000815435141
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
5.50000000
N
N
N
N
N
N
DELTA AIR LINE 7.375% 01/15/26
Q2CCMS6R0AS67HJMBN42
DELTA AIR LINES INC REGD 7.37500000
247361ZZ4
210000.00000000
NS
USD
247400.26000000
0.018877405277
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.37500000
N
N
N
N
N
N
FEDEX CORP 4.9% 01/15/34
549300E707U7WNPZN687
FEDEX CORP REGD 4.90000000
31428XAX4
91000.00000000
NS
USD
114271.37000000
0.008719259078
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.90000000
N
N
N
N
N
N
DUKE ENERGY CARO 3.2% 08/15/49
N/A
DUKE ENERGY CAROLINAS REGD 3.20000000
26442CAZ7
205000.00000000
NS
USD
218259.44000000
0.016653870552
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.20000000
N
N
N
N
N
N
UMBS P#ZT1476 3.5% 02/01/48
N/A
FREDDIE MAC POOL UMBS P#ZT1476 3.50000000
3132ADT99
149277.56000000
NS
USD
158615.50000000
0.012102853395
Long
ABS-MBS
USGA
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
GENERAL MOTORS F 4.3% 07/13/25
N/A
GENERAL MOTORS FINL CO REGD 4.30000000
37045XAZ9
104000.00000000
NS
USD
115053.00000000
0.008778899866
Long
DBT
CORP
US
N
2
2025-07-13
Fixed
4.30000000
N
N
N
N
N
N
GNMA II P#784106 3.5% 01/20/46
N/A
GINNIE MAE II POOL P#784106 3.50000000
3622A2R38
42194.91000000
NS
USD
45216.35000000
0.003450147401
Long
ABS-MBS
USGSE
US
N
2
2046-01-20
Fixed
3.50000000
N
N
N
N
N
N
FNS 409 C22 4.5% 11/25/39
N/A
FANNIE MAE INTEREST STRIP SER 409 CL C22 4.50000000
3136FLFR2
20874.41000000
NS
USD
2962.29000000
0.000226031892
Long
ABS-CBDO
CORP
US
N
2
2039-11-25
Fixed
4.50000000
N
N
N
N
N
N
FHR 3451 SB V/R 05/15/38
N/A
FREDDIE MAC REMICS SER 3451 CL SB V/R 5.93450000
31397TP97
18936.29000000
NS
USD
2921.36000000
0.000222908806
Long
ABS-CBDO
CORP
US
N
2
2038-05-15
Variable
5.93450000
N
N
N
N
N
N
NXP BV/NXP FDG/N 2.7% 05/01/25
N/A
NXP BV/NXP FDG/NXP USA REGD 144A P/P 2.70000000
62954HAE8
90000.00000000
NS
USD
94735.90000000
0.007228642276
Long
DBT
CORP
NL
Y
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
UMBS P#ZS4739 3.5% 10/01/47
N/A
FREDDIE MAC POOL UMBS P#ZS4739 3.50000000
3132A5HQ1
233453.83000000
NS
USD
248262.64000000
0.018943207539
Long
ABS-MBS
USGA
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
US TREAS NTS 0.125% 06/30/23
N/A
UNITED STATES TREASURY NOTE 0.12500000
91282CCK5
8050000.00000000
NS
USD
8044025.37000000
0.613784023407
Long
DBT
UST
US
N
2
2023-06-30
Fixed
0.12500000
N
N
N
N
N
N
UNION PACIFIC 2.891% 04/06/36
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP REGD 144A P/P 2.89100000
907818FP8
651000.00000000
NS
USD
685139.68000000
0.052278277360
Long
DBT
CORP
US
Y
2
2036-04-06
Fixed
2.89100000
N
N
N
N
N
N
PRIME 06-DR1 1A1 5.5% 5/25/35
N/A
PRIME 06-DR1 1A1 5.5% 5/25/35 5.50000000
74159UAA5
10207.84000000
NS
USD
10213.13000000
0.000779293417
Long
ABS-CBDO
CORP
US
Y
2
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
AVOLON HOLDING 2.875% 02/15/25
N/A
AVOLON HOLDINGS FNDG LTD REGD 144A P/P 2.87500000
05401AAH4
500000.00000000
NS
USD
515839.75000000
0.039360168898
Long
DBT
CORP
IE
Y
2
2025-02-15
Fixed
2.87500000
N
N
N
N
N
N
UMBS P#AT6549 4% 06/01/43
N/A
FANNIE MAE POOL UMBS P#AT6549 4.00000000
3138WUH30
32226.84000000
NS
USD
35966.60000000
0.002744362858
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
US T BILL ZCP 01/20/22
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796K81
1460000.00000000
PA
USD
1459736.95000000
0.111382445613
Long
STIV
UST
US
N
2
2022-01-20
Fixed
0.00000000
N
N
N
N
N
N
HOME DEPOT INC 3.9% 06/15/47
QEKMOTMBBKA8I816DO57
HOME DEPOT INC REGD 3.90000000
437076BS0
20000.00000000
NS
USD
24077.83000000
0.001837212924
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
3.90000000
N
N
N
N
N
N
UMBS P#BD6718 3% 09/01/46
N/A
FANNIE MAE POOL UMBS P#BD6718 3.00000000
3140FEPC2
19390.20000000
NS
USD
20646.00000000
0.001575353677
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
SCRT 2020-2 M V/R 11/25/59
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2 SER 2020-2 CL M V/R REGD 144A P/P 4.25000000
35563PRE1
210000.00000000
NS
USD
220318.14000000
0.016810955731
Long
ABS-CBDO
CORP
US
Y
2
2059-11-25
Variable
4.25000000
N
N
N
N
N
N
COCA-COLA CO/THE 2.6% 06/01/50
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE REGD 2.60000000
191216CX6
60000.00000000
NS
USD
59426.63000000
0.004534435731
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.60000000
N
N
N
N
N
N
ITC HOLDINGS CO 4.05% 07/01/23
N/A
ITC HOLDINGS CORP REGD 4.05000000
465685AG0
400000.00000000
NS
USD
421443.65000000
0.032157454413
Long
DBT
CORP
US
N
2
2023-07-01
Fixed
4.05000000
N
N
N
N
N
N
CITIGROUP INC 4.75% 05/18/46
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD 4.75000000
172967KR1
30000.00000000
NS
USD
38666.44000000
0.002950369003
Long
DBT
CORP
US
N
2
2046-05-18
Fixed
4.75000000
N
N
N
N
N
N
REPUBLIC OF POLAND 4% 01/22/24
N/A
REPUBLIC OF POLAND REGD 4.00000000
857524AC6
810000.00000000
NS
USD
878583.51000000
0.067038640091
Long
DBT
USGA
PL
N
2
2024-01-22
Fixed
4.00000000
N
N
N
N
N
N
GNR 2018-124 NW 3.5% 09/20/48
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-124 CL NW 3.50000000
38380Y2X2
134936.46000000
NS
USD
145031.30000000
0.011066336907
Long
ABS-CBDO
CORP
US
N
2
2048-09-20
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#MA6865 2.5% 09/20/50
N/A
GINNIE MAE II POOL P#MA6865 2.50000000
36179VTW0
1467794.77000000
NS
USD
1523581.33000000
0.116253969337
Long
ABS-MBS
USGSE
US
N
2
2050-09-20
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#MA3240 4.5% 01/01/48
N/A
FANNIE MAE POOL UMBS P#MA3240 4.50000000
31418CS62
54974.97000000
NS
USD
59721.01000000
0.004556897835
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#MA3657 3% 05/01/34
N/A
FANNIE MAE POOL UMBS P#MA3657 3.00000000
31418DB35
169541.48000000
NS
USD
178939.88000000
0.013653666472
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#BL1355 3.64% 03/01/28
N/A
FANNIE MAE POOL UMBS P#BL1355 3.64000000
3140HSQH7
1152623.78000000
NS
USD
1312518.78000000
0.100149243759
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
3.64000000
N
N
N
N
N
N
ALTRIA GROUP IN 2.45% 02/04/32
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC REGD 2.45000000
02209SBL6
560000.00000000
NS
USD
547822.94000000
0.041800585249
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
2.45000000
N
N
N
N
N
N
US TREAS BDS 1.75% 8/15/51
N/A
UNITED STATES TREASURY BOND 1.75000000
912810SZ2
20635000.00000000
NS
USD
20973542.96000000
1.600346218586
Long
DBT
UST
US
N
2
2051-08-15
Fixed
1.75000000
N
N
N
N
N
N
T/L FRONERI INTER 0% 01/29/27
N/A
T/L FRONERI INTERNATIONAL PLC REGD 0.00000000
G3679YAC6
158400.00000000
NS
USD
156210.91000000
0.011919375739
Long
LON
CORP
GB
N
2
2027-01-29
Variable
2.33463000
N
N
N
N
N
N
COCA-COLA CO/TH 3.45% 03/25/30
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE REGD 3.45000000
191216CT5
179000.00000000
NS
USD
203247.17000000
0.015508387904
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
3.45000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 06/01/24
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 1.51400000
46647PBQ8
460000.00000000
NS
USD
468290.59000000
0.035732020876
Long
DBT
CORP
US
N
2
2024-06-01
Variable
1.51400000
N
N
N
N
N
N
WELLS FARGO & COMP 3% 10/23/26
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD 3.00000000
949746SH5
260000.00000000
NS
USD
281266.38000000
0.021461495013
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
AMER AIRLINE 16 3.75% 10/15/25
N/A
AMER AIRLINE 16-3 B PTT REGD 3.75000000
023771S41
690.66000000
NS
USD
670.87000000
0.000051189456
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.75000000
N
N
N
N
N
N
UMBS P#QB9090 2% 02/01/51
N/A
FREDDIE MAC POOL UMBS P#QB9090 2.00000000
3133AGC31
98806.60000000
NS
USD
100848.92000000
0.007695084615
Long
ABS-MBS
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
T/L CITADEL SECURI 0% 02/29/28
N/A
T/L CITADEL SECURITIES LP REGD 0.00000000
N/A
468226.50000000
NS
USD
462624.17000000
0.035299655499
Long
LON
CORP
US
N
2
2028-02-29
Variable
2.58463000
N
N
N
N
N
N
GENERAL MOTORS 6.125% 10/01/25
54930070NSV60J38I987
GENERAL MOTORS CO REGD 6.12500000
37045VAV2
290000.00000000
NS
USD
342090.03000000
0.026102527692
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
UMBS P#BD2455 3% 01/01/47
N/A
FANNIE MAE POOL UMBS P#BD2455 3.00000000
3140F9WR2
246039.33000000
NS
USD
263297.91000000
0.020090445159
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
UNITED MEXICAN 4.75% 04/27/32
N/A
UNITED MEXICAN STATES REGD 4.75000000
91087BAK6
200000.00000000
NS
USD
232214.00000000
0.017718646654
Long
DBT
USGA
MX
N
2
2032-04-27
Fixed
4.75000000
N
N
N
N
N
N
UMBS P#CA0684 3.5% 11/01/47
N/A
FANNIE MAE POOL UMBS P#CA0684 3.50000000
3140Q7XN2
1094832.55000000
NS
USD
1192593.84000000
0.090998599797
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#BM5822 3% 11/01/48
N/A
FANNIE MAE POOL UMBS P#BM5822 3.00000000
3140JAPG7
2071100.14000000
NS
USD
2190094.66000000
0.167110998564
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC SERVI 3.375% 11/15/27
NKNQHM6BLECKVOQP7O46
REPUBLIC SERVICES INC REGD 3.37500000
760759AS9
219000.00000000
NS
USD
241549.44000000
0.018430969609
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.37500000
N
N
N
N
N
N
AUTODESK INC 4.375% 06/15/25
FRKKVKAIQEF3FCSTPG55
AUTODESK INC REGD 4.37500000
052769AD8
59000.00000000
NS
USD
65763.53000000
0.005017960806
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
4.37500000
N
N
N
N
N
N
STARBUCKS CORP 2.25% 03/12/30
OQSJ1DU9TAOC51A47K68
STARBUCKS CORP REGD 2.25000000
855244AW9
280000.00000000
NS
USD
286239.81000000
0.021840983109
Long
DBT
CORP
US
N
2
2030-03-12
Fixed
2.25000000
N
N
N
N
N
N
GNMA II P#4837 6% 10/20/40
N/A
GINNIE MAE II POOL P#4837 6.00000000
36202FLS3
11077.44000000
NS
USD
12973.38000000
0.000989909032
Long
ABS-MBS
USGSE
US
N
2
2040-10-20
Fixed
6.00000000
N
N
N
N
N
N
GNMA II P#MA4962 3.5% 01/20/48
N/A
GINNIE MAE II POOL P#MA4962 3.50000000
36179TQP3
79465.02000000
NS
USD
84454.29000000
0.006444123622
Long
ABS-MBS
USGSE
US
N
2
2048-01-20
Fixed
3.50000000
N
N
N
N
N
N
FNR 2012-35 SC V/R 04/25/42
N/A
FANNIE MAE REMICS SER 2012-35 CL SC V/R 6.41562000
3136A5LM6
53408.30000000
NS
USD
10770.53000000
0.000821824762
Long
ABS-CBDO
CORP
US
N
2
2042-04-25
Variable
6.41562000
N
N
N
N
N
N
APPLE INC 1.125% 05/11/25
HWUPKR0MPOU8FGXBT394
APPLE INC REGD 1.12500000
037833DT4
290000.00000000
NS
USD
293546.55000000
0.022398509978
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.12500000
N
N
N
N
N
N
UNITED MEXICAN 2.659% 05/24/31
N/A
UNITED MEXICAN STATES REGD 2.65900000
91087BAM2
1499000.00000000
NS
USD
1487862.43000000
0.113528506755
Long
DBT
USGA
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
CVS HEALTH CORP 4.78% 03/25/38
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 4.78000000
126650CY4
440000.00000000
NS
USD
547906.56000000
0.041806965714
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
4.78000000
N
N
N
N
N
N
CITIGROUP INC 4.65% 07/30/45
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD 4.65000000
172967JU6
196000.00000000
NS
USD
255489.81000000
0.019494662971
Long
DBT
CORP
US
N
2
2045-07-30
Fixed
4.65000000
N
N
N
N
N
N
MACQUARIE GROUP L V/R 09/23/27
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP LTD REGD V/R 144A P/P MTN 1.62900000
55607PAF2
100000.00000000
NS
USD
100482.08000000
0.007667093588
Long
DBT
CORP
AU
Y
2
2027-09-23
Variable
1.62900000
N
N
N
N
N
N
APPLE INC 2.8% 02/08/61
HWUPKR0MPOU8FGXBT394
APPLE INC REGD 2.80000000
037833EG1
111000.00000000
NS
USD
110177.96000000
0.008406919231
Long
DBT
CORP
US
N
2
2061-02-08
Fixed
2.80000000
N
N
N
N
N
N
BNP PARIBAS V/R 11/19/25
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS REGD V/R 144A P/P 2.81900000
09659W2J2
490000.00000000
NS
USD
514067.39000000
0.039224932347
Long
DBT
CORP
FR
Y
2
2025-11-19
Variable
2.81900000
N
N
N
N
N
N
UNITED MEXICAN S 4.5% 04/22/29
N/A
UNITED MEXICAN STATES REGD 4.50000000
91087BAF7
572000.00000000
NS
USD
656063.98000000
0.050059711492
Long
DBT
USGA
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
ABBVIE INC 4.4% 11/06/42
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD SER WI 4.40000000
00287YAM1
489000.00000000
NS
USD
595391.98000000
0.045430250176
Long
DBT
CORP
US
N
2
2042-11-06
Fixed
4.40000000
N
N
N
N
N
N
EXXON MOBIL CO 1.571% 04/15/23
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORPORATION REGD 1.57100000
30231GBL5
20000.00000000
NS
USD
20409.87000000
0.001557336227
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
1.57100000
N
N
N
N
N
N
UMBS P#BD6533 3% 10/01/46
N/A
FANNIE MAE POOL UMBS P#BD6533 3.00000000
3140FEHK3
75301.15000000
NS
USD
80864.50000000
0.006170211539
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#888030 5.5% 12/01/36
N/A
FANNIE MAE POOL UMBS P#888030 5.50000000
31410FST3
27721.94000000
NS
USD
32199.16000000
0.002456895530
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
GILEAD SCIENCES 4.75% 03/01/46
549300WTZWR07K8MNV44
GILEAD SCIENCES INC REGD 4.75000000
375558BD4
130000.00000000
NS
USD
167390.17000000
0.012772387864
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.75000000
N
N
N
N
N
N
MAGNE 2016-18A A V/R 11/15/28
N/A
MAGNETITE XVIII LTD SER 2016-18A CL AR V/R REGD 144A P/P 1.20475000
55953TAJ6
700000.00000000
NS
USD
700251.44000000
0.053431351403
Long
ABS-CBDO
CORP
KY
Y
2
2028-11-15
Variable
1.20475000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 05/01/29
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 4.22300000
38141GWZ3
1330000.00000000
NS
USD
1524267.23000000
0.116306305629
Long
DBT
CORP
US
N
2
2029-05-01
Variable
4.22300000
N
N
N
N
N
N
KKR GROUP FIN CO 5.5% 02/01/43
N/A
KKR GROUP FIN CO II REGD P/P 5.50000000
48249DAA9
30000.00000000
NS
USD
40622.77000000
0.003099643035
Long
DBT
CORP
US
Y
2
2043-02-01
Fixed
5.50000000
N
N
N
N
N
N
TRANSOCEAN POS 6.875% 02/01/27
N/A
TRANSOCEAN POSEIDON LTD REGD 144A P/P 6.87500000
89383JAA6
140000.00000000
NS
USD
135625.00000000
0.010348607114
Long
DBT
CORP
KY
Y
2
2027-02-01
Fixed
6.87500000
N
N
N
N
N
N
CVS HEALTH COR 4.125% 04/01/40
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 4.12500000
126650DK3
50000.00000000
NS
USD
58203.02000000
0.004441070502
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.12500000
N
N
N
N
N
N
CROWN CASTLE INT 3.7% 06/15/26
54930012H97VSM0I2R19
CROWN CASTLE INTL CORP REGD 3.70000000
22822VAC5
172000.00000000
NS
USD
189528.15000000
0.014461584232
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.70000000
N
N
N
N
N
N
UMBS P#MA1363 3% 02/01/43
N/A
FANNIE MAE POOL UMBS P#MA1363 3.00000000
31418AQR2
145795.33000000
NS
USD
155554.67000000
0.011869302596
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
COMM 2014-CR21 C V/R 12/10/24
N/A
COMM 2014-CCRE21 MORTGAGE TRUST SER 2014-CR21 CL C V/R REGD 4.56918400
12592RBM0
210000.00000000
NS
USD
220140.02000000
0.016797364624
Long
ABS-CBDO
CORP
US
N
2
2047-12-10
Variable
4.56918400
N
N
N
N
N
N
UMBS P#AL3650 5% 02/01/41
N/A
FANNIE MAE POOL UMBS P#AL3650 5.00000000
3138ELBU6
171549.23000000
NS
USD
194472.14000000
0.014838825965
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
5.00000000
N
N
N
N
N
N
LOWE'S COS INC 4.5% 04/15/30
WAFCR4OKGSC504WU3E95
LOWE'S COS INC REGD 4.50000000
548661DU8
70000.00000000
NS
USD
83180.62000000
0.006346938661
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.50000000
N
N
N
N
N
N
DEVON ENERGY COR 4.5% 01/15/30
54930042348RKR3ZPN35
DEVON ENERGY CORPORATION REGD 144A P/P 4.50000000
25179MBA0
20000.00000000
NS
USD
21843.13000000
0.001666698400
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#RA2353 4.5% 03/01/50
N/A
FREDDIE MAC POOL UMBS P#RA2353 4.50000000
3133KHTJ5
50932.60000000
NS
USD
55330.67000000
0.004221901310
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA II P#MA5078 4% 03/20/48
N/A
GINNIE MAE II POOL P#MA5078 4.00000000
36179TUB9
297251.59000000
NS
USD
315720.68000000
0.024090464702
Long
ABS-MBS
USGSE
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
T/L US FOODS INC 0% 06/27/23
N/A
T/L US FOODS INC REGD 0.00000000
90351HAB4
313636.36000000
NS
USD
310528.22000000
0.023694263939
Long
LON
CORP
US
N
2
2023-06-27
Variable
1.83463000
N
N
N
N
N
N
TEXTRON INC 3.65% 03/15/27
3PPKBHUG1HD6BO7RNR87
TEXTRON INC REGD 3.65000000
883203BX8
70000.00000000
NS
USD
77697.89000000
0.005928589399
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.65000000
N
N
N
N
N
N
UMBS P#AS8487 3% 12/01/46
N/A
FANNIE MAE POOL UMBS P#AS8487 3.00000000
3138WJND6
403215.45000000
NS
USD
431640.93000000
0.032935538427
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#MA3276 3.5% 02/01/48
N/A
FANNIE MAE POOL UMBS P#MA3276 3.50000000
31418CUA0
363399.24000000
NS
USD
387000.39000000
0.029529327110
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#MA3521 3.5% 03/20/46
N/A
GINNIE MAE II POOL P#MA3521 3.50000000
36179R4E6
258289.44000000
NS
USD
274520.14000000
0.020946736028
Long
ABS-MBS
USGSE
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC 4.5% 03/09/48
549300Z40J86GGSTL398
AT&T INC REGD SER WI 4.50000000
00206RDJ8
238000.00000000
NS
USD
282066.97000000
0.021522582507
Long
DBT
CORP
US
N
2
2048-03-09
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#MA3444 4.5% 08/01/48
N/A
FANNIE MAE POOL UMBS P#MA3444 4.50000000
31418CZJ6
173046.86000000
NS
USD
187150.00000000
0.014280124029
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNI 1.45% 03/20/26
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 1.45000000
92343VGG3
90000.00000000
NS
USD
91245.64000000
0.006962324639
Long
DBT
CORP
US
N
2
2026-03-20
Fixed
1.45000000
N
N
N
N
N
N
FGLMC P#G67703 3.5% 04/01/47
N/A
FREDDIE MAC GOLD POOL P#G67703 3.50000000
3132XCRY3
108073.49000000
NS
USD
117919.22000000
0.008997601320
Long
ABS-MBS
USGA
US
N
2
2047-04-01
Fixed
3.50000000
N
N
N
N
N
N
CIGNA CORP 4.125% 11/15/25
549300VIWYMSIGT1U456
CIGNA CORP REGD SER WI 4.12500000
125523AG5
624000.00000000
NS
USD
697604.18000000
0.053229357274
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
OHIO POWER COM 1.625% 01/15/31
N/A
OHIO POWER COMPANY REGD SER Q 1.62500000
677415CT6
118000.00000000
NS
USD
115054.70000000
0.008779029581
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.62500000
N
N
N
N
N
N
EVERNORTH HEALTH 4.5% 02/25/26
N/A
EVERNORTH HEALTH INC REGD SER 10YR 4.50000000
30219GAM0
88000.00000000
NS
USD
98941.48000000
0.007549541042
Long
DBT
CORP
US
N
2
2026-02-25
Fixed
4.50000000
N
N
N
N
N
N
BP CAP MARKETS 3.633% 04/06/30
N/A
BP CAP MARKETS AMERICA REGD 3.63300000
10373QBL3
110000.00000000
NS
USD
124376.87000000
0.009490339994
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
GNMA P#731669 5% 09/15/40
N/A
GINNIE MAE I POOL P#731669 5.00000000
3620AJ2A6
87831.30000000
NS
USD
99958.71000000
0.007627158838
Long
ABS-MBS
USGSE
US
N
2
2040-09-15
Fixed
5.00000000
N
N
N
N
N
N
ENTERPRISE PROD 4.15% 10/16/28
N/A
ENTERPRISE PRODUCTS OPER REGD 4.15000000
29379VBT9
780000.00000000
NS
USD
896855.46000000
0.068432846408
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
FNR 2013-54 BS V/R 06/25/43
N/A
FANNIE MAE REMICS SER 2013-54 CL BS V/R 6.06562000
3136AETS6
58843.44000000
NS
USD
12714.41000000
0.000970148820
Long
ABS-CBDO
CORP
US
N
2
2043-06-25
Variable
6.06562000
N
N
N
N
N
N
UMBS P#BJ2544 3% 12/01/37
N/A
FANNIE MAE POOL UMBS P#BJ2544 3.00000000
3140H3ZJ8
36838.49000000
NS
USD
38692.24000000
0.002952337623
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
3.00000000
N
N
N
N
N
N
NIKE INC 2.4% 03/27/25
787RXPR0UX0O0XUXPZ81
NIKE INC REGD 2.40000000
654106AH6
40000.00000000
NS
USD
42403.89000000
0.003235548001
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
2.40000000
N
N
N
N
N
N
UMBS P#MA4031 4.5% 05/01/50
N/A
FANNIE MAE POOL UMBS P#MA4031 4.50000000
31418DPR7
179816.28000000
NS
USD
194765.99000000
0.014861247629
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
SOUTHWESTERN PU 3.15% 05/01/50
N/A
SOUTHWESTERN PUBLIC SERV REGD SER 8 3.15000000
845743BU6
134000.00000000
NS
USD
141868.90000000
0.010825036002
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.15000000
N
N
N
N
N
N
INDX 2005-AR15 A V/R 09/25/35
N/A
INDYMAC INDX MORTGAGE LOAN TRUST 2005-AR15 SER 2005-AR15 CL A2 V/R REGD 2.93474000
45660LVM8
31175.41000000
NS
USD
29692.21000000
0.002265607488
Long
ABS-CBDO
CORP
US
N
2
2035-09-25
Variable
2.93474000
N
N
N
N
N
N
UMBS P#985439 5% 07/01/23
N/A
FANNIE MAE POOL UMBS P#985439 5.00000000
31415PV88
1608.19000000
NS
USD
1676.52000000
0.000127923663
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
5.00000000
N
N
N
N
N
N
BNP PARIBAS 4.4% 08/14/28
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS REGD 144A P/P 4.40000000
09659W2F0
750000.00000000
NS
USD
865580.81000000
0.066046493852
Long
DBT
CORP
FR
Y
2
2028-08-14
Fixed
4.40000000
N
N
N
N
N
N
MRAIT 2021-EBO1 V/R 10/08/21
N/A
MRA ISSUANCE TRUST SER 2021-EBO1 CL A1X V/R REGD 144A P/P 1.85025000
55349BAA7
530000.00000000
NS
USD
530280.53000000
0.040462045091
Long
STIV
CORP
US
N
2
2021-10-08
Variable
1.85025000
N
N
N
N
N
N
CHENIERE CORP 5.125% 06/30/27
N/A
CHENIERE CORP CHRISTI HD REGD 5.12500000
16412XAG0
323000.00000000
NS
USD
375955.67000000
0.028686580802
Long
DBT
CORP
US
N
2
2027-06-30
Fixed
5.12500000
N
N
N
N
N
N
GENERAL ELECTR 3.625% 05/01/30
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO REGD 3.62500000
369604BW2
70000.00000000
NS
USD
78789.37000000
0.006011872700
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.62500000
N
N
N
N
N
N
GNR 2014-H20 FA V/R 10/20/64
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-H20 CL FA V/R 0.53288000
38375UQY9
1360315.36000000
NS
USD
1365456.26000000
0.104188537268
Long
ABS-CBDO
CORP
US
N
2
2064-10-20
Variable
0.53288000
N
N
N
N
N
N
PEPSICO INC 1.625% 05/01/30
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC REGD 1.62500000
713448EZ7
150000.00000000
NS
USD
149669.48000000
0.011420244391
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
1.62500000
N
N
N
N
N
N
DTE ELECTRIC CO 3.95% 03/01/49
N/A
DTE ELECTRIC CO REGD 3.95000000
23338VAJ5
100000.00000000
NS
USD
121440.85000000
0.009266312584
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
3.95000000
N
N
N
N
N
N
UMBS P#ZS9316 3.5% 01/01/38
N/A
FREDDIE MAC POOL UMBS P#ZS9316 3.50000000
3132AAK52
140647.47000000
NS
USD
152263.27000000
0.011618158593
Long
ABS-MBS
USGA
US
N
2
2038-01-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#QC0161 2% 03/01/51
N/A
FREDDIE MAC POOL UMBS P#QC0161 2.00000000
3133AJFA6
95852.90000000
NS
USD
97511.52000000
0.007440430670
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
GNR 2015-167 SA V/R 11/20/45
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-167 CL SA V/R 6.16162000
38379FEC9
220411.57000000
NS
USD
43447.55000000
0.003315182488
Long
ABS-CBDO
CORP
US
N
2
2045-11-20
Variable
6.16162000
N
N
N
N
N
N
US TREAS NTS 1.25% 06/30/28
N/A
UNITED STATES TREASURY NOTE 1.25000000
91282CCH2
1590000.00000000
NS
USD
1610371.88000000
0.122876356826
Long
DBT
UST
US
N
2
2028-06-30
Fixed
1.25000000
N
N
N
N
N
N
DUKE ENERGY FLOR 2.5% 12/01/29
N/A
DUKE ENERGY FLORIDA LLC REGD 2.50000000
26444HAH4
334000.00000000
NS
USD
352165.96000000
0.026871352325
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
2.50000000
N
N
N
N
N
N
TOLL BROS FINA 4.375% 04/15/23
N/A
TOLL BROS FINANCE CORP REGD 4.37500000
88947EAN0
50000.00000000
NS
USD
52187.50000000
0.003982067714
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.37500000
N
N
N
N
N
N
BERKSHIRE HATHAW 4.4% 05/15/42
N/A
BERKSHIRE HATHAWAY FIN REGD 4.40000000
084664BU4
400000.00000000
NS
USD
506202.64000000
0.038624827589
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.40000000
N
N
N
N
N
N
KEYCORP 2.25% 04/06/27
RKPI3RZGV1V1FJTH5T61
KEYCORP REGD MTN 2.25000000
49326EEK5
189000.00000000
NS
USD
197150.69000000
0.015043207618
Long
DBT
CORP
US
N
2
2027-04-06
Fixed
2.25000000
N
N
N
N
N
N
GNMA II P#MA4261 3% 02/20/47
N/A
GINNIE MAE II POOL P#MA4261 3.00000000
36179SWW3
799331.30000000
NS
USD
844886.99000000
0.064467491360
Long
ABS-MBS
USGSE
US
N
2
2047-02-20
Fixed
3.00000000
N
N
N
N
N
N
DEERE & COMPANY 3.75% 04/15/50
PWFTNG3EI0Y73OXWDH08
DEERE & COMPANY REGD 3.75000000
244199BK0
130000.00000000
NS
USD
159034.68000000
0.012134838126
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.75000000
N
N
N
N
N
N
MDC HOLDINGS INC 6% 01/15/43
5299005FV4VNV75R8R35
MDC HOLDINGS INC REGD 6.00000000
552676AQ1
10000.00000000
NS
USD
12899.30000000
0.000984256499
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
6.00000000
N
N
N
N
N
N
GNMA II P#784825 3.5% 10/20/49
N/A
GINNIE MAE II POOL P#784825 3.50000000
3622AAHA5
65101.05000000
NS
USD
67489.10000000
0.005149627136
Long
ABS-MBS
USGSE
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
GNR 2016-84 IG 4.5% 11/16/45
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2016-84 CL IG 4.50000000
38379XGR5
63659.21000000
NS
USD
11108.12000000
0.000847583923
Long
ABS-CBDO
CORP
US
N
2
2045-11-16
Fixed
4.50000000
N
N
N
N
N
N
CONOCOPHILLIPS 4.3% 08/15/28
WPTL2Z3FIYTHSP5V2253
CONOCOPHILLIPS REGD 144A P/P 4.30000000
20825CAX2
550000.00000000
NS
USD
637811.07000000
0.048666957985
Long
DBT
CORP
US
Y
2
2028-08-15
Fixed
4.30000000
N
N
N
N
N
N
FNMA P#843997 V/R 11/1/35
N/A
FNMA P#843997 V/R 11/1/35 1.96100000
31407XUW9
5735.31000000
NS
USD
5998.08000000
0.000457672061
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Variable
1.96100000
N
N
N
N
N
N
OBP 2019-OBP 2.516% 09/15/29
N/A
ONE BRYANT PARK TRUST 2019-OBP SER 2019-OBP CL A REGD 144A P/P 2.51641000
68236JAA9
500000.00000000
NS
USD
524254.60000000
0.040002247988
Long
ABS-CBDO
CORP
US
Y
2
2054-09-15
Fixed
2.51641000
N
N
N
N
N
N
T/L CHARTER 0% 04/30/2025
N/A
T/L CHARTER COMMUNICATIONS OPERATING LLC REGD 0.00000000
16117LBW8
345203.84000000
NS
USD
344406.42000000
0.026279275416
Long
LON
CORP
US
N
2
2025-04-30
Variable
1.84000000
N
N
N
N
N
N
US TREAS BDS 2.25% 08/15/49
N/A
UNITED STATES TREASURY BOND 2.25000000
912810SJ8
950000.00000000
NS
USD
1016500.00000000
0.077562094982
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
EMLT 2003-2 M2 V/R 09/25/33
N/A
EQUIFIRST MORTGAGE LOAN TRUST 2003-2 SER 2003-2 CL M2 V/R REGD 2.63438000
29445FAK4
229206.41000000
NS
USD
231997.69000000
0.017702141532
Long
ABS-CBDO
CORP
US
N
2
2033-09-25
Variable
2.63438000
N
N
N
N
N
N
UMBS P#BM4304 3% 02/01/30
N/A
FANNIE MAE POOL UMBS P#BM4304 3.00000000
3140J8YA5
388389.09000000
NS
USD
409050.20000000
0.031211795833
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
3.00000000
N
N
N
N
N
N
US TREAS NTS 0.375% 07/15/24
N/A
UNITED STATES TREASURY NOTE 0.37500000
91282CCL3
602000.00000000
NS
USD
601952.97000000
0.045930874013
Long
DBT
UST
US
N
2
2024-07-15
Fixed
0.37500000
N
N
N
N
N
N
UMBS P#AQ4372 2.5% 11/01/27
N/A
FANNIE MAE POOL UMBS P#AQ4372 2.50000000
3138MK2E5
110084.68000000
NS
USD
115873.37000000
0.008841496635
Long
ABS-MBS
USGSE
US
N
2
2027-11-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#975331 5% 05/01/23
N/A
FANNIE MAE POOL UMBS P#975331 5.00000000
31414TA84
226.71000000
NS
USD
236.24000000
0.000018025842
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AL2499 4.5% 01/01/42
N/A
FANNIE MAE POOL UMBS P#AL2499 4.50000000
3138EJX52
23714.62000000
NS
USD
26357.18000000
0.002011134381
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
US TREAS BDS 3.125% 02/15/43
N/A
UNITED STATES TREASURY BOND 3.12500000
912810QZ4
100000.00000000
NS
USD
122503.91000000
0.009347427351
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.12500000
N
N
N
N
N
N
BPCE SA 2.7% 10/01/29
N/A
BPCE SA REGD 144A P/P 2.70000000
05578AAN8
434000.00000000
NS
USD
455838.93000000
0.034781920694
Long
DBT
CORP
FR
Y
2
2029-10-01
Fixed
2.70000000
N
N
N
N
N
N
SALESFORCE.COM I 3.7% 04/11/28
RCGZFPDMRW58VJ54VR07
SALESFORCE.COM INC REGD 3.70000000
79466LAF1
450000.00000000
NS
USD
512311.20000000
0.039090929616
Long
DBT
CORP
US
N
2
2028-04-11
Fixed
3.70000000
N
N
N
N
N
N
UMBS P#QC0165 2.5% 03/01/51
N/A
FREDDIE MAC POOL UMBS P#QC0165 2.50000000
3133AJFE8
95992.33000000
NS
USD
100501.05000000
0.007668541058
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
COCA-COLA CO/THE 2.5% 06/01/40
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE REGD 2.50000000
191216CW8
10000.00000000
NS
USD
10032.05000000
0.000765476453
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
2.50000000
N
N
N
N
N
N
SOUTHERN COPPER 5.25% 11/08/42
N/A
SOUTHERN COPPER CORP REGD 5.25000000
84265VAG0
860000.00000000
NS
USD
1106936.10000000
0.084462649216
Long
DBT
CORP
PE
N
2
2042-11-08
Fixed
5.25000000
N
N
N
N
N
N
CIGNA CORP 4.375% 10/15/28
549300VIWYMSIGT1U456
CIGNA CORP REGD SER WI 4.37500000
125523AH3
720000.00000000
NS
USD
841004.42000000
0.064171239257
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
ABBVIE INC 2.3% 11/21/22
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD SER WI 2.30000000
00287YBM0
680000.00000000
NS
USD
695649.09000000
0.053080177858
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
MSBAM 2016-C2 3.272% 11/15/25
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 20 SER 2016-C28 CL A3 REGD 3.27200000
61766LBR9
595949.95000000
NS
USD
632966.19000000
0.048297278652
Long
ABS-CBDO
CORP
US
N
2
2049-01-15
Fixed
3.27200000
N
N
N
N
N
N
STATE OF QATAR 4.817% 03/14/49
N/A
STATE OF QATAR REGD 144A P/P 4.81700000
74727PBB6
1020000.00000000
NS
USD
1335406.44000000
0.101895643030
Long
DBT
USGA
QA
Y
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
HCA INC 5.25% 06/15/26
N/A
HCA INC REGD 5.25000000
404119BT5
152000.00000000
NS
USD
175758.91000000
0.013410948619
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25000000
N
N
N
N
N
N
NORTHERN NATURAL 4.3% 01/15/49
N/A
NORTHERN NATURAL GAS CO REGD 144A P/P 4.30000000
665501AL6
94000.00000000
NS
USD
112956.21000000
0.008618908301
Long
DBT
CORP
US
Y
2
2049-01-15
Fixed
4.30000000
N
N
N
N
N
N
EXXON MOBIL CO 4.327% 03/19/50
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORPORATION REGD 4.32700000
30231GBG6
110000.00000000
NS
USD
137636.98000000
0.010502127413
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
MICROSOFT CORP 2.875% 02/06/24
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP REGD 2.87500000
594918BX1
270000.00000000
NS
USD
285015.75000000
0.021747583544
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
2.87500000
N
N
N
N
N
N
GE CAPITAL INT 4.418% 11/15/35
N/A
GE CAPITAL INTL FUNDING REGD 4.41800000
36164QNA2
1946000.00000000
NS
USD
2363373.44000000
0.180332705591
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.41800000
N
N
N
N
N
N
UMBS P#SD0496 3% 02/01/47
N/A
FREDDIE MAC POOL UMBS P#SD0496 3.00000000
3132DMRR8
423506.87000000
NS
USD
457188.08000000
0.034884865013
Long
ABS-MBS
USGA
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
YAMANA GOLD IN 4.625% 12/15/27
54930002VY22NXG01418
YAMANA GOLD INC REGD SER WI 4.62500000
98462YAD2
90000.00000000
NS
USD
100892.62000000
0.007698419061
Long
DBT
CORP
CA
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
UMBS P#FM7632 4% 06/01/49
N/A
FANNIE MAE POOL UMBS P#FM7632 4.00000000
3140XBPS3
987241.49000000
NS
USD
1066363.95000000
0.081366868643
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
COMMONWEALTH BAN 3.9% 07/12/47
MSFSBD3QN1GSN7Q6C537
COMMONWEALTH BANK AUST REGD 144A P/P MTN 3.90000000
2027A0JN0
58000.00000000
NS
USD
71005.93000000
0.005417972146
Long
DBT
CORP
AU
Y
2
2047-07-12
Fixed
3.90000000
N
N
N
N
N
N
AVOLON HOLDING 2.528% 11/18/27
N/A
AVOLON HOLDINGS FNDG LTD REGD 144A P/P 2.52800000
05401AAR2
663000.00000000
NS
USD
658697.61000000
0.050260665609
Long
DBT
CORP
IE
Y
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
PFP 2019-5 A V/R 03/14/22
N/A
PFP 2019-5 LTD SER 2019-5 CL A V/R REGD 144A P/P 1.06550000
69346TAA2
635174.02000000
NS
USD
635034.60000000
0.048455104734
Long
ABS-CBDO
CORP
KY
Y
2
2036-04-14
Variable
1.06550000
N
N
N
N
N
N
HCOMF 2015-1A 3.25% 11/01/35
N/A
HILDENE COMMUNITY FUNDING CDO LTD SER 2015-1A CL AR REGD 144A P/P 3.25000000
43133KAA3
400000.00000000
NS
USD
399000.00000000
0.030444934479
Long
ABS-CBDO
CORP
KY
Y
2
2035-11-01
Fixed
3.25000000
N
N
N
N
N
N
NORTHERN TRUST 3.15% 05/03/29
549300GLF98S992BC502
NORTHERN TRUST CORP REGD 3.15000000
665859AU8
33000.00000000
NS
USD
36560.83000000
0.002789704445
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
3.15000000
N
N
N
N
N
N
BAMLL 2015-200P V/R 04/14/25
N/A
BAMLL COMMERCIAL MORTGAGE SECURITIES SER 2015-200P CL B V/R REGD 144A P/P 3.49000000
05526QAE6
480000.00000000
NS
USD
512981.52000000
0.039142077106
Long
ABS-CBDO
CORP
US
Y
2
2033-04-14
Fixed
3.49000000
N
N
N
N
N
N
FFML 2006-FF13 A V/R 10/25/36
N/A
FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF13 SER 2006-FF13 CL A2D V/R REGD 0.56438000
30247DAE1
1197055.46000000
NS
USD
986309.54000000
0.075258469477
Long
ABS-CBDO
CORP
US
N
2
2036-10-25
Variable
0.56438000
N
N
N
N
N
N
GNMA II P#BM7534 3.5% 02/20/50
N/A
GINNIE MAE II POOL P#BM7534 3.50000000
3617JYLP6
59146.19000000
NS
USD
62607.89000000
0.004777175711
Long
ABS-MBS
USGSE
US
N
2
2050-02-20
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CO 4% 01/22/25
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD MTN 4.00000000
06051GFM6
1284000.00000000
NS
USD
1404003.48000000
0.107129809416
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
FHMS KIR2 A1 2.748% 03/25/27
N/A
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES SER KIR2 CL A1 2.74800000
3137BXSV5
246343.31000000
NS
USD
260717.69000000
0.019893566390
Long
ABS-CBDO
CORP
US
N
2
2027-03-25
Fixed
2.74800000
N
N
N
N
N
N
UMBS P#SD0505 4% 06/01/48
N/A
FREDDIE MAC POOL UMBS P#SD0505 4.00000000
3132DMR23
379870.12000000
NS
USD
415066.06000000
0.031670824564
Long
ABS-MBS
USGA
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
NATIONWIDE MUTUAL V/R 12/15/24
Z7LVXXWM8HZPKF5T2355
NATIONWIDE MUTUAL INSURA REGD V/R 2.40888000
638671AJ6
850000.00000000
NS
USD
851071.91000000
0.064939419892
Long
DBT
CORP
US
Y
2
2024-12-15
Variable
2.40888000
N
N
N
N
N
N
UMBS P#QB9290 2% 03/01/51
N/A
FREDDIE MAC POOL UMBS P#QB9290 2.00000000
3133AGKB4
195385.46000000
NS
USD
199809.53000000
0.015246085336
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
L3HARRIS TECH 5.054% 04/27/45
549300UTE50ZMDBG8A20
L3HARRIS TECH INC REGD 5.05400000
413875AT2
60000.00000000
NS
USD
80315.30000000
0.006128305880
Long
DBT
CORP
US
N
2
2045-04-27
Fixed
5.05400000
N
N
N
N
N
N
APPLE INC 3.85% 05/04/43
HWUPKR0MPOU8FGXBT394
APPLE INC REGD 3.85000000
037833AL4
55000.00000000
NS
USD
65676.06000000
0.005011286575
Long
DBT
CORP
US
N
2
2043-05-04
Fixed
3.85000000
N
N
N
N
N
N
DANSKE BANK A/ 5.375% 01/12/24
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S REGD 144A P/P 5.37500000
23636AAT8
1435000.00000000
NS
USD
1582686.92000000
0.120763908723
Long
DBT
CORP
DK
Y
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
WAMU 2005-AR19 A V/R 12/25/45
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005- SER 2005-AR19 CL A1B3 V/R REGD 0.78438000
92925CBE1
897185.28000000
NS
USD
896045.59000000
0.068371050822
Long
ABS-CBDO
CORP
US
N
2
2045-12-25
Variable
0.78438000
N
N
N
N
N
N
FNR 2018-55 PA 3.5% 01/25/47
N/A
FANNIE MAE REMICS SER 2018-55 CL PA 3.50000000
3136B2TU6
278600.48000000
NS
USD
288703.81000000
0.022028993933
Long
ABS-CBDO
CORP
US
N
2
2047-01-25
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#MA5818 4.5% 03/20/49
N/A
GINNIE MAE II POOL P#MA5818 4.50000000
36179UPB2
40094.82000000
NS
USD
42718.76000000
0.003259573556
Long
ABS-MBS
USGSE
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#MA3305 3.5% 03/01/48
N/A
FANNIE MAE POOL UMBS P#MA3305 3.50000000
31418CU77
71895.56000000
NS
USD
76387.41000000
0.005828595720
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#MA5816 3.5% 03/20/49
N/A
GINNIE MAE II POOL P#MA5816 3.50000000
36179UN99
444230.19000000
NS
USD
468835.44000000
0.035773594617
Long
ABS-MBS
USGSE
US
N
2
2049-03-20
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#G08849 5% 11/01/48
N/A
FREDDIE MAC GOLD POOL P#G08849 5.00000000
3128MJ5K2
131817.08000000
NS
USD
144924.72000000
0.011058204523
Long
ABS-MBS
USGA
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
PFIZER INC 0.8% 05/28/25
765LHXWGK1KXCLTFYQ30
PFIZER INC REGD 0.80000000
717081EX7
230000.00000000
NS
USD
230449.50000000
0.017584009845
Long
DBT
CORP
US
N
2
2025-05-28
Fixed
0.80000000
N
N
N
N
N
N
US TREASURYSP ZCP 05/15/49
N/A
UNITED STATES TREASURY STRIP PRINCIPAL ZCP 0.00000000
912803FJ7
2020000.00000000
NS
USD
1171035.92000000
0.089353663802
Long
DBT
UST
US
N
2
2049-05-15
Fixed
0.00000000
N
N
N
N
N
N
GNR 2021-133 IO V/R 07/16/63
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-133 CL IO V/R 0.89008000
38381DXB1
2996299.89000000
NS
USD
251166.64000000
0.019164791724
Long
ABS-CBDO
CORP
US
N
2
2063-07-16
Variable
0.89008000
N
N
N
N
N
N
US TREAS NTS 0.125% 11/30/22
N/A
UNITED STATES TREASURY NOTE 0.12500000
91282CAX9
1765000.00000000
NS
USD
1765551.56000000
0.134717046526
Long
DBT
UST
US
N
2
2022-11-30
Fixed
0.12500000
N
N
N
N
N
N
KUWAIT INTL BOND 3.5% 03/20/27
N/A
KUWAIT INTL BOND REGD 144A P/P 3.50000000
501499AB3
360000.00000000
NS
USD
402992.64000000
0.030749585264
Long
DBT
USGA
KW
Y
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#G07335 7% 03/01/39
N/A
FREDDIE MAC GOLD POOL P#G07335 7.00000000
3128M9PU0
9550.36000000
NS
USD
11205.73000000
0.000855031868
Long
ABS-MBS
USGA
US
N
2
2039-03-01
Fixed
7.00000000
N
N
N
N
N
N
FNMA P#833212 5.5% 9/1/35
N/A
FNMA P#833212 5.5% 9/1/35 5.50000000
31407KVD8
8690.54000000
NS
USD
9691.69000000
0.000739505932
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
CSX CORP 4.1% 03/15/44
549300JVQR4N1MMP3Q88
CSX CORP REGD 4.10000000
126408GY3
56000.00000000
NS
USD
66459.90000000
0.005071095992
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
4.10000000
N
N
N
N
N
N
FGLMC P#G08843 4.5% 10/01/48
N/A
FREDDIE MAC GOLD POOL P#G08843 4.50000000
3128MJ5D8
301422.78000000
NS
USD
326948.67000000
0.024947195078
Long
ABS-MBS
USGA
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#MA2863 3% 01/01/47
N/A
FANNIE MAE POOL UMBS P#MA2863 3.00000000
31418CFD1
189357.57000000
NS
USD
200087.44000000
0.015267290729
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
AEP TRANSMISSIO 3.75% 12/01/47
N/A
AEP TRANSMISSION CO LLC REGD SER WI 3.75000000
00115AAH2
505000.00000000
NS
USD
583753.03000000
0.044542162281
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
3.75000000
N
N
N
N
N
N
US CASH MGMT BILL ZCP 12/14/21
N/A
UNITED STATES CASH MANAGEMENT BILL ZCP 0.00000000
912796P60
6395000.00000000
PA
USD
6394337.91000000
0.487907766186
Long
STIV
UST
US
N
2
2021-12-14
Fixed
0.00000000
N
N
N
N
N
N
AMAZON.COM INC 2.875% 05/12/41
ZXTILKJKG63JELOEG630
AMAZON.COM INC REGD 2.87500000
023135CA2
360000.00000000
NS
USD
377666.04000000
0.028817087325
Long
DBT
CORP
US
N
2
2041-05-12
Fixed
2.87500000
N
N
N
N
N
N
SMB 2018-A A2B V/R 05/17/27
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2018-A SER 2018-A CL A2B V/R REGD 144A P/P 0.89313000
78449PAC3
304436.04000000
NS
USD
305904.70000000
0.023341475058
Long
ABS-CBDO
CORP
US
Y
2
2036-02-15
Variable
0.89313000
N
N
N
N
N
N
WELLS FARGO & C 3.45% 02/13/23
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD MTN SER M 3.45000000
94974BFJ4
330000.00000000
NS
USD
344390.38000000
0.026278051514
Long
DBT
CORP
US
N
2
2023-02-13
Fixed
3.45000000
N
N
N
N
N
N
REPUBLIC OF ARGE S/UP 07/09/30
N/A
REPUBLIC OF ARGENTINA REGD S/UP 0.50000000
040114HS2
1852700.00000000
NS
USD
726239.87000000
0.055414349018
Long
DBT
USGA
AR
N
2
2030-07-09
Variable
0.50000000
N
N
N
N
N
N
US TREAS NTS 0.125% 8/31/23
N/A
UNITED STATES TREASURY NOTE 0.12500000
91282CCU3
41445000.00000000
NS
USD
41377892.26000000
3.157261199867
Long
DBT
UST
US
N
2
2023-08-31
Fixed
0.12500000
N
N
N
N
N
N
VMWARE INC 1.8% 08/15/28
N/A
VMWARE INC REGD 1.80000000
928563AK1
135000.00000000
NS
USD
133953.98000000
0.010221103118
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
1.80000000
N
N
N
N
N
N
UMBS P#CA8460 2.5% 01/01/51
N/A
FANNIE MAE POOL UMBS P#CA8460 2.50000000
3140QGMJ3
92391.91000000
NS
USD
96101.32000000
0.007332828047
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
T/L DELL INTERNATI 0% 9/19/25
N/A
T/L DELL INTERNATIONAL L L C REGD 0.00000000
N/A
641665.32000000
NS
USD
642213.94000000
0.049002910588
Long
LON
CORP
US
N
2
2025-09-19
Variable
2.00000000
N
N
N
N
N
N
AT&T INC 3.8% 12/01/57
549300Z40J86GGSTL398
AT&T INC REGD 144A P/P 3.80000000
00206RMG4
1030000.00000000
NS
USD
1096459.65000000
0.083663263667
Long
DBT
CORP
US
Y
2
2057-12-01
Fixed
3.80000000
N
N
N
N
N
N
WALMART INC 3.7% 06/26/28
Y87794H0US1R65VBXU25
WALMART INC REGD 3.70000000
931142EE9
290000.00000000
NS
USD
331427.37000000
0.025288933745
Long
DBT
CORP
US
N
2
2028-06-26
Fixed
3.70000000
N
N
N
N
N
N
FGLMC P#U90598 3.5% 12/01/42
N/A
FREDDIE MAC GOLD POOL P#U90598 3.50000000
3132H3UX9
13270.30000000
NS
USD
14272.79000000
0.001089058036
Long
ABS-MBS
USGA
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
F/C US ULTRA BOND CBT DEC21
N/A
FUTURE CONTRACT ON US ULTRA BOND CBT DEC21 0.00000000
N/A
-2.00000000
NC
USD
-394562.50000000
-0.03010633949
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
F/C US ULTRA BOND CBT DEC21
US ULTRA BOND CBT DEC21
2021-12-21
392438.38000000
USD
-2124.12000000
N
N
N
NEW YORK ST DO 5.289% 03/15/33
549300C8XO7EXTX2XU71
NEW YORK ST DORM AUTH ST PERSO REGD N/C B/E 5.28900000
6499022E2
350000.00000000
NS
USD
433858.15000000
0.033104719173
Long
DBT
MUN
US
N
2
2033-03-15
Fixed
5.28900000
N
N
N
N
N
N
DEERE & COMPANY 3.1% 04/15/30
PWFTNG3EI0Y73OXWDH08
DEERE & COMPANY REGD 3.10000000
244199BJ3
40000.00000000
NS
USD
44313.08000000
0.003381225105
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.10000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 10/22/30
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 2.88400000
06051GHX0
488000.00000000
NS
USD
517281.62000000
0.039470188040
Long
DBT
CORP
US
N
2
2030-10-22
Variable
2.88400000
N
N
N
N
N
N
GNR 2020-181 WI 2% 12/20/50
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-181 CL WI 2.00000000
38382LXR7
479412.51000000
NS
USD
49041.93000000
0.003742050991
Long
ABS-CBDO
CORP
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
ALPHABET INC 2.05% 08/15/50
5493006MHB84DD0ZWV18
ALPHABET INC REGD 2.05000000
02079KAF4
140000.00000000
NS
USD
127061.64000000
0.009695196252
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.05000000
N
N
N
N
N
N
OFFICE CHERIFIEN 4.5% 10/22/25
N/A
OFFICE CHERIFIEN DES PHO REGD P/P 4.50000000
67091TAC9
200000.00000000
NS
USD
217060.80000000
0.016562410611
Long
DBT
CORP
MA
Y
2
2025-10-22
Fixed
4.50000000
N
N
N
N
N
N
SOUTHERN CO GAS 4.4% 05/30/47
N/A
SOUTHERN CO GAS CAPITAL REGD 4.40000000
8426EPAC2
250000.00000000
NS
USD
300798.26000000
0.022951837887
Long
DBT
CORP
US
N
2
2047-05-30
Fixed
4.40000000
N
N
N
N
N
N
T/L HC GROUP HOLDI 0% 08/06/26
N/A
T/L HC GROUP HOLDINGS II INC REGD 0.00000000
N/A
197000.00000000
NS
USD
196852.25000000
0.015020435722
Long
LON
CORP
US
N
2
2026-08-06
Variable
3.83463000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP00.90 03/17/50 GOLDMAN SACH FLOAT
N/A
1.00000000
NC
USD
253154.32000000
0.019316457858
N/A
DIR
US
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2050-03-17
-1492045.10000000
USD
1492000.00000000
USD
1492000.00000000
USD
260937.20000000
N
N
N
US TREAS BDS 3.75% 11/15/43
N/A
UNITED STATES TREASURY BOND 3.75000000
912810RD2
11510000.00000000
NS
USD
15483647.71000000
1.181450225642
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
UMBS P#890604 4.5% 10/01/44
N/A
FANNIE MAE POOL UMBS P#890604 4.50000000
31410LNV0
23214.15000000
NS
USD
25929.90000000
0.001978531595
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
RYDER SYSTEM I 4.625% 06/01/25
ZXJ6Y2OSPZXIVGRILD15
RYDER SYSTEM INC REGD MTN 4.62500000
78355HKQ1
410000.00000000
NS
USD
461209.96000000
0.035191746900
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.62500000
N
N
N
N
N
N
JOHNSON & JOHNS 0.55% 09/01/25
549300G0CFPGEF6X2043
JOHNSON & JOHNSON REGD 0.55000000
478160CN2
100000.00000000
NS
USD
99172.17000000
0.007567143403
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.55000000
N
N
N
N
N
N
UMBS P#FM8275 3.5% 06/01/49
N/A
FANNIE MAE POOL UMBS P#FM8275 3.50000000
3140XCFR4
190873.38000000
NS
USD
203196.89000000
0.015504551384
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
US TREAS NTS 0.375% 01/31/26
N/A
UNITED STATES TREASURY NOTE 0.37500000
91282CBH3
545000.00000000
NS
USD
537442.38000000
0.041008516404
Long
DBT
UST
US
N
2
2026-01-31
Fixed
0.37500000
N
N
N
N
N
N
LAS VEGAS SANDS 2.9% 06/25/25
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP REGD 2.90000000
517834AH0
50000.00000000
NS
USD
51673.46000000
0.003942844872
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
2.90000000
N
N
N
N
N
N
CENTENE CORP 3.375% 02/15/30
549300Z7JJ4TQSQGT333
CENTENE CORP REGD SER WI 3.37500000
15135BAV3
30000.00000000
NS
USD
31387.50000000
0.002394963360
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
TARGA RESOURCES PA 4% 01/15/32
N/A
TARGA RESOURCES PARTNERS REGD 144A P/P 4.00000000
87612BBT8
40000.00000000
NS
USD
41803.40000000
0.003189728756
Long
DBT
CORP
US
Y
2
2032-01-15
Fixed
4.00000000
N
N
N
N
N
N
AT&T INC 3.5% 02/01/61
549300Z40J86GGSTL398
AT&T INC REGD 3.50000000
00206RKF8
305000.00000000
NS
USD
303168.76000000
0.023132714371
Long
DBT
CORP
US
N
2
2061-02-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 02/07/30
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 3.97400000
06051GHQ5
875000.00000000
NS
USD
994987.05000000
0.075920590338
Long
DBT
CORP
US
N
2
2030-02-07
Variable
3.97400000
N
N
N
N
N
N
US TIPS 0.125% 02/15/51
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000
912810SV1
954866.55000000
NS
USD
1084508.20000000
0.082751331055
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.12500000
N
N
N
N
N
N
DELTA AIR LINES/ 4.5% 10/20/25
N/A
DELTA AIR LINES/SKYMILES REGD 144A P/P 4.50000000
830867AA5
230000.00000000
NS
USD
246789.18000000
0.018830777983
Long
DBT
CORP
US
Y
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#929226 5.5% 03/01/23
N/A
FANNIE MAE POOL UMBS P#929226 5.50000000
31412MLF3
905.87000000
NS
USD
923.77000000
0.000070486509
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.50000000
N
N
N
N
N
N
SMB 2021-A A2B 1.59% 01/15/53
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2021-A SER 2021-A CL A2B REGD 144A P/P 1.59000000
78448YAC5
730000.00000000
NS
USD
736031.99000000
0.056161518070
Long
ABS-CBDO
CORP
US
Y
2
2053-01-15
Fixed
1.59000000
N
N
N
N
N
N
BAYER US FINAN 4.625% 06/25/38
N/A
BAYER US FINANCE II LLC REGD 144A P/P 4.62500000
07274NAN3
285000.00000000
NS
USD
342251.78000000
0.026114869718
Long
DBT
CORP
US
Y
2
2038-06-25
Fixed
4.62500000
N
N
N
N
N
N
CREDIT SUISSE GRO V/R 06/05/26
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD V/R 144A P/P 2.19300000
225401AQ1
835000.00000000
NS
USD
857088.84000000
0.065398530267
Long
DBT
CORP
CH
Y
2
2026-06-05
Variable
2.19300000
N
N
N
N
N
N
GENERAL MOTORS C 5.4% 10/02/23
54930070NSV60J38I987
GENERAL MOTORS CO REGD 5.40000000
37045VAW0
70000.00000000
NS
USD
76546.62000000
0.005840743936
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
FGLMC P#G07784 4% 07/01/44
N/A
FREDDIE MAC GOLD POOL P#G07784 4.00000000
3128M96V9
69132.66000000
NS
USD
76530.22000000
0.005839492565
Long
ABS-MBS
USGA
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
FIRSTENERGY CO 7.375% 11/15/31
549300SVYJS666PQJH88
FIRSTENERGY CORP REGD SER C 7.37500000
337932AC1
550000.00000000
NS
USD
769521.56000000
0.058716875876
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
7.37500000
N
N
N
N
N
N
SL GREEN OPERAT 3.25% 10/15/22
N/A
SL GREEN OPERATING PARTN REGD 3.25000000
78444FAF3
800000.00000000
NS
USD
822109.82000000
0.062729522818
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
3.25000000
N
N
N
N
N
N
GNMA II P#MA6089 3% 08/20/49
N/A
GINNIE MAE II POOL P#MA6089 3.00000000
36179UXS6
1362956.07000000
NS
USD
1426232.25000000
0.108825933342
Long
ABS-MBS
USGSE
US
N
2
2049-08-20
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#BR7191 2% 04/01/51
N/A
FANNIE MAE POOL UMBS P#BR7191 2.00000000
3140L57D2
293769.79000000
NS
USD
298840.96000000
0.022802489841
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
GLENCORE FUNDING L 4% 03/27/27
N/A
GLENCORE FUNDING LLC REGD 144A P/P 4.00000000
378272AN8
159000.00000000
NS
USD
176018.21000000
0.013430734011
Long
DBT
CORP
US
Y
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
QUALCOMM INC 4.65% 05/20/35
H1J8DDZKZP6H7RWC0H53
QUALCOMM INC REGD 4.65000000
747525AJ2
30000.00000000
NS
USD
38136.52000000
0.002909934467
Long
DBT
CORP
US
N
2
2035-05-20
Fixed
4.65000000
N
N
N
N
N
N
NORTHROP GRUMMA 3.25% 01/15/28
RIMU48P07456QXSO0R61
NORTHROP GRUMMAN CORP REGD 3.25000000
666807BN1
340000.00000000
NS
USD
371887.63000000
0.028376176764
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
DAIMLER FINANCE 3.5% 08/03/25
N/A
DAIMLER FINANCE NA LLC REGD 144A P/P 3.50000000
233851CB8
300000.00000000
NS
USD
326732.99000000
0.024930738027
Long
DBT
CORP
US
Y
2
2025-08-03
Fixed
3.50000000
N
N
N
N
N
N
WAMU 2006-AR3 A1 V/R 02/25/46
N/A
WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2006-AR3 SER 2006-AR3 CL A1A V/R REGD 1.09792000
92925CDA7
649342.61000000
NS
USD
655900.32000000
0.050047223727
Long
ABS-CBDO
CORP
US
N
2
2046-02-25
Variable
1.09792000
N
N
N
N
N
N
SBA COMMUNICAT 4.875% 09/01/24
5299001HX8ZN8Y8QIT49
SBA COMMUNICATIONS CORP REGD 4.87500000
78388JAV8
69000.00000000
NS
USD
70121.25000000
0.005350468325
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.87500000
N
N
N
N
N
N
NEW YORK NY 3% 08/01/34
549300ABYZD2SFD5JB29
NEW YORK NY REGD B/E 3.00000000
64966QCL2
375000.00000000
NS
USD
401182.61000000
0.030611474375
Long
DBT
MUN
US
N
2
2034-08-01
Fixed
3.00000000
N
N
N
N
N
N
UBS GROUP AG 2.65% 02/01/22
549300SZJ9VS8SGXAN81
UBS GROUP AG REGD 144A P/P 2.65000000
90351DAH0
260000.00000000
NS
USD
262664.41000000
0.020042107149
Long
DBT
CORP
CH
Y
2
2022-02-01
Fixed
2.65000000
N
N
N
N
N
N
US TREAS NTS 0.25% 05/15/24
N/A
UNITED STATES TREASURY NOTE 0.25000000
91282CCC3
15419000.00000000
NS
USD
15378645.55000000
1.173438235965
Long
DBT
UST
US
N
2
2024-05-15
Fixed
0.25000000
N
N
N
N
N
N
OCCIDENTAL PET 4.625% 06/15/45
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR REGD 4.62500000
674599CF0
90000.00000000
NS
USD
93274.65000000
0.007117144380
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.62500000
N
N
N
N
N
N
T/L VALEANT PHARM 0% 11/27/25
N/A
T/L VALEANT PHARMACEUTICALS INTERNATIONAL REGD 0.00000000
C9413PBB8
231486.51000000
NS
USD
230370.75000000
0.017578000976
Long
LON
CORP
US
N
2
2025-11-27
Variable
2.83463000
N
N
N
N
N
N
US T BILL ZCP 01/27/22
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796C31
1620000.00000000
PA
USD
1619700.30000000
0.123588144134
Long
STIV
UST
US
N
2
2022-01-27
Fixed
0.00000000
N
N
N
N
N
N
GNR 2014-105 IO V/R 06/16/54
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-105 CL IO V/R 0.20366000
38378XCY5
96995.22000000
NS
USD
3800.04000000
0.000289954809
Long
ABS-CBDO
CORP
US
N
2
2054-06-16
Variable
0.20366000
N
N
N
N
N
N
SAUDI INTERNAT 3.625% 03/04/28
N/A
SAUDI INTERNATIONAL BOND REGD REG S EMTN 3.62500000
M6320UAG4
200000.00000000
NS
USD
222099.60000000
0.016946886641
Long
DBT
USGA
SA
N
2
2028-03-04
Fixed
3.62500000
N
N
N
N
N
N
F/C US 10YR ULTRA FUT DEC21
N/A
FUTURE CONTRACT ON US 10YR ULTRA FUT DEC21 0.00000000
N/A
-63.00000000
NC
USD
-9324984.38000000
-0.71152515907
N/A
DIR
CORP
US
N
1
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Short
F/C US 10YR ULTRA FUT DEC21
US 10YR ULTRA FUT DEC21
2021-12-21
9333961.47000000
USD
8977.09000000
N
N
N
UMBS P#AS5138 3% 06/01/30
N/A
FANNIE MAE POOL UMBS P#AS5138 3.00000000
3138WEV89
223455.77000000
NS
USD
237632.96000000
0.018132130068
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
3.00000000
N
N
N
N
N
N
CVS HEALTH CORP 4.25% 04/01/50
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 4.25000000
126650DL1
30000.00000000
NS
USD
36564.90000000
0.002790014999
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
CIM 2021-R4 A1A V/R 05/01/61
N/A
CIM TRUST 2021-R4 SER 2021-R4 CL A1A V/R REGD 144A P/P 2.00000000
12598HAB1
1796114.11000000
NS
USD
1809136.30000000
0.138042697036
Long
ABS-CBDO
CORP
US
Y
2
2061-05-01
Variable
2.00000000
N
N
N
N
N
N
NORFOLK SOUTHER 2.55% 11/01/29
54930036C8MWP850MI84
NORFOLK SOUTHERN CORP REGD 2.55000000
655844CE6
282000.00000000
NS
USD
296654.87000000
0.022635684411
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
2.55000000
N
N
N
N
N
N
EASTERN GAS TRAN 4.6% 12/15/44
N/A
EASTERN GAS TRAN REGD 144A P/P 4.60000000
276480AC4
38000.00000000
NS
USD
46281.95000000
0.003531455978
Long
DBT
CORP
US
Y
2
2044-12-15
Fixed
4.60000000
N
N
N
N
N
N
DOW CHEMICAL CO 5.55% 11/30/48
N/A
DOW CHEMICAL CO/THE REGD 5.55000000
260543CR2
58000.00000000
NS
USD
82275.84000000
0.006277901147
Long
DBT
CORP
US
N
2
2048-11-30
Fixed
5.55000000
N
N
N
N
N
N
UMBS P#AA2953 5% 04/01/39
N/A
FANNIE MAE POOL UMBS P#AA2953 5.00000000
31416LH74
5989.32000000
NS
USD
6637.59000000
0.000506468653
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AQ7082 4% 01/01/43
N/A
FANNIE MAE POOL UMBS P#AQ7082 4.00000000
3138MN2Q2
72126.64000000
NS
USD
79298.75000000
0.006050739970
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE 3.875% 09/10/24
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD 3.87500000
46625HJY7
270000.00000000
NS
USD
294025.20000000
0.022435032454
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.87500000
N
N
N
N
N
N
COMCAST CORP 4.049% 11/01/52
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD SER WI 4.04900000
20030NCG4
21000.00000000
NS
USD
25430.89000000
0.001940455588
Long
DBT
CORP
US
N
2
2052-11-01
Fixed
4.04900000
N
N
N
N
N
N
MOLINA HEALTHC 3.875% 11/15/30
549300NQQCEQ46YHZ591
MOLINA HEALTHCARE INC REGD 144A P/P 3.87500000
60855RAK6
564000.00000000
NS
USD
602146.14000000
0.045945613481
Long
DBT
CORP
US
Y
2
2030-11-15
Fixed
3.87500000
N
N
N
N
N
N
FGLMC P#G05665 6% 10/01/38
N/A
FREDDIE MAC GOLD POOL P#G05665 6.00000000
3128M7TW6
17151.45000000
NS
USD
20221.73000000
0.001542980563
Long
ABS-MBS
USGA
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
NATIONWIDE BLDG S V/R 08/01/24
549300XFX12G42QIKN82
NATIONWIDE BLDG SOCIETY REGD V/R 144A P/P 4.36300000
63861VAC1
500000.00000000
NS
USD
533631.64000000
0.040717745152
Long
DBT
CORP
GB
Y
2
2024-08-01
Variable
4.36300000
N
N
N
N
N
N
COMM 2014-CR17 C V/R 05/10/24
N/A
COMM 2014-CCRE17 MORTGAGE TRUST SER 2014-CR17 CL C V/R REGD 4.94579800
12631DBG7
205000.00000000
NS
USD
217256.66000000
0.016577355335
Long
ABS-CBDO
CORP
US
N
2
2047-05-10
Variable
4.94579800
N
N
N
N
N
N
COMCAST CORP 3.25% 11/01/39
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 3.25000000
20030NCY5
20000.00000000
NS
USD
21782.18000000
0.001662047726
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
3.25000000
N
N
N
N
N
N
GNMA II 30 YR TBA 2% OCT 21
N/A
GNMA II 30 YR TBA 2% OCT 21 TO BE ANNOUNCED 2.00000000
21H0206A8
4000000.00000000
NS
USD
4077031.28000000
0.311090100725
Long
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
CIGNA CORP 3.4% 03/01/27
549300VIWYMSIGT1U456
CIGNA CORP REGD SER * 3.40000000
125523CB4
244000.00000000
NS
USD
269002.85000000
0.020525749731
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
JPMBB 2015-C2 2.912% 01/15/25
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C28 SER 2015-C28 CL A3 REGD 2.91240000
46644FAC5
990187.06000000
NS
USD
1027565.04000000
0.078406391769
Long
ABS-CBDO
CORP
US
N
2
2048-10-15
Fixed
2.91240000
N
N
N
N
N
N
UMBS P#AE0212 5.5% 12/01/27
N/A
FANNIE MAE POOL UMBS P#AE0212 5.50000000
31419AGW1
32298.03000000
NS
USD
36033.27000000
0.002749449985
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#FM1628 3.5% 09/01/33
N/A
FANNIE MAE POOL UMBS P#FM1628 3.50000000
3140X4Y26
391848.34000000
NS
USD
418649.87000000
0.031944280355
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
3.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENT 1% 07/09/29
N/A
REPUBLIC OF ARGENTINA REGD 1.00000000
040114HX1
64372.00000000
NS
USD
26478.13000000
0.002020363240
Long
DBT
USGA
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
RUSSIA GOV 7.05% 01/19/28/RUB/
N/A
RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6212 7.05000000
X5424XAK4
205378000.00000000
NS
2850065.15000000
0.217468788855
Long
DBT
USGA
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
UMBS P#MA4379 2.5% 07/01/51
N/A
FANNIE MAE POOL UMBS P#MA4379 2.50000000
31418D2M3
8113979.03000000
NS
USD
8439743.93000000
0.643978573861
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA II P#MA6997 3.5% 11/20/50
N/A
GINNIE MAE II POOL P#MA6997 3.50000000
36179VX21
970025.05000000
NS
USD
1021363.46000000
0.077933192028
Long
ABS-MBS
USGSE
US
N
2
2050-11-20
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 04/23/40
N/A
BANK OF AMERICA CORP REGD V/R MTN 4.07800000
06051GHU6
575000.00000000
NS
USD
677850.30000000
0.051722075113
Long
DBT
CORP
US
N
2
2040-04-23
Variable
4.07800000
N
N
N
N
N
N
LMAT 2019-GS5 A1 V/R 05/25/59
N/A
LEGACY MORTGAGE ASSET TRUST 2019-GS5 SER 2019-GS5 CL A1 V/R REGD 144A P/P 3.20000000
52475FAF0
726320.69000000
NS
USD
730008.37000000
0.055701897228
Long
ABS-CBDO
CORP
US
Y
2
2059-05-25
Variable
3.20000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 10/15/30
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 2.73900000
46647PBE5
194000.00000000
NS
USD
204559.17000000
0.015608497563
Long
DBT
CORP
US
N
2
2030-10-15
Variable
2.73900000
N
N
N
N
N
N
FHR 5010 JI 2.5% 09/25/50
N/A
FREDDIE MAC REMICS SER 5010 CL JI 2.50000000
3137FVQG0
279202.53000000
NS
USD
41088.48000000
0.003135178149
Long
ABS-CBDO
CORP
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#FM5773 4% 09/01/47
N/A
FANNIE MAE POOL UMBS P#FM5773 4.00000000
3140X9MX0
811510.98000000
NS
USD
877606.10000000
0.066964060684
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BQ9226 2% 01/01/51
N/A
FANNIE MAE POOL UMBS P#BQ9226 2.00000000
3140KVHC7
95542.71000000
NS
USD
97167.13000000
0.007414152647
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
ABBVIE INC 2.95% 11/21/26
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD SER WI 2.95000000
00287YBV0
150000.00000000
NS
USD
161741.18000000
0.012341352450
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
AT&T INC 2.55% 12/01/33
549300Z40J86GGSTL398
AT&T INC REGD 144A P/P 2.55000000
00206RMF6
1660000.00000000
NS
USD
1670375.90000000
0.127454849201
Long
DBT
CORP
US
Y
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
FHR 4639 HZ V/R 04/15/53
N/A
FREDDIE MAC REMICS SER 4639 CL HZ V/R 3.25000000
3137BTEH0
866010.24000000
NS
USD
959845.05000000
0.073239147011
Long
ABS-CBDO
CORP
US
N
2
2053-04-15
Variable
3.25000000
N
N
N
N
N
N
FGLMC P#G60397 4% 12/01/45
N/A
FREDDIE MAC GOLD POOL P#G60397 4.00000000
31335ANN4
296107.36000000
NS
USD
322575.26000000
0.024613490364
Long
ABS-MBS
USGA
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
CWALT INC 2005-43 V/R 11/25/35
N/A
CWALT INC SER 2005-43 REGD V/R 0.70438000
12668AHA6
862639.87000000
NS
USD
843812.67000000
0.064385517420
Long
ABS-CBDO
CORP
US
N
2
2035-11-25
Variable
0.70438000
N
N
N
N
N
N
UMBS P#FM3002 4.5% 11/01/49
N/A
FANNIE MAE POOL UMBS P#FM3002 4.50000000
3140X6KQ3
140860.95000000
NS
USD
153710.18000000
0.011728562303
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
COMCAST CORP 3.1% 04/01/25
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 3.10000000
20030NDJ7
10000.00000000
NS
USD
10756.33000000
0.000820741258
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.10000000
N
N
N
N
N
N
VODAFONE GROUP 4.125% 05/30/25
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC REGD 4.12500000
92857WBJ8
155000.00000000
NS
USD
172603.78000000
0.013170202438
Long
DBT
CORP
GB
N
2
2025-05-30
Fixed
4.12500000
N
N
N
N
N
N
CENTERPOINT ENE 3.95% 03/01/48
N/A
CENTERPOINT ENER HOUSTON REGD 3.95000000
15189XAS7
15000.00000000
NS
USD
18084.19000000
0.001379879648
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
3.95000000
N
N
N
N
N
N
UMBS P#ZA5318 3.5% 03/01/48
N/A
FREDDIE MAC POOL UMBS P#ZA5318 3.50000000
31329N4B1
105204.61000000
NS
USD
111860.47000000
0.008535299949
Long
ABS-MBS
USGA
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
CHUBB INA HOLDI 3.35% 05/03/26
N/A
CHUBB INA HOLDINGS INC REGD 3.35000000
00440EAV9
70000.00000000
NS
USD
77025.71000000
0.005877299985
Long
DBT
CORP
US
N
2
2026-05-03
Fixed
3.35000000
N
N
N
N
N
N
FGLMC P#Q19611 4% 07/01/43
N/A
FREDDIE MAC GOLD POOL P#Q19611 4.00000000
3132JBDR1
69726.91000000
NS
USD
78494.64000000
0.005989383889
Long
ABS-MBS
USGA
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AE1201 3.5% 11/01/25
N/A
FANNIE MAE POOL UMBS P#AE1201 3.50000000
31419BKP9
6489.85000000
NS
USD
6931.69000000
0.000528909393
Long
ABS-MBS
USGSE
US
N
2
2025-11-01
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP 4.75% 03/01/44
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 4.75000000
20030NBK6
27000.00000000
NS
USD
34665.84000000
0.002645110845
Long
DBT
CORP
US
N
2
2044-03-01
Fixed
4.75000000
N
N
N
N
N
N
GNMA II P#MA4838 4% 11/20/47
N/A
GINNIE MAE II POOL P#MA4838 4.00000000
36179TLT0
546085.81000000
NS
USD
586486.84000000
0.044750760443
Long
ABS-MBS
USGSE
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
MLCFC 2007-9 AJ V/R 10/12/17
N/A
ML-CFC COMMERCIAL MORTGAGE TRUST 2007-9 SER 2007-9 CL AJ V/R REGD 6.19300000
60688CAJ5
5157.34000000
NS
USD
5082.24000000
0.000387790636
Long
ABS-CBDO
CORP
US
N
2
2049-09-12
Variable
6.19300000
N
N
N
N
N
N
UMBS P#CA1711 4.5% 05/01/48
N/A
FANNIE MAE POOL UMBS P#CA1711 4.50000000
3140Q83V5
330924.88000000
NS
USD
358698.47000000
0.027369803050
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
NEW JERSEY ST 6.561% 12/15/40
549300YUVD5TEXR6L889
NEW JERSEY ST TRANSPRTN TRUST REGD N/C B/E 6.56100000
646136XR7
85000.00000000
NS
USD
128070.76000000
0.009772195230
Long
DBT
MUN
US
N
2
2040-12-15
Fixed
6.56100000
N
N
N
N
N
N
BANK OF MONTREAL V/R 12/15/32
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL REGD V/R 3.80300000
06368BGS1
50000.00000000
NS
USD
55210.32000000
0.004212718233
Long
DBT
CORP
CA
N
2
2032-12-15
Variable
3.80300000
N
N
N
N
N
N
AEP TEXAS INC 2.4% 10/01/22
N/A
AEP TEXAS INC REGD SER WI 2.40000000
00108WAD2
50000.00000000
NS
USD
51060.02000000
0.003896037502
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
2.40000000
N
N
N
N
N
N
AT&T INC 3.85% 06/01/60
549300Z40J86GGSTL398
AT&T INC REGD 3.85000000
00206RKB7
50000.00000000
NS
USD
53370.48000000
0.004072332748
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
3.85000000
N
N
N
N
N
N
PROCTER & GAMBLE C 3% 03/25/30
2572IBTT8CCZW6AU4141
PROCTER & GAMBLE CO/THE REGD 3.00000000
742718FH7
80000.00000000
NS
USD
88840.70000000
0.006778820277
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
3.00000000
N
N
N
N
N
N
GNR 2013-53 OI 3.5% 04/20/43
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-53 CL OI 3.50000000
38378MVC6
135453.05000000
NS
USD
13589.64000000
0.001036931577
Long
ABS-CBDO
CORP
US
N
2
2043-04-20
Fixed
3.50000000
N
N
N
N
N
N
BROADCOM INC 3.625% 10/15/24
549300WV6GIDOZJTV909
BROADCOM INC REGD 3.62500000
11135FAY7
85000.00000000
NS
USD
91970.14000000
0.007017606231
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
3.62500000
N
N
N
N
N
N
T/L MILANO ACQUIS 0% 10/01/27
N/A
T/L MILANO ACQUISITION CORP REGD 0.00000000
59909TAC8
109724.31000000
NS
USD
110204.35000000
0.008408932869
Long
LON
CORP
US
N
2
2027-10-01
Variable
4.75000000
N
N
N
N
N
N
NORTHROP GRUMMA 4.75% 06/01/43
RIMU48P07456QXSO0R61
NORTHROP GRUMMAN CORP REGD 4.75000000
666807BH4
29000.00000000
NS
USD
37627.30000000
0.002871079406
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
4.75000000
N
N
N
N
N
N
BAMLL 2020-JGDN V/R 11/15/22
N/A
BAMLL COMMERCIAL MORTGAGE SECURITIES SER 2020-JGDN CL A V/R REGD 144A P/P 2.84600000
05493DAA2
710000.00000000
NS
USD
722800.16000000
0.055151888503
Long
ABS-CBDO
CORP
US
Y
2
2030-11-15
Variable
2.84600000
N
N
N
N
N
N
FNA 2020-M6 A 2.5% 10/25/37
N/A
FANNIE MAE-ACES SER 2020-M6 CL A 2.50000000
3136B8UA5
93489.56000000
NS
USD
99431.85000000
0.007586957790
Long
ABS-CBDO
CORP
US
N
2
2037-10-25
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#CA8962 2.5% 02/01/51
N/A
FANNIE MAE POOL UMBS P#CA8962 2.50000000
3140QG5Y9
95125.30000000
NS
USD
100513.92000000
0.007669523079
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
CIMAREX ENERGY C 3.9% 05/15/27
11KYOFXPU1C4CQL1CL44
CIMAREX ENERGY CO REGD 3.90000000
171798AD3
470000.00000000
NS
USD
519449.96000000
0.039635639091
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
SUZANO AUSTRIA 3.75% 01/15/31
N/A
SUZANO AUSTRIA GMBH REGD 3.75000000
86964WAJ1
380000.00000000
NS
USD
399478.80000000
0.030481468400
Long
DBT
CORP
BR
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
FGLMC P#G08741 3% 01/01/47
N/A
FREDDIE MAC GOLD POOL P#G08741 3.00000000
3128MJZF0
625637.44000000
NS
USD
664237.75000000
0.050683395432
Long
ABS-MBS
USGA
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#AS8392 2.5% 11/01/31
N/A
FANNIE MAE POOL UMBS P#AS8392 2.50000000
3138WJKE7
365746.80000000
NS
USD
384007.69000000
0.029300974841
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
SANTANDER UK GROU V/R 11/03/28
N/A
SANTANDER UK GROUP HLDGS REGD V/R 3.82300000
80281LAG0
200000.00000000
NS
USD
221113.88000000
0.016871673155
Long
DBT
CORP
GB
N
2
2028-11-03
Variable
3.82300000
N
N
N
N
N
N
CVS HEALTH COR 2.125% 09/15/31
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 2.12500000
126650DR8
140000.00000000
NS
USD
139639.84000000
0.010654951828
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.12500000
N
N
N
N
N
N
FGLMC P#G16728 2.5% 11/01/31
N/A
FREDDIE MAC GOLD POOL P#G16728 2.50000000
3128MFVV7
463137.71000000
NS
USD
486437.92000000
0.037116718302
Long
ABS-MBS
USGA
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
US TREAS NTS 1% 07/31/28
N/A
UNITED STATES TREASURY NOTE 1.00000000
91282CCR0
4595000.00000000
NS
USD
4574178.90000000
0.349024002273
Long
DBT
UST
US
N
2
2028-07-31
Fixed
1.00000000
N
N
N
N
N
N
REPUBLIC SERVICE 2.5% 08/15/24
NKNQHM6BLECKVOQP7O46
REPUBLIC SERVICES INC REGD 2.50000000
760759AU4
130000.00000000
NS
USD
136511.67000000
0.010416262778
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#SD8065 4.5% 05/01/50
N/A
FREDDIE MAC POOL UMBS P#SD8065 4.50000000
3132DV6A8
97621.76000000
NS
USD
105737.12000000
0.008068069399
Long
ABS-MBS
USGA
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
COMCAST CORP 2.987% 11/01/63
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 144A P/P 2.98700000
20030NDV0
95000.00000000
NS
USD
93883.83000000
0.007163626699
Long
DBT
CORP
US
Y
2
2063-11-01
Fixed
2.98700000
N
N
N
N
N
N
T/L GARDA WORLD 0% 10/30/2026
N/A
T/L GARDA WORLD SECURITY CORPORATION REGD 0.00000000
C4000KAD6
75577.19000000
NS
USD
75557.16000000
0.005765245076
Long
LON
CORP
CA
N
2
2026-10-30
Variable
4.34000000
N
N
N
N
N
N
UMBS P#MA2806 3% 11/01/46
N/A
FANNIE MAE POOL UMBS P#MA2806 3.00000000
31418CDL5
336057.69000000
NS
USD
353747.72000000
0.026992045507
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#CA3633 3.5% 06/01/49
N/A
FANNIE MAE POOL UMBS P#CA3633 3.50000000
3140QBBB3
249097.73000000
NS
USD
270881.01000000
0.020669059150
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#A97420 4% 03/01/41
N/A
FREDDIE MAC GOLD POOL P#A97420 4.00000000
312946G59
146481.05000000
NS
USD
161301.91000000
0.012307834790
Long
ABS-MBS
USGA
US
N
2
2041-03-01
Fixed
4.00000000
N
N
N
N
N
N
PETROLEOS MEXIC 6.95% 01/28/60
N/A
PETROLEOS MEXICANOS REGD SER WI 6.95000000
71654QDF6
170000.00000000
NS
USD
150247.70000000
0.011464364366
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
MACQUARIE GROUP L V/R 01/12/27
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP LTD REGD V/R 144A P/P 1.34000000
55608JAR9
540000.00000000
NS
USD
538579.76000000
0.041095302017
Long
DBT
CORP
AU
Y
2
2027-01-12
Variable
1.34000000
N
N
N
N
N
N
AT&T INC 4.1% 02/15/28
549300Z40J86GGSTL398
AT&T INC REGD SER * 4.10000000
00206RGL0
306000.00000000
NS
USD
349501.18000000
0.026668021367
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.10000000
N
N
N
N
N
N
TARGA RESOURCES 6.5% 07/15/27
N/A
TARGA RESOURCES PARTNERS REGD 144A 6.50000000
87612BBL5
50000.00000000
NS
USD
54198.50000000
0.004135513236
Long
DBT
CORP
US
Y
2
2027-07-15
Fixed
6.50000000
N
N
N
N
N
N
OFFICE CHERIFI 5.125% 06/23/51
N/A
OFFICE CHERIFIEN DES PHO REGD 144A P/P 5.12500000
67091TAE5
200000.00000000
NS
USD
202576.60000000
0.015457221338
Long
DBT
CORP
MA
Y
2
2051-06-23
Fixed
5.12500000
N
N
N
N
N
N
GNR 2020-123 NI 2.5% 08/20/50
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-123 CL NI 2.50000000
38382HM98
285364.38000000
NS
USD
37402.94000000
0.002853960044
Long
ABS-CBDO
CORP
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
CVS HEALTH COR 3.875% 07/20/25
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 3.87500000
126650CL2
116000.00000000
NS
USD
127770.88000000
0.009749313458
Long
DBT
CORP
US
N
2
2025-07-20
Fixed
3.87500000
N
N
N
N
N
N
GNMA II P#MA7255 2.5% 03/20/51
N/A
GINNIE MAE II POOL P#MA7255 2.50000000
36179WBY3
725661.10000000
NS
USD
753422.38000000
0.057488458632
Long
ABS-MBS
USGSE
US
N
2
2051-03-20
Fixed
2.50000000
N
N
N
N
N
N
BARCLAYS PLC V/R 05/16/29
213800LBQA1Y9L22JB70
BARCLAYS PLC REGD V/R MTN 4.97200000
06738EBD6
620000.00000000
NS
USD
729247.95000000
0.055643874829
Long
DBT
CORP
GB
N
2
2029-05-16
Variable
4.97200000
N
N
N
N
N
N
VALE OVERSEAS 6.875% 11/21/36
N/A
VALE OVERSEAS LIMITED REGD 6.87500000
91911TAH6
125000.00000000
NS
USD
175480.63000000
0.013389714994
Long
DBT
CORP
BR
N
2
2036-11-21
Fixed
6.87500000
N
N
N
N
N
N
OCCIDENTAL PET 7.875% 09/15/31
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR REGD 7.87500000
674599DE2
75000.00000000
NS
USD
99736.50000000
0.007610203528
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
7.87500000
N
N
N
N
N
N
SHELL INTERNATI 4.55% 08/12/43
N/A
SHELL INTERNATIONAL FIN REGD 4.55000000
822582AY8
90000.00000000
NS
USD
114107.61000000
0.008706763684
Long
DBT
CORP
NL
N
2
2043-08-12
Fixed
4.55000000
N
N
N
N
N
N
GOLDMAN SACHS GR 3.2% 02/23/23
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD 3.20000000
38141GWT7
130000.00000000
NS
USD
135056.11000000
0.010305199047
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.20000000
N
N
N
N
N
N
SOUTHERN CAL E 1.845% 02/01/22
9R1Z5I36FERIBVKW4P77
SOUTHERN CAL EDISON REGD 1.84500000
842400GF4
3214.29000000
NS
USD
3217.14000000
0.000245477735
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
1.84500000
N
N
N
N
N
N
COMCAST CORP 7.05% 03/15/33
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 7.05000000
20030NAC5
56000.00000000
NS
USD
82072.21000000
0.006262363548
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
7.05000000
N
N
N
N
N
N
LOCKHEED MARTIN 4.07% 12/15/42
DPRBOZP0K5RM2YE8UU08
LOCKHEED MARTIN CORP REGD 4.07000000
539830BB4
60000.00000000
NS
USD
73738.61000000
0.005626484085
Long
DBT
CORP
US
N
2
2042-12-15
Fixed
4.07000000
N
N
N
N
N
N
ECMC 2016-1A A V/R 02/25/29
N/A
ECMC GROUP STUDENT LOAN TRUST 2016-1 SER 2016-1A CL A V/R 1.43438000
26827XAA1
174460.44000000
NS
USD
180035.18000000
0.013737241250
Long
ABS-CBDO
CORP
US
Y
2
2066-07-26
Variable
1.43438000
N
N
N
N
N
N
FGLMC P#H00790 5.5% 05/01/37
N/A
FREDDIE MAC GOLD POOL P#H00790 5.50000000
3128MS2X7
32640.44000000
NS
USD
34735.22000000
0.002650404754
Long
ABS-MBS
USGA
US
N
2
2037-05-01
Fixed
5.50000000
N
N
N
N
N
N
BAT CAPITAL CO 3.557% 08/15/27
N/A
BAT CAPITAL CORP REGD 3.55700000
05526DBB0
500000.00000000
NS
USD
541516.57000000
0.041319389707
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
TPGI 2021-DGWD A V/R 06/15/26
N/A
TPGI TRUST 2021-DGWD SER 2021-DGWD CL A V/R REGD 144A P/P 0.80000000
87267HAA5
200000.00000000
NS
USD
200443.60000000
0.015294466839
Long
ABS-CBDO
CORP
US
Y
2
2026-06-15
Variable
0.80000000
N
N
N
N
N
N
MLCFC 2007-5 AJ V/R 08/12/48
N/A
ML-CFC COMMERCIAL MORTGAGE TRUST 2007-5 SER 2007-5 CL AJ V/R REGD 5.45000000
55312YAH5
31802.58000000
NS
USD
15774.74000000
0.001203661467
Long
ABS-CBDO
CORP
US
N
2
2048-08-12
Variable
5.45000000
N
N
N
N
N
N
UMBS P#CB0189 3% 04/01/51
N/A
FANNIE MAE POOL UMBS P#CB0189 3.00000000
3140QKF78
2265593.03000000
NS
USD
2392719.96000000
0.182571935863
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#FM3454 3.5% 10/01/47
N/A
FANNIE MAE POOL UMBS P#FM3454 3.50000000
3140X6ZU8
56909.84000000
NS
USD
62084.45000000
0.004737235620
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
ONCOR ELECTRIC D 3.1% 09/15/49
N/A
ONCOR ELECTRIC DELIVERY REGD SER * 3.10000000
68233JBR4
98000.00000000
NS
USD
104828.60000000
0.007998746512
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.10000000
N
N
N
N
N
N
FHS 353 S1 V/R 12/15/46
N/A
FREDDIE MAC STRIPS SER 353 CL S1 V/R 5.90450000
31325WSM5
99684.29000000
NS
USD
21567.22000000
0.001645645613
Long
ABS-CBDO
CORP
US
N
2
2046-12-15
Variable
5.90450000
N
N
N
N
N
N
FGLMC P#G67714 4% 07/01/48
N/A
FREDDIE MAC GOLD POOL P#G67714 4.00000000
3132XCSB2
114537.27000000
NS
USD
125709.82000000
0.009592048203
Long
ABS-MBS
USGA
US
N
2
2048-07-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#BM9734 4% 10/20/49
N/A
GINNIE MAE II POOL P#BM9734 4.00000000
3617K1Y72
64756.61000000
NS
USD
69682.48000000
0.005316988816
Long
ABS-MBS
USGSE
US
N
2
2049-10-20
Fixed
4.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH I 3.5% 06/01/30
N/A
ANHEUSER-BUSCH INBEV WOR REGD 3.50000000
035240AV2
260000.00000000
NS
USD
289696.50000000
0.022104739251
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
TRANSOCEAN PHOE 7.75% 10/15/24
N/A
TRANSOCEAN PHOENIX 2 LTD REGD 144A P/P 7.75000000
893828AA1
20900.00000000
NS
USD
21239.63000000
0.001620649482
Long
DBT
CORP
KY
Y
2
2024-10-15
Fixed
7.75000000
N
N
N
N
N
N
BNP PARIBAS V/R 06/09/26
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS REGD V/R 144A P/P 2.21900000
09659W2L7
220000.00000000
NS
USD
226553.55000000
0.017286736806
Long
DBT
CORP
FR
Y
2
2026-06-09
Variable
2.21900000
N
N
N
N
N
N
ENERGY TRANSFER 5.3% 04/01/44
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD SER 30YR 5.30000000
86765BAP4
200000.00000000
NS
USD
233326.27000000
0.017803516296
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
CSX CORP 2.5% 05/15/51
549300JVQR4N1MMP3Q88
CSX CORP REGD 2.50000000
126408HT3
60000.00000000
NS
USD
55423.50000000
0.004228984526
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
2.50000000
N
N
N
N
N
N
GNMA II P#4696 4.5% 05/20/40
N/A
GINNIE MAE II POOL P#4696 4.50000000
36202FGD2
32995.05000000
NS
USD
36505.72000000
0.002785499382
Long
ABS-MBS
USGSE
US
N
2
2040-05-20
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#888412 7% 04/01/37
N/A
FANNIE MAE POOL UMBS P#888412 7.00000000
31410GAM5
20742.86000000
NS
USD
23752.12000000
0.001812360243
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
7.00000000
N
N
N
N
N
N
US BANCORP 3.1% 04/27/26
N1GZ7BBF3NP8GI976H15
US BANCORP REGD MTN 3.10000000
91159HHM5
56000.00000000
NS
USD
61011.13000000
0.004655337983
Long
DBT
CORP
US
N
2
2026-04-27
Fixed
3.10000000
N
N
N
N
N
N
NORTHROP GRUMMA 5.25% 05/01/50
RIMU48P07456QXSO0R61
NORTHROP GRUMMAN CORP REGD 5.25000000
666807BU5
248000.00000000
NS
USD
352813.01000000
0.026920724242
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.25000000
N
N
N
N
N
N
VIACOMCBS INC 3.875% 04/01/24
5KYC8KF17ROCY24M3H09
VIACOMCBS INC REGD 3.87500000
92553PAX0
10000.00000000
NS
USD
10716.39000000
0.000817693712
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.87500000
N
N
N
N
N
N
UMBS P#AL0484 5.5% 05/01/40
N/A
FANNIE MAE POOL UMBS P#AL0484 5.50000000
3138EGRE6
39085.54000000
NS
USD
45506.09000000
0.003472255459
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
RAYTHEON TECH C 3.95% 08/16/25
I07WOS4YJ0N7YRFE7309
RAYTHEON TECH CORP REGD 3.95000000
913017DD8
120000.00000000
NS
USD
133173.32000000
0.010161536345
Long
DBT
CORP
US
N
2
2025-08-16
Fixed
3.95000000
N
N
N
N
N
N
UNION PACIFIC C 3.75% 02/05/70
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP REGD 3.75000000
907818FL7
160000.00000000
NS
USD
182464.41000000
0.013922599015
Long
DBT
CORP
US
N
2
2070-02-05
Fixed
3.75000000
N
N
N
N
N
N
WELLS FARGO & C 4.15% 01/24/29
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD MTN 4.15000000
95000U2D4
736000.00000000
NS
USD
847680.21000000
0.064680622688
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
4.15000000
N
N
N
N
N
N
INTERCONTINENTAL 2.1% 06/15/30
5493000F4ZO33MV32P92
INTERCONTINENTALEXCHANGE REGD 2.10000000
45866FAK0
298000.00000000
NS
USD
299296.03000000
0.022837213090
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
CWHL 2005-11 6A1 V/R 03/25/35
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2005-11 SER 2005-11 CL 6A1 V/R REGD 0.68438000
12669GUX7
43583.41000000
NS
USD
35369.38000000
0.002698793124
Long
ABS-CBDO
CORP
US
N
2
2035-03-25
Variable
0.68438000
N
N
N
N
N
N
HUMANA INC 4.5% 04/01/25
529900YLDW34GJAO4J06
HUMANA INC REGD 4.50000000
444859BM3
201000.00000000
NS
USD
224285.55000000
0.017113681389
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
CAPITAL ONE FIN 3.75% 03/09/27
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CO REGD 3.75000000
14040HBN4
20000.00000000
NS
USD
22379.26000000
0.001707606777
Long
DBT
CORP
US
N
2
2027-03-09
Fixed
3.75000000
N
N
N
N
N
N
CHENIERE ENERGY PA 4% 03/01/31
5493005UEC8AZ34LDV29
CHENIERE ENERGY PARTNERS REGD 144A P/P 4.00000000
16411QAH4
30000.00000000
NS
USD
31612.50000000
0.002412131556
Long
DBT
CORP
US
Y
2
2031-03-01
Fixed
4.00000000
N
N
N
N
N
N
T/L ALTICE US FINA 0% 01/15/26
N/A
T/L ALTICE US FINANCE I CORPORATION REGD 0.00000000
64072UAH5
69820.97000000
NS
USD
68879.43000000
0.005255713617
Long
LON
CORP
US
N
2
2026-01-15
Variable
2.34513000
N
N
N
N
N
N
FHS 334 S7 V/R 08/15/44
N/A
FREDDIE MAC STRIPS SER 334 CL S7 V/R 6.00450000
31325VKQ6
62834.55000000
NS
USD
14363.02000000
0.001095942864
Long
ABS-CBDO
CORP
US
N
2
2044-08-15
Variable
6.00450000
N
N
N
N
N
N
UMBS P#MA1582 3.5% 09/01/43
N/A
FANNIE MAE POOL UMBS P#MA1582 3.50000000
31418AXL7
242623.67000000
NS
USD
263350.79000000
0.020094480066
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA P#782333 5.5% 06/15/38
N/A
GINNIE MAE I POOL P#782333 5.50000000
36241KSW9
18140.85000000
NS
USD
21354.10000000
0.001629383898
Long
ABS-MBS
USGSE
US
N
2
2038-06-15
Fixed
5.50000000
N
N
N
N
N
N
FHR 4335 SW V/R 05/15/44
N/A
FREDDIE MAC REMICS SER 4335 CL SW V/R 5.90450000
3137BAQX3
57821.26000000
NS
USD
10881.85000000
0.000830318822
Long
ABS-CBDO
CORP
US
N
2
2044-05-15
Variable
5.90450000
N
N
N
N
N
N
OI EUROPEAN GROUP 4% 03/15/23
N/A
OI EUROPEAN GROUP BV REGD 144A P/P 4.00000000
67777LAC7
24000.00000000
NS
USD
24865.20000000
0.001897291691
Long
DBT
CORP
NL
Y
2
2023-03-15
Fixed
4.00000000
N
N
N
N
N
N
BMW US CAPITAL 2.55% 04/01/31
N/A
BMW US CAPITAL LLC REGD 144A P/P 2.55000000
05565EBS3
159000.00000000
NS
USD
166569.03000000
0.012709732342
Long
DBT
CORP
US
Y
2
2031-04-01
Fixed
2.55000000
N
N
N
N
N
N
ECOPETROL SA 4.125% 01/16/25
N/A
ECOPETROL SA REGD 4.12500000
279158AK5
95000.00000000
NS
USD
99482.10000000
0.007590792020
Long
DBT
CORP
CO
N
2
2025-01-16
Fixed
4.12500000
N
N
N
N
N
N
GNMA II P#MA6657 3.5% 05/20/50
N/A
GINNIE MAE II POOL P#MA6657 3.50000000
36179VME7
321803.23000000
NS
USD
338862.70000000
0.025856272428
Long
ABS-MBS
USGSE
US
N
2
2050-05-20
Fixed
3.50000000
N
N
N
N
N
N
HVMLT 2006-10 1A V/R 11/19/36
N/A
HARBORVIEW MORTGAGE LOAN TRUST 2006-10 SER 2006-10 CL 1A1A V/R REGD 0.28650000
41162CAA9
782908.99000000
NS
USD
734501.73000000
0.056044754498
Long
ABS-CBDO
CORP
US
N
2
2036-11-19
Variable
0.28650000
N
N
N
N
N
N
UMBS P#889117 5% 10/01/35
N/A
FANNIE MAE POOL UMBS P#889117 5.00000000
31410GYN7
41328.25000000
NS
USD
47096.63000000
0.003593618582
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
FNR 2006-51 SP V/R 03/25/36
N/A
FANNIE MAE REMICS SER 2006-51 CL SP V/R 6.56562000
31395DS42
357817.45000000
NS
USD
45820.71000000
0.003496261939
Long
ABS-CBDO
CORP
US
N
2
2036-03-25
Variable
6.56562000
N
N
N
N
N
N
COMM 2015-CR2 3.349% 09/10/25
N/A
COMM 2015-CCRE27 MORTGAGE TRUST SER 2015-CR27 CL A3 REGD 3.34900000
12635QBF6
901981.63000000
NS
USD
960818.97000000
0.073313460120
Long
ABS-CBDO
CORP
US
N
2
2048-10-10
Fixed
3.34900000
N
N
N
N
N
N
ORBIA ADVANCE 1.875% 05/11/26
549300MVHZ20SBIOEQ79
ORBIA ADVANCE CORP SAB REGD 144A P/P 1.87500000
68560EAA6
270000.00000000
NS
USD
272435.40000000
0.020787663916
Long
DBT
CORP
MX
Y
2
2026-05-11
Fixed
1.87500000
N
N
N
N
N
N
T/L ASURION LLC 0% 07/29/2027
N/A
T/L ASURION LLC REGD 0.00000000
N/A
119700.00000000
NS
USD
117480.76000000
0.008964145465
Long
LON
CORP
US
N
2
2027-07-29
Variable
3.33463000
N
N
N
N
N
N
AMER AIRLINE 16-3 3% 10/15/28
N/A
AMER AIRLINE 16-3 AA PTT REGD 3.00000000
023771R91
92409.09000000
NS
USD
93340.54000000
0.007122171991
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#BM1565 3% 04/01/47
N/A
FANNIE MAE POOL UMBS P#BM1565 3.00000000
3140J5W39
474932.38000000
NS
USD
508696.14000000
0.038815089353
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
MICROSOFT CORP 2.4% 08/08/26
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP REGD 2.40000000
594918BR4
1030000.00000000
NS
USD
1101728.42000000
0.084065287119
Long
DBT
CORP
US
N
2
2026-08-08
Fixed
2.40000000
N
N
N
N
N
N
UNICREDIT SPA V/R 04/02/34
549300TRUWO2CD2G5692
UNICREDIT SPA REGD V/R 144A P/P MTN 7.29600000
904678AQ2
200000.00000000
NS
USD
242181.87000000
0.018479225975
Long
DBT
CORP
IT
Y
2
2034-04-02
Variable
7.29600000
N
N
N
N
N
N
FGLMC P#G08800 3.5% 02/01/48
N/A
FREDDIE MAC GOLD POOL P#G08800 3.50000000
3128MJ3J7
391133.39000000
NS
USD
414917.64000000
0.031659499659
Long
ABS-MBS
USGA
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
SANTANDER UK PLC 5% 11/07/23
N/A
SANTANDER UK PLC REGD P/P 5.00000000
80283LAA1
535000.00000000
NS
USD
580817.40000000
0.044318164630
Long
DBT
CORP
GB
Y
2
2023-11-07
Fixed
5.00000000
N
N
N
N
N
N
EASTMAN CHEMICAL 4.5% 12/01/28
FDPVHDGJ1IQZFK9KH630
EASTMAN CHEMICAL CO REGD 4.50000000
277432AW0
4000.00000000
NS
USD
4677.17000000
0.000356882541
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
4.50000000
N
N
N
N
N
N
T/L ALTERRA M 0% 07/30/28
N/A
T/L ALTERRA MOUNTAIN COMPANY REGD 0.00000000
46124CAJ6
155959.60000000
NS
USD
155570.48000000
0.011870508948
Long
LON
CORP
US
N
2
2028-07-30
Variable
4.00000000
N
N
N
N
N
N
SHELL INTERNAT 2.875% 05/10/26
N/A
SHELL INTERNATIONAL FIN REGD 2.87500000
822582BT8
260000.00000000
NS
USD
280975.18000000
0.021439275552
Long
DBT
CORP
NL
N
2
2026-05-10
Fixed
2.87500000
N
N
N
N
N
N
GNMA II P#5259 4% 12/20/41
N/A
GINNIE MAE II POOL P#5259 4.00000000
36202FZY5
75598.84000000
NS
USD
82883.29000000
0.006324251462
Long
ABS-MBS
USGSE
US
N
2
2041-12-20
Fixed
4.00000000
N
N
N
N
N
N
BECTON DICKINS 3.734% 12/15/24
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON AND CO REGD 3.73400000
075887BF5
17000.00000000
NS
USD
18461.60000000
0.001408677198
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.73400000
N
N
N
N
N
N
SCRT 2018-2 MA 3.5% 11/25/57
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-2 SER 2018-2 CL MA 3.50000000
35563PFG9
121841.31000000
NS
USD
127926.32000000
0.009761174011
Long
ABS-CBDO
CORP
US
N
2
2057-11-25
Fixed
3.50000000
N
N
N
N
N
N
SOUTHERN CAL EDI 1.2% 02/01/26
N/A
SOUTHERN CAL EDISON REGD SER 20C 1.20000000
842400GV9
206000.00000000
NS
USD
205270.01000000
0.015662736854
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
1.20000000
N
N
N
N
N
N
ANGLO AMERICAN 4.75% 04/10/27
N/A
ANGLO AMERICAN CAPITAL REGD 144A P/P 4.75000000
034863AR1
617000.00000000
NS
USD
712820.07000000
0.054390376758
Long
DBT
CORP
GB
Y
2
2027-04-10
Fixed
4.75000000
N
N
N
N
N
N
SPRINT SPECTRU 5.152% 03/20/28
N/A
SPRINT SPECTRUM / SPEC I REGD 144A P/P 5.15200000
85208NAE0
1000000.00000000
NS
USD
1152900.00000000
0.087969836995
Long
DBT
CORP
US
Y
2
2028-03-20
Fixed
5.15200000
N
N
N
N
N
N
DBJPM 2016-C1 B V/R 03/10/26
N/A
DBJPM 16-C1 MORTGAGE TRUST SER 2016-C1 CL B V/R REGD 4.19500000
23312LAU2
350000.00000000
NS
USD
376792.19000000
0.028750409866
Long
ABS-CBDO
CORP
US
N
2
2049-05-10
Variable
4.19500000
N
N
N
N
N
N
STACR 2017-HRP1 V/R 12/25/42
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES SER 2017-HRP1 CL M2 V/R REGD 2.53438000
3137G0SN0
238226.13000000
NS
USD
239545.76000000
0.018278082626
Long
ABS-CBDO
CORP
US
N
2
2042-12-25
Variable
2.53438000
N
N
N
N
N
N
JPMBB 2014-C23 E V/R 10/15/24
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C23 SER 2014-C23 CL E V/R REGD 3.36400000
46643AAJ2
350000.00000000
NS
USD
260642.87000000
0.019887857392
Long
ABS-CBDO
CORP
US
Y
2
2047-09-15
Variable
3.36400000
N
N
N
N
N
N
FHR 5018 MI 2% 10/25/50
N/A
FREDDIE MAC REMICS SER 5018 CL MI 2.00000000
3137FXC89
190436.20000000
NS
USD
24505.60000000
0.001869853098
Long
ABS-CBDO
CORP
US
N
2
2050-10-25
Fixed
2.00000000
N
N
N
N
N
N
FGLMC P#G05518 5% 02/01/39
N/A
FREDDIE MAC GOLD POOL P#G05518 5.00000000
3128M7PB6
10210.94000000
NS
USD
11690.82000000
0.000892045736
Long
ABS-MBS
USGA
US
N
2
2039-02-01
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#A97052 5% 02/01/41
N/A
FREDDIE MAC GOLD POOL P#A97052 5.00000000
312945ZR2
7888.21000000
NS
USD
9015.07000000
0.000687877733
Long
ABS-MBS
USGA
US
N
2
2041-02-01
Fixed
5.00000000
N
N
N
N
N
N
OAKIG 2020-1A 1.85% 11/20/25
N/A
OAK STREET INVESTMENT GRADE NET LEASE FUND SERIES 2 SER 2020-1A CL A1 REGD 144A P/P 1.85000000
67181DAA9
365160.67000000
NS
USD
371393.34000000
0.028338460908
Long
ABS-CBDO
CORP
US
Y
2
2050-11-20
Fixed
1.85000000
N
N
N
N
N
N
SOHO 2021-SOHO B V/R 08/10/28
N/A
SOHO TRUST 2021-SOHO SER 2021-SOHO CL B V/R REGD 144A P/P 2.78648000
83410JAE8
310000.00000000
NS
USD
301450.79000000
0.023001627945
Long
ABS-CBDO
CORP
US
Y
2
2038-08-10
Variable
2.78648000
N
N
N
N
N
N
EOG RESOURCES IN 3.9% 04/01/35
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC REGD 3.90000000
26875PAN1
260000.00000000
NS
USD
300384.10000000
0.022920236198
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
3.90000000
N
N
N
N
N
N
MLMI 2004-A3 4A3 V/R 05/25/34
N/A
MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES ML SER 2004-A3 CL 4A3 V/R REGD 2.39357600
59020UHN8
13611.73000000
NS
USD
13685.09000000
0.001044214707
Long
ABS-CBDO
CORP
US
N
2
2034-05-01
Variable
2.39357600
N
N
N
N
N
N
UMBS P#AS9326 3% 03/01/32
N/A
FANNIE MAE POOL UMBS P#AS9326 3.00000000
3138WKLG8
72917.15000000
NS
USD
77635.85000000
0.005923855555
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
3.00000000
N
N
N
N
N
N
FOX CORP 4.03% 01/25/24
549300DDU6FDRBIELS05
FOX CORP REGD SER WI 4.03000000
35137LAG0
200000.00000000
NS
USD
215597.30000000
0.016450741033
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
4.03000000
N
N
N
N
N
N
UMBS P#AQ4078 4% 06/01/43
N/A
FANNIE MAE POOL UMBS P#AQ4078 4.00000000
3138MKQ82
33803.74000000
NS
USD
37725.46000000
0.002878569318
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GR 3.5% 11/16/26
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD 3.50000000
38145GAH3
613000.00000000
NS
USD
667771.38000000
0.050953022333
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
BOEING CO 2.8% 03/01/27
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 2.80000000
097023BU8
646000.00000000
NS
USD
673767.06000000
0.051410511268
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.80000000
N
N
N
N
N
N
T/L IHEARTCOMMU 0% 05/01/2026
N/A
T/L IHEARTCOMMUNICATIONS INC REGD 0.00000000
45174UAF5
162988.38000000
NS
USD
161749.67000000
0.012342000263
Long
LON
CORP
US
N
2
2026-05-01
Variable
3.08436000
N
N
N
N
N
N
DEUTSCHE BANK NY V/R 11/24/26
N/A
DEUTSCHE BANK NY REGD V/R 2.12900000
251526CE7
188000.00000000
NS
USD
192181.62000000
0.014664052203
Long
DBT
CORP
US
N
2
2026-11-24
Variable
2.12900000
N
N
N
N
N
N
FNMA P#842083 6.0% 9/1/35
N/A
FNMA P#842083 6.0% 9/1/35 6.00000000
31407VRC1
41956.97000000
NS
USD
47154.10000000
0.003598003721
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
6.00000000
N
N
N
N
N
N
GLP CAPITAL LP 5.375% 04/15/26
N/A
GLP CAPITAL LP / FIN II REGD 5.37500000
361841AH2
490000.00000000
NS
USD
562407.30000000
0.042913417040
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.37500000
N
N
N
N
N
N
NORTHROP GRUMMA 2.93% 01/15/25
RIMU48P07456QXSO0R61
NORTHROP GRUMMAN CORP REGD 2.93000000
666807BM3
534000.00000000
NS
USD
568053.41000000
0.043344232702
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.93000000
N
N
N
N
N
N
GNMA P#689876 6.5% 09/15/38
N/A
GINNIE MAE I POOL P#689876 6.50000000
36296FMZ3
10991.55000000
NS
USD
12672.70000000
0.000966966218
Long
ABS-MBS
USGSE
US
N
2
2038-09-15
Fixed
6.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 05/24/32
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 2.80400000
404280CT4
255000.00000000
NS
USD
263534.31000000
0.020108483210
Long
DBT
CORP
GB
N
2
2032-05-24
Variable
2.80400000
N
N
N
N
N
N
T/L GOLDEN NUGGET 0% 10/04/23
N/A
T/L GOLDEN NUGGET INC REGD 0.00000000
N/A
137822.28000000
NS
USD
137082.17000000
0.010459793694
Long
LON
CORP
US
N
2
2023-10-04
Variable
3.25000000
N
N
N
N
N
N
UMBS P#AD6374 5% 05/01/40
N/A
FANNIE MAE POOL UMBS P#AD6374 5.00000000
31418UCL6
3458.78000000
NS
USD
3925.87000000
0.000299556027
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.00000000
N
N
N
N
N
N
WFCM 2018-C43 XA V/R 03/15/51
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C43 SER 2018-C43 CL XA V/R REGD 0.81786000
95001LAV4
11511508.34000000
NS
USD
429455.24000000
0.032768763517
Long
ABS-CBDO
CORP
US
N
2
2051-03-15
Variable
0.81786000
N
N
N
N
N
N
UMBS P#AS4489 2.5% 03/01/30
N/A
FANNIE MAE POOL UMBS P#AS4489 2.50000000
3138WD7B1
192096.23000000
NS
USD
202535.46000000
0.015454082229
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA II P#MA5138 4.5% 04/20/48
N/A
GINNIE MAE II POOL P#MA5138 4.50000000
36179TV77
135088.42000000
NS
USD
144696.92000000
0.011040822678
Long
ABS-MBS
USGSE
US
N
2
2048-04-20
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP INC V/R 03/20/30
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD V/R 3.98000000
172967ME8
100000.00000000
NS
USD
113686.34000000
0.008674619479
Long
DBT
CORP
US
N
2
2030-03-20
Variable
3.98000000
N
N
N
N
N
N
GOLDMAN SACHS G 6.25% 02/01/41
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD 6.25000000
38141GGM0
370000.00000000
NS
USD
549923.20000000
0.041960841585
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
6.25000000
N
N
N
N
N
N
AMAZON.COM INC 1.5% 06/03/30
ZXTILKJKG63JELOEG630
AMAZON.COM INC REGD 1.50000000
023135BS4
120000.00000000
NS
USD
118085.93000000
0.009010321808
Long
DBT
CORP
US
N
2
2030-06-03
Fixed
1.50000000
N
N
N
N
N
N
F/C US 2YR NOTE (CBT) DEC21
N/A
FUTURE CONTRACT ON US 2YR NOTE (CBT) DEC21 0.00000000
N/A
-12.00000000
NC
USD
-2643937.51000000
-0.20174061217
N/A
DIR
CORP
US
N
1
GOLDMAN, SACHS AND CO.
FOR8UP27PHTHYVLBNG30
Short
F/C US 2YR NOTE (CBT) DEC21
US 2YR NOTE (CBT) DEC21
2021-12-31
2642189.05000000
USD
-1748.46000000
N
N
N
UNITED MEXICAN 3.25% 04/16/30
N/A
UNITED MEXICAN STATES REGD 3.25000000
91087BAH3
550000.00000000
NS
USD
577346.00000000
0.044053286069
Long
DBT
USGA
MX
N
2
2030-04-16
Fixed
3.25000000
N
N
N
N
N
N
CHARTER COMM O 4.908% 07/23/25
N/A
CHARTER COMM OPT LLC/CAP REGD SER WI 4.90800000
161175AY0
300000.00000000
NS
USD
339877.16000000
0.025933678865
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 02/01/28
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 3.78200000
46625HRY8
992000.00000000
NS
USD
1103697.24000000
0.084215514177
Long
DBT
CORP
US
N
2
2028-02-01
Variable
3.78200000
N
N
N
N
N
N
CITIGROUP INC V/R 06/03/31
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD V/R 2.57200000
172967MS7
70000.00000000
NS
USD
72341.93000000
0.005519913080
Long
DBT
CORP
US
N
2
2031-06-03
Variable
2.57200000
N
N
N
N
N
N
WI TREASURY SEC 0.25% 06/15/24
N/A
WI TREASURY N/B REGD 0.25000000
91282CCG4
6377000.00000000
NS
USD
6358068.28000000
0.485140281201
Long
DBT
UST
US
N
2
2024-06-15
Fixed
0.25000000
N
N
N
N
N
N
LYB INT FINANCE 4.2% 05/01/50
N/A
LYB INT FINANCE III REGD 4.20000000
50249AAD5
87000.00000000
NS
USD
102185.57000000
0.007797075146
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.20000000
N
N
N
N
N
N
UMBS P#MA4204 2% 12/01/40
N/A
FANNIE MAE POOL UMBS P#MA4204 2.00000000
31418DU67
358826.76000000
NS
USD
365567.20000000
0.027893908400
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
2.00000000
N
N
N
N
N
N
CAMERON LNG LL 3.302% 01/15/35
N/A
CAMERON LNG LLC REGD 144A P/P 3.30200000
133434AB6
533000.00000000
NS
USD
579237.24000000
0.044197593533
Long
DBT
CORP
US
Y
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
UMBS P#BD8104 3% 10/01/46
N/A
FANNIE MAE POOL UMBS P#BD8104 3.00000000
3140FGAE9
417186.52000000
NS
USD
447179.34000000
0.034121167184
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
VERIZON COMMUN 4.522% 09/15/48
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD SER WI 4.52200000
92343VCX0
150000.00000000
NS
USD
188598.77000000
0.014390669662
Long
DBT
CORP
US
N
2
2048-09-15
Fixed
4.52200000
N
N
N
N
N
N
BRISTOL-MYERS 3.875% 08/15/25
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO REGD 3.87500000
110122DC9
137000.00000000
NS
USD
151894.02000000
0.011589983675
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.87500000
N
N
N
N
N
N
BANK OF AMERICA C V/R 06/14/29
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 2.08700000
06051GJZ3
3215000.00000000
NS
USD
3263933.14000000
0.249048196972
Long
DBT
CORP
US
N
2
2029-06-14
Variable
2.08700000
N
N
N
N
N
N
WALT DISNEY COMP 6.2% 12/15/34
549300GZKULIZ0WOW665
WALT DISNEY COMPANY/THE REGD SER WI 6.20000000
254687DZ6
25000.00000000
NS
USD
35576.09000000
0.002714565737
Long
DBT
CORP
US
N
2
2034-12-15
Fixed
6.20000000
N
N
N
N
N
N
UMBS P#QC4446 2.5% 07/01/51
N/A
FREDDIE MAC POOL UMBS P#QC4446 2.50000000
3133AN5F7
99809.38000000
NS
USD
104770.95000000
0.007994347639
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
CSMC 2019-SKLZ D V/R 01/15/21
N/A
CREDIT SUISSE COMMERCIAL MORTGAGE SECURI SER 2019-SKLZ CL D V/R REGD 144A P/P 3.69600000
12655GAL1
190000.00000000
NS
USD
188215.88000000
0.014361453971
Long
ABS-CBDO
CORP
US
Y
2
2034-01-15
Variable
3.69600000
N
N
N
N
N
N
FNR 2012-51 B 7.00% 05/25/42
N/A
FANNIE MAE REMICS SER 2012-51_ CL B 7.00000000
3136A54N3
109258.03000000
NS
USD
134289.86000000
0.010246731801
Long
ABS-CBDO
CORP
US
N
2
2042-05-25
Fixed
7.00000000
N
N
N
N
N
N
ENTERGY TEXAS I 3.45% 12/01/27
N/A
ENTERGY TEXAS INC REGD 3.45000000
29365TAF1
60000.00000000
NS
USD
65463.16000000
0.004995041646
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.45000000
N
N
N
N
N
N
SAUDI INTERNATI 3.25% 10/26/26
N/A
SAUDI INTERNATIONAL BOND REGD REG S EMTN 3.25000000
M6320UAD1
200000.00000000
NS
USD
217707.80000000
0.016611778713
Long
DBT
USGA
SA
N
2
2026-10-26
Fixed
3.25000000
N
N
N
N
N
N
UMBS P#AP4903 4% 09/01/42
N/A
FANNIE MAE POOL UMBS P#AP4903 4.00000000
3138M8NV1
32281.07000000
NS
USD
35712.62000000
0.002724983398
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
RYDER SYSTEM INC 2.9% 12/01/26
ZXJ6Y2OSPZXIVGRILD15
RYDER SYSTEM INC REGD MTN 2.90000000
78355HKP3
161000.00000000
NS
USD
172962.50000000
0.013197573884
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
2.90000000
N
N
N
N
N
N
C/O US 5YR FUTR O OCT21 123.75
N/A
CALL OPTION ON US 5YR FUTR OPTN OCT21 123.75 0.00000000
N/A
-66.00000000
NC
USD
-19593.75000000
-0.00149506374
N/A
DO
CORP
US
N
1
WESTERN
N/A
Call
Purchased
C/O US 5YR FUTR O OCT21 123.75
0
-66000.00000000
USD
123.75000000
USD
2021-09-24
XXXX
-5325.11000000
N
N
N
RUSSIA GOVT 6.9% 05/23/29/RUB/
N/A
RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6224 6.90000000
X5424XBW7
170520000.00000000
NS
2337998.39000000
0.178396510767
Long
DBT
USGA
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
CIM 2018-R5 A1 V/R 07/25/58
N/A
CIM TRUST 2018-R5 SER 2018-R5 CL A1 V/R REGD 144A P/P 3.75000000
12553UAA7
581586.28000000
NS
USD
581129.21000000
0.044341956697
Long
ABS-CBDO
CORP
US
Y
2
2058-07-25
Variable
3.75000000
N
N
N
N
N
N
UMBS P#995072 5.5% 08/01/38
N/A
FANNIE MAE POOL UMBS P#995072 5.50000000
31416BMV7
18932.59000000
NS
USD
22076.57000000
0.001684510594
Long
ABS-MBS
USGSE
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#MA3939 3.5% 02/01/50
N/A
FANNIE MAE POOL UMBS P#MA3939 3.50000000
31418DLV2
197520.73000000
NS
USD
208713.26000000
0.015925467482
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.50000000
N
N
N
N
N
N
FRESB 2019-SB60 V/R 01/25/29
N/A
FRESB 2019-SB60 MORTGAGE TRUST SER 2019-SB60 CL A10H V/R 3.50000000
30308GAH3
187768.28000000
NS
USD
201844.70000000
0.015401375103
Long
ABS-CBDO
CORP
US
N
2
2039-01-25
Variable
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP01.35 02/15/28 GOLDUS33 FLOAT
N/A
1.00000000
NC
USD
-222993.80000000
-0.01701511686
N/A
DIR
US
N
2
CITIGROUP
N/A
CITIGROUP
N/A
N/A
N/A
Y
2028-02-15
-10402165.35000000
USD
10365000.00000000
USD
10365000.00000000
USD
-169941.42000000
N
N
N
GLENCORE FUNDI 4.125% 03/12/24
N/A
GLENCORE FUNDING LLC REGD 144A P/P 4.12500000
378272AT5
820000.00000000
NS
USD
882089.64000000
0.067306168658
Long
DBT
CORP
US
Y
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
SYNCHRONY FINANC 3.7% 08/04/26
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL REGD 3.70000000
87165BAL7
265000.00000000
NS
USD
290621.18000000
0.022175295196
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
3.70000000
N
N
N
N
N
N
UMBS P#BN1623 4.5% 11/01/48
N/A
FANNIE MAE POOL UMBS P#BN1623 4.50000000
3140JHYV9
126921.28000000
NS
USD
140247.48000000
0.010701316640
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#740493 5% 07/15/40
N/A
GINNIE MAE I POOL P#740493 5.00000000
3620AUUS1
141059.30000000
NS
USD
159736.50000000
0.012188389164
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Fixed
5.00000000
N
N
N
N
N
N
ALTRIA GROUP INC 4.4% 02/14/26
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC REGD 4.40000000
02209SBC6
130000.00000000
NS
USD
147147.75000000
0.011227828590
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
UMBS P#FM2373 5% 12/01/49
N/A
FANNIE MAE POOL UMBS P#FM2373 5.00000000
3140X5T78
72494.88000000
NS
USD
79425.14000000
0.006060383918
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#MA0706 4.5% 04/01/31
N/A
FANNIE MAE POOL UMBS P#MA0706 4.50000000
31417YYC5
15458.45000000
NS
USD
16911.52000000
0.001290401299
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
4.50000000
N
N
N
N
N
N
TARGA RESOURCE 6.875% 01/15/29
N/A
TARGA RESOURCES PARTNERS REGD 144A 6.87500000
87612BBN1
20000.00000000
NS
USD
22509.00000000
0.001717506341
Long
DBT
CORP
US
Y
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
WESTLAKE CHEMI 3.375% 08/15/61
N/A
WESTLAKE CHEMICAL CORP REGD 3.37500000
960413BA9
84000.00000000
NS
USD
81188.32000000
0.006194920007
Long
DBT
CORP
US
N
2
2061-08-15
Fixed
3.37500000
N
N
N
N
N
N
GNMA II P#MA5265 4.5% 06/20/48
N/A
GINNIE MAE II POOL P#MA5265 4.50000000
36179TZ65
178139.08000000
NS
USD
191148.21000000
0.014585199822
Long
ABS-MBS
USGSE
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
BIOGEN INC 3.15% 05/01/50
W8J5WZB5IY3K0NDQT671
BIOGEN INC REGD 3.15000000
09062XAG8
125000.00000000
NS
USD
123907.05000000
0.009454491275
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.15000000
N
N
N
N
N
N
MEX BONOS D 8.5% 05/31/29/MXN/
N/A
MEX BONOS DESARR FIX RT /MXN/ REGD SER M 20 8.50000000
P9767G6N6
22540000.00000000
NS
1229403.96000000
0.093807325841
Long
DBT
USGA
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
UMBS P#FM7304 2.5% 05/01/51
N/A
FANNIE MAE POOL UMBS P#FM7304 2.50000000
3140XBDJ6
99329.90000000
NS
USD
103856.35000000
0.007924560829
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#AD6404 4.5% 06/01/30
N/A
FANNIE MAE POOL UMBS P#AD6404 4.50000000
31418UDJ0
20903.36000000
NS
USD
22799.15000000
0.001739645684
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
4.50000000
N
N
N
N
N
N
FGLMC P#V83224 3.5% 07/01/47
N/A
FREDDIE MAC GOLD POOL P#V83224 3.50000000
3132L8SM0
258648.23000000
NS
USD
282208.24000000
0.021533361845
Long
ABS-MBS
USGA
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
STACR 2021-DNA1 V/R 01/25/51
N/A
FREDDIE MAC STACR REMIC TRUST 2021-DNA1 SER 2021-DNA1 CL M2 V/R REGD 144A P/P 1.85000000
35564KAH2
410000.00000000
NS
USD
411718.56000000
0.031415399957
Long
ABS-CBDO
CORP
US
Y
2
2051-01-25
Variable
1.85000000
N
N
N
N
N
N
WASTE PRO USA IN 5.5% 02/15/26
549300BY1QXU5BI3UF28
WASTE PRO USA INC REGD 144A P/P 5.50000000
94107JAA1
109000.00000000
NS
USD
111224.69000000
0.008486787968
Long
DBT
CORP
US
Y
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
FNMA PRIN STP ZCP 05/15/30
N/A
FANNIE MAE PRINCIPAL STRIP ZCP 0.00000000
31358DDR2
595000.00000000
NS
USD
524123.98000000
0.039992281278
Long
DBT
USGA
US
N
2
2030-05-15
Fixed
0.00000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 07/23/31
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 1.89800000
06051GJF7
172000.00000000
NS
USD
168624.61000000
0.012866579456
Long
DBT
CORP
US
N
2
2031-07-23
Variable
1.89800000
N
N
N
N
N
N
INTESA SANPAOL 3.125% 07/14/22
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA REGD 144A P/P 3.12500000
46115HAZ0
200000.00000000
NS
USD
204599.87000000
0.015611603099
Long
DBT
CORP
IT
Y
2
2022-07-14
Fixed
3.12500000
N
N
N
N
N
N
US TREAS BDS 3.375% 11/15/48
N/A
UNITED STATES TREASURY BOND 3.37500000
912810SE9
595000.00000000
NS
USD
781913.67000000
0.059662432209
Long
DBT
UST
US
N
2
2048-11-15
Fixed
3.37500000
N
N
N
N
N
N
CREDIT SUISSE GRO V/R 02/02/27
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD V/R 144A P/P 1.30500000
225401AT5
900000.00000000
NS
USD
886346.17000000
0.067630955066
Long
DBT
CORP
CH
Y
2
2027-02-02
Variable
1.30500000
N
N
N
N
N
N
JERSEY CITY NJ 5.47% 05/15/27
N/A
JERSEY CITY NJ MUNI UTILITIES REGD N/C B/E NATL 5.47000000
476624BH3
570000.00000000
NS
USD
645742.74000000
0.049272168946
Long
DBT
MUN
US
N
2
2027-05-15
Fixed
5.47000000
N
N
N
N
N
N
T/L VICI PROPER 0% 12/20/24
N/A
T/L VICI PROPERTIES INC REGD 0.00000000
92565EAB9
350000.00000000
NS
USD
348566.75000000
0.026596721467
Long
LON
CORP
US
N
2
2024-12-20
Variable
1.83788000
N
N
N
N
N
N
UMBS P#AV0634 3% 11/01/28
N/A
FANNIE MAE POOL UMBS P#AV0634 3.00000000
3138XBV43
201395.23000000
NS
USD
213563.57000000
0.016295561142
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.00000000
N
N
N
N
N
N
FNR 2012-70 YS V/R 02/25/41
N/A
FANNIE MAE REMICS SER 2012-70 CL YS V/R 6.56562000
3136A7ER9
3656.73000000
NS
USD
131.36000000
0.000010023174
Long
ABS-CBDO
CORP
US
N
2
2041-02-25
Variable
6.56562000
N
N
N
N
N
N
EXELON CORP 5.625% 06/15/35
3SOUA6IRML7435B56G12
EXELON CORP REGD 5.62500000
30161NAC5
143000.00000000
NS
USD
189943.65000000
0.014493288167
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
5.62500000
N
N
N
N
N
N
VERIZON COMMUNI 2.55% 03/21/31
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 2.55000000
92343VGJ7
1225000.00000000
NS
USD
1266901.27000000
0.096668486608
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
TARGA RESOURCE 5.375% 02/01/27
N/A
TARGA RESOURCES PARTNERS REGD 5.37500000
87612BBE1
20000.00000000
NS
USD
20700.00000000
0.001579474044
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.37500000
N
N
N
N
N
N
THPT 2018-THL E V/R 11/11/19
N/A
THARALDSON HOTEL PORTFOLIO TRUST 2018-THPT SER 2018-THL CL E V/R REGD 144A P/P 3.42600000
88327HAN3
291628.89000000
NS
USD
290956.01000000
0.022200843761
Long
ABS-CBDO
CORP
US
Y
2
2034-11-11
Variable
3.42600000
N
N
N
N
N
N
MAPSL 2021-1A 2.521% 06/15/28
N/A
MAPS 2021-1 TRUST SER 2021-1A CL A REGD 144A P/P 2.52100000
55292RAA9
868736.00000000
NS
USD
881068.06000000
0.067228218943
Long
ABS-CBDO
CORP
US
Y
2
2046-06-15
Fixed
2.52100000
N
N
N
N
N
N
FGLMC P#G08698 3.5% 03/01/46
N/A
FREDDIE MAC GOLD POOL P#G08698 3.50000000
3128MJX47
529785.85000000
NS
USD
573189.01000000
0.043736094871
Long
ABS-MBS
USGA
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#766768 V/R 03/01/34
N/A
FANNIE MAE POOL UMBS P#766768 V/R 1.78900000
31404EZ90
95160.65000000
NS
USD
95249.53000000
0.007267833834
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Variable
1.78900000
N
N
N
N
N
N
GENERAL ELECTR 6.875% 01/10/39
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO REGD MTN SER GMTN 6.87500000
36962G4B7
95000.00000000
NS
USD
143873.18000000
0.010977968767
Long
DBT
CORP
US
N
2
2039-01-10
Fixed
6.87500000
N
N
N
N
N
N
GNMA II 30 YR TBA 2.5% OCT 21
N/A
GNMA II 30 YR TBA 2.5% OCT 21 TO BE ANNOUNCED 2.50000000
21H0226A4
5725000.00000000
NS
USD
5927387.74000000
0.452278023502
Long
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
ANGLO AMERICAN 2.25% 03/17/28
N/A
ANGLO AMERICAN CAPITAL REGD 144A P/P 2.25000000
034863AZ3
212000.00000000
NS
USD
215038.10000000
0.016408072343
Long
DBT
CORP
GB
Y
2
2028-03-17
Fixed
2.25000000
N
N
N
N
N
N
T/L CHARTER 0% 02/01/2027
N/A
T/L CHARTER COMMUNICATIONS OPERATING LLC AKA CCO SAFARI LLC REGD 0.00000000
16117LBX6
206842.08000000
NS
USD
204902.94000000
0.015634728277
Long
LON
CORP
US
N
2
2027-02-01
Variable
1.84000000
N
N
N
N
N
N
FHR 3947 SG V/R 10/15/41
N/A
FREDDIE MAC REMICS SER 3947 CL SG V/R 5.85450000
3137AGE55
189136.98000000
NS
USD
30268.57000000
0.002309585539
Long
ABS-CBDO
CORP
US
N
2
2041-10-15
Variable
5.85450000
N
N
N
N
N
N
GNMA II P#4291 6% 11/20/38
N/A
GINNIE MAE II POOL P#4291 6.00000000
36202EXU8
15376.57000000
NS
USD
18011.13000000
0.001374304944
Long
ABS-MBS
USGSE
US
N
2
2038-11-20
Fixed
6.00000000
N
N
N
N
N
N
BROADCOM INC 5% 04/15/30
549300WV6GIDOZJTV909
BROADCOM INC REGD 5.00000000
11135FBD2
689000.00000000
NS
USD
817021.50000000
0.062341268259
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
5.00000000
N
N
N
N
N
N
T/L VFH PARENT LLC 0% 03/01/26
N/A
T/L VFH PARENT LLC REGD 0.00000000
91820UAQ3
150000.00000000
NS
USD
149391.00000000
0.011398995505
Long
LON
CORP
US
N
2
2026-03-01
Variable
3.08788000
N
N
N
N
N
N
T/L ATHENAHEALTH 0% 2/11/26
N/A
T/L ATHENAHEALTH INC REGD 0.00000000
04685YAM1
541245.81000000
NS
USD
543784.25000000
0.041492420707
Long
LON
CORP
US
N
2
2026-02-11
Variable
4.37716979
N
N
N
N
N
N
GNMA II P#4006 6% 07/20/37
N/A
GINNIE MAE II POOL P#4006 6.00000000
36202ENX3
22332.15000000
NS
USD
26047.56000000
0.001987509417
Long
ABS-MBS
USGSE
US
N
2
2037-07-20
Fixed
6.00000000
N
N
N
N
N
N
US TREAS BDS 2.75% 08/15/47
N/A
UNITED STATES TREASURY BOND 2.75000000
912810RY6
500000.00000000
NS
USD
586035.16000000
0.044716295861
Long
DBT
UST
US
N
2
2047-08-15
Fixed
2.75000000
N
N
N
N
N
N
TIME WARNER EN 8.375% 07/15/33
N/A
TIME WARNER ENTERTAINMEN REGD SER * 8.37500000
88731EAJ9
240000.00000000
NS
USD
357836.37000000
0.027304022152
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
8.37500000
N
N
N
N
N
N
ARCELORMITTAL 7% 10/15/39
2EULGUTUI56JI9SAL165
ARCELORMITTAL REGD 7.00000000
03938LAP9
30000.00000000
NS
USD
43093.20000000
0.003288144487
Long
DBT
CORP
LU
N
2
2039-10-15
Fixed
7.00000000
N
N
N
N
N
N
GNMA II P#4923 4.5% 01/20/41
N/A
GINNIE MAE II POOL P#4923 4.50000000
36202FPG5
9196.24000000
NS
USD
10304.23000000
0.000786244629
Long
ABS-MBS
USGSE
US
N
2
2041-01-20
Fixed
4.50000000
N
N
N
N
N
N
GNMA II P#783368 4.5% 07/20/41
N/A
GINNIE MAE II POOL P#783368 4.50000000
36241LW51
40237.63000000
NS
USD
44963.04000000
0.003430819064
Long
ABS-MBS
USGSE
US
N
2
2041-07-20
Fixed
4.50000000
N
N
N
N
N
N
CSMC 2021-2R 1A1 V/R 07/25/47
N/A
CSMC SERIES 2021-2R SER 2021-2R CL 1A1 V/R REGD 144A P/P 1.84575000
12657PAA3
409564.18000000
NS
USD
415904.44000000
0.031734795552
Long
ABS-CBDO
CORP
US
Y
2
2047-07-25
Variable
1.84575000
N
N
N
N
N
N
RUBY PIPELINE LLC 8% 04/01/22
N/A
RUBY PIPELINE LLC REGD P/P 8.00000000
781172AB7
287878.79000000
NS
USD
271137.09000000
0.020688598847
Long
DBT
CORP
US
Y
2
2022-04-01
Fixed
8.00000000
N
N
N
N
N
N
MIZUHO FINANCIAL V/R 09/08/31
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP REGD V/R 1.97900000
60687YBL2
945000.00000000
NS
USD
930133.28000000
0.070972047034
Long
DBT
CORP
JP
N
2
2031-09-08
Variable
1.97900000
N
N
N
N
N
N
SLMA 2005-5 A4 V/R 10/25/28
N/A
SLM STUDENT LOAN TRUST 2005-5 SER 2005-5 CL A4 V/R 0.26525000
78442GPQ3
1048919.93000000
NS
USD
1044383.67000000
0.079689705274
Long
ABS-CBDO
CORP
US
N
2
2028-10-25
Variable
0.26525000
N
N
N
N
N
N
CITIGROUP INC 5.5% 09/13/25
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD 5.50000000
172967HB0
250000.00000000
NS
USD
290645.01000000
0.022177113499
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
VISTRA CORP 4.3% 07/15/29
N/A
VISTRA CORP REGD 144A P/P 4.30000000
92840VAE2
323000.00000000
NS
USD
348715.75000000
0.026608090628
Long
DBT
CORP
US
Y
2
2029-07-15
Fixed
4.30000000
N
N
N
N
N
N
GNMA II P#MA4196 3.5% 01/20/47
N/A
GINNIE MAE II POOL P#MA4196 3.50000000
36179SUV7
68514.90000000
NS
USD
73140.80000000
0.005580869332
Long
ABS-MBS
USGSE
US
N
2
2047-01-20
Fixed
3.50000000
N
N
N
N
N
N
ST JUDE MEDICAL 4.75% 04/15/43
N/A
ST JUDE MEDICAL LLC REGD 4.75000000
790849AK9
13000.00000000
NS
USD
16270.92000000
0.001241521537
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.75000000
N
N
N
N
N
N
UMBS P#BJ3644 3% 01/01/33
N/A
FANNIE MAE POOL UMBS P#BJ3644 3.00000000
3140H5BN0
190125.11000000
NS
USD
203309.19000000
0.015513120222
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
3.00000000
N
N
N
N
N
N
GNR 2013-85 IA V/R 03/16/47
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-85 CL IA V/R 0.31858000
38378KUV9
1015674.43000000
NS
USD
12473.19000000
0.000951742988
Long
ABS-CBDO
CORP
US
N
2
2047-03-16
Variable
0.31858000
N
N
N
N
N
N
NRZT 2019-6A A1B V/R 09/25/59
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 SER 2019-6A CL A1B V/R REGD 144A P/P 3.50000000
64828GAD2
680584.49000000
NS
USD
718528.57000000
0.054825952970
Long
ABS-CBDO
CORP
US
Y
2
2059-09-25
Variable
3.50000000
N
N
N
N
N
N
UMBS P#MA2320 3% 07/01/35
N/A
FANNIE MAE POOL UMBS P#MA2320 3.00000000
31418BSJ6
28251.59000000
NS
USD
30024.61000000
0.002290970637
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
3.00000000
N
N
N
N
N
N
AMER AIRLINE 17 4.95% 02/15/25
N/A
AMER AIRLINE 17-1B PTT REGD SER B 4.95000000
02378WAA7
46662.00000000
NS
USD
46082.93000000
0.003516270136
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
4.95000000
N
N
N
N
N
N
INDONESIA G 6.5% 02/15/31/IDR/
N/A
INDONESIA GOVERNMENT /IDR/ REGD SER FR87 6.50000000
Y6S86ZPZ6
33727000000.00000000
NS
2435412.07000000
0.185829475942
Long
DBT
USGA
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#AP7399 4% 09/01/42
N/A
FANNIE MAE POOL UMBS P#AP7399 4.00000000
3138MBGH3
73160.25000000
NS
USD
80939.90000000
0.006175964792
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#5082 4.5% 06/20/41
N/A
GINNIE MAE II POOL P#5082 4.50000000
36202FUF1
313358.35000000
NS
USD
349870.33000000
0.026696188654
Long
ABS-MBS
USGSE
US
N
2
2041-06-20
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#BO2878 3% 11/01/49
N/A
FANNIE MAE POOL UMBS P#BO2878 3.00000000
3140JXFU7
76094.36000000
NS
USD
79793.44000000
0.006088486347
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP V/R /PERP/
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD V/R /PERP/ SER F 6.75000000
29273VAL4
140000.00000000
NS
USD
141757.00000000
0.010816497686
Long
DBT
CORP
US
N
2
2170-05-15
Variable
6.75000000
N
N
N
N
N
N
AT&T INC 1.65% 02/01/28
549300Z40J86GGSTL398
AT&T INC REGD 1.65000000
00206RKG6
170000.00000000
NS
USD
170051.91000000
0.012975486862
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
ALPHABET INC 1.1% 08/15/30
5493006MHB84DD0ZWV18
ALPHABET INC REGD 1.10000000
02079KAD9
80000.00000000
NS
USD
76137.53000000
0.005809529103
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.10000000
N
N
N
N
N
N
SABINE PASS LI 5.625% 03/01/25
N/A
SABINE PASS LIQUEFACTION REGD SER WI 5.62500000
785592AM8
110000.00000000
NS
USD
125421.21000000
0.009570026367
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.62500000
N
N
N
N
N
N
UMBS P#MA1629 4.5% 10/01/43
N/A
FANNIE MAE POOL UMBS P#MA1629 4.50000000
31418AY36
59436.18000000
NS
USD
66500.27000000
0.005074176348
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF KENY 6.3% 01/23/34
N/A
REPUBLIC OF KENYA REGD 144A P/P 6.30000000
491798AL8
520000.00000000
NS
USD
537364.88000000
0.041002602914
Long
DBT
USGA
KE
Y
2
2034-01-23
Fixed
6.30000000
N
N
N
N
N
N
FNA 2019-M19 A 2.56% 09/25/29
N/A
FANNIE MAE-ACES SER 2019-M19 CL A2 2.56000000
3136B57A7
211879.08000000
NS
USD
228763.64000000
0.017455373511
Long
ABS-CBDO
CORP
US
N
2
2029-09-25
Fixed
2.56000000
N
N
N
N
N
N
GNR 2020-H13 FA V/R 07/20/70
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-H13 CL FA V/R 0.53838000
38380QGQ9
367615.65000000
NS
USD
370348.58000000
0.028258742487
Long
ABS-CBDO
CORP
US
N
2
2070-07-20
Variable
0.53838000
N
N
N
N
N
N
UNION PACIFIC C 3.25% 02/05/50
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP REGD 3.25000000
907818FK9
234000.00000000
NS
USD
249295.89000000
0.019022047711
Long
DBT
CORP
US
N
2
2050-02-05
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
JPY/USD FWD 20211019 STAR USD
N/A
1.00000000
NC
N/A
-10257.83000000
-0.00078270416
N/A
DFE
N/A
N
2
CITIBANK N.A.
N/A
-4756894.83000000
USD
521992622.00000000
JPY
2021-10-19
-10257.83000000
N
N
N
UMBS P#AL1779 5.5% 12/01/38
N/A
FANNIE MAE POOL UMBS P#AL1779 5.50000000
3138EH6R8
158140.13000000
NS
USD
182851.99000000
0.013952172568
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
WI TREASURY SE 0.125% 03/31/23
N/A
WI TREASURY N/B REGD 0.12500000
91282CBU4
5655000.00000000
NS
USD
5653232.81000000
0.431359154126
Long
DBT
UST
US
N
2
2023-03-31
Fixed
0.12500000
N
N
N
N
N
N
TEVA PHARMACEU 7.125% 01/31/25
N/A
TEVA PHARMACEUTICALS NE REGD SER WI 7.12500000
88167AAN1
220000.00000000
NS
USD
240559.00000000
0.018355395973
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
7.12500000
N
N
N
N
N
N
GNMA II P#MA5399 4.5% 08/20/48
N/A
GINNIE MAE II POOL P#MA5399 4.50000000
36179T7L3
201068.85000000
NS
USD
215268.93000000
0.016425685386
Long
ABS-MBS
USGSE
US
N
2
2048-08-20
Fixed
4.50000000
N
N
N
N
N
N
BMARK 2021-B28 X V/R 08/15/31
N/A
BENCHMARK 2021-B28 MORTGAGE TRUST SER 2021-B28 CL XA V/R REGD 1.40570000
08163GAZ3
2200000.00000000
NS
USD
218916.06000000
0.016703972689
Long
ABS-CBDO
CORP
US
N
2
2054-08-15
Variable
1.40570000
N
N
N
N
N
N
GNMA II P#MA3735 3% 06/20/46
N/A
GINNIE MAE II POOL P#MA3735 3.00000000
36179SEG8
428989.73000000
NS
USD
452965.80000000
0.034562691985
Long
ABS-MBS
USGSE
US
N
2
2046-06-20
Fixed
3.00000000
N
N
N
N
N
N
MOTOROLA SOLUTIO 2.3% 11/15/30
6S552MUG6KGJVEBSEC55
MOTOROLA SOLUTIONS INC REGD 2.30000000
620076BT5
253000.00000000
NS
USD
251994.32000000
0.019227946269
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.30000000
N
N
N
N
N
N
UMBS P#MA2672 3% 07/01/36
N/A
FANNIE MAE POOL UMBS P#MA2672 3.00000000
31418B6J0
334447.27000000
NS
USD
352863.10000000
0.026924546264
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
3.00000000
N
N
N
N
N
N
AMAZON.COM INC 2.1% 05/12/31
ZXTILKJKG63JELOEG630
AMAZON.COM INC REGD 2.10000000
023135BZ8
320000.00000000
NS
USD
328843.22000000
0.025091755104
Long
DBT
CORP
US
N
2
2031-05-12
Fixed
2.10000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 03/05/29
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 3.97000000
06051GHG7
934000.00000000
NS
USD
1055077.04000000
0.080505642489
Long
DBT
CORP
US
N
2
2029-03-05
Variable
3.97000000
N
N
N
N
N
N
UMBS P#RA3474 3% 09/01/50
N/A
FREDDIE MAC POOL UMBS P#RA3474 3.00000000
3133KJ2F8
86089.54000000
NS
USD
90692.37000000
0.006920108427
Long
ABS-MBS
USGA
US
N
2
2050-09-01
Fixed
3.00000000
N
N
N
N
N
N
CREDIT SUISSE N 1.25% 08/07/26
N/A
CREDIT SUISSE NEW YORK REGD 1.25000000
22550L2G5
1025000.00000000
NS
USD
1020163.75000000
0.077841650443
Long
DBT
CORP
US
N
2
2026-08-07
Fixed
1.25000000
N
N
N
N
N
N
KEURIG DR PEPPER 3.2% 05/01/30
DYTQ8KRTKO7Y2BVU5K74
KEURIG DR PEPPER INC REGD 3.20000000
49271VAJ9
114000.00000000
NS
USD
124005.43000000
0.009461997973
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.20000000
N
N
N
N
N
N
CAPITAL ONE FINA 3.8% 01/31/28
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CO REGD 3.80000000
14040HBW4
236000.00000000
NS
USD
265319.78000000
0.020244720095
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
3.80000000
N
N
N
N
N
N
EQT CORP 5% 01/15/29
4NT01YGM4X7ZX86ISY52
EQT CORP REGD 5.00000000
26884LAL3
10000.00000000
NS
USD
11386.60000000
0.000868832809
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
T/L FINCO I LLC 0% 6/27/2025
N/A
T/L FINCO I LLC REGD 0.00000000
N/A
18028.60000000
NS
USD
17923.94000000
0.001367652077
Long
LON
CORP
US
N
2
2025-06-27
Variable
2.58463000
N
N
N
N
N
N
QUALCOMM INC 4.3% 05/20/47
H1J8DDZKZP6H7RWC0H53
QUALCOMM INC REGD 4.30000000
747525AV5
137000.00000000
NS
USD
174451.63000000
0.013311199110
Long
DBT
CORP
US
N
2
2047-05-20
Fixed
4.30000000
N
N
N
N
N
N
UMBS P#MA1711 4.5% 12/01/43
N/A
FANNIE MAE POOL UMBS P#MA1711 4.50000000
31418A3V8
63933.08000000
NS
USD
71652.47000000
0.005467305148
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
MEG ENERGY COR 5.875% 02/01/29
5493002WXPTG5ZC1T326
MEG ENERGY CORP REGD 144A P/P 5.87500000
552704AF5
30000.00000000
NS
USD
30713.85000000
0.002343561781
Long
DBT
CORP
CA
Y
2
2029-02-01
Fixed
5.87500000
N
N
N
N
N
N
UMBS P#ZT1596 5% 01/01/49
N/A
FREDDIE MAC POOL UMBS P#ZT1596 5.00000000
3132ADXZ6
148633.28000000
NS
USD
162972.58000000
0.012435312080
Long
ABS-MBS
USGA
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
ACTIVISION BLIZZ 3.4% 09/15/26
549300TPQQDBP9GNOF40
ACTIVISION BLIZZARD REGD SER WI 3.40000000
00507VAK5
189000.00000000
NS
USD
208229.50000000
0.015888555098
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.40000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 03/09/27
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 1.43100000
38141GYA6
685000.00000000
NS
USD
687992.81000000
0.052495980006
Long
DBT
CORP
US
N
2
2027-03-09
Variable
1.43100000
N
N
N
N
N
N
DISCOVER FINANCI 4.5% 01/30/26
Z1YLO2USPORE63VVUL20
DISCOVER FINANCIAL SVS REGD 4.50000000
254709AP3
255000.00000000
NS
USD
288068.89000000
0.021980547572
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
4.50000000
N
N
N
N
N
N
GNMA II P#MA4454 5% 05/20/47
N/A
GINNIE MAE II POOL P#MA4454 5.00000000
36179S5P8
188771.21000000
NS
USD
206629.79000000
0.015766492275
Long
ABS-MBS
USGSE
US
N
2
2047-05-20
Fixed
5.00000000
N
N
N
N
N
N
ABBVIE INC 3.8% 03/15/25
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD SER WI 3.80000000
00287YCX5
260000.00000000
NS
USD
283662.06000000
0.021644292809
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
DEVON ENERGY CORPO 5% 06/15/45
54930042348RKR3ZPN35
DEVON ENERGY CORPORATION REGD 5.00000000
25179MAU7
280000.00000000
NS
USD
331561.18000000
0.025299143862
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
US TREAS NTS 0.125% 07/15/23
N/A
UNITED STATES TREASURY NOTE 0.12500000
912828ZY9
620000.00000000
NS
USD
619382.42000000
0.047260794973
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.12500000
N
N
N
N
N
N
SLMA 2003-10A A4 V/R 12/17/68
N/A
SLM STUDENT LOAN TRUST 2003-10 SER 2003-10A CL A4 V/R 144A P/P 0.78888000
78442GJH0
780000.00000000
NS
USD
782088.68000000
0.059675786014
Long
ABS-CBDO
CORP
US
Y
2
2068-12-17
Variable
0.78888000
N
N
N
N
N
N
T-MOBILE USA IN 2.55% 02/15/31
N/A
T-MOBILE USA INC REGD 2.55000000
87264ACB9
1165000.00000000
NS
USD
1189721.30000000
0.090779416108
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
APPLIED MATERIA 4.35% 04/01/47
41BNNE1AFPNAZELZ6K07
APPLIED MATERIALS INC REGD 4.35000000
038222AM7
32000.00000000
NS
USD
41100.38000000
0.003136086155
Long
DBT
CORP
US
N
2
2047-04-01
Fixed
4.35000000
N
N
N
N
N
N
T/L JAZZ FINANC 0% 04/21/2028
N/A
T/L JAZZ FINANCING LUX S A R L REGD 0.00000000
N/A
390000.00000000
NS
USD
390563.55000000
0.029801207242
Long
LON
CORP
US
N
2
2028-04-21
Variable
4.00000000
N
N
N
N
N
N
GNMA II P#MA7472 2.5% 07/20/51
N/A
GINNIE MAE II POOL P#MA7472 2.50000000
36179WJR0
687706.30000000
NS
USD
713770.97000000
0.054462933370
Long
ABS-MBS
USGSE
US
N
2
2051-07-20
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#BC1832 2.5% 04/01/31
N/A
FANNIE MAE POOL UMBS P#BC1832 2.50000000
3140EWBA2
223537.36000000
NS
USD
235055.34000000
0.017935449687
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
2.50000000
N
N
N
N
N
N
WALMART INC 3.05% 07/08/26
Y87794H0US1R65VBXU25
WALMART INC REGD 3.05000000
931142EM1
100000.00000000
NS
USD
109558.62000000
0.008359661673
Long
DBT
CORP
US
N
2
2026-07-08
Fixed
3.05000000
N
N
N
N
N
N
UMBS P#BR5577 2% 03/01/51
N/A
FANNIE MAE POOL UMBS P#BR5577 2.00000000
3140L4FT1
97016.25000000
NS
USD
98725.53000000
0.007533063389
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
MCDONALD'S CORP 3.5% 03/01/27
UE2136O97NLB5BYP9H04
MCDONALD'S CORP REGD MTN 3.50000000
58013MFB5
30000.00000000
NS
USD
33204.91000000
0.002533637366
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#MA3802 3% 07/20/46
N/A
GINNIE MAE II POOL P#MA3802 3.00000000
36179SGK7
851051.23000000
NS
USD
898564.11000000
0.068563221690
Long
ABS-MBS
USGSE
US
N
2
2046-07-20
Fixed
3.00000000
N
N
N
N
N
N
CREDIT SUISSE G 4.55% 04/17/26
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD SER WI 4.55000000
225433AR2
625000.00000000
NS
USD
708124.33000000
0.054032077268
Long
DBT
CORP
CH
N
2
2026-04-17
Fixed
4.55000000
N
N
N
N
N
N
AMGEN INC 3.625% 05/22/24
62QBXGPJ34PQ72Z12S66
AMGEN INC REGD 3.62500000
031162BV1
70000.00000000
NS
USD
75155.19000000
0.005734573522
Long
DBT
CORP
US
N
2
2024-05-22
Fixed
3.62500000
N
N
N
N
N
N
VIRGINIA ELEC & 4.2% 05/15/45
N/A
VIRGINIA ELEC & POWER CO REGD SER B 4.20000000
927804FT6
94000.00000000
NS
USD
114270.76000000
0.008719212534
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
4.20000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP01.72 02/15/47 GOLDUS33XXX FLOAT
N/A
1.00000000
NC
USD
-121048.52000000
-0.00923637659
N/A
DIR
US
N
2
BA SECURITIES INC
N/A
N/A
N/A
Y
2047-02-15
-1505000.00000000
USD
1505000.00000000
USD
1505000.00000000
USD
-121048.52000000
N
N
N
UMBS P#AJ4713 4.5% 11/01/41
N/A
FANNIE MAE POOL UMBS P#AJ4713 4.50000000
3138AWGX5
100554.16000000
NS
USD
112487.99000000
0.008583181667
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.50000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 04/22/32
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 2.61500000
38141GYB4
520000.00000000
NS
USD
537086.85000000
0.040981388365
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.61500000
N
N
N
N
N
N
GNMA II P#MA1995 3.5% 06/20/44
N/A
GINNIE MAE II POOL P#MA1995 3.50000000
36179QGC9
43361.94000000
NS
USD
46774.31000000
0.003569024569
Long
ABS-MBS
USGSE
US
N
2
2044-06-20
Fixed
3.50000000
N
N
N
N
N
N
TARGA RESOURCES PA 5% 01/15/28
N/A
TARGA RESOURCES PARTNERS REGD 5.00000000
87612BBG6
40000.00000000
NS
USD
42082.40000000
0.003211017320
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
HSBC HOLDINGS PL 6.5% 09/15/37
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD 6.50000000
404280AH2
190000.00000000
NS
USD
266155.44000000
0.020308483539
Long
DBT
CORP
GB
N
2
2037-09-15
Fixed
6.50000000
N
N
N
N
N
N
ABBVIE INC 4.5% 05/14/35
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD 4.50000000
00287YAR0
396000.00000000
NS
USD
481804.08000000
0.036763141973
Long
DBT
CORP
US
N
2
2035-05-14
Fixed
4.50000000
N
N
N
N
N
N
HASBRO INC 2.6% 11/19/22
549300NUB6D2R1ITYR45
HASBRO INC REGD 2.60000000
418056AW7
44000.00000000
NS
USD
45134.61000000
0.003443910386
Long
DBT
CORP
US
N
2
2022-11-19
Fixed
2.60000000
N
N
N
N
N
N
UMBS P#MA0734 4.5% 05/01/31
N/A
FANNIE MAE POOL UMBS P#MA0734 4.50000000
31417YY84
60420.08000000
NS
USD
65951.63000000
0.005032313418
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA II P#4884 5% 12/20/40
N/A
GINNIE MAE II POOL P#4884 5.00000000
36202FM94
39579.73000000
NS
USD
44721.86000000
0.003412416284
Long
ABS-MBS
USGSE
US
N
2
2040-12-20
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#MA3564 4.5% 01/01/49
N/A
FANNIE MAE POOL UMBS P#MA3564 4.50000000
31418C6A7
212142.04000000
NS
USD
229288.00000000
0.017495383801
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#AA5649 3% 09/15/42
N/A
GINNIE MAE I POOL P#AA5649 3.00000000
36178DH20
24701.80000000
NS
USD
26339.60000000
0.002009792972
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#AA2238 4% 05/01/24
N/A
FANNIE MAE POOL UMBS P#AA2238 4.00000000
31416KPY8
6738.92000000
NS
USD
7150.97000000
0.000545641135
Long
ABS-MBS
USGSE
US
N
2
2024-05-01
Fixed
4.00000000
N
N
N
N
N
N
LMAT 2021-GS2 A1 V/R 04/25/61
N/A
LEGACY MORTGAGE ASSET TRUST 2021-GS2 SER 2021-GS2 CL A1 V/R REGD 144A P/P 1.75000000
52476DAA5
745712.94000000
NS
USD
748385.87000000
0.057104157336
Long
ABS-CBDO
CORP
US
Y
2
2061-04-25
Variable
1.75000000
N
N
N
N
N
N
WFRBS 2013-C1 3.073% 05/15/23
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C14 SER 2013-C14 CL A4 REGD 3.07300000
92890PAD6
125474.24000000
NS
USD
127993.86000000
0.009766327522
Long
ABS-CBDO
CORP
US
N
2
2046-06-15
Fixed
3.07300000
N
N
N
N
N
N
FNR 2013-9 CB 5.5% 04/25/42
N/A
FANNIE MAE REMICS SER 2013-9 CL CB 5.50000000
3136ABQH9
219229.46000000
NS
USD
251468.75000000
0.019187843652
Long
ABS-CBDO
CORP
US
N
2
2042-04-25
Fixed
5.50000000
N
N
N
N
N
N
USAA CAPITAL C 2.125% 05/01/30
N/A
USAA CAPITAL CORP REGD 144A P/P 2.12500000
90327QD55
150000.00000000
NS
USD
152908.97000000
0.011667427501
Long
DBT
CORP
US
Y
2
2030-05-01
Fixed
2.12500000
N
N
N
N
N
N
NVIDIA CORP 3.7% 04/01/60
549300S4KLFTLO7GSQ80
NVIDIA CORP REGD 3.70000000
67066GAJ3
160000.00000000
NS
USD
191097.68000000
0.014581344227
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.70000000
N
N
N
N
N
N
ABBVIE INC 4.75% 03/15/45
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD SER WI 4.75000000
00287YDB2
150000.00000000
NS
USD
190115.53000000
0.014506403143
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.75000000
N
N
N
N
N
N
BOEING CO 5.705% 05/01/40
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 5.70500000
097023CV5
210000.00000000
NS
USD
271914.27000000
0.020747900085
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.70500000
N
N
N
N
N
N
GNMA II P#784674 3.5% 04/20/48
N/A
GINNIE MAE II POOL P#784674 3.50000000
3622AACK8
349432.90000000
NS
USD
379512.99000000
0.028958015324
Long
ABS-MBS
USGSE
US
N
2
2048-04-20
Fixed
3.50000000
N
N
N
N
N
N
UNITED MEXICAN STA 4% 10/02/23
N/A
UNITED MEXICAN STATES REGD 4.00000000
91086QBC1
8000.00000000
NS
USD
8614.72000000
0.000657329789
Long
DBT
USGA
MX
N
2
2023-10-02
Fixed
4.00000000
N
N
N
N
N
N
HUMANA INC 4.625% 12/01/42
529900YLDW34GJAO4J06
HUMANA INC REGD 4.62500000
444859BB7
70000.00000000
NS
USD
87309.41000000
0.006661978112
Long
DBT
CORP
US
N
2
2042-12-01
Fixed
4.62500000
N
N
N
N
N
N
UMBS P#FM7210 2% 04/01/51
N/A
FANNIE MAE POOL UMBS P#FM7210 2.00000000
3140XBAL4
691535.06000000
NS
USD
705828.30000000
0.053856883075
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
FNS 409 C13 3.5% 11/25/41
N/A
FANNIE MAE INTEREST STRIP SER 409 CL C13 3.50000000
3136FLFG6
72435.96000000
NS
USD
6882.53000000
0.000525158333
Long
ABS-CBDO
CORP
US
N
2
2041-11-25
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#MA3042 2.5% 06/01/32
N/A
FANNIE MAE POOL UMBS P#MA3042 2.50000000
31418CLY8
199585.81000000
NS
USD
209425.49000000
0.015979812835
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
2.50000000
N
N
N
N
N
N
ABBOTT LABORATOR 4.9% 11/30/46
HQD377W2YR662HK5JX27
ABBOTT LABORATORIES REGD 4.90000000
002824BH2
150000.00000000
NS
USD
208178.60000000
0.015884671270
Long
DBT
CORP
US
N
2
2046-11-30
Fixed
4.90000000
N
N
N
N
N
N
JOHNSON & JOHN 3.625% 03/03/37
549300G0CFPGEF6X2043
JOHNSON & JOHNSON REGD 3.62500000
478160CF9
110000.00000000
NS
USD
129702.13000000
0.009896673808
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
3.62500000
N
N
N
N
N
N
CWHL 2005-11 3A3 V/R 04/25/35
N/A
CHL MORTGAGE PASS-THROUGH TRUST 2005-11 SER 2005-11 CL 3A3 V/R REGD 2.53510200
12669GUP4
63340.06000000
NS
USD
52344.13000000
0.003994019068
Long
ABS-CBDO
CORP
US
N
2
2035-04-25
Variable
2.53510200
N
N
N
N
N
N
ANHEUSER-BUSCH 4.75% 01/23/29
N/A
ANHEUSER-BUSCH INBEV WOR REGD 4.75000000
035240AQ3
258000.00000000
NS
USD
307058.42000000
0.023429507464
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 10/24/26
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 1.19700000
06051GJK6
273000.00000000
NS
USD
271969.54000000
0.020752117357
Long
DBT
CORP
US
N
2
2026-10-24
Variable
1.19700000
N
N
N
N
N
N
UMBS P#AD5335 5% 07/01/40
N/A
FANNIE MAE POOL UMBS P#AD5335 5.00000000
31418S4V8
5021.73000000
NS
USD
5718.42000000
0.000436333138
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
5.00000000
N
N
N
N
N
N
BALTIMORE GAS & 2.9% 06/15/50
N/A
BALTIMORE GAS & ELECTRIC REGD 2.90000000
059165EM8
67000.00000000
NS
USD
68110.68000000
0.005197055613
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.90000000
N
N
N
N
N
N
T/L LEVEL 3 0% 03/01/27
N/A
T/L LEVEL 3 FINANCING INC REGD 0.00000000
52729KAP1
382876.04000000
NS
USD
377850.79000000
0.028831184322
Long
LON
CORP
US
N
2
2027-03-01
Variable
1.83463000
N
N
N
N
N
N
OCCIDENTAL PETRO 3.4% 04/15/26
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR REGD 3.40000000
674599CH6
90000.00000000
NS
USD
92587.50000000
0.007064712709
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.40000000
N
N
N
N
N
N
INTELSAT JACKSON 8.5% 10/15/24
N/A
INTELSAT JACKSON HLDG REGD 144A P/P 0.00000000
45824TBA2
184000.00000000
NS
USD
99590.00000000
0.007599025124
Long
DBT
CORP
LU
Y
2
2024-10-15
Fixed
0.00000000
Y
N
N
N
N
N
MICHAELS COS IN 5.25% 05/01/28
549300H9LWMBP7HYLR98
MICHAELS COS INC/THE REGD 144A P/P 5.25000000
55916AAA2
360000.00000000
NS
USD
369900.00000000
0.028224514445
Long
DBT
CORP
US
Y
2
2028-05-01
Fixed
5.25000000
N
N
N
N
N
N
GNMA II P#MA7367 2.5% 05/20/51
N/A
GINNIE MAE II POOL P#MA7367 2.50000000
36179WFG8
1371006.89000000
NS
USD
1422800.65000000
0.108564091644
Long
ABS-MBS
USGSE
US
N
2
2051-05-20
Fixed
2.50000000
N
N
N
N
N
N
T/L PPD INC 0% 1/6/28
N/A
T/L PPD INC REGD 0.00000000
N/A
359100.00000000
NS
USD
358555.96000000
0.027358929096
Long
LON
CORP
US
N
2
2028-01-06
Variable
2.50000000
N
N
N
N
N
N
AT&T INC 4.35% 03/01/29
549300Z40J86GGSTL398
AT&T INC REGD 4.35000000
00206RHJ4
184000.00000000
NS
USD
213559.40000000
0.016295242958
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.35000000
N
N
N
N
N
N
CIT GROUP INC 4.75% 02/16/24
N8O96ZZJQRFYQUJY7K79
CIT GROUP INC REGD 4.75000000
125581GY8
90000.00000000
NS
USD
97200.00000000
0.007416660730
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
4.75000000
N
N
N
N
N
N
TAMPA ELECTRIC 3.625% 06/15/50
N/A
TAMPA ELECTRIC CO REGD 3.62500000
875127BG6
115000.00000000
NS
USD
130288.30000000
0.009941400393
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
3.62500000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 04/22/32
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 2.58000000
46647PCC8
430000.00000000
NS
USD
444866.51000000
0.033944691100
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.58000000
N
N
N
N
N
N
REPUBLICA ORIE 4.375% 01/23/31
N/A
REPUBLICA ORIENT URUGUAY REGD 4.37500000
917288BK7
200000.00000000
NS
USD
235154.00000000
0.017942977750
Long
DBT
USGA
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
N
INTEL CORP 3.05% 08/12/51
KNX4USFCNGPY45LOCE31
INTEL CORP REGD 3.05000000
458140BW9
569000.00000000
NS
USD
584516.60000000
0.044600425035
Long
DBT
CORP
US
N
2
2051-08-12
Fixed
3.05000000
N
N
N
N
N
N
KAZMUNAYGAS NA 5.375% 04/24/30
N/A
KAZMUNAYGAS NATIONAL CO REGD REG S 5.37500000
N4960ZAG2
200000.00000000
NS
USD
239997.80000000
0.018312574677
Long
DBT
CORP
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
PENSKE TRUCK LEA 2.7% 11/01/24
N/A
PENSKE TRUCK LEASING/PTL REGD 144A P/P 2.70000000
709599BG8
110000.00000000
NS
USD
115588.51000000
0.008819760936
Long
DBT
CORP
US
Y
2
2024-11-01
Fixed
2.70000000
N
N
N
N
N
N
VERIZON COMMUN 4.272% 01/15/36
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD SER WI 4.27200000
92343VCV4
48000.00000000
NS
USD
57485.56000000
0.004386326084
Long
DBT
CORP
US
N
2
2036-01-15
Fixed
4.27200000
N
N
N
N
N
N
IHS MARKIT LTD 5% 11/01/22
549300HLPTRASHS0E726
IHS MARKIT LTD REGD 144A P/P 5.00000000
44962LAA5
584000.00000000
NS
USD
607330.80000000
0.046341219080
Long
DBT
CORP
GB
Y
2
2022-11-01
Fixed
5.00000000
N
N
N
N
N
N
COMM 2015-CR25 X V/R 08/10/25
N/A
COMM 2015-CCRE25 MORTGAGE TRUST SER 2015-CR25 CL XA V/R REGD 0.97398500
12593PAX0
2922252.25000000
NS
USD
81093.38000000
0.006187675791
Long
ABS-CBDO
CORP
US
N
2
2048-08-10
Variable
0.97398500
N
N
N
N
N
N
TENCENT HOLDING 3.84% 04/22/51
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD REGD 144A P/P MTN 3.84000000
88032WBC9
350000.00000000
NS
USD
379308.76000000
0.028942431943
Long
DBT
CORP
CN
Y
2
2051-04-22
Fixed
3.84000000
N
N
N
N
N
N
UMBS P#MA4325 2% 05/01/51
N/A
FANNIE MAE POOL UMBS P#MA4325 2.00000000
31418DYX4
6830081.43000000
NS
USD
6933308.55000000
0.529032893557
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
ALABAMA POWER C 4.15% 08/15/44
N/A
ALABAMA POWER CO REGD 4.15000000
010392FL7
121000.00000000
NS
USD
147174.37000000
0.011229859778
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
4.15000000
N
N
N
N
N
N
SALESFORCE.COM 3.05% 07/15/61
RCGZFPDMRW58VJ54VR07
SALESFORCE.COM INC REGD 3.05000000
79466LAM6
50000.00000000
NS
USD
52085.20000000
0.003974261908
Long
DBT
CORP
US
N
2
2061-07-15
Fixed
3.05000000
N
N
N
N
N
N
F/C US LONG BOND(CBT) DEC21
N/A
FUTURE CONTRACT ON US LONG BOND(CBT) DEC21 0.00000000
N/A
-65.00000000
NC
USD
-10592968.75000000
-0.80827628956
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Short
F/C US LONG BOND(CBT) DEC21
US LONG BOND(CBT) DEC21
2021-12-21
10606802.33000000
USD
13833.58000000
N
N
N
AT&T INC 3.1% 02/01/43
549300Z40J86GGSTL398
AT&T INC REGD 3.10000000
00206RKD3
70000.00000000
NS
USD
69386.92000000
0.005294436674
Long
DBT
CORP
US
N
2
2043-02-01
Fixed
3.10000000
N
N
N
N
N
N
T/L UNITED AI 0% 04/15/28
N/A
T/L UNITED AIRLINES INC REGD 0.00000000
N/A
468825.00000000
NS
USD
470529.18000000
0.035902832219
Long
LON
CORP
US
N
2
2028-04-15
Variable
4.50000000
N
N
N
N
N
N
KINDER MORGAN IN 4.3% 03/01/28
549300WR7IX8XE0TBO16
KINDER MORGAN INC REGD 4.30000000
49456BAP6
290000.00000000
NS
USD
331585.03000000
0.025300963690
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.30000000
N
N
N
N
N
N
CONTINENTAL RESO 3.8% 06/01/24
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES REGD SER WI 3.80000000
212015AN1
870000.00000000
NS
USD
929812.50000000
0.070947570527
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.80000000
N
N
N
N
N
N
F/C EURO-OAT FUTURE SEP21
N/A
FUTURE CONTRACT ON EURO-OAT FUTURE SEP21 /EUR/ 0.00000000
N/A
24.00000000
NC
4567518.77000000
0.348515813748
N/A
DIR
CORP
DE
N
1
J.P. MORGAN SEC'S - FIXED INC.
ZBUT11V806EZRVTWT807
Long
F/C EURO-OAT FUTURE SEP21
EURO-OAT FUTURE SEP21 /EUR/
2021-09-08
4483638.29000000
EUR
83880.48000000
N
N
N
JPMORGAN CHASE & V/R 07/23/29
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 4.20300000
46647PAV8
480000.00000000
NS
USD
551971.86000000
0.042117160681
Long
DBT
CORP
US
N
2
2029-07-23
Variable
4.20300000
N
N
N
N
N
N
AMERICAN TOWER 3.95% 03/15/29
5493006ORUSIL88JOE18
AMERICAN TOWER CORP REGD 3.95000000
03027XAU4
111000.00000000
NS
USD
124774.60000000
0.009520688024
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.95000000
N
N
N
N
N
N
NATIONAL SECS CL 1.5% 04/23/25
N/A
NATIONAL SECS CLEARING REGD 144A P/P 1.50000000
637639AB1
250000.00000000
NS
USD
255383.48000000
0.019486549663
Long
DBT
CORP
US
Y
2
2025-04-23
Fixed
1.50000000
N
N
N
N
N
N
GNMA P#AP1362 4% 11/15/45
N/A
GINNIE MAE I POOL P#AP1362 4.00000000
36188MQP7
70566.75000000
NS
USD
77145.32000000
0.005886426598
Long
ABS-MBS
USGSE
US
N
2
2045-11-15
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#4617 4.5% 01/20/40
N/A
GINNIE MAE II POOL P#4617 4.50000000
36202FDW3
28471.64000000
NS
USD
31500.75000000
0.002403604686
Long
ABS-MBS
USGSE
US
N
2
2040-01-20
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & CO 4.4% 06/14/46
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD MTN 4.40000000
94974BGT1
40000.00000000
NS
USD
48779.06000000
0.003721993197
Long
DBT
CORP
US
N
2
2046-06-14
Fixed
4.40000000
N
N
N
N
N
N
CITIGROUP INC V/R 05/15/24
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD V/R 1.67800000
172967MR9
180000.00000000
NS
USD
183689.17000000
0.014016051992
Long
DBT
CORP
US
N
2
2024-05-15
Variable
1.67800000
N
N
N
N
N
N
GNMA II P#MA7419 3% 06/20/51
N/A
GINNIE MAE II POOL P#MA7419 3.00000000
36179WG44
791837.11000000
NS
USD
829886.01000000
0.063322870174
Long
ABS-MBS
USGSE
US
N
2
2051-06-20
Fixed
3.00000000
N
N
N
N
N
N
CARRIER GLOBAL 2.242% 02/15/25
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP REGD SER WI 2.24200000
14448CAN4
178000.00000000
NS
USD
185550.04000000
0.014158042131
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.24200000
N
N
N
N
N
N
DIN 2019-1A A 4.194% 06/05/24
N/A
APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC SER 2019-1A CL A2I REGD 144A P/P 4.19400000
03789XAD0
674900.00000000
NS
USD
689135.13000000
0.052583142556
Long
ABS-CBDO
CORP
US
Y
2
2049-06-07
Fixed
4.19400000
N
N
N
N
N
N
UMBS P#BT0846 2.5% 07/01/51
N/A
FANNIE MAE POOL UMBS P#BT0846 2.50000000
3140LN5G8
99674.58000000
NS
USD
104279.61000000
0.007956856877
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
FGLMC P#G16756 3.5% 01/01/34
N/A
FREDDIE MAC GOLD POOL P#G16756 3.50000000
3128MFWR5
271651.33000000
NS
USD
292409.35000000
0.022311738099
Long
ABS-MBS
USGA
US
N
2
2034-01-01
Fixed
3.50000000
N
N
N
N
N
N
GENERAL ELECTRI 3.45% 05/01/27
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO REGD 3.45000000
369604BV4
30000.00000000
NS
USD
33112.73000000
0.002526603747
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.45000000
N
N
N
N
N
N
SUZANO AUSTRIA 3.125% 01/15/32
N/A
SUZANO AUSTRIA G REGD 3.12500000
86964WAK8
170000.00000000
NS
USD
170722.50000000
0.013026654953
Long
DBT
CORP
BR
N
2
2032-01-15
Fixed
3.12500000
N
N
N
N
N
N
GNMA P#646496 6% 05/15/36
N/A
GINNIE MAE I POOL P#646496 6.00000000
36292EGD6
1598.31000000
NS
USD
1791.16000000
0.000136671049
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
EOG RESOURCES I 3.15% 04/01/25
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC REGD 3.15000000
26875PAM3
14000.00000000
NS
USD
15029.20000000
0.001146774459
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.15000000
N
N
N
N
N
N
UNITEDHEALTH GR 4.75% 07/15/45
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 4.75000000
91324PCR1
305000.00000000
NS
USD
406940.61000000
0.031050827590
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
4.75000000
N
N
N
N
N
N
AT&T INC 3.65% 09/15/59
549300Z40J86GGSTL398
AT&T INC REGD 144A P/P 3.65000000
00206RME9
45000.00000000
NS
USD
46316.95000000
0.003534126586
Long
DBT
CORP
US
Y
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
UMBS P#AB6282 3.5% 09/01/42
N/A
FANNIE MAE POOL UMBS P#AB6282 3.50000000
31417C6U4
582385.86000000
NS
USD
627605.41000000
0.047888234552
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.50000000
N
N
N
N
N
N
BP CAPITAL MAR 3.506% 03/17/25
N/A
BP CAPITAL MARKETS PLC REGD 3.50600000
05565QDA3
270000.00000000
NS
USD
293915.40000000
0.022426654374
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
FNA 2013-M7 X2 V/R 12/27/22
N/A
FANNIE MAE-ACES SER 2013-M7 CL X2 V/R 0.24800000
3136AEGT8
7482156.31000000
NS
USD
16161.46000000
0.001233169400
Long
ABS-CBDO
CORP
US
N
2
2022-12-27
Variable
0.24800000
N
N
N
N
N
N
APACHE CORP 4.375% 10/15/28
72ZZ1XRHOOU9P9X16K08
APACHE CORP REGD 4.37500000
037411BE4
220000.00000000
NS
USD
237688.00000000
0.018136329790
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
UMBS P#257595 5% 03/01/29
N/A
FANNIE MAE POOL UMBS P#257595 5.00000000
31371PC81
1334.26000000
NS
USD
1475.97000000
0.000112621077
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#MA1964 3.5% 07/01/29
N/A
FANNIE MAE POOL UMBS P#MA1964 3.50000000
31418BFE1
23578.36000000
NS
USD
25314.27000000
0.001931557121
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#MA1283 3.5% 12/01/42
N/A
FANNIE MAE POOL UMBS P#MA1283 3.50000000
31418AM96
218905.63000000
NS
USD
237604.36000000
0.018129947799
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AD7150 4% 07/01/25
N/A
FANNIE MAE POOL UMBS P#AD7150 4.00000000
31418U5L4
6249.33000000
NS
USD
6636.55000000
0.000506389298
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
4.00000000
N
N
N
N
N
N
PETROBRAS GLOBA 5.75% 02/01/29
N/A
PETROBRAS GLOBAL FINANCE REGD 5.75000000
71647NAZ2
360000.00000000
NS
USD
411672.60000000
0.031411893067
Long
DBT
CORP
NL
N
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
N
RAST 2005-A15 5.75% 02/25/36
N/A
RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A15 SER 2005-A15 CL 1A4 REGD 5.75000000
45660L3K3
130801.28000000
NS
USD
135257.37000000
0.010320555808
Long
ABS-CBDO
CORP
US
N
2
2036-02-01
Fixed
5.75000000
N
N
N
N
N
N
F/C 90DAY EURO$ FUTR JUN23
N/A
FUTURE CONTRACT ON 90DAY EURO$ FUTR JUN23 0.00000000
N/A
89.00000000
NC
USD
22107600.00000000
1.686878279434
N/A
DIR
CORP
US
N
1
BMO HARRIS BANK NA 001
3Y4U8VZURTYWI1W2K376
BMO HARRIS BANK NA 001
3Y4U8VZURTYWI1W2K376
BMO HARRIS BANK NA 001
3Y4U8VZURTYWI1W2K376
Long
F/C 90DAY EURO$ FUTR JUN23
90DAY EURO$ FUTR JUN23
2023-06-19
22081144.46000000
USD
26455.54000000
N
N
N
UMBS P#BO7625 3% 03/01/50
N/A
FANNIE MAE POOL UMBS P#BO7625 3.00000000
3140K3PK2
243159.32000000
NS
USD
255753.71000000
0.019514799357
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA P#688031 6.5% 10/15/38
N/A
GINNIE MAE I POOL P#688031 6.50000000
36296DLL0
6992.92000000
NS
USD
8271.94000000
0.000631174614
Long
ABS-MBS
USGSE
US
N
2
2038-10-15
Fixed
6.50000000
N
N
N
N
N
N
HYUNDAI CAPITAL SE 3% 08/29/22
N/A
HYUNDAI CAPITAL SERVICES REGD 144A P/P 3.00000000
44920UAK4
200000.00000000
NS
USD
204820.93000000
0.015628470661
Long
DBT
CORP
KR
Y
2
2022-08-29
Fixed
3.00000000
N
N
N
N
N
N
ALIMENTATION CO 3.55% 07/26/27
549300OSW32RVX8CCZ87
ALIMENTATION COUCHE-TARD REGD 144A P/P 3.55000000
01626PAH9
250000.00000000
NS
USD
276759.73000000
0.021117623675
Long
DBT
CORP
CA
Y
2
2027-07-26
Fixed
3.55000000
N
N
N
N
N
N
FNR 2020-47 GZ 2% 07/25/50
N/A
FANNIE MAE REMICS SER 2020-47 CL GZ 2.00000000
3136BAS21
204717.56000000
NS
USD
195306.35000000
0.014902478769
Long
ABS-CBDO
CORP
US
N
2
2050-07-25
Fixed
2.00000000
N
N
N
N
N
N
TPMT 2016-3 A1 V/R 04/25/56
N/A
TOWD POINT MORTGAGE TRUST 2016-3 SER 2016-3 CL A1 V/R REGD 144A P/P 2.25000000
89172YAA8
44206.77000000
NS
USD
44376.85000000
0.003386090954
Long
ABS-CBDO
CORP
US
Y
2
2056-04-25
Variable
2.25000000
N
N
N
N
N
N
COMMONSPIRIT H 2.782% 10/01/30
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH REGD 2.78200000
20268JAF0
190000.00000000
NS
USD
198970.28000000
0.015182047964
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.78200000
N
N
N
N
N
N
DEVON ENERGY COR 5.6% 07/15/41
54930042348RKR3ZPN35
DEVON ENERGY CORPORATION REGD 5.60000000
25179MAL7
460000.00000000
NS
USD
574922.15000000
0.043868338815
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
UMBS P#AT7698 4% 06/01/43
N/A
FANNIE MAE POOL UMBS P#AT7698 4.00000000
3138WVRU7
34818.80000000
NS
USD
38832.40000000
0.002963032264
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
SHERWIN-WILLIAMS 4.5% 06/01/47
Z15BMIOX8DDH0X2OBP21
SHERWIN-WILLIAMS CO REGD 4.50000000
824348AX4
34000.00000000
NS
USD
42645.60000000
0.003253991222
Long
DBT
CORP
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
T-MOBILE USA IN 4.75% 02/01/28
N/A
T-MOBILE USA INC REGD 4.75000000
87264AAV7
192000.00000000
NS
USD
205123.20000000
0.015651534797
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.75000000
N
N
N
N
N
N
US TREAS NTS 0.75% 04/30/26
N/A
UNITED STATES TREASURY NOTE 0.75000000
91282CBW0
20346000.00000000
NS
USD
20367458.73000000
1.554100116653
Long
DBT
UST
US
N
2
2026-04-30
Fixed
0.75000000
N
N
N
N
N
N
ARAB REPUBLIC 5.577% 02/21/23
N/A
ARAB REPUBLIC OF EGYPT REGD 144A P/P 5.57700000
03846JW30
230000.00000000
NS
USD
240949.38000000
0.018385183175
Long
DBT
USGA
EG
Y
2
2023-02-21
Fixed
5.57700000
N
N
N
N
N
N
GLOBAL PAYMENTS 2.9% 05/15/30
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC REGD 2.90000000
37940XAD4
127000.00000000
NS
USD
133618.62000000
0.010195514113
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.90000000
N
N
N
N
N
N
UMBS P#AL6854 3% 02/01/44
N/A
FANNIE MAE POOL UMBS P#AL6854 3.00000000
3138EPTL8
102062.05000000
NS
USD
109385.04000000
0.008346416981
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
3.00000000
N
N
N
N
N
N
T/L EDELMAN FINA 0% 03/15/2028
N/A
T/L EDELMAN FINANCIAL CENTER LLC THE REGD 0.00000000
N/A
174483.48000000
NS
USD
173808.23000000
0.013262105700
Long
LON
CORP
US
N
2
2028-03-15
Variable
4.25000000
N
N
N
N
N
N
RAYTHEON TECH 4.125% 11/16/28
I07WOS4YJ0N7YRFE7309
RAYTHEON TECH CORP REGD 4.12500000
913017CY3
696000.00000000
NS
USD
801537.33000000
0.061159778181
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
UMBS P#983077 5% 05/01/38
N/A
FANNIE MAE POOL UMBS P#983077 5.00000000
31415LCN5
29794.77000000
NS
USD
34141.56000000
0.002605106659
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AS8623 3% 01/01/47
N/A
FANNIE MAE POOL UMBS P#AS8623 3.00000000
3138WJSM1
104472.53000000
NS
USD
111516.55000000
0.008509057789
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 07/23/29
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 4.27100000
06051GHM4
1302000.00000000
NS
USD
1498575.91000000
0.114345978426
Long
DBT
CORP
US
N
2
2029-07-23
Variable
4.27100000
N
N
N
N
N
N
AT&T INC 4.9% 06/15/42
549300Z40J86GGSTL398
AT&T INC REGD 4.90000000
00206RJH6
30000.00000000
NS
USD
37545.39000000
0.002864829419
Long
DBT
CORP
US
N
2
2042-06-15
Fixed
4.90000000
N
N
N
N
N
N
ABBVIE INC 4.625% 10/01/42
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD SER WI 4.62500000
00287YCZ0
7000.00000000
NS
USD
8690.48000000
0.000663110511
Long
DBT
CORP
US
N
2
2042-10-01
Fixed
4.62500000
N
N
N
N
N
N
CIMAREX ENERGY 4.375% 03/15/29
11KYOFXPU1C4CQL1CL44
CIMAREX ENERGY CO REGD 4.37500000
171798AE1
150000.00000000
NS
USD
170705.38000000
0.013025348645
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
LEHMAN BRTH HLD 6.75% 12/28/17
N/A
LEHMAN BRTH HLD ESCROW IN DEFAULT 6.75000000
524ESC7M6
650000.00000000
NS
USD
0.07000000
0.000000005341
Long
DBT
CORP
US
N
3
2021-12-31
Fixed
6.75000000
Y
N
N
N
N
N
FGLMC P#G08833 5% 07/01/48
N/A
FREDDIE MAC GOLD POOL P#G08833 5.00000000
3128MJ4T4
107938.33000000
NS
USD
118692.46000000
0.009056601924
Long
ABS-MBS
USGA
US
N
2
2048-07-01
Fixed
5.00000000
N
N
N
N
N
N
UNION PACIFIC 4.163% 07/15/22
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP REGD 4.16300000
907818DK1
64000.00000000
NS
USD
65546.56000000
0.005001405324
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
4.16300000
N
N
N
N
N
N
UMBS P#AT9637 4% 07/01/43
N/A
FANNIE MAE POOL UMBS P#AT9637 4.00000000
3138WXV79
127791.57000000
NS
USD
141942.25000000
0.010830632834
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
F/C EURO-BUND FUTURE SEP21
N/A
FUTURE CONTRACT ON EURO-BUND FUTURE SEP21 /EUR/ 0.00000000
N/A
-130.00000000
NC
-26931135.94000000
-2.05492899535
N/A
DIR
CORP
DE
N
1
CITIGROUP GLOBAL MARKETS, INC.
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS, INC.
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS, INC.
MBNUM2BPBDO7JBLYG310
Short
F/C EURO-BUND FUTURE SEP21
EURO-BUND FUTURE SEP21 /EUR/
2021-09-08
26494329.29000000
EUR
-436806.65000000
N
N
N
VENTAS REALTY L 3.75% 05/01/24
N/A
VENTAS REALTY LP REGD 3.75000000
92277GAD9
400000.00000000
NS
USD
427992.50000000
0.032657151930
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
3.75000000
N
N
N
N
N
N
UMBS P#AT3874 4% 06/01/43
N/A
FANNIE MAE POOL UMBS P#AT3874 4.00000000
3138WRJU5
23359.15000000
NS
USD
25891.21000000
0.001975579428
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#MA2138 3.5% 01/01/35
N/A
FANNIE MAE POOL UMBS P#MA2138 3.50000000
31418BLU8
21983.56000000
NS
USD
23741.41000000
0.001811543037
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC 8.125% 07/15/39
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD 8.12500000
172967EW7
314000.00000000
NS
USD
541944.08000000
0.041352010042
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
UMBS P#939419 V/R 05/01/37
N/A
FANNIE MAE POOL UMBS P#939419 V/R 1.51500000
31413ADY6
41722.04000000
NS
USD
41920.16000000
0.003198637906
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Variable
1.51500000
N
N
N
N
N
N
UMBS P#AL3508 4% 04/01/43
N/A
FANNIE MAE POOL UMBS P#AL3508 4.00000000
3138EK3S2
34008.48000000
NS
USD
37955.17000000
0.002896096901
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#A78602 6% 06/01/38
N/A
FREDDIE MAC GOLD POOL P#A78602 6.00000000
3128LCRX6
2845.98000000
NS
USD
3200.17000000
0.000244182872
Long
ABS-MBS
USGA
US
N
2
2038-06-01
Fixed
6.00000000
N
N
N
N
N
N
COMM 2014-LC1 3.917% 09/10/24
N/A
COMM 2014-LC17 MORTGAGE TRUST SER 2014-LC17 CL A5 REGD 3.91700000
12592MBK5
345000.00000000
NS
USD
375710.73000000
0.028667891122
Long
ABS-CBDO
CORP
US
N
2
2047-10-10
Fixed
3.91700000
N
N
N
N
N
N
EXXON MOBIL CO 4.114% 03/01/46
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORPORATION REGD 4.11400000
30231GAW2
70000.00000000
NS
USD
83733.98000000
0.006389161741
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.11400000
N
N
N
N
N
N
REPUBLIC OF PH 2.457% 05/05/30
N/A
REPUBLIC OF PHILIPPINES REGD 2.45700000
718286CJ4
200000.00000000
NS
USD
211371.26000000
0.016128281106
Long
DBT
USGA
PH
N
2
2030-05-05
Fixed
2.45700000
N
N
N
N
N
N
TORONTO-DOMINIO 1.15% 06/12/25
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK REGD MTN 1.15000000
89114QCH9
150000.00000000
NS
USD
151460.30000000
0.011556889498
Long
DBT
CORP
CA
N
2
2025-06-12
Fixed
1.15000000
N
N
N
N
N
N
SAIL 2004-6 A3 V/R 07/25/34
N/A
STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-6 SER 2004-6 CL A3 V/R REGD 0.88438000
86358EJS6
620829.83000000
NS
USD
616743.53000000
0.047059439502
Long
ABS-CBDO
CORP
US
N
2
2034-07-25
Variable
0.88438000
N
N
N
N
N
N
COSTCO WHOLESALE 1.6% 04/20/30
29DX7H14B9S6O3FD6V18
COSTCO WHOLESALE CORP REGD 1.60000000
22160KAP0
160000.00000000
NS
USD
158987.72000000
0.012131254933
Long
DBT
CORP
US
N
2
2030-04-20
Fixed
1.60000000
N
N
N
N
N
N
VERIZON COMMUN 3.875% 02/08/29
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 3.87500000
92343VES9
320000.00000000
NS
USD
365022.21000000
0.027852323977
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
3.87500000
N
N
N
N
N
N
CREDIT SUISSE N 2.95% 04/09/25
N/A
CREDIT SUISSE NEW YORK REGD 2.95000000
22550L2C4
250000.00000000
NS
USD
267153.80000000
0.020384661495
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
N/A
N/A
IRS RSOFRP01.52 02/15/47 SBNYUS33 FLOAT
N/A
1.00000000
NC
USD
-30286.27000000
-0.00231093610
N/A
DIR
US
N
2
CITIGROUP
N/A
CITIGROUP
N/A
CITIGROUP
N/A
N/A
N/A
Y
2047-02-15
-1028544.17000000
USD
997000.00000000
USD
997000.00000000
USD
1257.90000000
N
N
N
UNITEDHEALTH G 3.875% 08/15/59
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 3.87500000
91324PDV1
120000.00000000
NS
USD
145318.53000000
0.011088253444
Long
DBT
CORP
US
N
2
2059-08-15
Fixed
3.87500000
N
N
N
N
N
N
SANDS CHINA LTD 3.8% 01/08/26
N/A
SANDS CHINA LTD REGD 3.80000000
80007RAK1
200000.00000000
NS
USD
212592.00000000
0.016221427345
Long
DBT
CORP
MO
N
2
2026-01-08
Fixed
3.80000000
N
N
N
N
N
N
UMBS P#MA1253 4% 11/01/42
N/A
FANNIE MAE POOL UMBS P#MA1253 4.00000000
31418AMB1
143416.63000000
NS
USD
156699.36000000
0.011956645985
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
SANTANDER UK GROU V/R 11/15/24
N/A
SANTANDER UK GROUP HLDGS REGD V/R 4.79600000
80281LAJ4
180000.00000000
NS
USD
195692.66000000
0.014931955417
Long
DBT
CORP
GB
N
2
2024-11-15
Variable
4.79600000
N
N
N
N
N
N
WILLIS NORTH AM 2.95% 09/15/29
N/A
WILLIS NORTH AMERICA INC REGD 2.95000000
970648AJ0
67000.00000000
NS
USD
71192.88000000
0.005432237010
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
UMBS P#SD8003 4% 07/01/49
N/A
FREDDIE MAC POOL UMBS P#SD8003 4.00000000
3132DV3L7
260894.67000000
NS
USD
279357.96000000
0.021315876662
Long
ABS-MBS
USGA
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
BOEING CO 3.5% 03/01/45
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 3.50000000
097023BL8
120000.00000000
NS
USD
118389.16000000
0.009033459196
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 11/15/48
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 3.96400000
46647PAL0
357000.00000000
NS
USD
422528.79000000
0.032240253952
Long
DBT
CORP
US
N
2
2048-11-15
Variable
3.96400000
N
N
N
N
N
N
US TREAS NTS 0.75% 03/31/26
N/A
UNITED STATES TREASURY NOTE 0.75000000
91282CBT7
11500000.00000000
NS
USD
11517519.56000000
0.878822376862
Long
DBT
UST
US
N
2
2026-03-31
Fixed
0.75000000
N
N
N
N
N
N
N/A
N/A
IRS R00.00P00.00 01/04/27 SBNYUS33 LONG
N/A
1.00000000
NC
-93576.55000000
-0.00714018028
N/A
DIR
BR
N
2
CITIGROUP
N/A
N/A
N/A
Y
2027-01-04
-3206574.96000000
BRL
3210698.81000000
BRL
2326121.22912052
BRL
-97700.40000000
N
N
N
UMBS P#MA1146 4% 08/01/42
N/A
FANNIE MAE POOL UMBS P#MA1146 4.00000000
31418AHY7
258348.85000000
NS
USD
283919.52000000
0.021663937803
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH I 4.5% 06/01/50
N/A
ANHEUSER-BUSCH INBEV WOR REGD 4.50000000
035240AT7
525000.00000000
NS
USD
651970.01000000
0.049747328914
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUN 3.376% 02/15/25
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD SER WI 3.37600000
92343VEN0
100000.00000000
NS
USD
108352.51000000
0.008267631748
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.37600000
N
N
N
N
N
N
CREDIT SUISSE GRO V/R 04/01/31
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD V/R 144A P/P 4.19400000
225401AP3
250000.00000000
NS
USD
283374.50000000
0.021622351091
Long
DBT
CORP
CH
Y
2
2031-04-01
Variable
4.19400000
N
N
N
N
N
N
FGLMC P#Q09011 4% 06/01/42
N/A
FREDDIE MAC GOLD POOL P#Q09011 4.00000000
3132GUKY9
161092.46000000
NS
USD
178237.89000000
0.013600102463
Long
ABS-MBS
USGA
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
UNITEDHEALTH GR 3.75% 10/15/47
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 3.75000000
91324PDF6
223000.00000000
NS
USD
261115.13000000
0.019923892291
Long
DBT
CORP
US
N
2
2047-10-15
Fixed
3.75000000
N
N
N
N
N
N
PARK AEROSPACE 5.25% 08/15/22
N/A
PARK AEROSPACE HOLDINGS REGD 144A P/P 5.25000000
70014LAA8
9000.00000000
NS
USD
9357.69000000
0.000714020699
Long
DBT
CORP
IE
Y
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
UMBS P#AE9743 3.5% 12/01/25
N/A
FANNIE MAE POOL UMBS P#AE9743 3.50000000
31419LZH9
3542.21000000
NS
USD
3781.12000000
0.000288511154
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#MA5762 3.5% 02/20/49
N/A
GINNIE MAE II POOL P#MA5762 3.50000000
36179UMK5
316654.05000000
NS
USD
335153.26000000
0.025573230679
Long
ABS-MBS
USGSE
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#G18716 3.5% 12/01/33
N/A
FREDDIE MAC GOLD POOL P#G18716 3.50000000
3128MMYN7
313351.21000000
NS
USD
335427.75000000
0.025594175116
Long
ABS-MBS
USGA
US
N
2
2033-12-01
Fixed
3.50000000
N
N
N
N
N
N
WFCM 2016-BNK 2.514% 09/15/25
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1 SER 2016-BNK1 CL ASB REGD 2.51400000
95000GAZ7
499992.13000000
NS
USD
519805.07000000
0.039662735083
Long
ABS-CBDO
CORP
US
N
2
2049-08-15
Fixed
2.51400000
N
N
N
N
N
N
IMM 2007-A A V/R 05/25/37
N/A
IMPAC CMB TRUST SERIES 2007-A SER 2007-A CL A V/R REGD 144A P/P 0.58438000
452550AA4
65319.50000000
NS
USD
65331.87000000
0.004985023813
Long
ABS-CBDO
CORP
US
Y
2
2037-05-25
Variable
0.58438000
N
N
N
N
N
N
UMBS P#735580 5% 06/01/35
N/A
FANNIE MAE POOL UMBS P#735580 5.00000000
31402RFV6
37076.38000000
NS
USD
42226.72000000
0.003222029382
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
UNITEDHEALTH GRO 3.5% 06/15/23
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 3.50000000
91324PDJ8
60000.00000000
NS
USD
63396.60000000
0.004837356724
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
COMM 2015-CR26 3.63% 08/10/25
N/A
COMM 2015-CCRE26 MORTGAGE TRUST SER 2015-CR26 CL A4 REGD 3.63000000
12593QBE9
175000.00000000
NS
USD
191914.52000000
0.014643671646
Long
ABS-CBDO
CORP
US
N
2
2048-10-10
Fixed
3.63000000
N
N
N
N
N
N
UMBS P#988107 5% 08/01/23
N/A
FANNIE MAE POOL UMBS P#988107 5.00000000
31415SU83
1388.43000000
NS
USD
1447.30000000
0.000110433467
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
5.00000000
N
N
N
N
N
N
JPMCC 2019-OS 3.397% 06/05/29
N/A
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES SER 2019-OSB CL A REGD 144A P/P 3.39730000
46651EAA2
365000.00000000
NS
USD
406496.27000000
0.031016923073
Long
ABS-CBDO
CORP
US
Y
2
2039-06-05
Fixed
3.39730000
N
N
N
N
N
N
GNMA II P#784905 3% 01/20/50
N/A
GINNIE MAE II POOL P#784905 3.00000000
3622AAKS2
156340.92000000
NS
USD
163673.05000000
0.012488760108
Long
ABS-MBS
USGSE
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
MIZUHO FINANCIAL V/R 07/09/32
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP REGD V/R 2.26000000
60687YBT5
200000.00000000
NS
USD
200195.23000000
0.015275515439
Long
DBT
CORP
JP
N
2
2032-07-09
Variable
2.26000000
N
N
N
N
N
N
GNMA P#783669 3% 09/15/42
N/A
GINNIE MAE I POOL P#783669 3.00000000
3622A2CE0
71542.92000000
NS
USD
77051.48000000
0.005879266316
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
P/O EURO$ 2Y MIDCV DEC21 98.75
N/A
PUT OPTION ON EURO$ 2Y MIDCV OP DEC21 98.75 0.00000000
N/A
-520.00000000
NC
USD
-71500.00000000
-0.00545567121
N/A
DO
CORP
US
N
1
CITIGROUP GLOBAL MARKETS
MBNUM2BPBDO7JBLYG310
Put
Purchased
P/O EURO$ 2Y MIDCV DEC21 98.75
0
-1300000.00000000
USD
98.75000000
USD
2021-12-10
XXXX
2074.80000000
N
N
N
EQUINIX INC 2% 05/15/28
549300EVUN2BTLJ3GT74
EQUINIX INC REGD 2.00000000
29444UBR6
427000.00000000
NS
USD
433475.14000000
0.033075494325
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
2.00000000
N
N
N
N
N
N
FGLMC P#G08676 3.5% 11/01/45
N/A
FREDDIE MAC GOLD POOL P#G08676 3.50000000
3128MJXE5
225584.77000000
NS
USD
242603.68000000
0.018511411383
Long
ABS-MBS
USGA
US
N
2
2045-11-01
Fixed
3.50000000
N
N
N
N
N
N
AIR CANADA 2017- 3.3% 01/15/30
N/A
AIR CANADA 2017-1AA PTT REGD 144A P/P 3.30000000
00908PAA5
47398.40000000
NS
USD
48339.00000000
0.003688415257
Long
DBT
CORP
CA
Y
2
2030-01-15
Fixed
3.30000000
N
N
N
N
N
N
UMBS P#FM2384 3% 03/01/47
N/A
FANNIE MAE POOL UMBS P#FM2384 3.00000000
3140X5UJ0
647869.46000000
NS
USD
682751.83000000
0.052096077017
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#BM1948 6% 07/01/41
N/A
FANNIE MAE POOL UMBS P#BM1948 6.00000000
3140J6EW3
86989.98000000
NS
USD
103437.29000000
0.007892585255
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AQ5137 4% 11/01/42
N/A
FANNIE MAE POOL UMBS P#AQ5137 4.00000000
3138MLV76
141582.19000000
NS
USD
156583.26000000
0.011947787196
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF PH 1.648% 06/10/31
N/A
REPUBLIC OF PHILIPPINES REGD 1.64800000
718286CK1
360000.00000000
NS
USD
355039.03000000
0.027090576455
Long
DBT
USGA
PH
N
2
2031-06-10
Fixed
1.64800000
N
N
N
N
N
N
PAYPAL HOLDINGS 2.3% 06/01/30
5493005X2GO78EFZ3E94
PAYPAL HOLDINGS INC REGD 2.30000000
70450YAH6
100000.00000000
NS
USD
104078.81000000
0.007941535215
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.30000000
N
N
N
N
N
N
JPMAC 2006-FRE1 V/R 05/25/35
N/A
JP MORGAN MORTGAGE ACQUISITION CORP 2006-FRE1 SER 2006-FRE1 CL M1 V/R REGD 0.66938000
46626LFN5
1043562.98000000
NS
USD
1041028.06000000
0.079433661849
Long
ABS-CBDO
CORP
US
N
2
2035-05-25
Variable
0.66938000
N
N
N
N
N
N
ALEXANDRIA REAL 3.8% 04/15/26
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL ESTATE E REGD 3.80000000
015271AP4
103000.00000000
NS
USD
114854.28000000
0.008763736915
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.80000000
N
N
N
N
N
N
UNION PACIFIC 3.839% 03/20/60
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP REGD 3.83900000
907818FG8
300000.00000000
NS
USD
348788.72000000
0.026613658464
Long
DBT
CORP
US
N
2
2060-03-20
Fixed
3.83900000
N
N
N
N
N
N
ORACLE CORP 3.65% 03/25/41
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP REGD 3.65000000
68389XBZ7
570000.00000000
NS
USD
611509.06000000
0.046660033246
Long
DBT
CORP
US
N
2
2041-03-25
Fixed
3.65000000
N
N
N
N
N
N
RAYTHEON TECH C 2.82% 09/01/51
I07WOS4YJ0N7YRFE7309
RAYTHEON TECH CORP REGD 2.82000000
75513ECL3
8000.00000000
NS
USD
7880.72000000
0.000601323318
Long
DBT
CORP
US
N
2
2051-09-01
Fixed
2.82000000
N
N
N
N
N
N
HUNTINGTON ING 2.043% 08/16/28
5TZLZ6WJTBVJ0QWBG121
HUNTINGTON INGALLS INDUS REGD 144A P/P 2.04300000
446413AX4
223000.00000000
NS
USD
223313.15000000
0.017039484260
Long
DBT
CORP
US
Y
2
2028-08-16
Fixed
2.04300000
N
N
N
N
N
N
JPMDB 2017-C5 B V/R 02/15/27
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C5 SER 2017-C5 CL B V/R REGD 4.00880000
46590TAK1
340000.00000000
NS
USD
364150.44000000
0.027785805229
Long
ABS-CBDO
CORP
US
N
2
2050-03-15
Variable
4.00880000
N
N
N
N
N
N
ABBVIE INC 4.55% 03/15/35
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD 4.55000000
00287YCY3
171000.00000000
NS
USD
208692.01000000
0.015923846042
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
FGLMC P#G06669 6.5% 09/01/39
N/A
FREDDIE MAC GOLD POOL P#G06669 6.50000000
3128M8W67
65952.13000000
NS
USD
75819.32000000
0.005785248695
Long
ABS-MBS
USGA
US
N
2
2039-09-01
Fixed
6.50000000
N
N
N
N
N
N
INDX 2005-AR14 2 V/R 07/25/35
N/A
INDYMAC INDX MORTGAGE LOAN TRUST 2005-AR14 SER 2005-AR14 CL 2A1A V/R REGD 0.68438000
45660LRX9
1091251.33000000
NS
USD
1017863.26000000
0.077666115938
Long
ABS-CBDO
CORP
US
N
2
2035-07-25
Variable
0.68438000
N
N
N
N
N
N
UBS AG LONDON 1.75% 04/21/22
N/A
UBS AG LONDON REGD 144A P/P 1.75000000
902674YA2
290000.00000000
NS
USD
292585.41000000
0.022325172022
Long
DBT
CORP
GB
Y
2
2022-04-21
Fixed
1.75000000
N
N
N
N
N
N
ENERGY TRANSFER LP 5% 05/15/50
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD 5.00000000
29278NAR4
720000.00000000
NS
USD
844974.32000000
0.064474154909
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
GNMA II P#BS8420 4% 04/20/50
N/A
GINNIE MAE II POOL P#BS8420 4.00000000
3617MKK99
142755.15000000
NS
USD
154629.19000000
0.011798685609
Long
ABS-MBS
USGSE
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
LEIDOS INC 4.375% 05/15/30
N/A
LEIDOS INC REGD SER WI 4.37500000
52532XAF2
800000.00000000
NS
USD
918764.00000000
0.070104535794
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.37500000
N
N
N
N
N
N
SUNCOR ENERGY IN 6.8% 05/15/38
549300W70ZOQDVLCHY06
SUNCOR ENERGY INC REGD 6.80000000
71644EAJ1
58000.00000000
NS
USD
83348.08000000
0.006359716377
Long
DBT
CORP
CA
N
2
2038-05-15
Fixed
6.80000000
N
N
N
N
N
N
VERIZON COMMUNI 2.65% 11/20/40
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 2.65000000
92343VFT6
466000.00000000
NS
USD
452161.42000000
0.034501315303
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
FGLMC P#G08348 5% 06/01/39
N/A
FREDDIE MAC GOLD POOL P#G08348 5.00000000
3128MJL65
36886.04000000
NS
USD
42111.34000000
0.003213225531
Long
ABS-MBS
USGA
US
N
2
2039-06-01
Fixed
5.00000000
N
N
N
N
N
N
MPLX LP 4.5% 04/15/38
N/A
MPLX LP REGD 4.50000000
55336VAM2
150000.00000000
NS
USD
171707.92000000
0.013101845548
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
CHARTER COMM OPT 4.4% 12/01/61
N/A
CHARTER COMM OPT LLC/CAP REGD 4.40000000
161175CC6
140000.00000000
NS
USD
153356.53000000
0.011701577713
Long
DBT
CORP
US
N
2
2061-12-01
Fixed
4.40000000
N
N
N
N
N
N
T/L BROOKFIELD 0% 08/01/2025
N/A
T/L BROOKFIELD WEC HOLDINGS INC REGD 0.00000000
N/A
77843.06000000
NS
USD
77271.30000000
0.005896039262
Long
LON
CORP
US
N
2
2025-08-01
Variable
3.25000000
N
N
N
N
N
N
FGLMC P#G06172 5.5% 12/01/38
N/A
FREDDIE MAC GOLD POOL P#G06172 5.50000000
3128M8FM1
54477.14000000
NS
USD
63528.87000000
0.004847449335
Long
ABS-MBS
USGA
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
RAYTHEON TECH C 2.25% 07/01/30
I07WOS4YJ0N7YRFE7309
RAYTHEON TECH CORP REGD 2.25000000
75513EAD3
140000.00000000
NS
USD
143257.63000000
0.010931000398
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
2.25000000
N
N
N
N
N
N
VERIZON COMMUNI 5.25% 03/16/37
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 5.25000000
92343VDU5
150000.00000000
NS
USD
198804.81000000
0.015169422091
Long
DBT
CORP
US
N
2
2037-03-16
Fixed
5.25000000
N
N
N
N
N
N
UBSCM 2019-C1 2.668% 08/15/29
N/A
UBS COMMERCIAL MORTGAGE TRUST SER 2019-C17 CL A3 REGD 2.66860000
90278MAZ0
350000.00000000
NS
USD
370529.95000000
0.028272581579
Long
ABS-CBDO
CORP
US
N
2
2052-10-15
Fixed
2.66860000
N
N
N
N
N
N
UMBS P#745000 6% 10/01/35
N/A
FANNIE MAE POOL UMBS P#745000 6.00000000
31403CUZ2
3637.11000000
NS
USD
4321.11000000
0.000329714062
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AB7426 3% 12/01/42
N/A
FANNIE MAE POOL UMBS P#AB7426 3.00000000
31417EHC8
300884.14000000
NS
USD
322720.17000000
0.024624547445
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
CVS HEALTH CORP 4.3% 03/25/28
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 4.30000000
126650CX6
162000.00000000
NS
USD
186732.30000000
0.014248252227
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
IBM CORP 2.85% 05/15/40
VGRQXHF3J8VDLUA7XE92
IBM CORP REGD 2.85000000
459200KK6
121000.00000000
NS
USD
123515.12000000
0.009424585803
Long
DBT
CORP
US
N
2
2040-05-15
Fixed
2.85000000
N
N
N
N
N
N
VERIZON COMMUNIC 3.5% 11/01/24
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 3.50000000
92343VCR3
80000.00000000
NS
USD
86493.19000000
0.006599698001
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.50000000
N
N
N
N
N
N
DAIMLER FINANC 2.125% 03/10/25
N/A
DAIMLER FINANCE NA LLC REGD 144A P/P 2.12500000
233851DZ4
340000.00000000
NS
USD
352471.27000000
0.026894648423
Long
DBT
CORP
US
Y
2
2025-03-10
Fixed
2.12500000
N
N
N
N
N
N
GEORGIA-PACIFIC 0.95% 05/15/26
N/A
GEORGIA-PACIFIC LLC REGD 144A P/P 0.95000000
37331NAN1
236000.00000000
NS
USD
234427.52000000
0.017887545079
Long
DBT
CORP
US
Y
2
2026-05-15
Fixed
0.95000000
N
N
N
N
N
N
N/A
N/A
GBP/USD FWD 20211019 STAR USD
N/A
1.00000000
NC
N/A
-15874.98000000
-0.00121131009
N/A
DFE
N/A
N
2
CITIBANK N.A.
N/A
-2292165.24000000
USD
1655489.00000000
GBP
2021-10-19
-15874.98000000
N
N
N
FHLB 4% 09/01/28
N/A
FEDERAL HOME LOAN BANKS 4.00000000
3130A07B0
345000.00000000
NS
USD
411367.86000000
0.031388640462
Long
ABS-MBS
USGA
US
N
2
2028-09-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA P#711577 4% 06/15/41
N/A
GINNIE MAE I POOL P#711577 4.00000000
36297GQ60
363770.19000000
NS
USD
415630.06000000
0.031713859509
Long
ABS-MBS
USGSE
US
N
2
2041-06-15
Fixed
4.00000000
N
N
N
N
N
N
COMCAST CORP 2.937% 11/01/56
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 144A P/P 2.93700000
20030NDT5
439000.00000000
NS
USD
433644.03000000
0.033088381154
Long
DBT
CORP
US
Y
2
2056-11-01
Fixed
2.93700000
N
N
N
N
N
N
SANTANDER UK GROU V/R 06/14/27
N/A
SANTANDER UK GROUP HLDGS REGD V/R 1.67300000
80281LAQ8
1075000.00000000
NS
USD
1079259.95000000
0.082350873343
Long
DBT
CORP
GB
N
2
2027-06-14
Variable
1.67300000
N
N
N
N
N
N
MKT 2020-525M 2.694% 02/12/30
N/A
MKT 2020-525M MORTGAGE TRUST SER 2020-525M CL A REGD 144A P/P 2.69400000
55316PAA5
500000.00000000
NS
USD
529703.50000000
0.040418015917
Long
ABS-CBDO
CORP
US
Y
2
2040-02-12
Fixed
2.69400000
N
N
N
N
N
N
ARES CAPITAL CO 4.25% 03/01/25
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP REGD 4.25000000
04010LAV5
131000.00000000
NS
USD
141360.97000000
0.010786279372
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
4.25000000
N
N
N
N
N
N
DUKE REALTY LP 2.875% 11/15/29
N/A
DUKE REALTY LP REGD 2.87500000
26441YBC0
392000.00000000
NS
USD
418351.85000000
0.031921540507
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
2.87500000
N
N
N
N
N
N
BARCLAYS PLC 3.684% 01/10/23
213800LBQA1Y9L22JB70
BARCLAYS PLC REGD 3.68400000
06738EAS4
333000.00000000
NS
USD
336923.74000000
0.025708323781
Long
DBT
CORP
GB
N
2
2023-01-10
Fixed
3.68400000
N
N
N
N
N
N
TEVA PHARMACEUTI 2.8% 07/21/23
N/A
TEVA PHARMACEUTICALS NE REGD 2.80000000
88167AAD3
300000.00000000
NS
USD
296922.00000000
0.022656067256
Long
DBT
CORP
NL
N
2
2023-07-21
Fixed
2.80000000
N
N
N
N
N
N
GNMA P#782167 6% 06/15/37
N/A
GINNIE MAE I POOL P#782167 6.00000000
36241KMQ8
2272.91000000
NS
USD
2701.07000000
0.000206099997
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AL3183 5.5% 08/01/41
N/A
FANNIE MAE POOL UMBS P#AL3183 5.50000000
3138EKRD9
138661.24000000
NS
USD
159791.72000000
0.012192602620
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
5.50000000
N
N
N
N
N
N
T-MOBILE USA INC 3.5% 04/15/25
N/A
T-MOBILE USA INC REGD 3.50000000
87264ABB0
360000.00000000
NS
USD
389016.00000000
0.029683124389
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
PROSUS NV 3.061% 07/13/31
N/A
PROSUS NV REGD 144A P/P MTN 3.06100000
74365PAF5
940000.00000000
NS
USD
920698.37000000
0.070252134210
Long
DBT
CORP
NL
Y
2
2031-07-13
Fixed
3.06100000
N
N
N
N
N
N
FIRSTENERGY CORP 1.6% 01/15/26
549300SVYJS666PQJH88
FIRSTENERGY CORP REGD SER A 1.60000000
337932AN7
60000.00000000
NS
USD
59469.90000000
0.004537737365
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.60000000
N
N
N
N
N
N
T/L BJ'S WHOLESALE CLUB INC 0% 2/3/24
N/A
T/L BJ'S WHOLESALE CLUB INC REGD 0.00000000
09179FAU6
6041.04000000
NS
USD
6044.54000000
0.000461217103
Long
LON
CORP
US
N
2
2024-02-03
Variable
2.09663000
N
N
N
N
N
N
VIRGINIA ELEC & 4.65% 08/15/43
N/A
VIRGINIA ELEC & POWER CO REGD SER D 4.65000000
927804FP4
55000.00000000
NS
USD
70160.11000000
0.005353433463
Long
DBT
CORP
US
N
2
2043-08-15
Fixed
4.65000000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP01.00 02/15/47 SBNYUS33 FLOAT
N/A
1.00000000
NC
USD
1244178.27000000
0.094934651405
N/A
DIR
US
N
2
BARCLAYS
AC28XWWI3WIBK2824319
BARCLAYS
AC28XWWI3WIBK2824319
BARCLAYS
AC28XWWI3WIBK2824319
BARCLAYS
AC28XWWI3WIBK2824319
N/A
N/A
Y
2047-02-15
-9139651.00000000
USD
9250000.00000000
USD
9250000.00000000
USD
1180707.51000000
N
N
N
COMCAST CORP 4% 03/01/48
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 4.00000000
20030NCK5
20000.00000000
NS
USD
23552.73000000
0.001797146169
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
SMB 2018-B A2A 3.6% 08/15/27
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2018-B SER 2018-B CL A2A REGD 144A P/P 3.60000000
78449LAB4
357236.34000000
NS
USD
378745.61000000
0.028899461856
Long
ABS-CBDO
CORP
US
Y
2
2037-01-15
Fixed
3.60000000
N
N
N
N
N
N
CITIGROUP INC V/R 04/08/26
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD V/R 3.10600000
172967MQ1
120000.00000000
NS
USD
128389.04000000
0.009796480979
Long
DBT
CORP
US
N
2
2026-04-08
Variable
3.10600000
N
N
N
N
N
N
SINCLAIR TELEV 4.125% 12/01/30
N/A
SINCLAIR TELEVISION GROU REGD 144A P/P 4.12500000
829259BA7
425000.00000000
NS
USD
416021.88000000
0.031743756587
Long
DBT
CORP
US
Y
2
2030-12-01
Fixed
4.12500000
N
N
N
N
N
N
METLIFE INC 6.4% 12/15/36
C4BXATY60WC6XEOZDX54
METLIFE INC REGD 6.40000000
59156RAP3
620000.00000000
NS
USD
798074.22000000
0.060895532174
Long
DBT
CORP
US
N
2
2066-12-15
Fixed
6.40000000
N
N
N
N
N
N
INTEL CORP 1.6% 08/12/28
KNX4USFCNGPY45LOCE31
INTEL CORP REGD 1.60000000
458140BT6
90000.00000000
NS
USD
90594.49000000
0.006912639880
Long
DBT
CORP
US
N
2
2028-08-12
Fixed
1.60000000
N
N
N
N
N
N
UMBS P#953027 6.5% 09/01/37
N/A
FANNIE MAE POOL UMBS P#953027 6.50000000
31413RHC3
22921.46000000
NS
USD
25778.45000000
0.001966975491
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.50000000
N
N
N
N
N
N
FNR 2011-131 PB 4.5% 12/25/41
N/A
FANNIE MAE REMICS SER 2011-131 CL PB 4.50000000
3136A2M67
770000.00000000
NS
USD
882436.02000000
0.067332598523
Long
ABS-CBDO
CORP
US
N
2
2041-12-25
Fixed
4.50000000
N
N
N
N
N
N
NVIDIA CORP 3.5% 04/01/40
549300S4KLFTLO7GSQ80
NVIDIA CORP REGD 3.50000000
67066GAG9
120000.00000000
NS
USD
136684.26000000
0.010429431929
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.50000000
N
N
N
N
N
N
MONDELEZ INTERN 2.75% 04/13/30
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL REGD 2.75000000
609207AT2
95000.00000000
NS
USD
100700.08000000
0.007683727663
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
2.75000000
N
N
N
N
N
N
CSMC 2015-5R 1A1 V/R 09/27/46
N/A
CSMC SERIES 2015-5R SER 2015-5R CL 1A1 V/R REGD 1.02833000
12593DAA7
197391.58000000
NS
USD
198481.30000000
0.015144737277
Long
ABS-CBDO
CORP
US
Y
2
2046-09-27
Variable
1.02833000
N
N
N
N
N
N
OCCIDENTAL PETRO 4.5% 07/15/44
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR REGD 4.50000000
674599DK8
150000.00000000
NS
USD
153207.00000000
0.011690168112
Long
DBT
CORP
US
N
2
2044-07-15
Fixed
4.50000000
N
N
N
N
N
N
AEP TRANSMISSIO 2.75% 08/15/51
N/A
AEP TRANSMISSION CO LLC REGD SER N 2.75000000
00115AAN9
120000.00000000
NS
USD
118327.12000000
0.009028725352
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
2.75000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 07/21/42
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 2.90800000
38141GYK4
360000.00000000
NS
USD
363752.37000000
0.027755431256
Long
DBT
CORP
US
N
2
2042-07-21
Variable
2.90800000
N
N
N
N
N
N
ENERGY TRANSFE 5.875% 01/15/24
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD SER * 5.87500000
29278NAM5
230000.00000000
NS
USD
253574.02000000
0.019348482267
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.87500000
N
N
N
N
N
N
US TIPS 0.75% 02/15/42
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000
912810QV3
96192.00000000
NS
USD
120036.22000000
0.009159134970
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
BOEING CO 3.55% 03/01/38
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 3.55000000
097023BY0
40000.00000000
NS
USD
41354.07000000
0.003155443487
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
3.55000000
N
N
N
N
N
N
GLENCORE FUNDING 2.5% 09/01/30
N/A
GLENCORE FUNDING LLC REGD 144A P/P 2.50000000
378272AY4
308000.00000000
NS
USD
307715.24000000
0.023479624862
Long
DBT
CORP
US
Y
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
DUKE ENERGY FLO 1.75% 06/15/30
N/A
DUKE ENERGY FLORIDA LLC REGD 1.75000000
26444HAJ0
504000.00000000
NS
USD
499030.69000000
0.038077585614
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.75000000
N
N
N
N
N
N
VIRGINIA ELEC & PO 6% 01/15/36
N/A
VIRGINIA ELEC & POWER CO REGD SER B 6.00000000
927804FA7
33000.00000000
NS
USD
46270.91000000
0.003530613592
Long
DBT
CORP
US
N
2
2036-01-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#MA3282 2.5% 02/01/33
N/A
FANNIE MAE POOL UMBS P#MA3282 2.50000000
31418CUG7
79599.77000000
NS
USD
83541.62000000
0.006374484078
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
2.50000000
N
N
N
N
N
N
T-MOBILE USA IN 2.25% 11/15/31
N/A
T-MOBILE USA INC REGD 2.25000000
87264ABX2
290000.00000000
NS
USD
288967.60000000
0.022049121926
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
2.25000000
N
N
N
N
N
N
DUKE ENERGY CAR 4.25% 12/15/41
N/A
DUKE ENERGY CAROLINAS REGD 4.25000000
26442CAM6
500000.00000000
NS
USD
609154.53000000
0.046480375322
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
4.25000000
N
N
N
N
N
N
FNR 2007-68 SC V/R 07/25/37
N/A
FANNIE MAE REMICS SER 2007-68 CL SC V/R 6.61562000
31396WJ80
163506.82000000
NS
USD
33676.36000000
0.002569610460
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Variable
6.61562000
N
N
N
N
N
N
XAN 2020-RSO8 A V/R 10/15/24
549300RUJWPCMY4JFR46
ACRES COMMERCIAL REALTY CORP SER 2020-RSO8 CL A V/R REGD 144A P/P 1.31448000
30070RAA0
121331.56000000
NS
USD
121483.24000000
0.009269547073
Long
ABS-CBDO
CORP
US
Y
2
2035-03-15
Variable
1.31448000
N
N
N
N
N
N
FGLMC P#G67707 3.5% 01/01/48
N/A
FREDDIE MAC GOLD POOL P#G67707 3.50000000
3132XCR49
1665469.15000000
NS
USD
1837144.44000000
0.140179804773
Long
ABS-MBS
USGA
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 01/29/27
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 3.96000000
46647PBA3
644000.00000000
NS
USD
717525.78000000
0.054749436990
Long
DBT
CORP
US
N
2
2027-01-29
Variable
3.96000000
N
N
N
N
N
N
GENERAL DYNAMIC 4.25% 04/01/40
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS CORP REGD 4.25000000
369550BH0
10000.00000000
NS
USD
12452.90000000
0.000950194798
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.25000000
N
N
N
N
N
N
DUKE ENERGY PRO 3.45% 03/15/29
N/A
DUKE ENERGY PROGRESS LLC REGD 3.45000000
26442UAH7
130000.00000000
NS
USD
145273.51000000
0.011084818279
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.45000000
N
N
N
N
N
N
RAYTHEON TECH C 3.15% 12/15/24
I07WOS4YJ0N7YRFE7309
RAYTHEON TECH CORP REGD SER WI 3.15000000
75513EBX8
70000.00000000
NS
USD
74640.65000000
0.005695312528
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.15000000
N
N
N
N
N
N
ABBVIE INC 3.6% 05/14/25
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD 3.60000000
00287YAQ2
100000.00000000
NS
USD
108747.70000000
0.008297785968
Long
DBT
CORP
US
N
2
2025-05-14
Fixed
3.60000000
N
N
N
N
N
N
GENERAL DYNAMIC 3.75% 05/15/28
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS CORP REGD 3.75000000
369550BC1
607000.00000000
NS
USD
692122.06000000
0.052811054557
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.75000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 04/22/32
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R 2.68700000
06051GJT7
690000.00000000
NS
USD
717788.52000000
0.054769484865
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.68700000
N
N
N
N
N
N
UMBS P#RB5125 2% 09/01/41
N/A
FREDDIE MAC POOL UMBS P#RB5125 2.00000000
3133KYVS5
700000.00000000
NS
USD
717915.48000000
0.054779172306
Long
ABS-MBS
USGA
US
N
2
2041-09-01
Fixed
2.00000000
N
N
N
N
N
N
CARGILL INC 1.375% 07/23/23
QXZYQNMR4JZ5RIRN4T31
CARGILL INC REGD 144A P/P 1.37500000
141781BL7
150000.00000000
NS
USD
153069.23000000
0.011679655834
Long
DBT
CORP
US
Y
2
2023-07-23
Fixed
1.37500000
N
N
N
N
N
N
APPLE INC 3.75% 11/13/47
HWUPKR0MPOU8FGXBT394
APPLE INC REGD 3.75000000
037833DG2
272000.00000000
NS
USD
321800.56000000
0.024554378357
Long
DBT
CORP
US
N
2
2047-11-13
Fixed
3.75000000
N
N
N
N
N
N
SMB 2017-B A2A 2.82% 07/15/26
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2017-B SER 2017-B CL A2A REGD 144A P/P 2.82000000
83189DAB6
125620.36000000
NS
USD
130209.33000000
0.009935374737
Long
ABS-CBDO
CORP
US
Y
2
2035-10-15
Fixed
2.82000000
N
N
N
N
N
N
FED REPUBLIC OF BR 5% 01/27/45
N/A
FED REPUBLIC OF BRAZIL REGD 5.00000000
105756BW9
1680000.00000000
NS
USD
1660075.20000000
0.126668873921
Long
DBT
USGA
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
ORGANON & CO/O 4.125% 04/30/28
N/A
ORGANON & CO/ORG REGD 144A P/P 4.12500000
68622TAA9
425000.00000000
NS
USD
439003.75000000
0.033497344373
Long
DBT
CORP
US
Y
2
2028-04-30
Fixed
4.12500000
N
N
N
N
N
N
FGLMC P#G03812 5.5% 02/01/38
N/A
FREDDIE MAC GOLD POOL P#G03812 5.50000000
3128M5R93
5.39000000
NS
USD
6.29000000
0.000000479946
Long
ABS-MBS
USGA
US
N
2
2038-02-01
Fixed
5.50000000
N
N
N
N
N
N
ALABAMA POWER CO 5.2% 06/01/41
N/A
ALABAMA POWER CO REGD SER 11-C 5.20000000
010392FF0
17000.00000000
NS
USD
22526.84000000
0.001718867588
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
5.20000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 06/23/25
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & REGD V/R SER F2F 0.96900000
46647PCK0
795000.00000000
NS
USD
797577.47000000
0.060857628612
Long
DBT
CORP
US
N
2
2025-06-23
Variable
0.96900000
N
N
N
N
N
N
GILEAD SCIENCES 3.7% 04/01/24
549300WTZWR07K8MNV44
GILEAD SCIENCES INC REGD 3.70000000
375558AW3
160000.00000000
NS
USD
171565.87000000
0.013091006694
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.70000000
N
N
N
N
N
N
WALT DISNEY COM 6.65% 11/15/37
549300GZKULIZ0WOW665
WALT DISNEY COMPANY/THE REGD SER WI 6.65000000
254687EH5
30000.00000000
NS
USD
45788.40000000
0.003493796586
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
6.65000000
N
N
N
N
N
N
UMBS P#BH4101 3.5% 10/01/47
N/A
FANNIE MAE POOL UMBS P#BH4101 3.50000000
3140GSRX2
1578912.73000000
NS
USD
1681971.38000000
0.128339620200
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
EQUINIX INC 3.2% 11/18/29
549300EVUN2BTLJ3GT74
EQUINIX INC REGD 3.20000000
29444UBE5
118000.00000000
NS
USD
127083.47000000
0.009696861948
Long
DBT
CORP
US
N
2
2029-11-18
Fixed
3.20000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 12/09/26
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R SER VAR 1.09300000
38141GXM1
220000.00000000
NS
USD
218418.40000000
0.016665999691
Long
DBT
CORP
US
N
2
2026-12-09
Variable
1.09300000
N
N
N
N
N
N
AETNA INC 6.625% 06/15/36
N/A
AETNA INC REGD 6.62500000
00817YAF5
48000.00000000
NS
USD
70074.71000000
0.005346917179
Long
DBT
CORP
US
N
2
2036-06-15
Fixed
6.62500000
N
N
N
N
N
N
REPUBLIC OF CO 3.875% 04/25/27
N/A
REPUBLIC OF COLOMBIA REGD 3.87500000
195325DL6
280000.00000000
NS
USD
296895.20000000
0.022654022333
Long
DBT
USGA
CO
N
2
2027-04-25
Fixed
3.87500000
N
N
N
N
N
N
UMBS P#QB8975 2% 03/01/51
N/A
FREDDIE MAC POOL UMBS P#QB8975 2.00000000
3133AF6L0
98693.75000000
NS
USD
100432.57000000
0.007663315822
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
JPMMT 2015-5 A9 V/R 02/25/21
N/A
JP MORGAN TRUST 2015-5 SER 2015-5 CL A9 V/R REGD 144A P/P 2.46913100
46644XAK8
91093.99000000
NS
USD
92192.20000000
0.007034550096
Long
ABS-CBDO
CORP
US
Y
2
2045-05-25
Variable
2.46913100
N
N
N
N
N
N
GNMA II P#MA0698 3% 01/20/43
N/A
GINNIE MAE II POOL P#MA0698 3.00000000
36179MX39
108786.63000000
NS
USD
116319.60000000
0.008875545365
Long
ABS-MBS
USGSE
US
N
2
2043-01-20
Fixed
3.00000000
N
N
N
N
N
N
GLENCORE FUNDIN 2.85% 04/27/31
N/A
GLENCORE FUNDING LLC REGD 144A P/P 2.85000000
378272BE7
138000.00000000
NS
USD
141394.55000000
0.010788841630
Long
DBT
CORP
US
Y
2
2031-04-27
Fixed
2.85000000
N
N
N
N
N
N
CAMERON LNG LL 2.902% 07/15/31
N/A
CAMERON LNG LLC REGD 144A P/P 2.90200000
133434AA8
50000.00000000
NS
USD
53890.33000000
0.004111998912
Long
DBT
CORP
US
Y
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
CVS HEALTH COR 3.625% 04/01/27
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 3.62500000
126650DH0
207000.00000000
NS
USD
229933.74000000
0.017544655761
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
FHR 4239 IO 3.5% 06/15/27
N/A
FREDDIE MAC REMICS SER 4239 CL IO 3.50000000
3137B4A30
76484.57000000
NS
USD
4364.68000000
0.000333038588
Long
ABS-CBDO
CORP
US
N
2
2027-06-15
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AQ8684 3% 12/01/42
N/A
FANNIE MAE POOL UMBS P#AQ8684 3.00000000
3138MQUJ0
124734.54000000
NS
USD
133111.82000000
0.010156843705
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
LOWE'S COS INC 3.65% 04/05/29
WAFCR4OKGSC504WU3E95
LOWE'S COS INC REGD SER 10YR 3.65000000
548661DR5
251000.00000000
NS
USD
282038.13000000
0.021520381926
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.65000000
N
N
N
N
N
N
UMBS P#CA1182 3.5% 02/01/48
N/A
FANNIE MAE POOL UMBS P#CA1182 3.50000000
3140Q8J48
31920.14000000
NS
USD
34487.54000000
0.002631506004
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#FM8210 3% 04/01/50
N/A
FANNIE MAE POOL UMBS P#FM8210 3.00000000
3140XCDQ8
100096.23000000
NS
USD
105895.94000000
0.008080187856
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
AIR LEASE CORP 3.5% 01/15/22
5493004NW4M4P8TMMK63
AIR LEASE CORP REGD SER 3Y 3.50000000
00912XBE3
460000.00000000
NS
USD
465260.99000000
0.035500853023
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#MA4837 3.5% 11/20/47
N/A
GINNIE MAE II POOL P#MA4837 3.50000000
36179TLS2
1175043.76000000
NS
USD
1246655.40000000
0.095123664088
Long
ABS-MBS
USGSE
US
N
2
2047-11-20
Fixed
3.50000000
N
N
N
N
N
N
SHELL INTERNATIONA 4% 05/10/46
N/A
SHELL INTERNATIONAL FIN REGD 4.00000000
822582BQ4
40000.00000000
NS
USD
47840.68000000
0.003650391899
Long
DBT
CORP
NL
N
2
2046-05-10
Fixed
4.00000000
N
N
N
N
N
N
BOEING CO 5.15% 05/01/30
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 5.15000000
097023CY9
250000.00000000
NS
USD
296365.08000000
0.022613572537
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
FGLMC P#U90778 3.5% 01/01/43
N/A
FREDDIE MAC GOLD POOL P#U90778 3.50000000
3132H32K8
30034.45000000
NS
USD
32609.51000000
0.002488206504
Long
ABS-MBS
USGA
US
N
2
2043-01-01
Fixed
3.50000000
N
N
N
N
N
N
US TREAS NTS 1.625% 05/15/31
N/A
UNITED STATES TREASURY NOTE 1.62500000
91282CCB5
3450000.00000000
NS
USD
3557812.50000000
0.271472101383
Long
DBT
UST
US
N
2
2031-05-15
Fixed
1.62500000
N
N
N
N
N
N
UMBS P#255165 4.5% 03/01/24
N/A
FANNIE MAE POOL UMBS P#255165 4.50000000
31371LMN6
25456.09000000
NS
USD
27462.11000000
0.002095443958
Long
ABS-MBS
USGSE
US
N
2
2024-03-01
Fixed
4.50000000
N
N
N
N
N
N
DSLA 2004-AR2 A2 V/R 11/19/44
N/A
DSLA MORTGAGE LOAN TRUST 2004-AR2 SER 2004-AR2 CL A2B V/R REGD 0.88650000
23332UAS3
35277.84000000
NS
USD
34126.27000000
0.002603939985
Long
ABS-CBDO
CORP
US
N
2
2044-11-19
Variable
0.88650000
N
N
N
N
N
N
N/A
N/A
USD/ZAR FWD 20211019 STAR USD
N/A
1.00000000
NC
N/A
-3113.89000000
-0.00023759944
N/A
DFE
N/A
N
2
CITIBANK N.A.
N/A
-596830.20000000
USD
8680000.00000000
ZAR
2021-10-19
-3113.89000000
N
N
N
JPMORGAN CHASE & V/R 04/23/29
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 4.00500000
46647PAR7
846000.00000000
NS
USD
960959.77000000
0.073324203596
Long
DBT
CORP
US
N
2
2029-04-23
Variable
4.00500000
N
N
N
N
N
N
EDISON INTERNAT 4.95% 04/15/25
549300I7ROF15MAEVP56
EDISON INTERNATIONAL REGD 4.95000000
281020AR8
91000.00000000
NS
USD
100960.27000000
0.007703580965
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.95000000
N
N
N
N
N
N
UMBS P#AT3870 4% 06/01/43
N/A
FANNIE MAE POOL UMBS P#AT3870 4.00000000
3138WRJQ4
29656.64000000
NS
USD
33098.56000000
0.002525522532
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUNIC 4.5% 08/10/33
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 4.50000000
92343VEA8
630000.00000000
NS
USD
763549.74000000
0.058261207533
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
US TREAS NTS 0.125% 02/15/24
N/A
UNITED STATES TREASURY NOTE 0.12500000
91282CBM2
5940000.00000000
NS
USD
5916564.86000000
0.451452204273
Long
DBT
UST
US
N
2
2024-02-15
Fixed
0.12500000
N
N
N
N
N
N
UMBS P#FM7675 2.5% 06/01/51
N/A
FANNIE MAE POOL UMBS P#FM7675 2.50000000
3140XBQ52
198702.99000000
NS
USD
208303.67000000
0.015894214498
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA II P#MA4586 3.5% 07/20/47
N/A
GINNIE MAE II POOL P#MA4586 3.50000000
36179TCX1
217973.21000000
NS
USD
231492.46000000
0.017663590920
Long
ABS-MBS
USGSE
US
N
2
2047-07-20
Fixed
3.50000000
N
N
N
N
N
N
NORTHERN STATES 2.6% 06/01/51
N/A
NORTHERN STATES PWR-MINN REGD 2.60000000
665772CS6
85000.00000000
NS
USD
82723.93000000
0.006312091801
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
2.60000000
N
N
N
N
N
N
SUMITOMO MITSU 3.544% 01/17/28
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP REGD 3.54400000
86562MAY6
96000.00000000
NS
USD
107121.89000000
0.008173731634
Long
DBT
CORP
JP
N
2
2028-01-17
Fixed
3.54400000
N
N
N
N
N
N
N TX TOLLWAY AU 2.53% 01/01/35
PQGZGRE0F2WPMYQQ1B78
N TX TOLLWAY AUTH REVENUE REGD B/E 2.53000000
66285WD94
350000.00000000
NS
USD
360423.53000000
0.027501430465
Long
DBT
MUN
US
N
2
2035-01-01
Fixed
2.53000000
N
N
N
N
N
N
MIZUHO FINANCIAL V/R 05/25/26
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP REGD V/R 2.22600000
60687YBD0
536000.00000000
NS
USD
555871.52000000
0.042414716805
Long
DBT
CORP
JP
N
2
2026-05-25
Variable
2.22600000
N
N
N
N
N
N
GENERAL MOTORS FIN 4% 01/15/25
N/A
GENERAL MOTORS FINL CO REGD 4.00000000
37045XAS5
64000.00000000
NS
USD
69631.76000000
0.005313118724
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#555743 5% 09/01/33
N/A
FANNIE MAE POOL UMBS P#555743 5.00000000
31385XLY1
14824.74000000
NS
USD
16871.37000000
0.001287337729
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#G08726 3% 10/01/46
N/A
FREDDIE MAC GOLD POOL P#G08726 3.00000000
3128MJYY0
362571.72000000
NS
USD
384996.70000000
0.029376439364
Long
ABS-MBS
USGA
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
BOEING CO 4.875% 05/01/25
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 4.87500000
097023CT0
990000.00000000
NS
USD
1107255.61000000
0.084487028817
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.87500000
N
N
N
N
N
N
UMBS P#BR5458 2% 03/01/51
N/A
FANNIE MAE POOL UMBS P#BR5458 2.00000000
3140L4B40
98455.20000000
NS
USD
100051.10000000
0.007634208481
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
UMBS P#CA2199 4.5% 08/01/48
N/A
FANNIE MAE POOL UMBS P#CA2199 4.50000000
3140Q9NR0
217412.19000000
NS
USD
239856.93000000
0.018301825860
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
IBM CORP 3.3% 01/27/27
VGRQXHF3J8VDLUA7XE92
IBM CORP REGD 3.30000000
459200JR3
101000.00000000
NS
USD
111552.86000000
0.008511828355
Long
DBT
CORP
US
N
2
2027-01-27
Fixed
3.30000000
N
N
N
N
N
N
FGLMC P#C91244 4.5% 04/01/29
N/A
FREDDIE MAC GOLD POOL P#C91244 4.50000000
3128P7LZ4
23829.96000000
NS
USD
25779.38000000
0.001967046453
Long
ABS-MBS
USGA
US
N
2
2029-04-01
Fixed
4.50000000
N
N
N
N
N
N
GNR 2020-47 NI 3.5% 04/20/50
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-47 CL NI 3.50000000
38382EDT1
90431.24000000
NS
USD
13944.48000000
0.001064006967
Long
ABS-CBDO
CORP
US
N
2
2050-04-20
Fixed
3.50000000
N
N
N
N
N
N
FLORIDA POWER & 3.95% 03/01/48
N/A
FLORIDA POWER & LIGHT CO REGD 3.95000000
341081FQ5
453000.00000000
NS
USD
556941.20000000
0.042496336698
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
3.95000000
N
N
N
N
N
N
KRAFT HEINZ FOOD 5.2% 07/15/45
N/A
KRAFT HEINZ FOODS CO REGD 5.20000000
50077LAM8
150000.00000000
NS
USD
192684.41000000
0.014702416635
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
5.20000000
N
N
N
N
N
N
GOLDMAN SACHS G 4.25% 10/21/25
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD 4.25000000
38141GVR2
600000.00000000
NS
USD
670015.55000000
0.051124259448
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
INDONESIA ASAHA 6.53% 11/15/28
N/A
INDONESIA ASAHAN ALUMINI REGD 144A P/P 6.53000000
74445PAC6
200000.00000000
NS
USD
245867.00000000
0.018760412796
Long
DBT
CORP
ID
Y
2
2028-11-15
Fixed
6.53000000
N
N
N
N
N
N
BAT CAPITAL CO 3.215% 09/06/26
N/A
BAT CAPITAL CORP REGD 3.21500000
05526DBJ3
332000.00000000
NS
USD
354633.83000000
0.027059658442
Long
DBT
CORP
US
N
2
2026-09-06
Fixed
3.21500000
N
N
N
N
N
N
FHR 4316 XZ 4.5% 03/15/44
N/A
FREDDIE MAC REMICS SER 4316 CL XZ 4.50000000
3137B9AH8
334877.47000000
NS
USD
381961.21000000
0.029144822085
Long
ABS-CBDO
CORP
US
N
2
2044-03-15
Fixed
4.50000000
N
N
N
N
N
N
BAYER US FINANC 4.25% 12/15/25
N/A
BAYER US FINANCE II LLC REGD 144A P/P 4.25000000
07274NAJ2
280000.00000000
NS
USD
311913.90000000
0.023799995610
Long
DBT
CORP
US
Y
2
2025-12-15
Fixed
4.25000000
N
N
N
N
N
N
MICROSOFT CORP 4.2% 11/03/35
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP REGD 4.20000000
594918BK9
98000.00000000
NS
USD
123271.81000000
0.009406020497
Long
DBT
CORP
US
N
2
2035-11-03
Fixed
4.20000000
N
N
N
N
N
N
TORONTO-DOMINIO 0.75% 06/12/23
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK REGD MTN 0.75000000
89114QCG1
310000.00000000
NS
USD
312416.72000000
0.023838362332
Long
DBT
CORP
CA
N
2
2023-06-12
Fixed
0.75000000
N
N
N
N
N
N
ROCKIES EXPRES 6.875% 04/15/40
N/A
ROCKIES EXPRESS PIPELINE REGD P/P 6.87500000
77340RAM9
280000.00000000
NS
USD
309782.20000000
0.023637340305
Long
DBT
CORP
US
Y
2
2040-04-15
Fixed
6.87500000
N
N
N
N
N
N
CONTINENTAL RESO 4.9% 06/01/44
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES REGD SER WI 4.90000000
212015AQ4
30000.00000000
NS
USD
33834.00000000
0.002581638880
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
UMBS P#AA4596 4% 04/01/24
N/A
FANNIE MAE POOL UMBS P#AA4596 4.00000000
31416NDA7
11000.45000000
NS
USD
11673.08000000
0.000890692119
Long
ABS-MBS
USGSE
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
UNITEDHEALTH G 2.375% 10/15/22
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 2.37500000
91324PDD1
20000.00000000
NS
USD
20477.74000000
0.001562514918
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.37500000
N
N
N
N
N
N
UMBS P#BC1509 3% 08/01/46
N/A
FANNIE MAE POOL UMBS P#BC1509 3.00000000
3140EVVB0
97780.93000000
NS
USD
104060.74000000
0.007940156418
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
GNR 2012-H27 AI V/R 10/20/62
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2012-H27 CL AI V/R 1.74656000
38375BZC9
204900.49000000
NS
USD
9852.03000000
0.000751740370
Long
ABS-CBDO
CORP
US
N
2
2062-10-20
Variable
1.74656000
N
N
N
N
N
N
MSRR 2014-R3 2A V/R 07/26/48
N/A
MORGAN STANLEY RESECURITIZATIO SER 2014-R3 CL 2A V/R REGD 144A P/P 3.00000000
61763PAG8
202237.91000000
NS
USD
204031.52000000
0.015568236235
Long
ABS-CBDO
CORP
US
Y
2
2048-07-26
Variable
3.00000000
N
N
N
N
N
N
T/L TRANS UNION 0% 11/16/26
N/A
T/L TRANS UNION LLC REGD 0.00000000
89334GAX2
204798.52000000
NS
USD
203070.02000000
0.015494870811
Long
LON
CORP
US
N
2
2026-11-16
Variable
1.83463000
N
N
N
N
N
N
RUSSIA GOV 7.75% 09/16/26/RUB/
N/A
RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6219 7.75000000
X5424XBF4
6950000.00000000
NS
99281.92000000
0.007575517667
Long
DBT
USGA
RU
N
2
2026-09-16
Fixed
7.75000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 03/20/51
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 4.08300000
06051GJA8
310000.00000000
NS
USD
374322.54000000
0.028561967930
Long
DBT
CORP
US
N
2
2051-03-20
Variable
4.08300000
N
N
N
N
N
N
VERIZON COMMUNICAT 4% 03/22/50
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 4.00000000
92343VFD1
50000.00000000
NS
USD
58034.45000000
0.004428208089
Long
DBT
CORP
US
N
2
2050-03-22
Fixed
4.00000000
N
N
N
N
N
N
ABU DHABI GOVT I 2.5% 09/30/29
N/A
ABU DHABI GOVT INT'L REGD REG S 2.50000000
M0152WAE1
200000.00000000
NS
USD
211933.20000000
0.016171158867
Long
DBT
USGA
AE
N
2
2029-09-30
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#MA4176 2% 11/01/40
N/A
FANNIE MAE POOL UMBS P#MA4176 2.00000000
31418DUA8
1302293.09000000
NS
USD
1335728.62000000
0.101920226360
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
2.00000000
N
N
N
N
N
N
INTELSAT JACKSON 5.5% 08/01/23
N/A
INTELSAT JACKSON HLDG REGD 0.00000000
45824TAP0
400000.00000000
NS
USD
211500.00000000
0.016138104366
Long
DBT
CORP
LU
N
2
2023-08-01
Fixed
0.00000000
Y
N
N
N
N
N
HALLIBURTON CO 3.8% 11/15/25
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO REGD 3.80000000
406216BG5
14000.00000000
NS
USD
15419.84000000
0.001176581499
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
CINTAS CORPORATI 3.7% 04/01/27
N/A
CINTAS CORPORATION NO. 2 REGD 3.70000000
17252MAN0
110000.00000000
NS
USD
123518.95000000
0.009424878044
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.70000000
N
N
N
N
N
N
HOLOGIC INC 4.625% 02/01/28
549300DYP6F5ZJL0LB74
HOLOGIC INC REGD 144A P/P 4.62500000
436440AM3
100000.00000000
NS
USD
106504.50000000
0.008126622867
Long
DBT
CORP
US
Y
2
2028-02-01
Fixed
4.62500000
N
N
N
N
N
N
UMBS P#RA5576 2.5% 07/01/51
N/A
FREDDIE MAC POOL UMBS P#RA5576 2.50000000
3133KMFR1
795244.28000000
NS
USD
834714.19000000
0.063691275246
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
EQT CORP 3.9% 10/01/27
4NT01YGM4X7ZX86ISY52
EQT CORP REGD 3.90000000
26884LAF6
70000.00000000
NS
USD
75672.80000000
0.005774068766
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
GNMA II P#MA5018 3% 02/20/48
N/A
GINNIE MAE II POOL P#MA5018 3.00000000
36179TSF3
15350.01000000
NS
USD
16092.52000000
0.001227909065
Long
ABS-MBS
USGSE
US
N
2
2048-02-20
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP INC 6.675% 09/13/43
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD 6.67500000
172967HA2
100000.00000000
NS
USD
155906.53000000
0.011896150603
Long
DBT
CORP
US
N
2
2043-09-13
Fixed
6.67500000
N
N
N
N
N
N
TEXTRON INC 3.9% 09/17/29
3PPKBHUG1HD6BO7RNR87
TEXTRON INC REGD 3.90000000
883203CA7
218000.00000000
NS
USD
246111.01000000
0.018779031513
Long
DBT
CORP
US
N
2
2029-09-17
Fixed
3.90000000
N
N
N
N
N
N
UMBS P#SD0633 3.5% 02/01/51
N/A
FREDDIE MAC POOL UMBS P#SD0633 3.50000000
3132DMV28
192367.15000000
NS
USD
206751.95000000
0.015775813461
Long
ABS-MBS
USGA
US
N
2
2051-02-01
Fixed
3.50000000
N
N
N
N
N
N
NISSAN MOTOR AC 3.65% 09/21/21
N/A
NISSAN MOTOR ACCEPTANCE REGD 144A P/P 3.65000000
654740BJ7
20000.00000000
NS
USD
20034.13000000
0.001528666103
Long
DBT
CORP
US
Y
2
2021-09-21
Fixed
3.65000000
N
N
N
N
N
N
UST BDS 4.375% DUE 2/15/38
N/A
UNITED STATES TREASURY BOND 4.37500000
912810PW2
2835000.00000000
NS
USD
3983396.47000000
0.303945475023
Long
DBT
UST
US
N
2
2038-02-15
Fixed
4.37500000
N
N
N
N
N
N
UMBS TBA 15YR 1.5% SEP 21
N/A
UMBS TBA 15YR 1.5% SEP 21 TO BE ANNOUNCED 1.50000000
01F012494
3100000.00000000
NS
USD
3150492.03000000
0.240392289300
Long
ABS-MBS
USGA
US
N
2
2036-09-01
Fixed
1.50000000
N
N
N
N
N
N
APACHE CORP 4.75% 04/15/43
72ZZ1XRHOOU9P9X16K08
APACHE CORP REGD 4.75000000
037411BA2
30000.00000000
NS
USD
32223.15000000
0.002458726041
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.75000000
N
N
N
N
N
N
UMBS P#BE7172 3% 03/01/32
N/A
FANNIE MAE POOL UMBS P#BE7172 3.00000000
3140FS6J7
171618.91000000
NS
USD
181854.97000000
0.013876096858
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
3.00000000
N
N
N
N
N
N
UNITED AIR 2015 3.45% 12/01/27
N/A
UNITED AIR 2015-1 AA PTT REGD 3.45000000
90932LAA5
31845.92000000
NS
USD
33685.37000000
0.002570297951
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.45000000
N
N
N
N
N
N
UMBS P#SD8155 2% 07/01/51
N/A
FREDDIE MAC POOL UMBS P#SD8155 2.00000000
3132DWBY8
6656907.04000000
NS
USD
6757516.87000000
0.515619444485
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS 5% 07/15/35
N/A
KRAFT HEINZ FOODS CO REGD 5.00000000
50077LAL0
40000.00000000
NS
USD
49672.87000000
0.003790193665
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP01.22 02/15/47 GOLDUS33 FLOAT
N/A
1.00000000
NC
USD
60872.11000000
0.004644730327
N/A
DIR
US
N
2
BA SECURITIES INC
N/A
N/A
N/A
Y
2047-02-15
-723168.52000000
USD
724000.00000000
USD
724000.00000000
USD
64732.46000000
N
N
N
UMBS P#AB9683 4% 06/01/43
N/A
FANNIE MAE POOL UMBS P#AB9683 4.00000000
31417GXM3
68641.24000000
NS
USD
75935.98000000
0.005794150214
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#MA0221 4% 07/20/42
N/A
GINNIE MAE II POOL P#MA0221 4.00000000
36179MG61
34447.20000000
NS
USD
37754.34000000
0.002880772951
Long
ABS-MBS
USGSE
US
N
2
2042-07-20
Fixed
4.00000000
N
N
N
N
N
N
MCDONALD'S CORP 3.7% 01/30/26
UE2136O97NLB5BYP9H04
MCDONALD'S CORP REGD MTN 3.70000000
58013MEY6
140000.00000000
NS
USD
155017.07000000
0.011828282053
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
3.70000000
N
N
N
N
N
N
CSAIL 2015-C1 3.505% 01/15/25
N/A
CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST SER 2015-C1 CL A4 REGD 3.50500000
126281AZ7
295000.00000000
NS
USD
317897.07000000
0.024256529993
Long
ABS-CBDO
CORP
US
N
2
2050-04-15
Fixed
3.50500000
N
N
N
N
N
N
UMBS P#BR3286 2% 03/01/51
N/A
FANNIE MAE POOL UMBS P#BR3286 2.00000000
3140L1UL7
96423.07000000
NS
USD
98176.45000000
0.007491166886
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
GNMA II P#4747 5% 07/20/40
N/A
GINNIE MAE II POOL P#4747 5.00000000
36202FHY5
6171.07000000
NS
USD
6950.29000000
0.000530328630
Long
ABS-MBS
USGSE
US
N
2
2040-07-20
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AE6061 4.5% 10/01/40
N/A
FANNIE MAE POOL UMBS P#AE6061 4.50000000
31419GWX8
63573.99000000
NS
USD
70673.68000000
0.005392620443
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQ 3.4% 07/26/29
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO REGD 3.40000000
110122CP1
130000.00000000
NS
USD
146157.39000000
0.011152261058
Long
DBT
CORP
US
N
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
LAS VEGAS SANDS 3.2% 08/08/24
549300DUOO1KXOHPM605
LAS VEGAS SANDS CORP REGD 3.20000000
517834AG2
270000.00000000
NS
USD
281326.46000000
0.021466079303
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
TIME WARNER CA 5.875% 11/15/40
N/A
TIME WARNER CABLE LLC REGD 5.87500000
88732JAY4
100000.00000000
NS
USD
128906.43000000
0.009835959436
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
5.87500000
N
N
N
N
N
N
FHR 4879 BC 3% 04/15/49
N/A
FREDDIE MAC REMICS SER 4879 CL BC 3.00000000
3137FLUD4
308045.82000000
NS
USD
318036.61000000
0.024267177326
Long
ABS-CBDO
CORP
US
N
2
2049-04-15
Fixed
3.00000000
N
N
N
N
N
N
MCDONALD'S CORP 3.6% 07/01/30
UE2136O97NLB5BYP9H04
MCDONALD'S CORP REGD MTN 3.60000000
58013MFQ2
100000.00000000
NS
USD
113076.08000000
0.008628054753
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
3.60000000
N
N
N
N
N
N
INTL FLAVOR & FRAG 5% 09/26/48
BZLRL03D3GPGMOGFO832
INTL FLAVOR & FRAGRANCES REGD 5.00000000
459506AL5
5000.00000000
NS
USD
6664.22000000
0.000508500604
Long
DBT
CORP
US
N
2
2048-09-26
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#MA3997 3% 04/01/50
N/A
FANNIE MAE POOL UMBS P#MA3997 3.00000000
31418DNP3
525909.17000000
NS
USD
542073.61000000
0.041361893582
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
TPMT 2016-5 B2 V/R 10/25/56
N/A
TOWD POINT MORTGAGE TRUST 2016-5 SER 2016-5 CL B2 V/R REGD 144A P/P 3.63809400
89173CAF4
770000.00000000
NS
USD
822663.84000000
0.062771796258
Long
ABS-CBDO
CORP
US
Y
2
2056-10-25
Variable
3.63809400
N
N
N
N
N
N
P/O EURO$ 2Y MIDC DEC21 99.125
N/A
PUT OPTION ON EURO$ 2Y MIDCV OP DEC21 99.125 0.00000000
N/A
260.00000000
NC
USD
125125.00000000
0.009547424628
N/A
DO
CORP
US
N
1
CITIGROUP GLOBAL MARKETS
MBNUM2BPBDO7JBLYG310
Put
Written
P/O EURO$ 2Y MIDC DEC21 99.125
0
650000.00000000
USD
99.12500000
USD
2021-12-10
XXXX
10774.40000000
N
N
N
HSBC HOLDINGS PLC V/R 03/13/23
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 3.26200000
404280BJ7
200000.00000000
NS
USD
203137.25000000
0.015500000668
Long
DBT
CORP
GB
N
2
2023-03-13
Variable
3.26200000
N
N
N
N
N
N
GNR 2013-107 AD V/R 11/16/47
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2013-107 CL AD V/R 2.76873000
38378KYP8
110488.32000000
NS
USD
115616.59000000
0.008821903526
Long
ABS-CBDO
CORP
US
N
2
2047-11-16
Variable
2.76873000
N
N
N
N
N
N
UMBS P#FM6043 3.5% 06/01/49
N/A
FANNIE MAE POOL UMBS P#FM6043 3.50000000
3140X9WD3
1499765.52000000
NS
USD
1594295.68000000
0.121649693028
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
FNR 2011-87 SG V/R 04/25/40
N/A
FANNIE MAE REMICS SER 2011-87 CL SG V/R 6.46562000
3136A03E5
157241.32000000
NS
USD
14013.05000000
0.001069239070
Long
ABS-CBDO
CORP
US
N
2
2040-04-25
Variable
6.46562000
N
N
N
N
N
N
CREDIT SUISSE GRO V/R 05/14/32
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG REGD V/R 144A P/P 3.09100000
225401AU2
1101000.00000000
NS
USD
1149297.72000000
0.087694971886
Long
DBT
CORP
CH
Y
2
2032-05-14
Variable
3.09100000
N
N
N
N
N
N
CON EDISON CO O 3.95% 04/01/50
N/A
CON EDISON CO OF NY INC REGD SER 20B 3.95000000
209111FY4
40000.00000000
NS
USD
46483.10000000
0.003546804345
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.95000000
N
N
N
N
N
N
FNGT 2017-T1 2.898% 06/25/27
N/A
FANNIE MAE GRANTOR TRUST 2017-T1 SER 2017-T1 CL A 2.89800000
3136AV6R5
99596.03000000
NS
USD
108948.83000000
0.008313132809
Long
ABS-CBDO
CORP
US
N
2
2027-06-25
Fixed
2.89800000
N
N
N
N
N
N
US TREAS NTS 1.125% 08/31/28
N/A
UNITED STATES TREASURY NOTE 1.12500000
91282CCV1
2140000.00000000
NS
USD
2146687.50000000
0.163798897957
Long
DBT
UST
US
N
2
2028-08-31
Fixed
1.12500000
N
N
N
N
N
N
HUNTINGTON ING 3.483% 12/01/27
5TZLZ6WJTBVJ0QWBG121
HUNTINGTON INGALLS INDUS REGD SER WI 3.48300000
446413AL0
185000.00000000
NS
USD
201633.51000000
0.015385260653
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.48300000
N
N
N
N
N
N
T/L DELTA 2 0% 02/01/2018
N/A
T/L DELTA 2 LUX SARL REGD 0.00000000
L2465BAQ9
20000.00000000
NS
USD
19952.50000000
0.001522437481
Long
LON
CORP
LU
N
2
2024-02-01
Variable
3.50000000
N
N
N
N
N
N
NATWEST GROUP PLC V/R 06/25/24
N/A
NATWEST GROUP PLC REGD V/R 4.51900000
780097BJ9
200000.00000000
NS
USD
213622.16000000
0.016300031740
Long
DBT
CORP
GB
N
2
2024-06-25
Variable
4.51900000
N
N
N
N
N
N
GSMS 2018-SRP5 A V/R 06/15/21
N/A
GS MORTGAGE SECURITIES CORP II SER 2018-SRP5 CL A V/R REGD 144A P/P 1.64600000
36255TAA0
710000.00000000
NS
USD
646000.74000000
0.049291855145
Long
ABS-CBDO
CORP
US
Y
2
2031-09-15
Variable
1.64600000
N
N
N
N
N
N
MSBAM 2013-C13 A 4.039% 11/15/23
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUS SER 2013-C13 CL A4 REGD 4.03900000
61763BAU8
500000.00000000
NS
USD
533513.75000000
0.040708749780
Long
ABS-CBDO
CORP
US
N
2
2046-11-15
Fixed
4.03900000
N
N
N
N
N
N
SMB 2018-C A2B V/R 10/15/27
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2018-C SER 2018-C CL A2B V/R REGD 144A P/P 0.84313000
78449QAC1
435043.48000000
NS
USD
435997.49000000
0.033267957434
Long
ABS-CBDO
CORP
US
Y
2
2035-11-15
Variable
0.84313000
N
N
N
N
N
N
GNMA II P#BS1742 4% 02/20/50
N/A
GINNIE MAE II POOL P#BS1742 4.00000000
3617MB5B1
65500.73000000
NS
USD
70988.61000000
0.005416650577
Long
ABS-MBS
USGSE
US
N
2
2050-02-20
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#5204 4.5% 10/20/41
N/A
GINNIE MAE II POOL P#5204 4.50000000
36202FX92
21960.34000000
NS
USD
24539.39000000
0.001872431380
Long
ABS-MBS
USGSE
US
N
2
2041-10-20
Fixed
4.50000000
N
N
N
N
N
N
FGLMC P#G67708 3.5% 03/01/48
N/A
FREDDIE MAC GOLD POOL P#G67708 3.50000000
3132XCR56
1122975.07000000
NS
USD
1213149.10000000
0.092567029732
Long
ABS-MBS
USGA
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
ABSHE 2007-HE1 A V/R 12/25/36
N/A
ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES SER 2007-HE1 CL A4 V/R REGD 0.22438000
04544RAC9
843654.59000000
NS
USD
827839.69000000
0.063166729627
Long
ABS-CBDO
CORP
US
N
2
2036-12-25
Variable
0.22438000
N
N
N
N
N
N
CCCIT 2017-A6 A6 V/R 05/14/27
N/A
CITIBANK CREDIT CARD ISSUANCE TRUST SER 2017-A6 CL A6 V/R REGD 0.86550000
17305EGE9
315000.00000000
NS
USD
321218.86000000
0.024509992847
Long
ABS-CBDO
CORP
US
N
2
2029-05-14
Variable
0.86550000
N
N
N
N
N
N
ENTERPRISE PRODU 3.7% 01/31/51
N/A
ENTERPRISE PRODUCTS OPER REGD 3.70000000
29379VBY8
300000.00000000
NS
USD
324127.34000000
0.024731918870
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
3.70000000
N
N
N
N
N
N
TEACHERS INSUR 4.27% 05/15/47
N/A
TEACHERS INSUR & ANNUITY REGD 144A P/P 4.27000000
878091BF3
85000.00000000
NS
USD
104853.92000000
0.008000678507
Long
DBT
CORP
US
Y
2
2047-05-15
Fixed
4.27000000
N
N
N
N
N
N
ALIMENTATION C 3.439% 05/13/41
549300OSW32RVX8CCZ87
ALIMENTATION COUCHE-TARD REGD 144A P/P 3.43900000
01626PAP1
76000.00000000
NS
USD
79961.68000000
0.006101323580
Long
DBT
CORP
CA
Y
2
2041-05-13
Fixed
3.43900000
N
N
N
N
N
N
BACARDI LTD 4.45% 05/15/25
549300R32WTQNHNN5055
BACARDI LTD REGD 144A P/P 4.45000000
067316AE9
405000.00000000
NS
USD
449918.14000000
0.034330146098
Long
DBT
CORP
BM
Y
2
2025-05-15
Fixed
4.45000000
N
N
N
N
N
N
NXP BV/NXP FDG/N 4.3% 06/18/29
N/A
NXP BV/NXP FDG/NXP USA REGD 144A P/P 4.30000000
62954HAB4
859000.00000000
NS
USD
987803.72000000
0.075372480034
Long
DBT
CORP
NL
Y
2
2029-06-18
Fixed
4.30000000
N
N
N
N
N
N
VISA INC 4.3% 12/14/45
549300JZ4OKEHW3DPJ59
VISA INC REGD 4.30000000
92826CAF9
310000.00000000
NS
USD
397797.61000000
0.030353188402
Long
DBT
CORP
US
N
2
2045-12-14
Fixed
4.30000000
N
N
N
N
N
N
UMBS P#AR7721 2.5% 02/01/28
N/A
FANNIE MAE POOL UMBS P#AR7721 2.50000000
3138W5SK5
63382.96000000
NS
USD
66770.34000000
0.005094783524
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
2.50000000
N
N
N
N
N
N
REPUBLICA ORIENT 4.5% 08/14/24
N/A
REPUBLICA ORIENT URUGUAY REGD 4.50000000
760942AZ5
70000.00000000
NS
USD
75710.60000000
0.005776953023
Long
DBT
USGA
UY
N
2
2024-08-14
Fixed
4.50000000
N
N
N
N
N
N
P/O IMM EURO$ FUT MAR22 99.625
N/A
PUT OPTION ON IMM EURO$ FUT OPT MAR22 99.625 0.00000000
N/A
249.00000000
NC
USD
6225.00000000
0.000474986759
N/A
DO
CORP
US
N
1
WESTERN
N/A
Put
Written
P/O IMM EURO$ FUT MAR22 99.625
0
622500.00000000
USD
99.62500000
USD
2022-03-14
XXXX
-19197.90000000
N
N
N
AMAZON.COM INC 0.8% 06/03/25
ZXTILKJKG63JELOEG630
AMAZON.COM INC REGD 0.80000000
023135BQ8
190000.00000000
NS
USD
190506.82000000
0.014536259781
Long
DBT
CORP
US
N
2
2025-06-03
Fixed
0.80000000
N
N
N
N
N
N
COMCAST CORP 3.4% 07/15/46
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 3.40000000
20030NBU4
111000.00000000
NS
USD
121145.44000000
0.009243771887
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
3.40000000
N
N
N
N
N
N
INTELSAT JACKSO 9.75% 07/15/25
N/A
INTELSAT JACKSON HLDG REGD 144A P/P 0.00000000
45824TAY1
605000.00000000
NS
USD
327456.25000000
0.024985925002
Long
DBT
CORP
LU
Y
2
2025-07-15
Fixed
0.00000000
Y
N
N
N
N
N
NVIDIA CORP 1.55% 06/15/28
549300S4KLFTLO7GSQ80
NVIDIA CORP REGD 1.55000000
67066GAM6
320000.00000000
NS
USD
321794.49000000
0.024553915197
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
1.55000000
N
N
N
N
N
N
UMBS P#AS4347 4% 01/01/45
N/A
FANNIE MAE POOL UMBS P#AS4347 4.00000000
3138WDZM6
55483.83000000
NS
USD
61403.87000000
0.004685305260
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
CIM 2021-R3 A1A V/R 06/25/57
N/A
CIM TRUST 2021-R3 SER 2021-R3 CL A1A V/R REGD 144A P/P 1.95100000
12566LAB0
1578414.31000000
NS
USD
1601143.48000000
0.122172201354
Long
ABS-CBDO
CORP
US
Y
2
2057-06-25
Variable
1.95100000
N
N
N
N
N
N
UMBS P#RA3882 2% 11/01/50
N/A
FREDDIE MAC POOL UMBS P#RA3882 2.00000000
3133KKJ34
188904.23000000
NS
USD
192388.79000000
0.014679859915
Long
ABS-MBS
USGA
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
GNMA II P#785221 2% 12/20/50
N/A
GINNIE MAE II POOL P#785221 2.00000000
3622AAVN1
190604.12000000
NS
USD
194830.67000000
0.014866182914
Long
ABS-MBS
USGSE
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
UMBS P#MA4356 2.5% 06/01/51
N/A
FANNIE MAE POOL UMBS P#MA4356 2.50000000
31418DZW5
886552.20000000
NS
USD
922146.03000000
0.070362595147
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
IXIS 2006-HE2 A3 V/R 08/25/36
N/A
IXIS REAL ESTATE CAPITAL TRUST 2006-HE2 SER 2006-HE2 CL A3 V/R REGD 0.40438000
46602WAC8
956476.71000000
NS
USD
356240.80000000
0.027182275225
Long
ABS-CBDO
CORP
US
N
2
2036-08-25
Variable
0.40438000
N
N
N
N
N
N
UMBS P#MA4128 2% 09/01/40
N/A
FANNIE MAE POOL UMBS P#MA4128 2.00000000
31418DSS2
120578.35000000
NS
USD
123659.08000000
0.009435570396
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
2.00000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 07/23/30
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 3.19400000
06051GHV4
464000.00000000
NS
USD
501580.84000000
0.038272169949
Long
DBT
CORP
US
N
2
2030-07-23
Variable
3.19400000
N
N
N
N
N
N
CHARTER COMM OPT 4.2% 03/15/28
N/A
CHARTER COMM OPT LLC/CAP REGD SER WI 4.20000000
161175BK9
260000.00000000
NS
USD
294635.68000000
0.022481613967
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.20000000
N
N
N
N
N
N
US TREAS BDS 2.375% 05/15/51
N/A
UNITED STATES TREASURY BOND 2.37500000
912810SX7
11169000.00000000
NS
USD
12319930.61000000
0.940048822583
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
AMGEN INC 4.663% 06/15/51
62QBXGPJ34PQ72Z12S66
AMGEN INC REGD SER WI 4.66300000
031162CF5
98000.00000000
NS
USD
127262.53000000
0.009710524780
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
4.66300000
N
N
N
N
N
N
GNMA II P#MA7366 2% 05/20/51
N/A
GINNIE MAE II POOL P#MA7366 2.00000000
36179WFF0
1229944.09000000
NS
USD
1257074.20000000
0.095918650763
Long
ABS-MBS
USGSE
US
N
2
2051-05-20
Fixed
2.00000000
N
N
N
N
N
N
UMBS P#995245 5% 01/01/39
N/A
FANNIE MAE POOL UMBS P#995245 5.00000000
31416BTA6
41490.51000000
NS
USD
46776.48000000
0.003569190147
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#QC4689 2.5% 08/01/51
N/A
FREDDIE MAC POOL UMBS P#QC4689 2.50000000
3133APF61
99832.63000000
NS
USD
105396.06000000
0.008042045466
Long
ABS-MBS
USGA
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
GNMA P#661598 6% 01/15/37
N/A
GINNIE MAE I POOL P#661598 6.00000000
36294V7K0
9716.20000000
NS
USD
10937.55000000
0.000834568905
Long
ABS-MBS
USGSE
US
N
2
2037-01-15
Fixed
6.00000000
N
N
N
N
N
N
ENTERPRISE PROD 4.85% 03/15/44
N/A
ENTERPRISE PRODUCTS OPER REGD 4.85000000
29379VBA0
200000.00000000
NS
USD
247862.60000000
0.018912683250
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
4.85000000
N
N
N
N
N
N
GNR 2020-160 VI 2.5% 10/20/50
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-160 CL VI 2.50000000
38382KS87
95902.52000000
NS
USD
12732.37000000
0.000971519224
Long
ABS-CBDO
CORP
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
AMAZON.COM INC 4.05% 08/22/47
ZXTILKJKG63JELOEG630
AMAZON.COM INC REGD 4.05000000
023135BJ4
100000.00000000
NS
USD
123704.67000000
0.009439049054
Long
DBT
CORP
US
N
2
2047-08-22
Fixed
4.05000000
N
N
N
N
N
N
FGLMC P#G67711 4% 03/01/48
N/A
FREDDIE MAC GOLD POOL P#G67711 4.00000000
3132XCR80
223783.20000000
NS
USD
247071.74000000
0.018852338185
Long
ABS-MBS
USGA
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#MA3803 3.5% 07/20/46
N/A
GINNIE MAE II POOL P#MA3803 3.50000000
36179SGL5
48985.72000000
NS
USD
52148.83000000
0.003979117073
Long
ABS-MBS
USGSE
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
PHILIP MORRIS IN 2.9% 11/15/21
HL3H1H2BGXWVG3BSWR90
PHILIP MORRIS INTL INC REGD 2.90000000
718172AL3
190000.00000000
NS
USD
191027.51000000
0.014575990039
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
2.90000000
N
N
N
N
N
N
BP CAP MARKETS 3.79% 02/06/24
N/A
BP CAP MARKETS AMERICA REGD 3.79000000
10373QAD2
30000.00000000
NS
USD
32185.73000000
0.002455870779
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
CSAIL 2016-C5 3.756% 11/15/25
N/A
CSAIL 2016-C5 COMMERCIAL MORTGAGE TRUST SER 2016-C5 CL A5 REGD 3.75670000
12636LAY6
1000000.00000000
NS
USD
1098167.30000000
0.083793562646
Long
ABS-CBDO
CORP
US
N
2
2048-11-15
Fixed
3.75670000
N
N
N
N
N
N
COMM 2013-CR12 C V/R 11/10/23
N/A
COMM 2013-CCRE12 MORTGAGE TRUST SER 2013-CR12 CL C V/R REGD 5.24057100
12591KAK1
20000.00000000
NS
USD
20057.39000000
0.001530440913
Long
ABS-CBDO
CORP
US
N
2
2046-10-10
Variable
5.24057100
N
N
N
N
N
N
CIM 2021-R1 A2 V/R 08/25/56
N/A
CIM TRUST 2021-R1 SER 2021-R1 CL A2 V/R REGD 144A P/P 2.40000000
12563RAC8
1475425.25000000
NS
USD
1481283.28000000
0.113026497255
Long
ABS-CBDO
CORP
US
Y
2
2056-08-25
Variable
2.40000000
N
N
N
N
N
N
UMBS P#BR4035 2% 02/01/51
N/A
FANNIE MAE POOL UMBS P#BR4035 2.00000000
3140L2PV9
98827.75000000
NS
USD
100441.94000000
0.007664030782
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
UMBS P#QC0160 2% 03/01/51
N/A
FREDDIE MAC POOL UMBS P#QC0160 2.00000000
3133AJE90
98165.02000000
NS
USD
99936.82000000
0.007625488563
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
FHR 5040 IB 2.5% 11/25/50
N/A
FREDDIE MAC REMICS SER 5040 CL IB 2.50000000
3137F6P92
93014.69000000
NS
USD
11706.48000000
0.000893240643
Long
ABS-CBDO
CORP
US
N
2
2050-11-25
Fixed
2.50000000
N
N
N
N
N
N
SALESFORCE.COM 3.25% 04/11/23
RCGZFPDMRW58VJ54VR07
SALESFORCE.COM INC REGD 3.25000000
79466LAE4
130000.00000000
NS
USD
135891.50000000
0.010368941889
Long
DBT
CORP
US
N
2
2023-04-11
Fixed
3.25000000
N
N
N
N
N
N
T/L 1011778 B C 0% 11/19/26
N/A
T/L 1011778 B.C UNLIMITED LIABILITY COMPANY NEW RED INC AKA BURGER KING TIM HORTONS TERM LOAN B4 REGD 0.00000000
N/A
237191.96000000
NS
USD
233460.93000000
0.017813791271
Long
LON
CORP
CA
N
2
2026-11-19
Variable
1.83463000
N
N
N
N
N
N
GNMA II P#MA4778 3.5% 10/20/47
N/A
GINNIE MAE II POOL P#MA4778 3.50000000
36179TJX4
85276.39000000
NS
USD
91008.13000000
0.006944201892
Long
ABS-MBS
USGSE
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
WELLS FARGO & COM V/R 04/30/41
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD V/R 3.06800000
95000U2Q5
521000.00000000
NS
USD
547010.88000000
0.041738622559
Long
DBT
CORP
US
N
2
2041-04-30
Variable
3.06800000
N
N
N
N
N
N
UMBS P#AE3049 4.5% 09/01/40
N/A
FANNIE MAE POOL UMBS P#AE3049 4.50000000
31419DL74
722677.12000000
NS
USD
803374.90000000
0.061299990458
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
HCA INC 5.5% 06/15/47
N/A
HCA INC REGD 5.50000000
404119BV0
160000.00000000
NS
USD
211551.37000000
0.016142024056
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#AP9862 4% 10/01/42
N/A
FANNIE MAE POOL UMBS P#AP9862 4.00000000
3138MD5Y4
20364.61000000
NS
USD
22392.32000000
0.001708603296
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
WFCM 2015-C28 AS V/R 04/15/25
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C28 SER 2015-C28 CL AS V/R REGD 3.87200000
94989JBB1
1000000.00000000
NS
USD
1083815.30000000
0.082698460642
Long
ABS-CBDO
CORP
US
N
2
2048-05-15
Variable
3.87200000
N
N
N
N
N
N
SHIRE ACQ INV IR 3.2% 09/23/26
N/A
SHIRE ACQ INV IRELAND DA REGD 3.20000000
82481LAD1
259000.00000000
NS
USD
281350.62000000
0.021467922785
Long
DBT
CORP
IE
N
2
2026-09-23
Fixed
3.20000000
N
N
N
N
N
N
MPLX LP 4.7% 04/15/48
N/A
MPLX LP REGD 4.70000000
55336VAN0
260000.00000000
NS
USD
304728.18000000
0.023251702942
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
TPMT 2015-2 1B3 V/R 10/25/31
N/A
TOWD POINT MORTGAGE TRUST 2015-2 SER 2015-2 CL 1B3 V/R REGD 144A P/P 3.39994700
89171YAG6
760000.00000000
NS
USD
797608.98000000
0.060860032922
Long
ABS-CBDO
CORP
US
Y
2
2060-11-25
Variable
3.39994700
N
N
N
N
N
N
WESTERN MIDSTRE 4.35% 02/01/25
N/A
WESTERN MIDSTREAM OPERAT REGD 4.35000000
958667AB3
140000.00000000
NS
USD
147289.80000000
0.011238667444
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
4.35000000
N
N
N
N
N
N
AMEREN ILLINOIS 3.25% 03/15/50
N/A
AMEREN ILLINOIS CO REGD 3.25000000
02361DAU4
161000.00000000
NS
USD
176899.61000000
0.013497987558
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
3.25000000
N
N
N
N
N
N
CSMC 2019-ICE4 F V/R 05/15/21
N/A
CREDIT SUISSE MORTGAGE CAPITAL CER SER 2019-ICE4 CL F V/R REGD 144A P/P 2.74600000
12653VAL0
950000.00000000
NS
USD
954537.20000000
0.072834141634
Long
ABS-CBDO
CORP
US
Y
2
2036-05-15
Variable
2.74600000
N
N
N
N
N
N
BAMLL 2019-BP 3.287% 11/05/24
N/A
BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-BPR SER 2019-BPR CL AMP REGD 144A P/P 3.28700000
05492PAQ1
820000.00000000
NS
USD
859123.59000000
0.065553787987
Long
ABS-CBDO
CORP
US
Y
2
2032-11-05
Fixed
3.28700000
N
N
N
N
N
N
FARMERS EXCHANGE V/R 11/01/53
N/A
FARMERS EXCHANGE CAP II REGD V/R 6.15100000
30958PAA1
900000.00000000
NS
USD
1180427.64000000
0.090070281096
Long
DBT
CORP
US
Y
2
2053-11-01
Variable
6.15100000
N
N
N
N
N
N
NAROT 2018-C A 3.22% 05/15/22
N/A
NISSAN AUTO RECEIVABLES 2018-C OWNER TRUST SER 2018-C CL A3 REGD 3.22000000
65478NAD7
355074.38000000
NS
USD
358365.78000000
0.027344417773
Long
ABS-CBDO
CORP
US
N
2
2023-06-15
Fixed
3.22000000
N
N
N
N
N
N
CENTERPOINT ENE 1.75% 10/01/30
N/A
CENTERPOINT ENERGY RES REGD 1.75000000
15189YAF3
244000.00000000
NS
USD
237821.41000000
0.018146509386
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
1.75000000
N
N
N
N
N
N
TAKEDA PHARMACE 2.05% 03/31/30
549300ZLMVP4X0OGR454
TAKEDA PHARMACEUTICAL REGD 2.05000000
874060AX4
407000.00000000
NS
USD
405593.73000000
0.030948056478
Long
DBT
CORP
JP
N
2
2030-03-31
Fixed
2.05000000
N
N
N
N
N
N
REPUBLIC OF CHI 2.45% 01/31/31
N/A
REPUBLIC OF CHILE REGD 2.45000000
168863DP0
650000.00000000
NS
USD
667868.50000000
0.050960432890
Long
DBT
USGA
CL
N
2
2031-01-31
Fixed
2.45000000
N
N
N
N
N
N
GNMA II P#783449 5% 09/20/41
N/A
GINNIE MAE II POOL P#783449 5.00000000
36241LZN9
14383.67000000
NS
USD
16252.85000000
0.001240142740
Long
ABS-MBS
USGSE
US
N
2
2041-09-20
Fixed
5.00000000
N
N
N
N
N
N
VODAFONE GROUP 4.375% 05/30/28
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC REGD 4.37500000
92857WBK5
190000.00000000
NS
USD
221275.51000000
0.016884006024
Long
DBT
CORP
GB
N
2
2028-05-30
Fixed
4.37500000
N
N
N
N
N
N
GNMA II P#1722 9% 11/20/21
N/A
GINNIE MAE II POOL P#1722 9.00000000
36202B4F9
4.81000000
NS
USD
4.81000000
0.000000367017
Long
ABS-MBS
USGSE
US
N
2
2021-11-20
Fixed
9.00000000
N
N
N
N
N
N
SLMA 2010-C A5 V/R 04/15/24
N/A
SLM PRIVATE EDUCATION LOAN TRUST 2010-C SER 2010-C CL A5 V/R REGD 4.84550000
78445QAE1
395000.00000000
NS
USD
441287.32000000
0.033671587829
Long
ABS-CBDO
CORP
US
Y
2
2041-10-15
Variable
4.84550000
N
N
N
N
N
N
N/A
N/A
RUB/USD FWD 20211019 STAR USD
N/A
1.00000000
NC
N/A
109006.55000000
0.008317537023
N/A
DFE
N/A
N
2
CITIBANK N.A.
N/A
-5210883.27000000
USD
392836970.00000000
RUB
2021-10-19
109006.55000000
N
N
N
FGLMC P#A90798 5% 01/01/40
N/A
FREDDIE MAC GOLD POOL P#A90798 5.00000000
3129383F8
26449.33000000
NS
USD
30131.81000000
0.002299150328
Long
ABS-MBS
USGA
US
N
2
2040-01-01
Fixed
5.00000000
N
N
N
N
N
N
THPT 2018-THL A V/R 11/11/19
N/A
THARALDSON HOTEL PORTFOLIO TRUST 2018-THPT SER 2018-THL CL A V/R REGD 144A P/P 0.99600000
88327HAA1
81008.03000000
NS
USD
81123.30000000
0.006189958780
Long
ABS-CBDO
CORP
US
Y
2
2034-11-11
Variable
0.99600000
N
N
N
N
N
N
UMBS P#AQ4080 4% 06/01/43
N/A
FANNIE MAE POOL UMBS P#AQ4080 4.00000000
3138MKRA6
23653.98000000
NS
USD
26158.43000000
0.001995969141
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
US TREAS NTS 0.25% 05/31/25
N/A
UNITED STATES TREASURY NOTE 0.25000000
912828ZT0
3900000.00000000
NS
USD
3853916.00000000
0.294065714558
Long
DBT
UST
US
N
2
2025-05-31
Fixed
0.25000000
N
N
N
N
N
N
T/L CAESARS RESORT 0% 12/23/24
N/A
T/L CAESARS RESORT COLLECTION LLC ZCP REGD 0.00000000
12769LAB5
96419.57000000
NS
USD
95750.90000000
0.007306089916
Long
LON
CORP
US
N
2
2024-12-23
Variable
2.83463000
N
N
N
N
N
N
US BANCORP 1.45% 05/12/25
N1GZ7BBF3NP8GI976H15
US BANCORP REGD 1.45000000
91159HHZ6
350000.00000000
NS
USD
358225.64000000
0.027333724658
Long
DBT
CORP
US
N
2
2025-05-12
Fixed
1.45000000
N
N
N
N
N
N
NORTHWEST PIPELINE 4% 04/01/27
N/A
NORTHWEST PIPELINE LLC REGD SER WI 4.00000000
66775VAB1
426000.00000000
NS
USD
476445.52000000
0.036354267266
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.00000000
N
N
N
N
N
N
T/L TRANSDIGM IN 0% 12/09/25
N/A
T/L TRANSDIGM INC REGD 0.00000000
89364MBR4
19898.98000000
NS
USD
19613.83000000
0.001496595912
Long
LON
CORP
US
N
2
2025-12-09
Variable
2.33463000
N
N
N
N
N
N
T/L UFC HOLDINGS 0% 04/29/2026
N/A
T/L UFC HOLDINGS LLC REGD 0.00000000
N/A
407171.74000000
NS
USD
405207.14000000
0.030918558465
Long
LON
CORP
US
N
2
2026-04-29
Variable
3.50000000
N
N
N
N
N
N
ENERGY TRANSFER 3.75% 05/15/30
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD 3.75000000
29278NAQ6
630000.00000000
NS
USD
684815.76000000
0.052253561262
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
FNS 409 C18 4% 04/25/42
N/A
FANNIE MAE INTEREST STRIP SER 409 CL C18 4.00000000
3136FLFM3
154303.20000000
NS
USD
20995.43000000
0.001602016267
Long
ABS-CBDO
CORP
US
N
2
2042-04-25
Fixed
4.00000000
N
N
N
N
N
N
FNR 2012-101 BI 4% 09/25/27
N/A
FANNIE MAE REMICS SER 2012-101 CL BI 4.00000000
3136A76M9
43920.00000000
NS
USD
2141.28000000
0.000163386288
Long
ABS-CBDO
CORP
US
N
2
2027-09-25
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 06/19/26
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 1.31900000
06051GJD2
2272000.00000000
NS
USD
2280408.49000000
0.174002223218
Long
DBT
CORP
US
N
2
2026-06-19
Variable
1.31900000
N
N
N
N
N
N
FGLMC P#U99124 3.5% 03/01/45
N/A
FREDDIE MAC GOLD POOL P#U99124 3.50000000
3132H7D68
110673.18000000
NS
USD
119730.42000000
0.009135801483
Long
ABS-MBS
USGA
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
OCCIDENTAL PETR 5.55% 03/15/26
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR REGD 5.55000000
674599DC6
760000.00000000
NS
USD
848350.00000000
0.064731729738
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
UMBS P#FM7987 2% 07/01/51
N/A
FANNIE MAE POOL UMBS P#FM7987 2.00000000
3140XB2V1
299337.07000000
NS
USD
305200.30000000
0.023287727159
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
US TREAS NTS 0.25% 03/15/24
N/A
UNITED STATES TREASURY NOTE 0.25000000
91282CBR1
4100000.00000000
NS
USD
4094074.23000000
0.312390530540
Long
DBT
UST
US
N
2
2024-03-15
Fixed
0.25000000
N
N
N
N
N
N
INTESA SANPAOL 3.375% 01/12/23
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA REGD 144A P/P 3.37500000
46115HBC0
200000.00000000
NS
USD
207515.06000000
0.015834041115
Long
DBT
CORP
IT
Y
2
2023-01-12
Fixed
3.37500000
N
N
N
N
N
N
UMBS P#AO7501 4% 06/01/42
N/A
FANNIE MAE POOL UMBS P#AO7501 4.00000000
3138LYKP1
47172.26000000
NS
USD
52182.57000000
0.003981691540
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#G67700 3.5% 08/01/46
N/A
FREDDIE MAC GOLD POOL P#G67700 3.50000000
3132XCRV9
233026.05000000
NS
USD
253865.58000000
0.019370729197
Long
ABS-MBS
USGA
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
OOMLT 2004-3 M1 V/R 11/25/34
N/A
OPTION ONE MORTGAGE LOAN TRUST 2004-3 SER 2004-3 CL M1 V/R REGD 0.86438000
68389FFT6
351359.86000000
NS
USD
351441.06000000
0.026816040213
Long
ABS-CBDO
CORP
US
N
2
2034-11-25
Variable
0.86438000
N
N
N
N
N
N
UMBS P#AH3551 3.5% 03/01/26
N/A
FANNIE MAE POOL UMBS P#AH3551 3.50000000
3138A45M3
5623.92000000
NS
USD
6003.27000000
0.000458068074
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS RFE01P00.56 07/20/45 SBNYUS33 FLOAT
N/A
1.00000000
NC
USD
126201.41000000
0.009629558041
N/A
DIR
US
N
2
CITIGROUP
N/A
N/A
N/A
Y
2045-07-20
-730000.00000000
USD
730000.00000000
USD
730000.00000000
USD
129737.65000000
N
N
N
BANK OF AMERICA C V/R 02/13/31
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 2.49600000
06051GHZ5
49000.00000000
NS
USD
50358.61000000
0.003842517749
Long
DBT
CORP
US
N
2
2031-02-13
Variable
2.49600000
N
N
N
N
N
N
ANGLO AMERICAN CAP 4% 09/11/27
N/A
ANGLO AMERICAN CAPITAL REGD 144A P/P 4.00000000
034863AT7
200000.00000000
NS
USD
223598.84000000
0.017061283291
Long
DBT
CORP
GB
Y
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
T/L AVOLON TLB BORROWER 1 US LLC 0% 12/01/27
N/A
T/L AVOLON TLB BORROWER 1 US LLC REGD 0.00000000
N/A
562175.00000000
NS
USD
562922.69000000
0.042952742892
Long
LON
CORP
US
N
2
2027-12-01
Variable
2.75000000
N
N
N
N
N
N
FHMS K016 X1 V/R 10/25/21
N/A
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K016 CL X1 V/R 1.59940300
3137AJMG6
63414.18000000
NS
USD
0.63000000
0.000000048070
Long
ABS-CBDO
CORP
US
N
2
2021-10-25
Variable
1.59940300
N
N
N
N
N
N
GALAXY PIPELINE 2.16% 03/31/34
549300L82YB0C6JQIC26
GALAXY PIPELINE ASSETS REGD 144A P/P 2.16000000
36321PAD2
200000.00000000
NS
USD
199532.02000000
0.015224910464
Long
DBT
CORP
AE
Y
2
2034-03-31
Fixed
2.16000000
N
N
N
N
N
N
FEDEX CORP 2.4% 05/15/31
549300E707U7WNPZN687
FEDEX CORP REGD 2.40000000
31428XCD6
34000.00000000
NS
USD
34994.90000000
0.002670219141
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.40000000
N
N
N
N
N
N
FGLMC P#G08026 5% 12/01/34
N/A
FREDDIE MAC GOLD POOL P#G08026 5.00000000
3128MJA42
20859.07000000
NS
USD
23808.61000000
0.001816670605
Long
ABS-MBS
USGA
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
CGCMT 2015-P1 3.717% 07/15/25
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1 SER 2015-P1 CL A5 REGD 3.71700000
17324DAU8
575000.00000000
NS
USD
631087.46000000
0.048153925740
Long
ABS-CBDO
CORP
US
N
2
2048-09-15
Fixed
3.71700000
N
N
N
N
N
N
MICROSOFT CORP 3.3% 02/06/27
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP REGD 3.30000000
594918BY9
670000.00000000
NS
USD
747303.30000000
0.057021553896
Long
DBT
CORP
US
N
2
2027-02-06
Fixed
3.30000000
N
N
N
N
N
N
FHMS K736 X1 V/R 07/25/26
N/A
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K736 CL X1 V/R 1.43682200
3137FNWZ9
1038775.99000000
NS
USD
55236.08000000
0.004214683800
Long
ABS-CBDO
CORP
US
N
2
2026-07-25
Variable
1.43682200
N
N
N
N
N
N
SCHLUMBERGER HLD 3.9% 05/17/28
N/A
SCHLUMBERGER HLDGS CORP REGD 144A P/P 3.90000000
806851AK7
171000.00000000
NS
USD
191353.21000000
0.014600841957
Long
DBT
CORP
US
Y
2
2028-05-17
Fixed
3.90000000
N
N
N
N
N
N
FNMA P#AL1704 6.5% 5/01/40
N/A
FANNIE MAE POOL UMBS P#AL1704 6.50000000
3138EH3N0
24383.12000000
NS
USD
29019.19000000
0.002214253980
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6.50000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 06/01/28
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 2.18200000
46647PBR6
635000.00000000
NS
USD
655276.71000000
0.049999640355
Long
DBT
CORP
US
N
2
2028-06-01
Variable
2.18200000
N
N
N
N
N
N
UMBS P#BR0001 2.5% 12/01/50
N/A
FANNIE MAE POOL UMBS P#BR0001 2.50000000
3140KXAB2
95421.04000000
NS
USD
99758.50000000
0.007611882196
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP01.20 10/07/50 GOLDUS33XXX FLOAT
N/A
1.00000000
NC
USD
66164.68000000
0.005048569793
N/A
DIR
US
N
2
JP MORGAN MORGAN SECURITIES LL
N/A
N/A
N/A
Y
2050-10-07
-662289.55000000
USD
662000.00000000
USD
662000.00000000
USD
69327.32000000
N
N
N
ENDO DAC/FIN LLC/F 6% 06/30/28
N/A
ENDO DAC/FIN LLC/FINCO REGD 144A P/P 6.00000000
29273DAC4
202000.00000000
NS
USD
126527.75000000
0.009654458793
Long
DBT
CORP
IE
Y
2
2028-06-30
Fixed
6.00000000
N
N
N
N
N
N
FNR 2008-18 SM V/R 03/25/38
N/A
FANNIE MAE REMICS SER 2008-18_ CL SM V/R 6.91562000
31396YXH0
458577.26000000
NS
USD
72096.42000000
0.005501179907
Long
ABS-CBDO
CORP
US
N
2
2038-03-25
Variable
6.91562000
N
N
N
N
N
N
RAYTHEON COMPANY 7.2% 08/15/27
N/A
RAYTHEON COMPANY REGD 7.20000000
755111AF8
40000.00000000
NS
USD
52673.73000000
0.004019168567
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
7.20000000
N
N
N
N
N
N
UMBS P#BL3540 2.79% 08/01/29
N/A
FANNIE MAE POOL UMBS P#BL3540 2.79000000
3140HU5A0
400000.00000000
NS
USD
439456.84000000
0.033531916542
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
2.79000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 03/05/24
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 3.55000000
06051GHF9
902000.00000000
NS
USD
942188.99000000
0.071891935006
Long
DBT
CORP
US
N
2
2024-03-05
Variable
3.55000000
N
N
N
N
N
N
BARCLAYS PLC V/R 03/10/42
213800LBQA1Y9L22JB70
BARCLAYS PLC REGD V/R 3.81100000
06738EBS3
213000.00000000
NS
USD
231903.88000000
0.017694983539
Long
DBT
CORP
GB
N
2
2042-03-10
Variable
3.81100000
N
N
N
N
N
N
POWERTEAM SERV 9.033% 12/04/25
N/A
POWERTEAM SERVICES LLC REGD 144A P/P 9.03300000
73939VAA2
87000.00000000
NS
USD
95156.25000000
0.007260716282
Long
DBT
CORP
US
Y
2
2025-12-04
Fixed
9.03300000
N
N
N
N
N
N
EXXON MOBIL CO 3.482% 03/19/30
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORPORATION REGD 3.48200000
30231GBK7
180000.00000000
NS
USD
202669.99000000
0.015464347284
Long
DBT
CORP
US
N
2
2030-03-19
Fixed
3.48200000
N
N
N
N
N
N
CSMC 2019-ICE4 A V/R 05/15/21
N/A
CREDIT SUISSE MORTGAGE CAPITAL CER SER 2019-ICE4 CL A V/R REGD 144A P/P 1.07600000
12653VAA4
660000.00000000
NS
USD
662733.79000000
0.050568638630
Long
ABS-CBDO
CORP
US
Y
2
2036-05-15
Variable
1.07600000
N
N
N
N
N
N
UMBS P#937775 5% 06/01/22
N/A
FANNIE MAE POOL UMBS P#937775 5.00000000
31412XJU9
81.54000000
NS
USD
84.94000000
0.000006481184
Long
ABS-MBS
USGSE
US
N
2
2022-06-01
Fixed
5.00000000
N
N
N
N
N
N
WELLS FARGO BANK V/R 09/09/22
N/A
WELLS FARGO BANK NA REGD V/R SER BKNT 2.08200000
94988J6A0
517000.00000000
NS
USD
517192.83000000
0.039463413089
Long
DBT
CORP
US
N
2
2022-09-09
Variable
2.08200000
N
N
N
N
N
N
SYNOVUS FINANC 3.125% 11/01/22
549300EIUS8UN5JTLE54
SYNOVUS FINANCIAL CORP REGD 3.12500000
87161CAL9
96000.00000000
NS
USD
98350.57000000
0.007504452781
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
3.12500000
N
N
N
N
N
N
GENERAL MOTORS 4.35% 01/17/27
N/A
GENERAL MOTORS FINL CO REGD 4.35000000
37045XBT2
100000.00000000
NS
USD
112619.70000000
0.008593231547
Long
DBT
CORP
US
N
2
2027-01-17
Fixed
4.35000000
N
N
N
N
N
N
VERIZON COMMUN 2.987% 10/30/56
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD SER WI 2.98700000
92343VFW9
114000.00000000
NS
USD
110451.91000000
0.008427822463
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.98700000
N
N
N
N
N
N
UMBS P#SD0482 3.5% 10/01/45
N/A
FREDDIE MAC POOL UMBS P#SD0482 3.50000000
3132DMRB3
1069613.84000000
NS
USD
1163929.09000000
0.088811390685
Long
ABS-MBS
USGA
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#FM7900 2.5% 07/01/51
N/A
FANNIE MAE POOL UMBS P#FM7900 2.50000000
3140XBX62
99621.06000000
NS
USD
104516.14000000
0.007974904847
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#FM7576 4% 06/01/49
N/A
FANNIE MAE POOL UMBS P#FM7576 4.00000000
3140XBM23
88255.08000000
NS
USD
95380.06000000
0.007277793677
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#SD0247 4% 07/01/47
N/A
FREDDIE MAC POOL UMBS P#SD0247 4.00000000
3132DMHY4
54248.12000000
NS
USD
58964.57000000
0.004499179123
Long
ABS-MBS
USGA
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
ALLERGAN FUNDIN 4.55% 03/15/35
N/A
ALLERGAN FUNDING SCS REGD 4.55000000
00507UAT8
255000.00000000
NS
USD
279566.42000000
0.021331782805
Long
DBT
CORP
LU
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
ARES CAPITAL CO 3.25% 07/15/25
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP REGD 3.25000000
04010LAY9
119000.00000000
NS
USD
125815.48000000
0.009600110388
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.25000000
N
N
N
N
N
N
D.R. HORTON INC 2.6% 10/15/25
529900ZIUEYVSB8QDD25
D.R. HORTON INC REGD 2.60000000
23331ABN8
69000.00000000
NS
USD
72927.66000000
0.005564606091
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
2.60000000
N
N
N
N
N
N
SABINE PASS LIQU 4.2% 03/15/28
N/A
SABINE PASS LIQUEFACTION REGD SER WI 4.20000000
785592AU0
550000.00000000
NS
USD
618336.70000000
0.047181003302
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.20000000
N
N
N
N
N
N
PMTCR 2019-2R A V/R 05/27/23
N/A
PMT CREDIT RISK TRANSFER TRUST 2019-2R SER 2019-2R CL A V/R REGD 2.83788000
69345WAA6
440943.02000000
NS
USD
437387.04000000
0.033373984398
Long
ABS-CBDO
CORP
US
Y
2
2023-05-27
Variable
2.83788000
N
N
N
N
N
N
T/L AIR CANADA 0% 7/27/2028
N/A
T/L AIR CANADA REGD 0.00000000
N/A
150000.00000000
NS
USD
150107.25000000
0.011453647596
Long
LON
CORP
CA
N
2
2028-07-27
Variable
4.25000000
N
N
N
N
N
N
AMER AIRLN 15-2 4.4% 09/22/23
N/A
AMER AIRLN 15-2 B PTT REGD 4.40000000
02377BAC0
111058.57000000
NS
USD
108811.03000000
0.008302618243
Long
DBT
CORP
US
N
2
2023-09-22
Fixed
4.40000000
N
N
N
N
N
N
GNR 2007-51 SG V/R 08/20/37
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2007-51 CL SG V/R 6.49162000
38375K4K5
335902.01000000
NS
USD
50014.90000000
0.003816291612
Long
ABS-CBDO
CORP
US
N
2
2037-08-20
Variable
6.49162000
N
N
N
N
N
N
T/L FOUR SEASONS 0% 11/30/2023
N/A
T/L FOUR SEASONS HOLDINGS INC ZCP REGD /LX134485/ 0.00000000
35100DAR7
49356.00000000
NS
USD
49074.42000000
0.003744530078
Long
LON
CORP
CA
N
2
2023-11-30
Variable
2.08463000
N
N
N
N
N
N
SUNOCO LP/FINANC 4.5% 05/15/29
N/A
SUNOCO LP/FINANCE CORP REGD SER WI 4.50000000
86765LAT4
425000.00000000
NS
USD
430975.50000000
0.032884764059
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#BM5119 4.5% 12/01/48
N/A
FANNIE MAE POOL UMBS P#BM5119 4.50000000
3140J9VM0
173351.93000000
NS
USD
189762.59000000
0.014479472729
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQ 2.9% 07/26/24
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO REGD 2.90000000
110122CM8
326000.00000000
NS
USD
347503.85000000
0.026515618908
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
ENERGY TRANSFER LP 6% 06/15/48
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD SER 30Y 6.00000000
29278NAE3
200000.00000000
NS
USD
256684.23000000
0.019585800912
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
6.00000000
N
N
N
N
N
N
GNR 2010-85 HS V/R 01/20/40
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2010-85 CL HS V/R 6.56162000
38374YVW0
18994.80000000
NS
USD
1124.06000000
0.000085769255
Long
ABS-CBDO
CORP
US
N
2
2040-01-20
Variable
6.56162000
N
N
N
N
N
N
UMBS P#BM4299 3% 03/01/30
N/A
FANNIE MAE POOL UMBS P#BM4299 3.00000000
3140J8X57
409002.84000000
NS
USD
430936.34000000
0.032881776030
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.00000000
N
N
N
N
N
N
FNR 2012-74 SA V/R 03/25/42
N/A
FANNIE MAE REMICS SER 2012-74 CL SA V/R 6.56562000
3136A65Y6
90581.87000000
NS
USD
15191.97000000
0.001159194313
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Variable
6.56562000
N
N
N
N
N
N
UMBS P#BR6462 2% 03/01/51
N/A
FANNIE MAE POOL UMBS P#BR6462 2.00000000
3140L5FC5
98977.10000000
NS
USD
100473.00000000
0.007666400756
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
FGLMC P#A96478 4% 01/01/41
N/A
FREDDIE MAC GOLD POOL P#A96478 4.00000000
312945FT0
8449.48000000
NS
USD
9261.57000000
0.000706686445
Long
ABS-MBS
USGA
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS V/R 01/10/25
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS REGD V/R 144A P/P 4.70500000
09659W2G8
470000.00000000
NS
USD
511787.31000000
0.039050955188
Long
DBT
CORP
FR
Y
2
2025-01-10
Variable
4.70500000
N
N
N
N
N
N
GNMA P#683353 5% 04/15/38
N/A
GINNIE MAE I POOL P#683353 5.00000000
36295XE27
817.43000000
NS
USD
917.79000000
0.000070030216
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Fixed
5.00000000
N
N
N
N
N
N
AT&T INC 3.55% 09/15/55
549300Z40J86GGSTL398
AT&T INC REGD 144A P/P 3.55000000
00206RMD1
503000.00000000
NS
USD
515067.30000000
0.039301228573
Long
DBT
CORP
US
Y
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
UMBS P#AS9453 4% 04/01/47
N/A
FANNIE MAE POOL UMBS P#AS9453 4.00000000
3138WKQF5
92603.66000000
NS
USD
100455.80000000
0.007665088343
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#MA1448 3.5% 11/20/43
N/A
GINNIE MAE II POOL P#MA1448 3.50000000
36179NTD0
151045.97000000
NS
USD
163014.74000000
0.012438529018
Long
ABS-MBS
USGSE
US
N
2
2043-11-20
Fixed
3.50000000
N
N
N
N
N
N
CSFB 2005-6 8A1 4.5% 07/25/20
N/A
CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP SER 2005-6 CL 8A1 REGD 4.50000000
225458YA0
35892.67000000
NS
USD
35825.23000000
0.002733575889
Long
ABS-CBDO
CORP
US
N
2
2022-07-25
Fixed
4.50000000
N
N
N
N
N
N
MOTOROLA SOLUTIO 4.6% 02/23/28
6S552MUG6KGJVEBSEC55
MOTOROLA SOLUTIONS INC REGD 4.60000000
620076BL2
186000.00000000
NS
USD
216460.23000000
0.016516585262
Long
DBT
CORP
US
N
2
2028-02-23
Fixed
4.60000000
N
N
N
N
N
N
REPUBLIC OF IND 2.85% 02/14/30
N/A
REPUBLIC OF INDONESIA REGD 2.85000000
455780CQ7
445000.00000000
NS
USD
468467.00000000
0.035745481505
Long
DBT
USGA
ID
N
2
2030-02-14
Fixed
2.85000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 04/22/42
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 3.21000000
38141GYC2
20000.00000000
NS
USD
21142.37000000
0.001613228244
Long
DBT
CORP
US
N
2
2042-04-22
Variable
3.21000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 09/10/27
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 1.54200000
38141GYG3
1240000.00000000
NS
USD
1246634.99000000
0.095122106742
Long
DBT
CORP
US
N
2
2027-09-10
Variable
1.54200000
N
N
N
N
N
N
FGLMC P#U90940 3.5% 02/01/43
N/A
FREDDIE MAC GOLD POOL P#U90940 3.50000000
3132H4BH3
27938.57000000
NS
USD
30152.83000000
0.002300754219
Long
ABS-MBS
USGA
US
N
2
2043-02-01
Fixed
3.50000000
N
N
N
N
N
N
SBIC 2019-10A 3.113% 03/10/29
N/A
SBA SMALL BUSINESS INVESTMENT COS SER 2019-10A CL 1 REGD 3.11300000
831641FM2
330349.40000000
NS
USD
355294.35000000
0.027110058161
Long
ABS-CBDO
CORP
US
N
2
2029-03-10
Fixed
3.11300000
N
N
N
N
N
N
UNITED MEXICAN 4.15% 03/28/27
N/A
UNITED MEXICAN STATES REGD 4.15000000
91087BAC4
200000.00000000
NS
USD
228877.00000000
0.017464023230
Long
DBT
USGA
MX
N
2
2027-03-28
Fixed
4.15000000
N
N
N
N
N
N
DEUTSCHE BANK NY V/R 04/01/25
N/A
DEUTSCHE BANK NY REGD V/R 1.44700000
251526CG2
474000.00000000
NS
USD
477474.72000000
0.036432798410
Long
DBT
CORP
US
N
2
2025-04-01
Variable
1.44700000
N
N
N
N
N
N
TOYOTA MOTOR CR 3.45% 09/20/23
N/A
TOYOTA MOTOR CREDIT CORP REGD MTN SER GMTN 3.45000000
89236TFN0
3000.00000000
NS
USD
3188.67000000
0.000243305386
Long
DBT
CORP
US
N
2
2023-09-20
Fixed
3.45000000
N
N
N
N
N
N
COMM 2013-CR1 3.983% 08/10/23
N/A
COMM 2013-CCRE11 MORTGAGE TRUST SER 2013-CR11 CL A3 REGD 3.98300000
12626LAD4
534851.19000000
NS
USD
566758.01000000
0.043245389674
Long
ABS-CBDO
CORP
US
N
2
2050-08-10
Fixed
3.98300000
N
N
N
N
N
N
CASL 2019-A A2 3.28% 03/25/30
N/A
COLLEGE AVE STUDENT LOANS 2019-A LLC SER 2019-A CL A2 REGD 144A P/P 3.28000000
19421UAB0
159484.45000000
NS
USD
165251.30000000
0.012609185466
Long
ABS-CBDO
CORP
US
Y
2
2048-12-28
Fixed
3.28000000
N
N
N
N
N
N
CCO HLDGS LLC/CA 4.5% 05/01/32
N/A
CCO HLDGS LLC/CAP CORP REGD SER WI 4.50000000
1248EPCN1
100000.00000000
NS
USD
104632.50000000
0.007983783475
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.50000000
N
N
N
N
N
N
TARGET CORP 2.25% 04/15/25
8WDDFXB5T1Z6J0XC1L66
TARGET CORP REGD 2.25000000
87612EBL9
120000.00000000
NS
USD
126198.03000000
0.009629300137
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.25000000
N
N
N
N
N
N
GOLDMAN SACHS G 3.75% 05/22/25
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD 3.75000000
38148LAE6
437000.00000000
NS
USD
476630.57000000
0.036368387154
Long
DBT
CORP
US
N
2
2025-05-22
Fixed
3.75000000
N
N
N
N
N
N
F/C US 10YR NOTE (CBT)DEC21
N/A
FUTURE CONTRACT ON US 10YR NOTE (CBT)DEC21 0.00000000
N/A
-287.00000000
NC
USD
-38301046.88000000
-2.92248837781
N/A
DIR
CORP
US
N
1
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
Short
F/C US 10YR NOTE (CBT)DEC21
US 10YR NOTE (CBT)DEC21
2021-12-21
38262873.78000000
USD
-38173.10000000
N
N
N
GNMA II P#MA7195 3.5% 02/20/51
N/A
GINNIE MAE II POOL P#MA7195 3.50000000
36179V7G9
755858.05000000
NS
USD
795810.82000000
0.060722827751
Long
ABS-MBS
USGSE
US
N
2
2051-02-20
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#MA4901 4% 12/20/47
N/A
GINNIE MAE II POOL P#MA4901 4.00000000
36179TNS0
101992.00000000
NS
USD
108710.84000000
0.008294973436
Long
ABS-MBS
USGSE
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
US TREAS BDS 2% 02/15/50
N/A
UNITED STATES TREASURY BOND 2.00000000
912810SL3
4480000.00000000
NS
USD
4549474.99000000
0.347139017508
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
T/L DIGICERT HOLDI 0% 10/16/26
N/A
T/L DIGICERT HOLDINGS INC REGD 0.00000000
24022KAB5
425072.74000000
NS
USD
424926.09000000
0.032423175359
Long
LON
CORP
US
N
2
2026-10-16
Variable
4.08463000
N
N
N
N
N
N
ABU DHABI GOVT I 2.5% 10/11/22
N/A
ABU DHABI GOVT INT'L REGD 144A P/P 2.50000000
29135LAC4
400000.00000000
NS
USD
409804.00000000
0.031269313106
Long
DBT
USGA
AE
Y
2
2022-10-11
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#MA4413 2% 09/01/51
N/A
FANNIE MAE POOL UMBS P#MA4413 2.00000000
31418D3X8
1925000.00000000
NS
USD
1954093.68000000
0.149103393619
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
HARTFORD FINL SV 4.3% 04/15/43
IU7C3FTM7Y3BQM112U94
HARTFORD FINL SVCS GRP REGD 4.30000000
416515BB9
4000.00000000
NS
USD
4847.08000000
0.000369847200
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.30000000
N
N
N
N
N
N
APACHE CORP 5.25% 02/01/42
72ZZ1XRHOOU9P9X16K08
APACHE CORP REGD 5.25000000
037411AY1
20000.00000000
NS
USD
22143.10000000
0.001689587039
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
5.25000000
N
N
N
N
N
N
BALTIMORE GAS & 3.75% 08/15/47
N/A
BALTIMORE GAS & ELECTRIC REGD SER * 3.75000000
059165EJ5
150000.00000000
NS
USD
175847.46000000
0.013417705258
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
3.75000000
N
N
N
N
N
N
F/C US 2YR NOTE (CBT) DEC21
N/A
FUTURE CONTRACT ON US 2YR NOTE (CBT) DEC21 0.00000000
N/A
324.00000000
NC
USD
71386312.82000000
5.446996532640
N/A
DIR
CORP
US
N
1
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
Long
F/C US 2YR NOTE (CBT) DEC21
US 2YR NOTE (CBT) DEC21
2021-12-31
71342510.54000000
USD
43802.28000000
N
N
N
PETRONAS CAPITA 2.48% 01/28/32
N/A
PETRONAS CAPITAL LTD REGD 144A P/P MTN 2.48000000
71675CAB4
200000.00000000
NS
USD
203905.36000000
0.015558609837
Long
DBT
CORP
MY
Y
2
2032-01-28
Fixed
2.48000000
N
N
N
N
N
N
GENERAL DYNAMICS 3.5% 04/01/27
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS CORP REGD 3.50000000
369550BL1
121000.00000000
NS
USD
135238.23000000
0.010319095367
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#MA4588 4.5% 07/20/47
N/A
GINNIE MAE II POOL P#MA4588 4.50000000
36179TCZ6
488470.16000000
NS
USD
527636.77000000
0.040260318023
Long
ABS-MBS
USGSE
US
N
2
2047-07-20
Fixed
4.50000000
N
N
N
N
N
N
T-MOBILE USA I 3.875% 04/15/30
N/A
T-MOBILE USA INC REGD SER WI 3.87500000
87264ABF1
525000.00000000
NS
USD
588183.75000000
0.044880239926
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
STATE OF QATAR 4% 03/14/29
N/A
STATE OF QATAR REGD 144A P/P 4.00000000
74727PBA8
250000.00000000
NS
USD
288482.50000000
0.022012107295
Long
DBT
USGA
QA
Y
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
COMCAST CORP 3.3% 04/01/27
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 3.30000000
20030NDK4
177000.00000000
NS
USD
194923.41000000
0.014873259262
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
METWEST LEHMAN SWAP RECEIVABLE
N/A
METWEST LEHMAN SWAP RECEIVABLE IMPAIRED 0.00000000
N/A
140378.21000000
NS
USD
0.00000000
0.000000
Long
DBT
CORP
US
N
3
2049-12-31
Fixed
0.00000000
N
N
N
N
N
N
NEW YORK CITY NY T 5% 11/01/42
N/A
NEW YORK CITY NY TRANSITIONAL REGD B/E 5.00000000
64971Q8V8
80000.00000000
NS
USD
87623.39000000
0.006685935757
Long
DBT
MUN
US
N
2
2042-11-01
Fixed
5.00000000
N
N
N
N
N
N
ANTHEM INC 3.65% 12/01/27
8MYN82XMYQH89CTMTH67
ANTHEM INC REGD 3.65000000
036752AB9
1120000.00000000
NS
USD
1254716.52000000
0.095738752484
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
N
N
N
N
N
N
EOG RESOURCES I 4.15% 01/15/26
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC REGD 4.15000000
26875PAP6
10000.00000000
NS
USD
11218.61000000
0.000856014652
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.15000000
N
N
N
N
N
N
COMCAST CORP 3.45% 02/01/50
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 3.45000000
20030NCZ2
80000.00000000
NS
USD
88109.93000000
0.006723060265
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
GNR 2019-123 A 3% 10/20/49
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-123 CL A 3.00000000
38382AKD6
6708.37000000
NS
USD
6741.58000000
0.000514403411
Long
ABS-CBDO
CORP
US
N
2
2049-10-20
Fixed
3.00000000
N
N
N
N
N
N
WELLS FARGO & COM V/R 04/30/26
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD V/R 2.18800000
95000U2N2
300000.00000000
NS
USD
311728.67000000
0.023785861988
Long
DBT
CORP
US
N
2
2026-04-30
Variable
2.18800000
N
N
N
N
N
N
FGLMC P#G60138 3.5% 08/01/45
N/A
FREDDIE MAC GOLD POOL P#G60138 3.50000000
31335AEK0
1118044.74000000
NS
USD
1231369.64000000
0.093957313307
Long
ABS-MBS
USGA
US
N
2
2045-08-01
Fixed
3.50000000
N
N
N
N
N
N
HP ENTERPRISE C 4.65% 10/01/24
549300BX44RGX6ANDV88
HP ENTERPRISE CO REGD 4.65000000
42824CBF5
227000.00000000
NS
USD
251804.17000000
0.019213437236
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.65000000
N
N
N
N
N
N
UMBS P#AR2627 3% 02/01/43
N/A
FANNIE MAE POOL UMBS P#AR2627 3.00000000
3138NY4M4
159167.25000000
NS
USD
172865.25000000
0.013190153408
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
T/L VIRGIN MEDIA 0% 01/31/28
N/A
T/L VIRGIN MEDIA BRISTOL LLC REGD 0.00000000
G9368PBC7
430000.00000000
NS
USD
426084.85000000
0.032511592333
Long
LON
CORP
US
N
2
2028-01-31
Variable
2.59550000
N
N
N
N
N
N
BANCO SANTANDE 2.746% 05/28/25
5493006QMFDDMYWIAM13
BANCO SANTANDER SA REGD 2.74600000
05971KAE9
600000.00000000
NS
USD
632842.66000000
0.048287852930
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.74600000
N
N
N
N
N
N
US TREAS NTS 0.375% 04/30/25
N/A
UNITED STATES TREASURY NOTE 0.37500000
912828ZL7
480000.00000000
NS
USD
476915.63000000
0.036390138114
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.37500000
N
N
N
N
N
N
FNR 2021-61 KI 2.5% 04/25/49
N/A
FANNIE MAE REMICS SER 2021-61 CL KI 2.50000000
3136BGVA6
600000.00000000
NS
USD
76534.22000000
0.005839797777
Long
ABS-CBDO
CORP
US
N
2
2049-04-25
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP02.00 06/03/51 SBNYUS33 FLOAT
N/A
1.00000000
NC
USD
-7732.84000000
-0.00059003961
N/A
DIR
US
N
2
CITIGROUP
N/A
N/A
N/A
Y
2051-06-03
-84909.90000000
USD
85000.00000000
USD
85000.00000000
USD
-7822.94000000
N
N
N
REPUBLIC OF IND 4.35% 01/11/48
N/A
REPUBLIC OF INDONESIA REGD 4.35000000
455780CE4
530000.00000000
NS
USD
616669.05000000
0.047053756447
Long
DBT
USGA
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
WELLS FARGO & 5.606% 01/15/44
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD SER WI 5.60600000
949746RF0
110000.00000000
NS
USD
152502.17000000
0.011636387402
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
5.60600000
N
N
N
N
N
N
UBSCM 2018-C11 B V/R 06/15/28
N/A
UBS COMMERCIAL MORTGAGE TRUST 2018-C11 SER 2018-C11 CL B V/R REGD 4.71290000
90276XAZ8
340000.00000000
NS
USD
384309.38000000
0.029323994721
Long
ABS-CBDO
CORP
US
N
2
2051-06-15
Variable
4.71290000
N
N
N
N
N
N
AGILENT TECHNOLO 2.3% 03/12/31
QUIX8Y7A2WP0XRMW7G29
AGILENT TECHNOLOGIES INC REGD 2.30000000
00846UAN1
190000.00000000
NS
USD
192619.77000000
0.014697484403
Long
DBT
CORP
US
N
2
2031-03-12
Fixed
2.30000000
N
N
N
N
N
N
TRANSOCEAN PON 6.125% 08/01/25
N/A
TRANSOCEAN PONTUS LTD REGD 144A P/P 6.12500000
89382PAA3
85090.00000000
NS
USD
84688.38000000
0.006461985414
Long
DBT
CORP
KY
Y
2
2025-08-01
Fixed
6.12500000
N
N
N
N
N
N
BANK OF AMERICA C V/R 03/15/50
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 4.33000000
06051GHS1
710000.00000000
NS
USD
887931.87000000
0.067751948882
Long
DBT
CORP
US
N
2
2050-03-15
Variable
4.33000000
N
N
N
N
N
N
AERCAP IRELAND 3.15% 02/15/24
N/A
AERCAP IRELAND CAP/GLOBA REGD 3.15000000
00774MAQ8
190000.00000000
NS
USD
198800.08000000
0.015169061178
Long
DBT
CORP
IE
N
2
2024-02-15
Fixed
3.15000000
N
N
N
N
N
N
US TREAS BDS 1.875% 02/15/51
N/A
UNITED STATES TREASURY BOND 1.87500000
912810SU3
5363000.00000000
NS
USD
5291353.64000000
0.403746653826
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.87500000
N
N
N
N
N
N
CMLTI 2006-AR6 2 V/R 09/25/36
N/A
CITIGROUP MORTGAGE LOAN TRUST 2006-AR6 SER 2006-AR6 CL 2A4 V/R REGD 0.52438000
17309RAK8
1651640.36000000
NS
USD
575005.87000000
0.043874726910
Long
ABS-CBDO
CORP
US
N
2
2036-09-25
Variable
0.52438000
N
N
N
N
N
N
COMM 2013-300P B V/R 08/10/23
N/A
COMM 2013-300P MORTGAGE TRUST SER 2013-300P CL B V/R REGD 4.53995000
12625XAG2
190000.00000000
NS
USD
199468.29000000
0.015220047668
Long
ABS-CBDO
CORP
US
Y
2
2030-08-10
Variable
4.53995000
N
N
N
N
N
N
NORTHERN STATES 3.2% 04/01/52
N/A
NORTHERN STATES PWR-MINN REGD 3.20000000
665772CU1
50000.00000000
NS
USD
54826.64000000
0.004183442261
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
3.20000000
N
N
N
N
N
N
UMBS P#FM5309 2.5% 11/01/50
N/A
FANNIE MAE POOL UMBS P#FM5309 2.50000000
3140X83T2
95850.98000000
NS
USD
101256.51000000
0.007726184993
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#AT8394 4% 06/01/43
N/A
FANNIE MAE POOL UMBS P#AT8394 4.00000000
3138WWKG3
62933.29000000
NS
USD
70236.90000000
0.005359292778
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
PEPSICO INC 2.625% 03/19/27
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC REGD 2.62500000
713448ER5
20000.00000000
NS
USD
21562.20000000
0.001645262572
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
2.62500000
N
N
N
N
N
N
UMBS P#CA5379 4.5% 03/01/50
N/A
FANNIE MAE POOL UMBS P#CA5379 4.50000000
3140QC6R2
66855.19000000
NS
USD
74131.30000000
0.005656447547
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.50000000
N
N
N
N
N
N
FNMA P#836852 V/R 10/1/35
N/A
FNMA P#836852 V/R 10/1/35 1.92500000
31407PWM6
17459.01000000
NS
USD
18247.42000000
0.001392334602
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Variable
1.92500000
N
N
N
N
N
N
US TREAS BDS 3% 02/15/48
N/A
UNITED STATES TREASURY BOND 3.00000000
912810SA7
2120000.00000000
NS
USD
2601885.94000000
0.198531947282
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
VIRGIN MEDIA SEC 5.5% 05/15/29
N/A
VIRGIN MEDIA SECURED FIN REGD 144A P/P 5.50000000
92769XAP0
225000.00000000
NS
USD
241312.50000000
0.018412890354
Long
DBT
CORP
GB
Y
2
2029-05-15
Fixed
5.50000000
N
N
N
N
N
N
CGCMT 2016-GC3 3.05% 01/10/26
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37 SER 2016-GC37 CL A3 REGD 3.05000000
17290XAS9
1017215.68000000
NS
USD
1072348.97000000
0.081823544186
Long
ABS-CBDO
CORP
US
N
2
2049-04-10
Fixed
3.05000000
N
N
N
N
N
N
COMCAST CORP 4.25% 10/15/30
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 4.25000000
20030NCU3
200000.00000000
NS
USD
236272.40000000
0.018028315130
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.25000000
N
N
N
N
N
N
REPUBLIC OF PHILIP 3% 02/01/28
N/A
REPUBLIC OF PHILIPPINES REGD 3.00000000
718286CC9
400000.00000000
NS
USD
436177.80000000
0.033281715644
Long
DBT
USGA
PH
N
2
2028-02-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA II P#MA6209 3% 10/20/49
N/A
GINNIE MAE II POOL P#MA6209 3.00000000
36179U3S9
354369.98000000
NS
USD
364501.29000000
0.027812576169
Long
ABS-MBS
USGSE
US
N
2
2049-10-20
Fixed
3.00000000
N
N
N
N
N
N
3Y30Y SWAPTION 2.75 (BACR)
N/A
3Y30Y SWAPTION 2.75 (BACR) 0.00000000
N/A
1270000.00000000
NC
USD
33792.16000000
0.002578446358
N/A
DO
CORP
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Put
Written
3Y30Y SWAPTION 2.75 (BACR)
0
1270000.00000000
USD
2.75000000
USD
2024-01-19
XXXX
33792.16000000
N
N
N
UMBS P#AS4786 3% 04/01/45
N/A
FANNIE MAE POOL UMBS P#AS4786 3.00000000
3138WEJ83
448130.20000000
NS
USD
480526.59000000
0.036665665534
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.00000000
N
N
N
N
N
N
PFSFC 2020-E A 1% 10/15/23
N/A
PFS FINANCING CORP SER 2020-E CL A REGD 144A P/P 1.00000000
69335PDT9
400000.00000000
NS
USD
404224.56000000
0.030843584571
Long
ABS-CBDO
CORP
US
Y
2
2025-10-15
Fixed
1.00000000
N
N
N
N
N
N
T/L DELOS FINANCE 0% 10/06/23
N/A
T/L DELOS FINANCE S A R L REGD 0.00000000
L2324EAE1
750000.00000000
NS
USD
749478.75000000
0.057187547462
Long
LON
CORP
LU
N
2
2023-10-06
Variable
1.89725000
N
N
N
N
N
N
GNMA II P#MA5330 4% 07/20/48
N/A
GINNIE MAE II POOL P#MA5330 4.00000000
36179T4P7
30951.09000000
NS
USD
32872.28000000
0.002508256668
Long
ABS-MBS
USGSE
US
N
2
2048-07-20
Fixed
4.00000000
N
N
N
N
N
N
COCA-COLA CO/T 3.375% 03/25/27
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE REGD 3.37500000
191216CR9
110000.00000000
NS
USD
122793.66000000
0.009369536173
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
3.37500000
N
N
N
N
N
N
QATAR PETROLEUM 2.25% 07/12/31
N/A
QATAR PETROLEUM REGD 144A P/P 2.25000000
74730DAC7
390000.00000000
NS
USD
393824.73000000
0.030050045366
Long
DBT
CORP
QA
Y
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
N
MICROSOFT CORP 3.041% 03/17/62
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP REGD 3.04100000
594918CF9
42000.00000000
NS
USD
45582.18000000
0.003478061362
Long
DBT
CORP
US
N
2
2062-03-17
Fixed
3.04100000
N
N
N
N
N
N
PT PERTAMINA (PE 3.1% 08/27/30
N/A
PT PERTAMINA (PERSERO) REGD 144A P/P MTN 3.10000000
69370PAH4
200000.00000000
NS
USD
209295.92000000
0.015969926243
Long
DBT
CORP
ID
Y
2
2030-08-27
Fixed
3.10000000
N
N
N
N
N
N
ENERGY TRANSFER 6.25% 04/15/49
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD 6.25000000
29279FAA7
10000.00000000
NS
USD
13258.52000000
0.001011666096
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
GNMA P#783295 4.5% 03/15/41
N/A
GINNIE MAE I POOL P#783295 4.50000000
36241LUU8
65645.60000000
NS
USD
74256.39000000
0.005665992301
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Fixed
4.50000000
N
N
N
N
N
N
HONEYWELL INTE 3.812% 11/21/47
ISRPG12PN4EIEOEMW547
HONEYWELL INTERNATIONAL REGD 3.81200000
438516BS4
28000.00000000
NS
USD
34026.81000000
0.002596350879
Long
DBT
CORP
US
N
2
2047-11-21
Fixed
3.81200000
N
N
N
N
N
N
GNMA P#AB9108 3% 10/15/42
N/A
GINNIE MAE I POOL P#AB9108 3.00000000
36178WDM8
60571.06000000
NS
USD
64203.92000000
0.004898957738
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
UNITEDHEALTH G 3.875% 12/15/28
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 3.87500000
91324PDP4
50000.00000000
NS
USD
57765.77000000
0.004407706974
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
HOME DEPOT INC 3.35% 04/15/50
QEKMOTMBBKA8I816DO57
HOME DEPOT INC REGD 3.35000000
437076CD2
210000.00000000
NS
USD
234059.07000000
0.017859431204
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.35000000
N
N
N
N
N
N
JPMMT 2018-5 A1 V/R 10/25/40
N/A
JP MORGAN MORTGAGE TRUST 2018-5 SER 2018-5 CL A1 V/R REGD 144A P/P 3.50000000
46649KAA3
272966.97000000
NS
USD
275624.58000000
0.021031008218
Long
ABS-CBDO
CORP
US
Y
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
AT&T INC 4.25% 03/01/27
549300Z40J86GGSTL398
AT&T INC REGD 4.25000000
00206RDQ2
20000.00000000
NS
USD
22803.07000000
0.001739944792
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.25000000
N
N
N
N
N
N
CITIGROUP INC V/R 05/01/32
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD V/R 2.56100000
172967MY4
520000.00000000
NS
USD
535282.79000000
0.040843733006
Long
DBT
CORP
US
N
2
2032-05-01
Variable
2.56100000
N
N
N
N
N
N
UMBS P#MA3630 5% 04/01/49
N/A
FANNIE MAE POOL UMBS P#MA3630 5.00000000
31418DA85
78122.18000000
NS
USD
85994.30000000
0.006561631150
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
5.00000000
N
N
N
N
N
N
HUMANA INC 3.95% 08/15/49
529900YLDW34GJAO4J06
HUMANA INC REGD 3.95000000
444859BL5
35000.00000000
NS
USD
41101.92000000
0.003136203662
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.95000000
N
N
N
N
N
N
FHR 4203 PS V/R 09/15/42
N/A
FREDDIE MAC REMICS SER 4203 CL PS V/R 6.15450000
3137B2DY3
184524.00000000
NS
USD
24964.86000000
0.001904896057
Long
ABS-CBDO
CORP
US
N
2
2042-09-15
Variable
6.15450000
N
N
N
N
N
N
DELTA AIR LINES 2.9% 10/28/24
Q2CCMS6R0AS67HJMBN42
DELTA AIR LINES INC REGD 2.90000000
247361ZU5
200000.00000000
NS
USD
203897.14000000
0.015557982626
Long
DBT
CORP
US
N
2
2024-10-28
Fixed
2.90000000
N
N
N
N
N
N
CCO HLDGS LLC/ 5.125% 05/01/27
N/A
CCO HLDGS LLC/CAP CORP REGD 144A P/P 5.12500000
1248EPBT9
130000.00000000
NS
USD
136070.35000000
0.010382588697
Long
DBT
CORP
US
Y
2
2027-05-01
Fixed
5.12500000
N
N
N
N
N
N
GNMA P#675065 6.5% 01/15/38
N/A
GINNIE MAE I POOL P#675065 6.50000000
36295M6A2
25719.94000000
NS
USD
30743.87000000
0.002345852400
Long
ABS-MBS
USGSE
US
N
2
2038-01-15
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#FM1238 4% 03/01/49
N/A
FANNIE MAE POOL UMBS P#FM1238 4.00000000
3140X4LU8
748596.74900000
NS
USD
801080.77000000
0.061124941241
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
WILLIAMS COMPANI 7.5% 01/15/31
D71FAKCBLFS2O0RBPG08
WILLIAMS COMPANIES INC REGD SER A 7.50000000
969457BB5
50000.00000000
NS
USD
69951.42000000
0.005337509771
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
7.50000000
N
N
N
N
N
N
AMGEN INC 4.4% 05/01/45
62QBXGPJ34PQ72Z12S66
AMGEN INC REGD 4.40000000
031162BZ2
156000.00000000
NS
USD
191173.67000000
0.014587142499
Long
DBT
CORP
US
N
2
2045-05-01
Fixed
4.40000000
N
N
N
N
N
N
FISERV INC 3.5% 07/01/29
GI7UBEJLXYLGR2C7GV83
FISERV INC REGD 3.50000000
337738AU2
774000.00000000
NS
USD
851316.27000000
0.064958065316
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
HVMLT 2006-2 1A V/R 02/25/36
N/A
HARBORVIEW MORTGAGE LOAN TRUST 2006-2 SER 2006-2 CL 1A V/R REGD 2.62248600
41161PJ38
36705.22000000
NS
USD
16216.29000000
0.001237353099
Long
ABS-CBDO
CORP
US
N
2
2036-02-25
Variable
2.62248600
N
N
N
N
N
N
TEVA PHARMACEUT 2.95% 12/18/22
N/A
TEVA PHARMACEUT FIN BV REGD 2.95000000
88165FAG7
50000.00000000
NS
USD
50437.50000000
0.003848537300
Long
DBT
CORP
CW
N
2
2022-12-18
Fixed
2.95000000
N
N
N
N
N
N
UMBS P#AS3253 4% 09/01/44
N/A
FANNIE MAE POOL UMBS P#AS3253 4.00000000
3138WCTK9
14709.04000000
NS
USD
16114.54000000
0.001229589259
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
4.00000000
N
N
N
N
N
N
US TREAS NTS 0.625% 12/31/27
N/A
UNITED STATES TREASURY NOTE 0.62500000
91282CBB6
120000.00000000
NS
USD
117360.94000000
0.008955002828
Long
DBT
UST
US
N
2
2027-12-31
Fixed
0.62500000
N
N
N
N
N
N
ROYAL BANK OF CA 1.6% 04/17/23
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA REGD MTN SER GMTN 1.60000000
78015K7G3
260000.00000000
NS
USD
265676.28000000
0.020271922148
Long
DBT
CORP
CA
N
2
2023-04-17
Fixed
1.60000000
N
N
N
N
N
N
DANSKE BANK A/ 3.875% 09/12/23
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S REGD 144A P/P 3.87500000
23636AAP6
200000.00000000
NS
USD
212262.57000000
0.016196290817
Long
DBT
CORP
DK
Y
2
2023-09-12
Fixed
3.87500000
N
N
N
N
N
N
FGLMC P#G08779 3.5% 09/01/47
N/A
FREDDIE MAC GOLD POOL P#G08779 3.50000000
3128MJ2M1
205012.92000000
NS
USD
216840.20000000
0.016545578149
Long
ABS-MBS
USGA
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
L3HARRIS TECH IN 4.4% 06/15/28
549300UTE50ZMDBG8A20
L3HARRIS TECH INC REGD 4.40000000
413875AW5
773000.00000000
NS
USD
893607.10000000
0.068184986490
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.40000000
N
N
N
N
N
N
UMBS P#BD6102 3% 10/01/46
N/A
FANNIE MAE POOL UMBS P#BD6102 3.00000000
3140FDX84
31392.41000000
NS
USD
33325.79000000
0.002542860884
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#745148 5% 01/01/36
N/A
FANNIE MAE POOL UMBS P#745148 5.00000000
31403CZM6
126743.62000000
NS
USD
144623.63000000
0.011035230424
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
5.00000000
N
N
N
N
N
N
UNITED PARCEL SE 2.5% 09/01/29
D01LMJZU09ULLNCY6Z23
UNITED PARCEL SERVICE REGD 2.50000000
911312BU9
41000.00000000
NS
USD
43772.89000000
0.003340006937
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
2.50000000
N
N
N
N
N
N
T/L ASURION LLC 0% 12/18/2026
N/A
T/L ASURION LLC REGD 0.00000000
N/A
385217.88000000
NS
USD
378235.81000000
0.028860562539
Long
LON
CORP
US
N
2
2026-12-18
Variable
3.33463000
N
N
N
N
N
N
REPUBLIC OF PA 3.875% 03/17/28
N/A
REPUBLIC OF PANAMA REGD 3.87500000
698299BF0
210000.00000000
NS
USD
232544.55000000
0.017743868642
Long
DBT
USGA
PA
N
2
2028-03-17
Fixed
3.87500000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 04/23/29
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 3.81400000
38141GWV2
620000.00000000
NS
USD
695201.58000000
0.053046031461
Long
DBT
CORP
US
N
2
2029-04-23
Variable
3.81400000
N
N
N
N
N
N
WELLS FARGO & COM V/R 10/30/30
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD V/R MTN 2.87900000
95000U2G7
1076000.00000000
NS
USD
1145169.77000000
0.087379996529
Long
DBT
CORP
US
N
2
2030-10-30
Variable
2.87900000
N
N
N
N
N
N
FNR 2012-46 BA 6.00% 05/25/42_
N/A
FANNIE MAE REMICS SER 2012-46_ CL BA 6.00000000
3136A5J49
73256.02000000
NS
USD
86100.36000000
0.006569723856
Long
ABS-CBDO
CORP
US
N
2
2042-05-25
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#FM3278 3.5% 11/01/48
N/A
FANNIE MAE POOL UMBS P#FM3278 3.50000000
3140X6UC3
116061.81000000
NS
USD
123262.56000000
0.009405314694
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
BALTA 2005-4 23A V/R 05/25/35
N/A
BEAR STEARNS ALT-A TRUST 2005-4 SER 2005-4 CL 23A2 V/R REGD 2.62981200
07386HSZ5
59565.65000000
NS
USD
60031.89000000
0.004580618941
Long
ABS-CBDO
CORP
US
N
2
2035-05-25
Variable
2.62981200
N
N
N
N
N
N
CVS HEALTH CORP 3.75% 04/01/30
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 3.75000000
126650DJ6
620000.00000000
NS
USD
699147.32000000
0.053347103631
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
REPUBLIC OF PAN 3.16% 01/23/30
N/A
REPUBLIC OF PANAMA REGD 3.16000000
698299BK9
700000.00000000
NS
USD
742658.00000000
0.056667103134
Long
DBT
USGA
PA
N
2
2030-01-23
Fixed
3.16000000
N
N
N
N
N
N
AUTODESK INC 2.85% 01/15/30
FRKKVKAIQEF3FCSTPG55
AUTODESK INC REGD 2.85000000
052769AG1
190000.00000000
NS
USD
202241.34000000
0.015431639963
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
2.85000000
N
N
N
N
N
N
FGLMC P#Q19615 4% 07/01/43
N/A
FREDDIE MAC GOLD POOL P#Q19615 4.00000000
3132JBDV2
60346.08000000
NS
USD
67367.45000000
0.005140344865
Long
ABS-MBS
USGA
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#MA4152 2% 10/01/40
N/A
FANNIE MAE POOL UMBS P#MA4152 2.00000000
31418DTJ1
1366910.24000000
NS
USD
1401841.08000000
0.106964811606
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
2.00000000
N
N
N
N
N
N
CHARTER COMM O 5.375% 04/01/38
N/A
CHARTER COMM OPT LLC/CAP REGD 5.37500000
161175BM5
50000.00000000
NS
USD
61921.88000000
0.004724831026
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.37500000
N
N
N
N
N
N
GNR 2019-119 JE 3% 09/20/49
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-119 CL JE 3.00000000
38381YZE7
195254.44000000
NS
USD
202125.72000000
0.015422817799
Long
ABS-CBDO
CORP
US
N
2
2049-09-20
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#MA1527 3% 08/01/33
N/A
FANNIE MAE POOL UMBS P#MA1527 3.00000000
31418AVV7
682911.19000000
NS
USD
728925.90000000
0.055619301417
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
3.00000000
N
N
N
N
N
N
PENSKE TRUCK LEA 1.7% 06/15/26
N/A
PENSKE TRUCK LEASING/PTL REGD 144A P/P 1.70000000
709599BM5
51000.00000000
NS
USD
51588.57000000
0.003936367502
Long
DBT
CORP
US
Y
2
2026-06-15
Fixed
1.70000000
N
N
N
N
N
N
FGLMC P#G67710 3.5% 03/01/48
N/A
FREDDIE MAC GOLD POOL P#G67710 3.50000000
3132XCR72
1022622.24000000
NS
USD
1101568.82000000
0.084053109146
Long
ABS-MBS
USGA
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
T/L FIRST EAGLE 0% 02/01/27
N/A
T/L FIRST EAGLE HOLDINGS INC FKA ARNHOLD AND S BLEICHROEDER HOLDINGS INC REGD 0.00000000
N/A
56977.35000000
NS
USD
56187.93000000
0.004287312900
Long
LON
CORP
US
N
2
2027-02-01
Variable
2.64725000
N
N
N
N
N
N
AEP TEXAS INC 3.45% 01/15/50
N/A
AEP TEXAS INC REGD SER H 3.45000000
00108WAK6
82000.00000000
NS
USD
87292.97000000
0.006660723689
Long
DBT
CORP
US
N
2
2050-01-15
Fixed
3.45000000
N
N
N
N
N
N
FORD MOTOR CREDIT V/R 10/12/21
N/A
FORD MOTOR CREDIT CO LLC REGD V/R SER FRN 0.99900000
345397ZG1
440000.00000000
NS
USD
440015.80000000
0.033574566919
Long
DBT
CORP
US
N
2
2021-10-12
Variable
0.99900000
N
N
N
N
N
N
RAYTHEON TECH C 3.75% 11/01/46
I07WOS4YJ0N7YRFE7309
RAYTHEON TECH CORP REGD 3.75000000
913017CJ6
387000.00000000
NS
USD
440494.89000000
0.033611122968
Long
DBT
CORP
US
N
2
2046-11-01
Fixed
3.75000000
N
N
N
N
N
N
GNMA II P#MA5466 4% 09/20/48
N/A
GINNIE MAE II POOL P#MA5466 4.00000000
36179UCB6
352882.57000000
NS
USD
375274.38000000
0.028634596267
Long
ABS-MBS
USGSE
US
N
2
2048-09-20
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#MA3597 3.5% 04/20/46
N/A
GINNIE MAE II POOL P#MA3597 3.50000000
36179R7J2
1352972.98000000
NS
USD
1438039.82000000
0.109726887464
Long
ABS-MBS
USGSE
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
MAGELLAN MIDSTRE 4.2% 10/03/47
MZF5TI8NFVZZNUSKDL39
MAGELLAN MIDSTREAM PARTN REGD 4.20000000
559080AM8
35000.00000000
NS
USD
39324.32000000
0.003000567282
Long
DBT
CORP
US
N
2
2047-10-03
Fixed
4.20000000
N
N
N
N
N
N
SWEDBANK AB 1.3% 06/02/23
M312WZV08Y7LYUC71685
SWEDBANK AB REGD P/P 1.30000000
87020PAK3
200000.00000000
NS
USD
203212.00000000
0.015505704324
Long
DBT
CORP
SE
Y
2
2023-06-02
Fixed
1.30000000
N
N
N
N
N
N
CCMFC 2004-2A B1 V/R 05/25/35
N/A
CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SER 2004-2A CL B1 V/R REGD 0.63447900
16678RBE6
1251476.53000000
NS
USD
1143996.72000000
0.087290489185
Long
ABS-CBDO
CORP
US
Y
2
2035-05-25
Variable
0.63447900
N
N
N
N
N
N
T/L AECOM TECH 0% 04/13/2028
N/A
T/L AECOM TECHNOLOGY CORPORATION REGD 0.00000000
00766WAV5
40000.00000000
NS
USD
40020.00000000
0.003053649819
Long
LON
CORP
US
N
2
2028-04-13
Variable
1.83463000
N
N
N
N
N
N
FGLMC P#A97944 5% 04/01/41
N/A
FREDDIE MAC GOLD POOL P#A97944 5.00000000
312946ZH2
5398.56000000
NS
USD
5919.14000000
0.000451648695
Long
ABS-MBS
USGA
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
BOEING CO 1.433% 02/04/24
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 1.43300000
097023DE2
530000.00000000
NS
USD
531266.84000000
0.040537303596
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.43300000
N
N
N
N
N
N
WELLS FARGO & COM V/R 05/22/28
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD V/R MTN 3.58400000
95000U2A0
3259000.00000000
NS
USD
3618854.02000000
0.276129758218
Long
DBT
CORP
US
N
2
2028-05-22
Variable
3.58400000
N
N
N
N
N
N
GENERAL MOTORS 6.25% 10/02/43
54930070NSV60J38I987
GENERAL MOTORS CO REGD SER WI 6.25000000
37045VAF7
250000.00000000
NS
USD
341967.92000000
0.026093210321
Long
DBT
CORP
US
N
2
2043-10-02
Fixed
6.25000000
N
N
N
N
N
N
AMAZON.COM INC 3.875% 08/22/37
ZXTILKJKG63JELOEG630
AMAZON.COM INC REGD 3.87500000
023135BF2
80000.00000000
NS
USD
95524.61000000
0.007288823289
Long
DBT
CORP
US
N
2
2037-08-22
Fixed
3.87500000
N
N
N
N
N
N
GNMA II P#BS8546 2.5% 12/20/50
N/A
GINNIE MAE II POOL P#BS8546 2.50000000
3617MKP78
97326.02000000
NS
USD
102445.78000000
0.007816929974
Long
ABS-MBS
USGSE
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
REPUBLIC OF PE 4.125% 08/25/27
N/A
REPUBLIC OF PERU REGD 4.12500000
715638BU5
625000.00000000
NS
USD
705356.25000000
0.053820864200
Long
DBT
USGA
PE
N
2
2027-08-25
Fixed
4.12500000
N
N
N
N
N
N
GNMA II P#MA6544 4.5% 03/20/50
N/A
GINNIE MAE II POOL P#MA6544 4.50000000
36179VHV5
77624.55000000
NS
USD
82570.75000000
0.006300403693
Long
ABS-MBS
USGSE
US
N
2
2050-03-20
Fixed
4.50000000
N
N
N
N
N
N
ABU DHABI GOVT 3.875% 04/16/50
N/A
ABU DHABI GOVT INT'L REGD 144A P/P MTN 3.87500000
29135LAJ9
790000.00000000
NS
USD
925162.68000000
0.070592774875
Long
DBT
USGA
AE
Y
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
BROADCOM CRP / 3.875% 01/15/27
N/A
BROADCOM CRP / CAYMN FI REGD SER WI 3.87500000
11134LAH2
245000.00000000
NS
USD
270540.25000000
0.020643058108
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.87500000
N
N
N
N
N
N
GNR 2020-H13 FC V/R 07/20/70
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-H13 CL FC V/R 0.53838000
38380QGU0
78507.62000000
NS
USD
79044.86000000
0.006031367377
Long
ABS-CBDO
CORP
US
N
2
2070-07-20
Variable
0.53838000
N
N
N
N
N
N
PFSFC 2021-A A 0.71% 04/15/24
N/A
PFS FINANCING CORP SER 2021-A CL A REGD 144A P/P 0.71000000
69335PDZ5
190000.00000000
NS
USD
190398.66000000
0.014528006838
Long
ABS-CBDO
CORP
US
Y
2
2026-04-15
Fixed
0.71000000
N
N
N
N
N
N
UMBS P#FM1241 3.5% 08/01/49
N/A
FANNIE MAE POOL UMBS P#FM1241 3.50000000
3140X4LX2
43975.02000000
NS
USD
47150.57000000
0.003597734371
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
GLOBAL PAYMENTS 3.2% 08/15/29
549300NOMHGVQBX6S778
GLOBAL PAYMENTS INC REGD 3.20000000
37940XAB8
387000.00000000
NS
USD
415572.07000000
0.031709434693
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.20000000
N
N
N
N
N
N
UNITEDHEALTH GRO 3.7% 08/15/49
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 3.70000000
91324PDU3
100000.00000000
NS
USD
116431.53000000
0.008884085970
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.70000000
N
N
N
N
N
N
UMBS P#MA2110 3.5% 12/01/34
N/A
FANNIE MAE POOL UMBS P#MA2110 3.50000000
31418BKY1
21230.82000000
NS
USD
22980.18000000
0.001753458833
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
MCDONALD'S CORP 4.2% 04/01/50
UE2136O97NLB5BYP9H04
MCDONALD'S CORP REGD MTN 4.20000000
58013MFR0
400000.00000000
NS
USD
491189.36000000
0.037479267875
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
ELECTRONIC ARTS 1.85% 02/15/31
549300O7A67PUEYKDL45
ELECTRONIC ARTS INC REGD 1.85000000
285512AE9
476000.00000000
NS
USD
467768.11000000
0.035692154036
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.85000000
N
N
N
N
N
N
UMBS P#AD9638 4.5% 09/01/40
N/A
FANNIE MAE POOL UMBS P#AD9638 4.50000000
31418XV88
158871.36000000
NS
USD
176549.84000000
0.013471299025
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
HALLIBURTON CO 5% 11/15/45
ENYF8GB5SMQZ25S06U51
HALLIBURTON CO REGD 5.00000000
406216BK6
50000.00000000
NS
USD
60118.46000000
0.004587224500
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
5.00000000
N
N
N
N
N
N
COMCAST CABLE 9.455% 11/15/22
N/A
COMCAST CABLE COMMUNICAT REGD 9.45500000
00209TAB1
160000.00000000
NS
USD
177716.57000000
0.013560324134
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
9.45500000
N
N
N
N
N
N
AT&T INC 4.35% 06/15/45
549300Z40J86GGSTL398
AT&T INC REGD SER WI 4.35000000
00206RBK7
73000.00000000
NS
USD
84625.41000000
0.006457180608
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.35000000
N
N
N
N
N
N
PECO ENERGY CO 3.05% 03/15/51
N/A
PECO ENERGY CO REGD 3.05000000
693304BA4
148000.00000000
NS
USD
156844.86000000
0.011967748085
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.05000000
N
N
N
N
N
N
MIZUHO FINANCIAL V/R 07/16/25
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP REGD V/R 2.83900000
60687YAW9
738000.00000000
NS
USD
778783.46000000
0.059423587501
Long
DBT
CORP
JP
N
2
2025-07-16
Variable
2.83900000
N
N
N
N
N
N
UMBS P#AL4324 6.5% 05/01/40
N/A
FANNIE MAE POOL UMBS P#AL4324 6.50000000
3138ELYW7
108976.09000000
NS
USD
128357.46000000
0.009794071327
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
6.50000000
N
N
N
N
N
N
US TIPS 0.75% 02/15/45
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000
912810RL4
11537.90000000
NS
USD
14589.01000000
0.001113186600
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
HEALTHCARE REA 3.625% 01/15/28
549300CB86LH2IOKHH22
HEALTHCARE REALTY TRUST REGD 3.62500000
421946AK0
485000.00000000
NS
USD
536022.47000000
0.040900172878
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.62500000
N
N
N
N
N
N
GNMA II P#MA6477 4.5% 02/20/50
N/A
GINNIE MAE II POOL P#MA6477 4.50000000
36179VFS4
111312.74000000
NS
USD
118715.19000000
0.009058336293
Long
ABS-MBS
USGSE
US
N
2
2050-02-20
Fixed
4.50000000
N
N
N
N
N
N
DIAMONDBACK ENE 3.25% 12/01/26
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC REGD 3.25000000
25278XAM1
81000.00000000
NS
USD
86842.95000000
0.006626385771
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
RYDER SYSTEM INC 2.5% 09/01/24
ZXJ6Y2OSPZXIVGRILD15
RYDER SYSTEM INC REGD MTN 2.50000000
78355HKN8
69000.00000000
NS
USD
72354.06000000
0.005520838636
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
2.50000000
N
N
N
N
N
N
GENERAL MOTORS F 4.2% 11/06/21
N/A
GENERAL MOTORS FINL CO REGD 4.20000000
37045XCP9
642000.00000000
NS
USD
646510.14000000
0.049330723941
Long
DBT
CORP
US
N
2
2021-11-06
Fixed
4.20000000
N
N
N
N
N
N
SPRINT SPECTRU 4.738% 03/20/25
N/A
SPRINT SPECTRUM / SPEC I REGD 144A P/P 4.73800000
85208NAD2
1317187.50000000
NS
USD
1408995.47000000
0.107510713698
Long
DBT
CORP
US
Y
2
2025-03-20
Fixed
4.73800000
N
N
N
N
N
N
SLMA 2003-4 A5E V/R 03/15/33
N/A
SLM STUDENT LOAN TRUST 2003-4 SER 2003-4 CL A5E V/R 0.86888000
78442GGN0
155872.34000000
NS
USD
148319.39000000
0.011317228347
Long
ABS-CBDO
CORP
US
Y
2
2033-03-15
Variable
0.86888000
N
N
N
N
N
N
TIME WARNER CABL 7.3% 07/01/38
N/A
TIME WARNER CABLE LLC REGD 7.30000000
88732JAN8
230000.00000000
NS
USD
335271.00000000
0.025582214606
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.30000000
N
N
N
N
N
N
T/L PRIME SECU 0% 9/23/2026
N/A
T/L PRIME SECURITY SERVICES BORROWER LLC REGD 0.00000000
N/A
403938.91000000
NS
USD
403716.74000000
0.030804836334
Long
LON
CORP
US
N
2
2026-09-23
Variable
3.50000000
N
N
N
N
N
N
PENSKE TRUCK LE 3.95% 03/10/25
N/A
PENSKE TRUCK LEASING/PTL REGD 144A P/P 3.95000000
709599AZ7
97000.00000000
NS
USD
105995.94000000
0.008087818166
Long
DBT
CORP
US
Y
2
2025-03-10
Fixed
3.95000000
N
N
N
N
N
N
KAISER FOUNDATI 3.15% 05/01/27
N/A
KAISER FOUNDATION HOSPIT REGD 3.15000000
48305QAC7
500000.00000000
NS
USD
549330.54000000
0.041915619793
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.15000000
N
N
N
N
N
N
REPUBLIC OF CO 3.125% 04/15/31
N/A
REPUBLIC OF COLOMBIA REGD 3.12500000
195325DS1
315000.00000000
NS
USD
308372.40000000
0.023529768203
Long
DBT
USGA
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
AT&T INC 4.3% 02/15/30
549300Z40J86GGSTL398
AT&T INC REGD SER * 4.30000000
00206RGQ9
439000.00000000
NS
USD
510083.30000000
0.038920933953
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.30000000
N
N
N
N
N
N
JPMMT 2018-3 A1 V/R 09/25/40
N/A
JP MORGAN MORTGAGE TRUST 2018-3 SER 2018-3 CL A1 V/R REGD 144A P/P 3.50000000
46649TAA4
290471.62000000
NS
USD
292069.33000000
0.022285793521
Long
ABS-CBDO
CORP
US
Y
2
2048-09-25
Variable
3.50000000
N
N
N
N
N
N
UMBS P#AA4298 4.5% 03/01/29
N/A
FANNIE MAE POOL UMBS P#AA4298 4.50000000
31416MX41
43876.09000000
NS
USD
47453.67000000
0.003620861839
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA II P#MA6339 3.5% 12/20/49
N/A
GINNIE MAE II POOL P#MA6339 3.50000000
36179VBG4
716380.96000000
NS
USD
752925.52000000
0.057450546677
Long
ABS-MBS
USGSE
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#MA5397 3.5% 08/20/48
N/A
GINNIE MAE II POOL P#MA5397 3.50000000
36179T7J8
79915.64000000
NS
USD
84466.26000000
0.006445036970
Long
ABS-MBS
USGSE
US
N
2
2048-08-20
Fixed
3.50000000
N
N
N
N
N
N
BARRICK GOLD CO 5.25% 04/01/42
0O4KBQCJZX82UKGCBV73
BARRICK GOLD CORP REGD 5.25000000
067901AH1
40000.00000000
NS
USD
52847.02000000
0.004032391131
Long
DBT
CORP
CA
N
2
2042-04-01
Fixed
5.25000000
N
N
N
N
N
N
LENNAR CORP 4.75% 11/29/27
529900G61XVRLX5TJX09
LENNAR CORP REGD SER WI 4.75000000
526057CD4
130000.00000000
NS
USD
151459.10000000
0.011556797934
Long
DBT
CORP
US
N
2
2027-11-29
Fixed
4.75000000
N
N
N
N
N
N
STACR 2016-DNA1 V/R 07/25/28
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES SER 2016-DNA1 CL M3 V/R REGD 5.63438000
3137G0HW2
322579.71000000
NS
USD
337642.38000000
0.025763158236
Long
ABS-CBDO
CORP
US
N
2
2028-07-25
Variable
5.63438000
N
N
N
N
N
N
FNR 2018-57 QA 3.5% 05/25/46
N/A
FANNIE MAE REMICS SER 2018-57 CL QA 3.50000000
3136B2ZR6
228675.48000000
NS
USD
235584.59000000
0.017975833099
Long
ABS-CBDO
CORP
US
N
2
2046-05-25
Fixed
3.50000000
N
N
N
N
N
N
WELLS FARGO & COMPA V/R /PERP/
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD V/R /PERP/ SER U 5.87500000
949746RN3
50000.00000000
NS
USD
56430.00000000
0.004305783590
Long
DBT
CORP
US
N
2
2170-06-15
Variable
5.87500000
N
N
N
N
N
N
DANSKE BANK A/ 1.226% 06/22/24
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S REGD 144A P/P 1.22600000
23636AAW1
944000.00000000
NS
USD
954138.57000000
0.072803724931
Long
DBT
CORP
DK
Y
2
2024-06-22
Fixed
1.22600000
N
N
N
N
N
N
NISSAN MOTOR C 3.043% 09/15/23
353800DRBDH1LUTNAY26
NISSAN MOTOR CO REGD 144A P/P 3.04300000
654744AA9
250000.00000000
NS
USD
260561.57000000
0.019881653951
Long
DBT
CORP
JP
Y
2
2023-09-15
Fixed
3.04300000
N
N
N
N
N
N
DANSKE BANK A/S V/R 09/20/22
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S REGD V/R 3.00100000
23636AAU5
430000.00000000
NS
USD
430519.53000000
0.032849972137
Long
DBT
CORP
DK
Y
2
2022-09-20
Variable
3.00100000
N
N
N
N
N
N
BERRY GLOBAL I 4.875% 07/15/26
N/A
BERRY GLOBAL INC REGD 144A P/P 4.87500000
085770AA3
510000.00000000
NS
USD
538458.00000000
0.041086011353
Long
DBT
CORP
US
Y
2
2026-07-15
Fixed
4.87500000
N
N
N
N
N
N
FGLMC P#G08732 3% 11/01/46
N/A
FREDDIE MAC GOLD POOL P#G08732 3.00000000
3128MJY61
488074.48000000
NS
USD
518418.64000000
0.039556946184
Long
ABS-MBS
USGA
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
WELLS FARGO & COM V/R 04/04/51
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD V/R MTN 5.01300000
95000U2M4
1990000.00000000
NS
USD
2757797.24000000
0.210428461852
Long
DBT
CORP
US
N
2
2051-04-04
Variable
5.01300000
N
N
N
N
N
N
AMER AIRLN 15-2 3.6% 09/22/27
N/A
AMER AIRLN 15-2 AA PTT REGD 3.60000000
02377BAB2
38921.47000000
NS
USD
40539.09000000
0.003093257992
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
BOEING CO 2.196% 02/04/26
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 2.19600000
097023DG7
210000.00000000
NS
USD
210902.40000000
0.016092505637
Long
DBT
CORP
US
N
2
2026-02-04
Fixed
2.19600000
N
N
N
N
N
N
BP CAP MARKETS 3.216% 11/28/23
N/A
BP CAP MARKETS AMERICA REGD SER * 3.21600000
10373QAW0
230000.00000000
NS
USD
243097.99000000
0.018549128765
Long
DBT
CORP
US
N
2
2023-11-28
Fixed
3.21600000
N
N
N
N
N
N
MCDONALD'S CORP 3.3% 07/01/25
UE2136O97NLB5BYP9H04
MCDONALD'S CORP REGD MTN 3.30000000
58013MFN9
40000.00000000
NS
USD
43392.44000000
0.003310977425
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.30000000
N
N
N
N
N
N
FGLMC P#G05519 6% 06/01/39
N/A
FREDDIE MAC GOLD POOL P#G05519 6.00000000
3128M7PC4
7659.47000000
NS
USD
9103.43000000
0.000694619874
Long
ABS-MBS
USGA
US
N
2
2039-06-01
Fixed
6.00000000
N
N
N
N
N
N
CHEVRON USA INC 5.05% 11/15/44
N/A
CHEVRON USA INC REGD 5.05000000
166756AV8
81000.00000000
NS
USD
109693.85000000
0.008369980140
Long
DBT
CORP
US
N
2
2044-11-15
Fixed
5.05000000
N
N
N
N
N
N
UMBS P#ZN1436 5% 11/01/48
N/A
FREDDIE MAC POOL UMBS P#ZN1436 5.00000000
3131Y7SZ1
58536.58000000
NS
USD
64433.76000000
0.004916495241
Long
ABS-MBS
USGA
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
UBS GROUP AG V/R /PERP/
549300SZJ9VS8SGXAN81
UBS GROUP AG REGD V/R /PERP/ 144A P/P 7.00000000
90352JAF0
1070000.00000000
NS
USD
1173773.95000000
0.089562583963
Long
DBT
CORP
CH
Y
2
2170-07-31
Variable
7.00000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 04/22/26
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 2.08300000
46647PBK1
280000.00000000
NS
USD
289279.96000000
0.022072955960
Long
DBT
CORP
US
N
2
2026-04-22
Variable
2.08300000
N
N
N
N
N
N
VISA INC 2.05% 04/15/30
549300JZ4OKEHW3DPJ59
VISA INC REGD 2.05000000
92826CAM4
110000.00000000
NS
USD
113697.18000000
0.008675446605
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.05000000
N
N
N
N
N
N
SEAGATE HDD CA 4.091% 06/01/29
N/A
SEAGATE HDD CAYMAN REGD P/P 4.09100000
81180WAZ4
71000.00000000
NS
USD
75180.84000000
0.005736530696
Long
DBT
CORP
KY
Y
2
2029-06-01
Fixed
4.09100000
N
N
N
N
N
N
UMBS P#BT3270 2.5% 08/01/51
N/A
FANNIE MAE POOL UMBS P#BT3270 2.50000000
3140LRT40
99771.24000000
NS
USD
105245.95000000
0.008030591608
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
AT&T INC ZCP 11/27/22
549300Z40J86GGSTL398
AT&T INC REGD ZCP P/P 0.00000000
00206RAE2
1000000.00000000
NS
USD
994173.04000000
0.075858478856
Long
DBT
CORP
US
Y
2
2022-11-27
Fixed
0.00000000
N
N
N
N
N
N
US TREAS BDS 3.625% 02/15/44
N/A
UNITED STATES TREASURY BOND 3.62500000
912810RE0
1095000.00000000
NS
USD
1450361.72000000
0.110667086558
Long
DBT
UST
US
N
2
2044-02-15
Fixed
3.62500000
N
N
N
N
N
N
HCRX INVESTMENTS 4.5% 08/01/29
N/A
HCRX INVESTMENTS HOLDCO REGD 144A P/P 4.50000000
40390FAA8
215000.00000000
NS
USD
218082.56000000
0.016640374060
Long
DBT
CORP
US
Y
2
2029-08-01
Fixed
4.50000000
N
N
N
N
N
N
VMED O2 UK FINA 4.25% 01/31/31
N/A
VMED O2 UK FINAN REGD 144A P/P 4.25000000
92858RAA8
450000.00000000
NS
USD
452830.50000000
0.034552368177
Long
DBT
CORP
GB
Y
2
2031-01-31
Fixed
4.25000000
N
N
N
N
N
N
DISH DBS CORP 7.75% 07/01/26
N/A
DISH DBS CORP REGD SER WI 7.75000000
25470XAY1
140000.00000000
NS
USD
160538.00000000
0.012249546093
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
VISA INC 3.15% 12/14/25
549300JZ4OKEHW3DPJ59
VISA INC REGD 3.15000000
92826CAD4
420000.00000000
NS
USD
458678.45000000
0.034998584855
Long
DBT
CORP
US
N
2
2025-12-14
Fixed
3.15000000
N
N
N
N
N
N
FGLMC P#V80024 3% 04/01/43
N/A
FREDDIE MAC GOLD POOL P#V80024 3.00000000
3132L5AZ6
338662.85000000
NS
USD
362599.87000000
0.027667491940
Long
ABS-MBS
USGA
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
INTERNATIONAL PA 4.8% 06/15/44
824LMFJDH41EY779Q875
INTERNATIONAL PAPER CO REGD 4.80000000
460146CK7
70000.00000000
NS
USD
90306.69000000
0.006890679849
Long
DBT
CORP
US
N
2
2044-06-15
Fixed
4.80000000
N
N
N
N
N
N
DELTA AIR LINE 3.625% 03/15/22
Q2CCMS6R0AS67HJMBN42
DELTA AIR LINES INC REGD 3.62500000
247361ZJ0
120000.00000000
NS
USD
121271.88000000
0.009253419651
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.62500000
N
N
N
N
N
N
HUMANA INC 3.15% 12/01/22
529900YLDW34GJAO4J06
HUMANA INC REGD 3.15000000
444859BA9
280000.00000000
NS
USD
287796.91000000
0.021959794657
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
3.15000000
N
N
N
N
N
N
AEP TEXAS INC 3.45% 05/15/51
N/A
AEP TEXAS INC REGD 3.45000000
00108WAN0
191000.00000000
NS
USD
202524.83000000
0.015453271127
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
3.45000000
N
N
N
N
N
N
NRG ENERGY INC 4.45% 06/15/29
5E2UPK5SW04M13XY7I38
NRG ENERGY INC REGD 144A P/P 4.45000000
629377CL4
122000.00000000
NS
USD
136783.80000000
0.010437027139
Long
DBT
CORP
US
Y
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
N
GNMA II P#MA5528 4% 10/20/48
N/A
GINNIE MAE II POOL P#MA5528 4.00000000
36179UD90
115406.55000000
NS
USD
122588.07000000
0.009353849020
Long
ABS-MBS
USGSE
US
N
2
2048-10-20
Fixed
4.00000000
N
N
N
N
N
N
CHARTER COMM O 6.484% 10/23/45
N/A
CHARTER COMM OPT LLC/CAP REGD SER WI 6.48400000
161175BA1
756000.00000000
NS
USD
1056581.89000000
0.080620467200
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48400000
N
N
N
N
N
N
COMM 2014-CR1 3.452% 05/15/23
N/A
COMM 2014-CCRE18 MORTGAGE TRUST SER 2014-CR18 CL ASB REGD 3.45200000
12632QAU7
315733.14000000
NS
USD
324554.72000000
0.024764529286
Long
ABS-CBDO
CORP
US
N
2
2047-07-15
Fixed
3.45200000
N
N
N
N
N
N
UMBS P#FM6780 2.5% 04/01/51
N/A
FANNIE MAE POOL UMBS P#FM6780 2.50000000
3140XARA2
195395.79000000
NS
USD
204235.87000000
0.015583828773
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
DUKE ENERGY PROG 2.9% 08/15/51
N/A
DUKE ENERGY PROGRESS LLC REGD 2.90000000
26442UAM6
67000.00000000
NS
USD
67567.73000000
0.005155626849
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
2.90000000
N
N
N
N
N
N
FRONTIER COMMUNICA 5% 05/01/28
N/A
FRONTIER COMMUNICATIONS REGD 144A P/P 5.00000000
35906ABF4
160000.00000000
NS
USD
167400.00000000
0.012773137924
Long
DBT
CORP
US
Y
2
2028-05-01
Fixed
5.00000000
N
N
N
N
N
N
GNMA II P#MA4069 3.5% 11/20/46
N/A
GINNIE MAE II POOL P#MA4069 3.50000000
36179SQW0
370380.53000000
NS
USD
394903.88000000
0.030132387850
Long
ABS-MBS
USGSE
US
N
2
2046-11-20
Fixed
3.50000000
N
N
N
N
N
N
FGLMC P#G04316 6% 05/01/38
N/A
FREDDIE MAC GOLD POOL P#G04316 6.00000000
3128M6DV7
2392.40000000
NS
USD
2832.49000000
0.000216127750
Long
ABS-MBS
USGA
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#FM5783 3% 06/01/38
N/A
FANNIE MAE POOL UMBS P#FM5783 3.00000000
3140X9M93
150716.88000000
NS
USD
158779.55000000
0.012115370918
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 04/22/31
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 2.52200000
46647PBL9
150000.00000000
NS
USD
155346.11000000
0.011853388823
Long
DBT
CORP
US
N
2
2031-04-22
Variable
2.52200000
N
N
N
N
N
N
UMBS P#BR6496 2.5% 04/01/51
N/A
FANNIE MAE POOL UMBS P#BR6496 2.50000000
3140L5GE0
97334.19000000
NS
USD
101905.97000000
0.007775740801
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#FM5291 3% 07/01/46
N/A
FANNIE MAE POOL UMBS P#FM5291 3.00000000
3140X82Z9
400315.19000000
NS
USD
429127.87000000
0.032743784173
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.00000000
N
N
N
N
N
N
FNMA TBA 15YR 2% OCT21
N/A
FNMA TBA 15YR 2% OCT21 TO BE ANNOUNCED 2.00000000
01F0204A4
7200000.00000000
NS
USD
7441021.80000000
0.567772985363
Long
ABS-MBS
USGA
US
N
2
2036-10-01
Fixed
2.00000000
N
N
N
N
N
N
HYUNDAI CAPITAL 3.95% 02/01/22
N/A
HYUNDAI CAPITAL AMERICA REGD 144A P/P 3.95000000
44891AAY3
250000.00000000
NS
USD
253542.05000000
0.019346042857
Long
DBT
CORP
US
Y
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
MOODY'S CORPORA 3.25% 01/15/28
549300GCEDD8YCF5WU84
MOODY'S CORPORATION REGD SER WI 3.25000000
615369AM7
39000.00000000
NS
USD
42742.72000000
0.003261401779
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
UMBS P#CA0996 3.5% 01/01/48
N/A
FANNIE MAE POOL UMBS P#CA0996 3.50000000
3140Q8DA0
132670.76000000
NS
USD
143399.95000000
0.010941859854
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
WFCM 2019-C54 3.146% 12/15/52
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C54 SER 2019-C54 CL A4 REGD 3.14600000
95001YAE4
180000.00000000
NS
USD
197947.08000000
0.015103974639
Long
ABS-CBDO
CORP
US
N
2
2052-12-15
Fixed
3.14600000
N
N
N
N
N
N
GNMA II P#MA5137 4% 04/20/48
N/A
GINNIE MAE II POOL P#MA5137 4.00000000
36179TV69
203115.09000000
NS
USD
215740.51000000
0.016461668399
Long
ABS-MBS
USGSE
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
POST HOLDINGS IN 4.5% 09/15/31
JM1I5YUAURL6DC8N1468
POST HOLDINGS INC REGD 144A P/P 4.50000000
737446AR5
325000.00000000
NS
USD
328250.00000000
0.025046490583
Long
DBT
CORP
US
Y
2
2031-09-15
Fixed
4.50000000
N
N
N
N
N
N
GLENCORE FUNDI 4.625% 04/29/24
N/A
GLENCORE FUNDING LLC REGD P/P 4.62500000
378272AH1
210000.00000000
NS
USD
230065.79000000
0.017554731585
Long
DBT
CORP
US
Y
2
2024-04-29
Fixed
4.62500000
N
N
N
N
N
N
APPLE INC 3.35% 02/09/27
HWUPKR0MPOU8FGXBT394
APPLE INC REGD 3.35000000
037833CJ7
550000.00000000
NS
USD
611523.94000000
0.046661168636
Long
DBT
CORP
US
N
2
2027-02-09
Fixed
3.35000000
N
N
N
N
N
N
GNR 2018-130 A 3.25% 05/16/59
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-130 CL A 3.25000000
38380MJT9
22929.47000000
NS
USD
23428.29000000
0.001787651012
Long
ABS-CBDO
CORP
US
N
2
2059-05-16
Fixed
3.25000000
N
N
N
N
N
N
MOTOROLA SOLUTIO 4.6% 05/23/29
6S552MUG6KGJVEBSEC55
MOTOROLA SOLUTIONS INC REGD 4.60000000
620076BN8
341000.00000000
NS
USD
400132.24000000
0.030531327894
Long
DBT
CORP
US
N
2
2029-05-23
Fixed
4.60000000
N
N
N
N
N
N
REPUBLIC OF COL 3.25% 04/22/32
N/A
REPUBLIC OF COLOMBIA REGD 3.25000000
195325DZ5
430000.00000000
NS
USD
420853.90000000
0.032112454663
Long
DBT
USGA
CO
N
2
2032-04-22
Fixed
3.25000000
N
N
N
N
N
N
CVS HEALTH COR 5.125% 07/20/45
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 5.12500000
126650CN8
350000.00000000
NS
USD
462206.52000000
0.035267787512
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.12500000
N
N
N
N
N
N
SABINE PASS LIQUEF 5% 03/15/27
N/A
SABINE PASS LIQUEFACTION REGD SER WI 5.00000000
785592AS5
135000.00000000
NS
USD
156017.78000000
0.011904639322
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#AW3557 3% 05/01/29
N/A
FANNIE MAE POOL UMBS P#AW3557 3.00000000
3138XS5T0
72979.99000000
NS
USD
77453.00000000
0.005909903534
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.00000000
N
N
N
N
N
N
T/L ICON LUXEMBOU 0% 06/16/28
N/A
T/L ICON LUXEMBOURG S.A.R.L. REGD 0.00000000
N/A
79782.41000000
NS
USD
79815.92000000
0.006090201641
Long
LON
CORP
LU
N
2
2028-06-16
Variable
3.00000000
N
N
N
N
N
N
US TREAS BDS 3% 11/15/45
N/A
UNITED STATES TREASURY BOND 3.00000000
912810RP5
1412500.00000000
NS
USD
1717401.37000000
0.131043038055
Long
DBT
UST
US
N
2
2045-11-15
Fixed
3.00000000
N
N
N
N
N
N
IBM CORP 3% 05/15/24
VGRQXHF3J8VDLUA7XE92
IBM CORP REGD 3.00000000
459200JY8
680000.00000000
NS
USD
723925.45000000
0.055237751611
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#890827 3.5% 12/01/37
N/A
FANNIE MAE POOL UMBS P#890827 3.50000000
31410LVU3
53905.95000000
NS
USD
58444.32000000
0.004459482438
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
3.50000000
N
N
N
N
N
N
NORTHERN STATES 2.9% 03/01/50
N/A
NORTHERN STATES PWR-MINN REGD 2.90000000
665772CR8
114000.00000000
NS
USD
118593.28000000
0.009049034183
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
2.90000000
N
N
N
N
N
N
PEPSICO INC 0.75% 05/01/23
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC REGD 0.75000000
713448EY0
180000.00000000
NS
USD
181636.90000000
0.013859457442
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.75000000
N
N
N
N
N
N
UMBS P#FM2903 3.5% 06/01/47
N/A
FANNIE MAE POOL UMBS P#FM2903 3.50000000
3140X6GM7
100938.96000000
NS
USD
107631.23000000
0.008212595852
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
WELLS FARGO & C 4.75% 12/07/46
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD MTN 4.75000000
94974BGU8
160000.00000000
NS
USD
203945.60000000
0.015561680274
Long
DBT
CORP
US
N
2
2046-12-07
Fixed
4.75000000
N
N
N
N
N
N
UMBS P#SD8104 1.5% 11/01/50
N/A
FREDDIE MAC POOL UMBS P#SD8104 1.50000000
3132DWAD5
1703724.52000000
NS
USD
1676359.21000000
0.127911394266
Long
ABS-MBS
USGA
US
N
2
2050-11-01
Fixed
1.50000000
N
N
N
N
N
N
MICROSOFT CORP 2.525% 06/01/50
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP REGD 2.52500000
594918CC6
7000.00000000
NS
USD
6982.83000000
0.000532811533
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.52500000
N
N
N
N
N
N
UMBS P#FM1727 5% 09/01/49
N/A
FANNIE MAE POOL UMBS P#FM1727 5.00000000
3140X44M5
137496.03000000
NS
USD
153246.18000000
0.011693157667
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#U95137 4% 08/01/43
N/A
FREDDIE MAC GOLD POOL P#U95137 4.00000000
3132H5EK0
32289.77000000
NS
USD
35572.44000000
0.002714287230
Long
ABS-MBS
USGA
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
CSX CORP 2.6% 11/01/26
549300JVQR4N1MMP3Q88
CSX CORP REGD 2.60000000
126408HE6
82000.00000000
NS
USD
87455.63000000
0.006673135150
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
2.60000000
N
N
N
N
N
N
FGLMC P#G08801 4% 02/01/48
N/A
FREDDIE MAC GOLD POOL P#G08801 4.00000000
3128MJ3K4
27455.01000000
NS
USD
29501.11000000
0.002251025967
Long
ABS-MBS
USGA
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
GNMA II P#MA7471 2% 07/20/51
N/A
GINNIE MAE II POOL P#MA7471 2.00000000
36179WJQ2
1684856.40000000
NS
USD
1721603.56000000
0.131363678154
Long
ABS-MBS
USGSE
US
N
2
2051-07-20
Fixed
2.00000000
N
N
N
N
N
N
DIAMONDBACK EN 3.125% 03/24/31
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC REGD 3.12500000
25278XAR0
381000.00000000
NS
USD
397127.25000000
0.030302037860
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
3.12500000
N
N
N
N
N
N
CC HOLDINGS GS 3.849% 04/15/23
N/A
CC HOLDINGS GS V LLC/CRO REGD SER WI 3.84900000
14987BAE3
271000.00000000
NS
USD
285454.70000000
0.021781076787
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.84900000
N
N
N
N
N
N
AIR PRODUCTS & C 2.8% 05/15/50
7QEON6Y1RL5XR3R1W237
AIR PRODUCTS & CHEMICALS REGD 2.80000000
009158BA3
80000.00000000
NS
USD
81827.69000000
0.006243705916
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.80000000
N
N
N
N
N
N
MGM GROWTH/MGM F 4.5% 01/15/28
N/A
MGM GROWTH/MGM FINANCE REGD SER WI 4.50000000
55303XAF2
160000.00000000
NS
USD
175845.60000000
0.013417563334
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.50000000
N
N
N
N
N
N
FREEPORT-MCMORA 5.45% 03/15/43
549300IRDTHJQ1PVET45
FREEPORT-MCMORAN INC REGD SER WI 5.45000000
35671DBC8
70000.00000000
NS
USD
89689.95000000
0.006843620679
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
UMBS P#AS0190 2.5% 08/01/28
N/A
FANNIE MAE POOL UMBS P#AS0190 2.50000000
3138W9F88
171574.89000000
NS
USD
180878.74000000
0.013801607488
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#254793 5% 07/01/33
N/A
FANNIE MAE POOL UMBS P#254793 5.00000000
31371K7E5
11840.71000000
NS
USD
13491.16000000
0.001029417248
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#G60278 4% 10/01/45
N/A
FREDDIE MAC GOLD POOL P#G60278 4.00000000
31335AJX7
458728.98000000
NS
USD
511989.70000000
0.039066398171
Long
ABS-MBS
USGA
US
N
2
2045-10-01
Fixed
4.00000000
N
N
N
N
N
N
GENERAL MOTORS 2.75% 06/20/25
N/A
GENERAL MOTORS FINL CO REGD 2.75000000
37045XCX2
646000.00000000
NS
USD
678828.17000000
0.051796689619
Long
DBT
CORP
US
N
2
2025-06-20
Fixed
2.75000000
N
N
N
N
N
N
SOFI 2018-B A2 3.34% 11/25/26
N/A
SOFI PROFESSIONAL LOAN PROGRAM 2018-B TRUST SER 2018-B CL A2FX REGD 144A P/P 3.34000000
83404RAB4
219622.43000000
NS
USD
225445.52000000
0.017202190689
Long
ABS-CBDO
CORP
US
Y
2
2047-08-25
Fixed
3.34000000
N
N
N
N
N
N
US TREAS BDS 1.875% 02/15/41
N/A
UNITED STATES TREASURY BOND 1.87500000
912810SW9
7670000.00000000
NS
USD
7727525.00000000
0.589634065945
Long
DBT
UST
US
N
2
2041-02-15
Fixed
1.87500000
N
N
N
N
N
N
NXP BV/NXP FDG/ 3.15% 05/01/27
N/A
NXP BV/NXP FDG/NXP USA REGD 144A P/P 3.15000000
62954HAC2
107000.00000000
NS
USD
115059.85000000
0.008779422542
Long
DBT
CORP
NL
Y
2
2027-05-01
Fixed
3.15000000
N
N
N
N
N
N
WELLS FARGO & C 4.48% 01/16/24
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD SER WI 4.48000000
949746RE3
169000.00000000
NS
USD
184165.20000000
0.014052374554
Long
DBT
CORP
US
N
2
2024-01-16
Fixed
4.48000000
N
N
N
N
N
N
ANHEUSER-BUSCH 4.439% 10/06/48
N/A
ANHEUSER-BUSCH INBEV WOR REGD SER WI 4.43900000
03523TBT4
43000.00000000
NS
USD
51970.07000000
0.003965477132
Long
DBT
CORP
US
N
2
2048-10-06
Fixed
4.43900000
N
N
N
N
N
N
ENTERGY LOUISIAN 2.9% 03/15/51
N/A
ENTERGY LOUISIANA LLC REGD 2.90000000
29364WBD9
60000.00000000
NS
USD
60473.59000000
0.004614322018
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
2.90000000
N
N
N
N
N
N
UMBS P#ZT1970 3.5% 04/01/33
N/A
FREDDIE MAC POOL UMBS P#ZT1970 3.50000000
3132AEFK7
57543.20000000
NS
USD
62154.40000000
0.004742573021
Long
ABS-MBS
USGA
US
N
2
2033-04-01
Fixed
3.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 09/22/28
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 2.01300000
404280CL1
1285000.00000000
NS
USD
1297941.20000000
0.099036929303
Long
DBT
CORP
GB
N
2
2028-09-22
Variable
2.01300000
N
N
N
N
N
N
N/A
N/A
IDR/USD FWD 20211019 STAR USD
N/A
1.00000000
NC
N/A
90557.64000000
0.006909828111
N/A
DFE
N/A
N
2
CITIBANK N.A.
N/A
-2991395.07000000
USD
44149999820.00000000
IDR
2021-10-19
90557.64000000
N
N
N
JOHNSON & JOHNS 2.45% 03/01/26
549300G0CFPGEF6X2043
JOHNSON & JOHNSON REGD 2.45000000
478160BY9
400000.00000000
NS
USD
426862.26000000
0.032570911121
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
2.45000000
N
N
N
N
N
N
CCO HLDGS LLC/CA 4.5% 06/01/33
N/A
CCO HLDGS LLC/CAP CORP REGD 144A P/P 4.50000000
1248EPCL5
700000.00000000
NS
USD
725315.50000000
0.055343816727
Long
DBT
CORP
US
Y
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#FM7626 2.5% 12/01/33
N/A
FANNIE MAE POOL UMBS P#FM7626 2.50000000
3140XBPL8
461836.62000000
NS
USD
483333.93000000
0.036879874261
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
2.50000000
N
N
N
N
N
N
JPMORGAN CHASE & 5.6% 07/15/41
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD 5.60000000
46625HJB7
146000.00000000
NS
USD
205813.59000000
0.015704213690
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
UNITEDHEALTH GR 1.25% 01/15/26
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 1.25000000
91324PDW9
60000.00000000
NS
USD
60802.87000000
0.004639447101
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
UMBS P#SD0653 2.5% 07/01/51
N/A
FREDDIE MAC POOL UMBS P#SD0653 2.50000000
3132DMWN1
99343.93000000
NS
USD
104275.65000000
0.007956554716
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#AB8862 2.5% 04/01/28
N/A
FANNIE MAE POOL UMBS P#AB8862 2.50000000
31417FZ43
11367.82000000
NS
USD
11967.25000000
0.000913138200
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
2.50000000
N
N
N
N
N
N
CSX CORP 3.25% 06/01/27
549300JVQR4N1MMP3Q88
CSX CORP REGD 3.25000000
126408HH9
114000.00000000
NS
USD
124782.44000000
0.009521286240
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.25000000
N
N
N
N
N
N
APACHE CORP 4.25% 01/15/44
72ZZ1XRHOOU9P9X16K08
APACHE CORP REGD 4.25000000
037411BC8
60000.00000000
NS
USD
61011.30000000
0.004655350954
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
US T BILL ZCP 10/05/21
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796M22
25665000.00000000
PA
USD
25664351.01000000
1.958269385847
Long
STIV
UST
US
N
2
2021-10-05
Fixed
0.00000000
N
N
N
N
N
N
CSMC 2014-USA 4.373% 09/15/25
N/A
CSMC 2014-USA OA LLC SER 2014-USA CL F REGD 144A P/P 4.37330000
12649AAS8
1260000.00000000
NS
USD
992376.50000000
0.075721397296
Long
ABS-CBDO
CORP
US
Y
2
2037-09-15
Fixed
4.37330000
N
N
N
N
N
N
ALTRIA GROUP IN 5.95% 02/14/49
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC REGD 5.95000000
02209SBF9
260000.00000000
NS
USD
338547.79000000
0.025832243821
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
SCRT 2019-1 M V/R 07/25/58
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-1 SER 2019-1 CL M V/R REGD 144A P/P 4.75000000
35563PJQ3
790000.00000000
NS
USD
837075.94000000
0.063871484078
Long
ABS-CBDO
CORP
US
Y
2
2058-07-25
Variable
4.75000000
N
N
N
N
N
N
UMBS P#AP2530 4% 08/01/42
N/A
FANNIE MAE POOL UMBS P#AP2530 4.00000000
3138M5Y45
21830.50000000
NS
USD
24151.53000000
0.001842836462
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
4.00000000
N
N
N
N
N
N
CROWN CASTLE INT 3.8% 02/15/28
54930012H97VSM0I2R19
CROWN CASTLE INTL CORP REGD 3.80000000
22822VAK7
120000.00000000
NS
USD
133623.32000000
0.010195872737
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
UNITED AIR 2019- 2.7% 05/01/32
N/A
UNITED AIR 2019-2 AA PTT REGD SER AA 2.70000000
90932JAA0
81693.95000000
NS
USD
82499.94000000
0.006295000671
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
2.70000000
N
N
N
N
N
N
COMCAST CORP 2.65% 02/01/30
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 2.65000000
20030NDA6
342000.00000000
NS
USD
360370.78000000
0.027497405477
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.65000000
N
N
N
N
N
N
FGLMC P#C91987 3% 04/01/38
N/A
FREDDIE MAC GOLD POOL P#C91987 3.00000000
3128P8F48
32470.75000000
NS
USD
34023.69000000
0.002596112814
Long
ABS-MBS
USGA
US
N
2
2038-04-01
Fixed
3.00000000
N
N
N
N
N
N
SYNCHRONY FINANC 4.5% 07/23/25
549300RS7EWPM9MA6C78
SYNCHRONY FINANCIAL REGD 4.50000000
87165BAG8
6000.00000000
NS
USD
6679.90000000
0.000509697037
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUN 4.125% 03/16/27
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 4.12500000
92343VDY7
223000.00000000
NS
USD
254981.85000000
0.019455904051
Long
DBT
CORP
US
N
2
2027-03-16
Fixed
4.12500000
N
N
N
N
N
N
FNMA P#843823 V/R 11/1/35
N/A
FNMA P#843823 V/R 11/1/35 2.01300000
31407XPG0
15776.19000000
NS
USD
16520.30000000
0.001260550002
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Variable
2.01300000
N
N
N
N
N
N
HEALTHCARE TRUST 3.1% 02/15/30
N/A
HEALTHCARE TRUST OF AMER REGD 3.10000000
42225UAG9
350000.00000000
NS
USD
374518.05000000
0.028576885948
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.10000000
N
N
N
N
N
N
UMBS P#AU1633 3.5% 07/01/43
N/A
FANNIE MAE POOL UMBS P#AU1633 3.50000000
3138X0Y77
421138.25000000
NS
USD
463351.40000000
0.035355145398
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
VIRGINIA ELEC & PO 6% 05/15/37
N/A
VIRGINIA ELEC & POWER CO REGD SER A 6.00000000
927804FB5
68000.00000000
NS
USD
96226.59000000
0.007342386535
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
6.00000000
N
N
N
N
N
N
AT&T INC 3.65% 06/01/51
549300Z40J86GGSTL398
AT&T INC REGD 3.65000000
00206RKA9
167000.00000000
NS
USD
176278.59000000
0.013450601811
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
3.65000000
N
N
N
N
N
N
HCA INC 4.5% 02/15/27
N/A
HCA INC REGD 4.50000000
404119BU2
76000.00000000
NS
USD
86197.15000000
0.006577109233
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#MA1547 4% 08/01/43
N/A
FANNIE MAE POOL UMBS P#MA1547 4.00000000
31418AWH7
33616.62000000
NS
USD
37014.72000000
0.002824337657
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#BK7700 4.5% 10/01/48
N/A
FANNIE MAE POOL UMBS P#BK7700 4.50000000
3140HMRW6
299295.60000000
NS
USD
328918.73000000
0.025097516751
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#BM1145 3% 03/01/43
N/A
FANNIE MAE POOL UMBS P#BM1145 3.00000000
3140J5HX0
466541.56000000
NS
USD
500013.00000000
0.038152538906
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#SD0508 3.5% 01/01/48
N/A
FREDDIE MAC POOL UMBS P#SD0508 3.50000000
3132DMR56
789122.63000000
NS
USD
863262.55000000
0.065869603441
Long
ABS-MBS
USGA
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
SMB 2021-A B 2.31% 01/15/53
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2021-A SER 2021-A CL B REGD 144A P/P 2.31000000
78448YAD3
240000.00000000
NS
USD
244770.86000000
0.018676773922
Long
ABS-CBDO
CORP
US
Y
2
2053-01-15
Fixed
2.31000000
N
N
N
N
N
N
BP CAP MARKETS 3.41% 02/11/26
N/A
BP CAP MARKETS AMERICA REGD 3.41000000
10373QBE9
300000.00000000
NS
USD
328139.99000000
0.025038096480
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
3.41000000
N
N
N
N
N
N
TEXAS EASTERN TR 3.5% 01/15/28
N/A
TEXAS EASTERN TRANSMISSI REGD 144A P/P 3.50000000
882384AD2
184000.00000000
NS
USD
201626.58000000
0.015384731873
Long
DBT
CORP
US
Y
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
EXXON MOBIL CO 3.043% 03/01/26
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORPORATION REGD 3.04300000
30231GAT9
380000.00000000
NS
USD
412280.40000000
0.031458270087
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.04300000
N
N
N
N
N
N
CHARTER COMM OP 5.75% 04/01/48
N/A
CHARTER COMM OPT LLC/CAP REGD 5.75000000
161175BN3
836000.00000000
NS
USD
1076507.39000000
0.082140844498
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
BAYER US FINANCE 4.4% 07/15/44
N/A
BAYER US FINANCE II LLC REGD 144A P/P 4.40000000
07274NBF9
140000.00000000
NS
USD
163982.05000000
0.012512337764
Long
DBT
CORP
US
Y
2
2044-07-15
Fixed
4.40000000
N
N
N
N
N
N
NAVSL 2017-4A A2 V/R 08/25/22
N/A
NAVIENT STUDENT LOAN TRUST 2017-4 SER 2017-4A CL A2 V/R 144A P/P 0.58438000
63940AAB4
270558.69000000
NS
USD
271241.47000000
0.020696563363
Long
ABS-CBDO
CORP
US
Y
2
2066-09-27
Variable
0.58438000
N
N
N
N
N
N
RAYTHEON TECH CO 4.5% 06/01/42
I07WOS4YJ0N7YRFE7309
RAYTHEON TECH CORP REGD 4.50000000
913017BT5
160000.00000000
NS
USD
200392.15000000
0.015290541044
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#SD0507 4% 09/01/45
N/A
FREDDIE MAC POOL UMBS P#SD0507 4.00000000
3132DMR49
164405.62000000
NS
USD
184764.40000000
0.014098095368
Long
ABS-MBS
USGA
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF PE 5.625% 11/18/50
N/A
REPUBLIC OF PERU REGD 5.62500000
715638BM3
160000.00000000
NS
USD
222896.00000000
0.017007654425
Long
DBT
USGA
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
GNMA II P#MA5526 3% 10/20/48
N/A
GINNIE MAE II POOL P#MA5526 3.00000000
36179UD74
38168.13000000
NS
USD
39990.50000000
0.003051398877
Long
ABS-MBS
USGSE
US
N
2
2048-10-20
Fixed
3.00000000
N
N
N
N
N
N
PEPSICO INC 2.875% 10/15/49
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC REGD 2.87500000
713448EP9
60000.00000000
NS
USD
62980.31000000
0.004805592509
Long
DBT
CORP
US
N
2
2049-10-15
Fixed
2.87500000
N
N
N
N
N
N
TENCENT HOLDIN 2.985% 01/19/23
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD REGD 144A P/P MTN 2.98500000
88032WAE6
407000.00000000
NS
USD
419287.45000000
0.031992929682
Long
DBT
CORP
CN
Y
2
2023-01-19
Fixed
2.98500000
N
N
N
N
N
N
WESTERN MIDSTREA 5.3% 02/01/30
N/A
WESTERN MIDSTREAM OPERAT REGD 5.30000000
958667AC1
430000.00000000
NS
USD
479796.15000000
0.036609930702
Long
DBT
CORP
US
N
2
2030-02-01
Variable
5.30000000
N
N
N
N
N
N
BAT CAPITAL COR 4.54% 08/15/47
N/A
BAT CAPITAL CORP REGD SER WI 4.54000000
05526DBF1
1320000.00000000
NS
USD
1414467.13000000
0.107928218285
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
CVS HEALTH CORP 3.7% 03/09/23
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 3.70000000
126650CV0
28000.00000000
NS
USD
29314.08000000
0.002236754999
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
3.70000000
N
N
N
N
N
N
MEX BONOS DES 8% 11/07/47/MXN/
N/A
MEX BONOS DESARR FIX RT /MXN/ REGD SER M 8.00000000
P4R07XQS8
84090000.00000000
NS
4367036.60000000
0.333218403898
Long
DBT
USGA
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
WFCM 2016-C33 3.162% 01/15/26
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33 SER 2016-C33 CL A3 REGD 3.16200000
95000LAY9
459928.33000000
NS
USD
489566.57000000
0.037355443977
Long
ABS-CBDO
CORP
US
N
2
2059-03-15
Fixed
3.16200000
N
N
N
N
N
N
COMCAST CORP 3.9% 03/01/38
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 3.90000000
20030NCJ8
50000.00000000
NS
USD
58359.95000000
0.004453044746
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
3.90000000
N
N
N
N
N
N
PRIME 06-DR1 2A1 5.5% 5/25/35
N/A
PRIME 06-DR1 2A1 5.5% 5/25/35 5.50000000
74159UAC1
658510.75000000
NS
USD
608627.90000000
0.046440191823
Long
ABS-CBDO
CORP
US
Y
2
2036-05-25
Fixed
5.50000000
N
N
N
N
N
N
LSEGA FINANCING PL 2% 04/06/28
N/A
LSEGA FINANCING PLC REGD 144A P/P MTN 2.00000000
50220PAC7
535000.00000000
NS
USD
544887.34000000
0.041576589886
Long
DBT
CORP
GB
Y
2
2028-04-06
Fixed
2.00000000
N
N
N
N
N
N
HCA INC 4.125% 06/15/29
N/A
HCA INC REGD 4.12500000
404119BX6
1429000.00000000
NS
USD
1618376.97000000
0.123487169961
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
CONSUMERS ENERG 2.65% 08/15/52
N/A
CONSUMERS ENERGY CO REGD 2.65000000
210518DN3
91000.00000000
NS
USD
89264.84000000
0.006811183471
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
2.65000000
N
N
N
N
N
N
N/A
N/A
EUR/USD FWD 20211019 STAR USD
N/A
1.00000000
NC
N/A
5905.01000000
0.000450570532
N/A
DFE
N/A
N
2
CITIBANK N.A.
N/A
-1130310.65000000
EUR
1341781.70000000
USD
2021-10-19
5905.01000000
N
N
N
DIAMONDBACK ENER 3.5% 12/01/29
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC REGD 3.50000000
25278XAN9
484000.00000000
NS
USD
521403.16000000
0.039784674294
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
REPUBLIC OF SOU 4.85% 09/30/29
N/A
REPUBLIC OF SOUTH AFRICA REGD 4.85000000
836205BA1
300000.00000000
NS
USD
317977.80000000
0.024262689942
Long
DBT
USGA
ZA
N
2
2029-09-30
Fixed
4.85000000
N
N
N
N
N
N
TRANSCONT GAS PIPE 4% 03/15/28
N/A
TRANSCONT GAS PIPE LINE REGD SER WI 4.00000000
893574AK9
650000.00000000
NS
USD
736161.79000000
0.056171422212
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
FNA 2020-M36 X1 V/R 09/25/34
N/A
FANNIE MAE-ACES SER 2020-M36 CL X1 V/R 1.56000000
3136BBBW1
596360.22000000
NS
USD
62262.15000000
0.004750794679
Long
ABS-CBDO
CORP
US
N
2
2034-09-25
Variable
1.56000000
N
N
N
N
N
N
EDISON INTERNAT 5.75% 06/15/27
549300I7ROF15MAEVP56
EDISON INTERNATIONAL REGD 5.75000000
281020AN7
72000.00000000
NS
USD
82368.04000000
0.006284936293
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.75000000
N
N
N
N
N
N
UMBS P#952027 5% 12/01/22
N/A
FANNIE MAE POOL UMBS P#952027 5.00000000
31413QD88
51.95000000
NS
USD
54.11000000
0.000004128760
Long
ABS-MBS
USGSE
US
N
2
2022-12-01
Fixed
5.00000000
N
N
N
N
N
N
SHERWIN-WILLIAMS 4.2% 01/15/22
Z15BMIOX8DDH0X2OBP21
SHERWIN-WILLIAMS CO REGD 4.20000000
824348BB1
210000.00000000
NS
USD
210998.29000000
0.016099822341
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
4.20000000
N
N
N
N
N
N
UMBS P#QB9961 2% 03/01/51
N/A
FREDDIE MAC POOL UMBS P#QB9961 2.00000000
3133AHB63
97534.90000000
NS
USD
99253.36000000
0.007573338451
Long
ABS-MBS
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
UMBS P#AE2913 3.5% 12/01/25
N/A
FANNIE MAE POOL UMBS P#AE2913 3.50000000
31419DGX3
16165.36000000
NS
USD
17245.71000000
0.001315901030
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF MONTREA 1.85% 05/01/25
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL REGD MTN 1.85000000
06367WB85
300000.00000000
NS
USD
310251.97000000
0.023673185209
Long
DBT
CORP
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
AMERICAN INTL GR 4.8% 07/10/45
ODVCVCQG2BP6VHV36M30
AMERICAN INTL GROUP REGD 4.80000000
026874DF1
281000.00000000
NS
USD
362972.02000000
0.027695888137
Long
DBT
CORP
US
N
2
2045-07-10
Fixed
4.80000000
N
N
N
N
N
N
GNMA II P#MA1601 4% 01/20/44
N/A
GINNIE MAE II POOL P#MA1601 4.00000000
36179NX60
955459.87000000
NS
USD
1045625.45000000
0.079784456930
Long
ABS-MBS
USGSE
US
N
2
2044-01-20
Fixed
4.00000000
N
N
N
N
N
N
WESTERN MIDSTREA 4.5% 03/01/28
N/A
WESTERN MIDSTREAM OPERAT REGD 4.50000000
958254AH7
40000.00000000
NS
USD
43154.00000000
0.003292783715
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
MCDONALD'S CORP 1.45% 09/01/25
UE2136O97NLB5BYP9H04
MCDONALD'S CORP REGD MTN 1.45000000
58013MFL3
30000.00000000
NS
USD
30566.78000000
0.002332339885
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
1.45000000
N
N
N
N
N
N
GNMA P#741682 4% 07/15/41
N/A
GINNIE MAE I POOL P#741682 4.00000000
3620AV6T4
14839.04000000
NS
USD
16274.53000000
0.001241796991
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
4.00000000
N
N
N
N
N
N
DUKE ENERGY CAR 3.95% 11/15/28
N/A
DUKE ENERGY CAROLINAS REGD 3.95000000
26442CAX2
22000.00000000
NS
USD
25249.09000000
0.001926583685
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.95000000
N
N
N
N
N
N
TEXAS EASTERN T 4.15% 01/15/48
N/A
TEXAS EASTERN TRANSMISSI REGD 144A P/P 4.15000000
882384AE0
221000.00000000
NS
USD
253254.41000000
0.019324095035
Long
DBT
CORP
US
Y
2
2048-01-15
Fixed
4.15000000
N
N
N
N
N
N
REPUBLIC OF PE 2.783% 01/23/31
N/A
REPUBLIC OF PERU REGD 2.78300000
715638DF6
360000.00000000
NS
USD
368359.20000000
0.028106946638
Long
DBT
USGA
PE
N
2
2031-01-23
Fixed
2.78300000
N
N
N
N
N
N
FGLMC P#G08784 3.5% 10/01/47
N/A
FREDDIE MAC GOLD POOL P#G08784 3.50000000
3128MJ2S8
608795.73000000
NS
USD
647547.88000000
0.049409906713
Long
ABS-MBS
USGA
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
COX COMMUNICATI 3.35% 09/15/26
N/A
COX COMMUNICATIONS INC REGD 144A P/P 3.35000000
224044CG0
3000.00000000
NS
USD
3268.24000000
0.000249376823
Long
DBT
CORP
US
Y
2
2026-09-15
Fixed
3.35000000
N
N
N
N
N
N
PUBLIC SERVICE E 3.2% 05/15/29
N/A
PUBLIC SERVICE ELECTRIC REGD MTN 3.20000000
74456QBY1
199000.00000000
NS
USD
220033.10000000
0.016789206297
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
3.20000000
N
N
N
N
N
N
TEACHERS INSUR 6.85% 12/16/39
N/A
TEACHERS INSUR & ANNUITY REGD P/P 6.85000000
878091BC0
24000.00000000
NS
USD
36903.85000000
0.002815877933
Long
DBT
CORP
US
Y
2
2039-12-16
Fixed
6.85000000
N
N
N
N
N
N
ENTERPRISE PRODU 2.8% 01/31/30
N/A
ENTERPRISE PRODUCTS OPER REGD 2.80000000
29379VBX0
340000.00000000
NS
USD
361200.63000000
0.027560725599
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
2.80000000
N
N
N
N
N
N
UMBS P#FM6555 2% 04/01/51
N/A
FANNIE MAE POOL UMBS P#FM6555 2.00000000
3140XAH96
292528.06000000
NS
USD
297192.83000000
0.022676732423
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
SOUTHERN CAL EDI 4.2% 03/01/29
N/A
SOUTHERN CAL EDISON REGD SER A 4.20000000
842400GQ0
97000.00000000
NS
USD
110159.32000000
0.008405496941
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.20000000
N
N
N
N
N
N
ING GROEP NV V/R 04/01/27
549300NYKK9MWM7GGW15
ING GROEP NV REGD V/R SER VAR 1.72600000
456837AV5
200000.00000000
NS
USD
203102.91000000
0.015497380419
Long
DBT
CORP
NL
N
2
2027-04-01
Variable
1.72600000
N
N
N
N
N
N
COSTCO WHOLESA 1.375% 06/20/27
29DX7H14B9S6O3FD6V18
COSTCO WHOLESALE CORP REGD 1.37500000
22160KAN5
260000.00000000
NS
USD
263081.51000000
0.020073933169
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
1.37500000
N
N
N
N
N
N
CCMFC 2004-2A A1 V/R 05/25/35
N/A
CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SER 2004-2A CL A1 V/R REGD 0.35438000
16678RBC0
331820.13000000
NS
USD
332945.80000000
0.025404794652
Long
ABS-CBDO
CORP
US
Y
2
2035-05-25
Variable
0.35438000
N
N
N
N
N
N
ABBVIE INC 2.6% 11/21/24
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD SER WI 2.60000000
00287YBZ1
730000.00000000
NS
USD
769436.47000000
0.058710383245
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
GNMA II P#4882 4% 12/20/40
N/A
GINNIE MAE II POOL P#4882 4.00000000
36202FM78
4547.44000000
NS
USD
4984.02000000
0.000380296146
Long
ABS-MBS
USGSE
US
N
2
2040-12-20
Fixed
4.00000000
N
N
N
N
N
N
EQT CORP 6.625% 02/01/25
4NT01YGM4X7ZX86ISY52
EQT CORP REGD 6.62500000
26884LAH2
10000.00000000
NS
USD
11474.70000000
0.000875555111
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
6.62500000
N
N
N
N
N
N
FGLMC P#G08721 3% 09/01/46
N/A
FREDDIE MAC GOLD POOL P#G08721 3.00000000
3128MJYT1
1073050.60000000
NS
USD
1133603.38000000
0.086497445186
Long
ABS-MBS
USGA
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
US TREAS NTS 0.125% 7/31/23
N/A
UNITED STATES TREASURY NOTE 0.12500000
91282CCN9
20445000.00000000
NS
USD
20421394.20000000
1.558215559886
Long
DBT
UST
US
N
2
2023-07-31
Fixed
0.12500000
N
N
N
N
N
N
DANSKE BANK A/S 5% 01/12/22
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S REGD 144A P/P 5.00000000
23636AAS0
200000.00000000
NS
USD
203178.07000000
0.015503115360
Long
DBT
CORP
DK
Y
2
2022-01-12
Fixed
5.00000000
N
N
N
N
N
N
AVOLON HOLDINGS 5.25% 05/15/24
N/A
AVOLON HOLDINGS FNDG LTD REGD 144A P/P 5.25000000
05401AAD3
75000.00000000
NS
USD
82290.84000000
0.006279045694
Long
DBT
CORP
IE
Y
2
2024-05-15
Fixed
5.25000000
N
N
N
N
N
N
BP CAPITAL MAR 3.535% 11/04/24
N/A
BP CAPITAL MARKETS PLC REGD 3.53500000
05565QCS5
30000.00000000
NS
USD
32528.66000000
0.002482037399
Long
DBT
CORP
GB
N
2
2024-11-04
Fixed
3.53500000
N
N
N
N
N
N
BANK OF AMERICA 3.5% 04/19/26
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD MTN SER GMTN 3.50000000
06051GFX2
210000.00000000
NS
USD
231391.69000000
0.017655901857
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP01.25 02/15/28 SBNYUS33 FLOAT
N/A
1.00000000
NC
USD
-86028.89000000
-0.00656427047
N/A
DIR
US
N
2
BA SECURITIES INC
N/A
N/A
N/A
Y
2028-02-15
-5724266.66000000
USD
5730000.00000000
USD
5730000.00000000
USD
-83711.70000000
N
N
N
ENERGY TRANSFER 5.5% 06/01/27
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD SER * 5.50000000
29278NAN3
625000.00000000
NS
USD
738405.33000000
0.056342611255
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
COMMONSPIRIT H 3.347% 10/01/29
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH REGD 3.34700000
20268JAB9
205000.00000000
NS
USD
222859.65000000
0.017004880807
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
3.34700000
N
N
N
N
N
N
UMBS P#725423 5.5% 05/01/34
N/A
FANNIE MAE POOL UMBS P#725423 5.50000000
31402C4G4
145136.51000000
NS
USD
167880.29000000
0.012809785537
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
DUKE REALTY LP 1.75% 07/01/30
N/A
DUKE REALTY LP REGD 1.75000000
26441YBE6
139000.00000000
NS
USD
135250.54000000
0.010320034658
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
1.75000000
N
N
N
N
N
N
UMBS P#AO6086 4% 06/01/42
N/A
FANNIE MAE POOL UMBS P#AO6086 4.00000000
3138LWXQ9
24976.71000000
NS
USD
27543.97000000
0.002101690130
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF INDO 4.1% 04/24/28
N/A
REPUBLIC OF INDONESIA REGD 4.10000000
455780CF1
80000.00000000
NS
USD
91173.04000000
0.006956785035
Long
DBT
USGA
ID
N
2
2028-04-24
Fixed
4.10000000
N
N
N
N
N
N
BANK OF AMERICA CO 5% 01/21/44
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD MTN 5.00000000
06051GFC8
240000.00000000
NS
USD
322998.24000000
0.024645765046
Long
DBT
CORP
US
N
2
2044-01-21
Fixed
5.00000000
N
N
N
N
N
N
NAVSL 2014-AA A2 V/R 11/15/23
N/A
NAVIENT PRIVATE EDUCATION LOAN TRUST 2014-A SER 2014-AA CL A2B V/R REGD 1.34550000
63939CAC1
110927.24000000
NS
USD
111432.11000000
0.008502614756
Long
ABS-CBDO
CORP
US
Y
2
2029-02-15
Variable
1.34550000
N
N
N
N
N
N
UMBS P#AH5620 4% 02/01/26
N/A
FANNIE MAE POOL UMBS P#AH5620 4.00000000
3138A7G69
13809.87000000
NS
USD
14698.22000000
0.001121519661
Long
ABS-MBS
USGSE
US
N
2
2026-02-01
Fixed
4.00000000
N
N
N
N
N
N
AMAZON.COM INC 3.15% 08/22/27
ZXTILKJKG63JELOEG630
AMAZON.COM INC REGD 3.15000000
023135BC9
130000.00000000
NS
USD
143959.10000000
0.010984524729
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15000000
N
N
N
N
N
N
CAALT 2021-3A A 1% 07/15/24
N/A
CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-3 SER 2021-3A CL A REGD 144A P/P 1.00000000
22535GAA0
320000.00000000
NS
USD
321601.54000000
0.024539192515
Long
ABS-CBDO
CORP
US
Y
2
2030-05-15
Fixed
1.00000000
N
N
N
N
N
N
FGLMC P#G01644 5.5% 02/01/34
N/A
FREDDIE MAC GOLD POOL P#G01644 5.50000000
31283HZH1
92402.23000000
NS
USD
106905.22000000
0.008157199043
Long
ABS-MBS
USGA
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
CAALT 2019-3A 2.38% 02/15/23
N/A
CREDIT ACCEPTANCE AUTO LOAN TRUST 2019-3 SER 2019-3A CL A REGD 144A P/P 2.38000000
22535KAA1
450000.00000000
NS
USD
456951.51000000
0.034866813990
Long
ABS-CBDO
CORP
US
Y
2
2028-11-15
Fixed
2.38000000
N
N
N
N
N
N
UMBS P#BR4722 2% 03/01/51
N/A
FANNIE MAE POOL UMBS P#BR4722 2.00000000
3140L3G88
96683.87000000
NS
USD
98328.10000000
0.007502738250
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
CD 2017-CD4 XA V/R 04/10/27
N/A
CD 2017-CD4 MORTGAGE TRUST SER 2017-CD4 CL XA V/R REGD 1.43528300
12515DAS3
1998865.90000000
NS
USD
100339.27000000
0.007656196743
Long
ABS-CBDO
CORP
US
N
2
2050-05-10
Variable
1.43528300
N
N
N
N
N
N
FNR 2013-9 BC 6.5% 07/25/42
N/A
FANNIE MAE REMICS SER 2013-9 CL BC 6.50000000
3136ABQF3
268872.10000000
NS
USD
321810.76000000
0.024555156648
Long
ABS-CBDO
CORP
US
N
2
2042-07-25
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#BT3303 2.5% 08/01/51
N/A
FANNIE MAE POOL UMBS P#BT3303 2.50000000
3140LRU55
99921.37000000
NS
USD
104684.38000000
0.007987742080
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
FHR 3621 SB V/R 01/15/40
N/A
FREDDIE MAC REMICS SER 3621 CL SB V/R 6.13450000
31398W2M5
55401.31000000
NS
USD
11075.90000000
0.000845125438
Long
ABS-CBDO
CORP
US
N
2
2040-01-15
Variable
6.13450000
N
N
N
N
N
N
UMBS P#AV7116 4.5% 03/01/44
N/A
FANNIE MAE POOL UMBS P#AV7116 4.50000000
3138XJ4A2
73360.59000000
NS
USD
82255.09000000
0.006276317858
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
4.50000000
N
N
N
N
N
N
SMB 2020-PTB A2 1.6% 09/15/54
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB SER 2020-PTB CL A2A REGD 144A P/P 1.60000000
78449DAB2
844792.67000000
NS
USD
856153.19000000
0.065327137277
Long
ABS-CBDO
CORP
US
Y
2
2054-09-15
Fixed
1.60000000
N
N
N
N
N
N
FNMA 30YR TBA 2.5% OCT21
N/A
FNMA 30YR TBA 2.5% OCT21 TO BE ANNOUNCED 2.50000000
01F0226A8
32275000.00000000
NS
USD
33465885.85000000
2.553550631566
Long
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
T/L ALLIED UNIVER ZCP 05/05/28
N/A
T/L ALLIED UNIVERSAL HOLDCO REGD ZCP TERM LOAN 0.00000000
01957TAH0
419292.72000000
NS
USD
419793.77000000
0.032031563464
Long
LON
CORP
US
N
2
2028-05-05
Variable
4.25000000
N
N
N
N
N
N
BAE SYSTEMS HOL 3.85% 12/15/25
N/A
BAE SYSTEMS HOLDINGS INC REGD 144A P/P 3.85000000
05523UAP5
776000.00000000
NS
USD
854696.77000000
0.065216007925
Long
DBT
CORP
US
Y
2
2025-12-15
Fixed
3.85000000
N
N
N
N
N
N
COOPERATIEVE R 4.375% 08/04/25
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA REGD 4.37500000
21684AAC0
990000.00000000
NS
USD
1107352.32000000
0.084494408089
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
MARS INC 2.7% 04/01/25
54930073HKEO6GZBSS03
MARS INC REGD 144A P/P 2.70000000
571676AA3
110000.00000000
NS
USD
116806.49000000
0.008912696578
Long
DBT
CORP
US
Y
2
2025-04-01
Fixed
2.70000000
N
N
N
N
N
N
CIGNA CORP 3.2% 03/15/40
549300VIWYMSIGT1U456
CIGNA CORP REGD 3.20000000
125523CJ7
210000.00000000
NS
USD
221312.36000000
0.016886817793
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
3.20000000
N
N
N
N
N
N
F/C JPN 10Y BOND(OSE) SEP21
N/A
FUTURE CONTRACT ON JPN 10Y BOND(OSE) SEP21 /JPY/ 0.00000000
N/A
-5.00000000
NC
-6915420.62000000
-0.52766798915
N/A
DIR
CORP
JP
N
1
UBS SECURITIES LLC
254900R882POXXVAK772
Short
F/C JPN 10Y BOND(OSE) SEP21
JPN 10Y BOND(OSE) SEP21 /JPY/
2021-09-13
6889515.07000000
JPY
-25905.56000000
N
N
N
VERIZON COMMUN 4.125% 08/15/46
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 4.12500000
92343VDC5
100000.00000000
NS
USD
117494.53000000
0.008965196159
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
4.12500000
N
N
N
N
N
N
UNIV OF CALIFO 4.767% 05/15/15
N/A
UNIV OF CALIFORNIA CA REVENUES REGD N/C B/E 4.76700000
91412GC86
266000.00000000
NS
USD
387079.93000000
0.029535396258
Long
DBT
MUN
US
N
2
2115-05-15
Fixed
4.76700000
N
N
N
N
N
N
T/L PCI GAMING 0% 5/29/26
N/A
T/L PCI GAMING AUTHORITY REGD 0.00000000
70455DAG9
119726.92000000
NS
USD
119010.35000000
0.009080857915
Long
LON
CORP
US
N
2
2026-05-29
Variable
2.58463000
N
N
N
N
N
N
INTL FLAVOR & FR 2.3% 11/01/30
BZLRL03D3GPGMOGFO832
INTL FLAVOR & FRAGRANCES REGD 144A P/P 2.30000000
459506AQ4
841000.00000000
NS
USD
852841.18000000
0.065074420667
Long
DBT
CORP
US
Y
2
2030-11-01
Fixed
2.30000000
N
N
N
N
N
N
FGLMC P#G01169 5.5% 01/01/30
N/A
FREDDIE MAC GOLD POOL P#G01169 5.50000000
31283HJN6
267.65000000
NS
USD
300.23000000
0.000022908477
Long
ABS-MBS
USGA
US
N
2
2030-01-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#QC0297 2% 04/01/51
N/A
FREDDIE MAC POOL UMBS P#QC0297 2.00000000
3133AJKJ1
99034.31000000
NS
USD
100805.23000000
0.007691750933
Long
ABS-MBS
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
US TREAS NTS 0.625% 07/31/26
N/A
UNITED STATES TREASURY NOTE 0.62500000
91282CCP4
21340000.00000000
NS
USD
21199691.63000000
1.617602061796
Long
DBT
UST
US
N
2
2026-07-31
Fixed
0.62500000
N
N
N
N
N
N
UMBS P#RA1665 3% 02/01/47
N/A
FREDDIE MAC POOL UMBS P#RA1665 3.00000000
3133KGZ68
199901.97000000
NS
USD
212499.20000000
0.016214346418
Long
ABS-MBS
USGA
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP INC 5.3% 05/06/44
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD 5.30000000
172967HS3
286000.00000000
NS
USD
388778.75000000
0.029665021480
Long
DBT
CORP
US
N
2
2044-05-06
Fixed
5.30000000
N
N
N
N
N
N
GNMA II P#MA5331 4.5% 07/20/48
N/A
GINNIE MAE II POOL P#MA5331 4.50000000
36179T4Q5
389999.72000000
NS
USD
416594.97000000
0.031787485127
Long
ABS-MBS
USGSE
US
N
2
2048-07-20
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#BQ9453 2% 03/01/51
N/A
FANNIE MAE POOL UMBS P#BQ9453 2.00000000
3140KVQF0
95055.63000000
NS
USD
97145.77000000
0.007412522813
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
KRAFT HEINZ FO 7.125% 08/01/39
N/A
KRAFT HEINZ FOODS CO REGD P/P 7.12500000
42307TAH1
10000.00000000
NS
USD
15192.76000000
0.001159254593
Long
DBT
CORP
US
Y
2
2039-08-01
Fixed
7.12500000
N
N
N
N
N
N
CSAIL 2021-C2 2.804% 03/15/31
N/A
CSAIL 2021-C20 COMMERCIAL MORTGAGE TRUST SER 2021-C20 CL A3 REGD 2.80480000
22945EAU5
180000.00000000
NS
USD
192678.91000000
0.014701996968
Long
ABS-CBDO
CORP
US
N
2
2054-03-15
Fixed
2.80480000
N
N
N
N
N
N
UNION PACIFIC C 3.75% 07/15/25
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP REGD 3.75000000
907818ES3
50000.00000000
NS
USD
55260.31000000
0.004216532624
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 09/12/26
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 4.29200000
404280BX6
105000.00000000
NS
USD
116705.88000000
0.008905019724
Long
DBT
CORP
GB
N
2
2026-09-12
Variable
4.29200000
N
N
N
N
N
N
HOME DEPOT INC 2.5% 04/15/27
QEKMOTMBBKA8I816DO57
HOME DEPOT INC REGD 2.50000000
437076CA8
210000.00000000
NS
USD
224379.41000000
0.017120843197
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.50000000
N
N
N
N
N
N
GNMA II P#MA3523 4.5% 03/20/46
N/A
GINNIE MAE II POOL P#MA3523 4.50000000
36179R4G1
46073.28000000
NS
USD
51077.79000000
0.003897393408
Long
ABS-MBS
USGSE
US
N
2
2046-03-20
Fixed
4.50000000
N
N
N
N
N
N
PEPSICO INC 3.875% 03/19/60
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC REGD 3.87500000
713448EV6
40000.00000000
NS
USD
49946.91000000
0.003811103765
Long
DBT
CORP
US
N
2
2060-03-19
Fixed
3.87500000
N
N
N
N
N
N
UBS GROUP AG V/R 08/15/23
549300SZJ9VS8SGXAN81
UBS GROUP AG REGD V/R 2.85900000
90352JAE3
200000.00000000
NS
USD
204669.55000000
0.015616919898
Long
DBT
CORP
CH
Y
2
2023-08-15
Variable
2.85900000
N
N
N
N
N
N
UMBS P#MA1281 3% 12/01/27
N/A
FANNIE MAE POOL UMBS P#MA1281 3.00000000
31418AM70
67932.83000000
NS
USD
72072.67000000
0.005499367709
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
3.00000000
N
N
N
N
N
N
NIKE INC 3.25% 03/27/40
787RXPR0UX0O0XUXPZ81
NIKE INC REGD 3.25000000
654106AL7
100000.00000000
NS
USD
111657.05000000
0.008519778374
Long
DBT
CORP
US
N
2
2040-03-27
Fixed
3.25000000
N
N
N
N
N
N
UMBS P#BR2664 2% 02/01/51
N/A
FANNIE MAE POOL UMBS P#BR2664 2.00000000
3140L06A0
192545.34000000
NS
USD
195817.58000000
0.014941487200
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
BRL/USD FWD 20211019 STAR USD
N/A
1.00000000
NC
N/A
655.26000000
0.000049998365
N/A
DFE
N/A
N
2
CITIBANK N.A.
N/A
-32897.56000000
USD
174640.00000000
BRL
2021-10-19
655.26000000
N
N
N
US TREAS BDS 2.875% 08/15/45
N/A
UNITED STATES TREASURY BOND 2.87500000
912810RN0
245000.00000000
NS
USD
291253.32000000
0.022223529434
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.87500000
N
N
N
N
N
N
JPMCC 2016-JP 2.558% 04/15/26
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 20 SER 2016-JP2 CL A3 REGD 2.55890000
46590MAQ3
993647.87000000
NS
USD
1039439.83000000
0.079312474986
Long
ABS-CBDO
CORP
US
N
2
2049-08-15
Fixed
2.55890000
N
N
N
N
N
N
UMBS P#BT3244 2.5% 07/01/51
N/A
FANNIE MAE POOL UMBS P#BT3244 2.50000000
3140LRTA6
99800.93000000
NS
USD
104411.80000000
0.007966943383
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
CROWN CASTLE IN 2.25% 01/15/31
54930012H97VSM0I2R19
CROWN CASTLE INTL CORP REGD 2.25000000
22822VAT8
297000.00000000
NS
USD
295052.82000000
0.022513443039
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.25000000
N
N
N
N
N
N
UNITEDHEALTH GROUP 2% 05/15/30
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 2.00000000
91324PDX7
50000.00000000
NS
USD
50813.00000000
0.003877189112
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
REPUBLIC OF COLOMB 3% 01/30/30
N/A
REPUBLIC OF COLOMBIA REGD 3.00000000
195325DR3
540000.00000000
NS
USD
530585.10000000
0.040485284724
Long
DBT
USGA
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
VMWARE INC 2.2% 08/15/31
N/A
VMWARE INC REGD 2.20000000
928563AL9
43000.00000000
NS
USD
42759.52000000
0.003262683671
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.20000000
N
N
N
N
N
N
GNMA II P#MA7254 2% 03/20/51
N/A
GINNIE MAE II POOL P#MA7254 2.00000000
36179WBX5
453301.45000000
NS
USD
463263.26000000
0.035348420043
Long
ABS-MBS
USGSE
US
N
2
2051-03-20
Fixed
2.00000000
N
N
N
N
N
N
ENDEAVOR ENERGY 5.75% 01/30/28
N/A
ENDEAVOR ENERGY RESOURCE REGD 144A P/P 5.75000000
29260FAE0
29000.00000000
NS
USD
30558.75000000
0.002331727171
Long
DBT
CORP
US
Y
2
2028-01-30
Fixed
5.75000000
N
N
N
N
N
N
LLOYDS BANKING 4.375% 03/22/28
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC REGD 4.37500000
539439AR0
468000.00000000
NS
USD
539119.58000000
0.041136491953
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
4.37500000
N
N
N
N
N
N
FFML 2006-FF15 A V/R 11/25/36
N/A
FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF15 SER 2006-FF15 CL A2 V/R REGD 0.20438000
32028GAB1
686437.86000000
NS
USD
660732.20000000
0.050415911121
Long
ABS-CBDO
CORP
US
N
2
2036-11-25
Variable
0.20438000
N
N
N
N
N
N
BANK OF NY MELLO 1.6% 04/24/25
WFLLPEPC7FZXENRZV188
BANK OF NY MELLON CORP REGD MTN 1.60000000
06406RAN7
90000.00000000
NS
USD
92562.12000000
0.007062776137
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
BARCLAYS BANK PL 1.7% 05/12/22
N/A
BARCLAYS BANK PLC REGD 1.70000000
06739GCR8
200000.00000000
NS
USD
201847.87000000
0.015401616984
Long
DBT
CORP
GB
N
2
2022-05-12
Fixed
1.70000000
N
N
N
N
N
N
VISTRA OPERATION 3.7% 01/30/27
N/A
VISTRA OPERATIONS CO LLC REGD 144A P/P 3.70000000
92840VAG7
92000.00000000
NS
USD
97700.59000000
0.007454857296
Long
DBT
CORP
US
Y
2
2027-01-30
Fixed
3.70000000
N
N
N
N
N
N
SUMITOMO MITSU 3.944% 07/19/28
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP REGD 3.94400000
86562MBC3
114000.00000000
NS
USD
130441.65000000
0.009953101472
Long
DBT
CORP
JP
N
2
2028-07-19
Fixed
3.94400000
N
N
N
N
N
N
T-MOBILE USA INC 3.5% 04/15/31
N/A
T-MOBILE USA INC REGD 3.50000000
87264ABW4
1000000.00000000
NS
USD
1064490.00000000
0.081223880460
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
KREF 2021-FL2 A V/R 02/15/39
N/A
KREF 2021-FL2 LTD SER 2021-FL2 CL A V/R REGD 144A P/P 1.16300000
48275RAA5
890000.00000000
NS
USD
893115.00000000
0.068147437738
Long
ABS-CBDO
CORP
KY
Y
2
2039-02-15
Variable
1.16300000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 10/31/22
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 2.87600000
38148YAC2
738000.00000000
NS
USD
740986.94000000
0.056539596086
Long
DBT
CORP
US
N
2
2022-10-31
Variable
2.87600000
N
N
N
N
N
N
NISSAN MOTOR C 3.522% 09/17/25
353800DRBDH1LUTNAY26
NISSAN MOTOR CO REGD 144A P/P 3.52200000
654744AB7
600000.00000000
NS
USD
642215.60000000
0.049003037252
Long
DBT
CORP
JP
Y
2
2025-09-17
Fixed
3.52200000
N
N
N
N
N
N
PETROLEOS MEXIC 7.69% 01/23/50
N/A
PETROLEOS MEXICANOS REGD SER WI 7.69000000
71654QDD1
185000.00000000
NS
USD
177971.85000000
0.013579802787
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
NEW YORK NY 5.968% 03/01/36
549300ABYZD2SFD5JB29
NEW YORK NY REGD N/C B/E 5.96800000
64966HYM6
500000.00000000
NS
USD
704048.20000000
0.053721055938
Long
DBT
MUN
US
N
2
2036-03-01
Fixed
5.96800000
N
N
N
N
N
N
BAYER US FINAN 4.375% 12/15/28
N/A
BAYER US FINANCE II LLC REGD 144A P/P 4.37500000
07274NAL7
625000.00000000
NS
USD
718462.89000000
0.054820941383
Long
DBT
CORP
US
Y
2
2028-12-15
Fixed
4.37500000
N
N
N
N
N
N
SMB 2015-C A3 V/R 08/15/24
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2015-C SER 2015-C CL A3 V/R REGD 144A P/P 2.04550000
78448RAD8
545000.00000000
NS
USD
555494.30000000
0.042385933752
Long
ABS-CBDO
CORP
US
Y
2
2032-08-16
Variable
2.04550000
N
N
N
N
N
N
FGLMC P#G18592 3% 03/01/31
N/A
FREDDIE MAC GOLD POOL P#G18592 3.00000000
3128MMUS0
139749.17000000
NS
USD
148258.59000000
0.011312589119
Long
ABS-MBS
USGA
US
N
2
2031-03-01
Fixed
3.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH 4.75% 04/15/58
N/A
ANHEUSER-BUSCH INBEV WOR REGD 4.75000000
035240AP5
2000.00000000
NS
USD
2556.14000000
0.000195041390
Long
DBT
CORP
US
N
2
2058-04-15
Fixed
4.75000000
N
N
N
N
N
N
UMBS P#ZA6680 4% 04/01/49
N/A
FREDDIE MAC POOL UMBS P#ZA6680 4.00000000
31329QM57
276422.02000000
NS
USD
301761.36000000
0.023025325397
Long
ABS-MBS
USGA
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
T/L ASURION LLC 0% 11/03/23
N/A
T/L ASURION LLC REGD 0.00000000
04649VAV2
51568.48000000
NS
USD
51085.03000000
0.003897945842
Long
LON
CORP
US
N
2
2023-11-03
Variable
3.20963000
N
N
N
N
N
N
UMBS P#MA4326 2.5% 05/01/51
N/A
FANNIE MAE POOL UMBS P#MA4326 2.50000000
31418DYY2
1443318.68000000
NS
USD
1501265.90000000
0.114551232986
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
LAM RESEARCH CO 3.75% 03/15/26
549300I4GMO6D34U1T02
LAM RESEARCH CORP REGD 3.75000000
512807AS7
38000.00000000
NS
USD
42495.41000000
0.003242531260
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.75000000
N
N
N
N
N
N
COCA-COLA CO/THE 2% 03/05/31
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE REGD 2.00000000
191216DK3
41000.00000000
NS
USD
41729.74000000
0.003184108271
Long
DBT
CORP
US
N
2
2031-03-05
Fixed
2.00000000
N
N
N
N
N
N
ALTRIA GROUP INC 6.2% 02/14/59
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC REGD 6.20000000
02209SBG7
82000.00000000
NS
USD
106698.29000000
0.008141409644
Long
DBT
CORP
US
N
2
2059-02-14
Fixed
6.20000000
N
N
N
N
N
N
UMBS P#BQ9224 2% 01/01/51
N/A
FANNIE MAE POOL UMBS P#BQ9224 2.00000000
3140KVHA1
96534.25000000
NS
USD
98049.26000000
0.007481461895
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
DANSKE BANK A/S V/R 01/12/23
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S REGD V/R 144A P/P 5.00000000
23636AAX9
327000.00000000
NS
USD
332089.67000000
0.025339469284
Long
DBT
CORP
DK
Y
2
2023-01-12
Variable
5.00000000
N
N
N
N
N
N
WILLIAMS COS IN 8.75% 03/15/32
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC REGD 8.75000000
969457BM1
116000.00000000
NS
USD
179898.01000000
0.013726774755
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
US TREAS NTS 0.125% 12/15/23
N/A
UNITED STATES TREASURY NOTE 0.12500000
91282CBA8
3015000.00000000
NS
USD
3005460.36000000
0.229325924161
Long
DBT
UST
US
N
2
2023-12-15
Fixed
0.12500000
N
N
N
N
N
N
UMBS P#CB0470 2.5% 05/01/41
N/A
FANNIE MAE POOL UMBS P#CB0470 2.50000000
3140QKQY7
392724.80000000
NS
USD
412127.88000000
0.031446632340
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
2.50000000
N
N
N
N
N
N
US T BILL ZCP 12/02/21
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
9127965G0
15145000.00000000
PA
USD
15143451.84000000
1.155492228218
Long
STIV
UST
US
N
2
2021-12-02
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#FM6134 3% 03/01/40
N/A
FANNIE MAE POOL UMBS P#FM6134 3.00000000
3140X9Y82
151308.54000000
NS
USD
158757.46000000
0.012113685382
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
3.00000000
N
N
N
N
N
N
TEXAS EASTERN TR 2.8% 10/15/22
N/A
TEXAS EASTERN TRANSMISSI REGD P/P 2.80000000
882384AC4
30000.00000000
NS
USD
30566.41000000
0.002332311653
Long
DBT
CORP
US
Y
2
2022-10-15
Fixed
2.80000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 04/23/39
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 4.41100000
38141GXA7
341000.00000000
NS
USD
418349.33000000
0.031921348223
Long
DBT
CORP
US
N
2
2039-04-23
Fixed
4.41100000
N
N
N
N
N
N
KRAFT HEINZ FOODS 5% 06/04/42
N/A
KRAFT HEINZ FOODS CO REGD SER WI 5.00000000
50076QAE6
445000.00000000
NS
USD
563515.64000000
0.042997986811
Long
DBT
CORP
US
N
2
2042-06-04
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#Q17792 3.5% 05/01/43
N/A
FREDDIE MAC GOLD POOL P#Q17792 3.50000000
3132J9C63
170727.28000000
NS
USD
185965.00000000
0.014189704863
Long
ABS-MBS
USGA
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
GNR 2020-H12 F V/R 07/20/70
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-H12 CL F V/R 0.58838000
38380QDH2
87977.74000000
NS
USD
88806.47000000
0.006776208422
Long
ABS-CBDO
CORP
US
N
2
2070-07-20
Variable
0.58838000
N
N
N
N
N
N
ENTERGY LOUISIA 3.05% 06/01/31
N/A
ENTERGY LOUISIANA LLC REGD 3.05000000
29364WAX6
47000.00000000
NS
USD
51314.56000000
0.003915459691
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
3.05000000
N
N
N
N
N
N
AMER AIRLINE 1 4.375% 06/15/24
N/A
AMER AIRLINE 16-2 B PTT REGD 144A P/P 4.37500000
02376GAA4
59500.00000000
NS
USD
58579.49000000
0.004469796328
Long
DBT
CORP
US
Y
2
2024-06-15
Fixed
4.37500000
N
N
N
N
N
N
UMBS P#BQ6341 3% 11/01/50
N/A
FANNIE MAE POOL UMBS P#BQ6341 3.00000000
3140KSBK2
83745.79000000
NS
USD
88787.13000000
0.006774732720
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
3.00000000
N
N
N
N
N
N
VERIZON COMMUNIC 2.1% 03/22/28
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 2.10000000
92343VGH1
360000.00000000
NS
USD
369415.83000000
0.028187570776
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
BX 2019-IMC A V/R 04/15/21
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-IMC SER 2019-IMC CL A V/R REGD 144A P/P 1.09600000
05608BAA8
940000.00000000
NS
USD
941172.37000000
0.071814363755
Long
ABS-CBDO
CORP
US
Y
2
2034-04-15
Variable
1.09600000
N
N
N
N
N
N
HUMANA INC 4.95% 10/01/44
529900YLDW34GJAO4J06
HUMANA INC REGD 4.95000000
444859BE1
40000.00000000
NS
USD
52347.47000000
0.003994273920
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
4.95000000
N
N
N
N
N
N
UMBS P#BM3904 5% 05/01/48
N/A
FANNIE MAE POOL UMBS P#BM3904 5.00000000
3140J8KS1
27672.17000000
NS
USD
30568.10000000
0.002332440605
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
5.00000000
N
N
N
N
N
N
ORACLE CORP 3.6% 04/01/40
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP REGD 3.60000000
68389XBW4
214000.00000000
NS
USD
227367.42000000
0.017348837605
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.60000000
N
N
N
N
N
N
GNR 2020-123 IL 2.5% 08/20/50
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-123 CL IL 2.50000000
38382HS35
96736.20000000
NS
USD
12761.24000000
0.000973722094
Long
ABS-CBDO
CORP
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
BOEING CO 3.75% 02/01/50
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 3.75000000
097023CQ6
140000.00000000
NS
USD
145131.57000000
0.011073987818
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
RAYTHEON TECH C 4.05% 05/04/47
I07WOS4YJ0N7YRFE7309
RAYTHEON TECH CORP REGD 4.05000000
913017CP2
108000.00000000
NS
USD
127615.99000000
0.009737494872
Long
DBT
CORP
US
N
2
2047-05-04
Fixed
4.05000000
N
N
N
N
N
N
L3HARRIS TECH I 3.85% 12/15/26
549300UTE50ZMDBG8A20
L3HARRIS TECH INC REGD 3.85000000
502431AL3
489000.00000000
NS
USD
546863.05000000
0.041727342672
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
3.85000000
N
N
N
N
N
N
FGLMC P#G60038 3.5% 01/01/44
N/A
FREDDIE MAC GOLD POOL P#G60038 3.50000000
31335ABF4
418513.06000000
NS
USD
454454.23000000
0.034676263799
Long
ABS-MBS
USGA
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#4871 6% 11/20/40
N/A
GINNIE MAE II POOL P#4871 6.00000000
36202FMU7
8479.34000000
NS
USD
9930.40000000
0.000757720243
Long
ABS-MBS
USGSE
US
N
2
2040-11-20
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#AM9319 3.36% 07/01/35
N/A
FANNIE MAE POOL UMBS P#AM9319 3.36000000
3138LAK99
317229.22000000
NS
USD
357817.80000000
0.027302605204
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
3.36000000
N
N
N
N
N
N
UMBS P#AS8745 3% 02/01/47
N/A
FANNIE MAE POOL UMBS P#AS8745 3.00000000
3138WJWF1
313254.07000000
NS
USD
335020.08000000
0.025563068633
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
BROADCOM INC 4.75% 04/15/29
549300WV6GIDOZJTV909
BROADCOM INC REGD 4.75000000
11135FBA8
469000.00000000
NS
USD
545280.55000000
0.041606593026
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
INDONESIA ASAHA 4.75% 05/15/25
N/A
INDONESIA ASAHAN ALUMINI REGD REG S 4.75000000
Y7140WAE8
200000.00000000
NS
USD
218272.00000000
0.016654828918
Long
DBT
CORP
ID
N
2
2025-05-15
Fixed
4.75000000
N
N
N
N
N
N
AT&T INC 5.25% 03/01/37
549300Z40J86GGSTL398
AT&T INC REGD 5.25000000
00206RDR0
47000.00000000
NS
USD
59498.99000000
0.004539957022
Long
DBT
CORP
US
N
2
2037-03-01
Fixed
5.25000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 07/21/28
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN SER GMTN 3.59300000
06051GGR4
50000.00000000
NS
USD
55335.21000000
0.004222247726
Long
DBT
CORP
US
N
2
2028-07-21
Variable
3.59300000
N
N
N
N
N
N
BRISTOL-MYERS SQ 3.2% 06/15/26
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO REGD 3.20000000
110122CN6
240000.00000000
NS
USD
263727.06000000
0.020123190631
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
LAM RESEARCH C 2.875% 06/15/50
549300I4GMO6D34U1T02
LAM RESEARCH CORP REGD 2.87500000
512807AW8
125000.00000000
NS
USD
128772.39000000
0.009825731770
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.87500000
N
N
N
N
N
N
AMAZON.COM INC 1.2% 06/03/27
ZXTILKJKG63JELOEG630
AMAZON.COM INC REGD 1.20000000
023135BR6
240000.00000000
NS
USD
241126.89000000
0.018398727737
Long
DBT
CORP
US
N
2
2027-06-03
Fixed
1.20000000
N
N
N
N
N
N
TENCENT HOLDIN 3.975% 04/11/29
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD REGD 144A P/P MTN 3.97500000
88032WAN6
165000.00000000
NS
USD
183151.03000000
0.013974990246
Long
DBT
CORP
CN
Y
2
2029-04-11
Fixed
3.97500000
N
N
N
N
N
N
T/L ARAMARK SERVIC 0% 01/15/27
N/A
T/L ARAMARK SERVICES INC REGD 0.00000000
03852JAR2
328343.75000000
NS
USD
322256.26000000
0.024589149677
Long
LON
CORP
US
N
2
2027-01-15
Variable
1.83463000
N
N
N
N
N
N
MASTERCARD INC 3.85% 03/26/50
AR5L2ODV9HN37376R084
MASTERCARD INC REGD 3.85000000
57636QAQ7
30000.00000000
NS
USD
36657.79000000
0.002797102793
Long
DBT
CORP
US
N
2
2050-03-26
Fixed
3.85000000
N
N
N
N
N
N
REPUBLIC OF PA 2.252% 09/29/32
N/A
REPUBLIC OF PANAMA REGD 2.25200000
698299BN3
240000.00000000
NS
USD
234463.20000000
0.017890267573
Long
DBT
USGA
PA
N
2
2032-09-29
Fixed
2.25200000
N
N
N
N
N
N
CAS 2018-C01 1M2 V/R 07/25/30
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2018-C01 CL 1M2 V/R REGD 2.33438000
30711XYX6
762078.94000000
NS
USD
772565.60000000
0.058949145546
Long
ABS-CBDO
CORP
US
N
2
2030-07-25
Variable
2.33438000
N
N
N
N
N
N
TEACHERS INSUR & 3.3% 05/15/50
N/A
TEACHERS INSUR & ANNUITY REGD 144A P/P 3.30000000
878091BG1
595000.00000000
NS
USD
640418.69000000
0.048865927459
Long
DBT
CORP
US
Y
2
2050-05-15
Fixed
3.30000000
N
N
N
N
N
N
OCCIDENTAL PETRO 4.1% 02/15/47
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR REGD 4.10000000
674599CL7
30000.00000000
NS
USD
29373.45000000
0.002241285114
Long
DBT
CORP
US
N
2
2047-02-15
Fixed
4.10000000
N
N
N
N
N
N
FNR 2020-56 DI 2.5% 08/25/50
N/A
FANNIE MAE REMICS SER 2020-56 CL DI 2.50000000
3136BBMQ2
182021.16000000
NS
USD
28131.26000000
0.002146502174
Long
ABS-CBDO
CORP
US
N
2
2050-08-25
Fixed
2.50000000
N
N
N
N
N
N
FGLMC P#Q15884 3% 02/01/43
N/A
FREDDIE MAC GOLD POOL P#Q15884 3.00000000
3132J66W9
197749.27000000
NS
USD
211124.32000000
0.016109438820
Long
ABS-MBS
USGA
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#BQ5876 2.5% 11/01/50
N/A
FANNIE MAE POOL UMBS P#BQ5876 2.50000000
3140KRQ69
94992.20000000
NS
USD
99774.36000000
0.007613092363
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
MPLX LP 4.875% 06/01/25
N/A
MPLX LP REGD SER WI 4.87500000
55336VAJ9
180000.00000000
NS
USD
202948.12000000
0.015485569463
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
NRZT 2016-4A A1 V/R 11/25/56
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2016-4 SER 2016-4A CL A1 V/R REGD 144A P/P 3.75000000
64829LAA6
203106.44000000
NS
USD
218698.80000000
0.016687395079
Long
ABS-CBDO
CORP
US
Y
2
2056-11-25
Variable
3.75000000
N
N
N
N
N
N
GENERAL MOTORS 4.375% 09/25/21
N/A
GENERAL MOTORS FINL CO REGD 4.37500000
37045XAQ9
1183000.00000000
NS
USD
1186045.16000000
0.090498915252
Long
DBT
CORP
US
N
2
2021-09-25
Fixed
4.37500000
N
N
N
N
N
N
BURLINGTN NORTH 4.15% 12/15/48
N/A
BURLINGTN NORTH SANTA FE REGD 4.15000000
12189LBD2
216000.00000000
NS
USD
269098.78000000
0.020533069487
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.15000000
N
N
N
N
N
N
US TREAS BDS 2.25% 05/15/41
N/A
UNITED STATES TREASURY BOND 2.25000000
912810SY5
4913000.00000000
NS
USD
5254607.04000000
0.400942774554
Long
DBT
UST
US
N
2
2041-05-15
Fixed
2.25000000
N
N
N
N
N
N
UMBS P#AD6388 4% 05/01/25
N/A
FANNIE MAE POOL UMBS P#AD6388 4.00000000
31418UC28
10414.92000000
NS
USD
11055.15000000
0.000843542148
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
4.00000000
N
N
N
N
N
N
BANCO SANTANDE 2.706% 06/27/24
5493006QMFDDMYWIAM13
BANCO SANTANDER SA REGD 2.70600000
05971KAD1
400000.00000000
NS
USD
422687.59000000
0.032252370884
Long
DBT
CORP
ES
N
2
2024-06-27
Fixed
2.70600000
N
N
N
N
N
N
COMCAST CORP 2.887% 11/01/51
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 144A P/P 2.88700000
20030NDR9
29000.00000000
NS
USD
28875.16000000
0.002203264045
Long
DBT
CORP
US
Y
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
UTILICORP UNI 8.27% 11/15/21
N/A
UTILICORP UNITED INC 8.27000000
918005AT6
775000.00000000
NS
USD
786873.11000000
0.060040852825
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
8.27000000
N
N
N
N
N
N
CIGNA CORP 3.4% 03/15/51
549300VIWYMSIGT1U456
CIGNA CORP REGD 3.40000000
125523CQ1
420000.00000000
NS
USD
449184.17000000
0.034274141916
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.40000000
N
N
N
N
N
N
UMBS P#AE2911 3.5% 12/01/25
N/A
FANNIE MAE POOL UMBS P#AE2911 3.50000000
31419DGV7
23643.38000000
NS
USD
25239.76000000
0.001925871778
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 10/31/22
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R SER * 0.90850000
38148YAB4
40000.00000000
NS
USD
40043.87000000
0.003055471174
Long
DBT
CORP
US
N
2
2022-10-31
Variable
0.90850000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 08/17/29
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 2.20600000
404280CV9
785000.00000000
NS
USD
791787.31000000
0.060415821489
Long
DBT
CORP
GB
N
2
2029-08-17
Variable
2.20600000
N
N
N
N
N
N
L3HARRIS TECH IN 4.4% 06/15/28
549300UTE50ZMDBG8A20
L3HARRIS TECH INC REGD SER * 4.40000000
502431AM1
161000.00000000
NS
USD
186119.98000000
0.014201530316
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.40000000
N
N
N
N
N
N
AERCAP IRELAND C 3.5% 01/15/25
N/A
AERCAP IRELAND CAP/GLOBA REGD 3.50000000
00774MAC9
350000.00000000
NS
USD
370667.01000000
0.028283039681
Long
DBT
CORP
IE
N
2
2025-01-15
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#BP1662 3.5% 02/01/50
N/A
FANNIE MAE POOL UMBS P#BP1662 3.50000000
3140K8Z46
47736.93000000
NS
USD
50504.18000000
0.003853625190
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.50000000
N
N
N
N
N
N
LOCKHEED MARTIN 4.5% 05/15/36
DPRBOZP0K5RM2YE8UU08
LOCKHEED MARTIN CORP REGD 4.50000000
539830BK4
40000.00000000
NS
USD
50682.21000000
0.003867209430
Long
DBT
CORP
US
N
2
2036-05-15
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP INC 4.4% 06/10/25
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD 4.40000000
172967JT9
890000.00000000
NS
USD
990481.39000000
0.075576794540
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
NORTHWEST AIR 7.041% 4/1/22
N/A
NORTHWEST AIR 7.041% 4/1/22 7.04100000
667294AW2
87278.77000000
NS
USD
87290.03000000
0.006660499358
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
7.04100000
N
N
N
N
N
N
GNMA P#655342 6% 05/15/36
N/A
GINNIE MAE I POOL P#655342 6.00000000
36294PBK8
823.37000000
NS
USD
921.46000000
0.000070310248
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#929623 5% 06/01/38
N/A
FANNIE MAE POOL UMBS P#929623 5.00000000
31412MYU6
4140.23000000
NS
USD
4542.37000000
0.000346596884
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.00000000
N
N
N
N
N
N
SMB 2016-A A2A 2.7% 05/15/25
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2016-A SER 2016-A CL A2A REGD 144A P/P 2.70000000
78449FAB7
37702.01000000
NS
USD
38671.18000000
0.002950730680
Long
ABS-CBDO
CORP
US
Y
2
2031-05-15
Fixed
2.70000000
N
N
N
N
N
N
FNA 2019-M4 A2 3.61% 02/25/31
N/A
FANNIE MAE-ACES SER 2019-M4 CL A2 3.61000000
3136B35Z9
80000.00000000
NS
USD
94117.74000000
0.007181474755
Long
ABS-CBDO
CORP
US
N
2
2031-02-25
Fixed
3.61000000
N
N
N
N
N
N
UMBS P#MA3332 3.5% 04/01/48
N/A
FANNIE MAE POOL UMBS P#MA3332 3.50000000
31418CV27
570901.99000000
NS
USD
606193.72000000
0.046254456358
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#AH2857 3.5% 01/01/26
N/A
FANNIE MAE POOL UMBS P#AH2857 3.50000000
3138A4E76
1012.57000000
NS
USD
1081.36000000
0.000082511113
Long
ABS-MBS
USGSE
US
N
2
2026-01-01
Fixed
3.50000000
N
N
N
N
N
N
GNR 2020-H09 FL V/R 05/20/70
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-H09 CL FL V/R 1.23838000
38380QAW2
270715.82000000
NS
USD
284555.22000000
0.021712443680
Long
ABS-CBDO
CORP
US
N
2
2070-05-20
Variable
1.23838000
N
N
N
N
N
N
UMBS P#MA1591 4.5% 09/01/43
N/A
FANNIE MAE POOL UMBS P#MA1591 4.50000000
31418AXV5
63503.79000000
NS
USD
71171.60000000
0.005430613280
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
MPLX LP 5.5% 02/15/49
N/A
MPLX LP REGD 5.50000000
55336VAT7
150000.00000000
NS
USD
194291.77000000
0.014825063176
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#MA4398 2% 08/01/51
N/A
FANNIE MAE POOL UMBS P#MA4398 2.00000000
31418D3G5
2118185.46000000
NS
USD
2150198.87000000
0.164066826352
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
US TREAS BDS 1.375% 08/15/50
N/A
UNITED STATES TREASURY BOND 1.37500000
912810SP4
10210000.00000000
NS
USD
8925773.44000000
0.681064129217
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
UMBS P#BP3082 3% 03/01/50
N/A
FANNIE MAE POOL UMBS P#BP3082 3.00000000
3140KAM86
831463.42000000
NS
USD
874866.88000000
0.066755049723
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
F/C 90DAY EURO$ FUTR DEC21
N/A
FUTURE CONTRACT ON 90DAY EURO$ FUTR DEC21 0.00000000
N/A
-347.00000000
NC
USD
-86598187.50000000
-6.60770963524
N/A
DIR
CORP
US
N
1
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
Short
F/C 90DAY EURO$ FUTR DEC21
90DAY EURO$ FUTR DEC21
2021-12-13
86491992.42000000
USD
-106195.08000000
N
N
N
NVENT FINANCE S 3.95% 04/15/23
N/A
NVENT FINANCE SARL REGD 3.95000000
67078AAC7
320000.00000000
NS
USD
334175.64000000
0.025498635249
Long
DBT
CORP
LU
N
2
2023-04-15
Fixed
3.95000000
N
N
N
N
N
N
FNR 2005-117 LC 5.5% 11/25/35
N/A
FANNIE MAE REMICS SER 2005-117 CL LC 5.50000000
31394VCF5
45093.25000000
NS
USD
46693.95000000
0.003562892852
Long
ABS-CBDO
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
T/L RACKSPACE TECHNOLOGY GLOBAL INC 0% 02/03/28
N/A
T/L RACKSPACE TECHNOLOGY GLOBAL INC REGD 0.00000000
N/A
209475.00000000
NS
USD
207587.63000000
0.015839578431
Long
LON
CORP
US
N
2
2028-02-03
Variable
3.50000000
N
N
N
N
N
N
FREMF 2019-KF58 V/R 01/25/26
N/A
FREMF 2019-KF58 MORTGAGE TRUST SER 2019-KF58 CL B V/R 144A P/P 2.24050000
302986AC8
513536.41000000
NS
USD
513613.13000000
0.039190270903
Long
ABS-CBDO
CORP
US
Y
2
2026-01-25
Variable
2.24050000
N
N
N
N
N
N
US TREAS NTS 0.25% 06/30/25
N/A
UNITED STATES TREASURY NOTE 0.25000000
912828ZW3
3060000.00000000
NS
USD
3021570.71000000
0.230555193710
Long
DBT
UST
US
N
2
2025-06-30
Fixed
0.25000000
N
N
N
N
N
N
ENERGY TRANSFER 5.4% 10/01/47
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD 5.40000000
86765BAV1
300000.00000000
NS
USD
363513.62000000
0.027737213892
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
US TREAS BDS 3% 02/15/47
N/A
UNITED STATES TREASURY BOND 3.00000000
912810RV2
738000.00000000
NS
USD
902147.35000000
0.068836633988
Long
DBT
UST
US
N
2
2047-02-15
Fixed
3.00000000
N
N
N
N
N
N
CAS 2017-C03 1M2 V/R 10/25/29
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2017-C03 CL 1M2 V/R REGD 3.08438000
30711XJX3
841134.17000000
NS
USD
864528.89000000
0.065966229101
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Variable
3.08438000
N
N
N
N
N
N
FFMER 2007-4 2A4 V/R 07/25/37
N/A
MERRILL LYNCH FIRST FRANKLIN MORTGAGE LOAN TRUST SERIES SER 2007-4 CL 2A4 V/R REGD 0.33438000
59025CAE0
243798.39000000
NS
USD
161262.81000000
0.012304851339
Long
ABS-CBDO
CORP
US
N
2
2037-07-25
Variable
0.33438000
N
N
N
N
N
N
UMBS P#AQ7003 4% 12/01/42
N/A
FANNIE MAE POOL UMBS P#AQ7003 4.00000000
3138MNX96
118049.35000000
NS
USD
130191.06000000
0.009933980680
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
MOLINA HEALTHC 5.375% 11/15/22
549300NQQCEQ46YHZ591
MOLINA HEALTHCARE INC REGD SER WI 5.37500000
60855RAG5
255000.00000000
NS
USD
264690.00000000
0.020196665933
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
5.37500000
N
N
N
N
N
N
COX COMMUNICATIO 3.6% 06/15/51
N/A
COX COMMUNICATIONS INC REGD 144A P/P 3.60000000
224044CP0
97000.00000000
NS
USD
102730.05000000
0.007838620654
Long
DBT
CORP
US
Y
2
2051-06-15
Fixed
3.60000000
N
N
N
N
N
N
CONSUMERS ENERGY 3.5% 08/01/51
N/A
CONSUMERS ENERGY CO REGD 3.50000000
210518DH6
256000.00000000
NS
USD
295783.15000000
0.022569169478
Long
DBT
CORP
US
N
2
2051-08-01
Fixed
3.50000000
N
N
N
N
N
N
US TREAS NTS 0.375% 12/31/25
N/A
UNITED STATES TREASURY NOTE 0.37500000
91282CBC4
620000.00000000
NS
USD
612032.03000000
0.046699937475
Long
DBT
UST
US
N
2
2025-12-31
Fixed
0.37500000
N
N
N
N
N
N
LLOYDS BANKING GR V/R 11/07/23
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC REGD V/R SER . 2.90700000
539439AP4
860000.00000000
NS
USD
883831.14000000
0.067439050496
Long
DBT
CORP
GB
N
2
2023-11-07
Variable
2.90700000
N
N
N
N
N
N
HCA INC 5% 03/15/24
N/A
HCA INC REGD 5.00000000
404119BN8
598000.00000000
NS
USD
657946.35000000
0.050203342146
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
5.00000000
N
N
N
N
N
N
BALTIMORE GAS & 3.2% 09/15/49
N/A
BALTIMORE GAS & ELECTRIC REGD 3.20000000
059165EL0
130000.00000000
NS
USD
140062.55000000
0.010687205909
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.20000000
N
N
N
N
N
N
UMBS P#MA4397 1.5% 08/01/51
N/A
FANNIE MAE POOL UMBS P#MA4397 1.50000000
31418D3F7
1096432.60000000
NS
USD
1078833.52000000
0.082318335414
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
1.50000000
N
N
N
N
N
N
GNMA II P#785359 2% 03/20/51
N/A
GINNIE MAE II POOL P#785359 2.00000000
3622AAZY3
97033.93000000
NS
USD
99185.81000000
0.007568184177
Long
ABS-MBS
USGSE
US
N
2
2051-03-20
Fixed
2.00000000
N
N
N
N
N
N
APPLE INC 2.9% 09/12/27
HWUPKR0MPOU8FGXBT394
APPLE INC REGD 2.90000000
037833DB3
360000.00000000
NS
USD
393350.58000000
0.030013866254
Long
DBT
CORP
US
N
2
2027-09-12
Fixed
2.90000000
N
N
N
N
N
N
VERIZON COMMUNI 0.85% 11/20/25
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 0.85000000
92343VFS8
40000.00000000
NS
USD
39726.74000000
0.003031273173
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
0.85000000
N
N
N
N
N
N
ABBVIE INC 3.45% 03/15/22
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD SER WI 3.45000000
00287YCS6
100000.00000000
NS
USD
101173.90000000
0.007719881595
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.45000000
N
N
N
N
N
N
KRAFT HEINZ FO 6.875% 01/26/39
N/A
KRAFT HEINZ FOODS CO REGD SER WI 6.87500000
50076QAR7
30000.00000000
NS
USD
44863.84000000
0.003423249797
Long
DBT
CORP
US
N
2
2039-01-26
Fixed
6.87500000
N
N
N
N
N
N
BANK OF NOVA SCO 1.3% 06/11/25
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA REGD 1.30000000
064159VL7
170000.00000000
NS
USD
172013.54000000
0.013125165300
Long
DBT
CORP
CA
N
2
2025-06-11
Fixed
1.30000000
N
N
N
N
N
N
RBSCF 2013-GSP A V/R 01/15/24
N/A
RBS COMMERCIAL FUNDING INC 2013-GSP TRUST SER 2013-GSP CL A V/R REGD 3.96138700
74932QAA8
1535000.00000000
NS
USD
1624694.66000000
0.123969229254
Long
ABS-CBDO
CORP
US
Y
2
2032-01-15
Variable
3.96138700
N
N
N
N
N
N
COCA-COLA CO/TH 2.25% 01/05/32
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE REGD 2.25000000
191216DP2
74000.00000000
NS
USD
76638.28000000
0.005847737877
Long
DBT
CORP
US
N
2
2032-01-05
Fixed
2.25000000
N
N
N
N
N
N
BMARK 2018-B1 3.571% 01/15/23
N/A
BENCHMARK 2018-B1 MORTGAGE TRUST SER 2018-B1 CL A2 REGD 3.57100000
08162PAT8
285000.00000000
NS
USD
292777.14000000
0.022339801614
Long
ABS-CBDO
CORP
US
N
2
2051-01-15
Fixed
3.57100000
N
N
N
N
N
N
T/L MICHAELS ST 0% 04/08/28
N/A
T/L MICHAELS STORES INC REGD 0.00000000
N/A
140000.00000000
NS
USD
140262.50000000
0.010702462712
Long
LON
CORP
US
N
2
2028-04-08
Variable
5.00000000
N
N
N
N
N
N
BOSTON SCIENTIF 2.65% 06/01/30
Y6ZDD9FP4P8JSSJMW954
BOSTON SCIENTIFIC CORP REGD 2.65000000
101137BA4
62000.00000000
NS
USD
64630.03000000
0.004931471249
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.65000000
N
N
N
N
N
N
UMBS P#RC1887 2% 03/01/36
N/A
FREDDIE MAC POOL UMBS P#RC1887 2.00000000
3133L8CY9
1396763.54000000
NS
USD
1450548.11000000
0.110681308691
Long
ABS-MBS
USGA
US
N
2
2036-03-01
Fixed
2.00000000
N
N
N
N
N
N
CIGNA CORP 3.5% 06/15/24
549300VIWYMSIGT1U456
CIGNA CORP REGD SER * 3.50000000
125523BX7
65000.00000000
NS
USD
69640.03000000
0.005313749750
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.50000000
N
N
N
N
N
N
APPLE INC 2.4% 05/03/23
HWUPKR0MPOU8FGXBT394
APPLE INC REGD 2.40000000
037833AK6
300000.00000000
NS
USD
310795.79000000
0.023714680358
Long
DBT
CORP
US
N
2
2023-05-03
Fixed
2.40000000
N
N
N
N
N
N
TEVA PHARMACEUT 3.15% 10/01/26
N/A
TEVA PHARMACEUTICALS NE REGD 3.15000000
88167AAE1
540000.00000000
NS
USD
516447.90000000
0.039406572625
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
COCA-COLA CO/TH 1.45% 06/01/27
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE REGD 1.45000000
191216CU2
160000.00000000
NS
USD
163273.02000000
0.012458236581
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
1.45000000
N
N
N
N
N
N
FED REPUBLIC O 3.875% 06/12/30
N/A
FED REPUBLIC OF BRAZIL REGD 3.87500000
105756CC2
200000.00000000
NS
USD
200870.00000000
0.015327002478
Long
DBT
USGA
BR
N
2
2030-06-12
Fixed
3.87500000
N
N
N
N
N
N
FHMS K743 X1 V/R 05/25/28
N/A
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER K743 CL X1 V/R 0.92590500
3137H14D5
4000000.00000000
NS
USD
229999.60000000
0.017549681083
Long
ABS-CBDO
CORP
US
N
2
2028-05-25
Variable
0.92590500
N
N
N
N
N
N
UMBS P#QA8791 3.5% 04/01/50
N/A
FREDDIE MAC POOL UMBS P#QA8791 3.50000000
3133A3XU7
68960.13000000
NS
USD
74348.43000000
0.005673015238
Long
ABS-MBS
USGA
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
GNMA II P#BT1888 2.5% 12/20/50
N/A
GINNIE MAE II POOL P#BT1888 2.50000000
3617MQCZ7
96947.90000000
NS
USD
100673.26000000
0.007681681214
Long
ABS-MBS
USGSE
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#SD0490 4% 01/01/45
N/A
FREDDIE MAC POOL UMBS P#SD0490 4.00000000
3132DMRK3
851632.16000000
NS
USD
936616.69000000
0.071466751276
Long
ABS-MBS
USGA
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
F/C 90DAY EURO$ FUTR DEC23
N/A
FUTURE CONTRACT ON 90DAY EURO$ FUTR DEC23 0.00000000
N/A
180.00000000
NC
USD
44565750.00000000
3.400504608447
N/A
DIR
CORP
US
N
1
BMO HARRIS BANK NA 001
3Y4U8VZURTYWI1W2K376
BMO HARRIS BANK NA 001
3Y4U8VZURTYWI1W2K376
BMO HARRIS BANK NA 001
3Y4U8VZURTYWI1W2K376
Long
F/C 90DAY EURO$ FUTR DEC23
90DAY EURO$ FUTR DEC23
2023-12-18
44552575.00000000
USD
13175.00000000
N
N
N
DUKE ENERGY COR 2.55% 06/15/31
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP REGD 2.55000000
26441CBL8
500000.00000000
NS
USD
514782.82000000
0.039279521869
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.55000000
N
N
N
N
N
N
UMBS P#MA4378 2% 07/01/51
N/A
FANNIE MAE POOL UMBS P#MA4378 2.00000000
31418D2L5
2707017.37000000
NS
USD
2747930.15000000
0.209675572356
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
INSTR 2021-1A A 2.3% 02/15/28
N/A
INSTAR LEASING III LLC SER 2021-1A CL A REGD 144A P/P 2.30000000
45783NAA5
330882.30000000
NS
USD
334579.78000000
0.025529472381
Long
ABS-CBDO
CORP
US
Y
2
2054-02-15
Fixed
2.30000000
N
N
N
N
N
N
MICROSOFT CORP 2.7% 02/12/25
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP REGD 2.70000000
594918BB9
70000.00000000
NS
USD
74694.41000000
0.005699414582
Long
DBT
CORP
US
N
2
2025-02-12
Fixed
2.70000000
N
N
N
N
N
N
UMBS P#AT0969 3% 04/01/43
N/A
FANNIE MAE POOL UMBS P#AT0969 3.00000000
3138WNCF4
83812.08000000
NS
USD
89223.57000000
0.006808034442
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
VERIZON COMMUNIC 4.4% 11/01/34
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD SER 20YR 4.40000000
92343VCQ5
140000.00000000
NS
USD
168808.56000000
0.012880615410
Long
DBT
CORP
US
N
2
2034-11-01
Fixed
4.40000000
N
N
N
N
N
N
GNR 2017-187 SJ V/R 12/20/47
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-187 CL SJ V/R 6.11162000
38380UFS7
97518.86000000
NS
USD
19159.22000000
0.001461907763
Long
ABS-CBDO
CORP
US
N
2
2047-12-20
Variable
6.11162000
N
N
N
N
N
N
UMBS P#AK8441 4% 04/01/42
N/A
FANNIE MAE POOL UMBS P#AK8441 4.00000000
3138EDLX7
39869.97000000
NS
USD
44108.94000000
0.003365648592
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
US TREAS BDS 3% 11/15/44
N/A
UNITED STATES TREASURY BOND 3.00000000
912810RJ9
1375000.00000000
NS
USD
1662568.35000000
0.126859108980
Long
DBT
UST
US
N
2
2044-11-15
Fixed
3.00000000
N
N
N
N
N
N
UNITED AIR 2014 4.75% 04/11/22
N/A
UNITED AIR 2014-1 B PTT REGD SER B 4.75000000
90932PAB4
29639.18000000
NS
USD
30026.30000000
0.002291099589
Long
DBT
CORP
US
N
2
2022-04-11
Fixed
4.75000000
N
N
N
N
N
N
ARES CAPITAL CO 2.15% 07/15/26
WEQ82666OJYSI5GUAB47
ARES CAPITAL CORP REGD 2.15000000
04010LBA0
460000.00000000
NS
USD
463648.32000000
0.035377801312
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
2.15000000
N
N
N
N
N
N
NGPL PIPECO LLC 3.25% 07/15/31
N/A
NGPL PIPECO LLC REGD 144A P/P 3.25000000
62928CAA0
277000.00000000
NS
USD
286408.80000000
0.021853877569
Long
DBT
CORP
US
Y
2
2031-07-15
Fixed
3.25000000
N
N
N
N
N
N
GENERAL DYNAMIC 4.25% 04/01/50
9C1X8XOOTYY2FNYTVH06
GENERAL DYNAMICS CORP REGD 4.25000000
369550BJ6
70000.00000000
NS
USD
90799.25000000
0.006928263701
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
VODAFONE GROUP 5.25% 05/30/48
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC REGD 5.25000000
92857WBM1
116000.00000000
NS
USD
155012.51000000
0.011827934111
Long
DBT
CORP
GB
N
2
2048-05-30
Fixed
5.25000000
N
N
N
N
N
N
ENERGY TRANSFER LP 4% 10/01/27
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD 4.00000000
86765BAU3
303000.00000000
NS
USD
337030.12000000
0.025716440904
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUN 2.875% 11/20/50
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 2.87500000
92343VFU3
430000.00000000
NS
USD
413112.79000000
0.031521784020
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.87500000
N
N
N
N
N
N
UMBS P#FM8576 3% 02/01/50
N/A
FANNIE MAE POOL UMBS P#FM8576 3.00000000
3140XCQ68
2230000.00000000
NS
USD
2357286.13000000
0.179868225004
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
T/L REALPAGE INC 0% 2/18/28
N/A
T/L REALPAGE INC REGD 0.00000000
N/A
340000.00000000
NS
USD
338449.60000000
0.025824751620
Long
LON
CORP
US
N
2
2028-02-18
Variable
3.75000000
N
N
N
N
N
N
BMARK 2019-B1 2.952% 10/15/29
N/A
BENCHMARK 2019-B13 MORTGAGE TRUST SER 2019-B13 CL A4 REGD 2.95200000
08162DAE8
348000.00000000
NS
USD
377145.45000000
0.028777364697
Long
ABS-CBDO
CORP
US
N
2
2057-08-15
Fixed
2.95200000
N
N
N
N
N
N
SANTANDER HOLDIN 4.5% 07/17/25
N/A
SANTANDER HOLDINGS USA REGD 4.50000000
80282KAE6
30000.00000000
NS
USD
33277.75000000
0.002539195284
Long
DBT
CORP
US
N
2
2025-07-17
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#BF0222 4.5% 09/01/57
N/A
FANNIE MAE POOL UMBS P#BF0222 4.50000000
3140FXG89
274211.41000000
NS
USD
307484.12000000
0.023461989691
Long
ABS-MBS
USGSE
US
N
2
2057-09-01
Fixed
4.50000000
N
N
N
N
N
N
T/L ZAYO GROUP 0% 03/09/2027
N/A
T/L ZAYO GROUP HOLDINGS INC REGD 0.00000000
98919XAB7
80000.00000000
NS
USD
79073.60000000
0.006033560328
Long
LON
CORP
US
N
2
2027-03-09
Variable
3.08463000
N
N
N
N
N
N
T/L FLEETCOR TECHNO 0% 4/21/28
N/A
T/L FLEETCOR TECHNOLOGIES OPERATING COMPANY LLCREGD 0.00000000
33903RAY5
160000.00000000
NS
USD
159471.20000000
0.012168145953
Long
LON
CORP
US
N
2
2028-04-21
Variable
1.83463000
N
N
N
N
N
N
US TREAS BDS 1.375% 11/15/40
N/A
UNITED STATES TREASURY BOND 1.37500000
912810ST6
5470000.00000000
NS
USD
5062100.40000000
0.386253922319
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
JBS USA/FOOD/FIN 5.5% 01/15/30
N/A
JBS USA/FOOD/FINANCE REGD 144A P/P 5.50000000
46590XAB2
275000.00000000
NS
USD
310695.00000000
0.023706989769
Long
DBT
CORP
US
Y
2
2030-01-15
Fixed
5.50000000
N
N
N
N
N
N
PAYPAL HOLDINGS 1.65% 06/01/25
5493005X2GO78EFZ3E94
PAYPAL HOLDINGS INC REGD 1.65000000
70450YAG8
140000.00000000
NS
USD
144190.88000000
0.011002210260
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.65000000
N
N
N
N
N
N
UMBS P#AT9657 4% 07/01/43
N/A
FANNIE MAE POOL UMBS P#AT9657 4.00000000
3138WXWT0
55027.20000000
NS
USD
60875.12000000
0.004644959999
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#MA3277 4% 02/01/48
N/A
FANNIE MAE POOL UMBS P#MA3277 4.00000000
31418CUB8
173826.90000000
NS
USD
186845.78000000
0.014256911102
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
US TREAS NTS 0.75% 01/31/28
N/A
UNITED STATES TREASURY NOTE 0.75000000
91282CBJ9
7910000.00000000
NS
USD
7788569.16000000
0.594291924219
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.75000000
N
N
N
N
N
N
RANGE RESOURCE 5.875% 07/01/22
H3Y3WLYCX0BTO1TRW162
RANGE RESOURCES COR REGD SER * 5.87500000
75281AAU3
8000.00000000
NS
USD
8181.36000000
0.000624263080
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
5.87500000
N
N
N
N
N
N
JPMDB 2018-C8 4.521% 05/15/28
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2018-C8 SER 2018-C8 CL B REGD 4.52160000
46591ABF1
130000.00000000
NS
USD
149008.18000000
0.011369785155
Long
ABS-CBDO
CORP
US
N
2
2051-06-15
Fixed
4.52160000
N
N
N
N
N
N
UMBS P#977174 5% 02/01/23
N/A
FANNIE MAE POOL UMBS P#977174 5.00000000
31414VCK0
53.62000000
NS
USD
55.88000000
0.000004263816
Long
ABS-MBS
USGSE
US
N
2
2023-02-01
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#G06012 4% 09/01/40
N/A
FREDDIE MAC GOLD POOL P#G06012 4.00000000
3128M8AM6
1194318.29000000
NS
USD
1344470.77000000
0.102587279453
Long
ABS-MBS
USGA
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
ECOPETROL SA 5.875% 05/28/45
N/A
ECOPETROL SA REGD 5.87500000
279158AJ8
760000.00000000
NS
USD
815936.00000000
0.062258441251
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
FORD MOTOR CRE 3.339% 03/28/22
N/A
FORD MOTOR CREDIT CO LLC REGD 3.33900000
345397YL1
470000.00000000
NS
USD
475466.10000000
0.036279534490
Long
DBT
CORP
US
N
2
2022-03-28
Fixed
3.33900000
N
N
N
N
N
N
T/L HILTON WORLDWI 0% 6/22/26
N/A
T/L HILTON WORLDWIDE FINANCE LLC REGD 0.00000000
43289DAH6
431964.16000000
NS
USD
427914.50000000
0.032651200288
Long
LON
CORP
US
N
2
2026-06-22
Variable
1.83438000
N
N
N
N
N
N
GILEAD SCIENCES 3.65% 03/01/26
549300WTZWR07K8MNV44
GILEAD SCIENCES INC REGD 3.65000000
375558BF9
60000.00000000
NS
USD
66192.58000000
0.005050698649
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.65000000
N
N
N
N
N
N
REALTY INCOME C 3.25% 01/15/31
549300CUWDAUZSH43859
REALTY INCOME CORP REGD 3.25000000
756109AX2
144000.00000000
NS
USD
159199.92000000
0.012147446449
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.25000000
N
N
N
N
N
N
REPUBLIC OF PER 6.55% 03/14/37
N/A
REPUBLIC OF PERU REGD 6.55000000
715638AU6
70000.00000000
NS
USD
97032.95000000
0.007403914298
Long
DBT
USGA
PE
N
2
2037-03-14
Fixed
6.55000000
N
N
N
N
N
N
RELX CAPITAL INC 3% 05/22/30
N/A
RELX CAPITAL INC REGD 3.00000000
74949LAD4
447000.00000000
NS
USD
480477.89000000
0.036661949573
Long
DBT
CORP
US
N
2
2030-05-22
Fixed
3.00000000
N
N
N
N
N
N
CELGENE CORP 3.9% 02/20/28
N/A
CELGENE CORP REGD 3.90000000
151020BB9
65000.00000000
NS
USD
71502.34000000
0.005455849765
Long
DBT
CORP
US
N
2
2028-02-20
Fixed
3.90000000
N
N
N
N
N
N
BOEING CO 3.2% 03/01/29
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 3.20000000
097023CD5
260000.00000000
NS
USD
273916.45000000
0.020900672614
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.20000000
N
N
N
N
N
N
T/L CLOUDERA INC 0% 08/10/28
N/A
T/L CLOUDERA INC REGD 0.00000000
74339VAB4
130000.00000000
NS
USD
129472.20000000
0.009879129438
Long
LON
CORP
US
N
2
2028-08-10
Variable
0.00000000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP01.67 07/09/51 GOLDUS33 FLOAT
N/A
1.00000000
NC
USD
-12843.81000000
-0.00098002244
N/A
DIR
US
N
2
NOMURA
N/A
N/A
N/A
Y
2051-07-09
-1679118.23000000
USD
1672000.00000000
USD
1672000.00000000
USD
-5725.58000000
N
N
N
T-MOBILE USA INC 3.3% 02/15/51
N/A
T-MOBILE USA INC REGD 3.30000000
87264ABN4
10000.00000000
NS
USD
10040.65000000
0.000766132660
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.30000000
N
N
N
N
N
N
STATE OF QATAR 4.5% 04/23/28
N/A
STATE OF QATAR REGD 4.50000000
M8489SAH0
200000.00000000
NS
USD
236500.00000000
0.018045681715
Long
DBT
USGA
QA
N
2
2028-04-23
Fixed
4.50000000
N
N
N
N
N
N
KRAFT HEINZ FOOD 5.5% 06/01/50
N/A
KRAFT HEINZ FOODS CO REGD SER WI 5.50000000
50077LBJ4
80000.00000000
NS
USD
106807.98000000
0.008149779330
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#AQ3599 4% 11/01/42
N/A
FANNIE MAE POOL UMBS P#AQ3599 4.00000000
3138MJ7M5
39002.14000000
NS
USD
43149.57000000
0.003292445692
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
ATMOS ENERGY C 4.125% 10/15/44
QVLWEGTD2S8GJMO8D383
ATMOS ENERGY CORP REGD 4.12500000
049560AM7
82000.00000000
NS
USD
98009.69000000
0.007478442582
Long
DBT
CORP
US
N
2
2044-10-15
Fixed
4.12500000
N
N
N
N
N
N
UMBS P#FM3753 3.5% 04/01/48
N/A
FANNIE MAE POOL UMBS P#FM3753 3.50000000
3140X7E39
183216.02000000
NS
USD
197340.56000000
0.015057695286
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
WESTERN MIDSTREAM V/R 01/13/23
N/A
WESTERN MIDSTREAM OPERAT REGD V/R 2.22863000
958667AD9
50000.00000000
NS
USD
49885.18000000
0.003806393575
Long
DBT
CORP
US
N
2
2023-01-13
Variable
2.22863000
N
N
N
N
N
N
PIONEER NATURA 1.125% 01/15/26
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCE REGD 1.12500000
723787AT4
30000.00000000
NS
USD
29736.15000000
0.002268960246
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.12500000
N
N
N
N
N
N
ORACLE CORP 2.875% 03/25/31
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP REGD 2.87500000
68389XCE3
855000.00000000
NS
USD
901621.24000000
0.068796490167
Long
DBT
CORP
US
N
2
2031-03-25
Fixed
2.87500000
N
N
N
N
N
N
CVS HEALTH CORP 2.75% 12/01/22
549300EJG376EN5NQE29
CVS HEALTH CORP REGD 2.75000000
126650BZ2
340000.00000000
NS
USD
348265.94000000
0.026573768733
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.75000000
N
N
N
N
N
N
FREEPORT-MCMOR 3.875% 03/15/23
549300IRDTHJQ1PVET45
FREEPORT-MCMORAN INC REGD SER WI 3.87500000
35671DAZ8
10000.00000000
NS
USD
10350.00000000
0.000789737022
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.87500000
N
N
N
N
N
N
UMBS P#AY6262 3% 03/01/30
N/A
FANNIE MAE POOL UMBS P#AY6262 3.00000000
3138YK5Y5
36527.70000000
NS
USD
38878.60000000
0.002966557467
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#FM1539 4.5% 09/01/49
N/A
FANNIE MAE POOL UMBS P#FM1539 4.50000000
3140X4V94
31960.56000000
NS
USD
34772.65000000
0.002653260779
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.50000000
N
N
N
N
N
N
VNDO 2012-6AV 2.995% 11/15/22
N/A
VNDO 2012-6AVE MORTGAGE TRUST SER 2012-6AVE CL A REGD 144A P/P 2.99560000
91830CAA6
530000.00000000
NS
USD
542410.59000000
0.041387606199
Long
ABS-CBDO
CORP
US
Y
2
2030-11-15
Fixed
2.99560000
N
N
N
N
N
N
CGCMT 2016-P5 2.941% 09/10/26
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P5 SER 2016-P5 CL A4 REGD 2.94100000
17325DAD5
500000.00000000
NS
USD
537471.80000000
0.041010761241
Long
ABS-CBDO
CORP
US
N
2
2049-10-10
Fixed
2.94100000
N
N
N
N
N
N
US TREAS NTS 1.25% 04/30/28
N/A
UNITED STATES TREASURY NOTE 1.25000000
91282CBZ3
3600000.00000000
NS
USD
3650625.00000000
0.278553982289
Long
DBT
UST
US
N
2
2028-04-30
Fixed
1.25000000
N
N
N
N
N
N
TARGA RES PART 4.875% 2/1/31
N/A
TARGA RES PARTNERS REGD 4.87500000
87612BBS0
10000.00000000
NS
USD
10890.50000000
0.000830978844
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.87500000
N
N
N
N
N
N
VDC 2019-1A A 3.188% 07/15/24
N/A
VANTAGE DATA CENTERS ISSUER LLC SER 2019-1A CL A2 REGD 144A P/P 3.18800000
92212KAA4
793799.99000000
NS
USD
822916.89000000
0.062791104756
Long
ABS-CBDO
CORP
US
Y
2
2044-07-15
Fixed
3.18800000
N
N
N
N
N
N
CVS HEALTH CORP AMRTZ 6.036%28
N/A
CVS HEALTH CORP AMRTZ 6.036%28 6.03600000
126650BP4
134754.00000000
NS
USD
158018.80000000
0.012057323339
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
6.03600000
N
N
N
N
N
N
UNITEDHEALTH GR 3.75% 07/15/25
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 3.75000000
91324PCP5
70000.00000000
NS
USD
77777.00000000
0.005934625736
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
WELLS FARGO & COM V/R 04/04/31
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD V/R MTN 4.47800000
95000U2L6
100000.00000000
NS
USD
118605.31000000
0.009049952109
Long
DBT
CORP
US
N
2
2031-04-04
Variable
4.47800000
N
N
N
N
N
N
DEVON ENERGY CO 5.25% 10/15/27
54930042348RKR3ZPN35
DEVON ENERGY CORPORATION REGD 144A P/P 5.25000000
25179MAY9
32000.00000000
NS
USD
34053.12000000
0.002598358414
Long
DBT
CORP
US
Y
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
SOUTHERN CAL EDI 3.7% 08/01/25
N/A
SOUTHERN CAL EDISON REGD SER E 3.70000000
842400GN7
486000.00000000
NS
USD
532019.54000000
0.040594736934
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.70000000
N
N
N
N
N
N
T/L CHANGE HEALTH ZCP 03/01/24
N/A
T/L CHANGE HEALTHCARE HOLDINGS ZCP TERM LOAN 0.00000000
15911AAC7
246285.48000000
NS
USD
246023.19000000
0.018772330576
Long
LON
CORP
US
N
2
2024-03-01
Variable
3.50000000
N
N
N
N
N
N
MONSANTO CO 4.4% 07/15/44
N/A
MONSANTO CO REGD 4.40000000
61166WAP6
30000.00000000
NS
USD
32565.24000000
0.002484828566
Long
DBT
CORP
US
N
2
2044-07-15
Fixed
4.40000000
N
N
N
N
N
N
KLA CORP 3.3% 03/01/50
549300H0BF5JCG96TJ81
KLA CORP REGD 3.30000000
482480AJ9
159000.00000000
NS
USD
173740.72000000
0.013256954478
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.30000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 05/01/28
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 3.54000000
46647PAF3
45000.00000000
NS
USD
49666.76000000
0.003789727453
Long
DBT
CORP
US
N
2
2028-05-01
Variable
3.54000000
N
N
N
N
N
N
UMBS P#QC4690 2.5% 08/01/51
N/A
FREDDIE MAC POOL UMBS P#QC4690 2.50000000
3133APF79
99815.07000000
NS
USD
105084.84000000
0.008018298417
Long
ABS-MBS
USGA
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
DELTA AIR LINES 4.75% 10/20/28
N/A
DELTA AIR LINES/SKYMILES REGD 144A P/P 4.75000000
830867AB3
120000.00000000
NS
USD
133585.84000000
0.010193012897
Long
DBT
CORP
US
Y
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
T-MOBILE USA IN 2.25% 02/15/26
N/A
T-MOBILE USA INC REGD 2.25000000
87264ABR5
740000.00000000
NS
USD
756650.00000000
0.057734736024
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
WALMART INC 3.55% 06/26/25
Y87794H0US1R65VBXU25
WALMART INC REGD 3.55000000
931142ED1
50000.00000000
NS
USD
55078.50000000
0.004202659959
Long
DBT
CORP
US
N
2
2025-06-26
Fixed
3.55000000
N
N
N
N
N
N
BRISTOL-MYERS S 3.55% 08/15/22
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO REGD 3.55000000
110122CX4
60000.00000000
NS
USD
61921.23000000
0.004724781429
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.55000000
N
N
N
N
N
N
UMBS P#CA2652 5% 11/01/48
N/A
FANNIE MAE POOL UMBS P#CA2652 5.00000000
3140Q95N9
254964.98000000
NS
USD
280004.41000000
0.021365202797
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
CGRBS 2013-VN05 V/R 03/13/23
N/A
CGRBS COMMERCIAL MORTGAGE TRUST 2013-VN05 SER 2013-VN05 CL A V/R REGD 144A P/P 3.36900000
125354AA8
545000.00000000
NS
USD
562064.66000000
0.042887272548
Long
ABS-CBDO
CORP
US
Y
2
2035-03-13
Fixed
3.36900000
N
N
N
N
N
N
LLOYDS BANKING 3.75% 01/11/27
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC REGD 3.75000000
53944YAD5
273000.00000000
NS
USD
302934.60000000
0.023114847239
Long
DBT
CORP
GB
N
2
2027-01-11
Fixed
3.75000000
N
N
N
N
N
N
ABBVIE INC 3.75% 11/14/23
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD 3.75000000
00287YBC2
30000.00000000
NS
USD
32025.95000000
0.002443679071
Long
DBT
CORP
US
N
2
2023-11-14
Fixed
3.75000000
N
N
N
N
N
N
LOCKHEED MARTIN 3.1% 01/15/23
DPRBOZP0K5RM2YE8UU08
LOCKHEED MARTIN CORP REGD 3.10000000
539830BG3
30000.00000000
NS
USD
31003.27000000
0.002365645423
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.10000000
N
N
N
N
N
N
UMBS P#SD8161 2.5% 08/01/51
N/A
FREDDIE MAC POOL UMBS P#SD8161 2.50000000
3132DWB69
8330899.74000000
NS
USD
8665373.70000000
0.661194823396
Long
ABS-MBS
USGA
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#AO9859 4% 07/01/42
N/A
FANNIE MAE POOL UMBS P#AO9859 4.00000000
3138M15V6
13155.60000000
NS
USD
14332.07000000
0.001093581283
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#FM7786 4% 01/01/49
N/A
FANNIE MAE POOL UMBS P#FM7786 4.00000000
3140XBUL2
452423.80000000
NS
USD
488999.89000000
0.037312204539
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
ALTRIA GROUP INC 5.8% 02/14/39
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC REGD 5.80000000
02209SBE2
929000.00000000
NS
USD
1164131.72000000
0.088826851981
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
GNMA II P#MA3663 3.5% 05/20/46
N/A
GINNIE MAE II POOL P#MA3663 3.50000000
36179SB89
47152.89000000
NS
USD
50232.34000000
0.003832882957
Long
ABS-MBS
USGSE
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
VODAFONE GROUP 4.875% 06/19/49
213800TB53ELEUKM7Q61
VODAFONE GROUP PLC REGD 4.87500000
92857WBS8
1035000.00000000
NS
USD
1332368.84000000
0.101663864752
Long
DBT
CORP
GB
N
2
2049-06-19
Fixed
4.87500000
N
N
N
N
N
N
PAYPAL HOLDINGS 1.35% 06/01/23
5493005X2GO78EFZ3E94
PAYPAL HOLDINGS INC REGD 1.35000000
70450YAF0
130000.00000000
NS
USD
132281.05000000
0.010093453383
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
1.35000000
N
N
N
N
N
N
UMBS P#256153 5.5% 03/01/26
N/A
FANNIE MAE POOL UMBS P#256153 5.50000000
31371MQE0
13306.05000000
NS
USD
14837.86000000
0.001132174625
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
5.50000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 05/06/30
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 3.70200000
46647PBD7
147000.00000000
NS
USD
164738.41000000
0.012570050372
Long
DBT
CORP
US
N
2
2030-05-06
Variable
3.70200000
N
N
N
N
N
N
SANTANDER UK GROU V/R 03/15/25
N/A
SANTANDER UK GROUP HLDGS REGD V/R 1.08900000
80281LAN5
760000.00000000
NS
USD
762419.89000000
0.058174996483
Long
DBT
CORP
GB
N
2
2025-03-15
Variable
1.08900000
N
N
N
N
N
N
UMBS P#BR8656 2% 04/01/51
N/A
FANNIE MAE POOL UMBS P#BR8656 2.00000000
3140L7TN2
97446.71000000
NS
USD
98919.48000000
0.007547862374
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
UMBS P#ZS3204 5% 06/01/41
N/A
FREDDIE MAC POOL UMBS P#ZS3204 5.00000000
3132A3RZ5
80553.47000000
NS
USD
90669.31000000
0.006918348877
Long
ABS-MBS
USGA
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
BANK OF AMERICA CO 4% 04/01/24
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD MTN 4.00000000
06051GFF1
280000.00000000
NS
USD
304559.03000000
0.023238796274
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUN 4.329% 09/21/28
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD SER WI 4.32900000
92343VER1
986000.00000000
NS
USD
1152558.50000000
0.087943779488
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
ORACLE CORP 5.375% 07/15/40
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP REGD 5.37500000
68389XAM7
322000.00000000
NS
USD
417436.11000000
0.031851666712
Long
DBT
CORP
US
N
2
2040-07-15
Fixed
5.37500000
N
N
N
N
N
N
BRISTOL-MYERS SQUI 5% 08/15/45
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO REGD SER WI 5.00000000
110122DJ4
46000.00000000
NS
USD
63408.38000000
0.004838255575
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS GR 3.5% 04/01/25
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD 3.50000000
38141GXJ8
2320000.00000000
NS
USD
2514060.02000000
0.191830557859
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
AMAZON.COM INC 4.25% 08/22/57
ZXTILKJKG63JELOEG630
AMAZON.COM INC REGD 4.25000000
023135BM7
40000.00000000
NS
USD
52171.39000000
0.003980838471
Long
DBT
CORP
US
N
2
2057-08-22
Fixed
4.25000000
N
N
N
N
N
N
CONOCOPHILLIPS 3.75% 10/01/27
WPTL2Z3FIYTHSP5V2253
CONOCOPHILLIPS REGD 144A P/P 3.75000000
20825CAV6
80000.00000000
NS
USD
90047.10000000
0.006870872329
Long
DBT
CORP
US
Y
2
2027-10-01
Fixed
3.75000000
N
N
N
N
N
N
UNITED AIR 2016 3.65% 10/07/25
N/A
UNITED AIR 2016-2 B PTT REGD SER 16-2 3.65000000
90933JAA9
4201.39000000
NS
USD
4197.10000000
0.000320251715
Long
DBT
CORP
US
N
2
2025-10-07
Fixed
3.65000000
N
N
N
N
N
N
MDST 2004-1 A 6.005% 08/15/37
N/A
MID-STATE CAPITAL CORP 2004-1 TRUST SER 2004-1 CL A REGD 6.00500000
59560UAA9
291167.46000000
NS
USD
307097.78000000
0.023432510753
Long
ABS-CBDO
CORP
US
N
2
2037-08-15
Fixed
6.00500000
N
N
N
N
N
N
VERIZON COMMUN 2.625% 08/15/26
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 2.62500000
92343VDD3
220000.00000000
NS
USD
234384.11000000
0.017884232761
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.62500000
N
N
N
N
N
N
BANK OF AMERICA C V/R 04/29/31
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R 2.59200000
06051GJB6
953000.00000000
NS
USD
987382.57000000
0.075340344986
Long
DBT
CORP
US
N
2
2031-04-29
Variable
2.59200000
N
N
N
N
N
N
WELLS FARGO & C 4.65% 11/04/44
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD MTN 4.65000000
94974BGE4
280000.00000000
NS
USD
350012.07000000
0.026707003854
Long
DBT
CORP
US
N
2
2044-11-04
Fixed
4.65000000
N
N
N
N
N
N
ACCR 2007-1 A4 V/R 02/25/37
N/A
ACCREDITED MORTGAGE LOAN TRUST 2007-1 SER 2007-1 CL A4 V/R REGD 0.30438000
00438QAD6
1243598.88000000
NS
USD
1233772.09000000
0.094140627675
Long
ABS-CBDO
CORP
US
N
2
2037-02-25
Variable
0.30438000
N
N
N
N
N
N
UMBS P#FM7518 2.5% 06/01/51
N/A
FANNIE MAE POOL UMBS P#FM7518 2.50000000
3140XBK82
197012.66000000
NS
USD
206806.17000000
0.015779950615
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#ZS3412 5.5% 12/01/38
N/A
FREDDIE MAC POOL UMBS P#ZS3412 5.50000000
3132A3YH7
5872.87000000
NS
USD
6808.13000000
0.000519481382
Long
ABS-MBS
USGA
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS P#735402 5% 04/01/35
N/A
FANNIE MAE POOL UMBS P#735402 5.00000000
31402RAB5
44327.93000000
NS
USD
50486.16000000
0.003852250208
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNI 3.15% 03/22/30
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 3.15000000
92343VFE9
1495000.00000000
NS
USD
1622839.32000000
0.123827661072
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
BARCLAYS PLC V/R 03/10/32
213800LBQA1Y9L22JB70
BARCLAYS PLC REGD V/R 2.66700000
06738EBR5
995000.00000000
NS
USD
1013245.82000000
0.077313790980
Long
DBT
CORP
GB
N
2
2032-03-10
Variable
2.66700000
N
N
N
N
N
N
MARATHON PETROLE 6.5% 03/01/41
3BNYRYQHD39K4LCKQF12
MARATHON PETROLEUM CORP REGD 6.50000000
56585AAF9
28000.00000000
NS
USD
38995.38000000
0.002975468143
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.50000000
N
N
N
N
N
N
UMBS P#RA5155 2% 05/01/51
N/A
FREDDIE MAC POOL UMBS P#RA5155 2.00000000
3133KLWQ6
493228.58000000
NS
USD
503423.51000000
0.038412771371
Long
ABS-MBS
USGA
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
UMBS P#ZT0714 5% 10/01/48
N/A
FREDDIE MAC POOL UMBS P#ZT0714 5.00000000
3132ACYK0
23965.52000000
NS
USD
26335.93000000
0.002009512940
Long
ABS-MBS
USGA
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
CIM 2020-R6 A1A V/R 12/25/60
N/A
CIM TRUST 2020-R6 SER 2020-R6 CL A1A V/R REGD 144A P/P 2.25000000
12560YAB8
700589.99000000
NS
USD
700032.81000000
0.053414669257
Long
ABS-CBDO
CORP
US
Y
2
2060-12-25
Variable
2.25000000
N
N
N
N
N
N
UMBS P#AQ0100 4% 10/01/42
N/A
FANNIE MAE POOL UMBS P#AQ0100 4.00000000
3138MFDE4
38312.16000000
NS
USD
42385.66000000
0.003234156996
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
FGLMC P#G67718 4% 01/01/49
N/A
FREDDIE MAC GOLD POOL P#G67718 4.00000000
3132XCSF3
404372.58000000
NS
USD
441091.14000000
0.033656618688
Long
ABS-MBS
USGA
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
MEDTRONIC INC 3.5% 03/15/25
N/A
MEDTRONIC INC REGD SER WI 3.50000000
585055BS4
61000.00000000
NS
USD
66653.61000000
0.005085876664
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.50000000
N
N
N
N
N
N
GENERAL MOTORS 3.45% 04/10/22
N/A
GENERAL MOTORS FINL CO REGD 3.45000000
37045XAW6
95000.00000000
NS
USD
96278.50000000
0.007346347429
Long
DBT
CORP
US
N
2
2022-04-10
Fixed
3.45000000
N
N
N
N
N
N
AMER AIRLINE 16- 3.2% 06/15/28
N/A
AMER AIRLINE 16-2 AA PTT REGD SER AA 3.20000000
023765AA8
44072.00000000
NS
USD
44936.31000000
0.003428779482
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.20000000
N
N
N
N
N
N
UMBS P#FM5665 3.5% 08/01/48
N/A
FANNIE MAE POOL UMBS P#FM5665 3.50000000
3140X9JK2
190493.13000000
NS
USD
203497.73000000
0.015527506407
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
3.50000000
N
N
N
N
N
N
NIKE INC 2.85% 03/27/30
787RXPR0UX0O0XUXPZ81
NIKE INC REGD 2.85000000
654106AK9
140000.00000000
NS
USD
153245.21000000
0.011693083653
Long
DBT
CORP
US
N
2
2030-03-27
Fixed
2.85000000
N
N
N
N
N
N
SEMT 2003-1 1A V/R 04/20/33
N/A
SEQUOIA MORTGAGE TRUST 2003-1 SER 2003-1 CL 1A V/R REGD 0.84838000
81743PAA4
745763.39000000
NS
USD
757794.49000000
0.057822064152
Long
ABS-CBDO
CORP
US
N
2
2033-04-20
Variable
0.84838000
N
N
N
N
N
N
UMBS P#MA4360 2% 06/01/36
N/A
FANNIE MAE POOL UMBS P#MA4360 2.00000000
31418DZ21
1464478.63000000
NS
USD
1517125.71000000
0.115761385558
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
2.00000000
N
N
N
N
N
N
BOEING CO 3.1% 05/01/26
RVHJWBXLJ1RFUBSY1F30
BOEING CO REGD 3.10000000
097023CH6
50000.00000000
NS
USD
53205.69000000
0.004059758761
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.10000000
N
N
N
N
N
N
PIEDMONT NATURAL 3.5% 06/01/29
N/A
PIEDMONT NATURAL GAS CO REGD 3.50000000
720186AL9
123000.00000000
NS
USD
136072.58000000
0.010382758853
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.50000000
N
N
N
N
N
N
T/L REGIONALCARE H 0% 11/16/25
N/A
T/L REGIONALCARE HOSPITAL PARTNERS HOLDINGS INC REGD 0.00000000
75915TAD4
214383.51000000
NS
USD
213104.71000000
0.016260548704
Long
LON
CORP
US
N
2
2025-11-16
Variable
3.83463000
N
N
N
N
N
N
GNMA II P#MA1090 3.5% 06/20/43
N/A
GINNIE MAE II POOL P#MA1090 3.50000000
36179NF78
242502.29000000
NS
USD
261721.81000000
0.019970183852
Long
ABS-MBS
USGSE
US
N
2
2043-06-20
Fixed
3.50000000
N
N
N
N
N
N
ENTERPRISE PROD 3.95% 01/31/60
N/A
ENTERPRISE PRODUCTS OPER REGD 3.95000000
29379VBZ5
70000.00000000
NS
USD
77933.77000000
0.005946587772
Long
DBT
CORP
US
N
2
2060-01-31
Fixed
3.95000000
N
N
N
N
N
N
JPMAC 2007-CH2 M V/R 10/25/13
N/A
JP MORGAN MORTGAGE ACQUISITION TRUST 2007-CH2 SER 2007-CH2 CL MV2 V/R REGD 0.38438000
46630MAY8
880000.00000000
NS
USD
861665.55000000
0.065747747400
Long
ABS-CBDO
CORP
US
N
2
2037-01-25
Variable
0.38438000
N
N
N
N
N
N
UMBS P#AA8408 4% 06/01/24
N/A
FANNIE MAE POOL UMBS P#AA8408 4.00000000
31416SKW0
6054.85000000
NS
USD
6425.08000000
0.000490253482
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
4.00000000
N
N
N
N
N
N
INTEL CORP 4.75% 03/25/50
KNX4USFCNGPY45LOCE31
INTEL CORP REGD 4.75000000
458140BM1
140000.00000000
NS
USD
187203.96000000
0.014284241344
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.75000000
N
N
N
N
N
N
UMBS P#FM6184 2% 03/01/51
N/A
FANNIE MAE POOL UMBS P#FM6184 2.00000000
3140X92S3
386515.05000000
NS
USD
393830.86000000
0.030050513104
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
PARKER-HANNIFIN 3.25% 06/14/29
5493002CONDB4N2HKI23
PARKER-HANNIFIN CORP REGD 3.25000000
701094AN4
156000.00000000
NS
USD
169775.40000000
0.012954388293
Long
DBT
CORP
US
N
2
2029-06-14
Fixed
3.25000000
N
N
N
N
N
N
SUMITOMO MITSUI 2.75% 01/15/30
35380028MYWPB6AUO129
SUMITOMO MITSUI FINL GRP REGD 2.75000000
86562MBW9
200000.00000000
NS
USD
212060.06000000
0.016180838677
Long
DBT
CORP
JP
N
2
2030-01-15
Fixed
2.75000000
N
N
N
N
N
N
GNMA II P#MA7056 4.5% 12/20/50
N/A
GINNIE MAE II POOL P#MA7056 4.50000000
36179VZV5
99999.80000000
NS
USD
106815.41000000
0.008150346262
Long
ABS-MBS
USGSE
US
N
2
2050-12-20
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#SD0494 3.5% 06/01/49
N/A
FREDDIE MAC POOL UMBS P#SD0494 3.50000000
3132DMRP2
1255933.26000000
NS
USD
1385284.48000000
0.105701491801
Long
ABS-MBS
USGA
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC V/R 06/09/27
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD V/R 1.46200000
172967NA5
2575000.00000000
NS
USD
2583963.55000000
0.197164413475
Long
DBT
CORP
US
N
2
2027-06-09
Variable
1.46200000
N
N
N
N
N
N
US TREAS NTS 0.125% 10/15/23
N/A
UNITED STATES TREASURY NOTE 0.12500000
91282CAP6
5790000.00000000
NS
USD
5777673.61000000
0.440854372178
Long
DBT
UST
US
N
2
2023-10-15
Fixed
0.12500000
N
N
N
N
N
N
UMBS P#CA2251 5% 08/01/48
N/A
FANNIE MAE POOL UMBS P#CA2251 5.00000000
3140Q9QD8
21788.09000000
NS
USD
23931.85000000
0.001826074198
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
PROCTER & GAMBLE 2.8% 03/25/27
2572IBTT8CCZW6AU4141
PROCTER & GAMBLE CO/THE REGD 2.80000000
742718FG9
30000.00000000
NS
USD
32657.04000000
0.002491833190
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
2.80000000
N
N
N
N
N
N
BAE SYSTEMS HOLD 3.8% 10/07/24
N/A
BAE SYSTEMS HOLDINGS INC REGD P/P 3.80000000
05523UAK6
205000.00000000
NS
USD
222564.65000000
0.016982371395
Long
DBT
CORP
US
Y
2
2024-10-07
Fixed
3.80000000
N
N
N
N
N
N
US TREAS NTS 0.75% 5/31/26
N/A
UNITED STATES TREASURY NOTE 0.75000000
91282CCF6
8427000.00000000
NS
USD
8432127.83000000
0.643397441868
Long
DBT
UST
US
N
2
2026-05-31
Fixed
0.75000000
N
N
N
N
N
N
US T BILL ZCP 01/06/22
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796K65
6415000.00000000
PA
USD
6414079.20000000
0.489414087691
Long
STIV
UST
US
N
2
2022-01-06
Fixed
0.00000000
N
N
N
N
N
N
UMBS P#AS9760 4.5% 06/01/47
N/A
FANNIE MAE POOL UMBS P#AS9760 4.50000000
3138WKZ24
304450.99000000
NS
USD
332375.92000000
0.025361311044
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#FM5840 4.5% 11/01/49
N/A
FANNIE MAE POOL UMBS P#FM5840 4.50000000
3140X9P25
450252.00000000
NS
USD
490229.75000000
0.037406046663
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
HVMLT 2004-5 2A6 V/R 06/19/34
N/A
HARBORVIEW MORTGAGE LOAN TRUST 2004-5 2A6 V/R REGD 2.40077800
41161PEX7
72892.61000000
NS
USD
76123.33000000
0.005808445599
Long
ABS-CBDO
CORP
US
N
2
2034-06-19
Variable
2.40077800
N
N
N
N
N
N
VERIZON COMMUNI 5.85% 09/15/35
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 5.85000000
92344GAX4
71000.00000000
NS
USD
98005.16000000
0.007478096929
Long
DBT
CORP
US
N
2
2035-09-15
Fixed
5.85000000
N
N
N
N
N
N
FNR 2011-8 ZA 4% 02/25/41
N/A
FANNIE MAE REMICS SER 2011-8 CL ZA 4.00000000
31397QJJ8
450048.25000000
NS
USD
483259.92000000
0.036874227069
Long
ABS-CBDO
CORP
US
N
2
2041-02-25
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#QC3690 2.5% 07/01/51
N/A
FREDDIE MAC POOL UMBS P#QC3690 2.50000000
3133ANC36
99393.56000000
NS
USD
104130.72000000
0.007945496109
Long
ABS-MBS
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS P#AS8489 3% 12/01/46
N/A
FANNIE MAE POOL UMBS P#AS8489 3.00000000
3138WJNF1
376152.58000000
NS
USD
401666.65000000
0.030648408124
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 04/22/27
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 1.57800000
46647PCB0
2037000.00000000
NS
USD
2057292.73000000
0.156977800425
Long
DBT
CORP
US
N
2
2027-04-22
Variable
1.57800000
N
N
N
N
N
N
EXPEDIA GROUP I 3.25% 02/15/30
N/A
EXPEDIA GROUP INC REGD SER WI 3.25000000
30212PAR6
69000.00000000
NS
USD
71638.61000000
0.005466247588
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.25000000
N
N
N
N
N
N
UMBS P#AQ4555 4% 12/01/42
N/A
FANNIE MAE POOL UMBS P#AQ4555 4.00000000
3138MLBZ6
62386.10000000
NS
USD
68695.00000000
0.005241641037
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
WFMBS 2019-4 A2 V/R 06/01/41
N/A
WELLS FARGO MORTGAGE BACKED SECURITIES 2019-4 SER 2019-4 CL A2 V/R REGD 144A P/P 3.00000000
95002FAB0
198855.39000000
NS
USD
201762.54000000
0.015395106041
Long
ABS-CBDO
CORP
US
Y
2
2049-09-25
Variable
3.00000000
N
N
N
N
N
N
IBM CORP 3.3% 05/15/26
VGRQXHF3J8VDLUA7XE92
IBM CORP REGD 3.30000000
459200JZ5
238000.00000000
NS
USD
261848.83000000
0.019979875871
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
3.30000000
N
N
N
N
N
N
SUNCOR ENERGY I 6.85% 06/01/39
549300W70ZOQDVLCHY06
SUNCOR ENERGY INC REGD 6.85000000
86722TAB8
51000.00000000
NS
USD
74772.75000000
0.005705392166
Long
DBT
CORP
CA
N
2
2039-06-01
Fixed
6.85000000
N
N
N
N
N
N
GNMA II 30 YR TBA 2.5% SEPT 21
N/A
GNMA II 30 YR TBA 2.5% SEPT 21 TO BE ANNOUNCED 2.50000000
21H022697
2800000.00000000
NS
USD
2904343.76000000
0.221610414733
Long
ABS-MBS
USGA
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
US TREAS BDS 3.625% 08/15/43
N/A
UNITED STATES TREASURY BOND 3.62500000
912810RC4
502500.00000000
NS
USD
662985.94000000
0.050587878456
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
FNA 2017-M8 A2 V/R 05/25/27
N/A
FANNIE MAE-ACES SER 2017-M8 CL A2 V/R 3.06100000
3136AW7J0
100000.00000000
NS
USD
109910.59000000
0.008386518073
Long
ABS-CBDO
CORP
US
N
2
2027-05-25
Variable
3.06100000
N
N
N
N
N
N
ORACLE CORP 2.3% 03/25/28
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP REGD 2.30000000
68389XCD5
520000.00000000
NS
USD
537115.32000000
0.040983560714
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.30000000
N
N
N
N
N
N
GNMA P#781811 5% 10/15/34
N/A
GINNIE MAE I POOL P#781811 5.00000000
36241KAL2
40444.35000000
NS
USD
46555.44000000
0.003552324111
Long
ABS-MBS
USGSE
US
N
2
2034-10-15
Fixed
5.00000000
N
N
N
N
N
N
GNR 2017-H22 IC V/R 11/20/67
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-H22 CL IC V/R 2.34976000
38375UY79
608743.05000000
NS
USD
53425.36000000
0.004076520262
Long
ABS-CBDO
CORP
US
N
2
2067-11-20
Variable
2.34976000
N
N
N
N
N
N
ANHEUSER-BUSCH I 4.6% 04/15/48
N/A
ANHEUSER-BUSCH INBEV WOR REGD 4.60000000
035240AN0
36000.00000000
NS
USD
44416.56000000
0.003389120949
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
ORACLE CORP 3.85% 07/15/36
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP REGD 3.85000000
68389XBH7
267000.00000000
NS
USD
296550.60000000
0.022627728287
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
3.85000000
N
N
N
N
N
N
UMBS P#AB9351 3% 05/01/43
N/A
FANNIE MAE POOL UMBS P#AB9351 3.00000000
31417GL95
196280.08000000
NS
USD
210518.44000000
0.016063208301
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
BACARDI LTD 5.3% 05/15/48
549300R32WTQNHNN5055
BACARDI LTD REGD 144A P/P 5.30000000
067316AH2
140000.00000000
NS
USD
186747.48000000
0.014249410508
Long
DBT
CORP
BM
Y
2
2048-05-15
Fixed
5.30000000
N
N
N
N
N
N
WFCM 2013-LC12 B V/R 07/15/23
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12 SER 2013-LC12 CL B V/R REGD 4.44313000
94988QAQ4
120000.00000000
NS
USD
120469.04000000
0.009192160475
Long
ABS-CBDO
CORP
US
N
2
2046-07-15
Variable
4.44313000
N
N
N
N
N
N
TEVA PHARMACEUT 3.65% 11/10/21
N/A
TEVA PHARMACEUT FIN BV REGD SER 2 3.65000000
88165FAF9
50000.00000000
NS
USD
50272.50000000
0.003835947289
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65000000
N
N
N
N
N
N
WFRBS 2012-C7 XA V/R 06/15/45
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7 SER 2012-C7 CL XA V/R REGD 1.44956900
92936TAF9
1545266.11000000
NS
USD
5399.78000000
0.000412019920
Long
ABS-CBDO
CORP
US
Y
2
2045-06-15
Variable
1.44956900
N
N
N
N
N
N
SUNTORY HOLDING 2.25% 10/16/24
N/A
SUNTORY HOLDINGS LTD REGD 144A P/P 2.25000000
86803UAD3
355000.00000000
NS
USD
369071.43000000
0.028161291991
Long
DBT
CORP
JP
Y
2
2024-10-16
Fixed
2.25000000
N
N
N
N
N
N
BLUEM 2017-1A A1 V/R 07/20/29
N/A
BLUEMOUNTAIN FUJI US CLO I LTD SER 2017-1A CL A1R V/R REGD 144A P/P 1.11425000
09629CAL9
775000.00000000
NS
USD
775196.08000000
0.059149859308
Long
ABS-CBDO
CORP
KY
Y
2
2029-07-20
Variable
1.11425000
N
N
N
N
N
N
EQT CORP 3.625% 05/15/31
4NT01YGM4X7ZX86ISY52
EQT CORP REGD 144A P/P 3.62500000
26884LAN9
80000.00000000
NS
USD
84510.80000000
0.006448435510
Long
DBT
CORP
US
Y
2
2031-05-15
Fixed
3.62500000
N
N
N
N
N
N
US TREAS NTS 0.5% 02/28/26
N/A
UNITED STATES TREASURY NOTE 0.50000000
91282CBQ3
4214000.00000000
NS
USD
4176880.60000000
0.318708912769
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.50000000
N
N
N
N
N
N
US TREAS BDS 3.125% 11/15/41
N/A
UNITED STATES TREASURY BOND 3.12500000
912810QT8
2270000.00000000
NS
USD
2775784.38000000
0.211800936285
Long
DBT
UST
US
N
2
2041-11-15
Fixed
3.12500000
N
N
N
N
N
N
US TREAS BDS 1.25% 05/15/50
N/A
UNITED STATES TREASURY BOND 1.25000000
912810SN9
10870000.00000000
NS
USD
9210201.98000000
0.702766906822
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
UMBS P#ZM3481 3.5% 06/01/47
N/A
FREDDIE MAC POOL UMBS P#ZM3481 3.50000000
3131XW2N2
69143.16000000
NS
USD
74285.71000000
0.005668229508
Long
ABS-MBS
USGA
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
PFSFC 2019-B A V/R 09/15/21
N/A
PFS FINANCING CORP SER 2019-B CL A V/R REGD 144A P/P 0.64550000
69335PDG7
1230000.00000000
NS
USD
1231690.51000000
0.093981796681
Long
ABS-CBDO
CORP
US
Y
2
2023-09-15
Variable
0.64550000
N
N
N
N
N
N
GNMA II P#MA7311 2% 04/20/51
N/A
GINNIE MAE II POOL P#MA7311 2.00000000
36179WDQ8
1388631.57000000
NS
USD
1419220.92000000
0.108290947170
Long
ABS-MBS
USGSE
US
N
2
2051-04-20
Fixed
2.00000000
N
N
N
N
N
N
US TREAS BDS 1.625% 11/15/50
N/A
UNITED STATES TREASURY BOND 1.62500000
912810SS8
4905000.00000000
NS
USD
4561458.41000000
0.348053389530
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
UMBS P#MA2523 3% 02/01/36
N/A
FANNIE MAE POOL UMBS P#MA2523 3.00000000
31418BYV2
135943.37000000
NS
USD
143563.65000000
0.010954350671
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#ZA4692 3.5% 06/01/46
N/A
FREDDIE MAC POOL UMBS P#ZA4692 3.50000000
31329NF94
239653.39000000
NS
USD
257475.38000000
0.019646168105
Long
ABS-MBS
USGA
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
ORACLE CORP 3.25% 11/15/27
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP REGD 3.25000000
68389XBN4
235000.00000000
NS
USD
256477.13000000
0.019569998542
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.25000000
N
N
N
N
N
N
NOMURA HOLDING 3.103% 01/16/30
549300B3CEAHYG7K8164
NOMURA HOLDINGS INC REGD 3.10300000
65535HAQ2
230000.00000000
NS
USD
243381.11000000
0.018570731697
Long
DBT
CORP
JP
N
2
2030-01-16
Fixed
3.10300000
N
N
N
N
N
N
REPUBLICA ORIE 4.375% 10/27/27
N/A
REPUBLICA ORIENT URUGUAY REGD 4.37500000
760942BB7
355000.00000000
NS
USD
411732.55000000
0.031416467437
Long
DBT
USGA
UY
N
2
2027-10-27
Fixed
4.37500000
N
N
N
N
N
N
UMBS P#FM7910 2.5% 07/01/51
N/A
FANNIE MAE POOL UMBS P#FM7910 2.50000000
3140XBYG9
199021.12000000
NS
USD
208806.98000000
0.015932618608
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
BABSN 2013-IA AR V/R 01/20/28
N/A
BARINGS CLO LTD 2013-I SER 2013-IA CL AR V/R REGD 144A P/P 0.93425000
06760EAA4
441925.41000000
NS
USD
442433.62000000
0.033759054066
Long
ABS-CBDO
CORP
KY
Y
2
2028-01-20
Variable
0.93425000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 03/13/26
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 2.00500000
46647PBH8
972000.00000000
NS
USD
1002796.91000000
0.076516506819
Long
DBT
CORP
US
N
2
2026-03-13
Variable
2.00500000
N
N
N
N
N
N
CENTENE CORP 4.625% 12/15/29
549300Z7JJ4TQSQGT333
CENTENE CORP REGD SER WI 4.62500000
15135BAT8
30000.00000000
NS
USD
32944.20000000
0.002513744387
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
ASTRAZENECA PL 1.375% 08/06/30
PY6ZZQWO2IZFZC3IOL08
ASTRAZENECA PLC REGD 1.37500000
046353AW8
330000.00000000
NS
USD
317963.97000000
0.024261634670
Long
DBT
CORP
GB
N
2
2030-08-06
Fixed
1.37500000
N
N
N
N
N
N
MEX BONOS DE 10% 12/05/24/MXN/
N/A
MEX BONOS DESARR FIX RT /MXN/ REGD SER M 20 10.00000000
P9767GB34
15120000.00000000
NS
837922.58000000
0.063936085330
Long
DBT
USGA
MX
N
2
2024-12-05
Fixed
10.00000000
N
N
N
N
N
N
DANSKE BANK A/S V/R 12/20/25
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S REGD V/R 3.24400000
23636AAV3
240000.00000000
NS
USD
255257.47000000
0.019476934710
Long
DBT
CORP
DK
Y
2
2025-12-20
Variable
3.24400000
N
N
N
N
N
N
UMBS P#ZT1546 4.5% 12/01/48
N/A
FREDDIE MAC POOL UMBS P#ZT1546 4.50000000
3132ADWF1
291340.69000000
NS
USD
314591.15000000
0.024004278068
Long
ABS-MBS
USGA
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
BROADCOM INC 4.7% 04/15/25
549300WV6GIDOZJTV909
BROADCOM INC REGD 4.70000000
11135FBC4
370000.00000000
NS
USD
414150.60000000
0.031600972134
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.70000000
N
N
N
N
N
N
WELLS FARGO & C 3.75% 01/24/24
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD MTN 3.75000000
95000U2C6
270000.00000000
NS
USD
289557.43000000
0.022094127780
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
NSLT 2021-A AP 1.36% 04/20/62
N/A
NELNET STUDENT LOAN TRUST 2021-A SER 2021-A CL APT1 REGD 144A P/P 1.36000000
64035DAB2
235746.66000000
NS
USD
236748.39000000
0.018064634640
Long
ABS-CBDO
CORP
US
Y
2
2062-04-20
Fixed
1.36000000
N
N
N
N
N
N
AMCOR FLEXIBLES 2.69% 05/25/31
N/A
AMCOR FLEXIBLES NORTH AM REGD 2.69000000
02344AAA6
236000.00000000
NS
USD
246229.01000000
0.018788035279
Long
DBT
CORP
US
N
2
2031-05-25
Fixed
2.69000000
N
N
N
N
N
N
WMALT 2007-OA2 2 V/R 01/25/47
N/A
WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATE SER 2007-OA2 CL 2A V/R REGD 0.79792000
93935QAB3
346364.77000000
NS
USD
309309.00000000
0.023601233681
Long
ABS-CBDO
CORP
US
N
2
2047-01-25
Variable
0.79792000
N
N
N
N
N
N
ROCKIES EXPRESS 4.95% 07/15/29
N/A
ROCKIES EXPRESS PIPELINE REGD 144A P/P 4.95000000
77340RAR8
300000.00000000
NS
USD
312496.50000000
0.023844449793
Long
DBT
CORP
US
Y
2
2029-07-15
Fixed
4.95000000
N
N
N
N
N
N
UNITED AIR 201 2.875% 10/07/28
N/A
UNITED AIR 2016-2 AA PTT REGD SER AA 2.87500000
90932EAA1
43194.12000000
NS
USD
44251.07000000
0.003376493550
Long
DBT
CORP
US
N
2
2028-10-07
Fixed
2.87500000
N
N
N
N
N
N
LLOYDS BANKING G 3.9% 03/12/24
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC REGD 3.90000000
53944YAH6
400000.00000000
NS
USD
431950.91000000
0.032959190860
Long
DBT
CORP
GB
N
2
2024-03-12
Fixed
3.90000000
N
N
N
N
N
N
F/C US 5YR NOTE (CBT) DEC21
N/A
FUTURE CONTRACT ON US 5YR NOTE (CBT) DEC21 0.00000000
N/A
391.00000000
NC
USD
48374031.25000000
3.691088250390
N/A
DIR
CORP
US
N
1
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
Long
F/C US 5YR NOTE (CBT) DEC21
US 5YR NOTE (CBT) DEC21
2021-12-31
48296422.37000000
USD
77608.88000000
N
N
N
ECOLAB INC 2.75% 08/18/55
82DYEISM090VG8LTLS26
ECOLAB INC REGD 144A P/P 2.75000000
278865BH2
84000.00000000
NS
USD
83141.27000000
0.006343936134
Long
DBT
CORP
US
Y
2
2055-08-18
Fixed
2.75000000
N
N
N
N
N
N
STACR 2017-DNA2 V/R 10/25/29
N/A
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES SER 2017-DNA2 CL M2 V/R REGD 3.53438000
3137G0NX3
655000.00000000
NS
USD
677895.85000000
0.051725550719
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Variable
3.53438000
N
N
N
N
N
N
UMBS P#890877 3.5% 07/01/48
N/A
FANNIE MAE POOL UMBS P#890877 3.50000000
31410LXE7
377415.03000000
NS
USD
401212.78000000
0.030613776439
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
FNA 2015-M8 X2 V/R 01/25/25
N/A
FANNIE MAE-ACES SER 2015-M8 CL X2 V/R 0.18100000
3136ANYS0
16518174.67000000
NS
USD
47360.91000000
0.003613783964
Long
ABS-CBDO
CORP
US
N
2
2025-01-25
Variable
0.18100000
N
N
N
N
N
N
UMBS P#AT3708 3.5% 04/01/33
N/A
FANNIE MAE POOL UMBS P#AT3708 3.50000000
3138WRDN7
417255.93000000
NS
USD
451084.02000000
0.034419106349
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
3.50000000
N
N
N
N
N
N
C/O US BOND FUTR OPT OCT21 165
N/A
CALL OPTION ON US BOND FUTR OPTN OCT21 165 0.00000000
N/A
-85.00000000
NC
USD
-53125.00000000
-0.00405360186
N/A
DO
CORP
US
N
1
WESTERN
N/A
Call
Purchased
C/O US BOND FUTR OPT OCT21 165
0
-85000.00000000
USD
165.00000000
USD
2021-09-24
XXXX
104415.45000000
N
N
N
WESTERN MIDSTREA 6.5% 02/01/50
N/A
WESTERN MIDSTREAM OPERAT REGD 6.50000000
958667AA5
90000.00000000
NS
USD
106225.20000000
0.008105311413
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
6.50000000
N
N
N
N
N
N
T/L HARBOR 0% 10/19/2027
N/A
T/L HARBOR FREIGHT TOOLS USA INC REGD 0.00000000
N/A
467644.12000000
NS
USD
466528.79000000
0.035597590085
Long
LON
CORP
US
N
2
2027-10-19
Variable
3.25000000
N
N
N
N
N
N
FHR 3973 SA V/R 12/15/41
N/A
FREDDIE MAC REMICS SER 3973 CL SA V/R 6.39450000
3137AJYN8
18237.72000000
NS
USD
4021.72000000
0.000306869678
Long
ABS-CBDO
CORP
US
N
2
2041-12-15
Variable
6.39450000
N
N
N
N
N
N
DELL INT LLC / 8.35% 07/15/46
N/A
DELL INT LLC / EMC CORP REGD 8.35000000
24703TAK2
75000.00000000
NS
USD
123124.29000000
0.009394764265
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
8.35000000
N
N
N
N
N
N
FGLMC P#G67713 4% 06/01/48
N/A
FREDDIE MAC GOLD POOL P#G67713 4.00000000
3132XCSA4
709370.77000000
NS
USD
777877.11000000
0.059354430192
Long
ABS-MBS
USGA
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#FM5660 4.5% 08/01/49
N/A
FANNIE MAE POOL UMBS P#FM5660 4.50000000
3140X9JE6
69419.29000000
NS
USD
75487.36000000
0.005759919120
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS P#AS0070 4% 08/01/43
N/A
FANNIE MAE POOL UMBS P#AS0070 4.00000000
3138W9CG3
57385.42000000
NS
USD
63186.24000000
0.004821305605
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
SHELL INTERNAT 4.375% 05/11/45
N/A
SHELL INTERNATIONAL FIN REGD 4.37500000
822582BF8
220000.00000000
NS
USD
274205.58000000
0.020922734127
Long
DBT
CORP
NL
N
2
2045-05-11
Fixed
4.37500000
N
N
N
N
N
N
MARSH & MCLENN 4.375% 03/15/29
549300XMP3KDCKJXIU47
MARSH & MCLENNAN COS INC REGD 4.37500000
571748BG6
69000.00000000
NS
USD
81194.17000000
0.006195366380
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
COOPERATIEVE R 4.625% 12/01/23
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA REGD 4.62500000
21684AAA4
310000.00000000
NS
USD
337453.82000000
0.025748770525
Long
DBT
CORP
NL
N
2
2023-12-01
Fixed
4.62500000
N
N
N
N
N
N
GNMA II P#5116 5% 07/20/41
N/A
GINNIE MAE II POOL P#5116 5.00000000
36202FVH6
14049.21000000
NS
USD
15875.05000000
0.001211315431
Long
ABS-MBS
USGSE
US
N
2
2041-07-20
Fixed
5.00000000
N
N
N
N
N
N
ENERGY TRANSFER 4.5% 04/15/24
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD 4.50000000
29278NAH6
270000.00000000
NS
USD
293338.73000000
0.022382652669
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
4.50000000
N
N
N
N
N
N
TUCSON ELECTRIC 3.85% 03/15/23
N/A
TUCSON ELECTRIC POWER CO REGD 3.85000000
898813AL4
800000.00000000
NS
USD
834197.87000000
0.063651878433
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.85000000
N
N
N
N
N
N
SMB 2017-B A2B V/R 07/15/26
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2017-B SER 2017-B CL A2B V/R REGD 144A P/P 0.84313000
83189DAC4
74230.21000000
NS
USD
74577.14000000
0.005690466518
Long
ABS-CBDO
CORP
US
Y
2
2035-10-15
Variable
0.84313000
N
N
N
N
N
N
US TREAS NTS 0.375% 11/30/25
N/A
UNITED STATES TREASURY NOTE 0.37500000
91282CAZ4
1920000.00000000
NS
USD
1896974.99000000
0.144745060850
Long
DBT
UST
US
N
2
2025-11-30
Fixed
0.37500000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP01.63 02/15/47 GOLDUS33 FLOAT
N/A
1.00000000
NC
USD
23709.61000000
0.001809116598
N/A
DIR
US
N
2
BNP PARIBAS
N/A
BNP PARIBAS
N/A
BNP PARIBAS
N/A
N/A
N/A
Y
2047-02-15
-5682999.91000000
USD
5745000.00000000
USD
5745000.00000000
USD
-38290.48000000
N
N
N
AMER AIRLINE 1 3.575% 01/15/28
N/A
AMER AIRLINE 16-1 AA PTT REGD SER AA 3.57500000
02376UAA3
304748.82000000
NS
USD
314669.06000000
0.024010222843
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.57500000
N
N
N
N
N
N
BNP PARIBAS V/R 04/19/32
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS REGD V/R 144A P/P 2.87100000
09659W2P8
200000.00000000
NS
USD
207629.47000000
0.015842770952
Long
DBT
CORP
FR
Y
2
2032-04-19
Variable
2.87100000
N
N
N
N
N
N
GNR 2016-135 SB V/R 10/16/46
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2016-135 CL SB V/R 6.00450000
38380AK63
58437.45000000
NS
USD
16956.26000000
0.001293815099
Long
ABS-CBDO
CORP
US
N
2
2046-10-16
Variable
6.00450000
N
N
N
N
N
N
PEPSICO INC 3.625% 03/19/50
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC REGD 3.62500000
713448EU8
20000.00000000
NS
USD
23793.92000000
0.001815549712
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
3.62500000
N
N
N
N
N
N
UMBS P#SD0493 3.5% 06/01/48
N/A
FREDDIE MAC POOL UMBS P#SD0493 3.50000000
3132DMRN7
559476.82000000
NS
USD
610127.28000000
0.046554599156
Long
ABS-MBS
USGA
US
N
2
2048-06-01
Fixed
3.50000000
N
N
N
N
N
N
DELTA AIR LINES 3.8% 04/19/23
Q2CCMS6R0AS67HJMBN42
DELTA AIR LINES INC REGD 3.80000000
247361ZP6
50000.00000000
NS
USD
51829.37000000
0.003954741287
Long
DBT
CORP
US
N
2
2023-04-19
Fixed
3.80000000
N
N
N
N
N
N
PENSKE TRUCK LEASI 4% 07/15/25
N/A
PENSKE TRUCK LEASING/PTL REGD 144A P/P 4.00000000
709599BJ2
164000.00000000
NS
USD
180507.34000000
0.013773268519
Long
DBT
CORP
US
Y
2
2025-07-15
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AT9653 4% 07/01/43
N/A
FANNIE MAE POOL UMBS P#AT9653 4.00000000
3138WXWP8
109034.04000000
NS
USD
121688.09000000
0.009285177761
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
US TREAS NTS 1.25% 08/15/31
N/A
UNITED STATES TREASURY NOTE 1.25000000
91282CCS8
2555000.00000000
NS
USD
2542823.84000000
0.194025326318
Long
DBT
UST
US
N
2
2031-08-15
Fixed
1.25000000
N
N
N
N
N
N
AMER AIRLINE 16 5.25% 01/15/24
N/A
AMER AIRLINE 16-1 B PTT REGD SER B 5.25000000
02376YAA5
72546.33000000
NS
USD
71820.97000000
0.005480162220
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.25000000
N
N
N
N
N
N
RUSSIA GOVT 7.7% 03/16/39/RUB/
N/A
RUSSIA GOVT BOND - OFZ /RUB/ REGD SER 6230 7.70000000
X5424XCK2
49650000.00000000
NS
716994.02000000
0.054708862057
Long
DBT
USGA
RU
N
2
2039-03-16
Fixed
7.70000000
N
N
N
N
N
N
LOCKHEED MARTIN 3.8% 03/01/45
DPRBOZP0K5RM2YE8UU08
LOCKHEED MARTIN CORP REGD 3.80000000
539830BD0
246000.00000000
NS
USD
290732.32000000
0.022183775522
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
3.80000000
N
N
N
N
N
N
KRAFT HEINZ FOO 4.25% 03/01/31
N/A
KRAFT HEINZ FOODS CO REGD SER WI 4.25000000
50077LBF2
40000.00000000
NS
USD
46229.29000000
0.003527437857
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 10/24/31
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R MTN 1.92200000
06051GJL4
190000.00000000
NS
USD
186324.47000000
0.014217133536
Long
DBT
CORP
US
N
2
2031-10-24
Variable
1.92200000
N
N
N
N
N
N
CSMC 2018-J1 A2 V/R 02/25/48
N/A
CSMC TRUST 2018-J1 SER 2018-J1 CL A2 V/R REGD 144A P/P 3.50000000
12653TAB7
888403.40000000
NS
USD
909677.55000000
0.069411211546
Long
ABS-CBDO
CORP
US
N
2
2048-02-25
Variable
3.50000000
N
N
N
N
N
N
CGCMT 2013-37 3.251% 05/10/23
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P SER 2013-375P CL A REGD 144A P/P 3.25100000
17320QAA7
140000.00000000
NS
USD
145156.62000000
0.011075899210
Long
ABS-CBDO
CORP
US
Y
2
2035-05-10
Fixed
3.25100000
N
N
N
N
N
N
HEALTHPEAK PROPE 3.4% 02/01/25
PZ9HF5U52KPF0MH0QN75
HEALTHPEAK PROPERTIES REGD 3.40000000
40414LAM1
31000.00000000
NS
USD
33275.17000000
0.002538998422
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.40000000
N
N
N
N
N
N
AT&T INC 5.15% 02/15/50
549300Z40J86GGSTL398
AT&T INC REGD SER WI 5.15000000
00206RFU1
215000.00000000
NS
USD
278804.93000000
0.021273678762
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
5.15000000
N
N
N
N
N
N
FNMA P#995112 05.500% 07/01/36
N/A
FANNIE MAE POOL UMBS P#995112 5.50000000
31416BN53
46476.06000000
NS
USD
53954.45000000
0.004116891466
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.50000000
N
N
N
N
N
N
CAS 2014-C02 1M2 V/R 05/25/24
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES SER 2014-C02 CL 1M2 V/R REGD 2.68438000
30711XAF1
773475.29000000
NS
USD
780909.24000000
0.059585791092
Long
ABS-CBDO
CORP
US
N
2
2024-05-25
Variable
2.68438000
N
N
N
N
N
N
AIR LEASE CORP 3.375% 07/01/25
5493004NW4M4P8TMMK63
AIR LEASE CORP REGD 3.37500000
00914AAH5
200000.00000000
NS
USD
214271.77000000
0.016349598993
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
GENERAL MOTORS 4.35% 04/09/25
N/A
GENERAL MOTORS FINL CO REGD 4.35000000
37045XCK0
87000.00000000
NS
USD
95998.08000000
0.007324950515
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
4.35000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 04/22/51
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 3.10900000
46647PBN5
50000.00000000
NS
USD
52391.71000000
0.003997649569
Long
DBT
CORP
US
N
2
2051-04-22
Variable
3.10900000
N
N
N
N
N
N
T-MOBILE USA I 2.875% 02/15/31
N/A
T-MOBILE USA INC REGD 2.87500000
87264ABT1
80000.00000000
NS
USD
82300.00000000
0.006279744630
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.87500000
N
N
N
N
N
N
GENERAL MOTORS F 5.2% 03/20/23
N/A
GENERAL MOTORS FINL CO REGD 5.20000000
37045XCW4
421000.00000000
NS
USD
449705.20000000
0.034313898117
Long
DBT
CORP
US
N
2
2023-03-20
Fixed
5.20000000
N
N
N
N
N
N
GNMA II P#MA4126 3% 12/20/46
N/A
GINNIE MAE II POOL P#MA4126 3.00000000
36179SSP3
529337.61000000
NS
USD
559783.12000000
0.042713183987
Long
ABS-MBS
USGSE
US
N
2
2046-12-20
Fixed
3.00000000
N
N
N
N
N
N
FNMA P#791263 6.0% 8/1/34
N/A
FNMA P#791263 6.0% 8/1/34 6.00000000
31405KB83
106319.67000000
NS
USD
119507.95000000
0.009118826334
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
GENERAL ELECTRIC V/R 08/15/36
3C7474T6CDKPR9K6YT90
GENERAL ELECTRIC CO REGD V/R MTN 0.60475000
36962GX74
1025000.00000000
NS
USD
891826.08000000
0.068049089154
Long
DBT
CORP
US
N
2
2036-08-15
Variable
0.60475000
N
N
N
N
N
N
UMBS P#BF0104 4% 02/01/56
N/A
FANNIE MAE POOL UMBS P#BF0104 4.00000000
3140FXDJ8
152599.86000000
NS
USD
172377.99000000
0.013152973962
Long
ABS-MBS
USGSE
US
N
2
2056-02-01
Fixed
4.00000000
N
N
N
N
N
N
T/L NEXSTAR 0% 09/18/2026
N/A
T/L NEXSTAR BROADCASTING INC REGD 0.00000000
65336RAW8
490184.76000000
NS
USD
488498.52000000
0.037273948457
Long
LON
CORP
US
N
2
2026-09-18
Variable
2.59575000
N
N
N
N
N
N
CME GROUP INC 3.75% 06/15/28
LCZ7XYGSLJUHFXXNXD88
CME GROUP INC REGD 3.75000000
12572QAJ4
100000.00000000
NS
USD
114622.41000000
0.008746044517
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.75000000
N
N
N
N
N
N
UMBS P#RA2658 3.5% 05/01/50
N/A
FREDDIE MAC POOL UMBS P#RA2658 3.50000000
3133KH5T9
67136.85000000
NS
USD
72273.98000000
0.005514728284
Long
ABS-MBS
USGA
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#FM2256 4.5% 10/01/44
N/A
FANNIE MAE POOL UMBS P#FM2256 4.50000000
3140X5QJ5
386922.39000000
NS
USD
432762.59000000
0.033021124555
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
OFFICE CHERIFIE 3.75% 06/23/31
N/A
OFFICE CHERIFIEN DES PHO REGD 144A P/P 3.75000000
67091TAD7
200000.00000000
NS
USD
202938.80000000
0.015484858319
Long
DBT
CORP
MA
Y
2
2031-06-23
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
AUD/USD FWD 20211019 STAR USD
N/A
1.00000000
NC
N/A
-109189.89000000
-0.00833152643
N/A
DFE
N/A
N
2
CITIBANK N.A.
N/A
-4845910.22000000
USD
6473202.00000000
AUD
2021-10-19
-109189.89000000
N
N
N
T/L BAUSCH HEALT 0% 06/02/2025
N/A
T/L BAUSCH HEALTH COMPANIES___ INC REGD 0.00000000
C9413PAZ6
53459.66000000
NS
USD
53326.01000000
0.004068939550
Long
LON
CORP
CA
N
2
2025-06-02
Variable
3.08463000
N
N
N
N
N
N
UMBS P#BH0187 2.5% 04/01/32
N/A
FANNIE MAE POOL UMBS P#BH0187 2.50000000
3140GNF57
117117.92000000
NS
USD
123030.53000000
0.009387610087
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
2.50000000
N
N
N
N
N
N
FREEPORT-MCMORA 4.55% 11/14/24
549300IRDTHJQ1PVET45
FREEPORT-MCMORAN INC REGD 4.55000000
35671DBL8
10000.00000000
NS
USD
10837.50000000
0.000826934780
Long
DBT
CORP
US
N
2
2024-11-14
Fixed
4.55000000
N
N
N
N
N
N
ALPHABET INC 0.8% 08/15/27
5493006MHB84DD0ZWV18
ALPHABET INC REGD 0.80000000
02079KAJ6
70000.00000000
NS
USD
68494.19000000
0.005226318613
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.80000000
N
N
N
N
N
N
KINDER MORGAN IN 5.2% 03/01/48
549300WR7IX8XE0TBO16
KINDER MORGAN INC REGD 5.20000000
49456BAQ4
10000.00000000
NS
USD
12611.38000000
0.000962287312
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.20000000
N
N
N
N
N
N
COMCAST CORP 3.4% 04/01/30
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 3.40000000
20030NDG3
556000.00000000
NS
USD
619113.03000000
0.047240239683
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.40000000
N
N
N
N
N
N
UMBS P#ZS8669 3% 09/01/32
N/A
FREDDIE MAC POOL UMBS P#ZS8669 3.00000000
3132A9T23
65875.81000000
NS
USD
69800.85000000
0.005326020814
Long
ABS-MBS
USGA
US
N
2
2032-09-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#BC9077 3.5% 12/01/46
N/A
FANNIE MAE POOL UMBS P#BC9077 3.50000000
3140F5CP6
91466.61000000
NS
USD
98815.30000000
0.007539913117
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC 2.3% 06/01/27
549300Z40J86GGSTL398
AT&T INC REGD SER * 2.30000000
00206RJX1
472000.00000000
NS
USD
492019.75000000
0.037542629201
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
CITIGROUP INC V/R 03/31/31
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD V/R 4.41200000
172967MP3
210000.00000000
NS
USD
246449.44000000
0.018804854770
Long
DBT
CORP
US
N
2
2031-03-31
Variable
4.41200000
N
N
N
N
N
N
UMBS P#SD8150 2% 06/01/51
N/A
FREDDIE MAC POOL UMBS P#SD8150 2.00000000
3132DWBT9
1595052.84000000
NS
USD
1619159.83000000
0.123546904601
Long
ABS-MBS
USGA
US
N
2
2051-06-01
Fixed
2.00000000
N
N
N
N
N
N
FHR 5010 IK 2.5% 09/25/50
N/A
FREDDIE MAC REMICS SER 5010 CL IK 2.50000000
3137FVQ54
83517.28000000
NS
USD
11158.89000000
0.000851457831
Long
ABS-CBDO
CORP
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
HUMANA INC 1.35% 02/03/27
529900YLDW34GJAO4J06
HUMANA INC REGD 1.35000000
444859BQ4
128000.00000000
NS
USD
127522.99000000
0.009730398684
Long
DBT
CORP
US
N
2
2027-02-03
Fixed
1.35000000
N
N
N
N
N
N
UMBS P#AL6672 5% 05/01/42
N/A
FANNIE MAE POOL UMBS P#AL6672 5.00000000
3138EPMW1
75792.44000000
NS
USD
86768.80000000
0.006620727896
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
5.00000000
N
N
N
N
N
N
FHMS KF73 AL V/R 11/25/29
N/A
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFI SER KF73 CL AL V/R 0.69050000
3137FQKH5
2089234.34000000
NS
USD
2109722.21000000
0.160978331962
Long
ABS-CBDO
CORP
US
N
2
2029-11-25
Variable
0.69050000
N
N
N
N
N
N
ENERGY TRANSFER 8.25% 11/15/29
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD SER * 8.25000000
29273RBC2
380000.00000000
NS
USD
525360.96000000
0.040086666679
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
8.25000000
N
N
N
N
N
N
JPMCC 2018-PHH F V/R 06/15/20
N/A
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUS SER 2018-PHH CL F V/R REGD 4.66000000
46650FAQ5
1710000.00000000
NS
USD
466830.00000000
0.035620573340
Long
ABS-CBDO
CORP
US
Y
2
2035-06-15
Variable
4.66000000
N
N
N
N
N
N
TECK RESOURCES LIM 6% 08/15/40
T8KI5SQ2JRWHL7XY0E11
TECK RESOURCES LIMITED REGD 6.00000000
878742AS4
10000.00000000
NS
USD
12920.86000000
0.000985901594
Long
DBT
CORP
CA
N
2
2040-08-15
Fixed
6.00000000
N
N
N
N
N
N
3M COMPANY 3.7% 04/15/50
LUZQVYP4VS22CLWDAR65
3M COMPANY REGD 3.70000000
88579YBP5
190000.00000000
NS
USD
225872.67000000
0.017234783555
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.70000000
N
N
N
N
N
N
RANGE RESOURCES CO 5% 03/15/23
H3Y3WLYCX0BTO1TRW162
RANGE RESOURCES COR REGD SER * 5.00000000
75281ABA6
105000.00000000
NS
USD
107893.80000000
0.008232630756
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
FARMERS EXCHANGE 7.2% 07/15/48
N/A
FARMERS EXCHANGE CAPITAL REGD P/P 7.20000000
309588AE1
100000.00000000
NS
USD
146061.38000000
0.011144935198
Long
DBT
CORP
US
Y
2
2048-07-15
Fixed
7.20000000
N
N
N
N
N
N
UMBS P#CA2482 4.5% 10/01/48
N/A
FANNIE MAE POOL UMBS P#CA2482 4.50000000
3140Q9XL2
157023.26000000
NS
USD
172396.26000000
0.013154368020
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
US TREAS NTS 0.25% 10/31/25
N/A
UNITED STATES TREASURY NOTE 0.25000000
91282CAT8
2840000.00000000
NS
USD
2793406.25000000
0.213145539486
Long
DBT
UST
US
N
2
2025-10-31
Fixed
0.25000000
N
N
N
N
N
N
WFCM 2019-C52 XA V/R 08/15/52
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C52 SER 2019-C52 CL XA V/R REGD 1.75893000
95002MAY5
3485968.74000000
NS
USD
345425.69000000
0.026357048870
Long
ABS-CBDO
CORP
US
N
2
2052-08-15
Variable
1.75893000
N
N
N
N
N
N
UMBS P#FM8315 2.5% 07/01/51
N/A
FANNIE MAE POOL UMBS P#FM8315 2.50000000
3140XCGZ5
99824.29000000
NS
USD
105479.68000000
0.008048425931
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
DEVON ENERGY CO 5.85% 12/15/25
54930042348RKR3ZPN35
DEVON ENERGY CORPORATION REGD 5.85000000
25179MAV5
708000.00000000
NS
USD
824636.74000000
0.062922334632
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
RELX CAPITAL INC 3.5% 03/16/23
N/A
RELX CAPITAL INC REGD 3.50000000
74949LAB8
305000.00000000
NS
USD
318429.82000000
0.024297180466
Long
DBT
CORP
US
N
2
2023-03-16
Fixed
3.50000000
N
N
N
N
N
N
CROWN CASTLE INT 3.1% 11/15/29
54930012H97VSM0I2R19
CROWN CASTLE INTL CORP REGD 3.10000000
22822VAN1
150000.00000000
NS
USD
160270.64000000
0.012229145698
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.10000000
N
N
N
N
N
N
UMBS P#FM3158 4% 11/01/48
N/A
FANNIE MAE POOL UMBS P#FM3158 4.00000000
3140X6QL8
56255.68000000
NS
USD
61508.92000000
0.004693320900
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
COMCAST CORP 3.969% 11/01/47
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD SER WI 3.96900000
20030NCC3
272000.00000000
NS
USD
320162.22000000
0.024429367946
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
3.96900000
N
N
N
N
N
N
APACHE CORP 3.25% 04/15/22
72ZZ1XRHOOU9P9X16K08
APACHE CORP REGD 3.25000000
037411AZ8
181000.00000000
NS
USD
182829.91000000
0.013950487796
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
3.25000000
N
N
N
N
N
N
BERKSHIRE HATHA 4.25% 01/15/49
N/A
BERKSHIRE HATHAWAY FIN REGD 4.25000000
084664CR0
350000.00000000
NS
USD
440188.42000000
0.033587738359
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.25000000
N
N
N
N
N
N
BECTON DICKINS 4.685% 12/15/44
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON AND CO REGD 4.68500000
075887BG3
47000.00000000
NS
USD
59852.85000000
0.004566957635
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.68500000
N
N
N
N
N
N
UNITED PARCEL SE 3.4% 03/15/29
D01LMJZU09ULLNCY6Z23
UNITED PARCEL SERVICE REGD 3.40000000
911312BR6
264000.00000000
NS
USD
297091.11000000
0.022668970873
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.40000000
N
N
N
N
N
N
GNMA II P#MA2754 3.5% 04/20/45
N/A
GINNIE MAE II POOL P#MA2754 3.50000000
36179RBX6
40622.44000000
NS
USD
43505.75000000
0.003319623328
Long
ABS-MBS
USGSE
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
TARGA RESOURCES 5.5% 03/01/30
N/A
TARGA RESOURCES PARTNERS REGD 5.50000000
87612BBQ4
50000.00000000
NS
USD
55187.50000000
0.004210976996
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.50000000
N
N
N
N
N
N
JPMBB 2013-C17 B V/R 12/15/23
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C17 SER 2013-C17 CL B V/R REGD 5.04884400
46640UAJ1
40000.00000000
NS
USD
42958.05000000
0.003277832124
Long
ABS-CBDO
CORP
US
N
2
2047-01-15
Variable
5.04884400
N
N
N
N
N
N
GNMA II P#785218 2% 12/20/50
N/A
GINNIE MAE II POOL P#785218 2.00000000
3622AAVK7
193207.56000000
NS
USD
197435.68000000
0.015064953236
Long
ABS-MBS
USGSE
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
UMBS P#AT9839 4% 06/01/43
N/A
FANNIE MAE POOL UMBS P#AT9839 4.00000000
3138WX4Z7
42302.07000000
NS
USD
47211.60000000
0.003602391149
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
MIZUHO FINANCIAL V/R 07/10/31
353800CI5L6DDAN5XZ33
MIZUHO FINANCIAL GROUP REGD V/R 2.20100000
60687YBH1
200000.00000000
NS
USD
200251.69000000
0.015279823512
Long
DBT
CORP
JP
N
2
2031-07-10
Variable
2.20100000
N
N
N
N
N
N
MICROSOFT CORP 2.675% 06/01/60
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP REGD 2.67500000
594918CD4
8000.00000000
NS
USD
8074.26000000
0.000616091019
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
2.67500000
N
N
N
N
N
N
UMBS P#BN0341 5% 12/01/48
N/A
FANNIE MAE POOL UMBS P#BN0341 5.00000000
3140JGLX1
252841.97000000
NS
USD
278177.47000000
0.021225801623
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
5.00000000
N
N
N
N
N
N
UMBS P#FM5931 2.5% 02/01/51
N/A
FANNIE MAE POOL UMBS P#FM5931 2.50000000
3140X9SV8
188592.57000000
NS
USD
197371.30000000
0.015060040843
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
VERIZON COMMUN 4.862% 08/21/46
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD SER WI 4.86200000
92343VCK8
291000.00000000
NS
USD
379179.15000000
0.028932542299
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86200000
N
N
N
N
N
N
UNICREDIT SPA 6.572% 01/14/22
549300TRUWO2CD2G5692
UNICREDIT SPA REGD 144A P/P MTN 6.57200000
904678AJ8
580000.00000000
NS
USD
592347.83000000
0.045197972113
Long
DBT
CORP
IT
Y
2
2022-01-14
Fixed
6.57200000
N
N
N
N
N
N
UMBS P#SB8027 3% 01/01/35
N/A
FREDDIE MAC POOL UMBS P#SB8027 3.00000000
3132D54L3
323131.00000000
NS
USD
340770.00000000
0.026001805319
Long
ABS-MBS
USGA
US
N
2
2035-01-01
Fixed
3.00000000
N
N
N
N
N
N
ENTERGY ARKANSA 3.35% 06/15/52
N/A
ENTERGY ARKANSAS LLC REGD 3.35000000
29366MAC2
87000.00000000
NS
USD
96214.66000000
0.007341476239
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
3.35000000
N
N
N
N
N
N
GOLDMAN SACHS CAPIT V/R /PERP/
N/A
GOLDMAN SACHS CAPITAL II REGD V/R /PERP/ SER _ 4.00000000
381427AA1
11000.00000000
NS
USD
11011.82000000
0.000840235935
Long
DBT
CORP
US
N
2
2169-12-03
Variable
4.00000000
N
N
N
N
N
N
FHR 3743 PB 4.5% 10/15/40
N/A
FREDDIE MAC REMICS SER 3743 CL PB 4.50000000
3137GAHS9
555000.00000000
NS
USD
631331.37000000
0.048172536828
Long
ABS-CBDO
CORP
US
N
2
2040-10-15
Fixed
4.50000000
N
N
N
N
N
N
CSX CORP 3.35% 09/15/49
549300JVQR4N1MMP3Q88
CSX CORP REGD 3.35000000
126408HR7
31000.00000000
NS
USD
33438.33000000
0.002551448034
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.35000000
N
N
N
N
N
N
JERSEY CENTRAL P 4.7% 04/01/24
N/A
JERSEY CENTRAL PWR & LT REGD P/P 4.70000000
476556DB8
700000.00000000
NS
USD
760248.69000000
0.058009327205
Long
DBT
CORP
US
Y
2
2024-04-01
Fixed
4.70000000
N
N
N
N
N
N
WYETH LLC 5.95% 04/01/37
N/A
WYETH LLC REGD 5.95000000
983024AN0
130000.00000000
NS
USD
186319.78000000
0.014216775674
Long
DBT
CORP
US
N
2
2037-04-01
Fixed
5.95000000
N
N
N
N
N
N
BARRICK NA FINAN 5.7% 05/30/41
N/A
BARRICK NA FINANCE LLC REGD 5.70000000
06849RAG7
70000.00000000
NS
USD
96850.25000000
0.007389973723
Long
DBT
CORP
US
N
2
2041-05-30
Fixed
5.70000000
N
N
N
N
N
N
UMBS P#RA2362 3.5% 03/01/50
N/A
FREDDIE MAC POOL UMBS P#RA2362 3.50000000
3133KHTT3
107535.46000000
NS
USD
113998.56000000
0.008698442831
Long
ABS-MBS
USGA
US
N
2
2050-03-01
Fixed
3.50000000
N
N
N
N
N
N
VHDA 06-C CTFS 6% 6/25/34
549300LW3QBOVLQBP895
VHDA 06-C CTFS 6% 6/25/34 6.00000000
92812ULT3
137076.88000000
NS
USD
143473.45000000
0.010947468132
Long
ABS-CBDO
CORP
US
N
2
2034-06-25
Fixed
6.00000000
N
N
N
N
N
N
FED REPUBLIC O 2.875% 06/06/25
N/A
FED REPUBLIC OF BRAZIL REGD 2.87500000
105756CD0
200000.00000000
NS
USD
206782.00000000
0.015778106369
Long
DBT
USGA
BR
N
2
2025-06-06
Fixed
2.87500000
N
N
N
N
N
N
COMCAST CORP 3.15% 03/01/26
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 3.15000000
20030NBS9
80000.00000000
NS
USD
86889.75000000
0.006629956756
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
AERCAP IRELAND 3.95% 02/01/22
N/A
AERCAP IRELAND CAP/GLOBA REGD 3.95000000
00772BAR2
290000.00000000
NS
USD
293301.93000000
0.022379844715
Long
DBT
CORP
IE
N
2
2022-02-01
Fixed
3.95000000
N
N
N
N
N
N
UMBS P#QA2244 3% 07/01/46
N/A
FREDDIE MAC POOL UMBS P#QA2244 3.00000000
31334YP50
139110.65000000
NS
USD
147006.25000000
0.011217031702
Long
ABS-MBS
USGA
US
N
2
2046-07-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#BC4752 3% 10/01/46
N/A
FANNIE MAE POOL UMBS P#BC4752 3.00000000
3140F0H64
264977.20000000
NS
USD
287347.65000000
0.021925514729
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 12/20/28
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R SER WI 3.41900000
06051GHD4
435000.00000000
NS
USD
478278.12000000
0.036494100316
Long
DBT
CORP
US
N
2
2028-12-20
Variable
3.41900000
N
N
N
N
N
N
ANGLO AMERICAN 3.625% 09/11/24
N/A
ANGLO AMERICAN CAPITAL REGD 144A P/P 3.62500000
034863AS9
350000.00000000
NS
USD
377720.00000000
0.028821204640
Long
DBT
CORP
GB
Y
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
UMBS P#MA3182 3.5% 11/01/47
N/A
FANNIE MAE POOL UMBS P#MA3182 3.50000000
31418CRC0
27529.65000000
NS
USD
29300.15000000
0.002235692097
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#MA2832 3% 12/01/36
N/A
FANNIE MAE POOL UMBS P#MA2832 3.00000000
31418CEE0
464441.78000000
NS
USD
490672.33000000
0.037439816886
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
NATWEST GROUP PLC V/R 01/27/30
N/A
NATWEST GROUP PLC REGD V/R 5.07600000
78009PEH0
400000.00000000
NS
USD
480213.47000000
0.036641773509
Long
DBT
CORP
GB
N
2
2030-01-27
Variable
5.07600000
N
N
N
N
N
N
DOMINICAN REPUBL 4.5% 01/30/30
N/A
DOMINICAN REPUBLIC REGD 144A P/P 4.50000000
25714PED6
200000.00000000
NS
USD
208502.00000000
0.015909347691
Long
DBT
USGA
DO
Y
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
RAYTHEON COMPANY 7% 11/01/28
N/A
RAYTHEON COMPANY REGD 7.00000000
755111AP6
24000.00000000
NS
USD
31560.29000000
0.002408147772
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
7.00000000
N
N
N
N
N
N
JPMORGAN CHASE & V/R 12/05/24
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO REGD V/R 4.02300000
46647PAY2
430000.00000000
NS
USD
462005.04000000
0.035252413964
Long
DBT
CORP
US
N
2
2024-12-05
Variable
4.02300000
N
N
N
N
N
N
ABBVIE INC 3.2% 11/21/29
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD SER WI 3.20000000
00287YBX6
880000.00000000
NS
USD
962264.23000000
0.073423737930
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
ALPHABET INC 0.45% 08/15/25
5493006MHB84DD0ZWV18
ALPHABET INC REGD 0.45000000
02079KAH0
40000.00000000
NS
USD
39646.37000000
0.003025140694
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.45000000
N
N
N
N
N
N
UMBS P#BR8580 2% 04/01/51
N/A
FANNIE MAE POOL UMBS P#BR8580 2.00000000
3140L7RA2
99096.65000000
NS
USD
100594.36000000
0.007675660900
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
UNITED AIR 2019- 3.5% 05/01/28
N/A
UNITED AIR 2019-2 B PTT REGD SER B 3.50000000
90932KAA7
85995.49000000
NS
USD
85481.91000000
0.006522534208
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 10/31/38
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 4.01700000
38148YAA6
95000.00000000
NS
USD
111265.04000000
0.008489866798
Long
DBT
CORP
US
N
2
2038-10-31
Variable
4.01700000
N
N
N
N
N
N
CITIGROUP INC 4.65% 07/23/48
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC REGD 4.65000000
172967MD0
70000.00000000
NS
USD
92954.02000000
0.007092679319
Long
DBT
CORP
US
N
2
2048-07-23
Fixed
4.65000000
N
N
N
N
N
N
CHARTER COMM OP 3.75% 02/15/28
N/A
CHARTER COMM OPT LLC/CAP REGD SER WI 3.75000000
161175BJ2
210000.00000000
NS
USD
232536.49000000
0.017743253639
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
JPMMT 2019-1 A11 V/R 05/25/49
N/A
JP MORGAN MORTGAGE TRUST 2019-1 SER 2019-1 CL A11 V/R REGD 144A P/P 1.03438000
46650HAL2
76373.13000000
NS
USD
76693.06000000
0.005851917761
Long
ABS-CBDO
CORP
US
Y
2
2049-05-25
Variable
1.03438000
N
N
N
N
N
N
FNR 2012-118 CI 3.5% 12/25/39
N/A
FANNIE MAE REMICS SER 2012-118 CL CI 3.50000000
3136A93P1
18271.93000000
NS
USD
99.74000000
0.000007610470
Long
ABS-CBDO
CORP
US
N
2
2039-12-25
Fixed
3.50000000
N
N
N
N
N
N
MCDONALD'S CORP 3.5% 07/01/27
UE2136O97NLB5BYP9H04
MCDONALD'S CORP REGD MTN 3.50000000
58013MFP4
60000.00000000
NS
USD
66659.43000000
0.005086320748
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA 3.95% 04/21/25
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD MTN SER L 3.95000000
06051GFP9
383000.00000000
NS
USD
419697.13000000
0.032024189533
Long
DBT
CORP
US
N
2
2025-04-21
Fixed
3.95000000
N
N
N
N
N
N
FEDEX CORP 4.25% 05/15/30
549300E707U7WNPZN687
FEDEX CORP REGD 4.25000000
31428XBZ8
797000.00000000
NS
USD
932779.52000000
0.071173963333
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.25000000
N
N
N
N
N
N
HOME DEPOT INC 4.2% 04/01/43
QEKMOTMBBKA8I816DO57
HOME DEPOT INC REGD 4.20000000
437076BA9
25000.00000000
NS
USD
30931.17000000
0.002360143969
Long
DBT
CORP
US
N
2
2043-04-01
Fixed
4.20000000
N
N
N
N
N
N
UMBS P#AP0692 4% 07/01/42
N/A
FANNIE MAE POOL UMBS P#AP0692 4.00000000
3138M3XW9
17955.93000000
NS
USD
19864.70000000
0.001515738070
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
US TIPS 1.375% 02/15/44
N/A
UNITED STATES TREASURY INFLATION INDEXED BONDS 1.37500000
912810RF7
571232.20000000
NS
USD
804943.66000000
0.061419691699
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
GOLDMAN SACHS GRO V/R 02/12/26
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC REGD V/R 0.85500000
38141GXS8
163000.00000000
NS
USD
162147.34000000
0.012372343715
Long
DBT
CORP
US
N
2
2026-02-12
Variable
0.85500000
N
N
N
N
N
N
T/L INEOS US PETRO 0% 01/20/25
N/A
T/L INEOS US PETROCHEM LLC REGD 0.00000000
N/A
140000.00000000
NS
USD
139825.00000000
0.010669080109
Long
LON
CORP
US
N
2
2025-01-20
Variable
3.25000000
N
N
N
N
N
N
T/L JANE STREET 0% 01/31/28
N/A
T/L JANE STREET GROUP LLC REGD 0.00000000
47077DAG5
185748.77000000
NS
USD
183349.82000000
0.013990158538
Long
LON
CORP
US
N
2
2028-01-31
Variable
2.83463000
N
N
N
N
N
N
UNIV OF CALIFO 4.858% 05/15/12
N/A
UNIV OF CALIFORNIA CA REVENUES REGD N/C B/E 4.85800000
91412GHA6
25000.00000000
NS
USD
37407.71000000
0.002854324009
Long
DBT
MUN
US
N
2
2112-05-15
Fixed
4.85800000
N
N
N
N
N
N
BX 2018-IND G V/R 10/15/20
N/A
BX COMMERCIAL MORTGAGE TRUST 2018-IND SER 2018-IND CL G V/R REGD 144A P/P 2.14600000
056059AS7
504000.00000000
NS
USD
506141.50000000
0.038620162417
Long
ABS-CBDO
CORP
US
Y
2
2035-11-15
Variable
2.14600000
N
N
N
N
N
N
UMBS P#FM3154 5% 09/01/49
N/A
FANNIE MAE POOL UMBS P#FM3154 5.00000000
3140X6QG9
155885.85000000
NS
USD
171133.23000000
0.013057994923
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
5.00000000
N
N
N
N
N
N
FGLMC P#U90903 3.5% 02/01/43
N/A
FREDDIE MAC GOLD POOL P#U90903 3.50000000
3132H4AC5
35641.54000000
NS
USD
38696.70000000
0.002952677935
Long
ABS-MBS
USGA
US
N
2
2043-02-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS TBA 30YR 2% OCT 21
N/A
UMBS TBA 30YR 2% OCT 21 TO BE ANNOUNCED 2.00000000
01F0206A2
35725000.00000000
NS
USD
36161223.33000000
2.759213220483
Long
ABS-MBS
USGA
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
CORNING INC 4.375% 11/15/57
549300X2937PB0CJ7I56
CORNING INC REGD 4.37500000
219350BF1
25000.00000000
NS
USD
30653.29000000
0.002338940866
Long
DBT
CORP
US
N
2
2057-11-15
Fixed
4.37500000
N
N
N
N
N
N
GNMA II P#4855 5% 11/20/40
N/A
GINNIE MAE II POOL P#4855 5.00000000
36202FMC7
14731.45000000
NS
USD
16651.98000000
0.001270597594
Long
ABS-MBS
USGSE
US
N
2
2040-11-20
Fixed
5.00000000
N
N
N
N
N
N
GNMA P#729038 5% 02/15/40
N/A
GINNIE MAE I POOL P#729038 5.00000000
3620AF4X2
34605.24000000
NS
USD
39880.62000000
0.003043014693
Long
ABS-MBS
USGSE
US
N
2
2040-02-15
Fixed
5.00000000
N
N
N
N
N
N
GNR 2020-160 YI 2.5% 10/20/50
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-160 CL YI 2.50000000
38382KQ97
384598.13000000
NS
USD
52658.71000000
0.004018022495
Long
ABS-CBDO
CORP
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
DCOT 2019-MTC 2.965% 10/15/29
N/A
DC OFFICE TRUST 2019-MTC SER 2019-MTC CL A REGD 144A P/P 2.96500000
23312BAA8
390000.00000000
NS
USD
420277.03000000
0.032068437698
Long
ABS-CBDO
CORP
US
Y
2
2045-09-15
Fixed
2.96500000
N
N
N
N
N
N
BALTIMORE GAS & 3.5% 08/15/46
N/A
BALTIMORE GAS & ELECTRIC REGD 3.50000000
059165EH9
6000.00000000
NS
USD
6712.88000000
0.000512213513
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
3.50000000
N
N
N
N
N
N
UMBS P#SD0478 4% 01/01/45
N/A
FREDDIE MAC POOL UMBS P#SD0478 4.00000000
3132DMQ73
1398448.44000000
NS
USD
1545472.50000000
0.117924333338
Long
ABS-MBS
USGA
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
IHS MARKIT LTD 4% 03/01/26
549300HLPTRASHS0E726
IHS MARKIT LTD REGD 144A P/P 4.00000000
44962LAC1
28000.00000000
NS
USD
30977.80000000
0.002363701983
Long
DBT
CORP
GB
Y
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
CYRUSONE LP/CYR 3.45% 11/15/29
N/A
CYRUSONE LP/CYRUSONE FIN REGD 3.45000000
23283PAR5
400000.00000000
NS
USD
420743.20000000
0.032104007911
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.45000000
N
N
N
N
N
N
UMBS P#BF0301 4.5% 08/01/58
N/A
FANNIE MAE POOL UMBS P#BF0301 4.50000000
3140FXKP6
172959.15000000
NS
USD
195551.61000000
0.014921192866
Long
ABS-MBS
USGSE
US
N
2
2058-08-01
Fixed
4.50000000
N
N
N
N
N
N
GNMA P#617567 6% 06/15/37
N/A
GINNIE MAE I POOL P#617567 6.00000000
36290UCC8
1216.96000000
NS
USD
1445.77000000
0.000110316724
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS P#FM3445 4% 09/01/48
N/A
FANNIE MAE POOL UMBS P#FM3445 4.00000000
3140X6ZK0
305465.60000000
NS
USD
328423.54000000
0.025059732222
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#CA4819 4% 12/01/49
N/A
FANNIE MAE POOL UMBS P#CA4819 4.00000000
3140QCK96
58465.89000000
NS
USD
63791.11000000
0.004867459058
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS P#AP9229 4% 10/01/42
N/A
FANNIE MAE POOL UMBS P#AP9229 4.00000000
3138MDHF2
14192.82000000
NS
USD
15702.02000000
0.001198112706
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
AT&T INC 4.75% 05/15/46
549300Z40J86GGSTL398
AT&T INC REGD 4.75000000
00206RCQ3
820000.00000000
NS
USD
1000559.00000000
0.076345747362
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
4.75000000
N
N
N
N
N
N
US TREAS NTS 0.25% 11/15/23
N/A
UNITED STATES TREASURY NOTE 0.25000000
91282CAW1
40000.00000000
NS
USD
40005.47000000
0.003052541135
Long
DBT
UST
US
N
2
2023-11-15
Fixed
0.25000000
N
N
N
N
N
N
T/L ATLANTIC A 0% 12/06/25
N/A
T/L ATLANTIC AVIATION FBO INC REGD 0.00000000
N/A
48750.00000000
NS
USD
48719.53000000
0.003717450873
Long
LON
CORP
US
N
2
2025-12-06
Variable
3.84000000
N
N
N
N
N
N
DEUTSCHE BANK AG 4.1% 01/13/26
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG REGD SER 1254 4.10000000
25152R2Y8
38000.00000000
NS
USD
41745.91000000
0.003185342092
Long
DBT
CORP
DE
N
2
2026-01-13
Fixed
4.10000000
N
N
N
N
N
N
SAMI 2005-AR5 A3 V/R 07/19/35
N/A
STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2005-AR5 SER 2005-AR5 CL A3 V/R REGD 0.58650000
86359LPF0
68083.05000000
NS
USD
69236.12000000
0.005282930167
Long
ABS-CBDO
CORP
US
N
2
2035-07-19
Variable
0.58650000
N
N
N
N
N
N
UMBS P#FM3957 5% 03/01/50
N/A
FANNIE MAE POOL UMBS P#FM3957 5.00000000
3140X7MF3
104966.29000000
NS
USD
115032.01000000
0.008777298264
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNICAT 3% 03/22/27
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS REGD 3.00000000
92343VFF6
129000.00000000
NS
USD
139602.89000000
0.010652132428
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
3.00000000
N
N
N
N
N
N
UMBS P#MA2579 3% 04/01/36
N/A
FANNIE MAE POOL UMBS P#MA2579 3.00000000
31418B2M7
102994.94000000
NS
USD
108912.38000000
0.008310351561
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
3.00000000
N
N
N
N
N
N
GNMA II P#MA3736 3.5% 06/20/46
N/A
GINNIE MAE II POOL P#MA3736 3.50000000
36179SEH6
97462.34000000
NS
USD
103959.36000000
0.007932420811
Long
ABS-MBS
USGSE
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
AMERICAN TOWER C 1.5% 01/31/28
5493006ORUSIL88JOE18
AMERICAN TOWER CORP REGD 1.50000000
03027XBJ8
197000.00000000
NS
USD
193082.21000000
0.014732770006
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
1.50000000
N
N
N
N
N
N
UMBS P#MA1664 4.5% 11/01/43
N/A
FANNIE MAE POOL UMBS P#MA1664 4.50000000
31418AZ68
30352.62000000
NS
USD
33787.64000000
0.002578101468
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
C/O US BOND FUTR OPT OCT21 168
N/A
CALL OPTION ON US BOND FUTR OPTN OCT21 168 0.00000000
N/A
85.00000000
NC
USD
13281.25000000
0.001013400466
N/A
DO
CORP
US
N
1
WESTERN
N/A
Call
Written
C/O US BOND FUTR OPT OCT21 168
0
85000.00000000
USD
168.00000000
USD
2021-09-24
XXXX
-59272.05000000
N
N
N
BMW US CAPITAL 1.95% 08/12/31
N/A
BMW US CAPITAL LLC REGD 144A P/P 1.95000000
05565EBX2
45000.00000000
NS
USD
44823.25000000
0.003420152655
Long
DBT
CORP
US
Y
2
2031-08-12
Fixed
1.95000000
N
N
N
N
N
N
UMBS P#AB3493 4.5% 09/01/41
N/A
FANNIE MAE POOL UMBS P#AB3493 4.50000000
31416Y3B2
1834.83000000
NS
USD
2041.43000000
0.000155767425
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
BROADCOM INC 4.15% 11/15/30
549300WV6GIDOZJTV909
BROADCOM INC REGD SER WI 4.15000000
11135FAQ4
264000.00000000
NS
USD
297293.34000000
0.022684401647
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
BANK OF AMERICA C V/R 03/11/27
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP REGD V/R SER N 1.65800000
06051GJQ3
740000.00000000
NS
USD
748507.28000000
0.057113421295
Long
DBT
CORP
US
N
2
2027-03-11
Variable
1.65800000
N
N
N
N
N
N
N/A
N/A
IRS RUS3MP02.00 02/15/47 GOLDUS33XXX FLOAT
N/A
1.00000000
NC
USD
-281021.35000000
-0.02144279846
N/A
DIR
US
N
2
BA SECURITIES INC
N/A
BA SECURITIES INC
N/A
BA SECURITIES INC
N/A
N/A
N/A
Y
2047-02-15
-3479823.34000000
USD
3485000.00000000
USD
3485000.00000000
USD
-277961.87000000
N
N
N
UMBS P#MA2707 3% 08/01/36
N/A
FANNIE MAE POOL UMBS P#MA2707 3.00000000
31418CAH7
92617.62000000
NS
USD
97821.24000000
0.007464063264
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
3.00000000
N
N
N
N
N
N
ABBVIE INC 4.3% 05/14/36
FR5LCKFTG8054YNNRU85
ABBVIE INC REGD 4.30000000
00287YAV1
546000.00000000
NS
USD
651309.20000000
0.049696907067
Long
DBT
CORP
US
N
2
2036-05-14
Fixed
4.30000000
N
N
N
N
N
N
UMBS P#AT2720 3% 05/01/43
N/A
FANNIE MAE POOL UMBS P#AT2720 3.00000000
3138WQAW2
728393.84000000
NS
USD
781267.60000000
0.059613135069
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
MCDONALD'S COR 2.125% 03/01/30
UE2136O97NLB5BYP9H04
MCDONALD'S CORP REGD MTN 2.12500000
58013MFM1
190000.00000000
NS
USD
193525.31000000
0.014766579907
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.12500000
N
N
N
N
N
N
UMBS P#ZA5297 4% 03/01/48
N/A
FREDDIE MAC POOL UMBS P#ZA5297 4.00000000
31329N3E6
176334.01000000
NS
USD
193124.27000000
0.014735979314
Long
ABS-MBS
USGA
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
ENTERGY LOUISIAN 1.6% 12/15/30
N/A
ENTERGY LOUISIANA LLC REGD 1.60000000
29364WBE7
168000.00000000
NS
USD
163713.36000000
0.012491835886
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
1.60000000
N
N
N
N
N
N
SCRT 2019-2 MA 3.5% 08/25/58
N/A
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2 SER 2019-2 CL MA 3.50000000
35563PKG3
357063.19000000
NS
USD
377103.08000000
0.028774131735
Long
ABS-CBDO
CORP
US
N
2
2058-08-25
Fixed
3.50000000
N
N
N
N
N
N
US TREAS NTS 0.25% 09/30/25
N/A
UNITED STATES TREASURY NOTE 0.25000000
91282CAM3
375000.00000000
NS
USD
369213.86000000
0.028172159840
Long
DBT
UST
US
N
2
2025-09-30
Fixed
0.25000000
N
N
N
N
N
N
TEXAS INSTRUMEN 1.75% 05/04/30
WDJNR2L6D8RWOEB8T652
TEXAS INSTRUMENTS INC REGD 1.75000000
882508BJ2
90000.00000000
NS
USD
90103.23000000
0.006875155222
Long
DBT
CORP
US
N
2
2030-05-04
Fixed
1.75000000
N
N
N
N
N
N
C/O US 5YR FUTR OP OCT21 124.5
N/A
CALL OPTION ON US 5YR FUTR OPTN OCT21 124.5 0.00000000
N/A
66.00000000
NC
USD
4125.00000000
0.000314750262
N/A
DO
CORP
US
N
1
WESTERN
N/A
Call
Written
C/O US 5YR FUTR OP OCT21 124.5
0
66000.00000000
USD
124.50000000
USD
2021-09-24
XXXX
901.44000000
N
N
N
ENERGY TRANSFER 5.35% 05/15/45
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP REGD 5.35000000
86765BAQ2
10000.00000000
NS
USD
11839.40000000
0.000903382850
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
5.35000000
N
N
N
N
N
N
LOCKHEED MARTIN 4.7% 05/15/46
DPRBOZP0K5RM2YE8UU08
LOCKHEED MARTIN CORP REGD 4.70000000
539830BL2
39000.00000000
NS
USD
52341.08000000
0.003993786343
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
4.70000000
N
N
N
N
N
N
ORBIA ADVANCE 2.875% 05/11/31
549300MVHZ20SBIOEQ79
ORBIA ADVANCE CORP SAB REGD 144A P/P 2.87500000
68560EAB4
260000.00000000
NS
USD
264621.50000000
0.020191439171
Long
DBT
CORP
MX
Y
2
2031-05-11
Fixed
2.87500000
N
N
N
N
N
N
UMBS P#FM2333 3.5% 02/01/50
N/A
FANNIE MAE POOL UMBS P#FM2333 3.50000000
3140X5SX2
90760.65000000
NS
USD
96938.93000000
0.007396740281
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.50000000
N
N
N
N
N
N
TRANSCONT GAS P 7.85% 02/01/26
N/A
TRANSCONT GAS PIPE LINE REGD SER WI 7.85000000
893574AH6
1178000.00000000
NS
USD
1483962.77000000
0.113230950632
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.85000000
N
N
N
N
N
N
DBWF 2018-AMXP A V/R 05/05/23
N/A
DBWF 2018-AMXP MORTGAGE TRUST SER 2018-AMXP CL A V/R REGD 144A P/P 3.87310000
23306PAA5
1417000.00000000
NS
USD
1440354.71000000
0.109903520734
Long
ABS-CBDO
CORP
US
Y
2
2035-05-05
Variable
3.87310000
N
N
N
N
N
N
BARCLAYS PLC V/R 02/15/23
213800LBQA1Y9L22JB70
BARCLAYS PLC REGD V/R 4.61000000
06738EBE4
686000.00000000
NS
USD
699084.82000000
0.053342334687
Long
DBT
CORP
GB
N
2
2023-02-15
Variable
4.61000000
N
N
N
N
N
N
ALABAMA POWER C 3.45% 10/01/49
N/A
ALABAMA POWER CO REGD 3.45000000
010392FT0
60000.00000000
NS
USD
66695.38000000
0.005089063845
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.45000000
N
N
N
N
N
N
UMBS P#BR4056 2% 02/01/51
N/A
FANNIE MAE POOL UMBS P#BR4056 2.00000000
3140L2QJ5
96795.20000000
NS
USD
98500.55000000
0.007515896719
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
COMCAST CORP 4% 08/15/47
51M0QTTNCGUN7KFCFZ59
COMCAST CORP REGD 4.00000000
20030NBZ3
82000.00000000
NS
USD
97156.82000000
0.007413365962
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.00000000
N
N
N
N
N
N
BECTON DICKINS 3.363% 06/06/24
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON AND CO REGD 3.36300000
075887BV0
377000.00000000
NS
USD
402688.04000000
0.030726343341
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
KINDER MORGAN E 6.95% 01/15/38
N/A
KINDER MORGAN ENER PART REGD MTN 6.95000000
494550AW6
42000.00000000
NS
USD
60164.52000000
0.004590739020
Long
DBT
CORP
US
N
2
2038-01-15
Fixed
6.95000000
N
N
N
N
N
N
ABBOTT LABORATO 4.75% 11/30/36
HQD377W2YR662HK5JX27
ABBOTT LABORATORIES REGD 4.75000000
002824BG4
70000.00000000
NS
USD
90798.14000000
0.006928179005
Long
DBT
CORP
US
N
2
2036-11-30
Fixed
4.75000000
N
N
N
N
N
N
UNITEDHEALTH GR 4.45% 12/15/48
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC REGD 4.45000000
91324PDQ2
30000.00000000
NS
USD
39052.56000000
0.002979831154
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.45000000
N
N
N
N
N
N
SHELL INTERNATI 2.75% 04/06/30
N/A
SHELL INTERNATIONAL FIN REGD 2.75000000
822582CG5
60000.00000000
NS
USD
64228.57000000
0.004900838609
Long
DBT
CORP
NL
N
2
2030-04-06
Fixed
2.75000000
N
N
N
N
N
N
DUKE ENERGY FLOR 4.2% 07/15/48
N/A
DUKE ENERGY FLORIDA LLC REGD 4.20000000
26444HAF8
24000.00000000
NS
USD
29645.40000000
0.002262035740
Long
DBT
CORP
US
N
2
2048-07-15
Fixed
4.20000000
N
N
N
N
N
N
TENNESSEE GAS PI 2.9% 03/01/30
N/A
TENNESSEE GAS PIPELINE REGD 144A P/P 2.90000000
880451AZ2
560000.00000000
NS
USD
583685.68000000
0.044537023268
Long
DBT
CORP
US
Y
2
2030-03-01
Fixed
2.90000000
N
N
N
N
N
N
VIACOMCBS INC 4.375% 03/15/43
5KYC8KF17ROCY24M3H09
VIACOMCBS INC REGD SER WI 4.37500000
92553PAP7
141000.00000000
NS
USD
165080.95000000
0.012596187234
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.37500000
N
N
N
N
N
N
REPUBLIC OF CO 8.125% 05/21/24
N/A
REPUBLIC OF COLOMBIA REGD 8.12500000
195325BD6
220000.00000000
NS
USD
257471.50000000
0.019645872049
Long
DBT
USGA
CO
N
2
2024-05-21
Fixed
8.12500000
N
N
N
N
N
N
FORDF 2018-3 A 3.52% 10/15/21
N/A
FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2018-3 CL A1 REGD 3.52000000
34528QGH1
1370000.00000000
NS
USD
1375636.45000000
0.104965317262
Long
ABS-CBDO
CORP
US
N
2
2023-10-15
Fixed
3.52000000
N
N
N
N
N
N
DCP MIDSTREAM O 6.45% 11/03/36
N/A
DCP MIDSTREAM OPERATING REGD P/P 6.45000000
26439XAH6
40000.00000000
NS
USD
48568.60000000
0.003705934447
Long
DBT
CORP
US
Y
2
2036-11-03
Fixed
6.45000000
N
N
N
N
N
N
GNMA II P#MA5711 4.5% 01/20/49
N/A
GINNIE MAE II POOL P#MA5711 4.50000000
36179UKY7
281190.98000000
NS
USD
301145.26000000
0.022978315061
Long
ABS-MBS
USGSE
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
AON CORP 4.5% 12/15/28
N/A
AON CORP REGD 4.50000000
037389BB8
22000.00000000
NS
USD
25788.42000000
0.001967736233
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.50000000
N
N
N
N
N
N
GNR 2020-127 IN 2.5% 08/20/50
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2020-127 CL IN 2.50000000
38382HY87
95718.68000000
NS
USD
12654.56000000
0.000965582080
Long
ABS-CBDO
CORP
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
FNMA PRIN STP ZCP 01/15/30
N/A
FANNIE MAE PRINCIPAL STRIP ZCP 0.00000000
31358DDG6
575000.00000000
NS
USD
510154.66000000
0.038926378942
Long
DBT
USGA
US
N
2
2030-01-15
Fixed
0.00000000
N
N
N
N
N
N
ORACLE CORP 1.65% 03/25/26
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP REGD 1.65000000
68389XCC7
570000.00000000
NS
USD
580279.08000000
0.044277089148
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
1.65000000
N
N
N
N
N
N
GNMA II P#783050 5% 07/20/40
N/A
GINNIE MAE II POOL P#783050 5.00000000
36241LL79
18550.41000000
NS
USD
20756.59000000
0.001583792036
Long
ABS-MBS
USGSE
US
N
2
2040-07-20
Fixed
5.00000000
N
N
N
N
N
N
T/L SFR GROUP S A 0% 01/31/26
N/A
T/L SFR GROUP S A REGD 0.00000000
F6628DAL8
129728.95000000
NS
USD
128869.50000000
0.009833141563
Long
LON
CORP
FR
N
2
2026-01-31
Variable
3.81363000
N
N
N
N
N
N
US TREAS BDS 2.5% 02/15/46
N/A
UNITED STATES TREASURY BOND 2.50000000
912810RQ3
6490000.00000000
NS
USD
7244462.50000000
0.552774902632
Long
DBT
UST
US
N
2
2046-02-15
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
IRS R00.00P00.00 01/04/27 SBNYUS33 LONG
N/A
1.00000000
NC
-49025.55000000
-0.00374080114
N/A
DIR
BR
N
2
CITIGROUP
N/A
N/A
N/A
Y
2027-01-04
-1682579.96000000
BRL
1685899.48000000
BRL
1218674.73958081
BRL
-52345.07000000
N
N
N
US T BILL ZCP 02/03/22
N/A
UNITED STATES TREASURY BILL ZCP 0.00000000
912796K99
12795000.00000000
PA
USD
12792517.45000000
0.976108660627
Long
STIV
UST
US
N
2
2022-02-03
Fixed
0.00000000
N
N
N
N
N
N
WELLS FARGO & CO 4.9% 11/17/45
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY REGD MTN SER GMTN 4.90000000
94974BGQ7
450000.00000000
NS
USD
583670.61000000
0.044535873380
Long
DBT
CORP
US
N
2
2045-11-17
Fixed
4.90000000
N
N
N
N
N
N
SANDS CHINA LT 5.125% 08/08/25
N/A
SANDS CHINA LTD REGD SER WI 5.12500000
80007RAF2
400000.00000000
NS
USD
445276.00000000
0.033975936454
Long
DBT
CORP
MO
N
2
2025-08-08
Fixed
5.12500000
N
N
N
N
N
N
UMBS P#MA3027 4% 06/01/47
N/A
FANNIE MAE POOL UMBS P#MA3027 4.00000000
31418CLH5
115431.29000000
NS
USD
124332.64000000
0.009486965108
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
VMWARE INC 4.7% 05/15/30
N/A
VMWARE INC REGD 4.70000000
928563AF2
162000.00000000
NS
USD
193793.69000000
0.014787058131
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.70000000
N
N
N
N
N
N
TARGA RESOURCE 5.875% 04/15/26
N/A
TARGA RESOURCES PARTNERS REGD 5.87500000
87612BBJ0
20000.00000000
NS
USD
20950.00000000
0.001598549817
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.87500000
N
N
N
N
N
N
ALTRIA GROUP INC 4.8% 02/14/29
XSGZFLO9YTNO9VCQV219
ALTRIA GROUP INC REGD 4.80000000
02209SBD4
45000.00000000
NS
USD
52285.66000000
0.003989557626
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
4.80000000
N
N
N
N
N
N
WFCM 2018-C44 3.948% 05/15/51
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C44 SER 2018-C44 CL A4 REGD 3.94800000
95001JAW7
250000.00000000
NS
USD
281068.23000000
0.021446375555
Long
ABS-CBDO
CORP
US
N
2
2051-05-15
Fixed
3.94800000
N
N
N
N
N
N
UMBS P#AL4741 4.5% 01/01/44
N/A
FANNIE MAE POOL UMBS P#AL4741 4.50000000
3138EMHT1
28027.39000000
NS
USD
31411.29000000
0.002396778611
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
GENERAL MOTORS F 3.5% 11/07/24
N/A
GENERAL MOTORS FINL CO REGD 3.50000000
37045XCD6
80000.00000000
NS
USD
85683.43000000
0.006537910807
Long
DBT
CORP
US
N
2
2024-11-07
Fixed
3.50000000
N
N
N
N
N
N
MCDONALD'S COR 3.625% 09/01/49
UE2136O97NLB5BYP9H04
MCDONALD'S CORP REGD MTN 3.62500000
58013MFK5
20000.00000000
NS
USD
22485.59000000
0.001715720085
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.62500000
N
N
N
N
N
N
AT&T INC 4.65% 06/01/44
549300Z40J86GGSTL398
AT&T INC REGD 4.65000000
00206RJK9
144000.00000000
NS
USD
173010.96000000
0.013201271532
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.65000000
N
N
N
N
N
N
UMBS P#MA4399 2.5% 08/01/51
N/A
FANNIE MAE POOL UMBS P#MA4399 2.50000000
31418D3H3
2491627.58000000
NS
USD
2591662.94000000
0.197751900753
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH 4.35% 06/01/40
N/A
ANHEUSER-BUSCH INBEV WOR REGD 4.35000000
035240AS9
160000.00000000
NS
USD
191997.78000000
0.014650024642
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
4.35000000
N
N
N
N
N
N
T-MOBILE USA I 4.375% 04/15/40
N/A
T-MOBILE USA INC REGD SER WI 4.37500000
87264AAX3
450000.00000000
NS
USD
527334.75000000
0.040237272963
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
4.37500000
N
N
N
N
N
N
EOG RESOURCES I 4.95% 04/15/50
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC REGD 4.95000000
26875PAT8
170000.00000000
NS
USD
228960.53000000
0.017470396827
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
FOX CORP 5.476% 01/25/39
549300DDU6FDRBIELS05
FOX CORP REGD SER WI 5.47600000
35137LAJ4
240000.00000000
NS
USD
311684.87000000
0.023782519913
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
5.47600000
N
N
N
N
N
N
BARRICK NA FINA 5.75% 05/01/43
N/A
BARRICK NA FINANCE LLC REGD 5.75000000
06849RAK8
190000.00000000
NS
USD
266791.60000000
0.020357024515
Long
DBT
CORP
US
N
2
2043-05-01
Fixed
5.75000000
N
N
N
N
N
N
SMB 2020-A A2B V/R 02/15/29
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2020-A SER 2020-A CL A2B V/R REGD 144A P/P 0.92313000
78449UAC2
100000.00000000
NS
USD
100411.68000000
0.007661721851
Long
ABS-CBDO
CORP
US
Y
2
2037-09-15
Variable
0.92313000
N
N
N
N
N
N
UNITED AIR 2019 4.15% 08/25/31
N/A
UNITED AIR 2019-1 AA PTT REGD SER AA 4.15000000
90931CAA6
53264.70000000
NS
USD
58347.04000000
0.004452059673
Long
DBT
CORP
US
N
2
2031-08-25
Fixed
4.15000000
N
N
N
N
N
N
UMBS P#FM5183 2.5% 12/01/50
N/A
FANNIE MAE POOL UMBS P#FM5183 2.50000000
3140X8XM4
1255996.17000000
NS
USD
1309513.55000000
0.099919935412
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
NVIDIA CORP 3.5% 04/01/50
549300S4KLFTLO7GSQ80
NVIDIA CORP REGD 3.50000000
67066GAH7
440000.00000000
NS
USD
505545.55000000
0.038574689589
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
ANTHEM INC 4.85% 08/15/54
8MYN82XMYQH89CTMTH67
ANTHEM INC REGD 4.85000000
94973VBL0
33000.00000000
NS
USD
42899.41000000
0.003273357710
Long
DBT
CORP
US
N
2
2054-08-15
Fixed
4.85000000
N
N
N
N
N
N
WFCM 2015-LC2 3.184% 03/15/25
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-LC20 SER 2015-LC20 CL A5 REGD 3.18400000
94989EAE7
150000.00000000
NS
USD
160998.98000000
0.012284720294
Long
ABS-CBDO
CORP
US
N
2
2050-04-15
Fixed
3.18400000
N
N
N
N
N
N
GNMA II P#MA4963 4% 01/20/48
N/A
GINNIE MAE II POOL P#MA4963 4.00000000
36179TQQ1
380577.53000000
NS
USD
405760.20000000
0.030960758654
Long
ABS-MBS
USGSE
US
N
2
2048-01-20
Fixed
4.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC V/R 03/13/28
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC REGD V/R 4.04100000
404280BK4
509000.00000000
NS
USD
567434.66000000
0.043297020162
Long
DBT
CORP
GB
N
2
2028-03-13
Fixed
4.04100000
N
N
N
N
N
N
NOTA DO TESOU 6% 08/15/50/BRL/
N/A
NOTA DO TESOURO NACIONAL /BRL/ REGD SER NTNB 21.42211800
P80551PG6
656000.00000000
NS
544453.68000000
0.041543500287
Long
DBT
USGA
BR
N
2
2050-08-15
Variable
21.42211800
N
N
N
N
N
N
OCCIDENTAL PETRO 7.5% 05/01/31
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM COR REGD 7.50000000
674599DD4
140000.00000000
NS
USD
183374.80000000
0.013992064589
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
7.50000000
N
N
N
N
N
N
DUKE ENERGY PROG 4.1% 05/15/42
N/A
DUKE ENERGY PROGRESS LLC REGD 4.10000000
144141DB1
162000.00000000
NS
USD
193576.37000000
0.014770475943
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.10000000
N
N
N
N
N
N
REPUBLIC OF NI 7.143% 02/23/30
N/A
REPUBLIC OF NIGERIA REGD 144A P/P 7.14300000
65412JAD5
260000.00000000
NS
USD
274402.44000000
0.020937755154
Long
DBT
USGA
NG
Y
2
2030-02-23
Fixed
7.14300000
N
N
N
N
N
N
T/L FOCUS FINANCIA 0% 07/03/24
N/A
T/L FOCUS FINANCIAL PARTNERS LLC REGD 0.00000000
N/A
216302.08000000
NS
USD
214477.57000000
0.016365302170
Long
LON
CORP
US
N
2
2024-07-03
Variable
2.08463000
N
N
N
N
N
N
2021-09-30
Morgan Stanley Pathway Funds
Francis Smith
Francis Smith
Chief Financial Officer