0001752724-19-179002.txt : 20191126
0001752724-19-179002.hdr.sgml : 20191126
20191126121201
ACCESSION NUMBER: 0001752724-19-179002
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20190930
FILED AS OF DATE: 20191126
PERIOD START: 20200331
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: TIAA-CREF FUNDS
CENTRAL INDEX KEY: 0001084380
IRS NUMBER: 134055167
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-09301
FILM NUMBER: 191248920
BUSINESS ADDRESS:
STREET 1: 730 THIRD AVE.
CITY: NEW YORK
STATE: NY
ZIP: 10017
BUSINESS PHONE: 2129166746
MAIL ADDRESS:
STREET 1: 730 THIRD AVE.
CITY: NEW YORK
STATE: NY
ZIP: 10017
FORMER COMPANY:
FORMER CONFORMED NAME: TIAA CREF INSTITUTIONAL MUTUAL FUNDS
DATE OF NAME CHANGE: 19990415
0001084380
S000012195
TIAA-CREF Short-Term Bond Fund
C000033274
Retail Class
TCTRX
C000033275
Retirement Class
TISRX
C000033276
Institutional Class
TISIX
C000079571
Premier Class
TSTPX
C000162566
Advisor Class
TCTHX
C000202755
Class W
TCTWX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001084380
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S000012195
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C000202755
C000033275
C000033274
C000162566
C000033276
TIAA-CREF Funds
811-09301
0001084380
549300L8R42TEBN5NG46
730 Third Avenue
New York
10017
800-842-2733
TIAA-CREF Short-Term Bond Fund
S000012195
LX9SPIO1NDXQFEVEXG44
2020-03-31
2019-09-30
N
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2420628.00000000
USD
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REPUBLIC OF SENEGAL
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Senegal Goverment International Bond
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500000.00000000
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USD
541924.87000000
0.023163852251
Long
DBT
NUSS
SN
Y
2
2021-05-13
Fixed
0.08750000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Structured Agency Credit Risk Debt Note (STACR)
3137G0FT1
1603988.06000000
PA
USD
1611629.78000000
0.068886954954
Long
ABS-CBDO
USGSE
US
N
2
2027-12-25
Variable
0.04618400
N
N
N
N
N
N
Wachovia Bank Commercial Mortg
N/A
Wachovia Bank Commercial Mortgage Trust
92978TAP6
1201566.42000000
PA
USD
1202155.19000000
0.051384512404
Long
ABS-MBS
USGSE
US
N
2
2047-04-15
Variable
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N
N
N
N
N
N
BNG BANK NV
529900GGYMNGRQTDOO93
BNG Bank NV
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USD
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0.175711058796
Long
DBT
CORP
NL
Y
2
2021-11-08
Fixed
0.03125000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc
172967FT3
1720000.00000000
PA
USD
1808592.18000000
0.077305848763
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
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N
N
N
N
N
N
DUKE REALTY LP
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Duke Realty LP
26441YAW7
3127000.00000000
PA
USD
3269257.61000000
0.139740034907
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
0.03875000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes Trust
46187XAA3
1545200.34000000
PA
USD
1548826.00000000
0.066202491551
Long
ABS-O
CORP
US
Y
2
2038-01-17
Variable
0.03124800
N
N
N
N
N
N
SPS Servicer Advance Receivabl
549300W6RZ3B25O0SH56
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes
78469QAT9
1635999.26000000
PA
USD
1658540.06000000
0.070892072001
Long
ABS-O
CORP
US
Y
2
2050-10-17
Fixed
0.03620000
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust
88161NAA7
7535773.81000000
PA
USD
7657045.51000000
0.327290147948
Long
ABS-O
CORP
US
Y
2
2021-08-20
Fixed
0.03710000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAH6
5000000.00000000
PA
USD
5327879.65000000
0.227733074933
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
0.04500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
46648CAC8
9037359.30000000
PA
USD
9161270.53000000
0.391586230386
Long
ABS-CBDO
USGSE
US
Y
2
2047-01-25
Variable
0.03500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJH4
1445000.00000000
PA
USD
1492265.34000000
0.063784881945
Long
DBT
CORP
US
N
2
2023-01-25
Fixed
0.03200000
N
N
N
N
N
N
PERUSAHAAN PENERBIT SBSN
254900G208H6Q0L5B953
Perusahaan Penerbit SBSN Indonesia III
71567PAG5
2000000.00000000
PA
USD
2041800.00000000
0.087274004471
Long
DBT
NUSS
ID
Y
2
2022-03-29
Fixed
0.03400000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2C8
5000000.00000000
PA
USD
5056398.50000000
0.216128977030
Long
DBT
CORP
SA
Y
2
2024-04-16
Fixed
0.02875000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36192CAQ8
2598000.00000000
PA
USD
2628478.96000000
0.112350810319
Long
ABS-MBS
CORP
US
Y
2
2046-02-10
Variable
0.04541300
N
N
N
N
N
N
PERUSAHAAN PENERBIT SBSN
254900G208H6Q0L5B953
Perusahaan Penerbit SBSN Indonesia III
71567PAJ9
5000000.00000000
PA
USD
5177550.00000000
0.221307435524
Long
DBT
NUSS
ID
Y
2
2023-03-01
Fixed
0.03750000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple, Inc
037833CK4
2000000.00000000
PA
USD
1999696.24000000
0.085474335680
Long
DBT
CORP
US
N
2
2020-02-07
Fixed
0.01900000
N
N
N
N
N
N
SASOL FINANCING INT
N/A
Sasol Financing International plc
803865AA2
3000000.00000000
PA
USD
3064490.70000000
0.130987547779
Long
DBT
CORP
IM
N
2
2022-11-14
Fixed
0.04500000
N
N
N
N
N
N
FANNIE MAE
N/A
Federal National Mortgage Association (FNMA)
31358QVQ5
4794.11000000
PA
USD
4935.77000000
0.000210972873
Long
ABS-CBDO
USGSE
US
N
2
2022-09-25
Fixed
0.05500000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust
64829FAA9
1329185.24000000
PA
USD
1369061.73000000
0.058518708760
Long
ABS-CBDO
USGSE
US
Y
2
2056-03-25
Variable
0.03750000
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAK7
650000.00000000
PA
USD
670073.25000000
0.028641383003
Long
DBT
CORP
US
N
2
2023-02-06
Fixed
0.03350000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BX5
3000000.00000000
PA
USD
3026254.44000000
0.129353190091
Long
DBT
CORP
US
Y
2
2021-05-14
Fixed
0.02550000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
912828T59
4500000.00000000
PA
USD
4498108.65000000
0.192265625641
Long
DBT
UST
US
N
2
2019-10-15
Fixed
0.01000000
N
N
N
N
N
N
JOHNSON CONTROLS INTL PL
549300XQ6S1GYKGBL205
Johnson Controls International plc
478375AF5
42000.00000000
PA
USD
42960.92000000
0.001836306946
Long
DBT
CORP
IE
N
2
2021-12-01
Fixed
0.03750000
N
N
N
N
N
N
SWEDISH EXPORT CREDIT
1FOLRR5RWTWWI397R131
Svensk Exportkredit AB
00254EMJ8
6500000.00000000
PA
USD
6490678.61000000
0.277435358034
Long
DBT
CORP
SE
N
2
2021-03-10
Fixed
0.01750000
N
N
N
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
059578AE4
2500000.00000000
PA
USD
2621875.00000000
0.112068532899
Long
DBT
CORP
BR
Y
2
2024-03-20
Fixed
0.04750000
N
N
N
N
N
N
TCF Auto Receivables Owner Tru
N/A
TCF Auto Receivables Owner Trust
87226VAB2
2528000.00000000
PA
USD
2542869.95000000
0.108691567924
Long
ABS-O
CORP
US
Y
2
2022-10-17
Fixed
0.02920000
N
N
N
N
N
N
HIGHWOODS REALTY LP
JUJNVZX73BIYHLR58F51
Highwoods Realty LP
431282AM4
850000.00000000
PA
USD
880021.92000000
0.037615357518
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.03625000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC
161175AX2
1009000.00000000
PA
USD
1018028.60000000
0.043514268091
Long
DBT
CORP
US
N
2
2020-07-23
Fixed
0.03579000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AE1
4912500.00000000
PA
USD
5030596.50000000
0.215026105121
Long
ABS-O
CORP
US
Y
2
2047-11-20
Fixed
0.03629000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAK4
2000000.00000000
PA
USD
2043925.92000000
0.087364874073
Long
DBT
CORP
US
N
2
2021-05-01
Fixed
0.03750000
N
N
N
N
N
N
NBK SPC LTD
549300P1ANDK86KWB419
NBK SPC Ltd
62877PAA2
2000000.00000000
PA
USD
2005098.40000000
0.085705243769
Long
DBT
CORP
AE
Y
2
2022-05-30
Fixed
0.02750000
N
N
N
N
N
N
SUMITOMO MITSUI BANKING
5U0XI89JRFVHWIBS4F54
Sumitomo Mitsui Banking Corp
865622CH5
4000000.00000000
PA
USD
3999988.24000000
0.170974136323
Long
DBT
CORP
JP
N
2
2019-10-18
Fixed
0.02092000
N
N
N
N
N
N
YAPI VE KREDI BANKASI AS
B85ZYWEZ5IZCZ2WNIO12
Yapi ve Kredi Bankasi AS.
984848AK7
2000000.00000000
PA
USD
1959878.38000000
0.083772374620
Long
DBT
CORP
TR
Y
2
2023-03-16
Fixed
0.06100000
N
N
N
N
N
N
UNITED TECHNOLOGIES CORP
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017DA4
850000.00000000
PA
USD
871920.16000000
0.037269058645
Long
DBT
CORP
US
N
2
2021-08-16
Fixed
0.03350000
N
N
N
N
N
N
INDONESIA ASAHAN ALUMINI
2549008P48EB9SN2OI80
Indonesia Asahan Aluminiu
74445PAA0
3000000.00000000
PA
USD
3147916.74000000
0.134553482047
Long
DBT
CORP
ID
Y
2
2021-11-15
Fixed
0.05230000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBS7
3521077.60000000
PA
USD
3540443.53000000
0.151331513600
Long
LON
CORP
US
N
2
2025-04-30
Variable
0.04050000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
9128283H1
9000000.00000000
PA
USD
8995411.35000000
0.384496802030
Long
DBT
UST
US
N
2
2019-11-30
Fixed
0.01750000
N
N
N
N
N
N
Core Industrial Trust
5493003EXJTL54V5K302
Core Industrial Trust
21870PAJ6
3500000.00000000
PA
USD
3578614.20000000
0.152963067731
Long
ABS-MBS
USGSE
US
Y
2
2034-02-10
Fixed
0.03732000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
30711XAK0
3172285.68000000
PA
USD
3330692.18000000
0.142365973264
Long
ABS-CBDO
USGSE
US
N
2
2024-07-25
Variable
0.05018400
N
N
N
N
N
N
KFC HOLDING CO
549300G2LG4YUB3MM115
YUM! Brands
72584DAE4
3056364.07000000
PA
USD
3058900.85000000
0.130748617132
Long
LON
CORP
US
N
2
2025-04-03
Variable
0.03790880
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines, Inc
247361ZM3
1100000.00000000
PA
USD
1115330.49000000
0.047673306970
Long
DBT
CORP
US
N
2
2021-04-19
Fixed
0.03400000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
Credit-Based Asset Servicing & Securitization LLC (Step Bond)
1248MAAD9
1085380.71000000
PA
USD
1100941.92000000
0.047058286829
Long
ABS-O
CORP
US
Y
2
2037-12-25
Variable
0.05403100
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PAZ4
3000000.00000000
PA
USD
3139759.05000000
0.134204792521
Long
DBT
NUSS
QA
Y
2
2024-03-14
Fixed
0.03375000
N
N
N
N
N
N
Citicorp Mortgage Securities,
N/A
Citicorp Mortgage Securities Trust
1729735M7
66947.85000000
PA
USD
68021.37000000
0.002907482294
Long
ABS-CBDO
USGSE
US
N
2
2026-02-25
Fixed
0.05500000
N
N
N
N
N
N
People's Choice Home Loan Secu
N/A
People's Choice Home Loan Securities Trust
71085PAV5
2545.74000000
PA
USD
2546.52000000
0.000108847584
Long
ABS-O
CORP
US
N
2
2034-10-25
Variable
0.02918400
N
N
N
N
N
N
DELL INTERNATIONAL LLC
N/A
Dell International LLC
24702NBE9
957178.85000000
PA
USD
961371.29000000
0.041092527310
Long
LON
CORP
US
N
2
2025-09-19
Variable
0.04050000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81746QAD3
14241024.07000000
PA
USD
14426652.97000000
0.616647945841
Long
ABS-CBDO
USGSE
US
Y
2
2048-02-25
Variable
0.03500000
N
N
N
N
N
N
TRANSNET SOC LTD
378900B07CD6F01EA796
Transnet SOC Ltd
89378TAC7
2200000.00000000
PA
USD
2211313.87000000
0.094519647653
Long
DBT
CORP
ZA
Y
2
2022-07-26
Fixed
0.04000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT Trust
00217LAA0
850000.00000000
PA
USD
850000.00000000
0.036332110785
Long
ABS-MBS
USGSE
US
Y
2
2036-09-14
Variable
0.03047500
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCE0
1500000.00000000
PA
USD
1580625.00000000
0.067561697187
Long
DBT
CORP
MX
N
2
2022-03-13
Fixed
0.05375000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81746KAK0
5104741.19000000
PA
USD
5145342.26000000
0.219930758844
Long
ABS-CBDO
USGSE
US
Y
2
2047-02-25
Variable
0.03500000
N
N
N
N
N
N
VERSUM MATERIALS INC
5493006QY0E0EST2ZX08
Versum Materials, Inc
92532YAB5
1458750.00000000
PA
USD
1459362.68000000
0.062378501841
Long
LON
CORP
US
N
2
2023-09-29
Variable
0.04104380
N
N
N
N
N
N
AID-IRAQ
N/A
Iraq Government AID International Bond
462652AD0
24000000.00000000
PA
USD
24230123.52000000
1.035684155372
Long
DBT
NUSS
IQ
N
2
2022-01-18
Fixed
0.02149000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81746FAD7
11518868.65000000
PA
USD
11712512.35000000
0.500635642673
Long
ABS-CBDO
USGSE
US
Y
2
2047-09-25
Variable
0.03500000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust
29429JAG5
2000000.00000000
PA
USD
2086339.00000000
0.089177764333
Long
ABS-MBS
USGSE
US
Y
2
2036-05-10
Fixed
0.03896000
N
N
N
N
N
N
HILTON WORLDWIDE FINANCE
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC
43289DAH6
1943891.45000000
PA
USD
1954913.31000000
0.083560149358
Long
LON
CORP
US
N
2
2026-06-22
Variable
0.03768380
N
N
N
N
N
N
CSX CORP
549300JVQR4N1MMP3Q88
CSX Corp
126408GT4
2500000.00000000
PA
USD
2530572.38000000
0.108165924776
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
0.03700000
N
N
N
N
N
N
Wachovia Bank Commercial Mortg
N/A
Wachovia Bank Commercial Mortgage Trust
92979FAK6
2750000.00000000
PA
USD
2784789.43000000
0.119032091863
Long
ABS-MBS
USGSE
US
N
2
2046-05-15
Variable
0.06361300
N
Y
N
N
N
N
TURKIYE IS BANKASI A.S
789000FIRX9MDN0KTM91
Turkiye Is Bankasi
90016BAA6
1355000.00000000
PA
USD
1358380.06000000
0.058062135092
Long
DBT
CORP
TR
Y
2
2020-04-30
Fixed
0.05000000
N
N
N
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
085209AB0
7000000.00000000
PA
USD
7332570.00000000
0.313420877152
Long
DBT
NUSS
BM
Y
2
2023-01-03
Fixed
0.04138000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
SYSCO Corp
871829AX5
1245000.00000000
PA
USD
1250751.25000000
0.053461685858
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
0.02600000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Wal-Mart Stores, Inc
931142DU4
5000000.00000000
PA
USD
5072200.00000000
0.216804390969
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
0.02350000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81746DAD2
1429516.29000000
PA
USD
1456263.97000000
0.062246051635
Long
ABS-CBDO
USGSE
US
Y
2
2047-08-25
Variable
0.03500000
N
N
N
N
N
N
HANESBRANDS INC
GX5LWVWZLL5S4W1L2F20
Hanesbrands, Inc
410346AR1
2468592.95000000
PA
USD
2484021.66000000
0.106176176639
Long
LON
CORP
US
N
2
2024-12-16
Variable
0.03793500
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust
36248EAE5
1000000.00000000
PA
USD
1030144.90000000
0.044032163095
Long
ABS-MBS
USGSE
US
Y
2
2043-12-10
Variable
0.05352800
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
46647SAJ9
8179757.52000000
PA
USD
8271460.78000000
0.353552505193
Long
ABS-CBDO
USGSE
US
Y
2
2047-08-25
Variable
0.03500000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAL0
2000000.00000000
PA
USD
2054254.04000000
0.087806335720
Long
DBT
CORP
KY
Y
2
2024-04-11
Fixed
0.03280000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS Mortgage Trust
23305XAJ0
3900000.00000000
PA
USD
4063649.46000000
0.173695249850
Long
ABS-MBS
USGSE
US
Y
2
2044-07-10
Variable
0.05714200
N
N
N
N
N
N
US AIRWAYS 2001-1G PASS
N/A
US Airways Pass Through Trust
90332UAN3
195846.93000000
PA
USD
205370.57000000
0.008778289766
Long
DBT
CORP
US
N
2
2021-03-20
Fixed
0.07076000
N
N
N
N
N
N
SABIC CAPITAL II BV
2138005PCUTH59D4RJ83
SABIC Capital II BV
78520LAA8
1550000.00000000
PA
USD
1629348.62000000
0.069644323022
Long
DBT
CORP
NL
Y
2
2023-10-10
Fixed
0.04000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes Trust
46185HAA0
1980216.09000000
PA
USD
1980213.12000000
0.084641555828
Long
ABS-O
CORP
US
Y
2
2037-06-17
Variable
0.02927500
N
Y
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies, Inc
776743AA4
3134000.00000000
PA
USD
3161594.09000000
0.135138102041
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
0.03000000
N
N
N
N
N
N
20 TSQ GroundCo LLC
N/A
20 Times Square Trust
90137LAG5
10000000.00000000
PA
USD
10043169.00000000
0.429281798520
Long
ABS-MBS
CORP
US
Y
2
2035-05-15
Variable
0.03203200
N
N
N
N
N
N
TEXAS INSTRUMENTS INC
WDJNR2L6D8RWOEB8T652
Texas Instruments, Inc
882508BG8
2500000.00000000
PA
USD
2461414.60000000
0.105209868159
Long
DBT
CORP
US
N
2
2029-09-04
Fixed
0.02250000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Structured Agency Credit Risk Debt Note (STACR)
3137G0PT0
2935148.32000000
PA
USD
2935885.63000000
0.125490496425
Long
ABS-CBDO
USGSE
US
N
2
2029-12-25
Variable
0.01958890
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF S.A.
984245AM2
1500000.00000000
PA
USD
1308750.00000000
0.055940764694
Long
DBT
CORP
AR
Y
2
2021-03-23
Fixed
0.08500000
N
N
N
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AF1
2025000.00000000
PA
USD
2116368.00000000
0.090461313691
Long
DBT
NUSS
MA
Y
2
2022-12-11
Fixed
0.04250000
N
N
N
N
N
N
Nissan Auto Receivables Owner
N/A
Nissan Auto Receivables Owner Trust
65478HAD0
1515000.00000000
PA
USD
1515365.27000000
0.064772257493
Long
ABS-O
CORP
US
N
2
2022-04-18
Fixed
0.02120000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Bank (FFCB)
3133EJ3B3
6525000.00000000
PA
USD
6675543.89000000
0.285337176661
Long
DBT
USGSE
US
N
2
2021-12-17
Fixed
0.02800000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844BG2
2100000.00000000
PA
USD
2143648.02000000
0.091627361584
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
0.03250000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFZ7
6530000.00000000
PA
USD
6578123.81000000
0.281173085909
Long
DBT
CORP
US
N
2
2022-10-21
Fixed
0.02503000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust
46643ABF9
493483.30000000
PA
USD
510629.08000000
0.021826155652
Long
ABS-MBS
USGSE
US
N
2
2047-09-15
Fixed
0.03657000
N
N
N
N
N
N
NOVA CHEMICALS CORP
5493007M1XGU5E55ZJ25
NV Chemicals Corp
66977WAN9
2000000.00000000
PA
USD
2022500.00000000
0.086449051838
Long
DBT
CORP
CA
Y
2
2023-08-01
Fixed
0.05250000
N
N
N
N
N
N
Commercial Mortgage Lease-Back
N/A
Commercial Mortgage Lease-Backed Certificates
201736AG0
1000000.00000000
PA
USD
1055180.00000000
0.045102254892
Long
ABS-MBS
USGSE
US
Y
2
2031-06-20
Variable
0.08053800
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE A
549300M8ZYFG0OCMTT87
Government National Mortgage Association (GNMA)
38376G4R8
127723.92000000
PA
USD
127388.61000000
0.005445055401
Long
ABS-MBS
CORP
US
N
2
2039-05-16
Fixed
0.02176000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group, Inc
606822BL7
3000000.00000000
PA
USD
3024105.27000000
0.129261326700
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
0.02623000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
912828YE4
27535000.00000000
PA
USD
27153166.92000000
1.160625727888
Long
DBT
UST
US
N
2
2024-08-31
Fixed
0.01250000
N
N
N
N
N
N
TCF Auto Receivables Owner Tru
N/A
TCF Auto Receivables Owner Trust
87226VAA4
571882.75000000
PA
USD
571175.22000000
0.024414119259
Long
ABS-O
CORP
US
Y
2
2022-06-15
Fixed
0.01930000
N
N
N
N
N
N
Citibank Credit Card Issuance
R8AG6FXVDQAMDKCSJJ64
Citibank Credit Card Issuance Trust
17305EGC3
2000000.00000000
PA
USD
2000602.80000000
0.085513085372
Long
ABS-O
CORP
US
N
2
2022-04-07
Variable
0.02262100
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust
46640JAX5
5843000.00000000
PA
USD
6117157.65000000
0.261469705211
Long
ABS-MBS
USGSE
US
N
2
2046-01-15
Variable
0.04201000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust
46635TAU6
2000000.00000000
PA
USD
2052921.40000000
0.087749373809
Long
ABS-MBS
USGSE
US
Y
2
2046-02-15
Variable
0.05013100
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36193AAL2
2000000.00000000
PA
USD
1997580.40000000
0.085383896935
Long
ABS-MBS
CORP
US
Y
2
2027-12-10
Variable
0.03549500
N
N
N
N
N
N
Planet Fitness Master Issuer L
549300NX9W3U2DO53T22
Planet Fitness Master Issuer LLC
72703PAA1
8365500.00000000
PA
USD
8552636.24000000
0.365570973384
Long
ABS-O
CORP
US
Y
2
2048-09-05
Fixed
0.04262000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81746KAD6
632886.82000000
PA
USD
644728.77000000
0.027558067174
Long
ABS-CBDO
USGSE
US
Y
2
2047-02-25
Variable
0.03500000
N
N
N
N
N
N
KOREA DEVELOPMENT BANK
549300ML2LNRZUCS7149
Korea Development Bank
500630CT3
2000000.00000000
PA
USD
2003904.98000000
0.085654232630
Long
DBT
NUSS
KR
N
2
2021-03-12
Variable
0.02668500
N
N
N
N
N
N
US BANK NA CINCINNATI
6BYL5QZYBDK8S7L73M02
US Bank NA
90331HNG4
3000000.00000000
PA
USD
3004042.47000000
0.128403769203
Long
DBT
CORP
US
N
2
2020-10-23
Fixed
0.02050000
N
N
N
N
N
N
OUTFRONT MEDIA CAPITAL L
5493005WC7J0FDMW0610
Outfront Media Capital LLC
12505MAD8
2290298.51000000
PA
USD
2300788.08000000
0.098344102842
Long
LON
CORP
US
N
2
2024-03-18
Variable
0.04042130
N
N
N
N
N
N
BOC AVIATION LTD
254900H06V5RMEB3KE72
BOC Aviation Ltd
09681LAJ9
4400000.00000000
PA
USD
4524117.31000000
0.193377330955
Long
DBT
CORP
SG
Y
2
2024-10-10
Fixed
0.03500000
N
N
N
N
N
N
EXPORT DEVELOPMNT CANADA
Z6MHCSLXHKYG4B6PHW02
Export Development Canada
30216BHH8
1700000.00000000
PA
USD
1770675.48000000
0.075685150239
Long
DBT
NUSS
CA
N
2
2024-02-21
Fixed
0.02625000
N
N
N
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
United States Treasury Bill
912796WA3
15090000.00000000
PA
USD
15074096.80000000
0.644322064616
Long
STIV
UST
US
N
2
N
N
N
KOMMUNALBANKEN AS
I7ETN0QQO2AHZZGHJ389
Kommunalbanken AS.
50048MCD0
1150000.00000000
PA
USD
1143194.10000000
0.048864299635
Long
DBT
NUSS
NO
Y
2
2020-10-26
Fixed
0.01375000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81745YAA3
2256197.91000000
PA
USD
2314452.94000000
0.098928188968
Long
ABS-CBDO
USGSE
US
Y
2
2043-12-25
Fixed
0.04000000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust
14315EAC4
3140000.00000000
PA
USD
3212777.66000000
0.137325875142
Long
ABS-O
CORP
US
N
2
2023-09-15
Fixed
0.03360000
N
N
N
N
N
N
Verizon Owner Trust
549300DBBHVB9QKK8Q94
Verizon Owner Trust
92348XAC9
10905000.00000000
PA
USD
11214522.07000000
0.479349715588
Long
ABS-O
CORP
US
N
2
2023-04-20
Fixed
0.03380000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust
64830GAB2
2018051.92000000
PA
USD
2093041.11000000
0.089464237042
Long
ABS-O
USGSE
US
Y
2
2057-12-25
Variable
0.04000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JW30
1725000.00000000
PA
USD
1760815.55000000
0.075263700746
Long
DBT
NUSS
EG
Y
2
2023-02-21
Fixed
0.05577000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BD1
1120000.00000000
PA
USD
1140203.75000000
0.048736481132
Long
DBT
CORP
US
N
2
2021-11-30
Fixed
0.02900000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
SoFi Professional Loan Program LLC
83404LAC5
2176545.91000000
PA
USD
2182116.78000000
0.093271657173
Long
ABS-O
CORP
US
Y
2
2033-04-25
Fixed
0.02340000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic Government International Bond
25714PAK4
333333.33000000
PA
USD
348333.33000000
0.014889041336
Long
DBT
NUSS
DO
Y
2
2021-05-06
Fixed
0.07500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CP8
3650000.00000000
PA
USD
3681940.53000000
0.157379613223
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
0.02700000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214DG5
3000000.00000000
PA
USD
3051726.93000000
0.130441977537
Long
DBT
CORP
AU
N
2
2022-01-11
Fixed
0.02800000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co, Inc
37045XBY1
2170000.00000000
PA
USD
2195112.09000000
0.093827124282
Long
DBT
CORP
US
N
2
2022-06-30
Fixed
0.03150000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFN4
3500000.00000000
PA
USD
3503284.33000000
0.149743193399
Long
DBT
CORP
US
N
2
2020-04-21
Fixed
0.02250000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Trust
16164AAC9
7879025.18000000
PA
USD
8211067.79000000
0.350971087777
Long
ABS-CBDO
CORP
US
Y
2
2045-12-25
Variable
0.03750000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Manufactured Housing Trust
00442QAE8
374731.52000000
PA
USD
408547.97000000
0.017462835420
Long
ABS-O
CORP
US
Y
2
2030-08-15
Variable
0.06500000
N
N
N
N
N
N
CELGENE CORP
4SIHMF0MOSTTL8CD0X64
Celgene Corp
151020AQ7
2285000.00000000
PA
USD
2297563.04000000
0.098206252829
Long
DBT
CORP
US
N
2
2020-08-15
Fixed
0.02875000
N
N
N
N
N
N
AECOM TECHNOLOGY
0EEB8GF0W0NPCIHZX097
AECOM
00766WAT0
1237735.63000000
PA
USD
1240446.27000000
0.053021213299
Long
LON
CORP
US
N
2
2025-03-13
Variable
0.03803630
N
N
N
N
N
N
Toyota Auto Receivables Owner
N/A
Toyota Auto Receivables Owner
89231PAD0
1990000.00000000
PA
USD
2026847.64000000
0.086634885883
Long
ABS-O
CORP
US
N
2
2023-03-15
Fixed
0.03180000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12592GBG7
3300000.00000000
PA
USD
3573382.23000000
0.152739434185
Long
ABS-MBS
USGSE
US
N
2
2047-08-10
Variable
0.04703000
N
Y
N
N
N
N
PROV OF NEW BRUNSWICK
549300POZA55ZTGSOU44
Province of New Brunswick Canada
642866DP9
1300000.00000000
PA
USD
1509056.67000000
0.064502604841
Long
DBT
NUSS
CA
N
2
2022-05-01
Fixed
0.08750000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal
03938LAX2
1162000.00000000
PA
USD
1256981.88000000
0.053728005787
Long
DBT
CORP
LU
N
2
2022-02-25
Fixed
0.06250000
N
N
N
N
N
N
Ford Credit Auto Owner Trust/F
5493005ENKLDPQ5PJ790
Ford Credit Auto Owner Trust
34530NAB3
7250000.00000000
PA
USD
7250623.50000000
0.309918183839
Long
ABS-O
CORP
US
Y
2
2026-04-15
Fixed
0.02510000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Structured Agency Credit Risk Debt Note (STACR)
3137G0TG4
2004490.59000000
PA
USD
2001610.14000000
0.085556142770
Long
ABS-CBDO
USGSE
US
N
2
2030-07-25
Variable
0.02468400
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
Credit Suisse First Boston Mortgage Securities Corp
22541QWN8
235360.97000000
PA
USD
247706.31000000
0.010587874231
Long
ABS-CBDO
CORP
US
N
2
2033-09-25
Fixed
0.05750000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBC5
927500.00000000
PA
USD
928468.25000000
0.039686130964
Long
DBT
CORP
US
N
2
2022-12-20
Fixed
0.02000000
N
N
N
N
N
N
Invitation Homes Trust
N/A
Invitation Homes Trust
46187VAA7
2633356.80000000
PA
USD
2629055.74000000
0.112375464007
Long
ABS-O
CORP
US
Y
2
2037-07-17
Variable
0.03024800
N
N
N
N
N
N
Veros Auto Receivables Trust
N/A
Veros Automobile Receivables Trust
925110AA6
89662.89000000
PA
USD
89655.73000000
0.003832214017
Long
ABS-O
CORP
US
Y
2
2023-04-17
Fixed
0.02840000
N
N
N
N
N
N
NEWMONT GOLDCORP CORP
549300VSP3RIX7FGDZ51
Newmont Goldcorp Corp
651639AR7
2200000.00000000
PA
USD
2241015.59000000
0.095789207867
Long
DBT
CORP
US
N
2
2021-06-09
Fixed
0.03625000
N
N
N
N
N
N
Ford Credit Auto Owner Trust/F
N/A
Ford Credit Auto Owner Trust
34530UAA9
2300000.00000000
PA
USD
2306502.56000000
0.098588360630
Long
ABS-O
CORP
US
Y
2
2027-08-15
Fixed
0.02310000
N
N
N
N
N
N
HONDURAS GOVERNMENT
N/A
Honduras Government International Bond
EJ9871389
500000.00000000
PA
USD
533130.00000000
0.022787927321
Long
DBT
NUSS
HN
Y
2
2020-12-16
Fixed
0.08750000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Trust
05529SAN9
1000000.00000000
PA
USD
1002797.20000000
0.042863222312
Long
ABS-MBS
USGSE
US
Y
2
2032-09-05
Fixed
0.03631300
N
N
N
N
N
N
PERUSAHAAN PENERBIT SBSN
254900G208H6Q0L5B953
Perusahaan Penerbit SBSN Indonesia III
71567PAL4
3400000.00000000
PA
USD
3583600.00000000
0.153176179070
Long
DBT
NUSS
ID
Y
2
2024-08-20
Fixed
0.03900000
N
N
N
N
N
N
BB&T CORPORATION
549300DRQQI75D2JP341
BB&T Corp
05531FBF9
1680000.00000000
PA
USD
1777837.07000000
0.075991262806
Long
DBT
CORP
US
N
2
2023-12-06
Fixed
0.03750000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BU3
3250000.00000000
PA
USD
3245937.50000000
0.138743248060
Long
DBT
NUSS
BR
N
2
2023-01-05
Fixed
0.02625000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust
46635TCG5
1840644.53000000
PA
USD
1886530.33000000
0.080637210528
Long
ABS-MBS
USGSE
US
Y
2
2046-02-15
Fixed
0.04717100
N
N
N
N
N
N
Capital One Multi-Asset Execut
R42WS16M9R97TJJKGU15
Capital One Multi-Asset Execution Trust
14041NFD8
2500000.00000000
PA
USD
2513811.00000000
0.107449482052
Long
ABS-O
CORP
US
N
2
2024-02-15
Variable
0.02657500
N
N
N
N
N
N
INTL BK RECON & DEVELOP
ZTMSNXROF84AHWJNKQ93
International Bank for Reconstruction & Development
459056HV2
10000000.00000000
PA
USD
9937682.30000000
0.424772910907
Long
DBT
NUSS
N/A
N
2
2024-08-28
Fixed
0.01500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc
38143U8F1
4000000.00000000
PA
USD
4035514.16000000
0.172492644160
Long
DBT
CORP
US
N
2
2021-02-25
Fixed
0.02875000
N
N
N
N
N
N
CLEAN HARBORS INC
5493000SJVZVZJKHJF48
Clean Harbors, Inc
18449EAE0
1955000.00000000
PA
USD
1963308.75000000
0.083919001188
Long
LON
CORP
US
N
2
2024-06-28
Variable
0.03793500
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust
14315NAC4
1615000.00000000
PA
USD
1647925.01000000
0.070438345916
Long
ABS-O
CORP
US
N
2
2024-03-15
Fixed
0.03050000
N
N
N
N
N
N
MOLEX ELECTRONICS TECH
549300WTBVUFUPSIWI20
Molex Electronic Technologies LLC
60856BAA2
800000.00000000
PA
USD
801289.97000000
0.034250065836
Long
DBT
CORP
US
Y
2
2020-04-15
Fixed
0.02878000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Trust
36255GAA8
794866.45000000
PA
USD
797058.14000000
0.034069181934
Long
ABS-O
CORP
US
Y
2
2022-07-15
Fixed
0.02820000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding
05946XRA3
213842.54000000
PA
USD
213972.53000000
0.009145969017
Long
ABS-CBDO
USGSE
US
N
2
2035-02-20
Variable
0.02844300
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust
63874FAG2
3500000.00000000
PA
USD
3607390.50000000
0.154193072107
Long
ABS-MBS
USGSE
US
Y
2
2032-11-15
Variable
0.03916700
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
9128287F1
48010000.00000000
PA
USD
48075638.79000000
2.054928746571
Long
DBT
UST
US
N
2
2021-07-31
Fixed
0.01750000
N
N
N
N
N
N
FIFTH THIRD BANK
QFROUN1UWUYU0DVIWD51
Fifth Third Bank
31677QBK4
2000000.00000000
PA
USD
2003688.78000000
0.085644991451
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
0.02200000
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
374422AB9
1500000.00000000
PA
USD
1640555.75000000
0.070123356774
Long
DBT
NUSS
GH
Y
2
2023-08-07
Fixed
0.07875000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust
36249KAA8
132367.43000000
PA
USD
132445.18000000
0.005661191709
Long
ABS-MBS
USGSE
US
Y
2
2043-08-10
Fixed
0.03679000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Structured Agency Credit Risk Debt Note (STACR)
3137G0LT4
1622285.60000000
PA
USD
1627993.77000000
0.069586411775
Long
ABS-CBDO
USGSE
US
N
2
2029-04-25
Variable
0.03318400
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
912828W63
10000000.00000000
PA
USD
9989062.50000000
0.426969088694
Long
DBT
UST
US
N
2
2020-03-15
Fixed
0.01625000
N
N
N
N
N
N
ZIONS BANCORP NA
8WH0EE09O9V05QJZ3V89
Zions Bancorp NA
98971DAA8
1115000.00000000
PA
USD
1141439.96000000
0.048789321272
Long
DBT
CORP
US
N
2
2022-03-04
Fixed
0.03350000
N
N
N
N
N
N
MIDWEST CONNECTOR CAPIT
N/A
Midwest Connector Capital Co LLC
59833CAB8
1350000.00000000
PA
USD
1384888.05000000
0.059195183597
Long
DBT
CORP
US
Y
2
2022-04-01
Fixed
0.03625000
N
N
N
N
N
N
PRUDENTIAL FINANCIAL INC
5PRBRS5FEH7NREC8OR45
Prudential Financial, Inc
74432QBP9
1570000.00000000
PA
USD
1612151.39000000
0.068909250475
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
0.04500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CitiBank NA
17325FAE8
5000000.00000000
PA
USD
5001580.00000000
0.213785833718
Long
DBT
CORP
US
N
2
2020-06-12
Fixed
0.02100000
N
N
N
N
N
N
SHIRE ACQ INV IRELAND DA
549300XK5HGW68R8K327
Shire Acquisitions Investments Ireland DAC
82481LAB5
3000000.00000000
PA
USD
3013908.24000000
0.128825468319
Long
DBT
CORP
IE
N
2
2021-09-23
Fixed
0.02400000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Capital Corp
36962G4Y7
4486000.00000000
PA
USD
4602478.14000000
0.196726759610
Long
DBT
CORP
US
N
2
2021-01-07
Fixed
0.04625000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
Onslow Bay Financial LLC
67097VAM6
1586039.81000000
PA
USD
1606149.68000000
0.068652715425
Long
ABS-CBDO
USGSE
US
Y
2
2048-04-25
Variable
0.04500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc
172967KB6
4000000.00000000
PA
USD
4024407.40000000
0.172017900589
Long
DBT
CORP
US
N
2
2020-10-26
Fixed
0.02650000
N
N
N
N
N
N
WR GRACE & CO-CONN
549300GJVOEHHLSO6K25
WR Grace & Co-Conn
92940JAD0
312631.59000000
PA
USD
313119.30000000
0.013383864819
Long
LON
CORP
US
N
2
2025-04-03
Variable
0.03854380
N
N
N
N
N
N
BAY AREA CA TOLL AUTH TOLL BRI
5493001FUZGUQMIP5D78
Bay Area Toll Authority
072024WP3
5000000.00000000
PA
USD
5028350.00000000
0.214930081490
Long
DBT
MUN
US
N
2
2024-04-01
Fixed
0.02254000
N
N
N
N
N
N
CIG Auto Receivables Trust
N/A
CIG Auto Receivables Trust
171787AA2
1098987.56000000
PA
USD
1100129.74000000
0.047023571284
Long
ABS-O
CORP
US
Y
2
2023-05-15
Fixed
0.02710000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114GW4
2725000.00000000
PA
USD
1335277.25000000
0.057074636442
Long
DBT
NUSS
AR
N
3
2021-04-22
Fixed
0.06875000
N
N
N
N
N
N
MTN MAURITIUS INVSTMENTS
2549009PQD415OQIR074
MTN Mauritius Investment Ltd
55377XAC0
2050000.00000000
PA
USD
2109811.25000000
0.090181054200
Long
DBT
CORP
MU
Y
2
2022-02-13
Fixed
0.05373000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS Mortgage Trust
233050AG8
3130000.00000000
PA
USD
3237170.26000000
0.138368504137
Long
ABS-MBS
USGSE
US
Y
2
2046-11-10
Variable
0.05884900
N
N
N
N
N
N
UNITED OVERSEAS BANK LTD
IO66REGK3RCBAMA8HR66
United Overseas Bank Ltd
91127KAB8
2100000.00000000
PA
USD
2105017.43000000
0.089976148789
Long
DBT
CORP
SG
Y
2
2021-04-23
Variable
0.02739400
N
N
N
N
N
N
HSBC BANK CANADA
DMB80L5QKUQ124HSYW98
HSBC Bank Canada
40427HTH6
16000000.00000000
PA
USD
15892379.20000000
0.679298449099
Long
DBT
CORP
CA
Y
2
2022-09-10
Fixed
0.01650000
N
N
N
N
N
N
FREDDIE MAC
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp (FHLMC)
3137EAEE5
5500000.00000000
PA
USD
5493320.64000000
0.234804628318
Long
DBT
USGSE
US
N
2
2020-01-17
Fixed
0.01500000
N
N
N
N
N
N
CAPITAL ONE BANK USA NA
LKE37K2B8CFZUR7F9816
Capital One Bank USA NA
140420NB2
4000000.00000000
PA
USD
4122233.48000000
0.176199345267
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
0.03375000
N
N
N
N
N
N
KOREA HOUSING FINANCE CO
9884002AAOBT56QW9B80
Korea Housing Finance Corp
50065RAE7
6700000.00000000
PA
USD
6665070.96000000
0.284889525305
Long
DBT
NUSS
KR
Y
2
2021-10-11
Fixed
0.02000000
N
N
N
N
N
N
ACTIVISION BLIZZARD
549300TPQQDBP9GNOF40
Activision Blizzard, Inc
00507VAL3
500000.00000000
PA
USD
505126.39000000
0.021590950543
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.02600000
N
N
N
N
N
N
NRZ Excess Spread Collateraliz
549300FB4YR8GY21CA08
New Residential Mortgage LLC
64829TAD3
1568195.68000000
PA
USD
1588400.47000000
0.067894049232
Long
ABS-O
CORP
US
Y
2
2023-05-25
Fixed
0.04690000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AJ0
9186975.00000000
PA
USD
9460746.86000000
0.404386944738
Long
ABS-O
CORP
US
Y
2
2049-05-20
Fixed
0.03787000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
9128283Y4
37000000.00000000
PA
USD
37050586.03000000
1.583677642702
Long
DBT
UST
US
N
2
2020-02-29
Fixed
0.02250000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JW2
3125000.00000000
PA
USD
3166744.09000000
0.135358231889
Long
DBT
CORP
US
N
2
2021-05-13
Fixed
0.02800000
N
N
N
N
N
N
BANCO DE CREDITO DEL PER
549300EQYQ8SCQZ4BY14
Banco de Credito del Peru
05971U2A4
2100000.00000000
PA
USD
2100000.00000000
0.089761685469
Long
DBT
CORP
PE
Y
2
2025-01-11
Fixed
0.02700000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities Trust
073877AF9
930570.08000000
PA
USD
930504.20000000
0.039773154918
Long
ABS-O
CORP
US
N
2
2043-08-25
Variable
0.03248400
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128284H0
10328700.00000000
PA
USD
10416010.57000000
0.445218411727
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.00625000
N
N
N
N
N
N
Shellpoint Co-Originator Trust
N/A
Shellpoint Co-Originator Trust
82281FAD6
932421.72000000
PA
USD
961674.40000000
0.041105483341
Long
ABS-CBDO
USGSE
US
Y
2
2047-10-25
Variable
0.03500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
30711XCZ5
1650671.04000000
PA
USD
1653301.38000000
0.070668151646
Long
ABS-CBDO
USGSE
US
N
2
2029-01-25
Variable
0.03468400
N
N
N
N
N
N
HSBC USA INC
549300LBOHZ4QSIWU288
HSBC USA, Inc
40428HPV8
1975000.00000000
PA
USD
1986405.49000000
0.084906240384
Long
DBT
CORP
US
N
2
2020-08-07
Fixed
0.02750000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
759470AU1
6500000.00000000
PA
USD
6529968.97000000
0.279114771813
Long
DBT
CORP
IN
N
2
2026-01-15
Fixed
0.02060000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
30711XAF1
1922562.90000000
PA
USD
2004579.43000000
0.085683061092
Long
ABS-CBDO
USGSE
US
N
2
2024-05-25
Variable
0.04618400
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
30711XK29
7785000.00000000
PA
USD
7800060.86000000
0.333403147407
Long
ABS-CBDO
USGSE
US
N
2
2030-10-25
Variable
0.02868400
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12593ABL8
500000.00000000
PA
USD
502609.85000000
0.021483384414
Long
ABS-MBS
USGSE
US
Y
2
2048-05-10
Variable
0.03807300
N
N
N
N
N
N
Opteum Mortgage Acceptance Cor
N/A
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates
68383NAX1
1349908.62000000
PA
USD
1354648.15000000
0.057902619600
Long
ABS-CBDO
USGSE
US
N
2
2035-04-25
Variable
0.02693400
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CH5
1000000.00000000
PA
USD
1000438.80000000
0.042762415665
Long
DBT
CORP
US
N
2
2020-11-10
Fixed
0.01950000
N
N
N
N
N
N
WI TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
9128284C1
20750000.00000000
PA
USD
20787285.26000000
0.888524648222
Long
DBT
UST
US
N
2
2020-03-31
Fixed
0.02250000
N
N
N
N
N
N
GOLD FIELDS OROGEN HOLD
213800CLGJ2E9KGU2F20
Gold Fields Orogen Holding BVI Ltd
38060AAA2
1385000.00000000
PA
USD
1408240.30000000
0.060193344225
Long
DBT
CORP
VG
Y
2
2020-10-07
Fixed
0.04875000
N
N
N
N
N
N
VNO Mortgage Trust
N/A
VNDO Mortgage Trust
91830MAG1
2460000.00000000
PA
USD
2494538.40000000
0.106625700596
Long
ABS-MBS
USGSE
US
Y
2
2029-12-13
Variable
0.04078700
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust
61764PBA9
1926539.24000000
PA
USD
2044827.79000000
0.087403423297
Long
ABS-MBS
USGSE
US
Y
2
2046-12-15
Fixed
0.03989000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
Credit Suisse Commercial Mortgage Trust
12649AAA7
2825000.00000000
PA
USD
2890548.19000000
0.123552608316
Long
ABS-MBS
USGSE
US
Y
2
2037-09-15
Fixed
0.03303900
N
N
N
N
N
N
MONTEFIORE MEDICAL CENT
549300LVC84TCICWUW24
Montefiore Medical Center
61237WAB2
12790000.00000000
PA
USD
12831014.08000000
0.548444500047
Long
DBT
CORP
US
N
2
2026-10-20
Fixed
0.02152000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
912828YC8
30030000.00000000
PA
USD
29940848.44000000
1.279781438263
Long
DBT
UST
US
N
2
2021-08-31
Fixed
0.01500000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709AJ7
3000000.00000000
PA
USD
3130475.13000000
0.133807963803
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
0.03850000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CD9
2050000.00000000
PA
USD
2081869.12000000
0.088986705303
Long
DBT
CORP
US
N
2
2022-05-20
Fixed
0.02750000
N
N
N
N
N
N
FED CAISSES DESJARDINS
549300B2Q47IR0CR5B54
Federation des Caisses Desjardins du Quebec
31430WCB8
16800000.00000000
PA
USD
16830947.28000000
0.719416283760
Long
DBT
CORP
CA
Y
2
2022-09-26
Fixed
0.01950000
N
N
N
N
N
N
JPN BANK FOR INT'L COOP
549300TJ3QFYVCTSCJ29
Japan Bank for International Cooperation
471048AS7
1500000.00000000
PA
USD
1500120.00000000
0.064120618860
Long
DBT
NUSS
JP
N
2
2021-04-20
Fixed
0.01875000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12593ABQ7
7550000.00000000
PA
USD
7562415.98000000
0.323245335516
Long
ABS-MBS
USGSE
US
Y
2
2048-05-10
Variable
0.03807300
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BR9
5000000.00000000
PA
USD
5005168.45000000
0.213939217204
Long
DBT
CORP
US
N
2
2020-06-05
Fixed
0.02404000
N
N
N
N
N
N
KOMMUNALBANKEN AS
I7ETN0QQO2AHZZGHJ389
Kommunalbanken AS.
50048MCA6
3750000.00000000
PA
USD
3738538.73000000
0.159798827427
Long
DBT
NUSS
NO
Y
2
2021-02-10
Fixed
0.01625000
N
N
N
N
N
N
Centex Home Equity
N/A
Centex Home Equity
152314EL0
4099.24000000
PA
USD
4177.25000000
0.000178550952
Long
ABS-O
CORP
US
N
2
2032-01-25
Fixed
0.05540000
N
N
N
N
N
N
ONTARIO TEACHERS' FINANC
635400ZZE5J8OXXBBY26
Ontario Teachers' Finance Trust
68329AAC2
15000000.00000000
PA
USD
14881024.50000000
0.636069447918
Long
DBT
NUSS
CA
Y
2
2024-09-12
Fixed
0.01625000
N
N
N
N
N
N
UNITED TECHNOLOGIES CORP
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017DB2
8000000.00000000
PA
USD
8462160.96000000
0.361703728800
Long
DBT
CORP
US
N
2
2023-08-16
Fixed
0.03650000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891AAR8
3000000.00000000
PA
USD
3042737.97000000
0.130057756489
Long
DBT
CORP
US
Y
2
2022-09-20
Fixed
0.03250000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust
36259DAA1
4500000.00000000
PA
USD
4498668.90000000
0.192289572777
Long
ABS-MBS
USGSE
US
Y
2
2031-10-15
Variable
0.03117500
N
N
N
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines, Inc
02376CAX3
1939393.94000000
PA
USD
1939393.94000000
0.082896794687
Long
LON
CORP
US
N
2
2021-10-10
Variable
0.04049000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot, Inc
437076BG6
1750000.00000000
PA
USD
1790520.62000000
0.076533404151
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.02625000
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
Santander UK plc
80283LAP8
2500000.00000000
PA
USD
2498621.65000000
0.106800233644
Long
DBT
CORP
GB
N
2
2020-11-03
Fixed
0.02125000
N
N
N
N
N
N
LB-UBS Commercial Mortgage Tru
N/A
LB-UBS Commercial Mortgage Trust
52108HV76
4544951.99000000
PA
USD
4544548.85000000
0.194250649749
Long
ABS-MBS
USGSE
US
Y
2
2039-12-15
Variable
0.05964000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust
45254NMB0
131342.16000000
PA
USD
131489.00000000
0.005620321076
Long
ABS-CBDO
USGSE
US
N
2
2035-03-25
Variable
0.02678400
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust
46642NBJ4
1000000.00000000
PA
USD
1049654.90000000
0.044866091897
Long
ABS-MBS
USGSE
US
N
2
2047-09-15
Variable
0.04708600
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services, Inc
03852JAK7
654531.92000000
PA
USD
654806.82000000
0.027988839914
Long
LON
CORP
US
N
2
2024-03-28
Variable
0.03793500
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings, Inc
65339KBF6
3050000.00000000
PA
USD
3106923.22000000
0.132801268976
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
0.02900000
N
N
N
N
N
N
CPPIB CAPITAL INC
549300KW9NB55HTDK075
CPPIB Capital, Inc
22411VAJ7
19000000.00000000
PA
USD
19304271.32000000
0.825135204970
Long
DBT
NUSS
CA
Y
2
2021-07-22
Fixed
0.02750000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS Mortgage Trust
23305XAH4
3800000.00000000
PA
USD
3976608.80000000
0.169974813495
Long
ABS-MBS
USGSE
US
Y
2
2044-07-10
Variable
0.05714200
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC
00772BAR2
2000000.00000000
PA
USD
2065826.40000000
0.088300980738
Long
DBT
CORP
IE
N
2
2022-02-01
Fixed
0.03950000
N
N
N
N
N
N
GS CALTEX CORP
988400KLBPXB4WMBUX18
GS Caltex Corp
36294BAJ3
2000000.00000000
PA
USD
2034120.00000000
0.086945733165
Long
DBT
CORP
KR
Y
2
2024-06-04
Fixed
0.03000000
N
N
N
N
N
N
NATIONAL RETAIL PROP INC
5493008JKH5SOTI0JS97
National Retail Properties, Inc
637417AE6
500000.00000000
PA
USD
519126.01000000
0.022189345537
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
0.03800000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust
17309PAS5
1897800.38000000
PA
USD
1837008.33000000
0.078520459010
Long
ABS-O
CORP
US
Y
2
2036-09-25
Variable
0.02630500
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HAY1
1355000.00000000
PA
USD
1415275.93000000
0.060494072800
Long
DBT
CORP
US
N
2
2021-07-15
Fixed
0.04750000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American, Inc
761713BE5
1465000.00000000
PA
USD
1474263.05000000
0.063015398187
Long
DBT
CORP
US
N
2
2020-06-12
Fixed
0.03250000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61745M2L6
1250000.00000000
PA
USD
1245269.00000000
0.053227354429
Long
ABS-MBS
USGSE
US
N
2
2056-07-15
Fixed
0.05000000
N
Y
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
Lennar Corp
526057BX1
3200000.00000000
PA
USD
3268000.00000000
0.139686280054
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
0.04750000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co
254687FJ0
3000000.00000000
PA
USD
2992516.32000000
0.127911099370
Long
DBT
CORP
US
N
2
2022-09-01
Fixed
0.01650000
N
N
N
N
N
N
BRITISH COLUMBIA PROV OF
54930058TO7MEKUHWL16
Province of British Columbia Canada
110709AD4
12000000.00000000
PA
USD
12029711.76000000
0.514193906326
Long
DBT
NUSS
CA
N
2
2024-09-27
Fixed
0.01750000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81746TAD7
267896.43000000
PA
USD
271911.13000000
0.011622476822
Long
ABS-CBDO
USGSE
US
Y
2
2047-02-25
Variable
0.03500000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co, Inc
37045XCU8
5000000.00000000
PA
USD
5107466.40000000
0.218311805972
Long
DBT
CORP
US
N
2
2022-07-08
Fixed
0.03550000
N
N
N
N
N
N
DEXIA CREDIT LOCAL
F4G136OIPBYND1F41110
Dexia Credit Local S.A.
25214BAX2
10000000.00000000
PA
USD
10227405.20000000
0.437156727966
Long
DBT
CORP
FR
Y
2
2022-01-29
Fixed
0.02875000
N
N
N
N
N
N
HCP INC
PZ9HF5U52KPF0MH0QN75
HCP, Inc
40414LAJ8
2141000.00000000
PA
USD
2285750.61000000
0.097701346340
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
0.04250000
N
N
N
N
N
N
FREDDIE MAC
N/A
Federal Home Loan Mortgage Corp (FHLMC)
3137A4QS9
48209.00000000
PA
USD
48293.50000000
0.002064240932
Long
ABS-CBDO
USGSE
US
N
2
2020-12-15
Variable
0.02427500
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank
89114QBT4
3000000.00000000
PA
USD
2997595.80000000
0.128128214934
Long
DBT
CORP
CA
N
2
2020-09-11
Fixed
0.01850000
N
N
N
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
United States Treasury Bill
912796VX4
19450000.00000000
PA
USD
19450000.00000000
0.831364182083
Long
STIV
UST
US
N
2
N
N
N
RBSCF Trust
N/A
RBS Commercial Funding, Inc Trust
74932BAG8
2000000.00000000
PA
USD
2023029.60000000
0.086471688881
Long
ABS-MBS
USGSE
US
Y
2
2031-03-11
Fixed
0.03511000
N
N
N
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
EJ5038918
1900000.00000000
PA
USD
1973040.43000000
0.084334968807
Long
DBT
NUSS
IN
N
2
2023-01-14
Fixed
0.04000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CitiBank NA
17325FAY4
5000000.00000000
PA
USD
5051249.30000000
0.215908881377
Long
DBT
CORP
US
N
2
2022-05-20
Fixed
0.02844000
N
N
N
N
N
N
GM Financial Securitized Term
549300RO0W90UZB1HD05
GM Financial Consumer Automobile Receivables Trust
38013FAD3
2480000.00000000
PA
USD
2523954.03000000
0.107883032276
Long
ABS-O
CORP
US
N
2
2023-10-16
Fixed
0.03210000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
Analog Devices, Inc
032654AQ8
5000000.00000000
PA
USD
5018037.85000000
0.214489302459
Long
DBT
CORP
US
N
2
2020-03-12
Fixed
0.02850000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications, Inc
914908AX6
274570.91000000
PA
USD
266619.34000000
0.011396286350
Long
LON
CORP
US
N
2
2024-03-15
Variable
0.04793500
N
N
N
N
N
N
COMM Mortgage Trust
549300BCCWSDWINK2593
COMM Mortgage Trust
12626LBN1
1000000.00000000
PA
USD
1085199.10000000
0.046385381088
Long
ABS-MBS
USGSE
US
N
2
2050-08-10
Variable
0.04715000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust
64829DAG1
715458.59000000
PA
USD
739767.73000000
0.031620380143
Long
ABS-CBDO
CORP
US
Y
2
2054-11-25
Variable
0.03750000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AK5
1000000.00000000
PA
USD
1000043.27000000
0.042745509265
Long
DBT
CORP
US
N
2
2020-01-23
Fixed
0.05300000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Structured Agency Credit Risk Debt Note (STACR)
3137G1DL8
445664.58000000
PA
USD
445277.88000000
0.019032806195
Long
ABS-CBDO
USGSE
US
Y
2
2048-11-25
Variable
0.04458900
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
Tyson Foods, Inc
902494BF9
1300000.00000000
PA
USD
1301484.47000000
0.055630209352
Long
DBT
CORP
US
N
2
2021-08-23
Fixed
0.02250000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group, Inc
026874CX3
2415000.00000000
PA
USD
2443657.07000000
0.104450846339
Long
DBT
CORP
US
N
2
2020-08-15
Fixed
0.03375000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12591UAJ2
2014904.00000000
PA
USD
2150449.61000000
0.091918086433
Long
ABS-MBS
USGSE
US
N
2
2047-03-10
Fixed
0.04701000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAN8
6105000.00000000
PA
USD
6262600.03000000
0.267686444815
Long
DBT
CORP
US
N
2
2023-01-23
Fixed
0.03125000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust
74333JAA9
2211901.08000000
PA
USD
2217778.76000000
0.094795980712
Long
ABS-O
CORP
US
Y
2
2034-08-17
Fixed
0.02768000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BL5
2000000.00000000
PA
USD
2000650.10000000
0.085515107147
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
0.02080000
N
N
N
N
N
N
Centex Home Equity
N/A
Centex Home Equity
152314JV3
75650.43000000
PA
USD
74975.40000000
0.003204722987
Long
ABS-O
CORP
US
N
2
2034-03-25
Variable
0.02663400
N
N
N
N
N
N
EXPORT-IMPORT BANK KOREA
549300APVP4R32PI3Y06
Export-Import Bank of Korea
302154CD9
5000000.00000000
PA
USD
4997789.20000000
0.213623801053
Long
DBT
NUSS
KR
N
2
2019-10-21
Fixed
0.01500000
N
N
N
N
N
N
Synchrony Card Issuance Trust
N/A
Synchrony Card Issuance Trust
87166PAA9
1100000.00000000
PA
USD
1128268.02000000
0.048226304350
Long
ABS-O
CORP
US
N
2
2024-09-15
Fixed
0.03380000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
912828WR7
10000000.00000000
PA
USD
10073828.10000000
0.430592280658
Long
DBT
UST
US
N
2
2021-06-30
Fixed
0.02125000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
9128282F6
18000000.00000000
PA
USD
17817187.50000000
0.761571800152
Long
DBT
UST
US
N
2
2021-08-31
Fixed
0.01125000
N
N
N
N
N
N
DUKE REALTY LP
2549009GZDBNY1KE9O81
Duke Realty LP
264411AD1
1000000.00000000
PA
USD
1020474.40000000
0.043618810534
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
0.03875000
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAF7
2450000.00000000
PA
USD
2450024.50000000
0.104723013600
Long
ABS-O
CORP
US
Y
2
2047-07-25
Variable
0.02551000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBT8
834000.00000000
PA
USD
844154.96000000
0.036082272384
Long
DBT
CORP
MX
N
2
2025-04-15
Fixed
0.02378000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12592GAG8
2000000.00000000
PA
USD
1997792.60000000
0.085392967139
Long
ABS-MBS
USGSE
US
Y
2
2047-08-10
Variable
0.04905600
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
Kroger Co
501044DB4
2000000.00000000
PA
USD
2007287.52000000
0.085798814769
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
0.02600000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust
46635TAX0
6170000.00000000
PA
USD
6253934.83000000
0.267316062454
Long
ABS-MBS
USGSE
US
Y
2
2046-02-15
Variable
0.05360000
N
N
N
N
N
N
EXPORT CREDIT BANK OF TU
789000JVRVYLAXGDWR11
Export Credit Bank of Turkey
90015LAC1
1425000.00000000
PA
USD
1351579.27000000
0.057771444438
Long
DBT
NUSS
TR
Y
2
2022-09-18
Fixed
0.04250000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2A2
1850000.00000000
PA
USD
1865700.77000000
0.079746878903
Long
DBT
CORP
SA
Y
2
2022-04-16
Fixed
0.02750000
N
N
N
N
N
N
KOMMUNINVEST I SVERIGE
EV2XZWMLLXF2QRX0CD47
Kommuninvest I Sverige AB
50046PBH7
5667000.00000000
PA
USD
5815522.38000000
0.248576709863
Long
DBT
NUSS
SE
Y
2
2022-09-15
Fixed
0.02625000
N
N
N
N
N
N
KOREA HOUSING FINANCE CO
9884002AAOBT56QW9B80
Korea Housing Finance Corp
50065RAF4
1875000.00000000
PA
USD
1910212.50000000
0.081649473144
Long
DBT
NUSS
KR
Y
2
2022-10-31
Fixed
0.03000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
30711XEK6
3183877.94000000
PA
USD
3190386.74000000
0.136368805276
Long
ABS-CBDO
USGSE
US
N
2
2029-07-25
Variable
0.02165000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines, Inc
247361ZK7
2250000.00000000
PA
USD
2254812.01000000
0.096378917349
Long
DBT
CORP
US
N
2
2020-03-13
Fixed
0.02875000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Structured Agency Credit Risk Debt Note (STACR)
3137G1DB0
943612.59000000
PA
USD
950663.55000000
0.040634839315
Long
ABS-CBDO
USGSE
US
Y
2
2048-08-25
Variable
0.04159600
N
N
N
N
N
N
CAISSE D'AMORT DETTE SOC
969500P04DQJS4BPM574
Caisse d'Amortissement de la Dette Sociale
12802DAS5
3000000.00000000
PA
USD
2998678.89000000
0.128174510165
Long
DBT
NUSS
FR
Y
2
2020-01-13
Fixed
0.01875000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T, Inc
00206RCR1
4440000.00000000
PA
USD
4478668.00000000
0.191434661112
Long
DBT
CORP
US
N
2
2021-02-17
Fixed
0.02800000
N
N
N
N
N
N
NRZ Excess Spread Collateraliz
N/A
New Residential Mortgage LLC
64829TAL5
1444411.81000000
PA
USD
1486148.38000000
0.063523420688
Long
ABS-O
CORP
US
Y
2
2054-07-25
Fixed
0.04920000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
617453AV7
171842.09000000
PA
USD
171877.30000000
0.007346664829
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Variable
0.06394100
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings plc
404280BF5
6000000.00000000
PA
USD
6043056.06000000
0.258302332062
Long
DBT
CORP
GB
N
2
2022-01-05
Fixed
0.02650000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
30711XQ31
1114501.78000000
PA
USD
1114921.06000000
0.047655806433
Long
ABS-CBDO
USGSE
US
N
2
2030-12-25
Variable
0.02768400
N
N
N
N
N
N
DISCOVER BANK
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAF8
1555000.00000000
PA
USD
1578636.00000000
0.067476680048
Long
DBT
CORP
US
N
2
2021-08-09
Fixed
0.03200000
N
N
N
N
N
N
Aames Mortgage Trust
N/A
Aames Mortgage Trust (Step Bond)
00253CHQ3
139040.68000000
PA
USD
139587.36000000
0.005966474620
Long
ABS-O
CORP
US
N
2
2032-06-25
Variable
0.05146700
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Structured Agency Credit Risk Debt Note (STACR)
3137G0NW5
12782921.93000000
PA
USD
12824651.78000000
0.548172552061
Long
ABS-CBDO
USGSE
US
N
2
2029-10-25
Variable
0.03218400
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CitiBank NA
17325FAV0
5000000.00000000
PA
USD
5067236.55000000
0.216592234952
Long
DBT
CORP
US
N
2
2022-02-19
Fixed
0.03165000
N
N
N
N
N
N
HONDURAS GOVERNMENT
N/A
Honduras Government International Bond
EJ5862937
1500000.00000000
PA
USD
1661265.00000000
0.071008545910
Long
DBT
NUSS
HN
Y
2
2024-03-15
Fixed
0.07500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAS3
1500000.00000000
PA
USD
1523661.71000000
0.065126877702
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
0.03375000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
46649YAE5
712895.02000000
PA
USD
715753.02000000
0.030593903549
Long
ABS-CBDO
USGSE
US
Y
2
2049-02-25
Variable
0.04000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc
38141GVP6
1870000.00000000
PA
USD
1880080.68000000
0.080361528883
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
0.02750000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust
36418GAU8
1299282.92000000
PA
USD
1329359.50000000
0.056821690149
Long
ABS-CBDO
USGSE
US
Y
2
2058-10-25
Variable
0.04500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
30711XCK8
546556.36000000
PA
USD
548153.83000000
0.023430100798
Long
ABS-CBDO
USGSE
US
N
2
2028-10-25
Variable
0.04018400
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust
36257HBA3
2750000.00000000
PA
USD
2873007.50000000
0.122802855031
Long
ABS-MBS
USGSE
US
Y
2
2052-07-10
Variable
0.03668000
N
N
N
N
N
N
REPUBLIC OF UZBEKISTAN
213800L6VDKUM3TCM927
Republic of Uzbekistan Government International Bond
91822Q2B2
2000000.00000000
PA
USD
2095688.82000000
0.089577409858
Long
DBT
NUSS
UZ
Y
2
2024-02-20
Fixed
0.04750000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust
64828YAR2
1236143.17000000
PA
USD
1256936.33000000
0.053726058813
Long
ABS-CBDO
CORP
US
Y
2
2054-05-25
Variable
0.03750000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367WJM6
1505000.00000000
PA
USD
1534297.68000000
0.065581497984
Long
DBT
CORP
CA
N
2
2022-03-26
Fixed
0.02900000
N
N
N
N
N
N
SYNCHRONY BANK
549300UATVPGSLE43Z27
Synchrony Bank
87166FAA1
1000000.00000000
PA
USD
1013776.00000000
0.043332496403
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
0.03000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CT5
1900000.00000000
PA
USD
1911815.11000000
0.081717974561
Long
DBT
CORP
US
N
2
2020-07-27
Fixed
0.02875000
N
N
N
N
N
N
DNB BOLIGKREDITT AS
5967007LIEEXZX659K67
DNB Boligkreditt AS.
25600WAG5
5000000.00000000
PA
USD
5224518.85000000
0.223315056067
Long
DBT
CORP
NO
Y
2
2023-06-28
Fixed
0.03250000
N
N
N
N
N
N
Conn Funding II, L.P
N/A
Conn's Receivables Funding
20826JAA6
641826.66000000
PA
USD
644131.84000000
0.027532552201
Long
ABS-O
CORP
US
Y
2
2023-01-15
Fixed
0.03250000
N
N
N
N
N
N
FED CAISSES DESJARDINS
549300B2Q47IR0CR5B54
Federation des Caisses Desjardins du Quebec
31429KAB9
1200000.00000000
PA
USD
1203064.36000000
0.051423373657
Long
DBT
CORP
CA
Y
2
2020-10-30
Fixed
0.02250000
N
N
N
N
N
N
Tax Ease Funding, LLC
N/A
Tax Ease Funding LLC
87677QAA9
1447034.34000000
PA
USD
1445022.53000000
0.061765551349
Long
ABS-O
CORP
US
Y
2
2028-06-15
Fixed
0.03131000
N
N
N
N
N
N
Social Professional Loan Progr
5493005DZE8VF033DB25
SoFi Professional Loan Program LLC
83402DAC5
1573100.28000000
PA
USD
1578141.75000000
0.067455553994
Long
ABS-O
CORP
US
Y
2
2032-12-27
Fixed
0.02360000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group, Inc
02209SAN3
1570000.00000000
PA
USD
1588545.61000000
0.067900253046
Long
DBT
CORP
US
N
2
2022-08-09
Fixed
0.02850000
N
N
N
N
N
N
LEIDOS INC
5493006I78VIN6J1BQ95
Leidos, Inc
00255XAD1
2056548.97000000
PA
USD
2064261.03000000
0.088234071095
Long
LON
CORP
US
N
2
2025-08-22
Variable
0.03812500
N
N
N
N
N
N
CME Group Inc
N/A
US 5 Year Note (CBT)
N/A
-510
NC
USD
-60765703.38000000
-2.59734854957
N/A
DIR
US
N
1
N/A
N/A
Short
CME Group Inc
US 5YR NOTE (CBT) Dec19
2019-12-31
-60935751.15000000
USD
170047.77000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZQ9
2345000.00000000
PA
USD
2494159.40000000
0.106609500749
Long
DBT
CORP
US
N
2
2024-03-18
Fixed
0.05584000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
87239PAD6
1361600.93000000
PA
USD
1365576.80000000
0.058369750097
Long
LON
CORP
US
N
2
2023-08-04
Variable
0.04043500
N
N
N
N
N
N
SOUTHERN POWER CO
5LADC78JBG2BMZD5XF57
Southern Power Co
843646AS9
5000000.00000000
PA
USD
4998058.20000000
0.213635299097
Long
DBT
CORP
US
N
2
2019-12-15
Fixed
0.01950000
N
N
N
N
N
N
20 TSQ GroundCo LLC
N/A
20 Times Square Trust
90137LAC4
5000000.00000000
PA
USD
5130026.50000000
0.219276107210
Long
ABS-MBS
CORP
US
Y
2
2035-05-15
Variable
0.03203200
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple, Inc
037833BS8
1420000.00000000
PA
USD
1426419.51000000
0.060970390192
Long
DBT
CORP
US
N
2
2021-02-23
Fixed
0.02250000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Structured Agency Credit Risk Debt Note (STACR)
3137G0QP7
13304754.77000000
PA
USD
13306017.39000000
0.568747879909
Long
ABS-CBDO
USGSE
US
N
2
2030-03-25
Variable
0.02768400
N
N
N
N
N
N
AUST & NZ BANKING GRP NY
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd
05253JAS0
750000.00000000
PA
USD
763154.08000000
0.032619998330
Long
DBT
CORP
AU
N
2
2022-05-19
Fixed
0.02625000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816BP3
3000000.00000000
PA
USD
3004410.00000000
0.128419478781
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
0.02200000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CitiBank NA
17325FAJ7
5000000.00000000
PA
USD
5004563.95000000
0.213913378662
Long
DBT
CORP
US
N
2
2020-10-20
Fixed
0.02125000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
9128284J6
100000000.00000000
PA
USD
100285156.00000000
4.286554585763
Long
DBT
UST
US
N
2
2020-04-30
Fixed
0.02375000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Commercial Mortgage Trust
22545YAL5
12000000.00000000
PA
USD
14856876.00000000
0.635037252651
Long
ABS-MBS
USGSE
US
Y
2
2049-01-15
Variable
0.05896500
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc
38145GAJ9
9000000.00000000
PA
USD
9000947.70000000
0.384733445891
Long
DBT
CORP
US
N
2
2019-12-13
Fixed
0.02300000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBF7
967000.00000000
PA
USD
991958.77000000
0.042399948148
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.02850000
N
N
N
N
N
N
BANCO SANTANDER MEXICO
SCRYQ25DTVRHYYMM6P89
Banco Santander Mexico S.A.
05969BAA1
750000.00000000
PA
USD
777195.00000000
0.033220158637
Long
DBT
CORP
MX
Y
2
2022-11-09
Fixed
0.04125000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group, Inc
02209SBA0
2150000.00000000
PA
USD
2205354.74000000
0.094264932628
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
0.03490000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank
891160RY1
10000000.00000000
PA
USD
10067887.60000000
0.430338361947
Long
DBT
CORP
CA
Y
2
2022-07-15
Fixed
0.02100000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PBM3
1765000.00000000
PA
USD
1790609.37000000
0.076537197651
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
0.03875000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHZ6
5780000.00000000
PA
USD
6012328.31000000
0.256988915571
Long
DBT
CORP
US
N
2
2021-05-10
Fixed
0.04625000
N
N
N
N
N
N
ARAB PETROLEUM INVST
213800A54KIUYH5YD185
Arab Petroleum Investments Corp
03845EAA0
3325000.00000000
PA
USD
3518243.61000000
0.150382607773
Long
DBT
NUSS
N/A
Y
2
2023-09-18
Fixed
0.04125000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA
17401QAN1
3000000.00000000
PA
USD
3006372.78000000
0.128503375181
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
0.02250000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBR5
3000000.00000000
PA
USD
3008491.20000000
0.128593924205
Long
DBT
CORP
US
N
2
2020-10-30
Fixed
0.02400000
N
N
N
N
N
N
CDP FINANCIAL INC
549300OXMGVYFCBFV096
CDP Financial, Inc
125094AR3
9670000.00000000
PA
USD
9890019.09000000
0.422735610876
Long
DBT
NUSS
CA
Y
2
2022-03-07
Fixed
0.02750000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Structured Agency Credit Risk Debt Note (STACR)
3137G0MC0
5841256.72000000
PA
USD
5854394.87000000
0.250238262349
Long
ABS-CBDO
USGSE
US
N
2
2029-07-25
Variable
0.03218400
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP
72650RAZ5
2709000.00000000
PA
USD
2779000.48000000
0.118784650954
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
0.03650000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
912828YF1
22655000.00000000
PA
USD
22613406.78000000
0.966579765130
Long
DBT
UST
US
N
2
2022-09-15
Fixed
0.01500000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust
64829JAA1
1564060.83000000
PA
USD
1624395.10000000
0.069432591449
Long
ABS-CBDO
CORP
US
Y
2
2057-02-25
Variable
0.04000000
N
N
N
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
United States Treasury Bill
912796SW0
25000000.00000000
PA
USD
24910937.50000000
1.064784636484
Long
STIV
UST
US
N
2
N
N
N
GEORGIA-PACIFIC LLC
L2EVHWFHVAQK72TMH265
Georgia-Pacific LLC
37331NAG6
3200000.00000000
PA
USD
3252882.02000000
0.139040082260
Long
DBT
CORP
US
Y
2
2021-11-15
Fixed
0.03163000
N
N
N
N
N
N
Chase Funding Mortgage Loan As
N/A
Chase Funding Mortgage Loan Asset-Backed Certificates
161546JL1
122341.25000000
PA
USD
126944.47000000
0.005426071232
Long
ABS-O
CORP
US
N
2
2035-02-26
Variable
0.05700000
N
Y
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81746VAD2
35570246.43000000
PA
USD
36102412.89000000
1.543149252624
Long
ABS-CBDO
USGSE
US
Y
2
2048-03-25
Variable
0.03500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
30711XJ21
3605953.80000000
PA
USD
3606460.80000000
0.154153333326
Long
ABS-CBDO
USGSE
US
N
2
2030-10-25
Variable
0.02698400
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T, Inc
00206RBN1
7000000.00000000
PA
USD
7076511.47000000
0.302475998471
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
0.02625000
N
N
N
N
N
N
ADANI PORTS AND SPECIAL
335800QOAXP5TM7OYP69
Adani Ports & Special Economic Zone Ltd
00652MAC6
3000000.00000000
PA
USD
3068913.57000000
0.131176597429
Long
DBT
CORP
IN
Y
2
2022-01-19
Fixed
0.03950000
N
N
N
N
N
N
AID-UKRAINE
N/A
Ukraine Government AID International Bonds
903724BL5
15000000.00000000
PA
USD
14939583.90000000
0.638572490987
Long
DBT
NUSS
UA
N
2
2021-09-29
Fixed
0.01471000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG.
251525AT8
2000000.00000000
PA
USD
1995888.72000000
0.085311588341
Long
DBT
CORP
DE
N
2
2020-07-13
Fixed
0.02700000
N
N
N
N
N
N
MMAF Equipment Finance LLC
N/A
MMAF Equipment Finance LLC
55316EAC6
8000000.00000000
PA
USD
7997931.20000000
0.341860849894
Long
ABS-O
CORP
US
Y
2
2024-12-12
Fixed
0.02010000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc
92343VDQ4
5000000.00000000
PA
USD
5119852.90000000
0.218841250313
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
0.02946000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
780082AF0
10000000.00000000
PA
USD
10291286.00000000
0.439887227145
Long
DBT
CORP
CA
Y
2
2021-10-22
Fixed
0.03350000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv, Inc
337738AM0
5146000.00000000
PA
USD
5345190.29000000
0.228472995040
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
0.03500000
N
N
N
N
N
N
Mid-State Trust
549300CMSF2YH7CURY06
Mid-State Capital Trust
59560WAE7
1529627.10000000
PA
USD
1625307.57000000
0.069471593756
Long
ABS-O
CORP
US
Y
2
2045-12-15
Fixed
0.07000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD Commercial Mortgage Trust
12514AAU5
734009.33000000
PA
USD
734376.33000000
0.031389931975
Long
ABS-MBS
USGSE
US
Y
2
2044-11-15
Variable
0.06417200
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81745XAD9
4634261.01000000
PA
USD
4715179.84000000
0.201544042728
Long
ABS-CBDO
USGSE
US
Y
2
2047-07-25
Variable
0.03500000
N
N
N
N
N
N
Citibank Credit Card Issuance
R8AG6FXVDQAMDKCSJJ64
Citibank Credit Card Issuance Trust
17305EGF6
2000000.00000000
PA
USD
2004383.20000000
0.085674673503
Long
ABS-O
CORP
US
N
2
2024-08-08
Variable
0.02412100
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
20753MAA6
3503049.01000000
PA
USD
3504191.70000000
0.149781977713
Long
ABS-CBDO
USGSE
US
Y
2
2031-09-25
Variable
0.02768400
N
N
N
N
N
N
Toyota Auto Receivables Owner
549300V1I7LFXH21LF47
Toyota Auto Receivables Owner
89190BAE8
3000000.00000000
PA
USD
3002872.20000000
0.128353747581
Long
ABS-O
CORP
US
N
2
2022-09-15
Fixed
0.02050000
N
N
N
N
N
N
KEY BANK NA
HUX2X73FUCYHUVH1BK78
KeyBank NA
49327M2X1
6320000.00000000
PA
USD
6500234.33000000
0.277843804478
Long
DBT
CORP
US
N
2
2022-02-01
Fixed
0.03300000
N
N
N
N
N
N
PERTAMINA PERSERO PT
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69369EAC3
2200000.00000000
PA
USD
2321920.44000000
0.099247377247
Long
DBT
CORP
ID
Y
2
2022-05-03
Fixed
0.04875000
N
N
N
N
N
N
SAMSONITE IP HOLDINGS
222100XV7DJLCY8IA009
Samsonite IP Holdings Sarl
L8030PAF5
172812.50000000
PA
USD
169086.66000000
0.007227382662
Long
LON
CORP
LU
N
2
2025-04-25
Variable
0.03793500
N
N
N
N
N
N
SAN CLEMENTE LEASING LLC
N/A
San Clemente Leasing LLC
797224AC6
2685828.50000000
PA
USD
2735742.12000000
0.116935630333
Long
DBT
CORP
US
N
2
2022-11-22
Fixed
0.03030000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
912828U65
21000000.00000000
PA
USD
21046757.76000000
0.899615452476
Long
DBT
UST
US
N
2
2021-11-30
Fixed
0.01750000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12593PAZ5
3970000.00000000
PA
USD
4303100.87000000
0.183930279445
Long
ABS-MBS
USGSE
US
N
2
2048-08-10
Variable
0.04694600
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust
92935VAG3
2000000.00000000
PA
USD
2051987.80000000
0.087709468328
Long
ABS-MBS
USGSE
US
Y
2
2044-03-15
Fixed
0.04375000
N
Y
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
759470AV9
6842105.23000000
PA
USD
6836855.28000000
0.292232215829
Long
DBT
CORP
IN
N
2
2026-01-15
Fixed
0.01870000
N
N
N
N
N
N
FRESNILLO PLC
549300JXWH1UV5J0XV81
Fresnillo plc
358070AA8
3000000.00000000
PA
USD
3266280.00000000
0.139612760959
Long
DBT
CORP
GB
Y
2
2023-11-13
Fixed
0.05500000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
759470AW7
8552631.49000000
PA
USD
8712759.50000000
0.372415227527
Long
DBT
CORP
IN
N
2
2026-01-15
Fixed
0.02444000
N
N
N
N
N
N
Core Industrial Trust
549300VOFTHB5X7NNF52
Core Industrial Trust
21870LAJ5
1140000.00000000
PA
USD
1168097.35000000
0.049928755680
Long
ABS-MBS
USGSE
US
Y
2
2034-02-10
Fixed
0.03555000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
General Mills, Inc
370334BM5
2940000.00000000
PA
USD
2999433.81000000
0.128206778209
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
0.03150000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp
11134LAK5
5000000.00000000
PA
USD
4981651.90000000
0.212934033792
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
0.02200000
N
N
N
N
N
N
WYNDHAM HOTELS & RESORTS
549300FE3MQ4RVXXC673
Wyndham Hotels & Resorts, Inc
98310CAC6
1980000.00000000
PA
USD
1988533.80000000
0.084997212143
Long
LON
CORP
US
N
2
2025-05-30
Variable
0.03793500
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Trust
05547GAE3
3000000.00000000
PA
USD
3029570.70000000
0.129494939181
Long
ABS-MBS
USGSE
US
Y
2
2028-09-10
Variable
0.04427200
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
95810DAR2
989974.92000000
PA
USD
986054.62000000
0.042147583169
Long
LON
CORP
US
N
2
2023-04-29
Variable
0.03862000
N
N
N
N
N
N
KSA SUKUK LTD
635400XBJFPNCGN9CK71
KSA Sukuk Ltd
48266XAA3
2000000.00000000
PA
USD
2027311.00000000
0.086654691585
Long
DBT
CORP
KY
Y
2
2022-04-20
Fixed
0.02894000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
46649YAQ8
10145475.81000000
PA
USD
10152325.02000000
0.433947526298
Long
ABS-CBDO
USGSE
US
Y
2
2049-02-25
Variable
0.04000000
N
N
N
N
N
N
IMC HOME EQUITY LOAN TRUST
N/A
IMC Home Equity Loan Trust (Step Bond)
449670EP9
469034.02000000
PA
USD
486269.38000000
0.020784932924
Long
ABS-O
CORP
US
N
2
2029-08-20
Variable
0.06720000
N
N
N
N
N
N
Asset Backed Funding Corporati
N/A
Asset Backed Funding Corp NIM Trust
045442AA8
55677.35000000
PA
USD
0.56000000
0.000000023936
Long
ABS-O
CORP
KY
Y
3
2035-07-26
Fixed
0.05900000
N
Y
N
N
N
N
KOMMUNALBANKEN AS
I7ETN0QQO2AHZZGHJ389
Kommunalbanken AS.
50048MCQ1
1560000.00000000
PA
USD
1629689.05000000
0.069658874247
Long
DBT
NUSS
NO
Y
2
2024-02-05
Fixed
0.02750000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS Mortgage Trust
233050AJ2
3000000.00000000
PA
USD
3108022.80000000
0.132848269049
Long
ABS-MBS
USGSE
US
Y
2
2046-11-10
Variable
0.05884900
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Structured Agency Credit Risk Debt Note (STACR)
3137G1CK1
2279665.05000000
PA
USD
2294304.15000000
0.098066955944
Long
ABS-CBDO
USGSE
US
Y
2
2048-02-25
Variable
0.03739800
N
N
N
N
N
N
PACKAGING CORP OF AMERIC
549300XZP8MFZFY8TJ84
Packaging Corp of America
695156AS8
1240000.00000000
PA
USD
1242574.66000000
0.053112188477
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
0.02450000
N
Y
N
N
N
N
VNO Mortgage Trust
N/A
VNDO Mortgage Trust
91830MAA4
4065000.00000000
PA
USD
4119695.39000000
0.176090858012
Long
ABS-MBS
USGSE
US
Y
2
2029-12-13
Fixed
0.03808000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust
07386HHT1
2095953.61000000
PA
USD
2106734.36000000
0.090049536661
Long
ABS-CBDO
USGSE
US
N
2
2034-06-25
Variable
0.02618400
N
N
N
N
N
N
FANNIEMAE STRIP
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association (FNMA)
3136FCC79
28797.93000000
PA
USD
642.11000000
0.000027446131
Long
ABS-CBDO
USGSE
US
N
2
2024-09-25
Fixed
0.05000000
N
N
N
N
N
N
Deutsche Mortgage Securities,
N/A
Deutsche Mortgage Securities, Inc Mortgage Loan Trust (Step Bond)
251563GB2
284265.42000000
PA
USD
286524.85000000
0.012247120697
Long
ABS-CBDO
USGSE
US
N
2
2034-07-25
Variable
0.05440000
N
N
N
N
N
N
INGERSOLL-RAND GL HLD CO
549300UCF0D858BIOV83
Ingersoll-Rand Global Holding Co Ltd
45687AAM4
2000000.00000000
PA
USD
2016270.90000000
0.086182797307
Long
DBT
CORP
US
N
2
2021-02-21
Fixed
0.02900000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81746XAD8
10394019.70000000
PA
USD
10562517.15000000
0.451480639134
Long
ABS-CBDO
USGSE
US
Y
2
2047-04-25
Variable
0.03500000
N
N
N
N
N
N
OMERS FINANCE TRUST
529900M039WCPES03P17
OMERS Finance Trust
682142AA2
5950000.00000000
PA
USD
6135775.84000000
0.262265514790
Long
DBT
NUSS
CA
Y
2
2024-05-02
Fixed
0.02500000
N
N
N
N
N
N
OPEN TEXT CORP
549300HP7ONDQODZJV16
Open Text Corp
68371YAJ2
1906074.49000000
PA
USD
1912421.72000000
0.081743903292
Long
LON
CORP
CA
N
2
2025-05-30
Variable
0.03793500
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
20753KAA0
5297398.41000000
PA
USD
5301837.10000000
0.226619921037
Long
ABS-CBDO
USGSE
US
Y
2
2031-08-25
Variable
0.02868400
N
N
N
N
N
N
PRIVATE EXPORT FUNDING
CYQE6SAYPFKNQJ6FMH60
Private Export Funding Corp (PEFCO)
742651DV1
3000000.00000000
PA
USD
3008762.79000000
0.128605532955
Long
DBT
USGSE
US
N
2
2020-09-15
Fixed
0.02300000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
30711XGK4
3067867.15000000
PA
USD
3072650.57000000
0.131336330486
Long
ABS-CBDO
USGSE
US
N
2
2029-09-25
Variable
0.03168400
N
N
N
N
N
N
UNILEVER CAPITAL CORP
MYF1DAS6G5WY7PRWCU78
Unilever Capital Corp
904764BF3
5000000.00000000
PA
USD
5126208.15000000
0.219112896957
Long
DBT
CORP
US
N
2
2022-03-07
Fixed
0.03000000
N
N
N
N
N
N
NIELSEN FINANCE LLC
UJ76Y189LDMPCOCW7204
Nielsen Finance LLC
65409YBE4
1327809.67000000
PA
USD
1326813.81000000
0.056712878042
Long
LON
CORP
US
N
2
2023-10-04
Variable
0.04042130
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CJ7
2000000.00000000
PA
USD
2008902.34000000
0.085867838086
Long
DBT
CORP
US
N
2
2020-07-20
Fixed
0.02800000
N
N
N
N
N
N
EURO STABILITY MECHANISM
222100W4EEAQ77386N50
European Stability Mechanism
29881WAC6
25000000.00000000
PA
USD
24638493.75000000
1.053139393534
Long
DBT
NUSS
N/A
Y
2
2024-09-11
Fixed
0.01375000
N
N
N
N
N
N
Park Place Securities Inc
N/A
Park Place Securities, Inc
70069FFL6
2985000.00000000
PA
USD
3001010.94000000
0.128274190517
Long
ABS-O
CORP
US
N
2
2036-01-25
Variable
0.03263400
N
N
N
N
N
N
NOVARTIS CAPITAL CORP
5493002KF87V5RSRQS84
Novartis Capital Corp
66989HAL2
5000000.00000000
PA
USD
4996523.60000000
0.213569704677
Long
DBT
CORP
US
N
2
2020-02-14
Fixed
0.01800000
N
N
N
N
N
N
AID-UKRAINE
N/A
Ukraine Government AID International Bonds
903724AL6
6000000.00000000
PA
USD
6011366.70000000
0.256947812840
Long
DBT
NUSS
UA
N
2
2020-05-29
Fixed
0.01847000
N
N
N
N
N
N
FANNIE MAE
N/A
Federal National Mortgage Association (FNMA)
31394BTG9
43336.06000000
PA
USD
43357.26000000
0.001853247969
Long
ABS-CBDO
USGSE
US
N
2
2034-11-25
Variable
0.02318400
N
N
N
N
N
N
Asset Backed Securities Corp H
N/A
Asset Backed Securities Corp Home Equity Loan Trust
04541GCG5
2141955.61000000
PA
USD
2174294.00000000
0.092937282926
Long
ABS-O
CORP
US
N
2
2032-03-15
Variable
0.03677500
N
N
N
N
N
N
CK HUTCH INTL 17 II LTD
254900F7C0PB6TKONV55
CK Hutchison International 17 Ltd
12563XAA9
3425000.00000000
PA
USD
3420821.50000000
0.146218430252
Long
DBT
CORP
KY
Y
2
2020-09-29
Fixed
0.02250000
N
N
N
N
N
N
WI TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
912828Y95
82000000.00000000
PA
USD
83351719.16000000
3.562757523123
Long
DBT
UST
US
N
2
2026-07-31
Fixed
0.01875000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92537BAA2
2157145.04000000
PA
USD
2180893.05000000
0.093219350474
Long
ABS-CBDO
USGSE
US
Y
2
2058-10-25
Variable
0.04108000
N
N
N
N
N
N
New Residential Advance Receiv
N/A
NRZ Advance Receivables Trust Advance Receivables Backed Notes
62942QBH5
2430000.00000000
PA
USD
2427981.16000000
0.103780800575
Long
ABS-O
CORP
US
Y
2
2051-10-15
Fixed
0.02833200
N
N
N
N
N
N
JAPAN FIN ORG MUNICIPAL
5493007YYYNZ4NMEOD64
Japan Finance Organization for Municipalities
471068AP1
4500000.00000000
PA
USD
4699074.96000000
0.200855661217
Long
DBT
NUSS
JP
Y
2
2024-03-12
Fixed
0.03000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12593JBL9
5500000.00000000
PA
USD
5158185.45000000
0.220479723788
Long
ABS-MBS
USGSE
US
N
2
2048-08-10
Variable
0.03463000
N
N
N
N
N
N
Social Professional Loan Progr
N/A
SoFi Professional Loan Program LLC
834016AB3
1531155.26000000
PA
USD
1540303.30000000
0.065838200162
Long
ABS-O
CORP
US
Y
2
2033-08-25
Fixed
0.02510000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank
44644AAH0
1485000.00000000
PA
USD
1520692.27000000
0.064999952969
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
0.03125000
N
N
N
N
N
N
TEVA PHARMACEUT FIN BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAG7
2000000.00000000
PA
USD
1715000.00000000
0.073305376466
Long
DBT
CORP
CW
N
2
2022-12-18
Fixed
0.02950000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12594JAJ4
3624631.00000000
PA
USD
3654059.74000000
0.156187886222
Long
ABS-MBS
USGSE
US
Y
2
2029-08-10
Variable
0.03576800
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78013GKN4
5000000.00000000
PA
USD
5008779.35000000
0.214093560285
Long
DBT
CORP
CA
N
2
2020-10-26
Fixed
0.02150000
N
N
N
N
N
N
IQVIA INC
549300PLWY28YB00C717
IQVIA, Inc
44969CBJ8
1036875.00000000
PA
USD
1037528.23000000
0.044347753641
Long
LON
CORP
US
N
2
2025-06-11
Variable
0.03854380
N
N
N
N
N
N
UNILEVER CAPITAL CORP
MYF1DAS6G5WY7PRWCU78
Unilever Capital Corp
904764AV9
3000000.00000000
PA
USD
2996683.08000000
0.128089201941
Long
DBT
CORP
US
N
2
2020-05-05
Fixed
0.01800000
N
N
N
N
N
N
Discover Card Execution Note T
549300CKCX1QE4RUW216
Discover Card Execution Note Trust
254683CE3
2000000.00000000
PA
USD
1992117.40000000
0.085150388322
Long
ABS-O
CORP
US
N
2
2025-08-15
Variable
0.02357500
N
N
N
N
N
N
Honda Auto Receivables Owner T
N/A
Honda Auto Receivables Owner Trust
43814WAC9
2160000.00000000
PA
USD
2198187.07000000
0.093958560180
Long
ABS-O
CORP
US
N
2
2023-03-20
Fixed
0.02830000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAE6
5000000.00000000
PA
USD
5071749.95000000
0.216785154185
Long
DBT
CORP
US
N
2
2023-04-25
Fixed
0.02776000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust
92937EAG9
4500000.00000000
PA
USD
4670364.60000000
0.199628475357
Long
ABS-MBS
USGSE
US
N
2
2045-03-15
Variable
0.03714000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGB9
1925000.00000000
PA
USD
1925192.50000000
0.082289773167
Long
DBT
CORP
US
N
2
2020-11-09
Fixed
0.02151000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36255MAA5
1050000.00000000
PA
USD
1083724.74000000
0.046322361546
Long
ABS-MBS
USGSE
US
Y
2
2032-10-10
Fixed
0.03419000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81747AAG0
7401723.44000000
PA
USD
7463305.78000000
0.319009002849
Long
ABS-CBDO
USGSE
US
Y
2
2049-02-25
Variable
0.04000000
N
N
N
N
N
N
ABC SUPPLY CO INC
549300H5GQ4C1BEKG397
American Builders & Contractors Supply Co, Inc
02474RAF0
780000.00000000
PA
USD
779266.80000000
0.033308714951
Long
LON
CORP
US
N
2
2023-10-31
Variable
0.04043500
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAE2
2912797.26000000
PA
USD
2908107.66000000
0.124303164327
Long
LON
CORP
US
N
2
2025-07-17
Variable
0.04277500
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBP9
845000.00000000
PA
USD
846500.17000000
0.036182515242
Long
DBT
CORP
US
N
2
2020-05-12
Fixed
0.02500000
N
N
N
N
N
N
BNG BANK NV
529900GGYMNGRQTDOO93
Bank Nederlandse Gemeenten NV
62944BBU7
11850000.00000000
PA
USD
11867768.48000000
0.507271857868
Long
DBT
CORP
NL
Y
2
2020-02-28
Fixed
0.02500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc
92343VCC6
1815000.00000000
PA
USD
1853891.78000000
0.079242119452
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
0.03450000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12624XAP3
3623360.00000000
PA
USD
3724161.51000000
0.159184292427
Long
ABS-MBS
USGSE
US
Y
2
2046-03-10
Fixed
0.03397000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AH4
1825000.00000000
PA
USD
1833776.08000000
0.078382300816
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
0.02375000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DC1
4089000.00000000
PA
USD
4155433.37000000
0.177618430069
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
0.03350000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61745M2J1
104293.75000000
PA
USD
104293.25000000
0.004457875191
Long
ABS-MBS
USGSE
US
N
2
2056-07-15
Fixed
0.04860000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61745M5R0
4214000.00000000
PA
USD
4267187.42000000
0.182395207158
Long
ABS-MBS
USGSE
US
Y
2
2047-06-12
Variable
0.05897800
N
N
N
N
N
N
PRIVATE EXPORT FUNDING
CYQE6SAYPFKNQJ6FMH60
Private Export Funding Corp (PEFCO)
742651DU3
2000000.00000000
PA
USD
2000979.68000000
0.085529194603
Long
DBT
USGSE
US
N
2
2020-03-15
Fixed
0.02250000
N
N
N
N
N
N
JP MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank NA
48125LRN4
26500000.00000000
PA
USD
26639673.55000000
1.138677141998
Long
DBT
CORP
US
N
2
2021-04-26
Fixed
0.03086000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36255MAG2
526000.00000000
PA
USD
543626.58000000
0.023236589565
Long
ABS-MBS
USGSE
US
Y
2
2032-10-10
Fixed
0.03772000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBA8
4000000.00000000
PA
USD
4433463.60000000
0.189502459620
Long
DBT
NUSS
QA
Y
2
2029-03-14
Fixed
0.04000000
N
N
N
N
N
N
KOMMUNALBANKEN AS
I7ETN0QQO2AHZZGHJ389
Kommunalbanken AS.
50048MCL2
17200000.00000000
PA
USD
17241312.85000000
0.736956810056
Long
DBT
NUSS
NO
Y
2
2020-04-17
Fixed
0.02500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
912828YB0
5000000.00000000
PA
USD
4978320.30000000
0.212791629016
Long
DBT
UST
US
N
2
2029-08-15
Fixed
0.01625000
N
N
N
N
N
N
INTL DEVELOPMENT ASSOC
P41R60HC414IWQA1XW02
International Development Association
45939EAA8
8900000.00000000
PA
USD
9234050.64000000
0.394697118645
Long
DBT
NUSS
N/A
Y
2
2023-04-24
Fixed
0.02750000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81746PAK9
10471894.39000000
PA
USD
10634339.65000000
0.454550595636
Long
ABS-CBDO
USGSE
US
Y
2
2046-06-25
Variable
0.03500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGP8
5000000.00000000
PA
USD
5008370.70000000
0.214076093088
Long
DBT
CORP
US
N
2
2021-07-21
Fixed
0.02369000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust
36251XBR7
4055000.00000000
PA
USD
4064762.41000000
0.173742821406
Long
ABS-MBS
USGSE
US
Y
2
2029-11-10
Fixed
0.02993900
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust
46635GAE0
3032698.69000000
PA
USD
3057835.21000000
0.130703067779
Long
ABS-MBS
USGSE
US
Y
2
2043-11-15
Fixed
0.04069800
N
N
N
N
N
N
ONTARIO TEACHERS' FINANC
635400ZZE5J8OXXBBY26
Ontario Teachers' Finance Trust
68329AAA6
5000000.00000000
PA
USD
5046853.65000000
0.215720995209
Long
DBT
NUSS
CA
Y
2
2022-09-19
Fixed
0.02125000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust
43284BAA0
5366506.41000000
PA
USD
5536710.53000000
0.236659271013
Long
ABS-O
CORP
US
Y
2
2032-02-25
Fixed
0.03540000
N
N
N
N
N
N
BANCO DEL ESTADO -CHILE
5493004R4EJC0W0XVQ72
Banco del Estado de Chile
05965MAD5
3575000.00000000
PA
USD
3575035.75000000
0.152810111682
Long
DBT
CORP
CL
Y
2
2021-01-08
Fixed
0.02668000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc
38148YAC2
5000000.00000000
PA
USD
5057900.00000000
0.216193156635
Long
DBT
CORP
US
N
2
2022-10-31
Fixed
0.02876000
N
N
N
N
N
N
Citibank Credit Card Issuance
R8AG6FXVDQAMDKCSJJ64
Citibank Credit Card Issuance Trust
17305EGL3
2000000.00000000
PA
USD
2002624.20000000
0.085599487406
Long
ABS-O
CORP
US
N
2
2025-01-20
Variable
0.02374300
N
N
N
N
N
N
VNO Mortgage Trust
N/A
VNDO Mortgage Trust
91830MAJ5
300000.00000000
PA
USD
303189.18000000
0.012959415148
Long
ABS-MBS
USGSE
US
Y
2
2029-12-13
Variable
0.04078700
N
N
N
N
N
N
HUNGARY
5299008DH62LEB10JK83
Republic of Hungary Government International Bond
445545AD8
500000.00000000
PA
USD
506478.98000000
0.021648765190
Long
DBT
NUSS
HU
N
2
2020-01-29
Fixed
0.06250000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust
94988HAE1
3728000.00000000
PA
USD
3855391.72000000
0.164793551872
Long
ABS-MBS
USGSE
US
N
2
2045-10-15
Fixed
0.03539000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Trust
12652CAC3
2089288.61000000
PA
USD
2125665.21000000
0.090858710472
Long
ABS-CBDO
USGSE
US
Y
2
2047-10-25
Variable
0.03500000
N
N
N
N
N
N
AMERIPRISE FINANCIAL INC
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial, Inc
03076CAJ5
1000000.00000000
PA
USD
1018574.60000000
0.043537606129
Long
DBT
CORP
US
N
2
2022-03-22
Fixed
0.03000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS Mortgage Trust
233050AH6
1120000.00000000
PA
USD
1160895.12000000
0.049620906011
Long
ABS-MBS
USGSE
US
Y
2
2046-11-10
Variable
0.05884900
N
N
N
N
N
N
Capital Automotive Reit
N/A
Capital Automotive REIT
12479RAD9
1896652.70000000
PA
USD
1914463.41000000
0.081831172595
Long
ABS-O
CORP
US
Y
2
2047-04-15
Fixed
0.03870000
N
N
N
N
N
N
Morgan Stanley Dean Witter Cap
N/A
Morgan Stanley Dean Witter Capital I Trust
61746WHM5
615688.31000000
PA
USD
643394.16000000
0.027501021058
Long
ABS-MBS
USGSE
US
Y
2
2033-07-15
Variable
0.07586700
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAG5
14700000.00000000
PA
USD
14749833.00000000
0.630461843080
Long
ABS-O
CORP
US
Y
2
2047-07-25
Fixed
0.03082000
N
N
N
N
N
N
REPUBLIC OF NAMIBIA
549300T6Y4CWK77SML15
Namibia International Bonds
62987BAA0
1500000.00000000
PA
USD
1547313.81000000
0.066137855016
Long
DBT
NUSS
NA
Y
2
2021-11-03
Fixed
0.05500000
N
N
N
N
N
N
BAYER US FINANCE II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAA1
3300000.00000000
PA
USD
3365983.01000000
0.143874432494
Long
DBT
CORP
US
Y
2
2021-06-25
Fixed
0.03500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA, Inc
404122AX1
985000.00000000
PA
USD
987344.30000000
0.042202708812
Long
LON
CORP
US
N
2
2025-03-13
Variable
0.04043500
N
N
N
N
N
N
BB&T CORPORATION
549300DRQQI75D2JP341
BB&T Corp
05531FAZ6
3000000.00000000
PA
USD
3004860.06000000
0.128438715992
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
0.02150000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Structured Agency Credit Risk Debt Note (STACR)
3137G0LH0
2339270.16000000
PA
USD
2345371.68000000
0.100249769070
Long
ABS-CBDO
USGSE
US
N
2
2029-03-25
Variable
0.03318400
N
N
N
N
N
N
NORTHWEST AIR 2007-1 A
N/A
Northwest Airlines
667294BE1
783055.20000000
PA
USD
785795.89000000
0.033587792152
Long
DBT
CORP
US
N
2
2019-11-01
Fixed
0.07027000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCQ2
3100000.00000000
PA
USD
3192367.29000000
0.136453461232
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
0.03450000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc
172967LV1
3000000.00000000
PA
USD
3055596.87000000
0.130607392936
Long
DBT
CORP
US
N
2
2023-01-24
Fixed
0.03142000
N
N
N
N
N
N
CarNow Auto Receivables Trust
N/A
Carnow Auto Receivables Trust
14368BAA0
353674.56000000
PA
USD
353666.96000000
0.015117020202
Long
ABS-O
CORP
US
Y
2
2022-09-15
Fixed
0.02920000
N
N
N
N
N
N
ADS WASTE HOLDINGS
549300ML1GEF4BKIM713
Advanced Disposal Services, Inc
00100UAG7
1989159.90000000
PA
USD
1994391.39000000
0.085247586977
Long
LON
CORP
US
N
2
2023-11-10
Variable
0.04196880
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust
33850RAE2
2399998.30000000
PA
USD
2438904.67000000
0.104247711370
Long
ABS-CBDO
USGSE
US
Y
2
2047-10-25
Variable
0.03500000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust
33851LAD6
1386237.37000000
PA
USD
1390861.86000000
0.059450526099
Long
ABS-CBDO
USGSE
US
Y
2
2048-07-25
Variable
0.04000000
N
N
N
N
N
N
FANNIE MAE
N/A
Federal National Mortgage Association (FNMA)
31397QUQ9
1384.99000000
PA
USD
1387.05000000
0.000059287593
Long
ABS-CBDO
USGSE
US
N
2
2020-06-25
Fixed
0.02750000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities Trust
94981QAF5
5863.67000000
PA
USD
6032.98000000
0.000257871644
Long
ABS-CBDO
USGSE
US
N
2
2035-03-25
Variable
0.04968100
N
N
N
N
N
N
Social Professional Loan Progr
N/A
SoFi Professional Loan Program LLC
83405DAC2
818000.00000000
PA
USD
822936.14000000
0.035175302361
Long
ABS-O
CORP
US
Y
2
2040-07-25
Fixed
0.02630000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BY3
2500000.00000000
PA
USD
2537608.40000000
0.108466670021
Long
DBT
CORP
US
Y
2
2022-05-16
Fixed
0.02600000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
46648RAE1
7676690.58000000
PA
USD
7771965.99000000
0.332202269843
Long
ABS-CBDO
USGSE
US
Y
2
2048-06-25
Variable
0.03500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust
46625M2S7
196058.21000000
PA
USD
198355.82000000
0.008478453678
Long
ABS-MBS
USGSE
US
Y
2
2039-01-12
Variable
0.04506100
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367XD24
9000000.00000000
PA
USD
9119897.55000000
0.389817797806
Long
DBT
CORP
CA
Y
2
2022-01-11
Fixed
0.02500000
N
N
N
N
N
N
PRIME SECURITY SERVICES BOR
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
N/A
362406.30000000
PA
USD
358387.21000000
0.015318780962
Long
LON
CORP
US
N
2
2026-09-23
Variable
0.05210070
N
N
N
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J5P8
12670000.00000000
PA
USD
12784947.81000000
0.546475459076
Long
DBT
CORP
US
N
2
2021-07-23
Fixed
0.03325000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBP7
3771000.00000000
PA
USD
3806582.93000000
0.162707285559
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
0.02800000
N
N
N
N
N
N
ALLERGAN FUNDING SCS
222100FLFVOSKCBCAR54
Actavis Funding SCS
00507UAS0
525000.00000000
PA
USD
549806.19000000
0.023500728712
Long
DBT
CORP
LU
N
2
2025-03-15
Fixed
0.03800000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAD4
450000.00000000
PA
USD
446502.87000000
0.019085166751
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
0.02250000
N
N
N
N
N
N
LIBERTY PROPERTY LP
549300N6GNCW2Y4RH795
Liberty Property LP
53117CAM4
843000.00000000
PA
USD
864412.44000000
0.036948151216
Long
DBT
CORP
US
N
2
2020-10-01
Fixed
0.04750000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128286N5
16275840.00000000
PA
USD
16484849.62000000
0.704622803141
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.00500000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America, Inc
10373QBA7
1700000.00000000
PA
USD
1720512.34000000
0.073540994051
Long
DBT
CORP
US
N
2
2022-09-19
Fixed
0.02520000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas S.A.
05579TED4
1645000.00000000
PA
USD
1649904.68000000
0.070522964257
Long
DBT
CORP
FR
N
2
2020-05-21
Fixed
0.02375000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note
9128285X4
19460000.00000000
PA
USD
19643957.72000000
0.839654644873
Long
DBT
UST
US
N
2
2021-01-31
Fixed
0.02500000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
136069K34
6160000.00000000
PA
USD
6286381.27000000
0.268702942046
Long
DBT
CORP
CA
Y
2
2021-06-27
Fixed
0.03150000
N
N
N
N
N
N
Prosper Marketplace Issuance T
54930091UL0OQ4F85R54
Prosper Marketplace Issuance Trust
74360PAA1
677198.55000000
PA
USD
679084.41000000
0.029026552960
Long
ABS-O
CORP
US
Y
2
2024-10-15
Fixed
0.03350000
N
N
N
N
N
N
Federal Home Loan Bank Discount Notes
N/A
Federal Home Loan Bank (FHLB)
313384ML0
5760000.00000000
PA
USD
5759699.21000000
0.246190623278
Long
STIV
USGSE
US
N
2
N
N
N
Fifth Third Auto Trust
N/A
Fifth Third Auto Trust
31679RAD7
675584.33000000
PA
USD
674608.65000000
0.028835242598
Long
ABS-O
CORP
US
N
2
2022-02-15
Fixed
0.01800000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DE7
4925000.00000000
PA
USD
4941999.92000000
0.211239163051
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
0.02625000
N
N
N
N
N
N
IQVIA INC
549300PLWY28YB00C717
IQVIA, Inc
44969CBF6
947377.70000000
PA
USD
950532.47000000
0.040629236476
Long
LON
CORP
US
N
2
2024-03-07
Variable
0.04104380
N
N
N
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Corp
00101JAH9
2000000.00000000
PA
USD
2030000.00000000
0.086769629286
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
0.04125000
N
N
N
N
N
N
STATE BANK INDIA/LONDON
5493001JZ37UBBZF6L49
State Bank of India
85628UAH9
3000000.00000000
PA
USD
3079458.51000000
0.131627326757
Long
DBT
CORP
IN
Y
2
2022-01-24
Fixed
0.04000000
N
N
N
N
N
N
Entergy Louisiana Investment R
N/A
Entergy Louisiana Investment Recovery Funding I LLC
29366AAA2
1419468.65000000
PA
USD
1419559.35000000
0.060677161847
Long
ABS-O
CORP
US
N
2
2023-09-01
Fixed
0.02040000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WCD1
1540000.00000000
PA
USD
1554942.74000000
0.066463943405
Long
DBT
CORP
US
N
2
2021-02-12
Fixed
0.02650000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
30711XJS4
8574536.04000000
PA
USD
8588251.01000000
0.367093278995
Long
ABS-CBDO
USGSE
US
N
2
2029-10-25
Variable
0.02968400
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TAA7
5625000.00000000
PA
USD
5632222.11000000
0.240741785490
Long
DBT
NUSS
SA
Y
2
2021-10-26
Fixed
0.02375000
N
N
N
N
N
N
Tricon American Homes
N/A
Tricon American Homes Trust
89613DAA1
2160282.57000000
PA
USD
2173902.94000000
0.092920567590
Long
ABS-O
CORP
US
Y
2
2034-09-17
Fixed
0.02716000
N
Y
N
N
N
N
AUTONATION INC
N/A
AutoNation, Inc
05329WAK8
3000000.00000000
PA
USD
3031452.21000000
0.129575361804
Long
DBT
CORP
US
N
2
2020-02-01
Fixed
0.05500000
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
N/A
Sensata Technologies, Inc
BL3153964
513787.25000000
PA
USD
516515.46000000
0.022077761076
Long
LON
CORP
US
N
2
2026-09-18
Variable
0.03794250
N
N
N
N
N
N
Shellpoint Co-Originator Trust
N/A
Shellpoint Co-Originator Trust
82280RAD1
5428920.22000000
PA
USD
5510142.30000000
0.235523647630
Long
ABS-CBDO
USGSE
US
Y
2
2047-04-25
Variable
0.03500000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank
446438RU9
1500000.00000000
PA
USD
1501297.38000000
0.064170944390
Long
DBT
CORP
US
N
2
2020-03-10
Fixed
0.02375000
N
N
N
N
N
N
DNB BOLIGKREDITT AS
5967007LIEEXZX659K67
DNB Boligkreditt AS.
25600WAE0
5000000.00000000
PA
USD
4995790.00000000
0.213538347928
Long
DBT
CORP
NO
Y
2
2020-05-28
Fixed
0.02000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple, Inc
037833DL1
1850000.00000000
PA
USD
1847183.41000000
0.078955379167
Long
DBT
CORP
US
N
2
2022-09-11
Fixed
0.01700000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust
92939KBR8
2500000.00000000
PA
USD
2605620.00000000
0.111373734710
Long
ABS-MBS
USGSE
US
N
2
2047-11-15
Variable
0.04204000
N
N
N
N
N
N
Discover Card Execution Note T
549300CKCX1QE4RUW216
Discover Card Execution Note Trust
254683CF0
3500000.00000000
PA
USD
3497026.05000000
0.149475691608
Long
ABS-O
CORP
US
N
2
2023-12-15
Variable
0.02257500
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XQ1
4500000.00000000
PA
USD
4505903.78000000
0.192598818026
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
0.03200000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
617458AW4
1500000.00000000
PA
USD
1529666.25000000
0.065383533716
Long
ABS-MBS
USGSE
US
Y
2
2047-09-15
Fixed
0.04193000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust
46590WAA6
2605000.00000000
PA
USD
2722787.42000000
0.116381899044
Long
ABS-MBS
USGSE
US
Y
2
2031-01-05
Fixed
0.03734500
N
N
N
N
N
N
NEDER WATERSCHAPSBANK
JLP5FSPH9WPSHY3NIM24
Nederlandse Waterschapsbank NV
63983TBK0
3500000.00000000
PA
USD
3524959.45000000
0.150669667353
Long
DBT
CORP
NL
Y
2
2021-11-15
Fixed
0.02125000
N
N
N
N
N
N
AVIS BUDGET CAR RENTAL LLC
XN8R4HH1TVC1XOCL5P21
Avis Budget Car Rental LLC
05377JAP7
3855629.40000000
PA
USD
3852005.11000000
0.164648795766
Long
LON
CORP
US
N
2
2025-02-13
Variable
0.04050000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AE6
750000.00000000
PA
USD
774772.50000000
0.033116612121
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
0.05625000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV FIN
5493000EYEKDT0FBSQ91
Anheuser-Busch InBev Finance, Inc
035242AJ5
1320000.00000000
PA
USD
1332478.29000000
0.056954998648
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
0.02650000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761JB32
7500000.00000000
PA
USD
7537873.28000000
0.322196290698
Long
DBT
CORP
US
N
2
2020-06-16
Fixed
0.02800000
N
N
N
N
N
N
JAPAN FIN ORG MUNICIPAL
5493007YYYNZ4NMEOD64
Japan Finance Organization for Municipalities
471068AN6
6650000.00000000
PA
USD
6997365.21000000
0.299092997663
Long
DBT
NUSS
JP
Y
2
2023-09-27
Fixed
0.03375000
N
N
N
N
N
N
AON PLC
VVT2B79I2Z4U3R6BY589
Aon plc
00185AAJ3
2500000.00000000
PA
USD
2518547.33000000
0.107651930130
Long
DBT
CORP
GB
N
2
2021-03-15
Fixed
0.02800000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
31428XBU9
2810000.00000000
PA
USD
2881235.07000000
0.123154531483
Long
DBT
CORP
US
N
2
2022-01-14
Fixed
0.03400000
N
N
N
N
N
N
HOSPITAL SPECIAL SURGERY
549300U0XV0GGBTV6I72
Hospital for Special Surgery
44107HAA0
3895000.00000000
PA
USD
4021530.56000000
0.171894933919
Long
DBT
MUN
US
Y
2
2023-01-01
Fixed
0.03500000
N
N
N
N
N
N
KOMMUNALBANKEN AS
I7ETN0QQO2AHZZGHJ389
Kommunalbanken AS.
50048MBW9
1700000.00000000
PA
USD
1697531.82000000
0.072558722524
Long
DBT
NUSS
NO
Y
2
2020-01-15
Fixed
0.01625000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12592XBJ4
2500000.00000000
PA
USD
2656824.75000000
0.113562413122
Long
ABS-MBS
USGSE
US
N
2
2048-03-10
Variable
0.04254200
N
N
N
N
N
N
SUNTRUST BANKS INC
7E1PDLW1JL6TS0BS1G03
SunTrust Bank
867914BK8
1720000.00000000
PA
USD
1737885.30000000
0.074283577942
Long
DBT
CORP
US
N
2
2021-03-03
Fixed
0.02900000
N
N
N
N
N
N
AIR LIQUIDE FINANCE
549300YGXL5Z3R14K812
Air Liquide Finance S.A.
00913RAB2
5000000.00000000
PA
USD
4969170.20000000
0.212400520254
Long
DBT
CORP
FR
Y
2
2021-09-27
Fixed
0.01750000
N
N
N
N
N
N
Taco Bell Funding, LLC
N/A
Taco Bell Funding LLC
87342RAD6
6699375.00000000
PA
USD
6938944.65000000
0.296595889124
Long
ABS-O
CORP
US
Y
2
2048-11-25
Fixed
0.04318000
N
N
N
N
N
N
BANCO INTERNAC DEL PERU
5493001TRCGXJLRLHN14
Banco Internacional del Peru SAA Interbank
05968DAB6
2000000.00000000
PA
USD
2022500.00000000
0.086449051838
Long
DBT
CORP
PE
Y
2
2023-01-18
Fixed
0.03375000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGS2
10000000.00000000
PA
USD
10011011.30000000
0.427907260733
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
0.02328000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA, Inc
404122AY9
615162.11000000
PA
USD
616626.20000000
0.026356860484
Long
LON
CORP
US
N
2
2023-03-17
Variable
0.03793500
N
N
N
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Republic of Paraguay Government International Bond
699149AA8
1500000.00000000
PA
USD
1576890.00000000
0.067402049618
Long
DBT
NUSS
PY
Y
2
2023-01-25
Fixed
0.04625000
N
N
N
N
N
N
FEDERAL FARM CREDIT BANK
N/A
Federal Farm Credit Bank (FFCB)
3133EJT74
3200000.00000000
PA
USD
3291756.10000000
0.140701702709
Long
DBT
USGSE
US
N
2
2021-11-15
Fixed
0.03050000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc
502431AA7
1580000.00000000
PA
USD
1623352.37000000
0.069388021353
Long
DBT
CORP
US
Y
2
2021-02-15
Fixed
0.04950000
N
N
N
N
N
N
DEXIA CREDIT LOCAL
F4G136OIPBYND1F41110
Dexia Credit Local S.A.
25214BAT1
4000000.00000000
PA
USD
4053355.04000000
0.173255228664
Long
DBT
CORP
FR
Y
2
2022-09-20
Fixed
0.02375000
N
N
N
N
N
N
BANK OF THE WEST AUTO TRUST
N/A
Bank of The West Auto Trust
064229AC1
2670262.89000000
PA
USD
2668245.51000000
0.114050578201
Long
ABS-O
CORP
US
Y
2
2023-01-15
Fixed
0.02110000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
30711XQX5
3000000.00000000
PA
USD
3067633.20000000
0.131121869730
Long
ABS-CBDO
USGSE
US
N
2
2030-02-25
Variable
0.04668400
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust
46637YAJ8
600000.00000000
PA
USD
621678.00000000
0.026572792904
Long
ABS-MBS
USGSE
US
Y
2
2032-07-05
Fixed
0.04020600
N
N
N
N
N
N
Chase Issuance Trust
5493008SHVCX2Y068L12
Chase Issuance Trust
161571HD9
4000000.00000000
PA
USD
4026277.20000000
0.172097822684
Long
ABS-O
CORP
US
N
2
2023-06-15
Variable
0.02577500
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo, Inc
713448DJ4
1350000.00000000
PA
USD
1349889.73000000
0.057699227315
Long
DBT
CORP
US
N
2
2019-10-04
Fixed
0.01350000
N
N
N
N
N
N
Core Industrial Trust
5493003EXJTL54V5K302
Core Industrial Trust
21870PAL1
5450000.00000000
PA
USD
5556100.60000000
0.237488073567
Long
ABS-MBS
USGSE
US
Y
2
2034-02-10
Variable
0.03977000
N
N
N
N
N
N
TURKIYE IS BANKASI A.S
789000FIRX9MDN0KTM91
Turkiye Is Bankasi
900151AH4
1000000.00000000
PA
USD
989100.00000000
0.042277753856
Long
DBT
CORP
TR
Y
2
2021-10-06
Fixed
0.05375000
N
N
N
N
N
N
JAPAN FIN ORG MUNICIPAL
5493007YYYNZ4NMEOD64
Japan Finance Organization for Municipalities
471068AL0
3000000.00000000
PA
USD
2995977.81000000
0.128059056120
Long
DBT
NUSS
JP
Y
2
2020-09-08
Fixed
0.02000000
N
N
N
N
N
N
WR GRACE & CO-CONN
549300GJVOEHHLSO6K25
WR Grace & Co-Conn
92940JAB4
182368.41000000
PA
USD
182652.90000000
0.007807253409
Long
LON
CORP
US
N
2
2025-04-03
Variable
0.03854380
N
N
N
N
N
N
AVID AUTOMOBILE RECEIVABLES TR
549300MXT4YCVL1BDV18
Avid Automobile Receivables Trust
05367MAA5
1253701.54000000
PA
USD
1254723.68000000
0.053631482054
Long
ABS-O
CORP
US
Y
2
2023-08-15
Fixed
0.02840000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust
86359BVG3
1646845.50000000
PA
USD
1676780.87000000
0.071671750977
Long
ABS-CBDO
USGSE
US
N
2
2034-07-25
Variable
0.02388400
N
N
N
N
N
N
Ford Credit Auto Owner Trust/F
N/A
Ford Credit Auto Owner Trust
34530WAA5
2600000.00000000
PA
USD
2606284.72000000
0.111402147276
Long
ABS-O
CORP
US
Y
2
2027-01-15
Fixed
0.02440000
N
N
N
N
N
N
PNC BANK NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69353RFH6
1945000.00000000
PA
USD
1957012.48000000
0.083649875566
Long
DBT
CORP
US
N
2
2021-01-22
Fixed
0.02500000
N
N
N
N
N
N
CME Group Inc
N/A
US 10 Year Note (CBT)
N/A
-191
NC
USD
-24889687.50000000
-1.06387633371
N/A
DIR
US
N
1
N/A
N/A
Short
CME Group Inc
US 10YR NOTE (CBT)Dec19
2019-12-19
-24992168.93000000
USD
102481.43000000
N
N
N
CELGENE CORP
4SIHMF0MOSTTL8CD0X64
Celgene Corp
151020BC7
2000000.00000000
PA
USD
2019208.96000000
0.086308380744
Long
DBT
CORP
US
N
2
2021-02-19
Fixed
0.02875000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust
64829XAA0
1679726.00000000
PA
USD
1762320.81000000
0.075328041068
Long
ABS-CBDO
USGSE
US
Y
2
2057-12-25
Variable
0.04750000
N
N
N
N
N
N
New Residential Mortgage Loan
549300RCJSGOC0A85G53
New Residential Mortgage Loan Trust
64829CAD0
1224727.83000000
PA
USD
1262280.19000000
0.053954474947
Long
ABS-CBDO
CORP
US
Y
2
2052-05-28
Variable
0.03750000
N
N
N
N
N
N
TES LLC
N/A
TES LLC
88159DAA3
12173234.39000000
PA
USD
12405107.72000000
0.530239703511
Long
ABS-O
CORP
US
Y
2
2047-10-20
Fixed
0.04330000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
46648UAF1
0.01000000
PA
USD
0.01000000
0.000000000427
Long
ABS-CBDO
USGSE
US
Y
2
2048-11-25
Variable
0.03000000
N
N
N
N
N
N
JAPAN FIN ORG MUNICIPAL
5493007YYYNZ4NMEOD64
Japan Finance Organization for Municipalities
471068AF3
3200000.00000000
PA
USD
3201962.94000000
0.136863614430
Long
DBT
NUSS
JP
Y
2
2021-02-12
Fixed
0.02125000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc
25746UCT4
3000000.00000000
PA
USD
3006683.01000000
0.128516635547
Long
DBT
CORP
US
N
2
2020-07-01
Fixed
0.02579000
N
N
N
N
N
N
HANWHA ENERGY USA HOLDN
549300VVIE7XDIYNIT55
Hanwha Energy USA Holdings Corp
41135WAA9
2000000.00000000
PA
USD
2002757.26000000
0.085605174877
Long
DBT
CORP
CN
Y
2
2022-07-30
Fixed
0.02375000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG.
25160PAC1
5000000.00000000
PA
USD
5048846.30000000
0.215806168363
Long
DBT
CORP
DE
N
2
2021-02-04
Fixed
0.04250000
N
N
N
N
N
N
PNC BANK NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69353REU8
6050000.00000000
PA
USD
6077044.47000000
0.259755121094
Long
DBT
CORP
US
N
2
2020-11-05
Fixed
0.02450000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities
30711XYS7
7040628.43000000
PA
USD
7037827.67000000
0.300822511286
Long
ABS-CBDO
USGSE
US
N
2
2030-07-25
Variable
0.02618400
N
N
N
N
N
N
Verizon Owner Trust
549300AUOVO1I366IH69
Verizon Owner Trust
92347YAC8
9000000.00000000
PA
USD
9188289.00000000
0.392741098675
Long
ABS-O
CORP
US
N
2
2023-09-20
Fixed
0.03020000
N
N
N
N
N
N
STATE GRID OVERSEAS INV
3003006V8BHG5158QO96
State Grid Overseas Investment Ltd
857006AE0
3000000.00000000
PA
USD
3023136.51000000
0.129219918352
Long
DBT
CORP
VG
Y
2
2022-05-04
Fixed
0.02750000
N
N
N
N
N
N
FOX CORP
N/A
Fox Corp
35137LAA3
995000.00000000
PA
USD
1027369.38000000
0.043913527213
Long
DBT
CORP
US
Y
2
2022-01-25
Fixed
0.03666000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36192RAA0
3000000.00000000
PA
USD
3072166.80000000
0.131315652385
Long
ABS-MBS
CORP
US
Y
2
2034-11-05
Fixed
0.02954000
N
N
N
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings, Inc
513272AA2
1000000.00000000
PA
USD
1052400.00000000
0.044983427518
Long
DBT
CORP
US
Y
2
2024-11-01
Fixed
0.04625000
N
N
N
N
N
N
2019-09-30
TIAA-CREF Funds
E. Scott Wickerham
E. Scott Wickerham
Funds Treasurer