0001752724-23-260141.txt : 20231121
0001752724-23-260141.hdr.sgml : 20231121
20231121115836
ACCESSION NUMBER: 0001752724-23-260141
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230930
FILED AS OF DATE: 20231121
DATE AS OF CHANGE: 20231121
PERIOD START: 20240331
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Voya FUNDS TRUST
CENTRAL INDEX KEY: 0001066602
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-08895
FILM NUMBER: 231425700
BUSINESS ADDRESS:
STREET 1: 7337 E. DOUBLETREE RANCH ROAD, STE 100
CITY: SCOTTSDALE
STATE: AZ
ZIP: 85258
BUSINESS PHONE: 800-992-0180
MAIL ADDRESS:
STREET 1: 7337 E. DOUBLETREE RANCH ROAD, STE 100
CITY: SCOTTSDALE
STATE: AZ
ZIP: 85258
FORMER COMPANY:
FORMER CONFORMED NAME: ING FUNDS TRUST
DATE OF NAME CHANGE: 20020205
FORMER COMPANY:
FORMER CONFORMED NAME: PILGRIM FUNDS TRUST
DATE OF NAME CHANGE: 20010312
FORMER COMPANY:
FORMER CONFORMED NAME: ING FUNDS TRUST
DATE OF NAME CHANGE: 19980721
0001066602
S000008396
Voya Intermediate Bond Fund
C000023011
Class R
IIBOX
C000023012
Class A
IIBAX
C000023014
Class C
IICCX
C000023015
Class I
IICIX
C000057276
Class W
IIBWX
C000122010
Class R6
IIBZX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001066602
XXXXXXXX
S000008396
C000023011
C000023012
C000122010
C000023014
C000023015
C000057276
Voya Funds Trust
811-08895
0001066602
5493002OZLWDCTJEFB81
7337 East Doubletree Ranch Road
Suite 100
Scottsdale
85258
1-800-992-0180
VOYA INTERMEDIATE BOND FUND
S000008396
549300FK6EUCD2VZ8U23
2024-03-31
2023-09-30
N
8788823108.89
1140590307.00
7648232801.89
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
9904870.61000000
516224369.49000000
0.00000000
51079131.95000000
USD
N
Bloomberg U.S. Aggregate Bond Index
LBUSTRUU
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BL7
3618000.00000000
PA
USD
3256291.32000000
0.042575734870
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
1.20000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-LTV2
46651AAT9
6105.66000000
PA
USD
6077.38000000
0.000079461231
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
4.00000000
N
N
N
N
N
N
FMC CORP
CKDHZ2X64EEBQCSP7013
FMC Corp
302491AW5
1420000.00000000
PA
USD
1380167.44000000
0.018045573085
Long
DBT
CORP
US
N
2
2026-05-18
Fixed
5.15000000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2018-C Trust
78490DAC8
5800000.00000000
PA
USD
5115263.60000000
0.066881640929
Long
ABS-O
CORP
US
N
2
2048-01-25
Fixed
4.13000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHY8
1495000.00000000
PA
USD
1407213.70000000
0.018399200657
Long
DBT
CORP
US
N
2
2026-02-13
Fixed
2.01500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9ME7
430411.26000000
PA
USD
394338.99000000
0.005155949095
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J6VE1
710650.84000000
PA
USD
608876.93000000
0.007961014599
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WEM9
2921000.00000000
PA
USD
2877234.74000000
0.037619601998
Long
DBT
CORP
US
N
2
2028-07-07
Fixed
5.12500000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DCE7
2301742.80000000
PA
USD
2038018.78000000
0.026646923973
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
4.45214400
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-4
46649CBF9
1985867.30000000
PA
USD
1674722.60000000
0.021896857004
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.71399700
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X62S9
20502948.38000000
PA
USD
16548952.73000000
0.216376163731
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BKGL8
74671976.98000000
PA
USD
1425488.04000000
0.018638136114
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
0.50816000
N
N
N
N
N
N
CORNING INC
549300X2937PB0CJ7I56
Corning Inc
219350BQ7
533000.00000000
PA
USD
448356.24000000
0.005862220092
Long
DBT
CORP
US
N
2
2079-11-15
Fixed
5.45000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282Y5
20000000.00000000
PA
USD
19360307.20000000
0.253134386746
Long
DBT
UST
US
N
2
2024-09-30
Fixed
2.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375JJL0
743838.31000000
PA
USD
52722.44000000
0.000689341464
Long
ABS-MBS
USGA
US
N
2
2037-02-20
Floating
0.76068000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFGT3
952238.46000000
PA
USD
12124.85000000
0.000158531392
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Floating
0.62224000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBM4
2292000.00000000
PA
USD
2267986.10000000
0.029653727321
Long
DBT
CORP
US
N
2
2077-08-16
Floating
8.61944000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
112434.61000000
0.001470073060
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
59255000.00000000
USD
112434.61000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DV7L3
4124146.03000000
PA
USD
3296980.99000000
0.043107748880
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398GM71
2756122.50000000
PA
USD
187514.45000000
0.002451735647
Long
ABS-MBS
USGSE
US
N
2
2040-02-25
Floating
0.82057000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
2321000.00000000
PA
USD
2024315.92000000
0.026467760232
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
ONEOK PARTNERS LP
T4DHW82NMF6BXJT50795
ONEOK Partners LP
68268NAM5
2785000.00000000
PA
USD
2596510.89000000
0.033949161293
Long
DBT
CORP
US
N
2
2043-09-15
Fixed
6.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B3DZ0
10828191.06000000
PA
USD
9424992.85000000
0.123230988048
Long
ABS-MBS
USGSE
US
N
2
2048-10-25
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHM4
8454000.00000000
PA
USD
7794574.81000000
0.101913409435
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.27100000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCE3
2870000.00000000
PA
USD
2557220.74000000
0.033435445889
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.37500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NEA5
1873000.00000000
PA
USD
1872892.34000000
0.024487909671
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BK4Y5
65065898.07000000
PA
USD
10498089.86000000
0.137261641112
Long
ABS-MBS
USGSE
US
N
2
2052-01-25
Fixed
3.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGJ7
315000.00000000
PA
USD
250978.51000000
0.003281522889
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
DZ BANK AG (NEW YORK BRANCH)
N/A
DZ BANK AG (NEW YORK BRANCH)
000000000
5490000.00000000
PA
USD
5490000.00000000
0.071781287811
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.29000000
N
N
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KK6
3055000.00000000
PA
USD
2947186.67000000
0.038534217594
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6ZH0
5919751.00000000
PA
USD
5271124.47000000
0.068919508683
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137GAMD6
2029935.03000000
PA
USD
1880051.94000000
0.024581520838
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388Q3F4
703.18000000
PA
USD
694.08000000
0.000009075037
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
7.00000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2018-2
36418GBA1
555990.02000000
PA
USD
515547.97000000
0.006740746305
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFG5
12215000.00000000
PA
USD
11527575.10000000
0.150722073956
Long
DBT
CORP
US
N
2
2034-07-21
Fixed
5.42400000
N
N
N
N
N
N
NESTLE HOLDINGS INC
549300EAEU8YV8MQXP30
Nestle Holdings Inc
641062BB9
3573000.00000000
PA
USD
3447173.55000000
0.045071503957
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
185696.51000000
0.002427966234
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
67121000.00000000
USD
185696.51000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377LJM1
888401.23000000
PA
USD
51492.45000000
0.000673259448
Long
ABS-MBS
USGA
US
N
2
2040-09-16
Floating
1.20495000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFB6
15924000.00000000
PA
USD
14895427.28000000
0.194756457678
Long
DBT
CORP
US
N
2
2038-01-19
Fixed
5.94800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3WP8
7394034.49000000
PA
USD
5914715.26000000
0.077334404080
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393C4W0
690877.96000000
PA
USD
66455.83000000
0.000868904382
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Floating
2.22057000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAH3
1662000.00000000
PA
USD
1335692.71000000
0.017464069734
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.12500000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust 2017-4
35563PDD8
33815142.93000000
PA
USD
29433640.47000000
0.384842371204
Long
ABS-MBS
USGSE
US
N
2
2057-06-25
Variable
3.25000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432NZ4
1016000.00000000
PA
USD
905722.53000000
0.011842245829
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
4.15000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BP9
11052000.00000000
PA
USD
9501565.76000000
0.124232172400
Long
DBT
CORP
US
N
2
N/A
Fixed
6.25000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2023-CRE8 LLC
04002BAA3
12000000.00000000
PA
USD
12000994.20000000
0.156911988832
Long
ABS-CBDO
CORP
US
N
2
2028-02-17
Floating
7.44237000
N
N
N
N
N
N
Taco Bell Funding, LLC
N/A
Taco Bell Funding LLC
87342RAJ3
12969000.00000000
PA
USD
9901911.91000000
0.129466664607
Long
ABS-O
CORP
US
N
2
2051-08-25
Fixed
2.54200000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BQ0
5321000.00000000
PA
USD
5317373.42000000
0.069524209810
Long
DBT
CORP
US
N
2
2033-10-06
Fixed
6.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2021-14
46653QCH6
2197211.56000000
PA
USD
1416798.49000000
0.018524520980
Long
ABS-MBS
CORP
US
N
2
2052-05-25
Variable
3.15774400
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
SWOP IRS USD
000000000
101802400.00000000
NC
USD
89710.28000000
0.001172954358
N/A
DIR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Purchased
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
FR
US
2034-05-20
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
2.22500000
USD
2024-05-16
XXXX
-1013149.05000000
N
N
N
GSAA Home Equity Trust
N/A
GSAA Trust
362334NB6
2679086.41000000
PA
USD
1008501.89000000
0.013186077308
Long
ABS-MBS
CORP
US
N
2
2046-03-25
Variable
5.99494000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK4
06541FAJ8
4656000.00000000
PA
USD
3287984.32000000
0.042990118177
Long
ABS-MBS
CORP
US
N
2
2050-05-15
Fixed
3.35700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNA94
944801.30000000
PA
USD
725125.84000000
0.009480959311
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
ENTERGY ARKANSAS LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAA6
2090000.00000000
PA
USD
1567616.14000000
0.020496449056
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
4.20000000
N
N
N
N
N
N
CRESCENT ENERGY FINANCE
54930061FUL6DBLFUW14
Crescent Energy Finance LLC
45344LAC7
3555000.00000000
PA
USD
3632890.05000000
0.047499731560
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
9.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359NV40
30779.10000000
PA
USD
415.35000000
0.000005430666
Long
ABS-MBS
USGSE
US
N
2
2027-03-17
Floating
2.67224000
N
N
N
N
N
N
L Street Securities
N/A
PMTT4
693458AG6
1610665115.43000000
PA
USD
5142773.18000000
0.067241326371
Long
ABS-MBS
CORP
US
N
2
2048-10-25
None
0.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACA1
2569000.00000000
PA
USD
2210267.69000000
0.028899063970
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A8XR6
13417461.99000000
PA
USD
11980945.57000000
0.156649854683
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H0UH9
68642606.35000000
PA
USD
9575911.29000000
0.125204233945
Long
ABS-MBS
USGSE
US
N
2
2051-06-25
Fixed
3.00000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD1 Mortgage Trust
12514MAA3
45113000.00000000
PA
USD
743139.68000000
0.009716488753
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
0.82516100
N
N
N
N
N
N
IDAHO POWER CO
TN0LL73P2C8X3W6KM391
Idaho Power Co
45138LBJ1
3433000.00000000
PA
USD
3295584.77000000
0.043089493421
Long
DBT
CORP
US
N
2
2054-04-01
Fixed
5.80000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ITBJ4KEFYWF83
Freddie Mac Stacr Remic Trust 2020-HQA2
35565LAH9
2687001.69000000
PA
USD
2773257.67000000
0.036260110561
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
8.52943000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC38
36252SAX5
77412508.65000000
PA
USD
3385330.29000000
0.044262908539
Long
ABS-MBS
CORP
US
N
2
2052-02-10
Variable
1.10901400
N
N
N
N
N
N
ASSURANT INC
H3F39CAXWQRVWURFXL38
Assurant Inc
04621XAM0
4433000.00000000
PA
USD
3733754.23000000
0.048818522222
Long
DBT
CORP
US
N
2
2030-02-22
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B3TD2
6999094.15000000
PA
USD
389742.46000000
0.005095849853
Long
ABS-MBS
USGSE
US
N
2
2048-12-25
Floating
0.77057000
N
N
N
N
N
N
WISCONSIN ELECTRIC POWER
AENKIFMULUAWOUU8Q584
Wisconsin Electric Power Co
976656CM8
1500000.00000000
PA
USD
1278146.69000000
0.016711660367
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
1.70000000
N
N
N
N
N
N
NORTHERN TRUST CORP
549300GLF98S992BC502
Northern Trust Corp
665859AS3
2485000.00000000
PA
USD
2194922.84000000
0.028698431348
Long
DBT
CORP
US
N
2
2032-05-08
Fixed
3.37500000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBW0
7208000.00000000
PA
USD
6084468.50000000
0.079553913402
Long
ABS-MBS
CORP
US
N
2
2048-05-27
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ALFN6
970000.00000000
PA
USD
787321.26000000
0.010294159191
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Fixed
3.50000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-1
59981HAC5
1100000.00000000
PA
USD
1033321.19000000
0.013510587566
Long
ABS-MBS
CORP
US
N
2
2058-11-25
Variable
3.25000000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN Co Ltd
62878U2D3
3800000.00000000
PA
USD
3353972.57000000
0.043852908990
Long
DBT
CORP
AU
N
2
2027-01-08
Fixed
1.62500000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAL4
3668882.18000000
PA
USD
3603207.35000000
0.047111632756
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
8.29648000
N
N
N
N
N
N
HEALTH CARE SERVICE CORP
549300TMJ1FKCKECR148
Health Care Service Corp A Mutual Legal Reserve Co
42218SAD0
2509000.00000000
PA
USD
2323207.25000000
0.030375739209
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A4F38
3992547.18000000
PA
USD
3688593.76000000
0.048228052878
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Fixed
4.00000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863BC3
1168000.00000000
PA
USD
893006.08000000
0.011675979316
Long
DBT
CORP
GB
N
2
2052-03-16
Fixed
4.75000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBV1
2537000.00000000
PA
USD
2352570.70000000
0.030759663845
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ALG47
23829536.34000000
PA
USD
2071451.55000000
0.027084054626
Long
ABS-MBS
USGSE
US
N
2
2044-12-25
Floating
0.72057000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761J3R8
2412000.00000000
PA
USD
2241356.19000000
0.029305543490
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
3.12500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE4 Mortgage Trust
12624QAA1
27260000.00000000
PA
USD
51953.47000000
0.000679287246
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Variable
0.50923000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFW9
1978000.00000000
PA
USD
1862420.26000000
0.024350988107
Long
DBT
CORP
US
N
2
2053-08-14
Fixed
5.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BJSJ5
82350357.25000000
PA
USD
16363913.60000000
0.213956792684
Long
ABS-MBS
USGSE
US
N
2
2051-11-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A4KC2
65881.46000000
PA
USD
140.95000000
0.000001842909
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Floating
1.19057000
N
N
N
N
N
N
VENTAS REALTY LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAB3
1005000.00000000
PA
USD
867394.24000000
0.011341106664
Long
DBT
CORP
US
N
2
2043-09-30
Fixed
5.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCR98
3907070.32000000
PA
USD
3581644.65000000
0.046829702269
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381XP83
1349931.00000000
PA
USD
905822.33000000
0.011843550705
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
3.00000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89832QAD1
2587000.00000000
PA
USD
2224112.02000000
0.029080077419
Long
DBT
CORP
US
N
2
N/A
Fixed
4.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359VQM8
12.40000000
PA
USD
0.03000000
0.000000000392
Long
ABS-MBS
USGSE
US
N
2
2029-02-17
Floating
2.25750000
N
N
N
N
N
N
CIGNA GRP NEW 01/03/2024
N/A
CIGNA GRP NEW 01/03/2024
000000000
12000000.00000000
PA
USD
11820128.04000000
0.154547179017
Long
DBT
CORP
US
N
2
2024-01-03
None
0.00000000
N
N
N
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
Nutrien Ltd
67077MBB3
527000.00000000
PA
USD
485309.16000000
0.006345376410
Long
DBT
CORP
CA
N
2
2053-03-27
Fixed
5.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETKN5
494239.96000000
PA
USD
422864.24000000
0.005528914338
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AT5Q3
20045695.14000000
PA
USD
1037837.80000000
0.013569641862
Long
ABS-MBS
USGSE
US
N
2
2046-11-25
Floating
0.67057000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAR3
1760000.00000000
PA
USD
1580614.13000000
0.020666396681
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
5.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YXL4
1151010.07000000
PA
USD
1014891.16000000
0.013269616475
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
3.50000000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CS5
1929000.00000000
PA
USD
1764182.59000000
0.023066538842
Long
DBT
CORP
US
N
2
2054-08-01
Fixed
5.35000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBQ3
4934000.00000000
PA
USD
3544535.62000000
0.046344504826
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.18700000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2007-10
17313QAL2
286981.98000000
PA
USD
252741.36000000
0.003304572004
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
4.51040900
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GK2F2
559427.02000000
PA
USD
509816.01000000
0.006665801410
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBS0
3394000.00000000
PA
USD
3043822.96000000
0.039797728950
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.87500000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NBJ9
4871000.00000000
PA
USD
4783477.77000000
0.062543569134
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.15000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLG2
3221000.00000000
PA
USD
3104236.40000000
0.040587629592
Long
DBT
CORP
US
N
2
2029-04-25
Fixed
5.20200000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WGT3
8238000.01000000
PA
USD
1396544.48000000
0.018259701504
Long
ABS-MBS
USGSE
US
N
2
2044-02-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUR37
3054072.74000000
PA
USD
570488.88000000
0.007459094078
Long
ABS-MBS
USGSE
US
N
2
2047-01-25
Fixed
6.00000000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 Trust
93936FAD2
958344.15000000
PA
USD
875415.08000000
0.011445978472
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
5.75420000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEWE5
1275288.18000000
PA
USD
1163529.74000000
0.015213053395
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387XHK4
425.59000000
PA
USD
441.08000000
0.000005767083
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394DAL4
1511902.08000000
PA
USD
1478400.75000000
0.019329965343
Long
ABS-MBS
USGSE
US
N
2
2035-04-25
Fixed
5.00000000
N
N
N
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAR5
4625000.00000000
PA
USD
4547828.68000000
0.059462477121
Long
DBT
CORP
US
N
2
2029-01-12
Fixed
5.50000000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587DF1
4975000.00000000
PA
USD
4614224.94000000
0.060330602630
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
4.00000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AZ2
513000.00000000
PA
USD
326355.75000000
0.004267073956
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WTY4
19063069.31000000
PA
USD
15605866.74000000
0.204045393808
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Triton Container Finance LLC
N/A
Triton Container Finance VIII LLC
89680HAE2
9883125.12000000
PA
USD
8269212.76000000
0.108119260673
Long
ABS-O
CORP
US
N
2
2046-03-20
Fixed
1.86000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612KAC6
1937000.00000000
PA
USD
1781728.69000000
0.023295952622
Long
DBT
CORP
US
N
2
2052-07-01
Fixed
6.25000000
N
N
N
N
N
N
EIG PEARL HOLDINGS SARL
549300KIMRL45BWA5H76
EIG Pearl Holdings Sarl
000000000
2900000.00000000
PA
USD
2357265.00000000
0.030821041423
Long
DBT
CORP
LU
N
2
2036-08-31
Fixed
3.54500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CX1
2916000.00000000
PA
USD
2621909.36000000
0.034281244150
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374XF26
853501.80000000
PA
USD
803909.33000000
0.010511046810
Long
ABS-MBS
USGA
US
N
2
2039-07-16
Fixed
3.25000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830CA5
1465000.00000000
PA
USD
1387643.03000000
0.018143315795
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
4.75000000
N
N
N
N
N
N
Sound Point CLO LTD
549300ZK5CJ7PM7YBH85
Sound Point Clo XVI Ltd
83610KAN3
18000000.00000000
PA
USD
18012222.00000000
0.235508286248
Long
ABS-CBDO
CORP
KY
N
2
2030-07-25
Floating
7.81282000
N
N
N
N
N
N
HERO Funding Trust
N/A
HERO Funding Trust 2015-2
42770UAA1
490496.40310000
PA
USD
436335.89000000
0.005705055027
Long
ABS-O
CORP
US
N
2
2040-09-20
Fixed
3.99000000
N
N
N
N
N
N
ESTEE LAUDER CO INC
549300VFZ8XJ9NUPU221
Estee Lauder Cos Inc/The
29736RAT7
1960000.00000000
PA
USD
1829294.13000000
0.023917866746
Long
DBT
CORP
US
N
2
2033-05-15
Fixed
4.65000000
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AS0
15523500.00000000
PA
USD
12009268.34000000
0.157020172516
Long
ABS-O
CORP
US
N
2
2051-11-20
Fixed
2.79100000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2021-4
36263DAC1
3250000.00000000
PA
USD
3103200.75000000
0.040574088555
Long
ABS-O
CORP
US
N
2
2027-10-15
Fixed
1.94000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFPC0
3673366.25000000
PA
USD
3396082.93000000
0.044403498402
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CR7
1953000.00000000
PA
USD
1883091.15000000
0.024621258253
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359RUC4
39.40000000
PA
USD
0.04000000
0.000000000522
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Floating
2.35234000
N
N
N
N
N
N
American Home Mortgage Assets
N/A
American Home Mortgage Assets Trust 2007-4
026934AD1
1317341.76000000
PA
USD
1158503.15000000
0.015147331154
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
6.01420000
N
N
N
N
N
N
CONNECTICUT LIGHT & PWR
549300O45IUXEDS1VZ32
Connecticut Light and Power Co/The
207597EP6
2224000.00000000
PA
USD
2035456.22000000
0.026613418716
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
5.25000000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAH9
927000.00000000
PA
USD
913937.89000000
0.011949660969
Long
DBT
CORP
US
N
2
2025-09-27
Fixed
5.00000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-9
52521HBJ1
8449521.78660000
PA
USD
635415.87000000
0.008308009006
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.18580000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZK3
13287833.37000000
PA
USD
1484685.50000000
0.019412137920
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Variable
1.62865700
N
N
N
N
N
N
Bank
N/A
Bank 2019-BNK19
06540WBH5
98891433.95000000
PA
USD
4128415.75000000
0.053978688370
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Variable
1.07798300
N
N
N
N
N
N
FannieMae Whole Loan
N/A
Fannie Mae REMIC Trust 2002-W9
31392ESN1
3130698.49000000
PA
USD
3086668.35000000
0.040357928817
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Fixed
6.00000000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AP1
2889000.00000000
PA
USD
2639244.51000000
0.034507899777
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.80000000
N
N
N
N
N
N
TELECOM ITALIA CAPITAL
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAV0
4365000.00000000
PA
USD
3997838.03000000
0.052271395674
Long
DBT
CORP
LU
N
2
2038-06-04
Fixed
7.72100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391S5Z9
10763.01000000
PA
USD
10868.48000000
0.000142104461
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
7.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-2
33851HBA0
1165316.43000000
PA
USD
1004883.01000000
0.013138760757
Long
ABS-MBS
CORP
US
N
2
2048-04-25
Variable
4.00877300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AEZ67
4043150.01000000
PA
USD
3332577.72000000
0.043573173127
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Fixed
3.00000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-65CB
12668AZ40
413247.50000000
PA
USD
287173.99000000
0.003754775742
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2018-D Trust
83401AAB4
1594867.07000000
PA
USD
1525930.06000000
0.019951407070
Long
ABS-O
CORP
US
N
2
2048-02-25
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398R3P8
1815532.37000000
PA
USD
1645601.63000000
0.021516102773
Long
ABS-MBS
USGSE
US
N
2
2040-07-25
Fixed
5.00000000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AK7
2352000.00000000
PA
USD
2206194.35000000
0.028845805392
Long
ABS-O
CORP
US
N
2
2049-05-20
Fixed
4.02100000
N
N
N
N
N
N
CUBESMART LP
549300MPHKO3I3FJRA97
CubeSmart LP
22966RAH9
3580000.00000000
PA
USD
2997377.88000000
0.039190463439
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
2.25000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A4
466247RX3
1714049.31000000
PA
USD
1562575.34000000
0.020430541021
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.79724700
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F6GV3
100850526.13400000
PA
USD
5047462.94000000
0.065995153007
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Variable
1.02349300
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAE1
2897000.00000000
PA
USD
2744020.47000000
0.035877836633
Long
DBT
CORP
US
N
2
2026-03-13
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36195GRL9
984750.37000000
PA
USD
871090.72000000
0.011389437829
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEV3
1334000.00000000
PA
USD
1344713.54000000
0.017582016327
Long
DBT
CORP
US
N
2
2028-10-18
Fixed
6.29600000
N
N
N
N
N
N
MINERVA LUXEMBOURG SA
222100NM3G3RCPGZ2Z17
Minerva Luxembourg SA
603374AH2
10375000.00000000
PA
USD
10307562.50000000
0.134770511920
Long
DBT
CORP
LU
N
2
2033-09-13
Fixed
8.87500000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2019-4 Trust
95002FBK9
1880709.38000000
PA
USD
1166597.82000000
0.015253168283
Long
ABS-MBS
CORP
US
N
2
2049-09-25
Variable
3.52366700
N
N
N
N
N
N
BECTON DICKINSON & CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson & Co
075887CQ0
4315000.00000000
PA
USD
4185275.09000000
0.054722119454
Long
DBT
CORP
US
N
2
2028-02-13
Fixed
4.69300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36197KEB4
380734.11000000
PA
USD
338492.42000000
0.004425759894
Long
ABS-MBS
USGA
US
N
2
2047-03-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-4
35563PGZ6
2846068.71000000
PA
USD
2313090.83000000
0.030243467869
Long
ABS-MBS
USGSE
US
N
2
2058-03-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A1T92
2062.62000000
PA
USD
1949.72000000
0.000025492424
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
GREENSAIF PIPELINES BIDC
549300YWDGUXPB8GRP47
Greensaif Pipelines Bidco Sarl
39541EAA1
2875000.00000000
PA
USD
2822905.00000000
0.036909245222
Long
DBT
CORP
LU
N
2
2038-02-23
Fixed
6.12900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BGJS9
6466380.80000000
PA
USD
5264034.24000000
0.068826804522
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHSR4
970852.71000000
PA
USD
821526.64000000
0.010741391655
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
SunRun Athena Issuer
5493001ZI15Y2FZFMI30
Sunrun Athena Issuer 2018-1 LLC
86772DAA4
4435844.64000000
PA
USD
4061879.43000000
0.053108731588
Long
ABS-O
CORP
US
N
2
2049-04-30
Fixed
5.31000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ALUN9
5914933.57000000
PA
USD
1005507.36000000
0.013146924080
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Fixed
5.50000000
N
N
N
N
N
N
Chase Funding Mortgage Loan As
N/A
Chase Funding Trust Series 2003-5
161546GR1
37148.62000000
PA
USD
35554.51000000
0.000464872225
Long
ABS-O
CORP
US
N
2
2033-07-25
Floating
6.03420000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFSY9
7162835.86000000
PA
USD
6606158.88000000
0.086374971200
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCR72
1391026.64000000
PA
USD
1220278.94000000
0.015955044408
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AQ1
3222000.00000000
PA
USD
2997877.23000000
0.039196992398
Long
DBT
CORP
CH
N
2
2026-06-05
Fixed
2.19300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MGLQ2
4073153.15000000
PA
USD
3291320.40000000
0.043033737142
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
Evergy Kansas Central Inc
30036FAB7
3888000.00000000
PA
USD
3654164.33000000
0.047777890980
Long
DBT
CORP
US
N
2
2053-03-15
Fixed
5.70000000
N
N
N
N
N
N
FS Rialto Issuer Ltd
N/A
FS Rialto 2021-FL3
30323CAA8
7500000.00000000
PA
USD
7386558.38000000
0.096578628963
Long
ABS-CBDO
CORP
KY
N
2
2036-11-16
Floating
6.69505000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2020-1NV
33851YBD7
2318670.86000000
PA
USD
1934391.74000000
0.025292009149
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
4.20852500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374KA37
260201.88000000
PA
USD
16063.80000000
0.000210032832
Long
ABS-MBS
USGA
US
N
2
2035-02-16
Floating
1.32495000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B1GM0
24558443.03000000
PA
USD
1870538.02000000
0.024457127135
Long
ABS-MBS
USGSE
US
N
2
2048-03-25
Floating
0.87057000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AD7
2495000.00000000
PA
USD
1985190.74000000
0.025956201797
Long
DBT
CORP
US
N
2
2039-04-01
Fixed
3.87500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAX4
2485000.00000000
PA
USD
2320347.43000000
0.030338347303
Long
DBT
CORP
US
N
2
2029-12-05
Fixed
4.45200000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F8ZX4
40916706.45000000
PA
USD
1712415.31000000
0.022389686014
Long
ABS-MBS
USGSE
US
N
2
2030-12-25
Variable
0.86335200
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375QLL1
184990.76000000
PA
USD
10940.06000000
0.000143040363
Long
ABS-MBS
USGA
US
N
2
2038-05-16
Floating
1.05495000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4QN1
9545722.57000000
PA
USD
2474899.44000000
0.032359101822
Long
ABS-MBS
USGSE
US
N
2
2059-05-25
Fixed
5.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJE0
3179000.00000000
PA
USD
2037555.38000000
0.026640865057
Long
DBT
CORP
US
N
2
2041-06-19
Fixed
2.67600000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAQ3
2561000.00000000
PA
USD
2464586.80000000
0.032224264922
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
5.75000000
N
N
N
N
N
N
PARTNERRE FINANCE B LLC
549300O0FAGHK2F79881
PartnerRe Finance B LLC
70213BAC5
12860000.00000000
PA
USD
10926008.78000000
0.142856644966
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
4.50000000
N
N
N
N
N
N
Starwood Mortgage Residential
N/A
Starwood Mortgage Residential Trust 2022-2
85573UAD3
1000000.00000000
PA
USD
683612.30000000
0.008938173270
Long
ABS-MBS
CORP
US
N
2
2067-02-25
Variable
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QN6Q0
46083759.37000000
PA
USD
38325965.86000000
0.501108777056
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381W2F4
416445.00000000
PA
USD
294929.35000000
0.003856176421
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
3.00000000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAB8
7190000.00000000
PA
USD
6021178.00000000
0.078726395442
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJQ92
1584172.50000000
PA
USD
1343728.56000000
0.017569137797
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BAK37
10136886.94000000
PA
USD
1585414.19000000
0.020729157062
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Fixed
3.50000000
N
N
N
N
N
N
ROYAL BANK OF CANADA (TORONTO BRANCH)
N/A
ROYAL BANK OF CANADA (TORONTO BRANCH)
000000000
5340000.00000000
PA
USD
5340000.00000000
0.069820050439
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.32000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FUF1
5079176.02000000
PA
USD
4823129.02000000
0.063062005889
Long
ABS-MBS
USGA
US
N
2
2041-06-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H1BZ8
27142468.82000000
PA
USD
5443544.26000000
0.071173882921
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Fixed
5.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TCA2
7409000.00000000
PA
USD
4568977.30000000
0.059738993547
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBB3
5387000.00000000
PA
USD
4217499.86000000
0.055143455609
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAN7
1662000.00000000
PA
USD
1491901.85000000
0.019506491089
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.00000000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Home Lending Mortgage Trust 2019-1
16159WBT0
1761793.27000000
PA
USD
1464819.93000000
0.019152397265
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.89152900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J86J7
7777698.19000000
PA
USD
6840188.22000000
0.089434885118
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CQ9
1474000.00000000
PA
USD
1230193.24000000
0.016084673046
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137HABD7
43453070.49000000
PA
USD
8671368.73000000
0.113377416124
Long
ABS-MBS
USGSE
US
N
2
2051-09-25
Fixed
4.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DK3
3492000.00000000
PA
USD
2716526.88000000
0.035518360258
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.12500000
N
N
N
N
N
N
Bank
N/A
BANK 2018-BNK14
06035RBH8
180558745.12750000
PA
USD
3461067.39000000
0.045253164746
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Variable
0.64580200
N
N
N
N
N
N
INDUSTRIAL AND COMMERCIAL BANK OF CHINA FINANCIAL SERVICES LLC
5493003O0P1GJ0O8CI80
INDUSTRIAL & COMMERCIAL BANK OF CHINA FINANCIAL SERVICES LLC
000000000
3988544.00000000
PA
USD
3988544.00000000
0.052149877014
Long
RA
CORP
US
N
2
Repurchase
Y
5.36000000
2023-10-02
7822711.85651498
USD
590883.57050197
USD
AMBS
75826.65315555
USD
82768.39499267
USD
ADAS
3568648.41211474
USD
3394662.91388491
USD
UST
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-SBT1
20753VBE7
800000.00000000
PA
USD
834700.32000000
0.010913636412
Long
ABS-MBS
CORP
US
N
2
2040-02-25
Floating
9.07943000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BR4
1200000.00000000
PA
USD
938508.00000000
0.012270913089
Long
DBT
NUSS
PA
N
2
2033-01-19
Fixed
3.29800000
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2017-6
64830BAZ0
666657.03000000
PA
USD
611401.90000000
0.007994028370
Long
ABS-MBS
CORP
US
N
2
2057-08-27
Variable
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QNKH1
1144653.69000000
PA
USD
1007222.05000000
0.013169343508
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAD8
4673000.00000000
PA
USD
3963316.86000000
0.051820034283
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.37500000
N
N
N
N
N
N
BANCO NACIONAL DE PANAMA
529900H2Q7WMDKKIW109
Banco Nacional de Panama
059626AC5
3750000.00000000
PA
USD
2919600.00000000
0.038173524206
Long
DBT
CORP
PA
N
2
2030-08-11
Fixed
2.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBA3
755000.00000000
PA
USD
721923.41000000
0.009439087808
Long
DBT
CORP
US
N
2
2027-01-29
Fixed
3.96000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortage-Backed Securities Trust 2020-PJ1
36258FAA7
309020.68000000
PA
USD
266051.88000000
0.003478605932
Long
ABS-MBS
CORP
US
N
2
2050-05-25
Variable
3.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAN0
1750000.00000000
PA
USD
1027932.50000000
0.013440130898
Long
DBT
NUSS
MX
N
2
2061-05-24
Fixed
3.77100000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ADD4
3615000.00000000
PA
USD
3448239.40000000
0.045085439856
Long
DBT
CORP
US
N
2
2054-06-15
Fixed
6.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YES0
5907000.00000000
PA
USD
5266762.13000000
0.068862471454
Long
DBT
CORP
US
N
2
2037-04-20
Fixed
5.29700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEN57
23340771.64000000
PA
USD
18834483.46000000
0.246259285613
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
CMS ENERGY CORP
549300IA9XFBAGNIBW29
CMS Energy Corp
125896BU3
7338000.00000000
PA
USD
6278098.55000000
0.082085610004
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.75000000
N
N
N
N
N
N
BELL CANADA
5493000G3EFX9S7TDE29
Bell Telephone Co of Canada or Bell Canada
0778FPAL3
7606000.00000000
PA
USD
7115356.49000000
0.093032687083
Long
DBT
CORP
CA
N
2
2033-05-11
Fixed
5.10000000
N
N
N
N
N
N
CONCENTRIX CORP
5493000EAJN1KMPVA737
Concentrix Corp
20602DAC5
6134000.00000000
PA
USD
5671552.28000000
0.074155068587
Long
DBT
CORP
US
N
2
2033-08-02
Fixed
6.85000000
N
N
N
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAL2
8406500.00000000
PA
USD
6626393.36000000
0.086639535323
Long
ABS-O
CORP
US
N
2
2051-06-15
Fixed
2.77500000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBW8
4714000.00000000
PA
USD
4463992.11000000
0.058366321026
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
4.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380BY41
14262880.34000000
PA
USD
1048949.27000000
0.013714923396
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Floating
0.66068000
N
N
N
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081GQ4
1373000.00000000
PA
USD
1299145.33000000
0.016986215818
Long
DBT
CORP
US
N
2
2033-05-15
Fixed
4.80000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMT6
1245000.00000000
PA
USD
1165730.34000000
0.015241826055
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6DR5
869361.85000000
PA
USD
794378.83000000
0.010386436325
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
170648.16000000
0.002231210325
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-06-20
0.00000000
USD
0.00000000
USD
131092000.00000000
USD
170648.16000000
N
N
N
WSTN Trust
N/A
WSTN Trust 2023-MAUI
92943AAA2
7000000.00000000
PA
USD
6833562.05000000
0.089348248504
Long
ABS-MBS
CORP
US
N
2
2037-07-05
Variable
6.51800100
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KE6W3
15712.67000000
PA
USD
12583.85000000
0.000164532779
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
CONSUMERS ENERGY CO
7NKTFWJ1G6MELP9TU740
Consumers Energy Co
210518DV5
4328000.00000000
PA
USD
4234186.70000000
0.055361634637
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.90000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2017-6
46649HBA9
1286618.69000000
PA
USD
1095880.69000000
0.014328547762
Long
ABS-MBS
CORP
US
N
2
2048-12-25
Variable
3.77740300
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394FAC9
431533.84000000
PA
USD
19332.54000000
0.000252771332
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Floating
1.32057000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-1
46648RAZ4
1784916.88000000
PA
USD
1463576.15000000
0.019136134946
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.61021800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WAW6
896623.39000000
PA
USD
67993.82000000
0.000889013472
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
1.02057000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACH8
3050000.00000000
PA
USD
2983710.75000000
0.039011766865
Long
DBT
CORP
US
N
2
2028-06-26
Fixed
5.68000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
3050000.00000000
PA
USD
2716025.00000000
0.035511798219
Long
DBT
CORP
MX
N
2
2033-02-07
Fixed
10.00000000
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2006-AR2
45661EAF1
1527605.72000000
PA
USD
1106228.06000000
0.014463838754
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
5.85420000
N
N
N
N
N
N
Deutsche Alt-A Securities INC
N/A
Deutsche Alt-B Securities Mortgage Loan Trust Series 2007-AB1
25151WAE3
51655068.27960000
PA
USD
1869433.08000000
0.024442680138
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Variable
0.78133300
N
N
N
N
N
N
Babson CLO Ltd
549300QO1I8V07FLPQ13
Barings Clo Ltd 2019-IV
06761VAJ6
3750000.00000000
PA
USD
3759123.75000000
0.049150226560
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
8.36957000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
N/A
AMERICAN HONDA FIN CORP 0% CP 07/11/2023
000000000
5320000.00000000
PA
USD
5287921.30000000
0.069139125821
Long
DBT
CORP
US
N
2
2023-11-07
None
0.00000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2007-5
41165AAB8
1445992.75000000
PA
USD
1219961.53000000
0.015950894299
Long
ABS-MBS
CORP
US
N
2
2037-09-19
Floating
5.63156000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FKN5
7749968.42000000
PA
USD
7356654.50000000
0.096187638250
Long
ABS-MBS
USGA
US
N
2
2040-09-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BELA0
2644599.82000000
PA
USD
2450362.95000000
0.032038289281
Long
ABS-MBS
USGSE
US
N
2
2034-10-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398FB67
959659.62000000
PA
USD
66328.51000000
0.000867239684
Long
ABS-MBS
USGSE
US
N
2
2039-11-25
Floating
0.72057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5H44
6197910.08000000
PA
USD
5245582.35000000
0.068585547614
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAR7
10449848.73000000
PA
USD
10041036.02000000
0.131285700632
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
7.44648000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
1245000.00000000
PA
USD
1053758.26000000
0.013777800536
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEA9
3912000.00000000
PA
USD
3758432.84000000
0.049141192970
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
0.79000000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAN1
2404000.00000000
PA
USD
2201972.84000000
0.028790609504
Long
DBT
CORP
US
N
2
2028-08-09
Fixed
5.97400000
N
N
N
N
N
N
CLEVELAND ELECTRIC ILLUM
N/A
Cleveland Electric Illuminating Co/The
186108CK0
2166000.00000000
PA
USD
1964639.67000000
0.025687498287
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.50000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111EH2
731000.00000000
PA
USD
686421.19000000
0.008974899271
Long
DBT
CORP
US
N
2
2035-03-01
Fixed
5.30000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2020-PJ3
36258WBH4
1529456.18000000
PA
USD
1195189.86000000
0.015627006799
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
3.42370100
N
N
N
N
N
N
EVERGY METRO
1128SIJQ26096WL7IO82
Evergy Metro Inc
30037DAA3
2216000.00000000
PA
USD
1790482.97000000
0.023410414096
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.25000000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
5493005PJR3MYTKJFJ48
Commonbond Student Loan Trust 2018-A-GS
20269DAA3
1033120.92000000
PA
USD
940923.87000000
0.012302500386
Long
ABS-O
CORP
US
N
2
2044-02-25
Fixed
3.21000000
N
N
N
N
N
N
IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
IPALCO Enterprises Inc
462613AP5
2383000.00000000
PA
USD
2091916.00000000
0.027351625587
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
4.25000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DL6
350000.00000000
PA
USD
318941.00000000
0.004170126724
Long
DBT
NUSS
CO
N
2
2027-04-25
Fixed
3.87500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TG3
9469100.00000000
PA
USD
6716033.13000000
0.087811567769
Long
DBT
UST
US
N
2
2052-05-15
Fixed
2.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378U7S0
7670156.90000000
PA
USD
6439509.37000000
0.084196042887
Long
ABS-MBS
USGA
US
N
2
2043-11-16
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFB73
21733066.25000000
PA
USD
18102003.12000000
0.236682166833
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
3.00000000
N
N
N
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO 2021-3 Ltd
69688FAC4
7550000.00000000
PA
USD
7517587.85000000
0.098291828252
Long
ABS-CBDO
CORP
KY
N
2
2035-01-15
Floating
6.96957000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
000000000
4250000.00000000
PA
USD
3969818.75000000
0.051905045947
Long
DBT
CORP
MX
N
2
N/A
Fixed
5.12500000
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJG6
7862000.00000000
PA
USD
6848629.79000000
0.089545257936
Long
DBT
CORP
US
N
2
2033-07-22
Fixed
4.96700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B1GX4
3544450.48000000
PA
USD
219608.48000000
0.002871362387
Long
ABS-MBS
USGSE
US
N
2
2043-03-15
Floating
0.77224000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
639057AK4
3513000.00000000
PA
USD
3410348.03000000
0.044590013383
Long
DBT
CORP
GB
N
2
2029-09-13
Fixed
5.80800000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
3400000.00000000
PA
USD
3340874.00000000
0.043681646290
Long
DBT
NUSS
OM
N
2
2029-08-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374LBJ9
1055255.72000000
PA
USD
59357.82000000
0.000776098499
Long
ABS-MBS
USGA
US
N
2
2035-05-20
Floating
0.71068000
N
N
N
N
N
N
PARKER HANNIFI 11/17/2023
N/A
PARKER HANNIFI 11/17/2023
000000000
2700000.00000000
PA
USD
2679592.73000000
0.035035449356
Long
DBT
CORP
US
N
2
2023-11-17
None
0.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAZ8
899000.00000000
PA
USD
689853.00000000
0.009019769898
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MQB32
6056163.39000000
PA
USD
5443344.15000000
0.071171266500
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-PC1 Mortgage Trust
12593GAG7
86568000.92000000
PA
USD
420404.51000000
0.005496753575
Long
ABS-MBS
CORP
US
N
2
2050-07-10
Variable
0.51521200
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AM6X2
18679189.06000000
PA
USD
16215538.51000000
0.212016800874
Long
ABS-MBS
USGSE
US
N
2
2045-04-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GTFG0
914442.88000000
PA
USD
858293.66000000
0.011222117347
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDV0
32536700.00000000
PA
USD
32052980.79000000
0.419090025372
Long
DBT
UST
US
N
2
2024-01-31
Fixed
0.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEUQ3
726118.21000000
PA
USD
582102.68000000
0.007610943535
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GRU69
975072.19000000
PA
USD
915606.66000000
0.011971479996
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DD7
104000.00000000
PA
USD
80452.31000000
0.001051907180
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F3P32
583669.91000000
PA
USD
577019.93000000
0.007544487006
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FHQV8
2047077.47000000
PA
USD
1809324.98000000
0.023656771791
Long
ABS-MBS
USGSE
US
N
2
2048-10-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397KXH9
760927.95000000
PA
USD
16665.39000000
0.000217898571
Long
ABS-MBS
USGSE
US
N
2
2037-10-15
Floating
0.60000000
N
N
N
N
N
N
AMERICAN HONDA
N/A
AMERICAN HONDA 11/27/2023
000000000
21564000.00000000
PA
USD
21366479.15000000
0.279364916098
Long
DBT
CORP
US
N
2
2023-11-27
None
0.00000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAZ4
2566000.00000000
PA
USD
2329516.95000000
0.030458238005
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DRS3
1924863.69000000
PA
USD
1540997.81000000
0.020148416633
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
FRR Re-Remic Trust
N/A
FRR Re-REMIC Trust 2018-C1
30307WBC9
5000000.00000000
PA
USD
4828052.00000000
0.063126373438
Long
ABS-MBS
CORP
US
N
2
2050-02-27
Variable
2.75691400
N
N
N
N
N
N
Flagstar Mortgage Trust
549300H3PON1KOB2RF56
Flagstar Mortgage Trust 2018-6RR
33851FBR7
2788633.26000000
PA
USD
2495062.12000000
0.032622727166
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
4.91878000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-SDMF
12434CAN4
1000000.00000000
PA
USD
960614.90000000
0.012559958945
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
7.03348000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAX4
2089969.75000000
PA
USD
1992020.60000000
0.026045501641
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
9.44648000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAN9
325000.00000000
PA
USD
322120.71000000
0.004211701164
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.25000000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAE7
2841000.00000000
PA
USD
2352749.63000000
0.030762003340
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
3.62500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHV4
3188000.00000000
PA
USD
2726691.87000000
0.035651266647
Long
DBT
CORP
US
N
2
2030-07-23
Fixed
3.19400000
N
N
N
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
Nutrien Ltd
67077MAF5
407000.00000000
PA
USD
386839.26000000
0.005057890757
Long
DBT
CORP
CA
N
2
2036-12-01
Fixed
5.87500000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AU5
3377000.00000000
PA
USD
2765079.83000000
0.036153185992
Long
DBT
CORP
US
N
2
2062-02-15
Fixed
3.87500000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-22
12669F6Z1
927214.78000000
PA
USD
831056.30000000
0.010865991158
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Variable
3.86069100
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CEQ0
50000000.00000000
PA
USD
48107422.00000000
0.629000492611
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.75000000
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AG8
5032000.00000000
PA
USD
4728334.90000000
0.061822580751
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXI Ltd
55820JBE9
6250000.00000000
PA
USD
6183462.50000000
0.080848251617
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Floating
6.96957000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EL0
1937000.00000000
PA
USD
1145186.03000000
0.014973210932
Long
DBT
CORP
US
N
2
2061-08-05
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEUG2
846820.22000000
PA
USD
772405.57000000
0.010099137800
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBF2
1361000.00000000
PA
USD
1305786.33000000
0.017073046334
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
2.30100000
N
N
N
N
N
N
BLACKSTONE HOLDINGS FINA
549300D2L6J4NC1QVZ22
Blackstone Holdings Finance Co LLC
09261BAC4
1667000.00000000
PA
USD
1375687.98000000
0.017987004522
Long
DBT
CORP
US
N
2
2028-08-05
Fixed
1.62500000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
JGWPT XXXIII LLC
46618HAA7
2326967.62000000
PA
USD
1907837.70000000
0.024944817311
Long
ABS-O
CORP
US
N
2
2077-06-15
Fixed
3.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WG71
6240359.13000000
PA
USD
1187956.57000000
0.015532432141
Long
ABS-MBS
USGSE
US
N
2
2044-02-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377LBJ6
3002845.96000000
PA
USD
216768.84000000
0.002834234333
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Floating
1.18068000
N
N
N
N
N
N
ENTERGY CORP
4XM3TW50JULSLG8BNC79
Entergy Corp
29364GAM5
4202000.00000000
PA
USD
3817671.84000000
0.049915737908
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
0.90000000
N
N
N
N
N
N
UNITED AIR 2020-1 A PTT
N/A
United Airlines 2020-1 Class A Pass Through Trust
90931GAA7
1339036.19000000
PA
USD
1329180.62000000
0.017378924706
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VUB8
239451.44000000
PA
USD
42935.44000000
0.000561377263
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Variable
4.50000000
N
N
N
N
N
N
SEMPRA
PBBKGKLRK5S5C0Y4T545
Sempra
816851BM0
6575000.00000000
PA
USD
5329423.12000000
0.069681758623
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
4.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379JXC0
1194455.31000000
PA
USD
1143238.86000000
0.014947751848
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
3.00000000
N
N
N
N
N
N
ENTERGY LOUISIANA LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBC1
3667000.00000000
PA
USD
2774602.99000000
0.036277700507
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RCP5
649000.00000000
PA
USD
553963.23000000
0.007243022595
Long
DBT
CORP
US
N
2
2035-05-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLZV2
25366621.56000000
PA
USD
19354786.79000000
0.253062207850
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378E3Y7
188286.49000000
PA
USD
16985.29000000
0.000222081236
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WG55
5007862.86000000
PA
USD
917501.07000000
0.011996249248
Long
ABS-MBS
USGSE
US
N
2
2044-02-15
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
SWOP IRS USD
000000000
-558708000.00000000
NC
USD
1203295.84000000
0.015732991805
N/A
DIR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
FR
US
2025-09-05
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
4.15000000
USD
2024-09-03
XXXX
1203295.84000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GKHC3
286035.72000000
PA
USD
260666.66000000
0.003408194634
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAR0
5481000.00000000
PA
USD
4955555.88000000
0.064793475935
Long
DBT
CORP
US
N
2
2035-05-14
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379BRQ3
5785578.99000000
PA
USD
229638.31000000
0.003002501570
Long
ABS-MBS
USGA
US
N
2
2044-04-16
Floating
0.15495000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAK9
1466000.00000000
PA
USD
1138902.21000000
0.014891050514
Long
DBT
CORP
GB
N
2
2030-09-02
Fixed
2.20000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAY7
386000.00000000
PA
USD
301399.93000000
0.003940778710
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBU4
7212000.00000000
PA
USD
6184886.07000000
0.080866864675
Long
ABS-MBS
CORP
US
N
2
2048-05-27
None
0.00000000
N
N
N
N
N
N
FHLMC Structured Pass Through
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
31392UZ56
838512.33000000
PA
USD
781849.52000000
0.010222616652
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Variable
4.42185000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte Ltd
716973AE2
9947000.00000000
PA
USD
9406664.93000000
0.122991352037
Long
DBT
CORP
SG
N
2
2033-05-19
Fixed
4.75000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
84835300.00000000
NC
USD
73049.57000000
0.000955116977
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2034-05-20
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
2.21250000
USD
2024-05-16
XXXX
-851655.20000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUTJ0
322655.25000000
PA
USD
315299.55000000
0.004122515072
Long
ABS-MBS
USGSE
US
N
2
2045-01-25
Fixed
3.50000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AB0
4130000.00000000
PA
USD
3532140.91000000
0.046182445036
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
5.00000000
N
N
N
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
Evergy Kansas Central Inc
95709TAQ3
1643000.00000000
PA
USD
1054168.63000000
0.013783166089
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.25000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBU1
4324000.00000000
PA
USD
4182259.58000000
0.054682691915
Long
DBT
CORP
US
N
2
2039-01-23
Fixed
5.45000000
N
N
N
N
N
N
Babson CLO Ltd
5493000D71NBEM2WZE67
Barings CLO Ltd 2018-III
06760PAE1
6361000.00000000
PA
USD
6359377.95000000
0.083148331316
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
6.88775000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271BB4
501000.00000000
PA
USD
418828.00000000
0.005476140839
Long
DBT
CORP
US
N
2
2053-04-15
Fixed
5.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJSM4
9461513.54000000
PA
USD
8306058.46000000
0.108601015099
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132XGS31
3500000.00000000
PA
USD
3277969.03000000
0.042859169103
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
4.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31378C2T8
3761.77000000
PA
USD
3730.64000000
0.000048777803
Long
ABS-MBS
USGSE
US
N
2
2027-12-01
Fixed
7.00000000
N
N
N
N
N
N
KEYCORP
RKPI3RZGV1V1FJTH5T61
KeyCorp
49326EEN9
7885000.00000000
PA
USD
6577231.20000000
0.085996744220
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.78900000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VU93
6789512.35000000
PA
USD
1147164.15000000
0.014999074684
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BAPA4
5128695.74000000
PA
USD
4684537.87000000
0.061249938271
Long
ABS-MBS
USGSE
US
N
2
2044-05-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FXHU5
31379382.94000000
PA
USD
5736235.93000000
0.075000801866
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AQGF1
1620590.23000000
PA
USD
272698.34000000
0.003565507837
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Fixed
6.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDK4
8184600.00000000
PA
USD
7345039.12000000
0.096035768134
Long
DBT
UST
US
N
2
2026-11-30
Fixed
1.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359FJJ8
17.77000000
PA
USD
17.69000000
0.000000231295
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Fixed
6.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VVH4
3302766.03000000
PA
USD
681579.28000000
0.008911591705
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
4.50000000
N
N
N
N
N
N
SANTANDER INVESTMENT SECURITIES INC.
549300FT36TF8GQFTL08
SANTANDER US CAPITAL MARKETS LLC
000000000
6167599.00000000
PA
USD
6167599.00000000
0.080640837690
Long
RA
CORP
US
N
2
Repurchase
Y
5.33000000
2023-10-02
479839.20220000
USD
435500.99366220
USD
423097.29140000
USD
277731.50406677
USD
ADAS
6510288.31642116
USD
5577718.50496778
USD
AMBS
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2018-2
36418GBX1
3733984.74000000
PA
USD
3315166.08000000
0.043345517400
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.72534900
N
N
N
N
N
N
ENTERGY CORP D 10/02/2023
N/A
ENTERGY CORP D 10/02/2023
000000000
2100000.00000000
PA
USD
2099056.05000000
0.027444981139
Long
DBT
CORP
US
N
2
2023-10-02
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DV5W1
35054.58000000
PA
USD
28065.62000000
0.000366955618
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
2.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CM9
2116000.00000000
PA
USD
1866515.24000000
0.024404529625
Long
DBT
CORP
GB
N
2
2027-05-24
Fixed
1.58900000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VVN1
2388380.41000000
PA
USD
392863.74000000
0.005136660326
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHS86
11230153.05000000
PA
USD
9895944.61000000
0.129388642662
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CDB0
23007.01000000
PA
USD
22570.36000000
0.000295105556
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Floating
5.63700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TKML1
281950.23000000
PA
USD
283612.10000000
0.003708204330
Long
ABS-MBS
USGSE
US
N
2
2029-04-15
Fixed
6.00000000
N
N
N
N
N
N
Rockland Park CLO Ltd
N/A
Rockland Park CLO Ltd
773663AE9
9150000.00000000
PA
USD
8958133.65000000
0.117126843311
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
7.48775000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XD6D3
2633483.09000000
PA
USD
2113357.46000000
0.027631970871
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Goddard Funding LLC
N/A
Goddard Funding LLC
380241AA7
4714375.00000000
PA
USD
4383378.73000000
0.057312307869
Long
ABS-O
CORP
US
N
3
2052-10-30
Fixed
6.86400000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VBG8
3610000.00000000
PA
USD
2671043.48000000
0.034923668632
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
3.85000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CF9
3259000.00000000
PA
USD
2749040.28000000
0.035943470226
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
3.62500000
N
N
N
N
N
N
TRITON CONTAINER
549300O4LZFLCX53XZ54
Triton Container International Ltd
89680YAC9
1814000.00000000
PA
USD
1373125.44000000
0.017953499528
Long
DBT
CORP
BM
N
2
2031-06-15
Fixed
3.15000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DAU3
146780.22000000
PA
USD
131758.56000000
0.001722732079
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
4.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC (NEW YORK BRANCH)
N/A
BARCLAYS BANK PLC (NEW YORK BRANCH)
000000000
5350000.00000000
PA
USD
5350000.00000000
0.069950799597
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.34000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFLK5
44045590.89000000
PA
USD
36809664.94000000
0.481283270181
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBV2
12216000.00000000
PA
USD
10535523.92000000
0.137751088295
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
4.92600000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-D
63941HAA0
2501066.30000000
PA
USD
2243846.14000000
0.029338099376
Long
ABS-O
CORP
US
N
2
2069-05-15
Fixed
1.69000000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31395QK41
123900.00000000
PA
USD
16438.20000000
0.000214928081
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
Fixed
3.00000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortage-Backed Securities Trust 2020-PJ1
36258FAH2
1236143.85000000
PA
USD
1064260.15000000
0.013915111863
Long
ABS-MBS
CORP
US
N
2
2050-05-25
Variable
3.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
68833.30000000
0.000899989602
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
63448000.00000000
USD
68833.30000000
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AV6
4430000.00000000
PA
USD
3794350.38000000
0.049610811782
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
Helios Issuer, LLC
N/A
SUNNOVA HELIOS II ISSUER LLC 2018-1
86745JAA5
4123919.50000000
PA
USD
3757627.61000000
0.049130664655
Long
ABS-O
CORP
US
N
2
2048-07-20
Fixed
4.87000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B7RH4
6657383.94000000
PA
USD
6050543.42000000
0.079110345837
Long
ABS-MBS
USGSE
US
N
2
2044-02-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BGGK1
37548203.53000000
PA
USD
591489.34000000
0.007733673324
Long
ABS-MBS
USGSE
US
N
2
2061-08-25
Floating
0.01000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
141770.63000000
0.001853639051
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
49814000.00000000
USD
141770.63000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EJ76
14738795.22000000
PA
USD
13925004.43000000
0.182068260612
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3C21
5442648.44000000
PA
USD
4572743.08000000
0.059788230803
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AE6
4325000.00000000
PA
USD
3748865.45000000
0.049016100151
Long
DBT
CORP
US
N
2
2030-01-30
Fixed
4.75000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-8CB
02150FAC4
735688.55000000
PA
USD
325407.85000000
0.004254680243
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
5.93420000
N
N
N
N
N
N
DT MIDSTREAM INC
N/A
DT Midstream Inc
23345MAB3
4425000.00000000
PA
USD
3725977.88000000
0.048716847100
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
4.37500000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142FC2
4943000.00000000
PA
USD
4646273.34000000
0.060749632762
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.00000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CE2
6127000.00000000
PA
USD
4022879.02000000
0.052598804510
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
2.92100000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674ZW3
5876000.00000000
PA
USD
5780996.07000000
0.075586036928
Long
DBT
CORP
CH
N
2
2028-09-11
Fixed
5.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7XL6
13064623.95000000
PA
USD
11529728.43000000
0.150750228564
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B9AQ0
6928115.44420000
PA
USD
544186.15000000
0.007115188097
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Floating
0.57057000
N
N
N
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BBM6
16840000.00000000
PA
USD
13620474.07000000
0.178086551793
Long
ABS-MBS
CORP
US
N
2
2049-03-28
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390RMV2
1045.78000000
PA
USD
1058.65000000
0.000013841759
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397A4R1
3383697.12000000
PA
USD
249580.15000000
0.003263239449
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Floating
1.02224000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AQ9
1749000.00000000
PA
USD
1343557.33000000
0.017566898979
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WQB7
2675276.41000000
PA
USD
2275942.61000000
0.029757758020
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
3.00000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300XC4C7GRVLU6076
SMB Private Education Loan Trust 2014-A
784456AF2
2700000.00000000
PA
USD
2272986.90000000
0.029719112360
Long
ABS-O
CORP
US
N
2
2045-09-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLZW0
34056613.23000000
PA
USD
26039336.03000000
0.340462126408
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378T5L0
2450969.43000000
PA
USD
217311.65000000
0.002841331528
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Floating
1.26068000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBM6
2858000.00000000
PA
USD
2601458.86000000
0.034013855584
Long
DBT
CORP
US
N
2
2053-05-17
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AFCN2
914827.37000000
PA
USD
44064.58000000
0.000576140673
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Floating
0.72057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398N2X1
2426245.72000000
PA
USD
127330.35000000
0.001664833606
Long
ABS-MBS
USGSE
US
N
2
2040-11-25
Floating
0.64057000
N
N
N
N
N
N
RTX CORP
I07WOS4YJ0N7YRFE7309
RTX Corp
75513ECR0
2083000.00000000
PA
USD
1973542.85000000
0.025803906616
Long
DBT
CORP
US
N
2
2033-02-27
Fixed
5.15000000
N
N
N
N
N
N
UNITED HEALTHC 10/02/2023
N/A
UNITED HEALTHC 10/02/2023
000000000
33875000.00000000
PA
USD
33859984.91000000
0.442716452114
Long
DBT
CORP
US
N
2
2023-10-02
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2X65
6311841.83000000
PA
USD
5816390.65000000
0.076048818082
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Fixed
4.00000000
N
N
N
N
N
N
Cedar Funding Ltd
549300PPJP6KEORGHQ85
Cedar Funding IV CLO Ltd
150323BE2
10000000.00000000
PA
USD
9785320.00000000
0.127942235199
Long
ABS-CBDO
CORP
KY
N
2
2034-07-23
Floating
7.60718000
N
N
N
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAN1
2285000.00000000
PA
USD
2247308.95000000
0.029383375326
Long
DBT
CORP
US
N
2
2052-11-15
Fixed
5.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395EDY0
302046.88000000
PA
USD
295766.21000000
0.003867118295
Long
ABS-MBS
USGSE
US
N
2
2034-08-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KK4B2
86284.01000000
PA
USD
69082.47000000
0.000903247479
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
29446MAF9
2642000.00000000
PA
USD
2339596.76000000
0.030590030672
Long
DBT
CORP
NO
N
2
2030-04-06
Fixed
3.12500000
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833ER7
1147000.00000000
PA
USD
883288.06000000
0.011548917022
Long
DBT
CORP
US
N
2
2062-08-08
Fixed
4.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397QJJ8
1717748.21000000
PA
USD
1554746.27000000
0.020328176590
Long
ABS-MBS
USGSE
US
N
2
2041-02-25
Fixed
4.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RFW7
3480000.00000000
PA
USD
3017455.14000000
0.039452971923
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.90000000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
N/A
Commonbond Student Loan Trust 2020-A-GS
20267WAA3
3241412.36000000
PA
USD
2731537.55000000
0.035714623505
Long
ABS-O
CORP
US
N
2
2050-08-25
Fixed
1.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394AW85
527209.35000000
PA
USD
506349.84000000
0.006620481529
Long
ABS-MBS
USGSE
US
N
2
2034-10-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307M2M7
203063.42000000
PA
USD
185153.31000000
0.002420863940
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379TUB3
30735544.48000000
PA
USD
1820696.82000000
0.023805457641
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Floating
0.21068000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBLA6
11775540.32000000
PA
USD
9111678.06000000
0.119134423546
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
VIASAT INC
UFC8NYMNFSYIHNSM2I38
Viasat Inc
92552VAL4
4085000.00000000
PA
USD
3543737.50000000
0.046334069474
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.62500000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-1
33850TAY4
1696931.21000000
PA
USD
1444615.70000000
0.018888228659
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
3.94091500
N
N
N
N
N
N
INDUSTRIAL AND COMMERCIAL BANK OF CHINA FINANCIAL SERVICES LLC
5493003O0P1GJ0O8CI80
INDUSTRIAL & COMMERCIAL BANK OF CHINA FINANCIAL SERVICES LLC
000000000
10810709.00000000
PA
USD
10810709.00000000
0.141349110049
Long
RA
CORP
US
N
2
Repurchase
Y
5.33000000
2023-10-02
11760394.73123811
USD
11026923.38658281
USD
UST
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBZ2
1625000.00000000
PA
USD
1426653.65000000
0.018653376367
Long
DBT
CORP
GB
N
2
2063-02-10
Fixed
5.75000000
N
N
N
N
N
N
XHR LP
549300M88BPT83ZL2164
XHR LP
98372MAC9
3850000.00000000
PA
USD
3276638.75000000
0.042841775804
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QNKW8
955595.49000000
PA
USD
815113.38000000
0.010657538821
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.00000000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAG1
5342000.00000000
PA
USD
5204768.99000000
0.068051916368
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
5.20000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAZ4
3103000.00000000
PA
USD
2336469.26000000
0.030549138873
Long
DBT
CORP
US
N
2
2046-08-01
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GPYQ5
927092.88000000
PA
USD
870538.35000000
0.011382215637
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BBR5
19500000.00000000
PA
USD
15694893.83000000
0.205209415515
Long
ABS-MBS
CORP
US
N
2
2050-03-01
Variable
0.01000000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAC1
1264000.00000000
PA
USD
965142.13000000
0.012619152096
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.37500000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBT5
1992000.00000000
PA
USD
1903881.09000000
0.024893084968
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.62500000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432NV3
4763000.00000000
PA
USD
3911560.40000000
0.051143322925
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F5PB9
7839975.19000000
PA
USD
7448885.87000000
0.097393555648
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
5.00000000
N
N
N
N
N
N
TCW CLO 2021-1, Ltd.
N/A
TCW CLO 2021-1 Ltd
87190KAG7
13150000.00000000
PA
USD
12779038.50000000
0.167084852553
Long
ABS-CBDO
CORP
KY
N
2
2034-03-18
Floating
7.48775000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GQ3F1
385454.80000000
PA
USD
350034.71000000
0.004576674364
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDT6
2117000.00000000
PA
USD
1632483.69000000
0.021344586812
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395WTA5
524274.04000000
PA
USD
37986.54000000
0.000496670812
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Floating
1.31224000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCD5
6520000.00000000
PA
USD
5651981.51000000
0.073899182417
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.30000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCP9
3444000.00000000
PA
USD
3018345.71000000
0.039464616051
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
1.47000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-2
35563PFA2
3477522.39000000
PA
USD
2850615.52000000
0.037271557938
Long
ABS-MBS
USGSE
US
N
2
2057-11-25
Fixed
3.00000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAW1
25057000.00000000
PA
USD
20241671.03000000
0.264658144623
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust
93934FGB2
959602.28000000
PA
USD
801193.82000000
0.010475541746
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WESG5
3049969.91000000
PA
USD
2786920.53000000
0.036438751306
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Structured Pass Through
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
3133TR7C3
4404728.22000000
PA
USD
4382100.25000000
0.057295591851
Long
ABS-MBS
USGSE
US
N
2
2031-05-25
Floating
5.67943000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5AC9
8555146.47000000
PA
USD
593456.39000000
0.007759392337
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
0.67057000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H0HT8
22617494.58000000
PA
USD
3663672.24000000
0.047902206103
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Fixed
4.00000000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2020-A
038413AA8
1503038.90450000
PA
USD
1390413.04000000
0.018179533442
Long
ABS-O
CORP
US
N
2
2046-07-17
Fixed
1.90000000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBK9
1718000.00000000
PA
USD
1080826.94000000
0.014131721248
Long
DBT
CORP
US
N
2
2060-05-15
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A4LE7
10148733.04000000
PA
USD
8997834.24000000
0.117645925183
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Fixed
4.00000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAE6
7314000.00000000
PA
USD
4767843.88000000
0.062339157338
Long
DBT
CORP
US
N
2
2040-06-22
Fixed
3.85000000
N
N
N
N
N
N
TIAA Bank Mortgage Loan Trust
N/A
TIAA Bank Mortgage Loan Trust 2018-2
886312CC9
2183402.92000000
PA
USD
1842015.65000000
0.024084199549
Long
ABS-MBS
CORP
US
N
2
2048-07-25
Variable
3.67565100
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89832QAF6
3828000.00000000
PA
USD
3291934.54000000
0.043041766971
Long
DBT
CORP
US
N
2
N/A
Fixed
5.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WBY3
9070922.45000000
PA
USD
7426430.16000000
0.097099949130
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307NG73
445106.54000000
PA
USD
405374.00000000
0.005300230922
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395MPZ6
102940.46000000
PA
USD
100793.85000000
0.001317871103
Long
ABS-MBS
USGSE
US
N
2
2035-02-15
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDZ6
2750000.00000000
PA
USD
2630110.01000000
0.034388466958
Long
DBT
CORP
US
N
2
2026-01-27
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MML3
614662.57000000
PA
USD
611977.21000000
0.008001550499
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
5.50000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Trust 2015-2
599808BL5
2482000.00000000
PA
USD
2109410.35000000
0.027580362740
Long
ABS-MBS
CORP
US
N
2
2057-09-25
Variable
3.70380300
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2K6
3808000.00000000
PA
USD
3659696.30000000
0.047850221022
Long
DBT
CORP
CH
N
2
2027-07-09
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XH4J3
5319009.89000000
PA
USD
4116118.41000000
0.053817901685
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B1S96
1075466.42000000
PA
USD
908906.25000000
0.011883872700
Long
ABS-MBS
USGSE
US
N
2
2048-06-25
Fixed
3.00000000
N
N
N
N
N
N
DELTA AIR LINES 2015-1AA
N/A
Delta Air Lines 2015-1 Class AA Pass Through Trust
24736XAA6
1157644.28000000
PA
USD
1081216.95000000
0.014136820596
Long
DBT
CORP
US
N
2
2027-07-30
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FUZA9
3467273.47000000
PA
USD
2930197.42000000
0.038312084580
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YS48
202704.46000000
PA
USD
147467.21000000
0.001928121355
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
3.50000000
N
N
N
N
N
N
SUNRUN CALLISTO ISSUER LLC
N/A
Sunrun Xanadu Issuer 2019-1 LLC
86773PAA6
3537524.17190000
PA
USD
3100267.79000000
0.040535740350
Long
ABS-O
CORP
US
N
2
2054-06-30
Fixed
3.98000000
N
N
N
N
N
N
MONONGAHELA POWER CO
N/A
Monongahela Power Co
609935AA9
3279000.00000000
PA
USD
3221932.55000000
0.042126496845
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
5.85000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKC2
2568000.00000000
PA
USD
1870407.83000000
0.024455424912
Long
DBT
CORP
US
N
2
2036-09-21
Fixed
2.48200000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDM0
25162000.00000000
PA
USD
24962737.34000000
0.326385689172
Long
DBT
UST
US
N
2
2023-11-30
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFZ51
3609145.16000000
PA
USD
2915439.78000000
0.038119129680
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Arbys Funding LLC
N/A
Arbys Funding LLC
038779AB0
7081000.00000000
PA
USD
6296983.89000000
0.082332534235
Long
ABS-O
CORP
US
N
2
2050-07-30
Fixed
3.23700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EC98
82158.06600000
PA
USD
77665.10000000
0.001015464644
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Wachovia Mortgage Loan Trust,
N/A
Wachovia Mortgage Loan Trust LLC Series 2005-B Trust
92977YBP5
359250.87000000
PA
USD
343804.66000000
0.004495216985
Long
ABS-MBS
CORP
US
N
2
2035-10-20
Variable
5.03492800
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
5747000.00000000
PA
USD
5093847.30000000
0.066601624609
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
ORGANON & CO/ORG
N/A
Organon & Co / Organon Foreign Debt Co-Issuer BV
68622TAA9
4220000.00000000
PA
USD
3670824.81000000
0.047995725353
Long
DBT
CORP
US
N
2
2028-04-30
Fixed
4.12500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-8
46591KAJ2
608929.39000000
PA
USD
519301.44000000
0.006789822609
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAE6
10728000.00000000
PA
USD
9342337.73000000
0.122150279312
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381R7A1
71326.00000000
PA
USD
51991.75000000
0.000679787754
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380FF35
6994673.24000000
PA
USD
606285.69000000
0.007927134355
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Floating
0.76068000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAP4
4946000.00000000
PA
USD
4031444.09000000
0.052710792080
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-1
46650HAC2
163057.20000000
PA
USD
147116.24000000
0.001923532452
Long
ABS-MBS
CORP
US
N
2
2049-05-25
Variable
4.00000000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DC6
3199000.00000000
PA
USD
3084715.69000000
0.040332397952
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BQ1
1449000.00000000
PA
USD
1431586.41000000
0.018717871789
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A9K96
846538.21000000
PA
USD
801879.51000000
0.010484507085
Long
ABS-MBS
USGSE
US
N
2
2041-04-15
Fixed
5.10000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABR5
642000.00000000
PA
USD
591573.92000000
0.007734779200
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
JOHN DEERE CAPITAL CORP
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422EWR6
3608000.00000000
PA
USD
3544399.44000000
0.046342724284
Long
DBT
CORP
US
N
2
2028-01-20
Fixed
4.75000000
N
N
N
N
N
N
ENTERGY ARKANSAS LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAC2
706000.00000000
PA
USD
452802.01000000
0.005920348160
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
3.35000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-J2
12558TBH9
908223.92640000
PA
USD
733814.14000000
0.009594558102
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Variable
3.76975600
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2023-V3 Mortgage Trust
08163VAC1
2670000.00000000
PA
USD
2702603.90000000
0.035336318467
Long
ABS-MBS
CORP
US
N
3
2056-07-15
Variable
6.36290000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UEF9
5113504.78000000
PA
USD
804770.03000000
0.010522300390
Long
ABS-MBS
USGSE
US
N
2
2043-01-15
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAP6
100000.00000000
PA
USD
99812.80000000
0.001305043957
Long
DBT
UST
US
N
2
2023-10-15
Fixed
0.12500000
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEC5
17410000.00000000
PA
USD
15388775.43000000
0.201206943206
Long
DBT
CORP
US
N
2
2027-07-20
Fixed
1.51200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FVX64
49824105.42000000
PA
USD
10043747.45000000
0.131321152351
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
4.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B9 Mortgage Trust
08160JAG2
34995513.87320000
PA
USD
1468691.73000000
0.019203020724
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
1.18329600
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AU0
6396000.00000000
PA
USD
4964651.95000000
0.064912406285
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TENT7
10.90220000
PA
USD
0.03000000
0.000000000392
Long
ABS-MBS
USGSE
US
N
2
2028-07-17
Floating
3.27224000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
1890000.00000000
PA
USD
546210.00000000
0.007141649766
Long
DBT
NUSS
UA
N
2
2028-09-01
Variable
7.75000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TAW9
2450000.00000000
PA
USD
1504471.50000000
0.019670838204
Long
DBT
NUSS
SA
N
2
2061-02-02
Fixed
3.45000000
N
N
N
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523AJ9
7297000.00000000
PA
USD
6433359.48000000
0.084115633593
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
4.80000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-1F
3622MPBC1
113941.75000000
PA
USD
69384.17000000
0.000907192181
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAFU3
3119373.22000000
PA
USD
2774852.98000000
0.036280969105
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DAU5
8725000.00000000
PA
USD
6198000.50000000
0.081038334744
Long
ABS-MBS
CORP
US
N
2
2049-11-27
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1643490.63000000
0.021488501626
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
107495000.00000000
USD
1643490.63000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397UDW6
5469138.00000000
PA
USD
251344.08000000
0.003286302685
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Floating
0.50057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XTCD1
114100131.35000000
PA
USD
90881417.54000000
1.188266883266
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397AZJ5
3054569.00000000
PA
USD
298465.60000000
0.003902412592
Long
ABS-MBS
USGSE
US
N
2
2036-09-15
Floating
1.77224000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31392BGD2
156753.00000000
PA
USD
3199.42000000
0.000041832147
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Floating
1.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GJJU4
413980.18000000
PA
USD
391870.62000000
0.005123675365
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAY4
1900000.00000000
PA
USD
1629820.00000000
0.021309759289
Long
DBT
CORP
N/A
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DYC0
23411274.96000000
PA
USD
18658693.67000000
0.243960848908
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BY6K1
5820073.40000000
PA
USD
4851520.65000000
0.063433224061
Long
ABS-MBS
USGSE
US
N
2
2047-03-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AT4L3
1341291.76000000
PA
USD
75344.38000000
0.000985121425
Long
ABS-MBS
USGSE
US
N
2
2032-08-15
Floating
1.27224000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust
93362FAD5
767482.45000000
PA
USD
673240.75000000
0.008802566127
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Variable
4.43456300
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAB9
2094000.00000000
PA
USD
2061214.97000000
0.026950212204
Long
DBT
CORP
FR
N
2
2024-07-21
Fixed
5.15000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortage-Backed Securities Trust 2020-PJ1
36258FAD1
495610.22000000
PA
USD
423152.55000000
0.005532683967
Long
ABS-MBS
CORP
US
N
2
2050-05-25
Variable
3.50000000
N
N
N
N
N
N
ENEL FINANCE AMERICA LLC
549300EGNLVUJX1DEC60
Enel Finance America LLC
29280HAA0
861000.00000000
PA
USD
891149.50000000
0.011651704688
Long
DBT
CORP
US
N
2
2027-10-14
Fixed
7.10000000
N
N
N
N
N
N
MISSISSIPPI POWER CO
LNZ0J6YZ5SC6ILIRU850
Mississippi Power Co
605417BZ6
4552000.00000000
PA
USD
3528146.54000000
0.046130218985
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395WSJ7
527332.40000000
PA
USD
41194.89000000
0.000538619718
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Floating
1.31224000
N
N
N
N
N
N
ENTERGY TEXAS INC
LWXX58X12AJXISQ28573
Entergy Texas Inc
29365TAG9
2172000.00000000
PA
USD
2003868.80000000
0.026200415859
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HPNB6
743834.12000000
PA
USD
637312.63000000
0.008332808983
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
3.00000000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2023-FL10 Issuer Ltd
05610VAA0
5000000.00000000
PA
USD
4996341.75000000
0.065326747752
Long
ABS-CBDO
CORP
US
N
2
2035-09-15
Floating
7.55900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CFD1
11767843.48000000
PA
USD
9958036.23000000
0.130200485366
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BFDH2
896949.00000000
PA
USD
793003.65000000
0.010368455962
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAH2
4480000.00000000
PA
USD
3774751.59000000
0.049354559252
Long
DBT
CORP
US
N
2
2032-04-05
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396HWV7
591998.47000000
PA
USD
575185.71000000
0.007520504734
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
5.50000000
N
N
N
N
N
N
CHNGE Mortgage Trust 2022-1
N/A
CHNGE Mortgage Trust 2022-1
17030JAA4
720374.36000000
PA
USD
637978.16000000
0.008341510732
Long
ABS-MBS
CORP
US
N
2
2067-01-25
Variable
3.00700000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAV2
2333000.00000000
PA
USD
2331473.61000000
0.030483821170
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
CRESTWOOD MID PARTNER LP
N/A
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp
226373AQ1
3975000.00000000
PA
USD
3813324.15000000
0.049858892227
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.62500000
N
N
N
N
N
N
SOUTH JERSEY INDUSTRIES
549300DJYWYT5VXLFA46
South Jersey Industries Inc
838518AA6
4593000.00000000
PA
USD
3484567.50000000
0.045560426705
Long
DBT
CORP
US
N
2
2031-04-15
Variable
5.02000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AS9
1377000.00000000
PA
USD
1343607.75000000
0.017567558216
Long
DBT
CORP
GB
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451BE7
3462000.00000000
PA
USD
3343799.22000000
0.043719893295
Long
DBT
CORP
AU
N
2
2033-09-08
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KDNS5
18949.75000000
PA
USD
15176.39000000
0.000198430021
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
2.50000000
N
N
N
N
N
N
NARRAGANSETT ELECTRIC
VAI0KZ806W8MCH0BCZ61
Narragansett Electric Co/The
631005BJ3
2983000.00000000
PA
USD
2588825.10000000
0.033848670236
Long
DBT
CORP
US
N
2
2030-04-09
Fixed
3.39500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393Y5T8
11456.74000000
PA
USD
11380.98000000
0.000148805355
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Floating
5.87943000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBP4
4114000.00000000
PA
USD
2516246.68000000
0.032899713504
Long
DBT
CORP
US
N
2
2051-06-04
Fixed
2.93900000
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8K1
884000.00000000
PA
USD
704234.82000000
0.009207810983
Long
DBT
CORP
US
N
2
2062-08-15
Fixed
4.65000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAN3
7861000.00000000
PA
USD
6985724.11000000
0.091337754628
Long
DBT
CORP
US
N
2
2062-06-01
Fixed
5.25000000
N
N
N
N
N
N
KEURIG DR PEPP 10/16/2023
N/A
KEURIG DR PEPP 10/16/2023
000000000
13000000.00000000
PA
USD
12966579.86000000
0.169536940047
Long
DBT
CORP
US
N
2
2023-10-16
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A9YX3
36803.52800000
PA
USD
35187.87000000
0.000460078437
Long
ABS-MBS
USGA
US
N
2
2039-12-15
Fixed
4.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust
92922F4V7
839313.31000000
PA
USD
778793.62000000
0.010182661016
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
6.41420000
N
N
N
N
N
N
Trafigura Securitisation Finan
N/A
Trafigura Securitisation Finance PLC 2021-1
892725AS1
4500000.00000000
PA
USD
4267057.50000000
0.055791417580
Long
ABS-O
CORP
IE
N
2
2025-01-15
Fixed
1.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGKZ6
133255.00000000
PA
USD
117289.85000000
0.001533554914
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
3.50000000
N
N
N
N
N
N
Apidos CLO Ltd
549300KJKTO0Q1OATW69
Apidos CLO XXXV
03768UAC3
10000000.00000000
PA
USD
9630870.00000000
0.125922814452
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
7.23775000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
-262182000.00000000
NC
USD
-114868.67000000
-0.00150189818
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2025-02-21
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
4.17000000
USD
2024-02-16
XXXX
1118697.64000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
-1471000.00000000
NC
USD
9476.56000000
0.000123905224
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2033-08-23
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.85800000
USD
2028-08-21
XXXX
9476.56000000
N
N
N
Dryden Senior Loan Fund
254900JFO9XUH2EREJ70
Dryden 75 CLO Ltd
26252JAY4
11400000.00000000
PA
USD
10890522.60000000
0.142392666150
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
7.36957000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HCB1
2528000.00000000
PA
USD
2281977.04000000
0.029836657684
Long
DBT
CORP
IT
N
2
2054-06-20
Fixed
7.77800000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2021-5
81748XCF9
946939.09000000
PA
USD
625823.62000000
0.008182591145
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
3.04982000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MGNA5
4306145.47000000
PA
USD
3317860.84000000
0.043380751160
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2Q5
1564000.00000000
PA
USD
1051729.29000000
0.013751271924
Long
DBT
CORP
US
N
2
2041-04-30
Fixed
3.06800000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
N/A
Commonbond Student Loan Trust 2016-B
20267UAC3
265915.25000000
PA
USD
233829.46000000
0.003057300504
Long
ABS-O
CORP
US
N
2
2040-10-25
Fixed
4.00000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WG97
5689100.20000000
PA
USD
1186701.93000000
0.015516027829
Long
ABS-MBS
USGSE
US
N
2
2044-02-15
Fixed
4.50000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAP7
27841000.00000000
PA
USD
26224226.64000000
0.342879555568
Long
DBT
CORP
US
N
2
2034-06-08
Fixed
5.86700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M8V45
1432472.41000000
PA
USD
1310196.18000000
0.017130704751
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-P4
29429EAF8
35544745.46000000
PA
USD
1377600.59000000
0.018012011737
Long
ABS-MBS
CORP
US
N
2
2049-07-10
Variable
2.04893800
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513CD5
3821000.00000000
PA
USD
3744250.44000000
0.048955759284
Long
DBT
CORP
US
N
2
2029-05-19
Fixed
5.64300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396CBT6
3236493.81000000
PA
USD
214964.68000000
0.002810645093
Long
ABS-MBS
USGSE
US
N
2
2035-10-15
Floating
1.30224000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAZ4
1790000.00000000
PA
USD
1373221.04000000
0.017954749490
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397NUJ2
911016.98000000
PA
USD
865105.82000000
0.011311185765
Long
ABS-MBS
USGSE
US
N
2
2036-10-25
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27
61690AAH7
500000.00000000
PA
USD
456931.55000000
0.005974341548
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
4.64292000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31368HKV4
525.39100000
PA
USD
540.09000000
0.000007061631
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
7.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2020-PJ3
36258WBQ4
942579.42000000
PA
USD
661155.27000000
0.008644549494
Long
ABS-MBS
CORP
US
N
2
2050-10-25
Variable
3.42370100
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92556HAC1
3871000.00000000
PA
USD
2624640.39000000
0.034316952137
Long
DBT
CORP
US
N
2
2050-05-19
Fixed
4.95000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TH1
14333300.00000000
PA
USD
11424927.80000000
0.149379969150
Long
DBT
UST
US
N
2
2042-05-15
Fixed
3.25000000
N
N
N
N
N
N
NORDSON CORP
14OS6Q5N55N95WM84M53
Nordson Corp
655663AB8
1616000.00000000
PA
USD
1579753.90000000
0.020655149247
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
5.80000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B19 Mortgage Trust
08162WBF2
109645306.62370000
PA
USD
7546245.03000000
0.098666518468
Long
ABS-MBS
CORP
US
N
2
2053-09-15
Variable
1.88042400
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BHKK2
11938668.53000000
PA
USD
580766.08000000
0.007593467602
Long
ABS-MBS
USGSE
US
N
2
2045-04-15
Floating
0.17224000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCH6
3280000.00000000
PA
USD
2856011.82000000
0.037342114106
Long
DBT
CORP
US
N
2
2027-11-02
Fixed
1.87800000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-INV1
46591VAC3
225898.02000000
PA
USD
189905.78000000
0.002483002085
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-J2
12667F6H3
961655.95000000
PA
USD
737338.45000000
0.009640638159
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AA2U8
499922.59000000
PA
USD
44325.04000000
0.000579546166
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132FCAR6
216397.45000000
PA
USD
220304.35000000
0.002880460829
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.50000000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300NUS8PQQUZMPR50
BlueMountain CLO 2014-2 Ltd
09626QBA4
2000000.00000000
PA
USD
1982910.00000000
0.025926381313
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
6.98775000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXVII Ltd
55820YAD9
1400000.00000000
PA
USD
1382813.60000000
0.018080171404
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
7.38775000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBR5
3108000.00000000
PA
USD
2979280.16000000
0.038953837274
Long
DBT
CORP
CA
N
2
2033-03-08
Fixed
5.70000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-3
46592ABT0
737836.97000000
PA
USD
599048.07000000
0.007832503082
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.84408800
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312945D47
38764.38000000
PA
USD
37821.40000000
0.000494511620
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
5.00000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBG5
5626000.00000000
PA
USD
5094384.91000000
0.066608653815
Long
ABS-MBS
CORP
US
N
2
2047-10-27
None
0.00000000
N
N
N
N
N
N
DC Commercial Mortgage Trust
N/A
DC Commercial Mortgage Trust 2023-DC
24023AAA8
5000000.00000000
PA
USD
4993660.00000000
0.065291684096
Long
ABS-MBS
CORP
US
N
2
2040-09-12
Fixed
6.31430000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMLW2
17133952.97000000
PA
USD
13217311.40000000
0.172815233824
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
UNITED AIR 2016-2 AA PTT
N/A
United Airlines 2016-2 Class AA Pass Through Trust
90932EAA1
3998803.66000000
PA
USD
3530894.05000000
0.046166142447
Long
DBT
CORP
US
N
2
2028-10-07
Fixed
2.87500000
N
N
N
N
N
N
BETHESDA SECURITIES, LLC
254900O3C3TARG6WQ048
BETHESDA SECURITIES
000000000
3258543.00000000
PA
USD
3258543.00000000
0.042605175396
Long
RA
CORP
US
N
2
Repurchase
Y
5.39000000
2023-10-02
13314092.45714725
USD
3323713.87264314
USD
AMBS
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKA6
1667939.26000000
PA
USD
1367013.83000000
0.017873590741
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y7VP4
251734.69000000
PA
USD
234040.23000000
0.003060056304
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KCB4
5461000.00000000
PA
USD
4650057.88000000
0.060799115304
Long
DBT
CORP
US
N
2
2082-03-15
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617B15U3
567853.07000000
PA
USD
505295.13000000
0.006606691285
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
3.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-6401.46000000
-0.00008369855
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1315203.52000000
EUR
1386801.10000000
USD
2023-11-17
-6401.46000000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE (TORONTO BRANCH)
N/A
CANADIAN IMPERIAL BANK OF COMMERCE (TORONTO BRANCH)
000000000
5130000.00000000
PA
USD
5130000.00000000
0.067074318118
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.31000000
N
N
N
N
N
AMERICAN HONDA
N/A
AMERICAN HONDA 10/23/2023
000000000
5100000.00000000
PA
USD
5081306.82000000
0.066437658889
Long
DBT
CORP
US
N
2
2023-10-23
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B0RZ1
5023510.42000000
PA
USD
3524036.26000000
0.046076477420
Long
ABS-MBS
USGSE
US
N
2
2048-01-25
Fixed
3.00000000
N
N
N
N
N
N
CONCENTRIX CORP
5493000EAJN1KMPVA737
Concentrix Corp
20602DAB7
3477000.00000000
PA
USD
3357346.94000000
0.043897028594
Long
DBT
CORP
US
N
2
2028-08-02
Fixed
6.60000000
N
N
N
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119BL3
2139000.00000000
PA
USD
2010647.36000000
0.026289044960
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
2.40000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2021-GR3
36263TBM3
1417151.52000000
PA
USD
957415.24000000
0.012518123660
Long
ABS-MBS
CORP
US
N
2
2052-04-25
Variable
3.38420000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAH5
8850000.00000000
PA
USD
7615928.57000000
0.099577624887
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISE4NWBTOSK36
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KNS4
10000000.00000000
PA
USD
9688062.00000000
0.126670595037
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
7.66495000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ACG54
1403000.00000000
PA
USD
1262925.46000000
0.016512644067
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Fixed
4.00000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAV2
4863000.00000000
PA
USD
3583095.50000000
0.046848672011
Long
DBT
CORP
NL
N
2
2037-03-13
Fixed
3.32400000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAD7
1325000.00000000
PA
USD
1048810.38000000
0.013713107421
Long
DBT
CORP
MA
N
2
2031-06-23
Fixed
3.75000000
N
N
N
N
N
N
FRESENIUS MED CARE III
5299006ZHLMXOOUVTU44
Fresenius Medical Care US Finance III Inc
35805BAC2
2801000.00000000
PA
USD
2444022.52000000
0.031955388693
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
1.87500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDY5
1470000.00000000
PA
USD
999961.34000000
0.013074410336
Long
DBT
CORP
US
N
2
2040-05-15
Fixed
2.75000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2020-2
61946PAA1
7296057.25000000
PA
USD
5895265.33000000
0.077080097882
Long
ABS-O
CORP
US
N
2
2046-08-20
Fixed
1.44000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-J2
12558TBG1
2722142.70000000
PA
USD
2238527.10000000
0.029268553376
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Variable
3.76975600
N
N
N
N
N
N
ENLINK MIDSTREAM LLC
54930000GY1H533OBE23
EnLink Midstream LLC
29336TAD2
3800000.00000000
PA
USD
3690148.84000000
0.048248385419
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISOMSKCX2AW62
Freddie Mac STACR REMIC Trust 2021-DNA7
35564KMH9
1000000.00000000
PA
USD
978192.40000000
0.012789783278
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
7.11495000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BV3
5258000.00000000
PA
USD
5086105.04000000
0.066500395212
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
5.70000000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBJ2
5049000.00000000
PA
USD
4418044.75000000
0.057765563162
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AUAV3
13101203.00000000
PA
USD
840797.22000000
0.010993352866
Long
ABS-MBS
USGSE
US
N
2
2046-11-25
Floating
0.62057000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2019-4
81748JAU9
571969.94000000
PA
USD
492500.38000000
0.006439401006
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
3.50000000
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8J4
7870000.00000000
PA
USD
6235099.66000000
0.081523403137
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YKFC2
960836.28000000
PA
USD
877895.90000000
0.011478414984
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
4.00000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBY5
4273000.00000000
PA
USD
3786347.13000000
0.049506169962
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B1H39
2128000.00000000
PA
USD
1821435.64000000
0.023815117651
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
129275.96000000
0.001690272293
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
71733000.00000000
USD
129275.96000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377NN26
321377.04000000
PA
USD
302732.74000000
0.003958205089
Long
ABS-MBS
USGA
US
N
2
2040-12-20
Fixed
4.00000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2018-2-GS
61946LAA0
3965079.70000000
PA
USD
3534695.28000000
0.046215843209
Long
ABS-O
CORP
US
N
2
2044-02-22
Fixed
4.20000000
N
N
N
N
N
N
HERO Funding Trust
N/A
HERO Funding Trust 2016-2
42770WAA7
477929.67040000
PA
USD
419677.59000000
0.005487249157
Long
ABS-O
CORP
US
N
2
2041-09-20
Fixed
3.75000000
N
N
N
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523AV2
3471000.00000000
PA
USD
3340571.79000000
0.043677694920
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393E7F0
569392.77000000
PA
USD
563207.80000000
0.007363894570
Long
ABS-MBS
USGSE
US
N
2
2033-10-25
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WDR6
21386428.71000000
PA
USD
17527256.42000000
0.229167402117
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-3T1
02149VAL3
821545.11000000
PA
USD
384173.22000000
0.005023032508
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QS2P2
1254453.88000000
PA
USD
1146208.61000000
0.014986581079
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9FX1
1732333.38000000
PA
USD
117076.11000000
0.001530760281
Long
ABS-MBS
USGSE
US
N
2
2041-05-25
Floating
0.67057000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382C4C2
29925948.85000000
PA
USD
415845.00000000
0.005437138366
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Floating
0.01000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
383742Y31
346926.57000000
PA
USD
21672.57000000
0.000283367028
Long
ABS-MBS
USGA
US
N
2
2038-04-20
Floating
0.96068000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-2
59980AAC1
3200000.00000000
PA
USD
2901965.12000000
0.037942949635
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.25000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISBDRXIMCHZ70
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KPV5
9200000.00000000
PA
USD
9092358.16000000
0.118881817480
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
7.16495000
N
N
N
N
N
N
DOMINION RES 110106 5.31%
N/A
DOMINION RES I 12/06/2023
000000000
15000000.00000000
PA
USD
14841220.05000000
0.194047702710
Long
DBT
CORP
US
N
2
2023-12-06
None
0.00000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2006-AR4 Trust
94983PAF5
120547.01000000
PA
USD
112449.08000000
0.001470262254
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Variable
4.76982800
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 8 Ltd
67707GAJ8
5750000.00000000
PA
USD
5717391.75000000
0.074754415798
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
7.47150000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A1F59
4589205.02000000
PA
USD
4246479.06000000
0.055522356209
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
4.00000000
N
N
N
N
N
N
Loanpal Solar Loan Ltd.
N/A
Loanpal Solar Loan 2021-2 Ltd
53948QAA4
8094572.06000000
PA
USD
5853330.76000000
0.076531806910
Long
ABS-O
CORP
US
N
2
2048-03-20
Fixed
2.22000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q7HT7
1164195.25000000
PA
USD
1057212.42000000
0.013822963387
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAF9
4825000.00000000
PA
USD
4712818.75000000
0.061619708396
Long
DBT
CORP
AT
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-INV1
12555DAA3
96554.68000000
PA
USD
89072.07000000
0.001164609816
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
4.00000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
389000.00000000
PA
USD
116311.00000000
0.001520756533
Long
DBT
NUSS
UA
N
2
2030-11-01
Variable
9.75000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CY4
2326000.00000000
PA
USD
2004190.85000000
0.026204626636
Long
DBT
CORP
US
N
2
2038-03-25
Fixed
4.78000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374UJR3
8091132.16000000
PA
USD
7927151.61000000
0.103646839934
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
6.00000000
N
N
N
N
N
N
CONSTELLATION EN GEN LLC
S2PEWKCZFFECR4533P43
Constellation Energy Generation LLC
210385AE0
1209000.00000000
PA
USD
1213249.93000000
0.015863140694
Long
DBT
CORP
US
N
2
2053-10-01
Fixed
6.50000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AX7
3503000.00000000
PA
USD
3427419.34000000
0.044813219325
Long
DBT
CORP
GB
N
2
2029-03-06
Fixed
5.87100000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CB9
791000.00000000
PA
USD
541173.38000000
0.007075796383
Long
DBT
CORP
US
N
2
2048-11-01
Fixed
3.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BF6P1
8553624.58000000
PA
USD
529960.34000000
0.006929186829
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Floating
0.77224000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A4UT2
4129548.27000000
PA
USD
3697337.36000000
0.048342374712
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
4.50000000
N
N
N
N
N
N
STATE OF WISCONSIN INVESTMENT BOARD
VY0GIYI3352UC4XOP168
STATE OF WISCONSIN INVESTMENT BOARD
000000000
57145616.00000000
PA
USD
57145616.00000000
0.747174118260
Long
RA
CORP
US
N
2
Repurchase
Y
5.38000000
2023-10-02
55950235.36477070
USD
58288551.18498423
USD
UST
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2018-D Trust
83401AAC2
6000000.00000000
PA
USD
5270203.20000000
0.068907463155
Long
ABS-O
CORP
US
N
2
2048-02-25
Fixed
4.14000000
N
N
N
N
N
N
Freddie Mac - STACR
549300TCRXCIFPAC3B85
Freddie Mac STACR REMIC Trust 2020-HQA1
35565JAH4
1179461.06000000
PA
USD
1180048.55000000
0.015429035446
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
7.32943000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2012-CCRE4 Mortgage Trust
12624QAS2
6146981.87620000
PA
USD
4715.96000000
0.000061660779
Long
ABS-MBS
CORP
US
N
2
2045-10-15
Variable
1.28848400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XH5A1
19168448.51000000
PA
USD
15351452.61000000
0.200718950477
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYC2
95000.00000000
PA
USD
64467.51000000
0.000842907265
Long
DBT
CORP
US
N
2
2042-04-22
Fixed
3.21000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WE4G1
533849.76000000
PA
USD
487064.00000000
0.006368320795
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FNWK2
7665981.15000000
PA
USD
634400.57000000
0.008294734044
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Floating
0.62057000
N
N
N
N
N
N
Texas Debt Capital CLO, Ltd
N/A
Texas Debt Capital CLO 2023-I Ltd
88238CAA0
13950000.00000000
PA
USD
13990622.40000000
0.182926210046
Long
ABS-CBDO
CORP
KY
N
2
2036-04-20
Floating
6.62174000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAH1
3250593.98000000
PA
USD
3257470.94000000
0.042591158302
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
7.27943000
N
N
N
N
N
N
TAMPA ELECTRIC CO
WS423EPRKJIIJUITXD73
Tampa Electric Co
875127BC5
1709000.00000000
PA
USD
1336675.64000000
0.017476921461
Long
DBT
CORP
US
N
2
2044-05-15
Fixed
4.35000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMN9
3539000.00000000
PA
USD
2244186.25000000
0.029342546286
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
3.80000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2016-2
89172PAC3
4346000.00000000
PA
USD
4119937.16000000
0.053867831520
Long
ABS-MBS
CORP
US
N
2
2055-08-25
Variable
3.00000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAT5
3026000.00000000
PA
USD
2993126.66000000
0.039134879095
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AJZF6
5787542.34000000
PA
USD
548666.54000000
0.007173768819
Long
ABS-MBS
USGSE
US
N
2
2044-04-25
Floating
1.22057000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375JSX4
5403781.21000000
PA
USD
226781.57000000
0.002965149935
Long
ABS-MBS
USGA
US
N
2
2037-04-16
Floating
0.80495000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 Trust
93936FAC4
462588.86000000
PA
USD
418403.81000000
0.005470594591
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Floating
5.66420000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
606.85000000
0.000007934512
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-06-20
0.00000000
USD
0.00000000
USD
49814000.00000000
USD
606.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MGMF5
2471851.19000000
PA
USD
2154080.85000000
0.028164425767
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLH0
6156000.00000000
PA
USD
5731662.12000000
0.074940999685
Long
DBT
CORP
US
N
2
2034-04-25
Fixed
5.28800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377GTD1
706277.52000000
PA
USD
46014.12000000
0.000601630745
Long
ABS-MBS
USGA
US
N
2
2040-06-20
Floating
0.41068000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FNKT6
606535.00000000
PA
USD
393004.47000000
0.005138500359
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Fixed
3.00000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2015-SFR1 Trust
02666AAG3
1029751.13000000
PA
USD
0.00000000
0.000000
Long
ABS-O
CORP
US
N
3
2052-04-17
Variable
0.01000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
10400000.00000000
PA
USD
3005600.00000000
0.039297966966
Long
DBT
NUSS
UA
N
2
2027-09-01
Variable
7.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397QCK2
4480224.80000000
PA
USD
351888.50000000
0.004600912512
Long
ABS-MBS
USGSE
US
N
2
2041-01-25
Floating
1.05057000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAQ2
4178000.00000000
PA
USD
4064523.26000000
0.053143299442
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
6.05000000
N
N
N
N
N
N
JOHN DEERE CAPITAL CORP
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422EWZ8
7572000.00000000
PA
USD
7285075.87000000
0.095251753688
Long
DBT
CORP
US
N
2
2030-06-10
Fixed
4.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KCRX2
180380.02000000
PA
USD
144460.13000000
0.001888804038
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GTF88
433915.11000000
PA
USD
407025.14000000
0.005321819439
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBP8
1626000.00000000
PA
USD
1585818.78000000
0.020734447042
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
5.25000000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150BC7
2884000.00000000
PA
USD
2822882.01000000
0.036908944629
Long
DBT
CORP
US
N
2
2029-08-21
Fixed
6.20800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBFD5
13515169.73000000
PA
USD
12706396.29000000
0.166135061773
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
3.50000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAP9
3483000.00000000
PA
USD
2271862.51000000
0.029704411056
Long
DBT
CORP
US
N
2
2040-09-15
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5XQ3
7019338.94000000
PA
USD
441183.70000000
0.005768439735
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
0.67057000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGR4
4136000.00000000
PA
USD
3779074.37000000
0.049411079237
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
3.59300000
N
N
N
N
N
N
AMER AIRLINE 17-2 AA PTT
N/A
American Airlines 2017-2 Class AA Pass Through Trust
02376AAA7
5692150.10000000
PA
USD
5079819.33000000
0.066418210083
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.35000000
N
N
N
N
N
N
AVANGRID INC
549300OX0Q38NLSKPB49
Avangrid Inc
05351WAB9
2544000.00000000
PA
USD
2263194.96000000
0.029591083569
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.80000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-R5
12558RAG6
2600000.00000000
PA
USD
2189947.50000000
0.028633379196
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KLR53
107110.96000000
PA
USD
85699.96000000
0.001120519762
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
INKIA ENERGY LTD
N/A
Inkia Energy Ltd
000000000
898000.00000000
PA
USD
862080.00000000
0.011271623423
Long
DBT
CORP
BM
N
2
2027-11-09
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396LMM9
70185.22000000
PA
USD
83990.86000000
0.001098173423
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
6.30285000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FJQ0
6613173.01000000
PA
USD
6279770.82000000
0.082107474794
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MGNN7
5888397.58000000
PA
USD
4944564.53000000
0.064649764959
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
AVNET INC
XJI53DCPL7QABOWK4Z75
Avnet Inc
053807AV5
2571000.00000000
PA
USD
2367107.18000000
0.030949727097
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
5.50000000
N
N
N
N
N
N
ENTERGY ARKANSAS LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAB4
2695000.00000000
PA
USD
1505911.43000000
0.019689665168
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
2.65000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401BG2
4737000.00000000
PA
USD
4629999.03000000
0.060536847529
Long
DBT
CORP
CH
N
2
2034-09-22
Fixed
6.30100000
N
N
N
N
N
N
COSAN LUXEMBOURG SA
222100ZY943WERK7RZ38
Cosan Luxembourg SA
22112EAD0
2000000.00000000
PA
USD
1990000.00000000
0.026019082467
Long
DBT
CORP
LU
N
2
2030-06-27
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFNK8
436633.21000000
PA
USD
407364.47000000
0.005326256150
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAL7
4423000.00000000
PA
USD
2899345.99000000
0.037908704730
Long
DBT
CORP
GB
N
2
2040-09-02
Fixed
3.30000000
N
N
N
N
N
N
MONONGAHELA POWER CO
N/A
Monongahela Power Co
610202BR3
2460000.00000000
PA
USD
2278244.08000000
0.029787849546
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382XLT0
88151303.91000000
PA
USD
11449629.07000000
0.149702936175
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS USD
000000000
-462434000.00000000
NC
USD
1726105.38000000
0.022568682527
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2025-06-20
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.90000000
USD
2024-06-17
XXXX
1726105.38000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380KSY2
14913689.20000000
PA
USD
1397488.74000000
0.018272047624
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Floating
0.76068000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEB7
3075000.00000000
PA
USD
3015833.46000000
0.039431768594
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
0.79100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A8AM0
1900000.00000000
PA
USD
1794150.24000000
0.023458363343
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381XN69
532322.00000000
PA
USD
374300.24000000
0.004893944126
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
3.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CT0
3324000.00000000
PA
USD
3267423.96000000
0.042721293201
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.87500000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR6 Trust
93935FAC5
2979714.92000000
PA
USD
1626686.86000000
0.021268793747
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
5.58567000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK8
06650AAG2
167655000.00000000
PA
USD
1157926.02000000
0.015139785228
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
0.22981300
N
N
N
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAK7
4024000.00000000
PA
USD
3184339.32000000
0.041634968527
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAB5
789723.43000000
PA
USD
792961.45000000
0.010367904201
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
7.47943000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
3884000.00000000
PA
USD
2989205.17000000
0.039083605944
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2021-1 Ltd
75279YAC5
10000000.00000000
PA
USD
10150281.00000000
0.132714069549
Long
ABS-MBS
CORP
BM
N
2
2033-12-27
Floating
8.01495000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A3LN7
18182729.70000000
PA
USD
17300094.54000000
0.226197279660
Long
ABS-MBS
USGSE
US
N
2
2040-11-15
Fixed
4.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCZ0
674000.00000000
PA
USD
568272.85000000
0.007430119672
Long
DBT
CORP
US
N
2
2042-10-01
Fixed
4.62500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBE8
444000.00000000
PA
USD
391127.17000000
0.005113954819
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.90000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS EUR
000000000
-167613000.00000000
NC
-51831.28000000
-0.00067768962
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS EUR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
2027-09-02
0.00000000
USD
0.00000000
USD
0.00000000
EUR
1.00000000
USD
3.40000000
EUR
2025-08-29
XXXX
-51831.28000000
N
N
N
PARKER HANNIFI 12/18/2023
N/A
PARKER HANNIFI 12/18/2023
000000000
20000000.00000000
PA
USD
19752577.80000000
0.258263291817
Long
DBT
CORP
US
N
2
2023-12-18
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410GZC0
64023.96000000
PA
USD
63397.12000000
0.000828912006
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
OPEN TEXT HOLDINGS INC
N/A
Open Text Holdings Inc
683720AC0
4775000.00000000
PA
USD
3814983.39000000
0.049880586650
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
4.12500000
N
N
N
N
N
N
BANK HAPOALIM
B6ARUI4946ST4S7WOU88
Bank Hapoalim BM
000000000
3975000.00000000
PA
USD
3406376.25000000
0.044538082694
Long
DBT
CORP
IL
N
2
2032-01-21
Fixed
3.25500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0226A8
288679000.00000000
PA
USD
229172295.79000000
2.996408474038
Long
ABS-MBS
USGSE
US
N
2
2053-10-15
Fixed
2.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-1
46651XAQ5
800763.42000000
PA
USD
685486.80000000
0.008962682200
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Variable
3.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ3
36257QAQ9
1064352.54000000
PA
USD
916220.85000000
0.011979510479
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.96126000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT)
000000000
1282.00000000
NC
USD
-622317.53000000
-0.00813674931
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-12-29
260497739.41000000
USD
-622317.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389SVE1
497.93000000
PA
USD
492.61000000
0.000006440834
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
7.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2023-SMRT
17291NAG6
1000000.00000000
PA
USD
927658.20000000
0.012129052867
Long
ABS-MBS
CORP
US
N
2
2040-10-12
Variable
6.04750300
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust
933634AA5
312826.34000000
PA
USD
246780.85000000
0.003226638837
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
3.47885400
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B21 Mortgage Trust
08163LAL3
47349966.16000000
PA
USD
3229274.79000000
0.042222496015
Long
ABS-MBS
CORP
US
N
2
2053-12-17
Variable
1.55975300
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BV5
6481000.00000000
PA
USD
6392056.89000000
0.083575605706
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
6.20000000
N
N
N
N
N
N
KEYCORP
RKPI3RZGV1V1FJTH5T61
KeyCorp
49326EEJ8
1971000.00000000
PA
USD
1538852.71000000
0.020120369631
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
2.55000000
N
N
N
N
N
N
PRIMO WATER HOLDINGS INC
9845008F9A5F2E1D4832
Primo Water Holdings Inc
74168LAA4
4380000.00000000
PA
USD
3749630.40000000
0.049026101808
Long
DBT
CORP
US
N
2
2029-04-30
Fixed
4.37500000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BQ6
2552000.00000000
PA
USD
1972390.40000000
0.025788838429
Long
DBT
CORP
US
N
2
2031-02-02
Fixed
1.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNUK6
6467303.13000000
PA
USD
4992068.73000000
0.065270878375
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.00000000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
03880RAA7
5100000.00000000
PA
USD
5067391.62000000
0.066255718821
Long
ABS-CBDO
CORP
KY
N
2
2036-11-15
Floating
6.79668000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B7GR4
798648.32000000
PA
USD
102226.23000000
0.001336599351
Long
ABS-MBS
USGSE
US
N
2
2043-08-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617LUR91
3037661.44000000
PA
USD
2623108.35000000
0.034296920843
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
3.00000000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAC8
3413000.00000000
PA
USD
2380408.01000000
0.031123634330
Long
DBT
CORP
US
N
2
2046-10-15
Fixed
3.70000000
N
N
N
N
N
N
Laurel Road Prime Student Loan
N/A
Laurel Road Prime Student Loan Trust 2020-A
51889CAB8
4694499.76000000
PA
USD
4197516.54000000
0.054882175382
Long
ABS-O
CORP
US
N
2
2050-11-25
Fixed
1.40000000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2017-C LLC
83405DAD0
3000000.00000000
PA
USD
2817861.00000000
0.036843295346
Long
ABS-O
CORP
US
N
2
2040-07-25
Variable
3.56000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ACTJ0
1423250.09000000
PA
USD
1341676.94000000
0.017542313038
Long
ABS-MBS
USGSE
US
N
2
2033-03-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QSYA0
574175.11000000
PA
USD
521353.65000000
0.006816655082
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AS6K7
5007410.11000000
PA
USD
795776.61000000
0.010404712181
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-2
35563PFJ3
7951019.56000000
PA
USD
7062560.71000000
0.092342386704
Long
ABS-MBS
USGSE
US
N
2
2057-11-25
Fixed
3.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3F8
17298000.00000000
PA
USD
16388637.57000000
0.214280056511
Long
DBT
CORP
US
N
2
2034-07-25
Fixed
5.55700000
N
N
N
N
N
N
INTACT FINANCIAL CORP
5493009LXGE7Y4U9OY43
Intact Financial Corp
45823TAL0
3681000.00000000
PA
USD
3492522.42000000
0.045664436615
Long
DBT
CORP
CA
N
2
2032-09-22
Fixed
5.45900000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R01
20754LAF6
13600000.00000000
PA
USD
13694898.08000000
0.179059639458
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
8.46495000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BXX9
10533629.27000000
PA
USD
8887073.33000000
0.116197735610
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
3.00000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCH6
2979000.00000000
PA
USD
3025631.66000000
0.039559879234
Long
DBT
CORP
US
N
2
2029-11-09
Fixed
6.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4XA6
12411.98000000
PA
USD
12423.02000000
0.000162429940
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
5.50000000
N
N
N
N
N
N
La Quinta Mortgage Trust
N/A
LAQ 2023-LAQ Mortgage Trust
516681AA1
4037768.34000000
PA
USD
4029509.89000000
0.052685502577
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
7.42442300
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-INV3
12557LAC9
244059.94000000
PA
USD
211174.77000000
0.002761092339
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
3.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust
93363NAH8
161400.96000000
PA
USD
142936.46000000
0.001868882181
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
3.52274100
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2021-2 Ltd
078777AD1
13147000.00000000
PA
USD
12976691.13000000
0.169669144051
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
6.86495000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31395QQ37
379028.02000000
PA
USD
15303.03000000
0.000200085828
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Fixed
3.00000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAE0
933120.00000000
PA
USD
721418.40000000
0.009432484845
Long
DBT
CORP
JE
N
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A7UD2
500000.00000000
PA
USD
404753.65000000
0.005292119898
Long
ABS-MBS
USGSE
US
N
2
2042-08-25
Fixed
3.25000000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAE2
2002000.00000000
PA
USD
1908136.33000000
0.024948721873
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
5.45000000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BS2
4313000.00000000
PA
USD
3361691.29000000
0.043953830604
Long
DBT
CORP
US
N
2
2031-11-10
Fixed
2.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335B5H5
16591959.75000000
PA
USD
14610874.61000000
0.191035955474
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
ZF NA CAPITAL
529900JYGMS9CW9IQX78
ZF North America Capital Inc
98877DAE5
3925000.00000000
PA
USD
3850703.68000000
0.050347626435
Long
DBT
CORP
US
N
2
2030-04-14
Fixed
7.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5E68
48191485.07000000
PA
USD
2856449.08000000
0.037347831244
Long
ABS-MBS
USGSE
US
N
2
2059-08-25
Floating
0.57057000
N
N
N
N
N
N
Freddie Mac Reference Remic
S6XOOCT0IEG5ABCC6L87
Freddie Mac Reference REMIC
31396U6V7
172607.07000000
PA
USD
171250.52000000
0.002239086131
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Fixed
6.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CE7
4759000.00000000
PA
USD
4561737.69000000
0.059644336255
Long
DBT
CORP
GB
N
2
2025-11-07
Fixed
2.63300000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCC7
2714000.00000000
PA
USD
2342412.69000000
0.030626848720
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.95000000
N
N
N
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp/The
00109LAA1
4305000.00000000
PA
USD
3644849.78000000
0.047656104023
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.12500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS USD
000000000
-462434000.00000000
NC
USD
-2281348.36000000
-0.02982843774
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2025-06-20
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.90000000
USD
2024-06-17
XXXX
-2281348.36000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394FBS3
5386207.95000000
PA
USD
307278.32000000
0.004017638165
Long
ABS-MBS
USGSE
US
N
2
2035-09-25
Floating
0.62057000
N
N
N
N
N
N
COMM Mortgage Trust
549300YJIXJB9DCDOI21
COMM 2013-CCRE10 Mortgage Trust
12626BBA1
5695000.00000000
PA
USD
4458789.20000000
0.058298293416
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Variable
4.50849600
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133THLK1
41584.73730000
PA
USD
41475.00000000
0.000542282133
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585ABC5
3850000.00000000
PA
USD
3790376.74000000
0.049558856773
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.12500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTG27
68325697.69000000
PA
USD
5428978.88000000
0.070983441804
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.69637200
N
N
N
N
N
N
Credit Suisse Commercial Mortg
N/A
CSWF 2021-SOP2
12657VAN2
8000000.01000000
PA
USD
6339997.61000000
0.082894935002
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
8.81355800
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378TQB9
375976.42000000
PA
USD
320793.31000000
0.004194345521
Long
ABS-MBS
USGA
US
N
2
2042-08-20
Fixed
1.25000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDA6
4396000.00000000
PA
USD
3715398.84000000
0.048578527043
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.65000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCV6
1531000.00000000
PA
USD
1458051.45000000
0.019063899959
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
2.59500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAB9
3968000.00000000
PA
USD
3532717.38000000
0.046189982333
Long
DBT
CORP
US
N
2
2027-05-04
Fixed
1.59300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JBCA2
1049218.12000000
PA
USD
1017844.81000000
0.013308235201
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.50000000
N
N
N
N
N
N
DRB PRIME STUDENT LOAN TRUST
N/A
Laurel Road Prime Student Loan Trust 2017-B
518887AC8
452714.91000000
PA
USD
424309.86000000
0.005547815697
Long
ABS-O
CORP
US
N
2
2042-08-25
Fixed
3.02000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNQS5
6553740.20000000
PA
USD
5241994.42000000
0.068538635731
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
5493000RGRVHYZAIY180
SMB Private Education Loan Trust 2017-A
78448WAD7
1450000.00000000
PA
USD
1328854.97000000
0.017374666859
Long
ABS-O
CORP
US
N
2
2041-06-17
Fixed
3.50000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CP9
1376000.00000000
PA
USD
1348216.65000000
0.017627819195
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FELR9
36464151.01000000
PA
USD
30893985.75000000
0.403936262797
Long
ABS-MBS
USGSE
US
N
2
2048-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BAK94
22127918.85000000
PA
USD
2768428.35000000
0.036196967609
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJWR7
395216.13000000
PA
USD
362095.84000000
0.004734372624
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
Shellpoint Co-Originator Trust
N/A
Shellpoint Co-Originator Trust 2017-2
82281FCC6
1686803.63000000
PA
USD
1464848.61000000
0.019152772253
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Variable
3.64556300
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS USD
000000000
-11625000.00000000
NC
USD
-137932.24000000
-0.00180345242
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2033-08-10
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.52500000
USD
2028-08-08
XXXX
-137932.24000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R01
20754FAK8
741689.49000000
PA
USD
744611.75000000
0.009735735944
Long
ABS-MBS
CORP
US
N
2
2031-07-25
Floating
7.87943000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B1TV6
3552196.00000000
PA
USD
3129766.72000000
0.040921436377
Long
ABS-MBS
USGSE
US
N
2
2048-04-25
Fixed
3.50000000
N
N
N
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
ConocoPhillips Co
20826FBE5
2016000.00000000
PA
USD
1854210.31000000
0.024243643702
Long
DBT
CORP
US
N
2
2053-05-15
Fixed
5.30000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCJ3
5582000.00000000
PA
USD
4706482.95000000
0.061536868344
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
2.06900000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM 26 Ltd
50200FAL3
6000000.00000000
PA
USD
5873538.00000000
0.076796014872
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
6.83775000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-2CB
02149HAR1
1918396.88000000
PA
USD
806918.40000000
0.010550390147
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
5.75000000
N
N
N
N
N
N
Freddie Mac Whole Loan Securit
S6XOOCT0IEG5ABCC6L87
Freddie Mac Whole Loan Securities Trust
3137G1BL0
2448501.46000000
PA
USD
2110353.86000000
0.027592699054
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Fixed
3.50000000
N
N
N
N
N
N
JBS USA LUX SA/FOOD/LUX
N/A
JBS USA LUX SA / JBS USA Food Co / JBS Luxembourg SARL
47214BAA6
3870000.00000000
PA
USD
3768973.65000000
0.049279013173
Long
DBT
CORP
N/A
N
2
2034-03-15
Fixed
6.75000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CV9
6688000.00000000
PA
USD
5516001.63000000
0.072121256934
Long
DBT
CORP
GB
N
2
2029-08-17
Fixed
2.20600000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
4997000.00000000
PA
USD
3929658.24000000
0.051379950660
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.68700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393EAA7
144951.15000000
PA
USD
26126.55000000
0.000341602441
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AE2P1
4547669.22000000
PA
USD
396177.03000000
0.005179981314
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MGNP2
3854278.74000000
PA
USD
3236611.49000000
0.042318422749
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BU5
4022000.00000000
PA
USD
3918341.24000000
0.051231981838
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
5.40000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAW2
608000.00000000
PA
USD
425350.33000000
0.005561419755
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DV7A7
3393799.36000000
PA
USD
2719955.44000000
0.035563188392
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte Ltd
716973AD4
2350000.00000000
PA
USD
2252697.00000000
0.029453823626
Long
DBT
CORP
SG
N
2
2030-05-19
Fixed
4.65000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCK0
2607000.00000000
PA
USD
2502649.04000000
0.032721925506
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
0.96900000
N
N
N
N
N
N
DANONE SA
969500KMUQ2B6CBAF162
Danone SA
23636TAE0
7379000.00000000
PA
USD
6856843.00000000
0.089652644965
Long
DBT
CORP
FR
N
2
2026-11-02
Fixed
2.94700000
N
N
N
N
N
N
Dryden Senior Loan Fund
549300VCB8LYR1RGV869
Dryden 49 Senior Loan Fund
26244QAS2
6400000.00000000
PA
USD
6275571.20000000
0.082052565116
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
7.62150000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432MT9
2160000.00000000
PA
USD
2127220.90000000
0.027813234182
Long
DBT
CORP
US
N
2
2043-04-30
Floating
8.54073000
N
N
N
N
N
N
FHLMC-GNMA
S6XOOCT0IEG5ABCC6L87
FHLMC-GNMA
3133T1QD7
87.75000000
PA
USD
0.30000000
0.000000003922
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
3.47057000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BKWN6
2913000.00000000
PA
USD
2336983.67000000
0.030555864740
Long
ABS-MBS
USGSE
US
N
2
2045-08-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378VH40
686798.16000000
PA
USD
655606.67000000
0.008572002016
Long
ABS-MBS
USGA
US
N
2
2042-12-20
Fixed
3.50000000
N
N
N
N
N
N
NSTAR ELECTRIC CO
54930080R72Y2Z31UR68
NSTAR Electric Co
67021CAR8
1684000.00000000
PA
USD
1289607.81000000
0.016861513547
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
1.95000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2017-1
46648CAZ7
945999.67000000
PA
USD
767916.75000000
0.010040446857
Long
ABS-MBS
CORP
US
N
2
2047-01-25
Variable
3.44920900
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
JPY CALL VERSUS USD PUT
000000000
19009400.00000000
NC
USD
52467.68000000
0.000686010498
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Purchased
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
JPY CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
JPY
N/A
USD
2025-02-27
0.01000000
USD
107.50000000
USD
2025-02-27
XXXX
-890398.56000000
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CX8
3588000.00000000
PA
USD
3470725.90000000
0.045379448951
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
5.08600000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAP9
587000.00000000
PA
USD
422727.58000000
0.005527127520
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
3.75000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
500000.00000000
PA
USD
132625.00000000
0.001734060709
Long
DBT
NUSS
UA
N
2
2034-09-25
Variable
7.37500000
N
Y
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFE0
13591000.00000000
PA
USD
12627514.85000000
0.165103693586
Long
DBT
CORP
US
N
2
2034-04-21
Fixed
5.25000000
N
N
N
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AK0
2500000.00000000
PA
USD
2151950.00000000
0.028136565082
Long
DBT
NUSS
MA
N
2
2027-12-15
Fixed
2.37500000
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2019-2
46650TAC6
51987.50000000
PA
USD
48403.03000000
0.000632865542
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
3.97885400
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TSPK3
3366.82000000
PA
USD
62.32000000
0.000000814828
Long
ABS-MBS
USGSE
US
N
2
2031-04-15
Floating
3.82224000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ADA56
1898562.74000000
PA
USD
1765072.90000000
0.023078179570
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398WQQ0
3111034.51000000
PA
USD
3068252.50000000
0.040117143129
Long
ABS-MBS
USGSE
US
N
2
2034-12-15
Fixed
5.50000000
N
N
N
N
N
N
Carlyle Global Market Strategi
N/A
Carlyle Global Market Strategies CLO 2014-1 Ltd
14310MAY3
3250000.00000000
PA
USD
3201848.00000000
0.041863893044
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
6.69957000
N
N
N
N
N
N
NORDSON CORP
14OS6Q5N55N95WM84M53
Nordson Corp
655663AA0
1616000.00000000
PA
USD
1601595.06000000
0.020940720575
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
5.60000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAP5
3000000.00000000
PA
USD
1709250.00000000
0.022348299852
Long
DBT
NUSS
MX
N
2
2071-04-19
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132CW4D3
841593.26000000
PA
USD
767218.39000000
0.010031315859
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-35519.61000000
-0.00046441591
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-08-11
409.18000000
USD
0.00000000
USD
2632000.00000000
USD
-35928.79000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AQ5Y2
344893.33000000
PA
USD
298874.39000000
0.003907757487
Long
ABS-MBS
USGSE
US
N
2
2046-03-25
Fixed
3.00000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAL4
10808000.00000000
PA
USD
9377784.93000000
0.122613748468
Long
ABS-O
CORP
US
N
2
2049-10-25
Fixed
3.66800000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAD1
3850000.00000000
PA
USD
3217156.25000000
0.042064047124
Long
DBT
CORP
US
N
2
2029-03-31
Fixed
4.37500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
054989AC2
2657000.00000000
PA
USD
2550706.58000000
0.033350273796
Long
DBT
CORP
US
N
2
2043-08-02
Fixed
7.07900000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISHRHX47NOH65
Freddie Mac STACR REMIC Trust 2021-HQA3
35564KJP5
6500000.00000000
PA
USD
6383198.90000000
0.083459788232
Long
ABS-MBS
CORP
US
N
2
2041-09-25
Floating
7.41495000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MGNR8
11812794.32000000
PA
USD
9880185.73000000
0.129182596632
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31387RDA3
114.13000000
PA
USD
114.86000000
0.000001501784
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6.50000000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAZ0
6605000.00000000
PA
USD
6431297.75000000
0.084088676647
Long
DBT
CORP
FR
N
2
2026-01-26
Fixed
4.93500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A0R90
1615082.76000000
PA
USD
131500.68000000
0.001719360320
Long
ABS-MBS
USGSE
US
N
2
2039-04-25
Floating
1.12057000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAK6
906000.00000000
PA
USD
856616.43000000
0.011200187705
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.65000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2018-1
61946FAA3
2337523.52000000
PA
USD
2104515.20000000
0.027516359066
Long
ABS-O
CORP
US
N
2
2043-06-22
Fixed
4.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398VSY3
269193.84940000
PA
USD
270141.73000000
0.003532080377
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EJ34
1320005.83000000
PA
USD
1247814.94000000
0.016315075290
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393UN25
250504.88000000
PA
USD
246495.25000000
0.003222904641
Long
ABS-MBS
USGSE
US
N
2
2034-02-25
Fixed
5.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-CBM Mortgage Trust
20049AAJ7
8261000.00000000
PA
USD
7396438.44000000
0.096707809916
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
3.75377800
N
N
N
N
N
N
PENNSYLVANIA ELECTRIC CO
O1PLQWO3TX952VMBJ146
Pennsylvania Electric Co
708696CA5
2473000.00000000
PA
USD
2427907.10000000
0.031744680933
Long
DBT
CORP
US
N
2
2026-03-30
Fixed
5.15000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DL6
1859000.00000000
PA
USD
1828837.73000000
0.023911899354
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
6.60000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
SWOP IRS USD
000000000
-101802400.00000000
NC
USD
-3607680.70000000
-0.04717012143
N/A
DIR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
FR
US
2034-05-20
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
4.05000000
USD
2024-05-16
XXXX
-2504821.37000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MXZ0
53793.94000000
PA
USD
53655.75000000
0.000701544414
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
6.00000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BU2
3076000.00000000
PA
USD
2937620.76000000
0.038409144126
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.50000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2019-3
03066NAG9
5050000.00000000
PA
USD
4967011.33000000
0.064943254980
Long
ABS-O
CORP
US
N
2
2025-09-18
Fixed
2.58000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DV7C3
838510.02000000
PA
USD
671330.45000000
0.008777589116
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398RDR3
771923.83000000
PA
USD
50992.28000000
0.000666719768
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Floating
1.02057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A3XU0
3201853.12000000
PA
USD
2961264.60000000
0.038718285343
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Fixed
4.00000000
N
N
N
N
N
N
ENRGY TRANS LP/REG FIN
N/A
Energy Transfer LP / Regency Energy Finance Corp
75886AAJ7
1263000.00000000
PA
USD
1261120.93000000
0.016489049989
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
4.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBR0
1491000.00000000
PA
USD
1352427.18000000
0.017682871521
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.75000000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
549300D98ZLKNSI8CN63
Benefit Street Partners CLO VIII Ltd
08180XAQ5
450000.00000000
PA
USD
443394.00000000
0.005797339221
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
6.78775000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B3SD1
2080000.00000000
PA
USD
1878580.50000000
0.024562281884
Long
ABS-MBS
USGSE
US
N
2
2033-08-15
Fixed
3.00000000
N
N
N
N
N
N
REXFORD INDUSTRIAL REALT
549300028US163ELJN70
Rexford Industrial Realty LP
76169XAB0
10656000.00000000
PA
USD
7953849.39000000
0.103995911160
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
2.15000000
N
N
N
N
N
N
AVANGRID INC
549300OX0Q38NLSKPB49
Avangrid Inc
05351WAC7
9776000.00000000
PA
USD
9349933.28000000
0.122249590489
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BP4K4
36382605.20000000
PA
USD
7293529.91000000
0.095362289550
Long
ABS-MBS
USGSE
US
N
2
2051-12-25
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
66490400.00000000
NC
USD
-600125.32000000
-0.00784658803
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2057-06-02
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
0.00000000
USD
2027-05-28
XXXX
-600125.33000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H7UK7
1486717.35000000
PA
USD
1321711.35000000
0.017281264629
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Fixed
4.00000000
N
N
N
N
N
N
LSTAR Commercial Mortgage Trus
N/A
LSTAR Commercial Mortgage Trust 2017-5
54910TBA9
36321956.56000000
PA
USD
617912.76000000
0.008079157316
Long
ABS-MBS
CORP
US
N
2
2050-03-10
Variable
0.95587500
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-18CB
02147FAU0
116745.90000000
PA
USD
49078.73000000
0.000641700262
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.83420000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEUR8
948360.09000000
PA
USD
865263.11000000
0.011313242319
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
BMD2 Re-REMIC Trust
N/A
BMD2 Re-Remic Trust 2019-FRR1
055631EU5
11041000.00000000
PA
USD
7276296.68000000
0.095136966518
Long
ABS-MBS
CORP
US
N
2
2052-05-25
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194TPL4
615423.32000000
PA
USD
539544.98000000
0.007054505190
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Textainer Marine Containers Li
549300X48KLHDDGPK024
Textainer Marine Containers VII Ltd
88315LAL2
4879000.07000000
PA
USD
4122139.82000000
0.053896631114
Long
ABS-O
CORP
BM
N
2
2046-02-20
Fixed
1.68000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3128HX4M4
2420816.76000000
PA
USD
2089820.23000000
0.027324223570
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B4JG1
5485960.56000000
PA
USD
4586712.16000000
0.059970875348
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2017-CX10 Commercial Mortgage Trust
12595JBA1
4340000.00000000
PA
USD
2195726.65000000
0.028708941096
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
4.31436700
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAM8
2503000.00000000
PA
USD
2271701.12000000
0.029702300895
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
3.50900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AQJS0
13808635.47990000
PA
USD
569969.38000000
0.007452301659
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Floating
0.27057000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJYD6
982333.00000000
PA
USD
894973.83000000
0.011701707481
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-6CB
12667F5E1
485489.54000000
PA
USD
400623.54000000
0.005238119058
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Fixed
5.25000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2022-FL8 Ltd
55284JAA7
6142000.00000000
PA
USD
6072346.03000000
0.079395413127
Long
ABS-CBDO
CORP
KY
N
2
2037-02-19
Floating
6.67708000
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8R6
6909000.00000000
PA
USD
6520385.33000000
0.085253489255
Long
DBT
CORP
US
N
2
2063-05-15
Fixed
5.75000000
N
N
N
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAZ3
3235000.00000000
PA
USD
2818000.44000000
0.036845118512
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
1.57300000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VI Ltd
67401FAJ9
1000000.00000000
PA
USD
1019434.00000000
0.013329013726
Long
ABS-MBS
CORP
BM
N
2
2033-10-25
Floating
8.31495000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XLVIII Ltd
55821UAE4
6150000.00000000
PA
USD
6070517.40000000
0.079371503944
Long
ABS-CBDO
CORP
KY
N
2
2033-04-19
Floating
7.58173000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANSU8
104300.13000000
PA
USD
95561.78000000
0.001249462228
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2014-GC22
36253BAW3
52952618.32000000
PA
USD
133941.00000000
0.001751267298
Long
ABS-MBS
CORP
US
N
2
2047-06-10
Variable
1.08711500
N
N
N
N
N
N
LCM Ltd Partnership
549300PYL1KC7BYM8G75
LCM XVIII LP
50188GAX1
5000000.00000000
PA
USD
4908335.00000000
0.064176066905
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.80775000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFF3
4089400.00000000
PA
USD
3541803.78000000
0.046308786248
Long
DBT
UST
US
N
2
2032-08-15
Fixed
2.75000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCY3
1059000.00000000
PA
USD
963678.50000000
0.012600015257
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KA8
2322000.00000000
PA
USD
2100655.23000000
0.027465890283
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
3.50000000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2020-1
743874AY5
1182889.11000000
PA
USD
886783.81000000
0.011594623659
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.24959000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VVM3
4857559.56000000
PA
USD
920966.58000000
0.012041560499
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L8PQ4
4101277.78000000
PA
USD
3642191.94000000
0.047621352988
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AXDT9
4650894.41000000
PA
USD
3976069.63000000
0.051986775677
Long
ABS-MBS
USGSE
US
N
2
2047-07-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8ZL1
383230.98000000
PA
USD
362765.24000000
0.004743124972
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Cedar Funding Ltd
549300PTCF9P2JDL1E69
Cedar Funding VIII Clo Ltd
15032EAN9
11200000.00000000
PA
USD
11055564.80000000
0.144550579020
Long
ABS-CBDO
CORP
KY
N
2
2034-10-17
Floating
7.01957000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-G
63941UAA1
2978090.43000000
PA
USD
2637851.94000000
0.034489692041
Long
ABS-O
CORP
US
N
2
2069-09-16
Fixed
1.17000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAS5
8724000.00000000
PA
USD
7155100.70000000
0.093552339283
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9N46
2555411.05000000
PA
USD
94506.00000000
0.001235657993
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417F5B0
874766.10000000
PA
USD
775479.84000000
0.010139333622
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CS6
3544000.00000000
PA
USD
2714739.12000000
0.035494985447
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.37500000
N
N
N
N
N
N
Genworth Mortgage Insurance Co
N/A
Triangle Re 2021-3 Ltd
89600HAC3
10200000.00000000
PA
USD
10245274.74000000
0.133956104702
Long
ABS-MBS
CORP
BM
N
2
2034-02-25
Floating
8.21495000
N
N
N
N
N
N
ENTERGY CORP
4XM3TW50JULSLG8BNC79
Entergy Corp
29364GAL7
1286000.00000000
PA
USD
1068071.37000000
0.013964943244
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KACG9
67805.32000000
PA
USD
54303.85000000
0.000710018267
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382DPA1
19351748.46000000
PA
USD
1691329.27000000
0.022113987816
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Floating
0.66068000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XF2B6
14343530.28000000
PA
USD
11071829.40000000
0.144763237296
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
RIO TINTO FIN USA PLC
2138006TSNBEUA761G16
Rio Tinto Finance USA PLC
76720AAP1
3754000.00000000
PA
USD
3426744.22000000
0.044804392187
Long
DBT
CORP
GB
N
2
2053-03-09
Fixed
5.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
458177.13000000
0.005990627402
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
115361000.00000000
USD
458177.13000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D4X7
9567555.31000000
PA
USD
7309294.52000000
0.095568410498
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
SIXTH STREET SPECIALTY
549300TX61566GJWCN05
Sixth Street Specialty Lending Inc
83012AAB5
4478000.00000000
PA
USD
4432931.12000000
0.057960201197
Long
DBT
CORP
US
N
2
2028-08-14
Fixed
6.95000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAA1
7020000.00000000
PA
USD
7013433.56000000
0.091700053354
Long
DBT
CORP
FR
N
2
2023-10-22
Fixed
5.70000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBF9
1163000.00000000
PA
USD
859752.39000000
0.011241190118
Long
DBT
CORP
US
N
2
2062-03-15
Fixed
5.39100000
N
N
N
N
N
N
Bank
N/A
BANK 2018-BNK14
06035RAA4
19110000.00000000
PA
USD
1258339.04000000
0.016452677011
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Variable
1.76419900
N
N
N
N
N
N
AMER AIRLINE 16-2 AA PTT
N/A
American Airlines 2016-2 Class AA Pass Through Trust
023765AA8
2705754.00000000
PA
USD
2438710.42000000
0.031885933432
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137GAQM2
1481718.63000000
PA
USD
1373599.40000000
0.017959696515
Long
ABS-MBS
USGSE
US
N
2
2040-10-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GXH53
102374.82000000
PA
USD
95532.82000000
0.001249083578
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.50000000
N
N
N
N
N
N
GCI LLC
549300N3IE9H88Q20221
GCI LLC
36166TAB6
4420000.00000000
PA
USD
3817156.20000000
0.049908995958
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.75000000
N
N
N
N
N
N
BLACKSTONE HOLDINGS FINA
549300D2L6J4NC1QVZ22
Blackstone Holdings Finance Co LLC
09261BAD2
6326000.00000000
PA
USD
4618752.21000000
0.060389796305
Long
DBT
CORP
US
N
2
2032-01-30
Fixed
2.00000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAD4
1384000.00000000
PA
USD
1226857.06000000
0.016041052773
Long
DBT
CORP
US
N
2
2027-03-02
Fixed
1.26700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BNQ98
11226656.80000000
PA
USD
958496.03000000
0.012532254898
Long
ABS-MBS
USGSE
US
N
2
2046-04-15
Floating
0.57224000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBD6
1771000.00000000
PA
USD
1356547.66000000
0.017736746450
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.39000000
N
N
N
N
N
N
Primrose Schools
N/A
Primrose Funding LLC
74166YAA8
4885875.00000000
PA
USD
4548239.54000000
0.059467849081
Long
ABS-O
CORP
US
N
2
2049-07-30
Fixed
4.47500000
N
N
N
N
N
N
SABRA HEALTH CARE LP
549300OVKLRFSIQG0H81
Sabra Health Care LP
78574MAA1
1792000.00000000
PA
USD
1342725.78000000
0.017556026532
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
3.20000000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN Co Ltd
62878U2G6
4617000.00000000
PA
USD
4634452.26000000
0.060595073137
Long
DBT
CORP
AU
N
2
2033-10-06
Fixed
6.00000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QCP9
2243000.00000000
PA
USD
2142350.71000000
0.028011055174
Long
DBT
CORP
US
N
2
2053-08-01
Fixed
5.45000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2016-GS4
36251XAT4
56921479.45000000
PA
USD
770654.22000000
0.010076239047
Long
ABS-MBS
CORP
US
N
2
2049-11-10
Variable
0.68881200
N
N
N
N
N
N
PARKER-HANNIFI 12/04/2023
N/A
PARKER-HANNIFI 12/04/2023
000000000
5550000.00000000
PA
USD
5493406.65000000
0.071825829473
Long
DBT
CORP
US
N
2
2023-12-04
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BRCG8
16435516.48000000
PA
USD
1110501.83000000
0.014519717937
Long
ABS-MBS
USGSE
US
N
2
2041-06-15
Floating
0.67224000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451BF4
944000.00000000
PA
USD
904345.31000000
0.011824238793
Long
DBT
CORP
AU
N
2
2053-09-08
Fixed
5.50000000
N
N
N
N
N
N
DUKE ENERGY INDIANA LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
26443TAD8
1998000.00000000
PA
USD
1831520.95000000
0.023946982230
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.40000000
N
N
N
N
N
N
HARTFORD FINL SVCS GRP
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group Inc/The
416515AS3
1030000.00000000
PA
USD
1013638.33000000
0.013253235829
Long
DBT
CORP
US
N
2
2036-10-15
Fixed
5.95000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBZ1
3670000.00000000
PA
USD
3539377.62000000
0.046277064410
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAHD9
14479307.81000000
PA
USD
12878281.81000000
0.168382450476
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
3.50000000
N
N
N
N
N
N
TEXAS INSTRUMENTS INC
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508CC6
3003000.00000000
PA
USD
2723724.39000000
0.035612467096
Long
DBT
CORP
US
N
2
2053-03-14
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374TWL4
362311.21000000
PA
USD
349563.94000000
0.004570519086
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
4.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C19
46641WAX5
6289244.32980000
PA
USD
1372.63000000
0.000017947021
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Variable
0.71388000
N
N
N
N
N
N
Mill City Solar Loan 2019-2 Lt
N/A
Mill City Solar Loan 2019-2 Ltd
59982VAA7
3376920.26000000
PA
USD
2824276.79000000
0.036927181260
Long
ABS-O
CORP
KY
N
2
2043-07-20
Fixed
3.69000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788NAA8
2877000.00000000
PA
USD
2442658.50000000
0.031937554246
Long
DBT
CORP
US
N
2
2033-07-28
Fixed
4.91600000
N
N
N
N
N
N
Banc of America Mortgage Secur
N/A
Banc of America Mortgage 2007-2 Trust
05952FAH6
626632.59000000
PA
USD
60258.27000000
0.000787871807
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382LZ20
20844812.19000000
PA
USD
3563191.35000000
0.046588426925
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
3.50000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610BE4
6918000.00000000
PA
USD
5798477.08000000
0.075814599662
Long
DBT
CORP
US
N
2
2037-05-21
Fixed
5.64100000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAB1
10875000.00000000
PA
USD
10484197.63000000
0.137080001375
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
4.00000000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587DD6
3430000.00000000
PA
USD
3363926.26000000
0.043983052649
Long
DBT
CORP
US
N
2
2027-08-01
Variable
5.11300000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
4200000.00000000
PA
USD
3956587.45000000
0.051732047814
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.74600000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AG2
4925000.00000000
PA
USD
4084026.70000000
0.053398305278
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QPAS6
9214623.82000000
PA
USD
8236508.82000000
0.107691659411
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-RIVR
36255WAL9
4400000.00000000
PA
USD
670961.72000000
0.008772768002
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
7.73000000
N
N
N
N
N
N
Imperial Fund LLC
N/A
Imperial Fund Mortgage Trust 2021-NQM4
45276JAD2
2000000.00000000
PA
USD
1263456.00000000
0.016519580832
Long
ABS-MBS
CORP
US
N
2
2057-01-25
Variable
3.44600000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DR5
2099000.00000000
PA
USD
1801610.51000000
0.023555905745
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
3.40000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-SOAR
05608WAL8
3281911.21000000
PA
USD
3188209.36000000
0.041685568974
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
6.84748000
N
N
N
N
N
N
INTERSTATE POWER & LIGHT
EF9UQIIO4KY2BWOK3P26
Interstate Power and Light Co
461070AL8
3066000.00000000
PA
USD
2971619.44000000
0.038853674005
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
110892.51000000
0.001449910232
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-06-20
0.00000000
USD
0.00000000
USD
57680000.00000000
USD
110892.51000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
128754.35000000
0.001683452286
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
36705000.00000000
USD
128754.35000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TNWW0
3069.73000000
PA
USD
32.13000000
0.000000420097
Long
ABS-MBS
USGSE
US
N
2
2030-05-17
Floating
3.17224000
N
N
N
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BAS4
6590000.00000000
PA
USD
4843177.50000000
0.063324138078
Long
ABS-MBS
CORP
US
N
2
2049-11-08
None
0.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust
92922F2Q0
40651460.40840000
PA
USD
36043.62000000
0.000471267297
Long
ABS-MBS
CORP
US
N
2
2045-08-25
Variable
0.01000000
N
N
N
N
N
N
SMRT
N/A
SMRT 2022-MINI
78457JAJ1
1000000.00000000
PA
USD
964306.20000000
0.012608222382
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
6.88300000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BD6
2078000.00000000
PA
USD
1827359.12000000
0.023892566653
Long
DBT
CORP
US
N
2
N/A
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19
61764PBV3
63437892.32000000
PA
USD
376326.26000000
0.004920434167
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
1.09910400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31379CVN8
116.92000000
PA
USD
117.57000000
0.000001537217
Long
ABS-MBS
USGSE
US
N
2
2028-02-01
Fixed
6.50000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAV5
9427000.00000000
PA
USD
8474557.20000000
0.110804121939
Long
DBT
CORP
GB
N
2
N/A
Fixed
8.00000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709AS7
2647000.00000000
PA
USD
2560654.33000000
0.033480339789
Long
DBT
CORP
US
N
2
2032-11-29
Fixed
6.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375JVH5
931585.68000000
PA
USD
55004.08000000
0.000719173715
Long
ABS-MBS
USGA
US
N
2
2037-04-20
Floating
0.76068000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust
92925GAC7
566096.13000000
PA
USD
486030.38000000
0.006354806300
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
3.44358900
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YN27
1547297.63000000
PA
USD
1394628.09000000
0.018234644866
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
3.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAD5
2704000.00000000
PA
USD
2473543.11000000
0.032341367922
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
5.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCXP8
4262363.40000000
PA
USD
3398075.36000000
0.044429549256
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2021-J2
17329MDT3
1478434.07000000
PA
USD
1030590.37000000
0.013474882325
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.76897900
N
N
N
N
N
N
Five Guys Funding, LLC
549300LV8X8T05G1H175
Five Guys Funding LLC
33830JAA3
4196100.00000000
PA
USD
4129742.04000000
0.053996029500
Long
ABS-O
CORP
US
N
2
2047-07-25
Fixed
4.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307M4H6
339960.22000000
PA
USD
309581.00000000
0.004047745512
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
SUMITOMO MITSUI TR BK LT
5493006GGLR4BTEL8O61
Sumitomo Mitsui Trust Bank Ltd
86563VBM0
4554000.00000000
PA
USD
4530686.34000000
0.059238342468
Long
DBT
CORP
JP
N
2
2028-09-14
Fixed
5.55000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599EF8
1885000.00000000
PA
USD
1859797.55000000
0.024316696394
Long
DBT
CORP
US
N
2
2031-01-01
Fixed
6.12500000
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAK6
2524125.00000000
PA
USD
2349970.72000000
0.030725669326
Long
ABS-O
CORP
US
N
2
2048-07-25
Fixed
4.32800000
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8G0
2528000.00000000
PA
USD
2385344.96000000
0.031188184536
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.50000000
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DS1
1000000.00000000
PA
USD
742000.00000000
0.009701587532
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 Trust
93934FAC6
547190.46000000
PA
USD
482055.42000000
0.006302834033
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.50000000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BM5
2183000.00000000
PA
USD
1788300.89000000
0.023381883584
Long
DBT
CORP
US
N
2
2030-04-23
Fixed
2.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AP4Y5
2000000.00000000
PA
USD
1768093.20000000
0.023117669738
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Fixed
3.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401BB3
2389000.00000000
PA
USD
2760715.71000000
0.036096125490
Long
DBT
CORP
CH
N
2
2033-11-15
Fixed
9.01600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BFEM1
26491922.61000000
PA
USD
5399037.93000000
0.070591966403
Long
ABS-MBS
USGSE
US
N
2
2051-03-25
Fixed
4.00000000
N
N
N
N
N
N
KEY BANK NA
HUX2X73FUCYHUVH1BK78
KeyBank NA/Cleveland OH
49327V2C7
1568000.00000000
PA
USD
1263184.01000000
0.016516024586
Long
DBT
CORP
US
N
2
2032-08-08
Fixed
4.90000000
N
N
N
N
N
N
ORACLE CORP 0 11/09/2023
N/A
ORACLE CORP 0 11/09/2023
000000000
20000000.00000000
PA
USD
19873947.80000000
0.259850194349
Long
DBT
CORP
US
N
2
2023-11-09
None
0.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R02
20754WAB1
1696441.59000000
PA
USD
1701977.42000000
0.022253211481
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
7.42943000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBK9
3011000.00000000
PA
USD
2759064.27000000
0.036074533051
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
5.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BC2C1
11145519.79000000
PA
USD
10465812.49000000
0.136839617217
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Fixed
4.25000000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DB1
1792000.00000000
PA
USD
1392533.92000000
0.018207263770
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.10000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WGJ5
9374993.55000000
PA
USD
1416885.90000000
0.018525663858
Long
ABS-MBS
USGSE
US
N
2
2043-05-15
Fixed
3.00000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAM6
55000.00000000
PA
USD
44110.38000000
0.000576739504
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374UNM9
400045.42000000
PA
USD
390356.20000000
0.005103874451
Long
ABS-MBS
USGA
US
N
2
2039-05-20
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
20754KAF8
2500000.00000000
PA
USD
2487728.50000000
0.032526840702
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
8.61495000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BAPB2
7726256.41000000
PA
USD
7054240.53000000
0.092233601051
Long
ABS-MBS
USGSE
US
N
2
2044-05-15
Fixed
4.25000000
N
N
N
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
ConocoPhillips Co
20826FBG0
3795000.00000000
PA
USD
3609799.98000000
0.047197830838
Long
DBT
CORP
US
N
2
2054-03-15
Fixed
5.55000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-2
89171YAC5
1400000.00000000
PA
USD
1323654.22000000
0.017306667491
Long
ABS-MBS
CORP
US
N
2
2060-11-25
Variable
3.62702400
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GFVW4
144902.06000000
PA
USD
136408.18000000
0.001783525469
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
MISSISSIPPI POWER CO
LNZ0J6YZ5SC6ILIRU850
Mississippi Power Co
605417BY9
271000.00000000
PA
USD
212424.39000000
0.002777431015
Long
DBT
CORP
US
N
2
2041-10-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GNLK7
269009.99000000
PA
USD
251590.59000000
0.003289525783
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO XXVI Ltd
87190GAJ0
8450000.00000000
PA
USD
8197750.60000000
0.107184898947
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
7.58775000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GDBW1
205721.08000000
PA
USD
201778.78000000
0.002638240561
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4
46645UAV9
76050253.81000000
PA
USD
1049253.94000000
0.013718906931
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Variable
0.71044000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QPDN1
2382828.13000000
PA
USD
2023268.52000000
0.026454065565
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395PBA9
157461.72460000
PA
USD
154179.01000000
0.002015877575
Long
ABS-MBS
USGSE
US
N
2
2035-02-15
Fixed
5.00000000
N
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
Ovintiv Inc
69047QAD4
1378000.00000000
PA
USD
1367711.54000000
0.017882713241
Long
DBT
CORP
US
N
2
2053-07-15
Fixed
7.10000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DA4
3307000.00000000
PA
USD
3152415.71000000
0.041217570014
Long
DBT
CORP
GB
N
2
2026-03-10
Fixed
2.99900000
N
N
N
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AC8
2784000.00000000
PA
USD
2203374.47000000
0.028808935698
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BN5
1099000.00000000
PA
USD
889715.31000000
0.011632952775
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
5.00000000
N
N
N
N
N
N
APPALACHIAN POWER CO
3SCHO1ABYYIG382BEI70
Appalachian Power Co
037735CX3
1793000.00000000
PA
USD
1366200.16000000
0.017862952075
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAP7
2755000.00000000
PA
USD
1783664.03000000
0.023321257030
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A1M36
2723362.07000000
PA
USD
2440255.51000000
0.031906135354
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EJ68
23529330.67000000
PA
USD
21628024.52000000
0.282784599792
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YSR4
231246.30000000
PA
USD
223180.45000000
0.002918065594
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Fixed
5.50000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
5493000F7E2NMQ4HIO61
WFRBS Commercial Mortgage Trust 2014-C21
92939FAE9
2000000.00000000
PA
USD
1513118.40000000
0.019783895694
Long
ABS-MBS
CORP
US
N
2
2047-08-15
Fixed
3.49700000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISBDRXIMCHZ70
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KQY8
13500000.00000000
PA
USD
13541985.00000000
0.177060313810
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
8.71495000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBK0
1170000.00000000
PA
USD
1095465.65000000
0.014323121149
Long
DBT
CORP
US
N
2
2033-05-17
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BM60
10249724.01000000
PA
USD
8991494.03000000
0.117563027471
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAE3
554000.00000000
PA
USD
492485.00000000
0.006439199913
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GTF47
826517.57000000
PA
USD
775938.28000000
0.010145327686
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BBH1
1423457.59000000
PA
USD
1362579.16000000
0.017815607805
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
7.44748000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AS5
4352000.00000000
PA
USD
4224073.44000000
0.055229404614
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ADB65
15303200.70000000
PA
USD
1369526.28000000
0.017906440814
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
3.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3D3
15588000.00000000
PA
USD
14579280.57000000
0.190622866061
Long
DBT
CORP
US
N
2
2034-04-24
Fixed
5.38900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DVA7
18800787.97000000
PA
USD
14409315.71000000
0.188400589825
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
CANTOR FITZGERALD SECURITIES
549300DWZ3YOKJO5X179
CANTOR FITZGERALD SECURITIES
000000000
56002703.00000000
PA
USD
56002703.00000000
0.732230627003
Long
RA
CORP
US
N
2
Repurchase
Y
5.32000000
2023-10-02
190190560.64465228
USD
55805201.32033879
USD
AMBS
739666.46962307
USD
726562.90763428
USD
ADAS
623607.50182193
USD
590992.82944218
USD
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505GB4
11464000.00000000
PA
USD
9636052.59000000
0.125990576380
Long
DBT
CORP
US
N
2
N/A
Fixed
4.37500000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DQ2
2525000.00000000
PA
USD
1344979.13000000
0.017585488894
Long
DBT
NUSS
PE
N
2
2060-12-01
Fixed
2.78000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAX3
1048000.00000000
PA
USD
842578.01000000
0.011016636546
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-1
35563PHZ5
3272769.69000000
PA
USD
2684544.98000000
0.035100199608
Long
ABS-MBS
USGSE
US
N
2
2058-07-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KN7M9
18383526.53000000
PA
USD
14752310.53000000
0.192885218221
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2004-J7
12667FTE5
1382953.84000000
PA
USD
1370908.73000000
0.017924516231
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
4.57379400
N
N
N
N
N
N
UNILEVER CAPITAL CORP
MYF1DAS6G5WY7PRWCU78
Unilever Capital Corp
904764BT3
1874000.00000000
PA
USD
1815513.81000000
0.023737690222
Long
DBT
CORP
US
N
2
2033-12-08
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B4JJ5
4161989.11000000
PA
USD
3346300.80000000
0.043752601243
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-7
07386HVR9
883661.99000000
PA
USD
711341.01000000
0.009300723819
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
5.21625600
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AQZZ6
23142705.76000000
PA
USD
5738518.55000000
0.075030646930
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Fixed
6.50000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBN4
2983000.00000000
PA
USD
2722922.64000000
0.035601984282
Long
DBT
CORP
US
N
2
2063-05-17
Fixed
5.15000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2021-2
262104AF9
550000.00000000
PA
USD
515491.19000000
0.006740003911
Long
ABS-O
CORP
US
N
2
2029-03-15
Fixed
1.39000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
759470BD8
5250000.00000000
PA
USD
3362913.75000000
0.043969814166
Long
DBT
CORP
IN
N
2
2052-01-12
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAUJ9
3486775.63000000
PA
USD
2794597.01000000
0.036539120635
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398W2Z6
5274615.19000000
PA
USD
427453.76000000
0.005588921925
Long
ABS-MBS
USGSE
US
N
2
2040-01-15
Floating
0.92224000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396XQV9
776378.06000000
PA
USD
54941.33000000
0.000718353264
Long
ABS-MBS
USGSE
US
N
2
2037-09-25
Floating
1.03057000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BY4
1470000.00000000
PA
USD
1500505.90000000
0.019618988318
Long
DBT
CORP
US
N
2
2063-11-15
Fixed
5.90000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661ES2
1554000.00000000
PA
USD
1431986.37000000
0.018723101232
Long
DBT
CORP
US
N
2
2063-04-01
Fixed
5.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B6D56
9986821.36000000
PA
USD
8014215.82000000
0.104785197150
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398PJS9
890451.12000000
PA
USD
56556.91000000
0.000739476836
Long
ABS-MBS
USGSE
US
N
2
2050-04-25
Floating
1.02057000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2019-2
33852BAP0
1356909.25000000
PA
USD
1149097.51000000
0.015024353203
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
4.03048800
N
N
N
N
N
N
First Republic Mortgage Trust
N/A
First Republic Mortgage Trust 2020-1
33616LAT7
1083219.83000000
PA
USD
874940.81000000
0.011439777431
Long
ABS-MBS
CORP
US
N
2
2050-04-25
Variable
2.88571500
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDB2
5519949.57000000
PA
USD
5568216.56000000
0.072803962748
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
7.61495000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BBH0
2700000.00000000
PA
USD
2575125.00000000
0.033669542581
Long
DBT
CORP
CL
N
2
2053-09-08
Fixed
6.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397SMB7
1942006.84000000
PA
USD
1849085.31000000
0.024176634758
Long
ABS-MBS
USGSE
US
N
2
2041-04-25
Fixed
5.00000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FG8
1851000.00000000
PA
USD
1301243.91000000
0.017013654574
Long
DBT
CORP
US
N
2
2060-03-20
Fixed
3.83900000
N
N
N
N
N
N
MILLICOM INTL CELLULAR
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AR8
2000000.00000000
PA
USD
1435000.00000000
0.018762504191
Long
DBT
CORP
LU
N
2
2031-04-27
Fixed
4.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NEG2
8557000.00000000
PA
USD
7794858.30000000
0.101917116043
Long
DBT
CORP
US
N
2
2064-05-15
Fixed
5.50000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBD4
3270000.00000000
PA
USD
2530795.38000000
0.033089936532
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKL2
6065000.00000000
PA
USD
4937585.94000000
0.064558520483
Long
DBT
CORP
US
N
2
2037-03-08
Fixed
3.84600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AFDR5
105372.57800000
PA
USD
100930.29000000
0.001319655044
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
25991.83000000
0.000339840989
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-09-05
0.00000000
USD
0.00000000
USD
61458000.00000000
USD
25991.83000000
N
N
N
US AIRWAYS 2012-1A PTT
N/A
US Airways 2012-1 Class A Pass Through Trust
90345WAA2
4966558.97000000
PA
USD
4971879.15000000
0.065006901316
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.90000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-3
33851JAC3
726049.24000000
PA
USD
652085.30000000
0.008525960400
Long
ABS-MBS
CORP
US
N
2
2048-05-25
Variable
4.00000000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AL5
4560000.00000000
PA
USD
4132499.09000000
0.054032077697
Long
ABS-O
CORP
US
N
2
2049-05-20
Fixed
4.35200000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AC2
3853000.00000000
PA
USD
3424825.67000000
0.044779307308
Long
DBT
CORP
CH
N
2
2027-01-30
Fixed
1.36400000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2021-FL6 Ltd
55283TAC2
10000000.00000000
PA
USD
9750124.50000000
0.127482057000
Long
ABS-CBDO
CORP
KY
N
2
2036-07-16
Floating
6.89505000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2020-1NV
33851YBA3
1915586.05000000
PA
USD
1619952.51000000
0.021180742688
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
4.20852500
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B3SG6
27562207.97000000
PA
USD
2338401.15000000
0.030574398172
Long
ABS-MBS
USGSE
US
N
2
2058-12-25
Floating
0.67057000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAEV2
5582658.62000000
PA
USD
4967823.34000000
0.064953871942
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KG3X9
231397.42000000
PA
USD
185159.76000000
0.002420948273
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VVC5
2988731.08000000
PA
USD
508843.12000000
0.006653080955
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AJL79
874226.62000000
PA
USD
36727.83000000
0.000480213285
Long
ABS-MBS
USGSE
US
N
2
2043-08-25
Floating
0.77057000
N
N
N
N
N
N
BBCCRE Trust
N/A
BBCCRE Trust 2015-GTP
05490TAN2
92840000.00000000
PA
USD
917644.49000000
0.011998124452
Long
ABS-MBS
CORP
US
N
2
2033-08-10
Variable
0.74868700
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QPD27
2271768.78000000
PA
USD
1927541.56000000
0.025202443622
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.00000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM Re-REMIC Trust 2021-FRR1
364614AC1
9132000.00000000
PA
USD
6448271.86000000
0.084310611706
Long
ABS-MBS
CORP
US
N
2
2050-11-29
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GRLQ5
774996.90000000
PA
USD
727400.85000000
0.009510704875
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
ENTERGY TEXAS INC
LWXX58X12AJXISQ28573
Entergy Texas Inc
29365TAN4
992000.00000000
PA
USD
950869.81000000
0.012432542714
Long
DBT
CORP
US
N
2
2053-09-01
Fixed
5.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390TAL3
3380.74000000
PA
USD
3399.66000000
0.000044450268
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DC6
1177000.00000000
PA
USD
1017392.75000000
0.013302324554
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GRV50
826636.95000000
PA
USD
776234.71000000
0.010149203484
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2015-2
12649RAX0
685539.81000000
PA
USD
628815.64000000
0.008221711554
Long
ABS-MBS
CORP
US
N
2
2045-02-25
Variable
3.87590000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp
89236TKJ3
5032000.00000000
PA
USD
4897417.55000000
0.064033322165
Long
DBT
CORP
US
N
2
2027-09-20
Fixed
4.55000000
N
N
N
N
N
N
LENNOX INTERNATIONAL INC
S7DWAC87RDMPBF77GJ92
Lennox International Inc
526107AG2
3402000.00000000
PA
USD
3340476.60000000
0.043676450319
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
5.50000000
N
N
N
N
N
N
RTX CORP
I07WOS4YJ0N7YRFE7309
RTX Corp
913017CW7
3933000.00000000
PA
USD
3313756.90000000
0.043327092490
Long
DBT
CORP
US
N
2
2038-11-16
Fixed
4.45000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2014-C25
92939LAL0
71007988.48000000
PA
USD
400747.78000000
0.005239743485
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
0.92940900
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AT6
2175000.00000000
PA
USD
2185548.75000000
0.028575865910
Long
DBT
CORP
CO
N
2
2029-01-19
Fixed
8.62500000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AV8
3312000.00000000
PA
USD
3333979.86000000
0.043591505990
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.85000000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
Sound Point CLO XXIX Ltd
83614VAG0
9950000.00000000
PA
USD
9541990.30000000
0.124760719857
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Floating
7.91282000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380UE82
4503202.93000000
PA
USD
3420527.12000000
0.044723104128
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
3.00000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
3190000.00000000
PA
USD
2876726.05000000
0.037612950919
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-3
89169DAC5
2200000.00000000
PA
USD
1999042.32000000
0.026137310039
Long
ABS-MBS
CORP
US
N
2
2057-07-25
Variable
3.50000000
N
N
N
N
N
N
Broad River BSL Funding CLO Lt
5493000KEEYM16WOW109
Broad River Bsl Funding Clo Ltd 2020-1
11124TAN4
4400000.00000000
PA
USD
4216986.40000000
0.055136742162
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
7.58775000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BM5
4922000.00000000
PA
USD
4366475.71000000
0.057091302306
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
1.70000000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp
89236TJV8
1503000.00000000
PA
USD
1348352.98000000
0.017629601699
Long
DBT
CORP
US
N
2
2027-01-13
Fixed
1.90000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2015-A
17323MAD7
724240.55000000
PA
USD
677618.29000000
0.008859802094
Long
ABS-MBS
CORP
US
N
2
2058-06-25
Variable
4.50000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-4
33851LAP9
883488.90000000
PA
USD
763934.83000000
0.009988383588
Long
ABS-MBS
CORP
US
N
2
2048-07-25
Variable
4.18077900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397QPY8
832415.21000000
PA
USD
811148.83000000
0.010605702663
Long
ABS-MBS
USGSE
US
N
2
2041-02-25
Fixed
5.00000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBP9
3241000.00000000
PA
USD
3102794.36000000
0.040568775040
Long
DBT
CORP
CA
N
2
2083-01-15
Fixed
7.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196RU22
566090.97000000
PA
USD
503277.87000000
0.006580315780
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B9AH8
4835208.51000000
PA
USD
4513145.43000000
0.059008996547
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DZW5
38677860.40000000
PA
USD
30837634.15000000
0.403199470371
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398PE62
3072722.40000000
PA
USD
184496.09000000
0.002412270844
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Floating
0.97057000
N
N
N
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO 2021-1 Ltd
69701WAE6
5800000.00000000
PA
USD
5701469.60000000
0.074546235028
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
7.28775000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BW3
3600000.00000000
PA
USD
3616037.53000000
0.047279386280
Long
DBT
NUSS
PA
N
2
2036-01-31
Fixed
6.87500000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ2
36257LAA5
340804.94000000
PA
USD
310961.47000000
0.004065795041
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXRW4
16192919.82000000
PA
USD
13396639.63000000
0.175159935334
Long
ABS-MBS
USGSE
US
N
2
2054-12-01
Fixed
3.00000000
N
N
N
N
N
N
TEXAS INSTRUMENTS INC
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882926AA6
6116000.00000000
PA
USD
5428986.97000000
0.070983547580
Long
DBT
CORP
US
N
2
2063-05-18
Fixed
5.05000000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCG8
4136000.00000000
PA
USD
3184341.76000000
0.041635000430
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.45000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAV1
836000.00000000
PA
USD
836931.91000000
0.010942814264
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
6.25000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAU2
2041000.00000000
PA
USD
1899983.47000000
0.024842123915
Long
DBT
CORP
US
N
2
2033-05-15
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HFJB6
458301.57000000
PA
USD
416044.35000000
0.005439744850
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BX9
3487000.00000000
PA
USD
3372961.08000000
0.044101182160
Long
DBT
CORP
US
N
2
2033-09-12
Fixed
5.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371KBU4
1584.87000000
PA
USD
1613.66000000
0.000021098468
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
7.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B17 Mortgage Trust
08162MAZ1
92302803.02000000
PA
USD
4838554.47000000
0.063263692350
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Variable
1.53672700
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBT1
2393000.00000000
PA
USD
1606718.47000000
0.021007708729
Long
DBT
CORP
US
N
2
2040-09-25
Fixed
3.73400000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
-11625000.00000000
NC
USD
10701.86000000
0.000139925918
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2033-10-02
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
4.16000000
USD
2028-09-28
XXXX
10701.86000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A03G0
6530310.00000000
PA
USD
6138592.62000000
0.080261581714
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US LONG BOND(CBT)
000000000
458.00000000
NC
USD
-2882125.30000000
-0.03768354565
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-12-19
54993937.80000000
USD
-2882125.30000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394AGX8
2634909.75000000
PA
USD
171234.35000000
0.002238874710
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Floating
1.62057000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
5414000.00000000
PA
USD
5087925.34000000
0.066524195481
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BAKR4
20549361.12000000
PA
USD
3160257.48000000
0.041320100497
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
5.00000000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
549300KDXV3I7WKXA522
Commonbond Student Loan Trust 2017-B-GS
20268KAC4
667921.78000000
PA
USD
587201.30000000
0.007677607562
Long
ABS-O
CORP
US
N
2
2042-09-25
Fixed
3.26000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FQV42
2873516.83000000
PA
USD
2421942.80000000
0.031666698212
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Fixed
3.00000000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2019-A
038370AA0
618527.00000000
PA
USD
573028.22000000
0.007492295734
Long
ABS-O
CORP
US
N
2
2040-07-16
Fixed
3.14000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468J1
1986000.00000000
PA
USD
1927889.84000000
0.025206997353
Long
DBT
CORP
US
N
2
2025-07-22
Fixed
2.72000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863BD1
4048000.00000000
PA
USD
3797530.00000000
0.049652385045
Long
DBT
CORP
GB
N
2
2033-05-02
Fixed
5.50000000
N
N
N
N
N
JPMBB Commercial Mortgage Secu
549300UOGMFS1M8XVM16
JPMBB Commercial Mortgage Securities Trust 2013-C15
46640NAP3
6363797.00000000
PA
USD
5638977.07000000
0.073729150459
Long
ABS-MBS
CORP
US
N
2
2045-11-15
Variable
5.17078600
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WLP1
19119767.39000000
PA
USD
15653404.42000000
0.204666944972
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAB7
3850000.00000000
PA
USD
3788562.09000000
0.049535130377
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
8.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ACSH5
123147.48000000
PA
USD
120125.88000000
0.001570635767
Long
ABS-MBS
USGSE
US
N
2
2033-03-25
Fixed
3.00000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAQ1
4991000.00000000
PA
USD
4561043.27000000
0.059635256772
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397JUJ1
10879253.20000000
PA
USD
608237.29000000
0.007952651360
Long
ABS-MBS
USGSE
US
N
2
2033-10-15
Floating
1.12224000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust
93363NAA3
223680.09000000
PA
USD
199948.97000000
0.002614315949
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
3.94626400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B3PE4
31050449.05000000
PA
USD
2110250.62000000
0.027591349200
Long
ABS-MBS
USGSE
US
N
2
2048-11-25
Floating
0.77057000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBH7
297000.00000000
PA
USD
234988.10000000
0.003072449624
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
3.85000000
N
N
N
N
N
N
CLI Funding LLC
254900Z4P82YK31RVL27
CLI Funding VIII LLC
12565KAA5
7327381.15000000
PA
USD
6268438.28000000
0.081959302787
Long
ABS-O
CORP
US
N
2
2046-02-18
Fixed
1.64000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2LF7
4799538.62000000
PA
USD
3694316.99000000
0.048302883629
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
000000000
750000.00000000
PA
USD
656850.00000000
0.008588258451
Long
DBT
CORP
ID
N
2
2043-05-20
Fixed
5.62500000
N
N
N
N
N
N
MSILF Government Portfolio
549300BI6Y5SI6BYPB26
MSILF Government Portfolio
61747C707
71184000.00000000
NS
USD
71184000.00000000
0.930724807205
Long
STIV
RF
US
N
1
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381WTU2
798785.00000000
PA
USD
560238.24000000
0.007325067823
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
3.00000000
N
N
N
N
N
N
JBS USA LUX SA/FOOD/LUX
N/A
JBS USA LUX SA / JBS USA Food Co / JBS Luxembourg SARL
47214BAB4
2210000.00000000
PA
USD
2138628.05000000
0.027962381708
Long
DBT
CORP
N/A
N
2
2053-11-15
Fixed
7.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ARM29
2470430.64000000
PA
USD
2204493.23000000
0.028823563391
Long
ABS-MBS
USGSE
US
N
2
2042-06-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378YYS2
1563177.61000000
PA
USD
62504.59000000
0.000817242252
Long
ABS-MBS
USGA
US
N
2
2043-03-20
Floating
0.71068000
N
N
N
N
N
N
PFP III
N/A
PFP 2023-10 Ltd
69380CAA6
10000000.00000000
PA
USD
10022198.00000000
0.131039395107
Long
ABS-CBDO
CORP
BM
N
2
2038-09-16
Floating
7.69554000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDL2
17183400.00000000
PA
USD
14727381.96000000
0.192559279267
Long
DBT
UST
US
N
2
2028-11-30
Fixed
1.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
82301.41000000
0.001076084007
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-06-20
0.00000000
USD
0.00000000
USD
62923000.00000000
USD
82301.41000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378YAT6
3186340.44000000
PA
USD
485352.62000000
0.006345944645
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Fixed
5.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAX8
1346000.00000000
PA
USD
1226206.00000000
0.016032540218
Long
DBT
NUSS
MX
N
2
2053-05-04
Fixed
6.33800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BMPC4
8068266.00000000
PA
USD
6784757.37000000
0.088710131421
Long
ABS-MBS
USGSE
US
N
2
2046-01-15
Fixed
3.50000000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAE8
2029500.00000000
PA
USD
1893649.73000000
0.024759310798
Long
ABS-O
CORP
US
N
2
2049-06-05
Fixed
4.72300000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AN1
3735000.00000000
PA
USD
3495461.38000000
0.045702863269
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
6.75000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2020-2
81748KEE8
1860774.93000000
PA
USD
1495041.85000000
0.019547546325
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.63726400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AAXL4
3523105.09000000
PA
USD
274837.08000000
0.003593471683
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Floating
0.77057000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816DH9
6293000.00000000
PA
USD
6137254.61000000
0.080244087346
Long
DBT
CORP
US
N
2
2029-07-27
Fixed
5.28200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A4DR7
580267.22000000
PA
USD
9672.76000000
0.000126470522
Long
ABS-MBS
USGSE
US
N
2
2040-09-25
Floating
1.12057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A5C61
3492.46000000
PA
USD
3418.83000000
0.000044700914
Long
ABS-MBS
USGSE
US
N
2
2032-05-25
Fixed
3.50000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 1 Ltd
48661AAN6
7130000.00000000
PA
USD
7071876.24000000
0.092464186475
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
7.31957000
N
N
N
N
N
N
Sunnova Sol Issuer,LLC
N/A
Sunnova Sol II Issuer LLC
86745PAA1
7354135.27000000
PA
USD
5789780.53000000
0.075700893003
Long
ABS-O
CORP
US
N
2
2055-11-01
Fixed
2.73000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLU1
30817000.00000000
PA
USD
30006619.22000000
0.392334020122
Long
DBT
CORP
US
N
2
2034-09-15
Fixed
5.87200000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2018-2-GS
61946LAB8
509765.15000000
PA
USD
445026.96000000
0.005818690036
Long
ABS-O
CORP
US
N
2
2044-02-22
Fixed
4.74000000
N
N
N
N
N
N
Helios Issuer, LLC
N/A
Sunnova Helios XI Issuer LLC
86746AAA3
13462265.01000000
PA
USD
12890569.73000000
0.168543113996
Long
ABS-O
CORP
US
N
2
2050-05-20
Fixed
5.30000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust
92926UAA9
1114086.77000000
PA
USD
977130.08000000
0.012775893533
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
3.90724800
N
N
N
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
Ryder System Inc
78355HKW8
3438000.00000000
PA
USD
3348987.02000000
0.043787723344
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.25000000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
549300O1CSZVJJTIR319
Commonbond Student Loan Trust 2018-C-GS
20267XAB9
1034364.21000000
PA
USD
1015966.18000000
0.013283672271
Long
ABS-O
CORP
US
N
2
2046-02-25
Floating
6.23420000
N
N
N
N
N
N
CI FINANCIAL CORP
549300M9W7JJQSVCEM78
CI Financial Corp
125491AP5
1971000.00000000
PA
USD
1142594.59000000
0.014939328072
Long
DBT
CORP
CA
N
2
2051-06-15
Fixed
4.10000000
N
N
N
N
N
N
VIRGINIA ELEC 10/12/2023
N/A
VIRGINIA ELEC 10/12/2023
000000000
1690000.00000000
PA
USD
1686651.40000000
0.022052825060
Long
DBT
CORP
US
N
2
2023-10-12
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B4H32
5944204.97000000
PA
USD
4975839.23000000
0.065058679029
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36193BMR4
630923.57000000
PA
USD
578320.95000000
0.007561497733
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
SWOP IRS USD
000000000
-558708000.00000000
NC
USD
-1183333.60000000
-0.01547198719
N/A
DIR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
FR
US
2025-09-05
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
4.15000000
USD
2024-09-03
XXXX
-1183333.60000000
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587DJ3
4457000.00000000
PA
USD
3898525.42000000
0.050972891659
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGHU1
181597.07000000
PA
USD
159749.82000000
0.002088715447
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFLF7
2969494.86000000
PA
USD
2758093.55000000
0.036061840969
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
4.00000000
N
N
N
N
N
N
CMS ENERGY CORP
549300IA9XFBAGNIBW29
CMS Energy Corp
125896BV1
1593000.00000000
PA
USD
1200404.83000000
0.015695192093
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AS7J7
11217580.68000000
PA
USD
10334840.09000000
0.135127164113
Long
ABS-MBS
USGSE
US
N
2
2042-07-15
Fixed
4.00000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAP8
3374000.00000000
PA
USD
1955578.40000000
0.025569022944
Long
DBT
CORP
GB
N
2
2051-09-02
Fixed
3.35000000
N
N
N
N
N
N
EIDP CP 10/2/2023
N/A
EIDP CP 10/2/2023
000000000
6700000.00000000
PA
USD
6696938.10000000
0.087561901859
Long
DBT
CORP
US
N
2
2023-10-02
None
0.00000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBL3
3711000.00000000
PA
USD
3652305.27000000
0.047753583927
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.25500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEJ42
5212207.68000000
PA
USD
4417740.05000000
0.057761579235
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EMRX1
1012138.97000000
PA
USD
938572.69000000
0.012271758905
Long
ABS-MBS
USGSE
US
N
2
2043-11-01
Fixed
4.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
5017000.00000000
PA
USD
4401376.42000000
0.057547626151
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAA8
4752438.05000000
PA
USD
4716695.91000000
0.061670401936
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
6.52648000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BAM1
3800000.00000000
PA
USD
3637481.60000000
0.047559765689
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
7.44748000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AD4
4944000.00000000
PA
USD
5108987.86000000
0.066799586157
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
6.87500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
SWOP IRS USD
000000000
-462434000.00000000
NC
USD
2089151.45000000
0.027315479328
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
Call
Written
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2025-06-14
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.80000000
USD
2024-06-12
XXXX
2089151.45000000
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CW0
4774000.00000000
PA
USD
4648332.28000000
0.060776553230
Long
DBT
CORP
US
N
2
2030-08-10
Fixed
4.97700000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAQ9
6689324.00000000
PA
USD
5700104.09000000
0.074528381099
Long
ABS-MBS
CORP
US
N
2
2051-09-27
Variable
1.03000000
N
N
N
N
N
N
Santander Drive Auto Receivabl
N/A
Santander Drive Auto Receivables Trust 2020-2
80285RAG3
2555489.51000000
PA
USD
2518415.23000000
0.032928067113
Long
ABS-O
CORP
US
N
2
2026-09-15
Fixed
2.22000000
N
N
N
N
N
N
Nomura Home Equity Loan Inc
N/A
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2007-1
65537KAE0
470769.27000000
PA
USD
420341.83000000
0.005495934039
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.75420000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHT1
54168300.00000000
PA
USD
51189043.50000000
0.669292434290
Long
DBT
UST
US
N
2
2033-08-15
Fixed
3.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-6461.39000000
-0.00008448213
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-09-09
0.00000000
USD
0.00000000
USD
94981000.00000000
USD
-6461.39000000
N
N
N
Social Professional Loan Progr
N/A
SoFi Professional Loan Program 2020-C Trust
83390UAF4
7230252.82000000
PA
USD
6456210.87000000
0.084414413593
Long
ABS-O
CORP
US
N
2
2046-02-15
Fixed
1.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393CTE3
226006.15000000
PA
USD
230230.43000000
0.003010243489
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Floating
6.92617000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359WKH3
47341.57580000
PA
USD
46717.13000000
0.000610822541
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AMTT6
10144756.98000000
PA
USD
2061044.33000000
0.026947981100
Long
ABS-MBS
USGSE
US
N
2
2045-03-25
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381W2U1
299424.00000000
PA
USD
207492.45000000
0.002712946315
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2020-3
35563PSU4
90040.05000000
PA
USD
80507.42000000
0.001052627738
Long
ABS-MBS
USGSE
US
N
2
2060-05-25
Fixed
2.50000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
265000.00000000
PA
USD
242579.50000000
0.003171706540
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
ZAYO GROUP HOLDINGS INC
529900Z6OTS7RT0V0I47
Zayo Group Holdings Inc
98919VAA3
4860000.00000000
PA
USD
3612440.43000000
0.047232354500
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.00000000
N
N
N
N
N
TOTALENERGIES CAP INTL
549300U37G2I8G4RUG09
TotalEnergies Capital International SA
89153VAX7
2452000.00000000
PA
USD
1711624.93000000
0.022379351862
Long
DBT
CORP
FR
N
2
2041-06-29
Fixed
2.98600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BPFF1
58118619.16000000
PA
USD
3763994.25000000
0.049213907937
Long
ABS-MBS
USGSE
US
N
2
2046-05-15
Floating
0.67224000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-1
33850TBA5
2212798.13000000
PA
USD
1838636.32000000
0.024040015094
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
3.94091500
N
N
N
N
N
N
KENVUE INC
5493008HSF8L4M2LIJ82
Kenvue Inc
49177JAL6
1734000.00000000
PA
USD
1602308.54000000
0.020950049266
Long
DBT
CORP
US
N
2
2043-03-22
Fixed
5.10000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BA1
8700000.00000000
PA
USD
7482870.00000000
0.097837895286
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
000000000
3180000.00000000
PA
USD
3139296.00000000
0.041046030910
Long
DBT
CORP
CH
N
2
2024-05-15
Fixed
5.12500000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DT4
3434000.00000000
PA
USD
3216372.72000000
0.042053802535
Long
DBT
CORP
US
N
2
2053-03-02
Fixed
5.65000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAH6
5271000.00000000
PA
USD
4311857.69000000
0.056377176292
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.30000000
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBA0
9092000.00000000
PA
USD
8397848.08000000
0.109801156653
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B28 Mortgage Trust
08163GAZ3
4924586.41000000
PA
USD
322941.57000000
0.004222433840
Long
ABS-MBS
CORP
US
N
2
2054-08-15
Variable
1.38854000
N
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
Ovintiv Inc
69047QAC6
1566000.00000000
PA
USD
1515483.27000000
0.019814816170
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A0A72
4555478.96000000
PA
USD
4436611.94000000
0.058008327608
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Fixed
5.25000000
N
N
N
N
N
N
NATIONAL BANK FINANCIAL INC.
549300D83GR71RNG0O65
NATIONAL BANK FINANCIAL INC
000000000
6913998.00000000
PA
USD
6913998.00000000
0.090399941778
Long
RA
CORP
US
N
2
Repurchase
Y
5.34000000
2023-10-02
7658066.33209800
USD
7052277.86044991
USD
UST
N
N
Life Financial Services Trust
N/A
Life 2022-BMR Mortgage Trust
53218DAA6
5000000.00000000
PA
USD
4916887.50000000
0.064287890122
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Floating
6.62744000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAY4
2829000.00000000
PA
USD
2345882.50000000
0.030672216193
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
5.87500000
N
N
N
N
N
N
AMER AIRLINE 16-1 AA PTT
N/A
American Airlines 2016-1 Class AA Pass Through Trust
02376UAA3
2056027.46000000
PA
USD
1889240.87000000
0.024701665325
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.57500000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-19CB
02147QBD3
695237.43000000
PA
USD
344981.47000000
0.004510603677
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B6D49
10602654.68000000
PA
USD
8875393.28000000
0.116045019939
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae REMICS
B1V7KEBTPIMZEU4LTD58
FNR 2020-74 GI 10/50
3136BB6T4
26290454.73000000
PA
USD
5185595.02000000
0.067801218324
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
5.00000000
N
N
N
N
N
N
Arroyo Mortgage Trust
N/A
Arroyo Mortgage Trust 2019-3
04285AAC9
666411.88000000
PA
USD
606165.18000000
0.007925558697
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.41600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375KWV0
5971132.89000000
PA
USD
441443.47000000
0.005771836206
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
1.26068000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
-262182000.00000000
NC
USD
-2772022.44000000
-0.03624396003
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2025-02-21
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
4.17000000
USD
2024-02-16
XXXX
-1538456.13000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F7XG5
100450846.46000000
PA
USD
16561953.85000000
0.216546152281
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Fixed
3.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-2
89171YBD2
2640000.00000000
PA
USD
2491313.88000000
0.032573719243
Long
ABS-MBS
CORP
US
N
2
2057-11-25
Variable
4.52744300
N
N
N
N
N
N
Sunnova Sol III Issuer LLC
N/A
Sunnova Sol III Issuer LLC
86745QAA9
8868040.25000000
PA
USD
6970995.29000000
0.091145176546
Long
ABS-O
CORP
US
N
2
2056-04-28
Fixed
2.58000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A2B58
14367.88000000
PA
USD
11510.02000000
0.000150492542
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
2.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACX1
3697000.00000000
PA
USD
3376627.56000000
0.044149121077
Long
DBT
CORP
US
N
2
2062-09-15
Fixed
5.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FDNH1
3396006.34000000
PA
USD
2768922.56000000
0.036203429363
Long
ABS-MBS
USGSE
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
Sonic Capital LLC
N/A
Sonic Capital LLC
83546DAQ1
3920000.08000000
PA
USD
2907303.73000000
0.038012751511
Long
ABS-O
CORP
US
N
2
2051-08-20
Fixed
2.63600000
N
N
N
N
N
N
J.P. Morgan Alternative Loan T
N/A
JP Morgan Alternative Loan Trust
46627MAA5
305691.50000000
PA
USD
104524.54000000
0.001366649560
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PMT3
682259.84000000
PA
USD
631353.77000000
0.008254897390
Long
ABS-MBS
USGSE
US
N
2
2059-02-25
Fixed
4.00000000
N
N
N
N
N
N
QUALCOMM INC
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525BT9
5883000.00000000
PA
USD
5973024.20000000
0.078096788561
Long
DBT
CORP
US
N
2
2053-05-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJC35
1331900.13000000
PA
USD
1304176.72000000
0.017052000818
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F57L7
403933.12000000
PA
USD
363541.14000000
0.004753269799
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F6RU3
23676533.24000000
PA
USD
2629297.96000000
0.034377849473
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Floating
0.88505000
N
N
N
N
N
N
LOUISVILLE GAS & ELEC
KO3GRIB3RPH1XDX50U72
Louisville Gas and Electric Co
546676AZ0
1461000.00000000
PA
USD
1432717.80000000
0.018732664618
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
5.45000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
86788LAA8
2281000.00000000
PA
USD
2078196.27000000
0.027172241272
Long
DBT
CORP
US
N
2
2028-03-15
Floating
6.32104000
N
N
N
N
N
N
Citicorp Mortgage Securities,
N/A
Citicorp Mortgage Securities Trust Series 2006-3
17310BAD6
699347.22000000
PA
USD
593001.61000000
0.007753446127
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.00000000
N
N
N
N
N
N
AMER AIRLN 15-2 AA PTT
N/A
American Airlines 2015-2 Class AA Pass Through Trust
02377BAB2
399073.18000000
PA
USD
368291.59000000
0.004815381533
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C28
46644FAF8
1085429.80000000
PA
USD
11740.66000000
0.000153508141
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Variable
1.05818000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AP5G3
3253812.81000000
PA
USD
3121338.38000000
0.040811236541
Long
ABS-MBS
USGSE
US
N
2
2040-12-25
Fixed
3.00000000
N
N
N
N
N
N
ALLEGHANY CORP
549300DCJE6AYX159479
Alleghany Corp
017175AF7
7674000.00000000
PA
USD
4987214.65000000
0.065207411688
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ADVU0
946282.35000000
PA
USD
31345.60000000
0.000409841081
Long
ABS-MBS
USGSE
US
N
2
2032-10-25
Floating
0.77057000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
-279355000.00000000
NC
USD
-588349.03000000
-0.00769261403
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2025-09-05
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
4.15000000
USD
2024-09-03
XXXX
-588349.03000000
N
N
N
BELLEMEADE RE LT
254900K56RF3Z7VQ3U81
Bellemeade Re 2019-1 Ltd
07876RAC0
1470876.43000000
PA
USD
1481681.64000000
0.019372862704
Long
ABS-MBS
CORP
BM
N
2
2029-03-25
Floating
8.13420000
N
N
N
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
2600000.00000000
PA
USD
1404000.00000000
0.018357181800
Long
DBT
NUSS
RU
N
2
2027-06-23
Fixed
4.25000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAJ2
2055000.00000000
PA
USD
1754510.19000000
0.022940073026
Long
DBT
CORP
GB
N
2
2027-09-02
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A9D52
361085.27000000
PA
USD
352371.70000000
0.004607230312
Long
ABS-MBS
USGSE
US
N
2
2041-04-15
Fixed
5.00000000
N
N
N
N
N
N
Bayview Opportunity Master Fun
N/A
Bayview MSR Opportunity Master Fund Trust 2021-INV2
07336NAU3
2631658.74000000
PA
USD
2401653.87000000
0.031401422161
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Floating
5.00000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAP5
11534500.00000000
PA
USD
9321278.60000000
0.121874932960
Long
ABS-O
CORP
US
N
2
2051-04-25
Fixed
3.15100000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAU6
3121000.00000000
PA
USD
2429800.21000000
0.031769433187
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BR7J8
4203783.32000000
PA
USD
3103677.19000000
0.040580317968
Long
ABS-MBS
USGSE
US
N
2
2055-01-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQB84
887786.38000000
PA
USD
828242.79000000
0.010829204751
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YEVE4
1057097.27000000
PA
USD
963881.38000000
0.012602667896
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDP26
2111028.80000000
PA
USD
1620198.48000000
0.021183958725
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2LR1
5779427.92000000
PA
USD
4419555.35000000
0.057785314130
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QBQ8
321000.00000000
PA
USD
238445.23000000
0.003117651308
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DNG3
22927.88000000
PA
USD
18362.28000000
0.000240085265
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
2.50000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2015-2
81733YEG0
936882.92000000
PA
USD
770256.61000000
0.010071040329
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Variable
3.76421400
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-IRON
05608JAJ2
4000000.00000000
PA
USD
3724373.20000000
0.048695866044
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
7.79648000
N
N
N
N
N
N
PETROLEOS DEL PERU SA
549300ZMGDLC9JT2OR80
Petroleos del Peru SA
000000000
2280000.00000000
PA
USD
1613852.40000000
0.021100984263
Long
DBT
CORP
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBZ7
2948000.00000000
PA
USD
2105201.35000000
0.027525330419
Long
DBT
CORP
US
N
2
2041-03-25
Fixed
3.65000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WG30
4874880.08000000
PA
USD
895424.80000000
0.011707603876
Long
ABS-MBS
USGSE
US
N
2
2044-02-15
Fixed
4.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2023-VLT2
123918AA2
5270000.00000000
PA
USD
5275667.36000000
0.068978906587
Long
ABS-MBS
CORP
US
N
2
2040-06-15
Floating
7.61320000
N
N
N
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742AS4
729000.00000000
PA
USD
653245.27000000
0.008541126910
Long
DBT
CORP
CA
N
2
2040-08-15
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)
000000000
-173.00000000
NC
USD
51542.58000000
0.000673914894
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-12-19
-18746355.08000000
USD
51542.58000000
N
N
N
Homebanc Mortgage Trust
N/A
HomeBanc Mortgage Trust 2004-1
43739EAB3
48486.04800000
PA
USD
46211.55000000
0.000604212125
Long
ABS-MBS
CORP
US
N
2
2029-08-25
Floating
6.29420000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-INV1
46591DAZ2
1682685.01000000
PA
USD
1474016.92000000
0.019272647135
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Variable
4.93155400
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
850000.00000000
PA
USD
244800.00000000
0.003200739390
Long
DBT
NUSS
UA
N
2
2029-09-01
Variable
7.75000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AJ3
9065000.00000000
PA
USD
7086674.34000000
0.092657670386
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.30000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TBY1
11599000.00000000
PA
USD
8451145.07000000
0.110498010310
Long
ABS-MBS
CORP
US
N
2
2051-09-27
Variable
2.42000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36197FNS8
451993.55000000
PA
USD
402201.22000000
0.005258747091
Long
ABS-MBS
USGA
US
N
2
2047-02-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378PZB7
173223.91000000
PA
USD
3262.81000000
0.000042660966
Long
ABS-MBS
USGA
US
N
2
2029-01-16
Fixed
4.50000000
N
N
N
N
N
N
KNDR Trust 2021-KIND
N/A
KIND Trust 2021-KIND
482606AA8
4964122.59000000
PA
USD
4796378.43000000
0.062712244177
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
6.39648000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359XHF9
18.90000000
PA
USD
0.34000000
0.000000004445
Long
ABS-MBS
USGSE
US
N
2
2029-11-17
Floating
4.32224000
N
N
N
N
N
N
ONE GAS INC
549300HXDWI0LATTX840
ONE Gas Inc
68235PAL2
2827000.00000000
PA
USD
2768378.79000000
0.036196319616
Long
DBT
CORP
US
N
2
2024-03-11
Fixed
1.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396PND9
9993.19000000
PA
USD
9929.69000000
0.000129829860
Long
ABS-MBS
USGSE
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
GREENSAIF PIPELINES BIDC
549300YWDGUXPB8GRP47
Greensaif Pipelines Bidco Sarl
39541EAC7
2875000.00000000
PA
USD
2838142.50000000
0.037108474251
Long
DBT
CORP
LU
N
2
2042-02-23
Fixed
6.51000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HMU5
2207.04940000
PA
USD
2235.91000000
0.000029234335
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
6.50000000
N
N
N
N
N
N
BLP Commercial Mortgage Trust
N/A
BLP Commercial Mortgage Trust 2023-IND
055531AG2
1000000.00000000
PA
USD
982537.40000000
0.012846593787
Long
ABS-MBS
CORP
US
N
2
2040-03-15
Floating
8.57220000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432NY7
3798000.00000000
PA
USD
3025448.21000000
0.039557480641
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
2.75000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837BH5
5220000.00000000
PA
USD
5074043.27000000
0.066342688584
Long
DBT
CORP
NL
N
2
2034-09-11
Fixed
6.11400000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-872284.23000000
-0.01140504287
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-08-09
0.00000000
MXN
0.00000000
MXN
493596000.00000000
MXN
-872284.23000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFD2
4138000.00000000
PA
USD
3982709.63000000
0.052073593118
Long
DBT
CORP
US
N
2
2029-04-20
Fixed
5.16400000
N
N
N
N
N
N
MIZUHO BANK LTD (NEW YORK BRANCH)
N/A
MIZUHO BANK LTD (NEW YORK BRANCH)
000000000
2450000.00000000
PA
USD
2450000.00000000
0.032033543740
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.32000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAE59
3635409.86000000
PA
USD
3235343.37000000
0.042301842187
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QLMX1
4986959.12000000
PA
USD
3817657.79000000
0.049915554205
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
PARKER HANNIFI 10/02/2023
N/A
PARKER HANNIFI 10/02/2023
000000000
10000000.00000000
PA
USD
9995480.00000000
0.130690059506
Long
DBT
CORP
US
N
2
2023-10-02
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFGS5
248925.61000000
PA
USD
5102.93000000
0.000066720380
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Floating
0.62224000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A6TH7
8254372.07000000
PA
USD
7780822.87000000
0.101733603978
Long
ABS-MBS
USGSE
US
N
2
2034-05-25
Fixed
4.00000000
N
N
N
N
N
N
SONIC AUTOMOTIVE INC
549300NTLRGJ2JCBZU03
Sonic Automotive Inc
83545GBE1
4690000.00000000
PA
USD
3738890.98000000
0.048885684796
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
4.87500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WDZP9
8493655.48000000
PA
USD
7797432.07000000
0.101950767869
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BKEC2
17305286.62000000
PA
USD
2434133.93000000
0.031826096211
Long
ABS-MBS
USGSE
US
N
2
2051-11-25
Fixed
2.50000000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2007-2 Trust
05951GBE1
528275.05000000
PA
USD
393823.71000000
0.005149211853
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
6.00000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAD2
700722.00000000
PA
USD
585568.85000000
0.007656263416
Long
DBT
CORP
JE
N
2
2034-03-31
Fixed
2.16000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VU85
4023031.95000000
PA
USD
750059.31000000
0.009806962332
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D2L5
965067.60000000
PA
USD
738155.17000000
0.009651316704
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAV1
7016000.00000000
PA
USD
6160381.26000000
0.080546466348
Long
DBT
CORP
US
N
2
2036-05-14
Fixed
4.30000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
39935000.00000000
NC
USD
-306844.78000000
-0.00401196966
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2057-06-16
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
0.00000000
USD
2027-06-14
XXXX
-306844.78000000
N
N
N
TARGET CORP
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612EBR6
2152000.00000000
PA
USD
1842736.83000000
0.024093628917
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
4.80000000
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM XXIV Ltd
50188YAJ3
11900000.00000000
PA
USD
11789984.50000000
0.154153054769
Long
ABS-CBDO
CORP
KY
N
2
2030-03-20
Floating
7.48775000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FV6A5
54520466.62000000
PA
USD
11121553.66000000
0.145413377809
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
3.50000000
N
N
N
N
N
N
ADVANCED MICRO DEVICES
R2I72C950HOYXII45366
Advanced Micro Devices Inc
007903BG1
7089000.00000000
PA
USD
5783271.28000000
0.075615785107
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
4.39300000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XCC2
1787000.00000000
PA
USD
1727377.26000000
0.022585312251
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.25000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CA2
3040000.00000000
PA
USD
2149850.58000000
0.028109115343
Long
DBT
CORP
US
N
2
2041-05-12
Fixed
2.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377WGA6
1631239.65000000
PA
USD
83155.38000000
0.001087249592
Long
ABS-MBS
USGA
US
N
2
2041-05-16
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9HT8
367080.73000000
PA
USD
317638.15000000
0.004153092070
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DQ88
26729447.44000000
PA
USD
21431540.52000000
0.280215588033
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Bojangles Issuer, LLC
N/A
Bojangles Issuer LLC
09748RAA6
6402500.00000000
PA
USD
5872005.50000000
0.076775977563
Long
ABS-O
CORP
US
N
2
2050-10-20
Fixed
3.83200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B8CC9
21577093.99000000
PA
USD
1167102.86000000
0.015259771639
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Floating
0.67224000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAJ5
1297000.00000000
PA
USD
1276146.59000000
0.016685509228
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
5.15000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLJ9
481000.00000000
PA
USD
294750.30000000
0.003853835358
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AGF7
202987.71000000
PA
USD
152898.20000000
0.001999131092
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A2VA8
60370.53000000
PA
USD
54420.93000000
0.000711549078
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9PN2
1282005.92000000
PA
USD
75045.17000000
0.000981209279
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Fixed
3.50000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBZ2
1938000.00000000
PA
USD
1865097.30000000
0.024385990179
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
5.65000000
N
N
N
N
N
N
DEPOSITORY TRUST & CLEAR
MLDY5N6PZ58ZE60QU102
Depository Trust & Clearing Corp/The
249670AB6
2407000.00000000
PA
USD
1788250.56000000
0.023381225523
Long
DBT
CORP
US
N
2
N/A
Fixed
3.37500000
N
N
N
N
N
N
ENTERGY CORP D 11/28/2023
N/A
ENTERGY CORP D 11/28/2023
000000000
14000000.00000000
PA
USD
13872133.38000000
0.181376976084
Long
DBT
CORP
US
N
2
2023-11-28
None
0.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH
46654EAJ0
650000.00000000
PA
USD
562954.21000000
0.007360578902
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
7.28748000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGK29
269863.50000000
PA
USD
237397.19000000
0.003103948273
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
3.50000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558CA9
2374000.00000000
PA
USD
2284215.96000000
0.029865931374
Long
DBT
CORP
US
N
2
2053-10-15
Fixed
5.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNE4
8304358.52000000
PA
USD
6798399.23000000
0.088888497592
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
2.50000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAP6
2845000.00000000
PA
USD
2747473.40000000
0.035922983402
Long
DBT
CORP
US
N
2
2033-06-30
Fixed
5.95000000
N
N
N
N
N
N
CLI Funding LLC
549300NQLBWJD5AREU05
CLI Funding VI LLC
12563LAN7
2318200.05000000
PA
USD
2005764.64000000
0.026225203807
Long
ABS-O
CORP
US
N
2
2045-09-18
Fixed
2.08000000
N
N
N
N
N
N
ELEVANCE HEALTH INC
8MYN82XMYQH89CTMTH67
Elevance Health Inc
28622HAA9
1778000.00000000
PA
USD
1744588.70000000
0.022810350380
Long
DBT
CORP
US
N
2
2026-02-08
Fixed
4.90000000
N
N
N
N
N
N
ENTERGY ARKANSAS LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAD0
1432000.00000000
PA
USD
1376310.84000000
0.017995148364
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
5.15000000
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2008-2R
225492AA5
650189.29000000
PA
USD
534766.39000000
0.006992025528
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
N/A
Benefit Street Partners CLO XXIII Ltd
08186VAJ9
4600000.00000000
PA
USD
4555559.40000000
0.059563555634
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Floating
7.81282000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A53L8
1727663.26000000
PA
USD
1548020.14000000
0.020240233006
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Fixed
3.50000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAR5
1542000.00000000
PA
USD
1125301.92000000
0.014713227867
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
3.87500000
N
N
N
N
N
N
TCW CLO 2017-1, Ltd
N/A
TCW CLO 2017-1A Ltd
87240NAW6
5000000.00000000
PA
USD
4801280.00000000
0.062776331792
Long
ABS-CBDO
CORP
KY
N
2
2034-10-29
Floating
7.08073000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAB0
2505000.00000000
PA
USD
1919673.91000000
0.025099574760
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
4.20000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK4
06541FBB4
28956185.50980000
PA
USD
1033045.22000000
0.013506979282
Long
ABS-MBS
CORP
US
N
2
2050-05-15
Variable
1.49895600
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L8QW0
638535.38000000
PA
USD
583399.28000000
0.007627896471
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L75E5
8809311.66000000
PA
USD
7461360.74000000
0.097556663523
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDR2
6432000.00000000
PA
USD
5547936.26000000
0.072538799533
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
4.81200000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAA3
1898475.00000000
PA
USD
1849480.30000000
0.024181799219
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
6.14668000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325URK4
25876164.66000000
PA
USD
2185705.29000000
0.028577912657
Long
ABS-MBS
USGSE
US
N
2
2043-08-15
Floating
0.52224000
N
N
N
N
N
N
American Money Management Corp
549300I1YCI83LUUYL82
AMMC CLO 16 Ltd
00176JAX4
1850000.00000000
PA
USD
1852588.15000000
0.024222434096
Long
ABS-CBDO
CORP
KY
N
2
2029-04-14
Floating
7.52266000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BG7
274000.00000000
PA
USD
270734.88000000
0.003539835763
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
6.10000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3132HT3C8
9652582.19000000
PA
USD
8577864.17000000
0.112154851874
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396XYS7
1935376.32000000
PA
USD
142701.30000000
0.001865807483
Long
ABS-MBS
USGSE
US
N
2
2037-10-25
Floating
0.97057000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKA6
1181000.00000000
PA
USD
895453.01000000
0.011707972719
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.29900000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
506552.80000000
0.006623135214
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
136335000.00000000
USD
506552.80000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W75S9
1688193.35000000
PA
USD
1444330.80000000
0.018884503615
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A94S4
2882046.35000000
PA
USD
247623.98000000
0.003237662691
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Floating
0.72057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QN96
4238230.50000000
PA
USD
182956.78000000
0.002392144495
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
0.67057000
N
N
N
N
N
N
PACIFICORP
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114DA3
3209000.00000000
PA
USD
2729136.57000000
0.035683230893
Long
DBT
CORP
US
N
2
2054-05-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AGN40
2247777.30000000
PA
USD
2069126.88000000
0.027053659761
Long
ABS-MBS
USGSE
US
N
2
2033-11-25
Fixed
3.00000000
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAF9
431000.00000000
PA
USD
426886.42000000
0.005581504003
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.50000000
N
N
N
N
N
N
Textainer Marine Containers Li
549300Q7RHLEMSLA9Y26
Textainer Marine Containers Ltd
88315LAS7
5750000.00000000
PA
USD
4720722.40000000
0.061723047954
Long
ABS-O
CORP
US
N
2
2046-08-20
Fixed
1.94000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H6FQ3
72031206.11000000
PA
USD
14419696.65000000
0.188536319742
Long
ABS-MBS
USGSE
US
N
2
2051-03-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XF2C4
11997484.12000000
PA
USD
9247948.94000000
0.120916153829
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
SOUTHWESTERN ELEC POWER
R64UBJHEC74EB3HGQ410
Southwestern Electric Power Co
845437BS0
4444000.00000000
PA
USD
4029001.99000000
0.052678861828
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.65000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAR9
2439000.00000000
PA
USD
2038898.22000000
0.026658422576
Long
DBT
CORP
US
N
2
2039-04-22
Fixed
4.45700000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804GL2
2672000.00000000
PA
USD
2435879.88000000
0.031848924360
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.45000000
N
N
N
N
N
N
HEICO CORP
529900O1DTDLCJ7L0I14
HEICO Corp
422806AA7
4825000.00000000
PA
USD
4710492.14000000
0.061589288166
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
5.25000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513CH6
13103000.00000000
PA
USD
12753229.70000000
0.166747404666
Long
DBT
CORP
US
N
2
2034-08-24
Fixed
6.13600000
N
N
N
N
N
N
MOHAWK INDUSTRIES INC
549300JI1115MG3Q6322
Mohawk Industries Inc
608190AM6
1888000.00000000
PA
USD
1874993.61000000
0.024515383599
Long
DBT
CORP
US
N
2
2028-09-18
Fixed
5.85000000
N
N
N
N
N
CITADEL SECURITIES LLC
12UUJYTN7D3SW8KCSG25
CITADEL SECURITIES LLC
000000000
3858560.00000000
PA
USD
3858560.00000000
0.050450347157
Long
RA
CORP
US
N
2
Repurchase
Y
5.35000000
2023-10-02
5521171.17416362
USD
3937485.96784853
USD
UST
N
N
MIDAMERICAN ENERGY CO
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co
595620AY1
2942000.00000000
PA
USD
2903756.18000000
0.037966367593
Long
DBT
CORP
US
N
2
2054-09-15
Fixed
5.85000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT
000000000
2054.00000000
NC
USD
-17859084.75000000
-0.23350602959
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-12-19
261643209.75000000
USD
-17859084.75000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CWS9
810841.83000000
PA
USD
710378.38000000
0.009288137513
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAD8
1117000.00000000
PA
USD
1121545.58000000
0.014664114038
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398NKQ6
8220374.48000000
PA
USD
711145.42000000
0.009298166497
Long
ABS-MBS
USGSE
US
N
2
2040-09-25
Floating
1.16057000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2019-2
61945LAA1
2862721.79000000
PA
USD
2445543.93000000
0.031975281000
Long
ABS-O
CORP
US
N
2
2040-09-20
Fixed
2.88000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJP5
2980000.00000000
PA
USD
2346796.76000000
0.030684170066
Long
DBT
CORP
US
N
2
2032-03-11
Fixed
2.65100000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2015-3
81746LCD2
982624.98000000
PA
USD
662597.68000000
0.008663408883
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Variable
3.72594600
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENY86
313363.49000000
PA
USD
268133.91000000
0.003505828299
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
2299000.00000000
PA
USD
2050959.05000000
0.026816116913
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WQA9
32495371.42000000
PA
USD
26601741.15000000
0.347815526005
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCA5
2351000.00000000
PA
USD
1924565.04000000
0.025163525873
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
Clover CLO
N/A
Clover CLO 2021-1 LLC
00141YAE5
6750000.00000000
PA
USD
6642904.50000000
0.086855417088
Long
ABS-CBDO
CORP
KY
N
2
2034-04-22
Floating
7.35718000
N
N
N
N
N
N
EMERALD DEBT MERGER
98450099EE3A0ZD5F786
Emerald Debt Merger Sub LLC
29103CAA6
2580000.00000000
PA
USD
2486925.65000000
0.032516343505
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
6.62500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
3937000.00000000
PA
USD
3568379.36000000
0.046656259719
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
2404000.00000000
PA
USD
1486628.46000000
0.019437541959
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
SEAGATE HDD CAYMAN
529900BD50TRWEG1SF63
Seagate HDD Cayman
81180WBG5
2799900.00000000
PA
USD
3019683.75000000
0.039482110811
Long
DBT
CORP
KY
N
2
2032-12-01
Fixed
9.62500000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLH0
1975775.71000000
PA
USD
1812016.11000000
0.023691958089
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SN9
58000.00000000
PA
USD
27378.95000000
0.000357977466
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2017-5
81746DCD0
660918.24000000
PA
USD
555378.19000000
0.007261523078
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Variable
3.77891800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXEH1
8114826.93000000
PA
USD
7749556.01000000
0.101324792415
Long
ABS-MBS
USGSE
US
N
2
2056-08-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377JTZ6
2149660.65000000
PA
USD
2034436.26000000
0.026600082825
Long
ABS-MBS
USGA
US
N
2
2040-04-16
Fixed
4.00000000
N
N
N
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55616XAM9
5000000.00000000
PA
USD
3388283.30000000
0.044301518896
Long
DBT
CORP
US
N
2
2034-12-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376TZD7
2674120.85000000
PA
USD
192221.69000000
0.002513282414
Long
ABS-MBS
USGA
US
N
2
2040-01-16
Floating
0.97495000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VFU5
960139.71000000
PA
USD
926075.01000000
0.012108352791
Long
ABS-MBS
USGA
US
N
2
2041-02-16
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DV6U4
2164141.48000000
PA
USD
1732659.28000000
0.022654374217
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNEN8
26812884.54000000
PA
USD
20638314.01000000
0.269844218195
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MGLH2
8515362.12000000
PA
USD
6572902.77000000
0.085940150362
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FQRX3
2237830.32000000
PA
USD
1784014.00000000
0.023325832858
Long
ABS-MBS
USGSE
US
N
2
2049-11-25
Fixed
3.00000000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBK9
3423000.00000000
PA
USD
2819434.15000000
0.036863864150
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
2.90000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CC1
1282000.00000000
PA
USD
982123.51000000
0.012841182210
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.37500000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
-84835300.00000000
NC
USD
-3006399.40000000
-0.03930841905
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2034-05-20
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
4.05000000
USD
2024-05-16
XXXX
-2081694.63000000
N
N
N
UBS Commercial Mortgage Trust
N/A
CCUBS Commercial Mortgage Trust 2017-C1
12508GAV8
71797619.63620000
PA
USD
2276199.94000000
0.029761122588
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
1.16058500
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCQ5
1361000.00000000
PA
USD
1181072.47000000
0.015442423113
Long
DBT
CORP
US
N
2
2034-11-01
Fixed
4.40000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDM0
4012000.00000000
PA
USD
3138363.65000000
0.041033840513
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AG3F7
1198582.17000000
PA
USD
1064887.28000000
0.013923311535
Long
ABS-MBS
USGSE
US
N
2
2043-11-25
Fixed
4.00000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAK0
5108000.00000000
PA
USD
4095501.69000000
0.053548339807
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAE0
2693000.00000000
PA
USD
1876151.92000000
0.024530528405
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
3.70000000
N
N
N
N
N
N
FRR Re-Remic Trust
N/A
FRR Re-REMIC Trust 2018-C1
30307WAN6
8971340.00000000
PA
USD
7832912.84000000
0.102414675950
Long
ABS-MBS
CORP
US
N
2
2048-02-27
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHDC3
154434.59000000
PA
USD
145978.25000000
0.001908653329
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAE9
2284000.00000000
PA
USD
1935162.49000000
0.025302086640
Long
DBT
CORP
GB
N
2
2052-04-27
Fixed
4.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFR0
311000.00000000
PA
USD
234485.06000000
0.003065872418
Long
DBT
CORP
US
N
2
2031-01-20
Fixed
1.75000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAR7
3255000.00000000
PA
USD
3416987.78000000
0.044676827556
Long
DBT
CORP
US
N
2
2039-01-26
Fixed
6.87500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650EA4
2253000.00000000
PA
USD
2071198.85000000
0.027080750594
Long
DBT
CORP
US
N
2
2063-06-01
Fixed
6.00000000
N
N
N
N
N
N
AMERICAN HONDA
N/A
AMERICAN HONDA 10/04/2023
000000000
22510000.00000000
PA
USD
22493095.67000000
0.294095332250
Long
DBT
CORP
US
N
2
2023-10-04
None
0.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DZ5
946000.00000000
PA
USD
1013832.93000000
0.013255780207
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
8.50000000
N
N
N
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081GP6
1961000.00000000
PA
USD
1872432.91000000
0.024481902663
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EC56
215952.06600000
PA
USD
204135.46000000
0.002669053953
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - SLST
N/A
Seasoned Loans Structured Transaction Trust Series 2019-3
35564CEJ2
32340000.00000000
PA
USD
27090703.79000000
0.354208671358
Long
ABS-MBS
USGSE
US
N
2
2029-11-25
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHHS9
24550207.33000000
PA
USD
18702834.77000000
0.244537990075
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
614806.43000000
0.008038542313
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
110118000.00000000
USD
614806.43000000
N
N
N
KENVUE INC
5493008HSF8L4M2LIJ82
Kenvue Inc
49177JAE2
2085000.00000000
PA
USD
2058691.12000000
0.026917213078
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
5.05000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2007-7
12544TAG9
455977.75000000
PA
USD
227174.54000000
0.002970287985
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHSS2
2182692.67000000
PA
USD
1847062.31000000
0.024150184203
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GPYP7
1642315.11000000
PA
USD
1541812.93000000
0.020159074258
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
1500000.00000000
PA
USD
498750.00000000
0.006521114261
Long
DBT
NUSS
UA
N
2
2025-09-01
Variable
7.75000000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
58507LBC2
4301000.00000000
PA
USD
4009194.74000000
0.052419883701
Long
DBT
CORP
LU
N
2
2033-03-30
Fixed
4.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJZ6
1750000.00000000
PA
USD
1216668.20000000
0.015907834286
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
AEP TEXAS INC
5493001L78U618KXNZ75
AEP Texas Inc
0010EPAN8
3671000.00000000
PA
USD
3513062.05000000
0.045932990548
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
3.85000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAV3
1871000.00000000
PA
USD
1687983.53000000
0.022070242547
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
4.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395GJR4
63127.13070000
PA
USD
61889.10000000
0.000809194772
Long
ABS-MBS
USGSE
US
N
2
2034-09-15
Fixed
5.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-C4
17326FAF4
69124745.05000000
PA
USD
2129688.46000000
0.027845497321
Long
ABS-MBS
CORP
US
N
2
2050-10-12
Variable
1.17207000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
9069000.00000000
PA
USD
8455590.52000000
0.110556134194
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
2.09900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BWQR8
10505599.72000000
PA
USD
9190122.14000000
0.120160073288
Long
ABS-MBS
USGSE
US
N
2
2047-02-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B6DP2
6620720.27000000
PA
USD
5317617.20000000
0.069527397213
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
BANCO NACIONAL DE PANAMA
529900H2Q7WMDKKIW109
Banco Nacional de Panama
000000000
2000000.00000000
PA
USD
1557120.00000000
0.020359212910
Long
DBT
CORP
PA
N
2
2030-08-11
Fixed
2.50000000
N
N
N
N
N
Broad River BSL Funding CLO Lt
5493000KEEYM16WOW109
Broad River Bsl Funding Clo Ltd 2020-1
11124TAJ3
7570000.00000000
PA
USD
7492869.27000000
0.097968634900
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.75775000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WLCE1
4345878.21000000
PA
USD
3946741.11000000
0.051603307747
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BBP9
14290000.00000000
PA
USD
11691712.89000000
0.152868161742
Long
ABS-MBS
CORP
US
N
2
2049-11-08
Variable
0.01000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AU0
1971000.00000000
PA
USD
1837437.94000000
0.024024346376
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.20000000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN Co Ltd
62878U2A9
2160000.00000000
PA
USD
1941550.54000000
0.025385609856
Long
DBT
CORP
AU
N
2
2026-05-05
Fixed
1.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393GYQ1
136410.92000000
PA
USD
135214.36000000
0.001767916373
Long
ABS-MBS
USGSE
US
N
2
2032-12-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGLD4
2549408.05000000
PA
USD
2323797.60000000
0.030383457985
Long
ABS-MBS
USGSE
US
N
2
2046-02-01
Fixed
4.00000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2017-CD4 Mortgage Trust
12515DAS3
26709646.11000000
PA
USD
875292.46000000
0.011444375225
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
1.37876500
N
N
N
N
N
N
BLUE OWL CREDIT INCOME
5493003I42XBWPE05N35
Blue Owl Credit Income Corp
69120VAP6
3592000.00000000
PA
USD
3565882.32000000
0.046623611131
Long
DBT
CORP
US
N
2
2027-09-16
Fixed
7.75000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EM6
1757000.00000000
PA
USD
1297408.98000000
0.016963513188
Long
DBT
CORP
US
N
2
2051-10-01
Fixed
3.79900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AQF39
4938190.44000000
PA
USD
866149.71000000
0.011324834539
Long
ABS-MBS
USGSE
US
N
2
2046-01-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5RS6
4926782.29000000
PA
USD
302083.19000000
0.003949712277
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Floating
0.67057000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
8542000.00000000
PA
USD
7736896.00000000
0.101159263850
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBN4
3241000.00000000
PA
USD
3090191.08000000
0.040403988215
Long
DBT
CORP
CA
N
2
2083-01-15
Fixed
7.37500000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DS6
8933000.00000000
PA
USD
8310410.37000000
0.108657915956
Long
DBT
CORP
US
N
2
2043-03-02
Fixed
5.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FLUN2
32223021.97000000
PA
USD
1463559.99000000
0.019135923655
Long
ABS-MBS
USGSE
US
N
2
2034-08-15
Floating
0.67224000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BC6X1
411037.45000000
PA
USD
403251.04000000
0.005272473399
Long
ABS-MBS
USGSE
US
N
2
2040-08-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XD6N1
16962759.89000000
PA
USD
13646092.18000000
0.178421506424
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B4CU7
4998424.79000000
PA
USD
3844635.55000000
0.050268286146
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394VS50
1066796.96000000
PA
USD
53668.74000000
0.000701714257
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Floating
1.32057000
N
N
N
N
N
N
CLI Funding LLC
254900Z4P82YK31RVL27
CLI Funding VIII LLC
12565KAE7
9096213.45000000
PA
USD
7720292.91000000
0.100942179846
Long
ABS-O
CORP
US
N
2
2047-01-18
Fixed
2.72000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300RES143ZXEZ6T39
Sequoia Mortgage Trust 2019-CH2
81747CAA9
94900.39000000
PA
USD
93028.44000000
0.001216339021
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
4.50000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2020-1
61946NAB4
3654983.47000000
PA
USD
3124034.26000000
0.040846484945
Long
ABS-O
CORP
US
N
2
2046-04-20
Fixed
3.10000000
N
N
N
N
N
N
SEMPRA
PBBKGKLRK5S5C0Y4T545
Sempra
816851BR9
2518000.00000000
PA
USD
2411609.84000000
0.031531595630
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10yr Ultra
000000000
-2263.00000000
NC
USD
5322510.97000000
0.069591382844
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-12-19
-257788448.47000000
USD
5322510.97000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396P2Z3
371451.60000000
PA
USD
10408.26000000
0.000136087123
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
0.97057000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16
46641BAR4
7345454.00000000
PA
USD
5982774.59000000
0.078224274090
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Variable
3.74400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FFX44
44807590.96000000
PA
USD
7355183.98000000
0.096168411324
Long
ABS-MBS
USGSE
US
N
2
2051-03-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M5QV7
1027243.19000000
PA
USD
965947.78000000
0.012629685902
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HGR74
97642.13000000
PA
USD
88431.58000000
0.001156235463
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D3G5
10456301.74000000
PA
USD
7997181.90000000
0.104562480080
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378YA25
4051482.18000000
PA
USD
270886.96000000
0.003541824196
Long
ABS-MBS
USGA
US
N
2
2039-07-20
Floating
0.61068000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGK4
1312000.00000000
PA
USD
930767.70000000
0.012169709318
Long
DBT
CORP
US
N
2
2041-03-22
Fixed
3.40000000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
2742000.00000000
PA
USD
2719506.00000000
0.035557312001
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
Onslow Bay Financial LLC
549300ELWOCL265HSB73
OBX 2019-EXP1 Trust
67448QAC5
99595.54000000
PA
USD
94901.32000000
0.001240826769
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B4Q66
962003.36000000
PA
USD
914286.74000000
0.011954222154
Long
ABS-MBS
USGSE
US
N
2
2041-04-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379V6P4
386130.29000000
PA
USD
339488.45000000
0.004438782903
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
054989AB4
2482000.00000000
PA
USD
2414418.71000000
0.031568321369
Long
DBT
CORP
US
N
2
2033-08-02
Fixed
6.42100000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AG6
4460000.00000000
PA
USD
3806477.98000000
0.049769379131
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.50000000
N
N
N
N
N
N
SOUTHWESTERN ELEC POWER
R64UBJHEC74EB3HGQ410
Southwestern Electric Power Co
845437BU5
1958000.00000000
PA
USD
1850590.99000000
0.024196321397
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
5.30000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2017-COR2 Mortgage Trust
12595EAE5
32823057.30000000
PA
USD
1136281.73000000
0.014856787959
Long
ABS-MBS
CORP
US
N
2
2050-09-10
Variable
1.30681800
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
75524KPG3
2101000.00000000
PA
USD
1920004.40000000
0.025103895889
Long
DBT
CORP
US
N
2
2028-08-09
Fixed
4.57500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISBDRXIMCHZ70
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KQC6
7000000.00000000
PA
USD
6858748.40000000
0.089677557909
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
7.81495000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAK8
6239000.00000000
PA
USD
5796152.47000000
0.075784205582
Long
DBT
CORP
IE
N
2
2033-07-25
Fixed
5.70000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-2
46591TBG8
270327.54000000
PA
USD
227392.04000000
0.002973131779
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390BVJ4
4672.78000000
PA
USD
4730.23000000
0.000061847359
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
6.50000000
N
N
N
N
N
N
Zaxby's Funding LLC
N/A
ZAXBY'S FUNDING LLC
98920MAA0
15533000.00000000
PA
USD
12949983.26000000
0.169319940899
Long
ABS-O
CORP
US
N
2
2051-07-30
Fixed
3.23800000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-8
46591KBE2
274017.12000000
PA
USD
233443.90000000
0.003052259339
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VU69
4754160.33000000
PA
USD
899436.74000000
0.011760059654
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Trust 2022-1
69546MAA5
3155512.11000000
PA
USD
3090045.02000000
0.040402078493
Long
ABS-O
CORP
US
N
2
2029-10-15
Fixed
2.03000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WG63
4451804.07000000
PA
USD
819494.33000000
0.010714819373
Long
ABS-MBS
USGSE
US
N
2
2044-02-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A9TT8
144015.65300000
PA
USD
137820.62000000
0.001801993003
Long
ABS-MBS
USGA
US
N
2
2039-10-15
Fixed
4.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEW8
1905000.00000000
PA
USD
1705934.97000000
0.022304956114
Long
DBT
CORP
US
N
2
2053-04-15
Fixed
5.05000000
N
N
N
N
N
N
KITE REALTY GROUP LP
549300X6R2GYI8Y3OD81
Kite Realty Group LP
49803XAA1
1287000.00000000
PA
USD
1173240.32000000
0.015340018411
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7YM2
762252.92000000
PA
USD
761990.64000000
0.009962963468
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
5.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2023-A
78450QAA1
2724758.40000000
PA
USD
2662720.01000000
0.034814839963
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
5.38000000
N
N
N
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BBC8
6190000.00000000
PA
USD
4529133.25000000
0.059218035947
Long
ABS-MBS
CORP
US
N
2
2050-03-01
None
0.00000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
8053000.00000000
PA
USD
5993445.25000000
0.078363792071
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R05
20754HAD0
768597.72000000
PA
USD
794882.46000000
0.010393021245
Long
ABS-MBS
CORP
US
N
2
2039-07-25
Floating
9.52943000
N
N
N
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119BN9
3189000.00000000
PA
USD
2710288.08000000
0.035436788473
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.65000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VTN4
779121.26000000
PA
USD
91895.64000000
0.001201527756
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Variable
3.00000000
N
N
N
N
N
N
BLACK HILLS CORP
3MGELCRSTNSAMJ962671
Black Hills Corp
092113AH2
1720000.00000000
PA
USD
1714539.33000000
0.022417457397
Long
DBT
CORP
US
N
2
2023-11-30
Fixed
4.25000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAE2
10098000.00000000
PA
USD
9010861.24000000
0.117816252112
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396KKA9
48213.22810000
PA
USD
776.26000000
0.000010149534
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Floating
1.27057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136APUZ3
3902990.75000000
PA
USD
689588.21000000
0.009016307791
Long
ABS-MBS
USGSE
US
N
2
2045-08-25
Fixed
6.00000000
N
N
N
N
N
N
HERO Funding Trust
N/A
HERO Funding Trust 2016-4A
40417QAC9
1206252.38000000
PA
USD
1074724.07000000
0.014051926737
Long
ABS-O
CORP
US
N
2
2047-09-20
Fixed
4.29000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAP6
2567000.00000000
PA
USD
2356311.60000000
0.030808575798
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AG6F2
1306189.34000000
PA
USD
1206116.82000000
0.015769875881
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KPJK0
26723.68000000
PA
USD
21444.33000000
0.000280382809
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397JR97
276187.54480000
PA
USD
275600.09000000
0.003603447974
Long
ABS-MBS
USGSE
US
N
2
2037-07-15
Fixed
5.50000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD1 Mortgage Trust
12514MBD6
20629149.14000000
PA
USD
551630.67000000
0.007212524569
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
1.49734900
N
N
N
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
29245JAJ1
400000.00000000
PA
USD
372274.00000000
0.004867451209
Long
DBT
CORP
CL
N
2
2026-08-05
Fixed
3.75000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-INV2 Trust
67112VBB0
303493.29000000
PA
USD
272036.91000000
0.003556859696
Long
ABS-MBS
CORP
US
N
2
2049-05-27
Variable
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FMA1
110408.22000000
PA
USD
102310.62000000
0.001337702743
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
4.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2022-LBA6
12433EAL5
1250000.00000000
PA
USD
1221193.50000000
0.015967002203
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
7.33220000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBYN2
1876009.66000000
PA
USD
1651348.20000000
0.021591238692
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
NORTHERN TRUST CORP
549300GLF98S992BC502
Northern Trust Corp
665859AX2
2748000.00000000
PA
USD
2715237.13000000
0.035501496886
Long
DBT
CORP
US
N
2
2032-11-02
Fixed
6.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BTY2
3418711.10000000
PA
USD
3085612.78000000
0.040344127328
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.00000000
N
N
N
N
N
N
AMERICAN ELEC 10/25/2023
N/A
AMERICAN ELEC 10/25/2023
000000000
15000000.00000000
PA
USD
14940102.45000000
0.195340581765
Long
DBT
CORP
US
N
2
2023-10-25
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359SAP5
21043.21000000
PA
USD
452.13000000
0.000005911561
Long
ABS-MBS
USGSE
US
N
2
2031-03-18
Floating
3.32224000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I 2017-HR2
61691NAF2
37363176.24000000
PA
USD
1084143.00000000
0.014175078453
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Variable
0.99332300
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31293FG92
839.01000000
PA
USD
830.21000000
0.000010854925
Long
ABS-MBS
USGSE
US
N
2
2028-12-01
Fixed
6.00000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2020-3
81748ACD4
2831441.46000000
PA
USD
2228369.91000000
0.029135748972
Long
ABS-MBS
CORP
US
N
2
2050-04-25
Variable
3.32352800
N
N
N
N
N
N
INGEVITY CORP
5493009UTFC4B5IMGF87
Ingevity Corp
45688CAB3
4410000.00000000
PA
USD
3639947.85000000
0.047592011701
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.87500000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400FV0
813000.00000000
PA
USD
610790.49000000
0.007986034235
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.05000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WG48
5338949.46000000
PA
USD
988281.19000000
0.012921693358
Long
ABS-MBS
USGSE
US
N
2
2044-02-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BBJZ6
9408795.55000000
PA
USD
2070736.65000000
0.027074707368
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Fixed
4.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308GZ4
2484000.00000000
PA
USD
1778295.20000000
0.023251060029
Long
DBT
CORP
US
N
2
2042-04-15
Fixed
4.45000000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
8010000.00000000
PA
USD
9273385.26000000
0.121248731572
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DB3
3850000.00000000
PA
USD
3630329.40000000
0.047466251277
Long
DBT
CORP
US
N
2
2032-08-19
Fixed
6.10000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398RNT8
4548548.15000000
PA
USD
4429949.31000000
0.057921214282
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-ARDN
36266CAA4
2800000.00000000
PA
USD
2727267.20000000
0.035658789038
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
6.69668000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BDFP8
32561151.68000000
PA
USD
5954119.17000000
0.077849606886
Long
ABS-MBS
USGSE
US
N
2
2050-05-25
Fixed
3.50000000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte Ltd
716973AG7
4353000.00000000
PA
USD
4047817.92000000
0.052924878528
Long
DBT
CORP
SG
N
2
2053-05-19
Fixed
5.30000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2021-AGW Mortgage Trust
05493HAN5
8200000.00000000
PA
USD
7034721.78000000
0.091978395038
Long
ABS-MBS
CORP
US
N
2
2036-06-15
Floating
8.59648000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2017-3
64828MBB2
2008198.11000000
PA
USD
1892381.51000000
0.024742728928
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B2BP4
2708940.76000000
PA
USD
2474710.30000000
0.032356628833
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
3.00000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBT1
757000.00000000
PA
USD
751523.14000000
0.009826101786
Long
DBT
CORP
CA
N
2
2084-01-15
Fixed
8.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381XQ90
176532.00000000
PA
USD
124393.52000000
0.001626434801
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Fixed
3.00000000
N
N
N
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAF6
1398000.00000000
PA
USD
1163485.70000000
0.015212477576
Long
DBT
CORP
GB
N
2
2062-04-27
Fixed
4.95000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DP2
4475000.00000000
PA
USD
2824401.71000000
0.036928814579
Long
DBT
CORP
US
N
2
2040-08-21
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36194U2W2
3010156.85000000
PA
USD
2579552.77000000
0.033727435301
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
FannieMae Grantor Trust
N/A
Fannie Mae Grantor Trust 1998-T2
31359U4M4
2696.74700000
PA
USD
2694.78000000
0.000035234021
Long
ABS-MBS
USGSE
US
N
2
2032-01-25
Floating
0.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMZD9
26877624.39000000
PA
USD
21575329.21000000
0.282095613050
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS USD
000000000
-462434000.00000000
NC
USD
-2532688.08000000
-0.03311468342
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2025-06-14
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.80000000
USD
2024-06-12
XXXX
-2532688.08000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLV2
8203000.00000000
PA
USD
4996334.59000000
0.065326654135
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFZA2
30171316.23000000
PA
USD
24231498.26000000
0.316824799763
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
5493002BNZCV0YE1MG83
Benefit Street Partners CLO IV Ltd
08180FBL4
6500000.00000000
PA
USD
6413608.50000000
0.083857391192
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
7.73775000
N
N
N
N
N
N
AMERICAN ELEC POWER
N/A
AMERICAN ELEC POWER
000000000
13550000.00000000
PA
USD
13485230.59000000
0.176318254677
Long
DBT
CORP
US
N
2
2023-10-30
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJUZ2
5506553.48000000
PA
USD
4861904.68000000
0.063568994379
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XXMU0
198827.42000000
PA
USD
180842.08000000
0.002364494971
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
WILLIS NORTH AMERICA INC
5493004KVU1HWZCP0C66
Willis North America Inc
970648AH4
1747000.00000000
PA
USD
1403761.21000000
0.018354059641
Long
DBT
CORP
US
N
2
2048-09-15
Fixed
5.05000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Mortgage Loan Trust Series 2007-D1
00083BAB1
2686010.77000000
PA
USD
2055513.79000000
0.026875669755
Long
ABS-MBS
CORP
US
N
2
2038-02-25
Variable
6.33600000
N
N
N
N
N
N
Driven Brands Funding, LLC
N/A
DRIVEN BRANDS FUNDING LLC
26208LAC2
2226625.00000000
PA
USD
2150760.32000000
0.028121010117
Long
ABS-O
CORP
US
N
2
2048-04-20
Fixed
4.73900000
N
N
N
N
N
N
EIG PEARL HOLDINGS SARL
549300KIMRL45BWA5H76
EIG Pearl Holdings Sarl
28249NAA9
3450000.00000000
PA
USD
2804332.50000000
0.036666411348
Long
DBT
CORP
LU
N
2
2036-08-31
Fixed
3.54500000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBP4
4500000.00000000
PA
USD
4508415.99000000
0.058947159517
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.05100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DSJ2
968111.70000000
PA
USD
777688.81000000
0.010168215719
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte Ltd
716973AF9
513000.00000000
PA
USD
471418.62000000
0.006163758768
Long
DBT
CORP
SG
N
2
2043-05-19
Fixed
5.11000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DDE8
7080000.00000000
PA
USD
6334968.41000000
0.082829178636
Long
ABS-MBS
CORP
US
N
2
2050-08-27
None
0.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust
92925GAE3
1308753.03000000
PA
USD
1123647.71000000
0.014691599211
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
3.44358900
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B20 Mortgage Trust
08162XBJ2
59752780.17000000
PA
USD
4022294.25000000
0.052591158692
Long
ABS-MBS
CORP
US
N
2
2053-10-15
Variable
1.72662500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397PEZ9
90602.74000000
PA
USD
89601.77000000
0.001171535599
Long
ABS-MBS
USGSE
US
N
2
2037-11-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WPRL3
2827082.00000000
PA
USD
2480380.74000000
0.032430769358
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DCE9
18282000.00000000
PA
USD
13919785.91000000
0.182000028902
Long
ABS-MBS
CORP
US
N
2
2050-11-27
Variable
2.02000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B12 Mortgage Trust
08162FAK9
52088370.36370000
PA
USD
1856554.53000000
0.024274294181
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
1.16143200
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAA8
7815000.00000000
PA
USD
7779197.14000000
0.101712347695
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
6.48048000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCB0
3798000.00000000
PA
USD
3390383.75000000
0.044328982103
Long
DBT
CORP
US
N
2
2027-04-22
Fixed
1.57800000
N
N
N
N
N
N
NEVADA POWER CO
MJZFGXRJ52U8U4MKJ519
Nevada Power Co
641423CG1
1234000.00000000
PA
USD
1206570.19000000
0.015775803656
Long
DBT
CORP
US
N
2
2054-03-15
Fixed
6.00000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XCD0
3872000.00000000
PA
USD
3693811.53000000
0.048296274782
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
5.55000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2023-8
46657CAR3
2299000.00000000
PA
USD
2108149.20000000
0.027563873310
Long
ABS-MBS
CORP
US
N
2
2054-02-25
Variable
6.35557700
N
N
N
N
N
N
ENTERGY CORP
4XM3TW50JULSLG8BNC79
Entergy Corp
29364GAP8
2722000.00000000
PA
USD
2123227.15000000
0.027761016237
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
2.40000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-23CB
02151EAC6
839100.99000000
PA
USD
336414.72000000
0.004398594142
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
5.93420000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W2U1
25074018.30000000
PA
USD
20518508.47000000
0.268277770845
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FRCP4
4641819.32000000
PA
USD
3897970.56000000
0.050965636912
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375KB27
1149095.56000000
PA
USD
104337.19000000
0.001364199975
Long
ABS-MBS
USGA
US
N
2
2037-07-20
Floating
1.31068000
N
N
N
N
N
N
PECO ENERGY CO
YH65D4JBECK76IFEJ279
PECO Energy Co
693304BF3
2167000.00000000
PA
USD
2063625.48000000
0.026981729419
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
4.90000000
N
N
N
N
N
N
TTX CO
549300I8CNSYS1OGX775
TTX Co
87305QCH2
5745000.00000000
PA
USD
5581890.09000000
0.072982743002
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.60000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJA0
186909000.00000000
PA
USD
187040419.46000000
2.445537737995
Long
DBT
UST
US
N
2
2028-09-30
Fixed
4.62500000
N
N
N
N
N
N
AP MOLLER-MAERSK A/S
549300D2K6PKKKXVNN73
AP Moller - Maersk A/S
00203QAF4
2418000.00000000
PA
USD
2350952.63000000
0.030738507716
Long
DBT
CORP
DK
N
2
2033-09-14
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGYZ4
10082705.53000000
PA
USD
8056046.13000000
0.105332124932
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92556HAD9
1957000.00000000
PA
USD
1556656.24000000
0.020353149287
Long
DBT
CORP
US
N
2
2032-05-19
Fixed
4.20000000
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2G5
1962000.00000000
PA
USD
1715420.25000000
0.022428975352
Long
DBT
CORP
CH
N
2
2026-08-07
Fixed
1.25000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACY9
4408000.00000000
PA
USD
4091329.28000000
0.053493785897
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
5.05000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TBC9
8825000.00000000
PA
USD
7778195.27000000
0.101699248329
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A5WN2
196514.73000000
PA
USD
570.46000000
0.000007458716
Long
ABS-MBS
USGSE
US
N
2
2031-04-25
Floating
1.17057000
N
N
N
N
N
N
NESTLE HOLDINGS INC
549300EAEU8YV8MQXP30
Nestle Holdings Inc
641062AL8
2889000.00000000
PA
USD
2460044.52000000
0.032164874994
Long
DBT
CORP
US
N
2
2038-09-24
Fixed
3.90000000
N
N
N
N
N
N
OLIN CORP
549300GKK294V7W57P06
Olin Corp
680665AK2
4100000.00000000
PA
USD
3646144.10000000
0.047673027148
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
5.00000000
N
N
N
N
N
GC TREASURY CENTRE CO
549300LUFQBC2EQNAR40
GC Treasury Center Co Ltd
36830DAD3
1625000.00000000
PA
USD
1389025.63000000
0.018161393173
Long
DBT
CORP
TH
N
2
2032-03-30
Fixed
4.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XHCG0
21028367.05000000
PA
USD
17547429.58000000
0.229431164486
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.00000000
N
N
N
N
N
N
SCHLUMBERGER INVESTMENT
529900EZ29I5KXPV2J32
Schlumberger Investment SA
806854AJ4
2369000.00000000
PA
USD
2007002.68000000
0.026241391076
Long
DBT
CORP
LU
N
2
2030-06-26
Fixed
2.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BE6Q2
2561612.65000000
PA
USD
194858.29000000
0.002547755737
Long
ABS-MBS
USGSE
US
N
2
2044-09-15
Floating
0.67224000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773DK3
7853000.00000000
PA
USD
7761901.59000000
0.101486209835
Long
DBT
CORP
US
N
2
2029-07-27
Fixed
6.33900000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAH6
1626000.00000000
PA
USD
1478524.39000000
0.019331581926
Long
DBT
CORP
GB
N
2
2025-09-02
Fixed
1.20000000
N
N
N
N
N
N
GC TREASURY CENTRE CO
549300LUFQBC2EQNAR40
GC Treasury Center Co Ltd
36830BAB1
3000000.00000000
PA
USD
2371335.00000000
0.031005005488
Long
DBT
CORP
TH
N
2
2031-03-18
Fixed
2.98000000
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617AT2L6
642346.14000000
PA
USD
606949.82000000
0.007935817798
Long
ABS-MBS
USGA
US
N
2
2047-09-15
Fixed
4.50000000
N
N
N
N
N
N
SYSCO CORP 0 C 10/02/2023
N/A
SYSCO CORP 0 C 10/02/2023
000000000
89025000.00000000
PA
USD
88984945.87000000
1.163470675840
Long
DBT
CORP
US
N
2
2023-10-02
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AMCQ8
783264.47000000
PA
USD
726839.27000000
0.009503362264
Long
ABS-MBS
USGSE
US
N
2
2042-02-15
Fixed
4.00000000
N
N
N
N
N
N
Westlake Automobile Receivable
N/A
Westlake Automobile Receivables Trust 2021-2
96042RAE8
6050000.00000000
PA
USD
5857972.40000000
0.076592495962
Long
ABS-O
CORP
US
N
2
2026-07-15
Fixed
0.89000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AVPH6
17296964.70000000
PA
USD
1081378.56000000
0.014138933633
Long
ABS-MBS
USGSE
US
N
2
2047-03-25
Floating
0.67057000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAT6
5138000.00000000
PA
USD
3654250.26000000
0.047779014507
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.25000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-4
07386HSY8
714836.43000000
PA
USD
671408.83000000
0.008778613928
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
4.39771000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBT2
1732000.00000000
PA
USD
1630975.52000000
0.021324867616
Long
DBT
CORP
US
N
2
2027-01-17
Fixed
4.35000000
N
N
N
N
N
N
LADDER CAP FIN LLLP/CORP
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AP1
4890000.00000000
PA
USD
3956476.02000000
0.051730590876
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.75000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBG9
735000.00000000
PA
USD
717204.33000000
0.009377386235
Long
DBT
CORP
US
N
2
N/A
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7VZ9
83340.57000000
PA
USD
66745.71000000
0.000872694539
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
Bank
N/A
BANK 2020-BNK30
06541UCB0
6100015.50000000
PA
USD
393864.28000000
0.005149742302
Long
ABS-MBS
CORP
US
N
2
2053-12-15
Variable
1.40695500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCR64
25046437.14000000
PA
USD
22063550.74000000
0.288479068452
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
WISCONSIN PUBLIC SERVICE
549300BJRHJVYNUMQZ30
Wisconsin Public Service Corp
976843BH4
3590000.00000000
PA
USD
2516472.97000000
0.032902672227
Long
DBT
CORP
US
N
2
2042-12-01
Fixed
3.67100000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2006-FA8
32052DAL5
521653.86000000
PA
USD
214621.02000000
0.002806151768
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DB8
3395000.00000000
PA
USD
3063992.25000000
0.040061440719
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QUJW4
9119166.98000000
PA
USD
8323784.57000000
0.108832782495
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31393PYL2
39148.49000000
PA
USD
6423.92000000
0.000083992213
Long
ABS-MBS
USGSE
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GPYN2
2181454.60000000
PA
USD
2048411.13000000
0.026782803074
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AP9
4410000.00000000
PA
USD
4002953.96000000
0.052338286028
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B0WK8
1123567.91000000
PA
USD
1013200.40000000
0.013247509931
Long
ABS-MBS
USGSE
US
N
2
2047-10-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBU7
171349.31000000
PA
USD
180022.29000000
0.002353776286
Long
ABS-MBS
CORP
US
N
2
2028-08-25
Floating
12.37943000
N
N
N
N
N
N
Freddie Mac Whole Loan Securit
S6XOOCT0IEG5ABCC6L87
Freddie Mac Whole Loan Securities Trust
3137G1BK2
2453160.32000000
PA
USD
2035760.98000000
0.026617403428
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31356AWX6
63.18000000
PA
USD
63.61000000
0.000000831695
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
6.50000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CY4
2610000.00000000
PA
USD
1456994.60000000
0.019050081734
Long
DBT
CORP
US
N
2
2053-09-01
Fixed
2.77000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BZ8
2939000.00000000
PA
USD
2358391.79000000
0.030835774107
Long
DBT
CORP
US
N
2
2031-05-12
Fixed
2.10000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAP2
3258000.00000000
PA
USD
3204736.20000000
0.041901656016
Long
DBT
CORP
US
N
2
2028-08-16
Fixed
5.25000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAW1
596000.00000000
PA
USD
455152.87000000
0.005951085457
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.10000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
625685.89000000
0.008180790336
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
92813000.00000000
USD
625685.89000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BXYK2
5942437.26000000
PA
USD
5225908.28000000
0.068328310805
Long
ABS-MBS
USGSE
US
N
2
2047-04-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179X2H8
6184891.95000000
PA
USD
5577038.30000000
0.072919306256
Long
ABS-MBS
USGA
US
N
2
2053-05-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0506A5
38156000.00000000
PA
USD
36158772.26000000
0.472772903187
Long
ABS-MBS
USGA
US
N
2
2053-10-15
Fixed
5.00000000
N
N
N
N
N
N
MATCH GROUP HLD II LLC
5493003RFFE030RC9167
Match Group Holdings II LLC
57667JAA0
5000000.00000000
PA
USD
3950375.00000000
0.051650820553
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
3.62500000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte Ltd
716973AH5
9333000.00000000
PA
USD
8533311.51000000
0.111572329596
Long
DBT
CORP
SG
N
2
2063-05-19
Fixed
5.34000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHY0
174998000.00000000
PA
USD
174150353.44000000
2.277001209965
Long
DBT
UST
US
N
2
2026-09-15
Fixed
4.62500000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150AX2
1835000.00000000
PA
USD
1294663.79000000
0.016927620059
Long
DBT
CORP
US
N
2
2036-08-15
Fixed
2.48700000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAN4
2366000.00000000
PA
USD
1817824.75000000
0.023767905568
Long
DBT
CORP
US
N
2
2042-09-30
Fixed
4.00000000
N
N
N
N
N
N
Wind River CLO Ltd
549300OBHD9JXBHL6R27
Wind River 2021-1 CLO Ltd
97314HAG4
10000000.00000000
PA
USD
9436010.00000000
0.123375036357
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
7.53775000
N
N
N
N
N
N
PARKER-HANNIFI 11/22/2023
N/A
PARKER-HANNIFI 11/22/2023
000000000
25000000.00000000
PA
USD
24791650.00000000
0.324148736605
Long
DBT
CORP
US
N
2
2023-11-22
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWCB7
20313079.90000000
PA
USD
15494444.20000000
0.202588553478
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.00000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2021-5
81748XAU8
1105766.33000000
PA
USD
813758.21000000
0.010639820087
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.50000000
N
N
N
N
N
N
WEYERHAEUSER CO
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co
962166CC6
1397000.00000000
PA
USD
1364000.08000000
0.017834186214
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QNKY4
702105.44000000
PA
USD
595606.58000000
0.007787505890
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAK4
1722000.00000000
PA
USD
1571955.08000000
0.020553180332
Long
DBT
CORP
US
N
2
2028-07-22
Variable
3.59100000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PES7
2190000.00000000
PA
USD
2200655.20000000
0.028773381472
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
5.87500000
N
N
N
N
N
N
ACTIVISION BLIZZARD
549300TPQQDBP9GNOF40
Activision Blizzard Inc
00507VAQ2
4391000.00000000
PA
USD
2618012.16000000
0.034230288588
Long
DBT
CORP
US
N
2
2050-09-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A6JS0
2394.26000000
PA
USD
2263.36000000
0.000029593241
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-1
61947DAB5
3222361.42000000
PA
USD
2441773.37000000
0.031925981246
Long
ABS-O
CORP
US
N
2
2046-12-20
Fixed
2.05000000
N
N
N
N
N
N
BMD2 Re-REMIC Trust
N/A
BMD2 Re-Remic Trust 2019-FRR1
055631HH1
5414000.00000000
PA
USD
3880345.09000000
0.050735185375
Long
ABS-MBS
CORP
US
N
2
2052-05-25
Variable
2.45295600
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2021-L6
61692CBK3
31300223.48890000
PA
USD
1747006.32000000
0.022841960558
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
1.32725600
N
N
N
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
ConocoPhillips Co
20826FBH8
3837000.00000000
PA
USD
3660510.59000000
0.047860867795
Long
DBT
CORP
US
N
2
2063-09-15
Fixed
5.70000000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAF3
6382000.00000000
PA
USD
6316211.41000000
0.082583932440
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
5.12500000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust
93934FCF7
239963.32000000
PA
USD
206685.25000000
0.002702392243
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-3
35563PGA1
3643480.41000000
PA
USD
2963366.86000000
0.038745772216
Long
ABS-MBS
USGSE
US
N
2
2057-08-25
Fixed
3.00000000
N
N
N
N
N
N
MEDLINE BORROWER LP
254900QT3R363TVK6F09
Medline Borrower LP
62482BAA0
4875000.00000000
PA
USD
4125773.93000000
0.053944146796
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
Wells Fargo Alternative Loan T
N/A
Wells Fargo Alternative Loan 2007-PA3 Trust
94985GAH9
412466.08000000
PA
USD
341020.11000000
0.004458809228
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.25000000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BBG2
5200000.00000000
PA
USD
5049574.14000000
0.066022756770
Long
DBT
CORP
CL
N
2
2034-01-08
Fixed
5.95000000
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
2425000.00000000
PA
USD
2005171.88000000
0.026217453520
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2021-J2
17329MDN6
1315412.85000000
PA
USD
979854.58000000
0.012811516142
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.76897900
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AKAR2
4142924.92000000
PA
USD
3793690.02000000
0.049602177630
Long
ABS-MBS
USGSE
US
N
2
2042-01-15
Fixed
4.00000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610AS4
4234000.00000000
PA
USD
3292064.73000000
0.043043469194
Long
DBT
CORP
US
N
2
2030-02-06
Fixed
2.50000000
N
N
N
N
N
N
ROCKETMTGE CO-ISSUER INC
N/A
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc
74841CAB7
5055000.00000000
PA
USD
4037352.68000000
0.052788046396
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.87500000
N
N
N
N
N
N
INVITATION HOMES OP
549300147YMUQB3GW319
Invitation Homes Operating Partnership LP
46188BAF9
1022000.00000000
PA
USD
954997.06000000
0.012486506160
Long
DBT
CORP
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A1AU9
586166.11000000
PA
USD
51164.71000000
0.000668974275
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
1.17057000
N
N
N
N
N
N
PUB SVC NEW HAMP
549300SHPFALUPKK2351
Public Service Co of New Hampshire
744482BP4
493000.00000000
PA
USD
445368.93000000
0.005823161265
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
5.15000000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 9 Ltd
67690AAJ0
6700000.00000000
PA
USD
6658640.90000000
0.087061169193
Long
ABS-CBDO
CORP
KY
N
2
2035-07-19
Floating
7.48173000
N
N
N
N
N
N
AMERICAN ELEC 11/06/2023
N/A
AMERICAN ELEC 11/06/2023
000000000
11000000.00000000
PA
USD
10935465.42000000
0.142980289738
Long
DBT
CORP
US
N
2
2023-11-06
None
0.00000000
N
N
N
N
N
N
AB BSL CLO 4 Ltd
N/A
AB BSL CLO 4 Ltd
00037VAA6
6800000.00000000
PA
USD
6815653.60000000
0.089114097027
Long
ABS-CBDO
CORP
JE
N
2
2036-04-20
Floating
6.95662000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396TUX9
514617.38000000
PA
USD
25452.26000000
0.000332786156
Long
ABS-MBS
USGSE
US
N
2
2036-06-15
Floating
1.05724000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR89
383640.92000000
PA
USD
336111.32000000
0.004394627212
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WET82
654775.80000000
PA
USD
597312.19000000
0.007809806598
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Fixed
2.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-2435.33000000
-0.00003184173
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-09-05
0.00000000
USD
0.00000000
USD
60340000.00000000
USD
-2435.33000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D7E6
28802872.15000000
PA
USD
21987035.66000000
0.287478640223
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Social Professional Loan Progr
5493002WMPR84WZ75V46
Sofi Professional Loan Program 2018-A LLC
83406EAD7
3250000.00000000
PA
USD
2864107.68000000
0.037447966794
Long
ABS-O
CORP
US
N
2
2042-02-25
Fixed
3.61000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBL8
2012000.00000000
PA
USD
1837244.04000000
0.024021811150
Long
DBT
CORP
US
N
2
2044-05-17
Fixed
4.90000000
N
N
N
N
N
N
MARVELL TECHNOLOGY INC
N/A
Marvell Technology Inc
573874AP9
2252000.00000000
PA
USD
2232281.62000000
0.029186894251
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
5.75000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TBE5
8821000.00000000
PA
USD
7720630.09000000
0.100946588447
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
Life Financial Services Trust
N/A
Life 2021-BMR Mortgage Trust
53218CAL4
589782.09000000
PA
USD
564935.93000000
0.007386489724
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
7.79648000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBE2
5932000.00000000
PA
USD
4411252.25000000
0.057676751796
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
Bluemountain CLO Ltd
5493001GLQHON6UV2U40
BlueMountain CLO XXVIII Ltd
09630PAG8
5350000.00000000
PA
USD
5241550.15000000
0.068532826938
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
7.56957000
N
N
N
N
N
N
TRITON CONTAINER
549300O4LZFLCX53XZ54
Triton Container International Ltd
89680YAA3
2461000.00000000
PA
USD
2199137.30000000
0.028753535057
Long
DBT
CORP
BM
N
2
2026-04-15
Fixed
2.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KEQB7
209650.69000000
PA
USD
167903.51000000
0.002195324257
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-P8
17326DAJ1
38453726.07000000
PA
USD
998235.66000000
0.013051847215
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Variable
1.01004000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418M5H1
75580.66000000
PA
USD
75543.44000000
0.000987724118
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133THQB6
36443.90250000
PA
USD
36215.24000000
0.000473511214
Long
ABS-MBS
USGSE
US
N
2
2029-01-15
Fixed
6.00000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS USD
000000000
-11625000.00000000
NC
USD
124628.80000000
0.001629511067
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2033-08-10
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.52500000
USD
2028-08-08
XXXX
124628.80000000
N
N
N
Bank
N/A
BANK 2019-BNK24
06540VBG9
1000000.00000000
PA
USD
687406.80000000
0.008987786039
Long
ABS-MBS
CORP
US
N
2
2062-11-15
Variable
3.63457000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DY3
690000.00000000
PA
USD
653986.64000000
0.008550820260
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
5.30000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBC1
4305000.00000000
PA
USD
3812771.04000000
0.049851660360
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.50000000
N
N
N
N
N
N
AMERN AIRLINE 16-2 A PTT
N/A
American Airlines 2016-2 Class A Pass Through Trust
023764AA1
802247.00000000
PA
USD
700186.26000000
0.009154876402
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9FK9
3211061.04000000
PA
USD
2839785.32000000
0.037129953984
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
3.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DD4
1524000.00000000
PA
USD
1619049.08000000
0.021168930417
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
7.50000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAD4
3375000.00000000
PA
USD
3348675.00000000
0.043783643708
Long
DBT
CORP
NL
N
2
2030-07-28
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F9AB7
28672022.56000000
PA
USD
4730703.09000000
0.061853544636
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ADLC9
2650000.00000000
PA
USD
2549013.54000000
0.033328137440
Long
ABS-MBS
USGSE
US
N
2
2041-07-15
Fixed
5.00000000
N
N
N
N
N
N
J.G. Wentworth XLII LLC
N/A
JG Wentworth XLII LLC
46590UAA0
3243453.64000000
PA
USD
2749438.68000000
0.035948679272
Long
ABS-O
CORP
US
N
2
2075-10-15
Fixed
3.96000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DCQ2
10668000.00000000
PA
USD
6705657.30000000
0.087675904665
Long
ABS-MBS
CORP
US
N
2
2052-01-27
None
0.00000000
N
N
N
N
N
N
ORIX CORP
35380016EMHNBOVYE123
ORIX Corp
686330AK7
7000000.00000000
PA
USD
6766144.91000000
0.088466775074
Long
DBT
CORP
JP
N
2
2024-12-04
Fixed
3.25000000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451BA5
3424000.00000000
PA
USD
3255807.64000000
0.042569410795
Long
DBT
CORP
AU
N
2
2033-02-28
Fixed
4.90000000
N
N
N
N
N
MCKESSON CORP
549300WZWOM80UCFSF54
McKesson Corp
581557BS3
3221000.00000000
PA
USD
3186006.38000000
0.041656765196
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.25000000
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565ECF0
2791000.00000000
PA
USD
2658941.18000000
0.034765432079
Long
DBT
CORP
US
N
2
2033-08-11
Fixed
5.15000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAN8
2750000.00000000
PA
USD
2439780.70000000
0.031899927253
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377DJD9
828672.23000000
PA
USD
107989.33000000
0.001411951398
Long
ABS-MBS
USGA
US
N
2
2040-08-16
Fixed
5.00000000
N
N
N
N
N
N
Octagon Investment Partners XV
549300VYCI9AZ4NZBX86
Octagon Investment Partners XV Ltd
67590EAS3
4060000.00000000
PA
USD
4017077.68000000
0.052522952478
Long
ABS-CBDO
CORP
KY
N
2
2030-07-19
Floating
6.93173000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ2
36257LAS6
2814966.85000000
PA
USD
2417683.26000000
0.031611005086
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
4.37848900
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451BD9
3146000.00000000
PA
USD
3074846.54000000
0.040203359647
Long
DBT
CORP
AU
N
2
2030-09-08
Fixed
5.25000000
N
N
N
N
N
N
H&E EQUIPMENT SERVICES
254900KVLRCDMQRYY541
H&E Equipment Services Inc
404030AJ7
4340000.00000000
PA
USD
3710761.19000000
0.048517890159
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
ANGLOGOLD HOLDINGS PLC
213800745ZIXC4L6A131
AngloGold Ashanti Holdings PLC
03512TAE1
3800000.00000000
PA
USD
3068120.00000000
0.040115410703
Long
DBT
CORP
IM
N
2
2030-10-01
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VQGL4
4479576.12000000
PA
USD
3852541.32000000
0.050371653423
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
3.00000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AQ7
3850000.00000000
PA
USD
3301566.35000000
0.043167702076
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.62500000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Trust 2021-C10
05551VBK8
20194701.00000000
PA
USD
1324683.53000000
0.017320125633
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
1.41230100
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDR7
4603000.00000000
PA
USD
4399727.61000000
0.057526068099
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GU4Z7
1527141.56000000
PA
USD
1431133.61000000
0.018711951467
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
COMM Mortgage Trust
549300YJIXJB9DCDOI21
COMM 2013-CCRE10 Mortgage Trust
12626BAY0
3657886.46000000
PA
USD
3136637.64000000
0.041011273077
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Variable
4.50849600
N
N
N
N
N
N
AVNET INC
XJI53DCPL7QABOWK4Z75
Avnet Inc
053807AW3
2611000.00000000
PA
USD
2605904.61000000
0.034071983391
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
6.25000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAH4
4559000.00000000
PA
USD
4483915.73000000
0.058626820680
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
5.50000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NBC8
5373000.00000000
PA
USD
4685420.95000000
0.061261484467
Long
DBT
CORP
CA
N
2
2080-07-15
Fixed
5.75000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAQ2
1003000.00000000
PA
USD
823745.59000000
0.010770404240
Long
DBT
CORP
US
N
2
2045-05-15
Fixed
5.35000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VVA9
7054541.28000000
PA
USD
1348314.02000000
0.017629092300
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AJXA9
802231.57000000
PA
USD
14315.26000000
0.000187170819
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Floating
0.77057000
N
N
N
N
N
N
DELTA AIR LINES 2020-A
N/A
Delta Air Lines 2020-1 Class A Pass Through Trust
247361ZW1
3738647.41000000
PA
USD
3283221.98000000
0.042927850982
Long
DBT
CORP
US
N
2
2028-06-10
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E2VD4
104556.60000000
PA
USD
95799.62000000
0.001252571966
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4.00000000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCH6
3051000.00000000
PA
USD
2947568.02000000
0.038539203713
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.45000000
N
N
N
N
N
N
DUQUESNE LIGHT HOLDINGS
4CUJ1D8WDXK9X7QI6B93
Duquesne Light Holdings Inc
266233AH8
1645000.00000000
PA
USD
1280765.61000000
0.016745902526
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.53200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BFSZ7
28097818.48000000
PA
USD
5699316.54000000
0.074518083949
Long
ABS-MBS
USGSE
US
N
2
2051-04-25
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-83238.94000000
-0.00108834213
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-09-05
0.00000000
USD
0.00000000
USD
89393000.00000000
USD
-83238.94000000
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432PA7
2571000.00000000
PA
USD
2570113.52000000
0.033604017902
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
5.80000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAM6
5135000.00000000
PA
USD
3212917.12000000
0.042008620856
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.50000000
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAL9
750108.00000000
PA
USD
717099.50000000
0.009376015591
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
7.09668000
N
N
N
N
N
N
ARTHUR J GALLAGHER & CO
54930049QLLMPART6V29
Arthur J Gallagher & Co
04316JAE9
3539000.00000000
PA
USD
3246485.02000000
0.042447518323
Long
DBT
CORP
US
N
2
2053-03-02
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377MY42
2266602.19000000
PA
USD
24667.66000000
0.000322527577
Long
ABS-MBS
USGA
US
N
2
2040-05-16
Floating
0.65495000
N
N
N
N
N
N
Morgan Stanley Residential Mor
N/A
Morgan Stanley Residential Mortgage Loan Trust 2020-1
61771QBQ3
1000000.00000000
PA
USD
634681.60000000
0.008298408487
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Variable
2.50000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DU1
3126000.00000000
PA
USD
2886350.40000000
0.037738788485
Long
DBT
CORP
US
N
2
2063-03-02
Fixed
5.75000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VVP6
2922411.93000000
PA
USD
380276.81000000
0.004972087276
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Variable
3.50000000
N
N
N
N
N
N
HP INC
WHKXQACZ14C5XRO8LW03
HP Inc
40434LAJ4
3218000.00000000
PA
USD
2516275.45000000
0.032900089670
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
2.65000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHV6
26932200.00000000
PA
USD
26879598.18000000
0.351448483280
Long
DBT
UST
US
N
2
2025-08-31
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393EMJ5
308668.00000000
PA
USD
298936.62000000
0.003908571139
Long
ABS-MBS
USGSE
US
N
2
2033-09-25
Fixed
5.00000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEJ7
2182000.00000000
PA
USD
1992260.26000000
0.026048635176
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B4BQ7
11934832.62000000
PA
USD
9204026.55000000
0.120341872278
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397YYU9
5120048.42000000
PA
USD
376536.04000000
0.004923177023
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Floating
0.98224000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-9
46651YBT6
1851634.42000000
PA
USD
1496647.96000000
0.019568546078
Long
ABS-MBS
CORP
US
N
2
2050-05-25
Variable
3.39842600
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8JA2
2811224.08000000
PA
USD
2377507.47000000
0.031085710014
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A5VZ6
855031.60000000
PA
USD
791273.09000000
0.010345829036
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Fixed
4.00000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
3855000.00000000
PA
USD
3197312.14000000
0.041804587057
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCW4
6475000.00000000
PA
USD
5876932.29000000
0.076840394928
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAX0
2221000.00000000
PA
USD
2054110.77000000
0.026857325387
Long
DBT
CORP
US
N
2
2053-05-01
Fixed
5.40000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
9300000.00000000
PA
USD
8345918.86000000
0.109122186473
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
VMED O2 UK FINAN
213800MRR46ECNGZ7L69
Vmed O2 UK Financing I PLC
92858RAB6
3725000.00000000
PA
USD
3013779.05000000
0.039404907356
Long
DBT
CORP
GB
N
2
2031-07-15
Fixed
4.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-5
46653JCA7
1997649.85000000
PA
USD
1538971.67000000
0.020121925023
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Variable
3.57769900
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCY5
25131200.00000000
PA
USD
21362010.81000000
0.279306492928
Long
DBT
UST
US
N
2
2028-09-30
Fixed
1.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEK7
2425000.00000000
PA
USD
2163116.93000000
0.028282571752
Long
DBT
CORP
US
N
2
2028-01-21
Fixed
2.47500000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAT5
3850000.00000000
PA
USD
2930059.06000000
0.038310275535
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAGA6
5977148.35000000
PA
USD
5319481.88000000
0.069551777747
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.50000000
N
N
N
N
N
N
PETROLEOS DEL PERU SA
549300ZMGDLC9JT2OR80
Petroleos del Peru SA
716564AA7
4000000.00000000
PA
USD
2831320.00000000
0.037019270638
Long
DBT
CORP
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AH0
3850000.00000000
PA
USD
2980808.60000000
0.038973821498
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.37500000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAB7
1381000.00000000
PA
USD
1064007.87000000
0.013911813324
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
4.95000000
N
N
N
N
N
N
AMERICAN HONDA
N/A
AMERICAN HONDA 10/16/2023
000000000
10000000.00000000
PA
USD
9974273.30000000
0.130412783689
Long
DBT
CORP
US
N
2
2023-10-16
None
0.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
3342000.00000000
PA
USD
2779207.70000000
0.036337906703
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GRM27
853702.90000000
PA
USD
795203.15000000
0.010397214240
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DAS0
12445000.00000000
PA
USD
9314901.43000000
0.121791552000
Long
ABS-MBS
CORP
US
N
2
2049-11-27
None
0.00000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDV7
3175000.00000000
PA
USD
2846541.17000000
0.037218286154
Long
DBT
CORP
GB
N
2
N/A
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ATMP6
15751064.22000000
PA
USD
996765.15000000
0.013032620421
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Floating
0.67057000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAK1
4000000.00000000
PA
USD
3650144.04000000
0.047725326026
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.95000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-6INV
33851GBK0
1435957.28000000
PA
USD
1132620.06000000
0.014808911932
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
3.48977700
N
N
N
N
N
N
Mill City Solar Loan Ltd.
N/A
Mill City Solar Loan 2019-1 Ltd
59982WAA5
663805.41000000
PA
USD
579425.72000000
0.007575942508
Long
ABS-O
CORP
KY
N
2
2043-03-20
Fixed
4.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BFMF7
156763102.00000000
PA
USD
17316624.43000000
0.226413406580
Long
ABS-MBS
USGSE
US
N
2
2041-03-25
Fixed
3.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCJ8
5558000.00000000
PA
USD
4544339.41000000
0.059416855209
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
3.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FV94
33056.34000000
PA
USD
31388.80000000
0.000410405917
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R02
20754WAC9
4578457.00000000
PA
USD
4588301.14000000
0.059991651128
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
8.42943000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Home Lending Mortgage Trust 2019-1
16159WBW3
2059322.41000000
PA
USD
1642028.73000000
0.021469387406
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.89152900
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ASP81
705959.05000000
PA
USD
53710.07000000
0.000702254643
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Floating
0.57224000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2006-AR9
17310RAM1
615816.24000000
PA
USD
523895.63000000
0.006849891256
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
5.10681700
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
06417XAG6
9006000.00000000
PA
USD
7512308.88000000
0.098222806164
Long
DBT
CORP
CA
N
2
2037-05-04
Fixed
4.58800000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2016-1
35563PAE9
217443.77000000
PA
USD
193130.34000000
0.002525162936
Long
ABS-MBS
CORP
US
N
2
2055-09-25
Variable
3.75000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VBB6
1216000.00000000
PA
USD
1155270.88000000
0.015105069496
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
4.80000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBR6
3784000.00000000
PA
USD
3317305.81000000
0.043373494190
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.18200000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607LWW9
3482000.00000000
PA
USD
3460759.49000000
0.045249138979
Long
DBT
CORP
CA
N
2
2033-10-03
Fixed
6.09200000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-9
46649YBJ3
2706157.97000000
PA
USD
2284874.39000000
0.029874540291
Long
ABS-MBS
CORP
US
N
2
2049-02-25
Variable
4.26357100
N
N
N
N
N
N
FORTUNE BRANDS INNOVATIO
54930032LHW54PQUJD44
Fortune Brands Innovations Inc
34964CAH9
2097000.00000000
PA
USD
2021430.52000000
0.026430033870
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
5.87500000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-B
63942LAA0
3924911.71000000
PA
USD
3383678.94000000
0.044241317277
Long
ABS-O
CORP
US
N
2
2069-07-15
Fixed
0.94000000
N
N
N
N
N
N
KENVUE INC
5493008HSF8L4M2LIJ82
Kenvue Inc
49177JAJ1
5044000.00000000
PA
USD
4823399.00000000
0.063065535855
Long
DBT
CORP
US
N
2
2033-03-22
Fixed
4.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BL5T1
36305.69000000
PA
USD
35917.22000000
0.000469614627
Long
ABS-MBS
USGSE
US
N
2
2042-11-15
Fixed
3.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Mortgage Trust 2022-C17
054976AG0
10896836.11000000
PA
USD
804309.64000000
0.010516280830
Long
ABS-MBS
CORP
US
N
2
2055-09-15
Variable
1.32523400
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31293HYQ0
9842.73000000
PA
USD
9737.95000000
0.000127322876
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
6.00000000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDM8
731000.00000000
PA
USD
634809.10000000
0.008300075539
Long
DBT
CORP
US
N
2
N/A
Fixed
4.35000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3C5
3547000.00000000
PA
USD
3445895.04000000
0.045054787547
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
4.54000000
N
N
N
N
N
N
ENTERGY CORP D 11/13/2023
N/A
ENTERGY CORP D 11/13/2023
000000000
8100000.00000000
PA
USD
8043654.38000000
0.105170103844
Long
DBT
CORP
US
N
2
2023-11-13
None
0.00000000
N
N
N
N
N
N
HARTFORD FINL SVCS GRP
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group Inc/The
416515BC7
8526000.00000000
PA
USD
7258737.82000000
0.094907385902
Long
DBT
CORP
US
N
2
2047-02-12
Floating
7.75118000
N
N
N
N
N
N
HEALTHPEAK OP LLC
N/A
Healthpeak OP LLC
42250PAE3
3980000.00000000
PA
USD
3705861.94000000
0.048453832878
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
5.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BGQ0
20329836.20000000
PA
USD
1822455.97000000
0.023828458379
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Floating
0.61068000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GTWR7
987881.49000000
PA
USD
865488.45000000
0.011316188620
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VII Ltd
67389JAC2
6000000.00000000
PA
USD
6035312.40000000
0.078911201532
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
8.66495000
N
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DD4
1087000.00000000
PA
USD
852167.26000000
0.011142015182
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
2.75000000
N
N
N
N
N
N
BLACKSTONE HOLDINGS FINA
549300D2L6J4NC1QVZ22
Blackstone Holdings Finance Co LLC
09256BAL1
695000.00000000
PA
USD
564201.83000000
0.007376891428
Long
DBT
CORP
US
N
2
2030-01-10
Fixed
2.50000000
N
N
N
N
N
N
TTAN
N/A
TTAN 2021-MHC
87303TAL1
859124.20000000
PA
USD
838917.68000000
0.010968778039
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
7.19748000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCRW7
1057332.76000000
PA
USD
896980.30000000
0.011727941908
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BV7
1295000.00000000
PA
USD
1274309.94000000
0.016661495184
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.25000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust
93363PAD2
485078.92000000
PA
USD
412537.79000000
0.005393896873
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
3.34706300
N
N
N
N
N
N
Beacon Container Finance II LL
N/A
Beacon Container Finance II LLC
07359BAA5
7032500.22000000
PA
USD
6008495.75000000
0.078560576091
Long
ABS-O
CORP
US
N
2
2046-10-22
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620ADSF0
116697.46000000
PA
USD
110969.03000000
0.001450910725
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
COLONY MORTGAGE CAPITAL LTD
N/A
CLNY Trust 2019-IKPR
12564NAA0
4100000.00000000
PA
USD
4019651.07000000
0.052556599336
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
6.57200000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBW5
3479000.00000000
PA
USD
3097098.34000000
0.040494300058
Long
DBT
CORP
US
N
2
2027-02-04
Fixed
1.04000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS USD
000000000
-524367000.00000000
NC
USD
-43795.92000000
-0.00057262796
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-01-26
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.52000000
USD
2024-01-24
XXXX
2238511.46000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ASYR9
520789.18000000
PA
USD
486753.32000000
0.006364258680
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396PCB5
414349.25120000
PA
USD
31916.41000000
0.000417304373
Long
ABS-MBS
USGSE
US
N
2
2037-01-25
Floating
1.31057000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374TG81
789100.33000000
PA
USD
762795.51000000
0.009973487075
Long
ABS-MBS
USGA
US
N
2
2039-05-16
Fixed
4.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-F
63942GAB9
1850000.00000000
PA
USD
1137784.60000000
0.014876437857
Long
ABS-O
CORP
US
N
2
2070-02-18
Fixed
2.12000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CXN9
3886702.40000000
PA
USD
3526093.49000000
0.046103375529
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
TEXAS INSTRUMENTS INC
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508CB8
1470000.00000000
PA
USD
1422700.75000000
0.018601692532
Long
DBT
CORP
US
N
2
2033-03-14
Fixed
4.90000000
N
N
N
N
N
N
Freddie Mac Reference Remic
S6XOOCT0IEG5ABCC6L87
Freddie Mac Reference REMIC
31396NRF5
1585149.92000000
PA
USD
1610865.01000000
0.021061924391
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
CF SECURED, LLC
254900OXTV81I73FAT50
CF SECURED LLC
000000000
22914154.00000000
PA
USD
22914154.00000000
0.299600634467
Long
RA
CORP
US
N
2
Repurchase
Y
5.32000000
2023-10-02
1007036.18896686
USD
942301.69567216
USD
UST
991193.94155368
USD
720635.87718892
USD
ADAS
24370446.80048076
USD
21709503.67413815
USD
AMBS
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6V99
36168.76000000
PA
USD
28966.76000000
0.000378737948
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
2.50000000
N
N
N
N
N
N
FRETE 2021-ML08 TRUST
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily ML Certificates
30318LAK3
15416459.08780000
PA
USD
1987562.36000000
0.025987210529
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Variable
1.86919300
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F1SB5
2280049.54000000
PA
USD
1925572.29000000
0.025176695582
Long
ABS-MBS
USGSE
US
N
2
2047-07-15
Fixed
3.50000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AZ3
1725000.00000000
PA
USD
1476142.88000000
0.019300443883
Long
DBT
CORP
GB
N
2
2028-03-17
Fixed
2.25000000
N
N
N
N
N
N
KENVUE INC
5493008HSF8L4M2LIJ82
Kenvue Inc
49177JAQ5
3660000.00000000
PA
USD
3305407.38000000
0.043217923219
Long
DBT
CORP
US
N
2
2063-03-22
Fixed
5.20000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2022-FOX2
05610AAE8
905949.83000000
PA
USD
862412.96000000
0.011275976847
Long
ABS-MBS
CORP
US
N
2
2039-04-15
Floating
6.64156000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VAS3
1749000.00000000
PA
USD
1336535.15000000
0.017475084566
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.25000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBJ0
3468000.00000000
PA
USD
3368544.42000000
0.044043434702
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.65000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT)
000000000
-310.00000000
NC
USD
270901.62000000
0.003542015875
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-12-29
-32932307.87000000
USD
270901.62000000
N
N
N
NORTHERN NATURAL GAS CO
5493007M02M6CT9EXE41
Northern Natural Gas Co
665501AM4
1847000.00000000
PA
USD
1156091.56000000
0.015115799818
Long
DBT
CORP
US
N
2
2051-10-16
Fixed
3.40000000
N
N
N
N
N
N
TEMPUR SEALY INTL INC
549300HFEKVR3US71V91
Tempur Sealy International Inc
88023UAH4
4610000.00000000
PA
USD
3852303.63000000
0.050368545646
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.00000000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAH9
5023000.00000000
PA
USD
4822823.76000000
0.063058014641
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
5.50000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DH7
678000.00000000
PA
USD
649609.82000000
0.008493593707
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.90000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AH1
1375000.00000000
PA
USD
1200677.90000000
0.015698762460
Long
DBT
CORP
CH
N
2
2027-08-10
Fixed
1.49400000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK16
065405AJ1
23614972.94950000
PA
USD
933720.68000000
0.012208319283
Long
ABS-MBS
CORP
US
N
2
2052-02-15
Variable
1.10154800
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAR2
10471000.00000000
PA
USD
8847026.43000000
0.115674125764
Long
DBT
CORP
KY
N
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
FIRST HORIZON BANK
COOWI3L2W9TPYR3WJX37
First Horizon Bank
337158AJ8
6749000.00000000
PA
USD
6044701.69000000
0.079033965709
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MGLJ8
8488766.60000000
PA
USD
6537908.40000000
0.085482601920
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
ELFI Graduate Loan Program 202
N/A
ELFI Graduate Loan Program 2021-A LLC
28628BAB4
1686519.74000000
PA
USD
1370271.65000000
0.017916186464
Long
ABS-O
CORP
US
N
2
2046-12-26
Variable
2.09000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QCN4
2826000.00000000
PA
USD
2762987.86000000
0.036125833660
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.20000000
N
N
N
N
N
N
FRETE 2021-ML11 TRUST
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily ML Certificates
302610AD2
10174120.33000000
PA
USD
531633.40000000
0.006951061948
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Variable
0.77026700
N
N
N
N
N
N
Eaton Vance CDO Ltd
5493008YP5U5LTXAO749
Eaton Vance Clo 2015-1 Ltd
27830KAU8
8000000.00000000
PA
USD
7863136.00000000
0.102809841223
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
6.83775000
N
N
N
N
N
N
PIEDMONT OPERATING PARTN
549300WKGDPAS39FBD10
Piedmont Operating Partnership LP
720198AF7
2118000.00000000
PA
USD
1381680.88000000
0.018065361185
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
2.75000000
N
N
N
N
N
N
ANGI GROUP LLC
N/A
ANGI Group LLC
001846AA2
5300000.00000000
PA
USD
4153456.30000000
0.054306091453
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
3.87500000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BKPG9
3124000.00000000
PA
USD
2867017.57000000
0.037486013361
Long
ABS-MBS
USGSE
US
N
2
2035-05-15
Fixed
3.50000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HDA0
3019000.00000000
PA
USD
2851565.87000000
0.037283983684
Long
DBT
CORP
US
N
2
2034-06-08
Fixed
6.37700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CGD0
2854400.66000000
PA
USD
2412251.77000000
0.031539988811
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd
03881EAC1
6550000.00000000
PA
USD
6434028.65000000
0.084124382934
Long
ABS-CBDO
CORP
KY
N
2
2036-05-15
Floating
6.84668000
N
N
N
N
N
N
GENERAL MLS IN 10/02/2023
N/A
GENERAL MLS IN 10/02/2023
000000000
11500000.00000000
PA
USD
11494802.00000000
0.150293568432
Long
DBT
CORP
US
N
2
2023-10-02
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ADE70
3795198.83000000
PA
USD
307493.84000000
0.004020456070
Long
ABS-MBS
USGSE
US
N
2
2043-05-25
Floating
0.72057000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEX6
3168000.00000000
PA
USD
2831698.11000000
0.037024214394
Long
DBT
CORP
US
N
2
2063-04-15
Fixed
5.20000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-CR28 Mortgage Trust
12593YBH5
55847088.43000000
PA
USD
677687.66000000
0.008860709101
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Variable
0.75168100
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
03880KAA2
8130000.00000000
PA
USD
8023053.92000000
0.104900754564
Long
ABS-CBDO
CORP
KY
N
2
2034-08-15
Floating
6.51668000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAP4
6315000.00000000
PA
USD
6063765.87000000
0.079283228257
Long
DBT
CORP
US
N
2
2052-12-15
Fixed
6.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5TL7
695290.28000000
PA
USD
588346.39000000
0.007692579517
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
EIDP INC0 CP 0 10/05/2023
N/A
EIDP INC0 CP 0 10/05/2023
000000000
17400000.00000000
PA
USD
17384081.96000000
0.227295408106
Long
DBT
CORP
US
N
2
2023-10-05
None
0.00000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAN8
1628000.00000000
PA
USD
986274.96000000
0.012895462070
Long
DBT
CORP
N/A
N
2
2051-11-30
Fixed
3.25000000
N
N
N
N
N
N
TEMPUR SEALY INTL INC
549300HFEKVR3US71V91
Tempur Sealy International Inc
88023UAJ0
1170000.00000000
PA
USD
904037.94000000
0.011820219956
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TG58
7957486.16000000
PA
USD
7317161.33000000
0.095671268377
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ2S8
2622009.96000000
PA
USD
2302466.55000000
0.030104556302
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
MFRA Trust
N/A
MFA 2020-NQM3 Trust
552757AC0
265047.05000000
PA
USD
236270.12000000
0.003089211928
Long
ABS-MBS
CORP
US
N
2
2065-01-26
Variable
1.63200000
N
N
N
N
N
N
AETNA INC
549300QKBENKLBXQ8968
Aetna Inc
00817YAF5
2339000.00000000
PA
USD
2417279.10000000
0.031605720728
Long
DBT
CORP
US
N
2
2036-06-15
Fixed
6.62500000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBK6
3814000.00000000
PA
USD
3499547.90000000
0.045756294174
Long
DBT
CORP
US
N
2
2054-04-15
Fixed
5.20000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAD3
606000.00000000
PA
USD
579360.17000000
0.007575085447
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
6.50000000
N
N
N
N
N
N
Driven Brands Funding, LLC
N/A
DRIVEN BRANDS FUNDING LLC
26208LAD0
5586750.00000000
PA
USD
5283593.95000000
0.069082546084
Long
ABS-O
CORP
US
N
2
2049-04-20
Fixed
4.64100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398EKB9
9748.53000000
PA
USD
9829.82000000
0.000128524068
Long
ABS-MBS
USGSE
US
N
2
2038-03-15
Floating
8.52776000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2018-GS9
36255NAY1
500000.00000000
PA
USD
438309.40000000
0.005730858504
Long
ABS-MBS
CORP
US
N
2
2051-03-10
Variable
4.32100000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
2325000.00000000
PA
USD
2000838.18000000
0.026160790758
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBP9
4921000.00000000
PA
USD
3756669.40000000
0.049118136140
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
3.80000000
N
N
N
N
N
N
Prime Mortgage Trust
N/A
Prime Mortgage Trust 2007-1
74162FAD7
67482.02000000
PA
USD
55405.59000000
0.000724423424
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
5.50000000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
44644MAJ0
679000.00000000
PA
USD
640350.27000000
0.008372525870
Long
DBT
CORP
US
N
2
2030-01-10
Fixed
5.65000000
N
N
N
N
N
N
AMERICAN INTERNATIONAL
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DS3
6093000.00000000
PA
USD
5674627.93000000
0.074195282452
Long
DBT
CORP
US
N
2
2033-03-27
Fixed
5.12500000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CK0
1519000.00000000
PA
USD
1157582.72000000
0.015135296610
Long
DBT
CORP
US
N
2
2062-04-13
Fixed
4.10000000
N
N
N
N
N
N
Babson CLO Ltd
549300TE5WUQQTRVZ282
Barings CLO Ltd 2017-I
06760BAC6
3890000.00000000
PA
USD
3865201.25000000
0.050537180942
Long
ABS-CBDO
CORP
KY
N
2
2029-07-18
Floating
6.92150000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR4 Trust
92922FPT9
1969865.52000000
PA
USD
1841522.28000000
0.024077748778
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
5.05587500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374DQR3
683685.81000000
PA
USD
57129.33000000
0.000746961180
Long
ABS-MBS
USGA
US
N
2
2038-01-20
Floating
1.11068000
N
N
N
N
N
N
ENTERGY CORP D 10/10/2023
N/A
ENTERGY CORP D 10/10/2023
000000000
24900000.00000000
PA
USD
24858564.91000000
0.325023643420
Long
DBT
CORP
US
N
2
2023-10-10
None
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BCF9
15264683.68000000
PA
USD
1136051.19000000
0.014853773668
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Floating
0.66068000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
10350000.00000000
PA
USD
7408012.50000000
0.096859139776
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLB3
754040.51000000
PA
USD
618268.28000000
0.008083805710
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.00000000
N
N
N
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BAE5
5260000.00000000
PA
USD
4079827.48000000
0.053343400830
Long
ABS-MBS
CORP
US
N
2
2049-03-28
None
0.00000000
N
N
N
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AM6
1450000.00000000
PA
USD
901080.75000000
0.011781554946
Long
DBT
NUSS
MA
N
2
2050-12-15
Fixed
4.00000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Selection Trust 2021-HG1
69547PAA7
1441396.30000000
PA
USD
1388270.32000000
0.018151517559
Long
ABS-O
CORP
US
N
2
2029-01-16
Fixed
1.22000000
N
N
N
N
N
N
Sonic Capital LLC
N/A
Sonic Capital LLC
83546DAG3
7074916.72000000
PA
USD
6432459.10000000
0.084103861200
Long
ABS-O
CORP
US
N
2
2050-01-20
Fixed
3.84500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X3EP3
2501323.28000000
PA
USD
2217679.00000000
0.028995966224
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WED9
4028000.00000000
PA
USD
3916466.61000000
0.051207471208
Long
DBT
CORP
US
N
2
2028-01-12
Fixed
4.70000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCN3
5432000.00000000
PA
USD
4547043.87000000
0.059452215796
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.27300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L9Y82
237108.71000000
PA
USD
222251.91000000
0.002905925012
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Selection Trust 2021-3
69546RAA4
191094.73000000
PA
USD
190389.21000000
0.002489322892
Long
ABS-O
CORP
US
N
2
2029-05-15
Fixed
1.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B3SP6
31713300.67000000
PA
USD
1983248.34000000
0.025930805081
Long
ABS-MBS
USGSE
US
N
2
2048-12-25
Floating
0.77057000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABS3
1948000.00000000
PA
USD
1652192.50000000
0.021602277843
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EF0
1692000.00000000
PA
USD
1236774.20000000
0.016170718544
Long
DBT
CORP
US
N
2
2062-04-01
Fixed
4.45000000
N
N
N
N
N
N
CORP FINANCIERA DE DESAR
254900BOM7T4MG6T0J30
Corp Financiera de Desarrollo SA
21987DAE4
2700000.00000000
PA
USD
2330289.00000000
0.030468332494
Long
DBT
NUSS
PE
N
2
2027-09-28
Fixed
2.40000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816DE6
1468000.00000000
PA
USD
1442727.94000000
0.018863546356
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
4.99000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENZ93
2314436.44000000
PA
USD
2040867.99000000
0.026684177153
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376WBR5
1160034.64000000
PA
USD
95189.89000000
0.001244599797
Long
ABS-MBS
USGA
US
N
2
2035-11-20
Floating
1.36068000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CY6
1914000.00000000
PA
USD
1830381.82000000
0.023932088201
Long
DBT
CORP
US
N
2
2043-08-10
Fixed
5.40400000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL60
4907540.18000000
PA
USD
3793550.15000000
0.049600348842
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432PB5
2099000.00000000
PA
USD
2132835.88000000
0.027886649573
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
7.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QSFJ0
2535.85630000
PA
USD
2513.12000000
0.000032858832
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Floating
5.55300000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2020-PT-A
78449VAB2
11919475.22000000
PA
USD
10575724.84000000
0.138276711940
Long
ABS-O
CORP
US
N
2
2054-09-15
Fixed
1.60000000
N
N
N
N
N
N
BLACK HILLS CORP
3MGELCRSTNSAMJ962671
Black Hills Corp
092113AQ2
1893000.00000000
PA
USD
1616671.98000000
0.021137850035
Long
DBT
CORP
US
N
2
2033-05-01
Fixed
4.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AQKW9
25129921.24000000
PA
USD
1779897.04000000
0.023272003953
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Floating
0.82057000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804GN8
1885000.00000000
PA
USD
1772796.77000000
0.023179168520
Long
DBT
CORP
US
N
2
2053-08-15
Fixed
5.70000000
N
N
N
N
N
N
BLACK HILLS CORP
3MGELCRSTNSAMJ962671
Black Hills Corp
092113AR0
2237000.00000000
PA
USD
1893580.12000000
0.024758400653
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395V6W4
169080.40000000
PA
USD
683.88000000
0.000008941673
Long
ABS-MBS
USGSE
US
N
2
2025-06-15
Floating
0.72224000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M9VQ7
8835573.83000000
PA
USD
6810701.96000000
0.089049354751
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273RBL2
6849000.00000000
PA
USD
5572463.11000000
0.072859486032
Long
DBT
CORP
US
N
2
2047-04-15
Fixed
5.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2HT9
3716.85000000
PA
USD
3513.46000000
0.000045938193
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-1
46648RAY7
1854380.66000000
PA
USD
1544882.30000000
0.020199206012
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.61021800
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ALY45
129381.97000000
PA
USD
124299.11000000
0.001625200398
Long
ABS-MBS
USGSE
US
N
2
2042-01-15
Fixed
4.50000000
N
N
N
N
N
N
DUKE ENERGY INDIANA LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
26443TAC0
1834000.00000000
PA
USD
1053901.13000000
0.013779668549
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
2.75000000
N
N
N
N
N
N
COMMONWEALTH BANK AUST
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
202712BL8
1520000.00000000
PA
USD
1065737.83000000
0.013934432405
Long
DBT
CORP
AU
N
2
2039-09-12
Fixed
3.74300000
N
N
N
N
N
N
Winwater Mortgage Loan Trust
N/A
WinWater Mortgage Loan Trust 2015-5
97654DCB0
578645.23000000
PA
USD
516705.77000000
0.006755884442
Long
ABS-MBS
CORP
US
N
2
2045-08-20
Variable
3.75242200
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-SBT1
20753VCZ9
500000.00000000
PA
USD
522200.20000000
0.006827723652
Long
ABS-MBS
CORP
US
N
2
2040-02-25
Floating
9.07943000
N
N
N
N
N
N
Winwater Mortgage Loan Trust
N/A
WinWater Mortgage Loan Trust 2015-5
97654DCC8
943956.27000000
PA
USD
820422.41000000
0.010726953941
Long
ABS-MBS
CORP
US
N
2
2045-08-20
Variable
3.75242200
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DR8
3741000.00000000
PA
USD
3577896.81000000
0.046780699576
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398CKN7
141873.21010000
PA
USD
134049.71000000
0.001752688672
Long
ABS-MBS
USGSE
US
N
2
2033-03-15
Variable
5.08457600
N
N
N
N
N
N
UNITED AIR 2016-2 A PTT
N/A
United Airlines 2016-2 Class A Pass Through Trust
90932DAA3
682307.41000000
PA
USD
587240.02000000
0.007678113823
Long
DBT
CORP
US
N
2
2028-10-07
Fixed
3.10000000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2018-B Trust
83404RAC2
8000000.00000000
PA
USD
7143538.40000000
0.093401163184
Long
ABS-O
CORP
US
N
2
2047-08-25
Fixed
3.83000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BXB7
3337371.47000000
PA
USD
2826814.34000000
0.036960359513
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.00000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
054989AD0
3704000.00000000
PA
USD
3502477.14000000
0.045794593741
Long
DBT
CORP
US
N
2
2053-08-02
Fixed
7.08100000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP / Hilcorp Finance Co
431318AV6
4045000.00000000
PA
USD
3573975.12000000
0.046729423810
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-3
46592ABH6
296906.76000000
PA
USD
252465.22000000
0.003300961497
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJB8
83887000.00000000
PA
USD
83811632.56000000
1.095830039839
Long
DBT
UST
US
N
2
2025-09-30
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132H7DV3
3385853.06000000
PA
USD
2988958.52000000
0.039080381016
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
3.50000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2013-C17
46640UAQ5
4110000.00000000
PA
USD
2081704.31000000
0.027218108600
Long
ABS-MBS
CORP
US
N
2
2047-01-15
Variable
3.86700000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 6 Ltd
48661NAC2
6000000.00000000
PA
USD
5923350.00000000
0.077447302578
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
7.43775000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAJ7
2943000.00000000
PA
USD
2684008.47000000
0.035093184785
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.80000000
N
N
N
N
N
N
Popular ABS Mortgage Pass-Thro
N/A
Popular ABS Mortgage Pass-Through Trust 2005-D
73316PHP8
110216.58000000
PA
USD
107558.19000000
0.001406314279
Long
ABS-O
CORP
US
N
2
2036-01-25
Variable
3.53138100
N
N
N
N
N
N
PACIFICORP
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114CZ9
5149000.00000000
PA
USD
4285471.66000000
0.056032181171
Long
DBT
CORP
US
N
2
2053-12-01
Fixed
5.35000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BS3
505000.00000000
PA
USD
485472.52000000
0.006347512328
Long
DBT
CORP
US
N
2
2034-08-18
Fixed
5.93900000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJQ76
823982.01000000
PA
USD
754935.75000000
0.009870721375
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loans 2017-2 LLC
61946GAA1
1400002.48000000
PA
USD
1255284.08000000
0.016412733666
Long
ABS-O
CORP
US
N
2
2043-06-22
Fixed
3.82000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAD8
3434000.00000000
PA
USD
2686536.91000000
0.035126243925
Long
DBT
CORP
US
N
2
2030-06-22
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B5KA2
13541048.24000000
PA
USD
1148865.86000000
0.015021324399
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
0.62057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BDU30
48111698.92000000
PA
USD
7451126.17000000
0.097422847381
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Fixed
3.00000000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAS7
4395000.00000000
PA
USD
3614277.91000000
0.047256379396
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.62500000
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
5493005PJR3MYTKJFJ48
Commonbond Student Loan Trust 2018-A-GS
20269DAD7
69007.30000000
PA
USD
53687.30000000
0.000701956927
Long
ABS-O
CORP
US
N
2
2044-02-25
Fixed
3.82000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-7
52520QAP9
12084998.03460000
PA
USD
1056351.49000000
0.013811706800
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.11580000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABQV8
3762556.53000000
PA
USD
170253.05000000
0.002226044295
Long
ABS-MBS
USGSE
US
N
2
2033-02-25
Floating
0.82057000
N
N
N
N
N
N
MIRAE ASSET SECURITIES (USA) INC.
25490087B4GFZLJZE912
MIRAE ASSET SECURITIES (USA) INC
000000000
44291982.00000000
PA
USD
44291982.00000000
0.579113935823
Long
RA
CORP
US
N
2
Repurchase
Y
5.37000000
2023-10-02
297609.78589314
USD
300295.28455030
USD
77193283.42247867
USD
44504007.68929028
USD
AMBS
520184.72193333
USD
393735.74774105
USD
UST
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417DKX0
1898179.93000000
PA
USD
1683839.26000000
0.022016056566
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
SoFi Consumer Loan Program 2021-1 Trust
83407CAC2
2350000.00000000
PA
USD
2242593.72000000
0.029321724090
Long
ABS-O
CORP
US
N
2
2030-09-25
Fixed
1.61000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BJ3
1874000.00000000
PA
USD
1324582.55000000
0.017318805328
Long
DBT
CORP
US
N
2
N/A
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QLY3
4263249.64000000
PA
USD
4083697.34000000
0.053393998924
Long
ABS-MBS
USGSE
US
N
2
2049-02-25
Variable
5.54019900
N
N
N
N
N
N
GRAY TELEVISION INC
529900TM5726KDN7UU35
Gray Television Inc
389284AA8
4245000.00000000
PA
USD
3657237.30000000
0.047818069804
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661ER4
2043000.00000000
PA
USD
1907608.12000000
0.024941815572
Long
DBT
CORP
US
N
2
2053-07-01
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A1KE4
7576708.43000000
PA
USD
7200706.70000000
0.094148633893
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
4.50000000
N
N
N
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
Navient Corp
63938CAK4
4255000.00000000
PA
USD
3829138.33000000
0.050065661299
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
-1471000.00000000
NC
USD
-5981.93000000
-0.00007821323
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2033-08-23
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.85800000
USD
2028-08-21
XXXX
-5981.93000000
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-1
45254NMR5
446478.48000000
PA
USD
407725.53000000
0.005330976979
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
6.12420000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
71568QAE7
1150000.00000000
PA
USD
1124533.25000000
0.014703177572
Long
DBT
CORP
ID
N
2
2028-05-21
Fixed
5.45000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
Cenovus Energy Inc
15135UAR0
1209000.00000000
PA
USD
1040073.06000000
0.013598867698
Long
DBT
CORP
CA
N
2
2047-06-15
Fixed
5.40000000
N
N
N
N
N
N
Octagon Investment Partners XX
549300XIS9D4AHDX5A35
Octagon Investment Partners XXI Ltd
67590QBN6
6000000.00000000
PA
USD
5785668.00000000
0.075647122019
Long
ABS-CBDO
CORP
KY
N
2
2031-02-14
Floating
7.38076000
N
N
N
N
N
N
CBRE SERVICES INC
549300CTE3HOMEUMM603
CBRE Services Inc
12505BAG5
2188000.00000000
PA
USD
2066381.97000000
0.027017770294
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
5.95000000
N
N
N
N
N
RTX CORP
I07WOS4YJ0N7YRFE7309
RTX Corp
913017BT5
7750000.00000000
PA
USD
6348928.42000000
0.083011704591
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AB3
685049.00000000
PA
USD
651284.43000000
0.008515489092
Long
DBT
CORP
N/A
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A7AP7
442030.12000000
PA
USD
36241.17000000
0.000473850246
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Floating
1.27057000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC
83401BAC0
3900000.00000000
PA
USD
3447745.08000000
0.045078976664
Long
ABS-O
CORP
US
N
2
2041-01-25
Fixed
3.62000000
N
N
N
N
N
N
KNDR Trust 2021-KIND
N/A
KIND Trust 2021-KIND
482606AN0
496412.26000000
PA
USD
466088.27000000
0.006094064891
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
7.74648000
N
N
N
N
N
N
Renaissance Home Equity Loan T
N/A
Renaissance Home Equity Loan Trust 2005-3
75970NBE6
878454.17000000
PA
USD
859437.75000000
0.011237076227
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
5.14000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AG7J3
324654.33000000
PA
USD
316174.49000000
0.004133954838
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Fixed
5.00000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VVB7
3852281.92000000
PA
USD
744987.79000000
0.009740652635
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKG3
1968000.00000000
PA
USD
1935937.42000000
0.025312218784
Long
DBT
CORP
US
N
2
2025-02-04
Fixed
1.84300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WR26
14353770.18000000
PA
USD
11754890.33000000
0.153694201451
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
2.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2K8
2994000.00000000
PA
USD
2827340.79000000
0.036967242802
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
2.16400000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CH0
2570000.00000000
PA
USD
2336046.76000000
0.030543614721
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.12500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2022-LBA6
12433EAJ0
1180000.00000000
PA
USD
1149518.48000000
0.015029857351
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
6.93220000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSZZ8
298184.47000000
PA
USD
279746.63000000
0.003657663636
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377R4K8
1166016.27000000
PA
USD
186949.02000000
0.002444342697
Long
ABS-MBS
USGA
US
N
2
2040-04-20
Fixed
5.00000000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAG1
2748000.00000000
PA
USD
2331697.98000000
0.030486754788
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
2.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQFT4
1511799.42000000
PA
USD
1335768.41000000
0.017465059505
Long
ABS-MBS
USGSE
US
N
2
2044-03-01
Fixed
3.50000000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109BG8
726000.00000000
PA
USD
681364.26000000
0.008908780337
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AAZZ1
12487887.81000000
PA
USD
1056308.60000000
0.013811146017
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Floating
0.72057000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK9
06540RAU8
3600000.00000000
PA
USD
1992208.68000000
0.026047960772
Long
ABS-MBS
CORP
US
N
2
2054-11-15
Fixed
2.80000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEY7
4461000.00000000
PA
USD
4488793.15000000
0.058690592536
Long
DBT
CORP
US
N
2
2033-10-18
Fixed
6.34200000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2013-C17
92938GAQ1
3920000.00000000
PA
USD
3542209.22000000
0.046314087342
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MGNQ0
4617240.27000000
PA
USD
3865058.96000000
0.050535320512
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
OLD LINE
N/A
OLD LINE FUNDI 05/01/2024
000000000
20000000.00000000
PA
USD
19329916.60000000
0.252737032209
Long
DBT
CORP
US
N
2
2024-05-01
None
0.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-1
89173FAC4
3200000.00000000
PA
USD
2990454.40000000
0.039099939521
Long
ABS-MBS
CORP
US
N
2
2056-10-25
Variable
3.75000000
N
N
N
N
N
N
OHA Credit Partners Ltd
549300LXLBAFTIMXZT54
OHA Credit Partners VII Ltd
67102QBD9
10700000.00000000
PA
USD
10517468.70000000
0.137515017814
Long
ABS-CBDO
CORP
KY
N
2
2034-02-20
Floating
7.44137000
N
N
N
N
N
N
CELULOSA ARAUCO CONSTITU
549300QEKV8G0AMNQD28
Celulosa Arauco y Constitucion SA
151191BB8
4505000.00000000
PA
USD
4071191.03000000
0.053230479974
Long
DBT
CORP
CL
N
2
2027-11-02
Fixed
3.87500000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13
61763BAC8
4340000.00000000
PA
USD
4098064.10000000
0.053581843102
Long
ABS-MBS
CORP
US
N
2
2046-11-15
Variable
5.00559700
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2023-PJ4
36270XAD6
3934130.14000000
PA
USD
3833492.34000000
0.050122589613
Long
ABS-MBS
CORP
US
N
2
2054-01-25
Variable
6.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2V4
5247000.00000000
PA
USD
4821351.34000000
0.063038762873
Long
DBT
CORP
US
N
2
2028-03-24
Fixed
3.52600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396YNF5
1996039.06000000
PA
USD
112960.64000000
0.001476950858
Long
ABS-MBS
USGSE
US
N
2
2038-03-25
Floating
0.92057000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
711203.59000000
0.009298927064
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
68168000.00000000
USD
711203.59000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZR7
3720000.00000000
PA
USD
3409024.00000000
0.044572701803
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
5.11300000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AN9
8250000.00000000
PA
USD
7524000.00000000
0.098375666574
Long
DBT
CORP
CO
N
2
2030-04-29
Fixed
6.87500000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAN1
1326000.00000000
PA
USD
1110239.80000000
0.014516291916
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.45000000
N
N
N
N
N
N
FRR Re-Remic Trust
N/A
FRR Re-REMIC Trust 2018-C1
30307WBE5
5000000.00000000
PA
USD
4809634.00000000
0.062885559639
Long
ABS-MBS
CORP
US
N
2
2050-02-27
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HEKA9
917516.73000000
PA
USD
803821.87000000
0.010509903278
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AAW33
635866.98000000
PA
USD
51409.85000000
0.000672179460
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
1.12224000
N
N
N
N
N
N
RETAIL OPPORTUNITY IN
549300KH0PNTJK9NTE57
Retail Opportunity Investments Partnership LP
76132FAA5
1250000.00000000
PA
USD
1246844.24000000
0.016302383469
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
5.00000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAF8
4500000.00000000
PA
USD
3872698.56000000
0.050635207639
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.65000000
N
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
Ovintiv Inc
69047QAB8
1169000.00000000
PA
USD
1144223.09000000
0.014960620572
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
5.65000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS6
36253PAE2
67088500.26000000
PA
USD
1946153.53000000
0.025445793563
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
1.15613700
N
N
N
N
N
N
AMERICAN HONDA
N/A
AMERICAN HONDA 11/21/2023
000000000
27050000.00000000
PA
USD
26827744.49000000
0.350770500649
Long
DBT
CORP
US
N
2
2023-11-21
None
0.00000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAL5
2337000.00000000
PA
USD
2041891.10000000
0.026697554231
Long
DBT
CORP
US
N
2
2026-09-20
Fixed
1.95000000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2018-C Trust
78490DAB0
3390762.10000000
PA
USD
3257987.65000000
0.042597914242
Long
ABS-O
CORP
US
N
2
2048-01-25
Fixed
3.59000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MX7J7
7860037.64000000
PA
USD
7251465.74000000
0.094812304068
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378FZQ6
71010.28000000
PA
USD
62202.59000000
0.000813293627
Long
ABS-MBS
USGA
US
N
2
2043-02-20
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QS6V5
984401.94000000
PA
USD
900071.31000000
0.011768356603
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RQT9
1081376.00000000
PA
USD
786223.94000000
0.010279811825
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-13T1
12668BZK2
625648.84000000
PA
USD
313509.76000000
0.004099113718
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
HSI Asset Loan Obligation
N/A
HSI Asset Loan Obligation Trust 2007-WF1
40431KAF7
129159.35000000
PA
USD
93138.87000000
0.001217782884
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
4.51453600
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZQ6
132000.00000000
PA
USD
102181.41000000
0.001336013333
Long
DBT
UST
US
N
2
2030-05-15
Fixed
0.62500000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2022-1 Ltd
078774AC0
1000000.00000000
PA
USD
1011108.20000000
0.013220154592
Long
ABS-MBS
CORP
BM
N
2
2032-01-26
Floating
9.01495000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ARKN5
2528720.59000000
PA
USD
156824.17000000
0.002050462820
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Floating
1.22224000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388KW40
11785.60000000
PA
USD
12028.27000000
0.000157268617
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0526A5
247607000.00000000
PA
USD
239298621.40000000
3.128809328880
Long
ABS-MBS
USGSE
US
N
2
2053-10-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5J42
2933443.43000000
PA
USD
2677927.04000000
0.035013670600
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TU2
194953000.00000000
PA
USD
181915518.13000000
2.378530084558
Long
DBT
UST
US
N
2
2043-08-15
Fixed
4.37500000
N
N
N
N
N
AMER AIRLINE 19-1AA PTT
N/A
American Airlines 2019-1 Class AA Pass Through Trust
02377LAA2
1076678.68000000
PA
USD
924690.09000000
0.012090245079
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.15000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2018-C5
17291DAU7
70167644.81000000
PA
USD
1844370.58000000
0.024114990060
Long
ABS-MBS
CORP
US
N
2
2051-06-10
Variable
0.82744700
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CD4
2314000.00000000
PA
USD
1888208.70000000
0.024688169789
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BP0
2141000.00000000
PA
USD
1734971.92000000
0.022684611791
Long
DBT
CORP
US
N
2
2043-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BHS83
37659036.69000000
PA
USD
6939607.69000000
0.090734786319
Long
ABS-MBS
USGSE
US
N
2
2048-06-25
Fixed
5.00000000
N
N
N
N
N
N
Wells Fargo Alternative Loan T
N/A
Wells Fargo Alternative Loan 2007-PA2 Trust
94985FAG3
396478.43000000
PA
USD
318585.76000000
0.004165481991
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.86420000
N
N
N
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAE8
3477825.00000000
PA
USD
3125007.30000000
0.040859207361
Long
ABS-O
CORP
US
N
2
2048-03-15
Fixed
3.88400000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKD0
4388000.00000000
PA
USD
3373952.02000000
0.044114138617
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379BCY2
2296319.21000000
PA
USD
126012.35000000
0.001647600867
Long
ABS-MBS
USGA
US
N
2
2039-12-16
Floating
0.75495000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BC9
1928000.00000000
PA
USD
1794438.92000000
0.023462137809
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AA4V3
5341629.39000000
PA
USD
4353325.98000000
0.056919370693
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
2.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAR1
5080000.00000000
PA
USD
4702222.55000000
0.061481163973
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
3715000.00000000
PA
USD
3550833.85000000
0.046426853653
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92556HAB3
4387000.00000000
PA
USD
3768951.37000000
0.049278721864
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
4.95000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XWTN1
1795129.10000000
PA
USD
1683019.77000000
0.022005341803
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HL4
4188000.00000000
PA
USD
2840640.12000000
0.037141130422
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.30000000
N
N
N
N
N
N
MOLSON COORS BEVERAGE
54930073LBBH6ZCBE225
Molson Coors Beverage Co
60871RAH3
1416000.00000000
PA
USD
1066256.98000000
0.013941220248
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
4.20000000
N
N
N
N
N
N
ADVANCED MICRO DEVICES
R2I72C950HOYXII45366
Advanced Micro Devices Inc
007903BF3
5075000.00000000
PA
USD
4564267.33000000
0.059677411086
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
3.92400000
N
N
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
000000000
7100000.00000000
PA
USD
6607863.50000000
0.086397258963
Long
DBT
CORP
CL
N
2
2026-08-05
Fixed
3.75000000
N
N
N
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KS9
1609000.00000000
PA
USD
1553442.21000000
0.020311126115
Long
DBT
CORP
US
N
2
2028-05-16
Fixed
4.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BFA84
12441151.44000000
PA
USD
534149.64000000
0.006983961574
Long
ABS-MBS
USGSE
US
N
2
2044-06-15
Floating
0.17224000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140ECBV0
389733.27000000
PA
USD
365980.74000000
0.004785167364
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FAM6
15579397.77000000
PA
USD
940126.29000000
0.012292072094
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
0.66068000
N
N
N
N
N
N
TTX CO
549300I8CNSYS1OGX775
TTX Co
87305QCM1
502000.00000000
PA
USD
384802.88000000
0.005031265260
Long
DBT
CORP
US
N
2
2046-07-01
Fixed
4.20000000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2019-B LLC
83404WAC1
3000000.00000000
PA
USD
2538040.80000000
0.033184669788
Long
ABS-O
CORP
US
N
2
2048-08-17
Fixed
3.73000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380X5K9
338763.98000000
PA
USD
242201.00000000
0.003166757684
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AEU47
3896864.73000000
PA
USD
197479.86000000
0.002582032544
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Floating
0.77057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X0NJ3
1482546.13000000
PA
USD
1268366.83000000
0.016583789521
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Boca Commercial Mortgage Trust
N/A
BOCA Commercial Mortgage Trust 2022-BOCA
05592LAA4
3000000.00000000
PA
USD
2992271.10000000
0.039123692721
Long
ABS-MBS
CORP
US
N
2
2039-05-15
Floating
7.10180000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395NYT8
1342742.79000000
PA
USD
80115.96000000
0.001047509432
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
1.32057000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-21M
05609CAN7
5643462.40000000
PA
USD
5405730.42000000
0.070679470147
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
7.61748000
N
N
N
N
N
N
ENTERGY MISSISSIPPI LLC
54930043I78H35DVVW89
Entergy Mississippi LLC
29366WAD8
3014000.00000000
PA
USD
2836186.24000000
0.037082896316
Long
DBT
CORP
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
KENTUCKY UTILITIES CO
AGX0G2MXE54NFNNICD28
Kentucky Utilities Co
491674BN6
1461000.00000000
PA
USD
1429159.80000000
0.018686144067
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
5.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A5SC1
1198382.06000000
PA
USD
1104421.00000000
0.014440211596
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F4LR1
14803287.40000000
PA
USD
13318687.91000000
0.174140723157
Long
ABS-MBS
USGSE
US
N
2
2047-07-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617LMNZ5
5889674.85000000
PA
USD
5084585.63000000
0.066480529054
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BXA9
4297612.50000000
PA
USD
3639286.98000000
0.047583370881
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FMT51
27918366.45000000
PA
USD
2362167.40000000
0.030885139890
Long
ABS-MBS
USGSE
US
N
2
2049-07-15
Floating
0.62224000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AP5
671000.00000000
PA
USD
658586.50000000
0.008610963042
Long
DBT
CORP
GB
N
2
2025-05-14
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329QM65
8339211.81000000
PA
USD
7541699.63000000
0.098607087746
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
CENTRAL GARDEN & PET CO
5493004DVZLD37DJ0H83
Central Garden & Pet Co
153527AN6
2705000.00000000
PA
USD
2258172.14000000
0.029525410620
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.12500000
N
N
N
N
N
Benefit Street Partners CLO Lt
5493008E17UEFI73RC63
Benefit Street Partners CLO XIV Ltd
08179LAC5
5000000.00000000
PA
USD
4921015.00000000
0.064341856837
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
6.73775000
N
N
N
N
N
N
ENBRIDGE U S I 08/02/2023
N/A
ENBRIDGE U S I 08/02/2023
000000000
8500000.00000000
PA
USD
8485401.00000000
0.110945903711
Long
DBT
CORP
US
N
2
2023-10-10
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410PZ30
36809.10000000
PA
USD
36363.50000000
0.000475449701
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
UNITED AIR 2018-1 AA PTT
N/A
United Airlines 2018-1 Class AA Pass Through Trust
909318AA5
752712.45000000
PA
USD
668745.80000000
0.008743795035
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-8
46652TCG3
922786.86000000
PA
USD
719481.97000000
0.009407166186
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
3.50379800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNMS8
11702264.65000000
PA
USD
9315440.91000000
0.121798605655
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
2050000.00000000
PA
1280109.43000000
0.016737323028
Long
DBT
NUSS
RO
N
2
2040-12-02
Fixed
2.62500000
N
N
N
N
N
N
Symphony CLO Ltd
5493001GRJRD2VIG9H40
California Street CLO IX LP
13079WDG0
6600000.00000000
PA
USD
6441837.60000000
0.084226484298
Long
ABS-CBDO
CORP
KY
N
2
2032-07-16
Floating
8.06957000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBV1
1754000.00000000
PA
USD
1647627.46000000
0.021542590330
Long
DBT
CORP
US
N
2
2033-09-11
Fixed
4.89300000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z78
3309100.00000000
PA
USD
2979999.68000000
0.038963244937
Long
DBT
UST
US
N
2
2027-01-31
Fixed
1.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810ST6
2699000.00000000
PA
USD
1598524.91000000
0.020900578622
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VFR6
3864437.55000000
PA
USD
3545517.77000000
0.046357346354
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
4.00000000
N
N
N
N
N
N
KLA CORP
549300H0BF5JCG96TJ81
KLA Corp
482480AN0
2819000.00000000
PA
USD
2534610.17000000
0.033139814590
Long
DBT
CORP
US
N
2
2062-07-15
Fixed
5.25000000
N
N
N
N
N
N
Helios Issuer, LLC
N/A
Sunnova Helios V Issuer LLC
86746EAA5
3192377.52000000
PA
USD
2690120.13000000
0.035173094225
Long
ABS-O
CORP
US
N
2
2048-02-20
Fixed
1.80000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
-279355000.00000000
NC
USD
604969.96000000
0.007909931296
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2025-09-05
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
4.15000000
USD
2024-09-03
XXXX
604969.96000000
N
N
N
Nomura Home Equity Loan Inc
N/A
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2007-1
65537KAF7
568770.34000000
PA
USD
500563.91000000
0.006544830982
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.89420000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738BH0
3948000.00000000
PA
USD
3826872.83000000
0.050036040077
Long
DBT
CORP
US
N
2
2033-08-21
Fixed
5.62500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDF6
1590000.00000000
PA
USD
1171646.12000000
0.015319174381
Long
DBT
CORP
US
N
2
2047-10-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VQG42
2735221.26000000
PA
USD
2352354.92000000
0.030756842540
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
3.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAQ8
1500000.00000000
PA
USD
1412914.95000000
0.018473744021
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
7.84668000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-1
46648RBA8
2358757.69000000
PA
USD
1933774.89000000
0.025283943887
Long
ABS-MBS
CORP
US
N
2
2048-06-25
Variable
3.61021800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDV68
1713926.36000000
PA
USD
1381641.44000000
0.018064845511
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
Taco Bell Funding, LLC
N/A
Taco Bell Funding LLC
87342RAE4
5857875.00000000
PA
USD
5519083.04000000
0.072161546110
Long
ABS-O
CORP
US
N
2
2048-11-25
Fixed
4.94000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHW4
162855500.00000000
PA
USD
158097065.86000000
2.067105826341
Long
DBT
UST
US
N
2
2030-08-31
Fixed
4.12500000
N
N
N
N
N
N
BLACKROCK INC
549300LRIF3NWCU26A80
BlackRock Inc
09247XAT8
2407000.00000000
PA
USD
2260807.05000000
0.029559861847
Long
DBT
CORP
US
N
2
2033-05-25
Fixed
4.75000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBB9
1295000.00000000
PA
USD
1062523.68000000
0.013892407664
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL94
16277437.16000000
PA
USD
13031273.44000000
0.170382803159
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MTQ7
15789204.85000000
PA
USD
1040909.65000000
0.013609806042
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Floating
0.27068000
N
N
N
N
N
N
SUNRUN JUPITER ISSUER 2022-1,
N/A
Sunrun Jupiter Issuer 2022-1 LLC
86772RAA3
4250544.80000000
PA
USD
3706339.90000000
0.048460082165
Long
ABS-O
CORP
US
N
2
2057-07-30
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJY49
3405950.44000000
PA
USD
3087664.78000000
0.040370957056
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379HZL2
2386808.49000000
PA
USD
122353.29000000
0.001599758966
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Floating
0.16068000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QBB3
4533000.00000000
PA
USD
4483680.96000000
0.058623751082
Long
DBT
CORP
N/A
N
2
2026-03-01
Fixed
5.35000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325XVB3
19769612.02000000
PA
USD
3507572.01000000
0.045861208737
Long
ABS-MBS
USGSE
US
N
2
2047-10-15
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
61700000.00000000
NC
USD
-708725.48000000
-0.00926652598
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2057-05-27
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
0.00000000
USD
2027-05-25
XXXX
-708725.49000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EB82
27796478.87000000
PA
USD
21197116.13000000
0.277150508869
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJZ3
4896000.00000000
PA
USD
4100362.79000000
0.053611898280
Long
DBT
CORP
US
N
2
2029-06-14
Fixed
2.08700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TCX1
288482.59000000
PA
USD
256404.36000000
0.003352465420
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Fixed
3.50000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAW9
914000.00000000
PA
USD
872836.26000000
0.011412260617
Long
DBT
CORP
US
N
2
2053-03-15
Fixed
6.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
49052.36000000
0.000641355477
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-06-20
0.00000000
USD
0.00000000
USD
83899000.00000000
USD
49052.36000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FN6V7
1632872.00000000
PA
USD
1127307.23000000
0.014739447127
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F9AV3
56687002.79000000
PA
USD
11703286.82000000
0.153019489902
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-53T2
12668AKU8
379975.76000000
PA
USD
193180.44000000
0.002525817989
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.93420000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM Re-REMIC Trust 2021-FRR1
364614AQ0
15763000.00000000
PA
USD
10727183.36000000
0.140257019338
Long
ABS-MBS
CORP
US
N
2
2050-11-29
None
0.00000000
N
N
N
N
N
N
QATAR ENERGY
N/A
QatarEnergy
74730DAD5
2025000.00000000
PA
USD
1316189.25000000
0.017209063637
Long
DBT
CORP
QA
N
2
2051-07-12
Fixed
3.30000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XEG7
1982000.00000000
PA
USD
1899767.34000000
0.024839298034
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
5.85000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKE8
8000000.00000000
PA
USD
7556419.28000000
0.098799545930
Long
DBT
CORP
US
N
2
2025-12-06
Fixed
1.53000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TR9
48828400.00000000
PA
USD
40439833.22000000
0.528747414827
Long
DBT
UST
US
N
2
2053-05-15
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H0BQ0
21218213.80000000
PA
USD
4347794.48000000
0.056847046796
Long
ABS-MBS
USGSE
US
N
2
2051-05-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HN2J0
3172364.65000000
PA
USD
2882222.46000000
0.037684816017
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHX2
27102600.00000000
PA
USD
26835808.78000000
0.350875940561
Long
DBT
UST
US
N
2
2028-08-31
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393C2C6
596767.38000000
PA
USD
39448.53000000
0.000515786208
Long
ABS-MBS
USGSE
US
N
2
2033-01-25
Floating
1.57057000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAR6
3082000.00000000
PA
USD
2684266.73000000
0.035096561513
Long
DBT
CORP
GB
N
2
2028-01-11
Fixed
2.46900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E85W8
304139.30000000
PA
USD
277139.74000000
0.003623578768
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WFG8
7364420.91000000
PA
USD
6035002.64000000
0.078907151446
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
2.50000000
N
N
N
N
N
N
RIO TINTO FIN USA PLC
2138006TSNBEUA761G16
Rio Tinto Finance USA PLC
76720AAN6
776000.00000000
PA
USD
745783.26000000
0.009751053338
Long
DBT
CORP
GB
N
2
2033-03-09
Fixed
5.00000000
N
N
N
N
N
FEDEX 2020-1 CLASS AA
N/A
FedEx Corp 2020-1 Class AA Pass Through Trust
314353AA1
2524623.52000000
PA
USD
2042420.18000000
0.026704471907
Long
DBT
CORP
US
N
2
2034-02-20
Fixed
1.87500000
N
N
N
N
N
N
Driven Brands Funding, LLC
N/A
DRIVEN BRANDS FUNDING LLC
26209XAD3
5354625.00000000
PA
USD
4400441.00000000
0.057535395613
Long
ABS-O
CORP
US
N
2
2051-10-20
Fixed
2.79100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EGJ3
27260473.76000000
PA
USD
24298966.50000000
0.317706941321
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.00000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DDC2
7076000.00000000
PA
USD
6435443.33000000
0.084142879756
Long
ABS-MBS
CORP
US
N
2
2050-08-27
None
0.00000000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2019-1
749357AN9
728505.96000000
PA
USD
618564.14000000
0.008087674055
Long
ABS-MBS
CORP
US
N
2
2049-09-25
Variable
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394AJV9
571620.95000000
PA
USD
561330.12000000
0.007339344062
Long
ABS-MBS
USGSE
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DXM9
2056281.81000000
PA
USD
1710434.13000000
0.022363782252
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
3.00000000
N
N
N
N
N
N
US AIRWAYS 2012-2A PTT
N/A
US Airways 2012-2 Class A Pass Through Trust
90345WAD6
436389.82000000
PA
USD
420324.17000000
0.005495703136
Long
DBT
CORP
US
N
2
2025-06-03
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DTR3
4421283.48000000
PA
USD
3540883.47000000
0.046296753272
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SS8
268000.00000000
PA
USD
140443.52000000
0.001836287200
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AYPL9
3703887.96000000
PA
USD
300010.48000000
0.003922611768
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B72P5
13084483.39250000
PA
USD
1027753.46000000
0.013437789965
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
0.57057000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
31428XBG0
1354000.00000000
PA
USD
1073006.37000000
0.014029467954
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
4.55000000
N
N
N
N
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CaixaBank SA
12803RAC8
4614000.00000000
PA
USD
4525559.86000000
0.059171314174
Long
DBT
CORP
ES
N
2
2034-09-13
Fixed
6.84000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830CB3
2924000.00000000
PA
USD
2720539.81000000
0.035570828980
Long
DBT
CORP
US
N
2
2055-02-15
Fixed
5.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FE2J8
4147686.86000000
PA
USD
3008249.67000000
0.039332611178
Long
ABS-MBS
USGSE
US
N
2
2047-12-15
Fixed
3.00000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DG2
2165000.00000000
PA
USD
1605910.12000000
0.020997139621
Long
DBT
CORP
US
N
2
2062-02-22
Fixed
4.40000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust
92922F2N7
1161188.88000000
PA
USD
1084447.07000000
0.014179054143
Long
ABS-MBS
CORP
US
N
2
2045-08-25
Floating
6.45420000
N
N
N
N
N
N
SAN DIEGO G & E
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co
797440CE2
3213000.00000000
PA
USD
3130385.09000000
0.040929521512
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.95000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHX0
4396000.00000000
PA
USD
3665143.15000000
0.047921438127
Long
DBT
CORP
US
N
2
2030-10-22
Fixed
2.88400000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-701569.06000000
-0.00917295639
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-08-14
0.00000000
MXN
0.00000000
MXN
489980000.00000000
MXN
-701569.06000000
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BD4
1900000.00000000
PA
USD
1901907.70000000
0.024867283060
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
5.85000000
N
N
N
N
N
N
Octagon Investment Partners 32
N/A
Octagon Investment Partners 32 Ltd
67578BAJ5
3500000.00000000
PA
USD
3441221.00000000
0.044993674867
Long
ABS-CBDO
CORP
KY
N
2
2029-07-15
Floating
7.61957000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJS9
7399000.00000000
PA
USD
6558682.33000000
0.085754219306
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73400000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2019-VI Ltd
12555XAC5
3000000.00000000
PA
USD
3001503.00000000
0.039244399036
Long
ABS-CBDO
CORP
KY
N
2
2033-01-16
Floating
7.31957000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-5
33849NAQ8
1678912.51000000
PA
USD
1436023.73000000
0.018775889374
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Variable
4.45497100
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GQ4E3
742669.32000000
PA
USD
650668.07000000
0.008507430237
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ITBJ4KEFYWF83
Freddie Mac Stacr Remic Trust 2020-HQA2
35565LBD7
8740000.00000000
PA
USD
9461380.37000000
0.123706751808
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Floating
9.52943000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISMYB8CLVZD05
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KBS7
3112544.16000000
PA
USD
3098681.82000000
0.040515003926
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
7.56495000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2JF7
3937.06000000
PA
USD
3721.54000000
0.000048658822
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEE8
748000.00000000
PA
USD
528165.34000000
0.006905717355
Long
DBT
CORP
US
N
2
2041-05-15
Fixed
3.05000000
N
N
N
N
N
N
CASCADES INC/USA INC
N/A
Cascades Inc/Cascades USA Inc
14739LAB8
3090000.00000000
PA
USD
2858002.80000000
0.037368146002
Long
DBT
CORP
N/A
N
2
2028-01-15
Fixed
5.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A1Z30
204247.57000000
PA
USD
202954.93000000
0.002653618623
Long
ABS-MBS
USGSE
US
N
2
2037-06-15
Fixed
5.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VVD3
3526039.10000000
PA
USD
589136.61000000
0.007702911577
Long
ABS-MBS
USGSE
US
N
2
2045-02-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374XQG3
527855.14000000
PA
USD
40282.95000000
0.000526696179
Long
ABS-MBS
USGA
US
N
2
2039-04-20
Floating
0.76068000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B6DR8
16496794.18000000
PA
USD
13766152.92000000
0.179991290492
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AP3
1999000.00000000
PA
USD
1889591.37000000
0.024706248082
Long
DBT
CORP
CH
N
2
2028-05-12
Fixed
4.75100000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172DB2
5188000.00000000
PA
USD
4920955.59000000
0.064341080056
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
5.37500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABW4
2805000.00000000
PA
USD
2374598.84000000
0.031047679921
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CL2
2465000.00000000
PA
USD
2382657.29000000
0.031153043477
Long
DBT
CORP
US
N
2
2025-07-20
Fixed
3.87500000
N
N
N
N
N
N
VERALTO CORP
635400FJE6GSOJUSNY27
Veralto Corp
92338CAE3
1161000.00000000
PA
USD
1123714.82000000
0.014692476668
Long
DBT
CORP
US
N
2
2033-09-18
Fixed
5.45000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
-11625000.00000000
NC
USD
6862.70000000
0.000089729224
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2033-10-02
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
4.16000000
USD
2028-09-28
XXXX
6862.70000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B1JS2
1874341.87000000
PA
USD
304711.01000000
0.003984070802
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
4.00000000
N
N
N
N
N
N
BATH & BODY WORKS INC
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
501797AM6
4405000.00000000
PA
USD
3864543.94000000
0.050528586669
Long
DBT
CORP
US
N
2
2036-07-01
Fixed
6.75000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISE4NWBTOSK36
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KPN3
15000000.00000000
PA
USD
14943592.50000000
0.195386213875
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
9.06495000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS USD
000000000
-524367000.00000000
NC
USD
-8905454.33000000
-0.11643806563
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-01-26
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.52000000
USD
2024-01-24
XXXX
-6623146.95000000
N
N
N
CIM Trust
N/A
CIM Trust 2020-J1
12559YBJ3
3054480.30000000
PA
USD
2357896.90000000
0.030829303462
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Variable
3.44291600
N
N
N
N
N
N
2023-11-20
Voya Funds Trust
Dorothy Roman
Dorothy Roman
Vice President, Fund Administration