0001752724-20-009224.txt : 20200123
0001752724-20-009224.hdr.sgml : 20200123
20200123132440
ACCESSION NUMBER: 0001752724-20-009224
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191130
FILED AS OF DATE: 20200123
PERIOD START: 20191130
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: MFS GOVERNMENT MARKETS INCOME TRUST
CENTRAL INDEX KEY: 0000811922
IRS NUMBER: 046565627
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1130
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05078
FILM NUMBER: 20541369
BUSINESS ADDRESS:
STREET 1: 111 HUNTINGTON AVENUE
STREET 2: 24TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
BUSINESS PHONE: 18006372929
MAIL ADDRESS:
STREET 1: 111 HUNTINGTON AVENUE
STREET 2: 24TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
NPORT-P
1
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617-954-5000
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ABS-MBS
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2040-04-01
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Freddie Mac
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Freddie Mac Gold Pool
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USD
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ABS-MBS
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2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Apple Inc
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Apple Inc
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USD
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0.094555535486
Long
DBT
CORP
US
N
2
2045-05-13
Fixed
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N
N
N
N
Peru LNG Srl
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Peru LNG Srl
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DBT
CORP
PE
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2030-03-22
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Freddie Mac
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USD
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0.051768154965
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ABS-MBS
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US
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2
2037-05-01
Fixed
6.50000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
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Petroleos Mexicanos
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USD
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0.204704336783
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DBT
CORP
MX
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2
2027-01-23
Fixed
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FHLMC Multifamily Structured Pass Through Certificates
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Freddie Mac Multifamily Structured Pass Through Certificates
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USD
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ABS-MBS
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N
2
2024-04-25
Variable
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N
N
N
N
N
N
Fannie Mae
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Fannie Mae Pool
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USD
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0.313952395855
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ABS-MBS
USGSE
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N
2
2034-01-01
Fixed
3.00000000
N
N
N
N
N
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Fannie Mae
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Fannie Mae Pool
31410NLC0
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USD
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0.005031306611
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
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Fannie Mae Pool
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USD
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0.295286365871
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
COMM Mortgage Trust
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COMM 2015-DC1 Mortgage Trust
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327000.00000000
PA
USD
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0.220836532762
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.35000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810PT9
336000.00000000
PA
USD
473011.88000000
0.305495083454
Long
DBT
UST
US
N
2
2037-02-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
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Fannie Mae Pool
31416WU26
190797.48000000
PA
USD
204090.73000000
0.131812153626
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0224C6
349999.00000000
PA
USD
353082.54000000
0.228038627747
Long
ABS-MBS
USGSE
US
N
2
2033-12-18
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
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Freddie Mac Multifamily Structured Pass Through Certificates
3137BKRJ1
928000.00000000
PA
USD
987532.31000000
0.637798495583
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Variable
3.33000000
N
N
N
N
N
N
CONSERVATION FUND
N/A
Conservation Fund
20848FAA8
159000.00000000
PA
USD
160253.24000000
0.103499677275
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
3.47000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJW55
1138099.57000000
PA
USD
1186553.67000000
0.766336592729
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4D66
12230750.71000000
PA
USD
288463.48000000
0.186304358563
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
0.43000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PML0
360000.00000000
PA
USD
368389.08000000
0.237924368280
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
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Freddie Mac Multifamily Structured Pass Through Certificates
3137B4WB8
294000.00000000
PA
USD
304865.92000000
0.196897886946
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Variable
3.06000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNQ4
715961.00000000
PA
USD
737034.26000000
0.476014138941
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLR6
150383.48000000
PA
USD
155432.01000000
0.100385882203
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
FREDDIE MAC
N/A
Freddie Mac REMICS
3137BLRJ9
115834.59000000
PA
USD
120540.76000000
0.077851341779
Long
ABS-MBS
USGSE
US
N
2
2027-01-15
Fixed
3.50000000
N
N
N
N
N
N
MFS Institutional Money Market Portfolio
5L2W638H85N8T1136O07
MFS Institutional Money Market Portfolio
55291X109
3620651.27400000
NS
USD
3621013.34000000
2.338634227310
Long
STIV
RF
US
N
1
N
N
N
Fidelity National Information Services Inc
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MAM8
271000.00000000
PA
USD
288644.86000000
0.186421502974
Long
DBT
CORP
US
N
2
2024-06-05
Fixed
3.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405VJP3
97477.20000000
PA
USD
111676.13000000
0.072126113733
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKET8
66547.55000000
PA
USD
72091.08000000
0.046560079000
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.50000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300NPF57YF6WBDP72
Neuberger Berman CLO XX Ltd
64130TAQ8
250000.00000000
PA
USD
249824.75000000
0.161349505323
Long
ABS-CBDO
CORP
KY
Y
2
2028-01-15
Floating
2.80000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810PW2
1109000.00000000
PA
USD
1509019.76000000
0.974601562893
Long
DBT
UST
US
N
2
2038-02-15
Fixed
4.38000000
N
N
N
N
N
N
Morgan Stanley Bank of America Merrill Lynch Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34
61767EAE4
59686.00000000
PA
USD
63936.50000000
0.041293437288
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.54000000
N
N
N
N
N
N
Power Finance Corp Ltd
3358003Q6D9LIJJZ1614
Power Finance Corp Ltd
000000000
370000.00000000
PA
USD
402845.74000000
0.260178228421
Long
DBT
CORP
IN
N
2
2028-08-10
Fixed
5.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828K74
98000.00000000
PA
USD
99676.72000000
0.064376285633
Long
DBT
UST
US
N
2
2025-08-15
Fixed
2.00000000
N
N
N
N
N
N
United States Small Business Administration
254900HROIFWPRGM1V77
United States Small Business Administration
83162CLN1
17437.93000000
PA
USD
17757.03000000
0.011468391368
Long
ABS-O
USGA
US
N
2
2021-06-01
Fixed
6.44000000
N
N
N
N
N
N
Freddie Mac
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Freddie Mac Gold Pool
3128M9BH4
98317.53000000
PA
USD
108498.24000000
0.070073671053
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FARG5
4752594.58000000
PA
USD
116347.32000000
0.075143005357
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Variable
0.73000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375GBQ3
20000.00000000
PA
USD
19822.22000000
0.012802195904
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
2.50000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XIII Ltd
55818MBC0
452738.00000000
PA
USD
447631.57000000
0.289103190883
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-19
Floating
3.47000000
N
N
N
N
N
N
HCA INC
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HCA Inc
404119BX6
785000.00000000
PA
USD
826997.02000000
0.534116656100
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BWP99
307997.15000000
PA
USD
325350.08000000
0.210127597305
Long
ABS-MBS
USGSE
US
N
2
2028-06-15
Fixed
3.50000000
N
N
N
N
N
N
American International Group Inc
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DE4
108000.00000000
PA
USD
125182.17000000
0.080848999968
Long
DBT
CORP
US
N
2
2035-07-10
Fixed
4.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UV90
567073.41000000
PA
USD
589322.64000000
0.380614476508
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLK3
148242.33000000
PA
USD
156985.99000000
0.101389521371
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LDWL4
31681.74000000
PA
USD
35178.16000000
0.022719841465
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0324C5
800000.00000000
PA
USD
828937.50000000
0.535369916588
Long
ABS-MBS
USGSE
US
N
2
2033-12-18
Fixed
3.50000000
N
N
N
N
N
N
Valero Energy Corp
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAT7
130000.00000000
PA
USD
147695.79000000
0.095389438615
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.90000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CD6
310000.00000000
PA
USD
321741.47000000
0.207796973785
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384WLN8
30296.68000000
PA
USD
34146.04000000
0.022053245976
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P8FJ5
411587.63000000
PA
USD
422705.55000000
0.273004701856
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
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Freddie Mac Gold Pool
3128MJS43
718050.52000000
PA
USD
755479.33000000
0.487926901468
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419LZZ9
120088.75000000
PA
USD
128470.62000000
0.082972847908
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-686.32000000
-0.00044326029
N/A
DFE
US
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
348754.56000000
EUR
383832.29000000
USD
2019-12-13
-686.32000000
N
N
N
AID-UKRAINE
N/A
Ukraine Government AID Bonds
903724AL6
330000.00000000
PA
USD
330367.86000000
0.213368334345
Long
DBT
NUSS
UA
N
2
2020-05-29
Fixed
1.85000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBBZ8
6754827.96000000
PA
USD
202480.02000000
0.130771875344
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Variable
0.57000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BFXT3
827000.00000000
PA
USD
852806.62000000
0.550785805944
Long
ABS-MBS
USGSE
US
N
2
2024-12-25
Fixed
2.67000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132D53U4
107521.23000000
PA
USD
110150.48000000
0.071140771517
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKBW4
210119.53000000
PA
USD
231026.35000000
0.149208544346
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
5.00000000
N
N
N
N
N
N
Abu Dhabi Government International Bond
549300DONDFW2383FV66
Abu Dhabi Crude Oil Pipeline LLC
000000000
245000.00000000
PA
USD
279961.50000000
0.180813348295
Long
DBT
CORP
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKJ7
117528.46000000
PA
USD
124452.64000000
0.080377832461
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEXT1
122914.24000000
PA
USD
128078.67000000
0.082719706702
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEVB2
140657.04000000
PA
USD
146572.66000000
0.094664064248
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2AX7
220764.74000000
PA
USD
236221.68000000
0.152563952189
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CMG6
912497.48000000
PA
USD
952791.73000000
0.615361265494
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L2T72
104136.74000000
PA
USD
105994.23000000
0.068456454285
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
2.55000000
N
N
N
N
N
N
AID-JORDAN
5493000JZ4MYPVMBVN50
Hashemite Kingdom of Jordan Government AID Bond
418097AC5
418000.00000000
PA
USD
420819.45000000
0.271786562732
Long
DBT
NUSS
JO
N
2
2020-10-30
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284T4
5000000.00000000
PA
USD
5070898.45000000
3.275043631400
Long
DBT
UST
US
N
2
2021-06-15
Fixed
2.63000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378TKC3
98334.76000000
PA
USD
9945.69000000
0.006423431471
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGHU1
95043.95000000
PA
USD
100393.64000000
0.064839308962
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHNH1
262974.10000000
PA
USD
276026.35000000
0.178271828667
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828B66
577000.00000000
PA
USD
603077.69000000
0.389498186041
Long
DBT
UST
US
N
2
2024-02-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DF70
361090.85000000
PA
USD
414658.27000000
0.267807359930
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AH3J7
105556.97000000
PA
USD
108356.94000000
0.069982412340
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292SBD1
1142896.20000000
PA
USD
1203059.86000000
0.776997128129
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Charter Communications Operating LLC / Charter Communications Operating Capital
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
242000.00000000
PA
USD
265411.11000000
0.171415967817
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.91000000
N
N
N
N
N
N
New Jersey Turnpike Authority
5493005YN67D71KSMI84
NEW JERSEY ST TURNPIKE AUTH
646139W35
32000.00000000
PA
USD
51387.52000000
0.033188668984
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
7.41000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137AVXN2
500000.00000000
PA
USD
504996.35000000
0.326152277797
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
2.36000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202F2V7
37218.14000000
PA
USD
41545.72000000
0.026832334948
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
5.50000000
N
N
N
N
N
N
FREDDIE MAC
N/A
Freddie Mac REMICS
3137BJGN7
25931.59000000
PA
USD
2422.29000000
0.001564437843
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
4.50000000
N
N
N
N
N
N
FANNIE MAE
N/A
Fannie Mae REMICS
3136AWFW2
376877.12000000
PA
USD
387854.65000000
0.250496221511
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Fixed
3.00000000
N
N
N
N
N
N
United States Small Business Administration
254900HROIFWPRGM1V77
United States Small Business Administration
83162CLQ4
20141.90000000
PA
USD
20455.69000000
0.013211322987
Long
ABS-O
USGA
US
N
2
2021-07-01
Fixed
6.63000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BHCY1
642000.00000000
PA
USD
665572.38000000
0.429860429241
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
2.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EJE0
71932.08000000
PA
USD
79228.32000000
0.051169670897
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR20 XCBT 20200331
000000000
-6.00000000
NC
USD
834.31000000
0.000538839749
N/A
DIR
US
N
1
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
-714646.81000000
USD
834.31000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QZ4
453700.00000000
PA
USD
531023.95000000
0.342962223108
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.13000000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO III-2 Ltd
87249FAC8
538454.00000000
PA
USD
535407.43000000
0.345793297009
Long
ABS-CBDO
CORP
KY
Y
2
2028-04-20
Floating
2.81000000
N
N
N
N
N
N
Laboratory Corp of America Holdings
OZ7UA8IXAIFILY2VZH07
Laboratory Corp of America Holdings
50540RAS1
106000.00000000
PA
USD
119241.56000000
0.077012252469
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
4.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412LCW8
7769.03000000
PA
USD
8754.82000000
0.005654307174
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae - ACES
N/A
Fannie Mae - ACES
3136AVY52
729000.00000000
PA
USD
748577.81000000
0.483469549513
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
2.67000000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930066YOFVQE068N73
GS Mortgage Securities Trust 2015-GC32
36250PAB1
330000.00000000
PA
USD
330484.18000000
0.213443459706
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Fixed
3.06000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ABYR4
105582.38000000
PA
USD
114353.13000000
0.073855056225
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022410
675000.00000000
PA
USD
680823.20000000
0.439710182969
Long
ABS-MBS
USGSE
US
N
2
2034-01-17
Fixed
2.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2019-C54
95001YAE4
590926.00000000
PA
USD
615523.29000000
0.397536186293
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
3.15000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300REQJRID6TODX95
Wells Fargo Commercial Mortgage Trust 2018-C48
95001RAY5
994596.92000000
PA
USD
70480.12000000
0.045519639255
Long
ABS-MBS
CORP
US
Y
2
2052-01-15
Variable
1.12000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6WA2
213476.43000000
PA
USD
245432.21000000
0.158512580014
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419B5X9
223831.54000000
PA
USD
239538.71000000
0.154706258544
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FHPJ6
1046000.00000000
PA
USD
1174411.98000000
0.758494872982
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Variable
3.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPS47
115655.57000000
PA
USD
123667.41000000
0.079870691067
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UUK6
147287.13000000
PA
USD
153065.97000000
0.098857773464
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FDVW3
306042.06000000
PA
USD
314665.06000000
0.203226668989
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177UCZ5
36517.00000000
PA
USD
38628.45000000
0.024948213893
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
4.00000000
N
N
N
N
N
N
APT Pipelines Ltd
261700SS8OEHDOCOUJ33
APT Pipelines Ltd
00205GAD9
16000.00000000
PA
USD
17220.73000000
0.011122021604
Long
DBT
CORP
AU
Y
2
2027-07-15
Fixed
4.25000000
N
N
N
N
N
N
AID-TUNISIA
N/A
Tunisia Government AID Bonds
066717AA7
235000.00000000
PA
USD
236081.86000000
0.152473649335
Long
DBT
NUSS
TN
N
2
2021-07-24
Fixed
2.45000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BY5
400000.00000000
PA
USD
424611.62000000
0.274235738619
Long
DBT
CORP
US
N
2
2026-02-23
Fixed
3.25000000
N
N
N
N
N
N
Petroleos del Peru SA
549300ZMGDLC9JT2OR80
Petroleos del Peru SA
000000000
455000.00000000
PA
USD
491627.50000000
0.317517995829
Long
DBT
CORP
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L6W46
189461.42000000
PA
USD
203423.17000000
0.131381009491
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
3.43000000
N
N
N
N
N
N
United Technologies Corp
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017DD8
625000.00000000
PA
USD
679443.03000000
0.438818799122
Long
DBT
CORP
US
N
2
2025-08-16
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402C4J8
216961.24000000
PA
USD
244391.19000000
0.157840236453
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
ING Bank NV
3TK20IVIUJ8J3ZU0QE75
ING Bank NV
449786AY8
769000.00000000
PA
USD
852400.43000000
0.550523467823
Long
DBT
CORP
NL
Y
2
2023-09-25
Fixed
5.80000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378HQU3
89783.07000000
PA
USD
14568.60000000
0.009409141421
Long
ABS-MBS
USGA
US
N
2
2042-08-16
Fixed
4.00000000
N
N
N
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AQ2
498000.00000000
PA
USD
536310.07000000
0.346376267741
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.80000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285X4
1500000.00000000
PA
USD
1513652.34000000
0.977593518220
Long
DBT
UST
US
N
2
2021-01-31
Fixed
2.50000000
N
N
N
N
N
N
Kinder Morgan Energy Partners LP
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BB1
1000000.00000000
PA
USD
1008939.56000000
0.651624384323
Long
DBT
CORP
US
N
2
2020-02-15
Fixed
6.85000000
N
N
N
N
N
N
MDGH - GMTN BV
213800L53ZH5KG593W13
MDGH - GMTN BV
55276VAH5
429000.00000000
PA
USD
430716.00000000
0.278178257098
Long
DBT
CORP
NL
Y
2
2024-11-07
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132JAJ97
169300.30000000
PA
USD
174744.93000000
0.112859146314
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132D53Z3
109443.98000000
PA
USD
112120.33000000
0.072413000642
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406XKB7
16473.70000000
PA
USD
17911.85000000
0.011568381983
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJC3
165292.44000000
PA
USD
185243.51000000
0.119639662214
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
United States Small Business Administration
254900HROIFWPRGM1V77
United States Small Business Administration
83162CLK7
9230.05000000
PA
USD
9363.90000000
0.006047681956
Long
ABS-O
USGA
US
N
2
2021-04-01
Fixed
6.35000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLH0
286515.58000000
PA
USD
298679.54000000
0.192902408705
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
Empresa de Transporte de Pasajeros Metro SA
959800T4M5QUPYMSCH69
Empresa de Transporte de Pasajeros Metro SA
000000000
440000.00000000
PA
USD
499400.00000000
0.322537870881
Long
DBT
CORP
CL
N
2
2047-01-25
Fixed
5.00000000
N
N
N
N
N
N
CNH Industrial Capital LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAJ3
625000.00000000
PA
USD
662960.04000000
0.428173247459
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
4.20000000
N
N
N
N
N
N
Vale Overseas Ltd
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAK9
327000.00000000
PA
USD
414472.50000000
0.267687380234
Long
DBT
CORP
KY
N
2
2039-11-10
Fixed
6.88000000
N
N
N
N
N
N
United States Small Business Administration
254900HROIFWPRGM1V77
United States Small Business Administration
83162CVR1
237351.17000000
PA
USD
245650.46000000
0.158653536943
Long
ABS-O
USGA
US
N
2
2033-07-01
Fixed
3.15000000
N
N
N
N
N
N
FANNIE MAE
N/A
Fannie Mae REMICS
3136AMNZ8
141846.32000000
PA
USD
146761.86000000
0.094786259213
Long
ABS-MBS
USGSE
US
N
2
2044-09-25
Fixed
3.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2017-COR2 Mortgage Trust
12595EAD7
292470.00000000
PA
USD
311432.67000000
0.201139027442
Long
ABS-MBS
CORP
US
N
2
2050-09-10
Fixed
3.51000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJQT8
460577.12000000
PA
USD
499212.46000000
0.322416748029
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5DA8
1659364.00000000
PA
USD
1725139.61000000
1.114182732846
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BBY0
82747.88000000
PA
USD
89693.46000000
0.057928589548
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
FANNIE MAE
N/A
Fannie Mae REMICS
3136AQVJ6
78805.30000000
PA
USD
82893.67000000
0.053536939990
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Fixed
3.50000000
N
N
N
N
N
N
FANNIE MAE
254900HROIFWPRGM1V77
Fannie Mae REMICS
3136ABC35
212186.38000000
PA
USD
25015.50000000
0.016156279753
Long
ABS-MBS
USGSE
US
N
2
2033-02-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417G5A0
112278.15000000
PA
USD
117936.13000000
0.076169139507
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EK6N0
201143.23000000
PA
USD
214814.59000000
0.138738166786
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJWU0
396793.63000000
PA
USD
406587.43000000
0.262594801761
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.00000000
N
N
N
N
N
N
Anheuser-Busch InBev Finance Inc
5493000EYEKDT0FBSQ91
Anheuser-Busch InBev Finance Inc
035242AL0
150000.00000000
PA
USD
155518.41000000
0.100441683709
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412V4J4
70309.48000000
PA
USD
80674.32000000
0.052103571100
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Sherwin-Williams Co/The
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348AU0
156000.00000000
PA
USD
158471.34000000
0.102348835801
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
2.75000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0304C9
325000.00000000
PA
USD
332629.88000000
0.214829261687
Long
ABS-MBS
USGSE
US
N
2
2033-12-18
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ARB31
178286.18000000
PA
USD
176262.69000000
0.113839392768
Long
ABS-MBS
USGSE
US
N
2
2046-04-25
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBTA4
489568.00000000
PA
USD
509940.74000000
0.329345615850
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Variable
3.06000000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAA1
27000.00000000
PA
USD
27272.03000000
0.017613661375
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.76000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414CRZ3
78113.73000000
PA
USD
87579.02000000
0.056562976861
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X6UA1
90966.73000000
PA
USD
95565.01000000
0.061720734593
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYH6
176858.36000000
PA
USD
188942.55000000
0.122028690020
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AFZS6
190203.14000000
PA
USD
199524.04000000
0.128862753406
Long
ABS-MBS
USGSE
US
N
2
2028-03-25
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENEK1
1555837.45000000
PA
USD
1686030.53000000
1.088924103700
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411VFL8
66291.14000000
PA
USD
76051.71000000
0.049118054906
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BJF65
46040.07000000
PA
USD
47504.50000000
0.030680817555
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297V6E3
34665.00000000
PA
USD
39013.87000000
0.025197137694
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBD9
100000.00000000
PA
USD
100147.53000000
0.064680358630
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RU4
4322000.00000000
PA
USD
4912054.31000000
3.172454022434
Long
DBT
UST
US
N
2
2046-11-15
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5A45
1584941.14000000
PA
USD
1629598.89000000
1.052477685967
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PMN6
170000.00000000
PA
USD
174594.13000000
0.112761752019
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
United States Small Business Administration
254900HROIFWPRGM1V77
United States Small Business Administration
83162CVK6
253588.88000000
PA
USD
253213.97000000
0.163538435645
Long
ABS-O
USGA
US
N
2
2033-03-01
Fixed
2.22000000
N
N
N
N
N
N
United States Small Business Administration
254900HROIFWPRGM1V77
United States Small Business Administration
83162CVH3
163302.00000000
PA
USD
162868.78000000
0.105188925779
Long
ABS-O
USGA
US
N
2
2033-02-01
Fixed
2.21000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EREH9
171838.38000000
PA
USD
183898.59000000
0.118771044607
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.00000000
N
N
N
N
N
N
Village of Bridgeview IL
N/A
BRIDGEVIEW IL
108555GF4
750000.00000000
PA
USD
775147.50000000
0.500629604063
Long
DBT
MUN
US
N
2
2025-12-01
Fixed
5.06000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412LBD1
11311.18000000
PA
USD
12591.54000000
0.008132255712
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828U24
6071000.00000000
PA
USD
6180562.61000000
3.991721075454
Long
DBT
UST
US
N
2
2026-11-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132J4MM8
276060.59000000
PA
USD
287397.37000000
0.185615810606
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9A75
131166.98000000
PA
USD
139498.51000000
0.090095219076
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AA5A5
210960.43000000
PA
USD
228644.62000000
0.147670302209
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENAA7
490881.58000000
PA
USD
531801.43000000
0.343464359159
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A5C38
33035.62000000
PA
USD
3092.76000000
0.001997461404
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WHUC7
342977.08000000
PA
USD
352838.50000000
0.227881014327
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NJA7
468599.46000000
PA
USD
496080.81000000
0.320394169488
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
1400000.00000000
PA
USD
1437690.63000000
0.928533589882
Long
ABS-MBS
USGA
US
N
2
2050-01-21
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0306C3
725000.00000000
PA
USD
745107.43000000
0.481228201943
Long
ABS-MBS
USGA
US
N
2
2048-12-19
Fixed
3.00000000
N
N
N
N
N
N
Saudi Arabian Oil Co
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2E4
226000.00000000
PA
USD
243210.72000000
0.157077829003
Long
DBT
CORP
SA
Y
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAV7
438000.00000000
PA
USD
442774.71000000
0.285966384148
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.76000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV44
705011.14000000
PA
USD
725742.61000000
0.468721418177
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202ESB6
39357.87000000
PA
USD
43904.66000000
0.028355858146
Long
ABS-MBS
USGA
US
N
2
2038-04-20
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BPW21
900000.00000000
PA
USD
930898.80000000
0.601221699957
Long
ABS-MBS
USGSE
US
N
2
2026-03-25
Fixed
2.67000000
N
N
N
N
N
N
United States Small Business Administration
254900HROIFWPRGM1V77
United States Small Business Administration
83162CLM3
13352.01000000
PA
USD
13609.08000000
0.008789434697
Long
ABS-O
USGA
US
N
2
2021-05-01
Fixed
6.34000000
N
N
N
N
N
N
ALM Loan Funding
N/A
ALM XII Ltd
00164MDU4
238808.74000000
PA
USD
238651.84000000
0.154133472878
Long
ABS-O
CORP
KY
Y
2
2027-04-16
Floating
3.49000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LXDA5
53390.08000000
PA
USD
60191.78000000
0.038874907020
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PDDD9
2906.39000000
PA
USD
2945.52000000
0.001902366338
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
6.00000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412F7Y7
450000.00000000
PA
USD
615451.50000000
0.397489820667
Long
DBT
MUN
US
N
2
2043-05-15
Fixed
5.77000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9T51
169297.83000000
PA
USD
181252.94000000
0.117062349536
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B36J2
433000.00000000
PA
USD
450545.42000000
0.290985103128
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Variable
3.32000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERJ76
279252.65000000
PA
USD
290539.12000000
0.187644912240
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FETQ3
5036228.82000000
PA
USD
121551.90000000
0.078504387320
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
0.43000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377YEC0
111000.00000000
PA
USD
120260.50000000
0.077670335645
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407FJ92
120107.32000000
PA
USD
135160.10000000
0.087293253668
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYK9
277932.13000000
PA
USD
296887.38000000
0.191744940802
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E0X91
333433.85000000
PA
USD
356683.62000000
0.230364388012
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.00000000
N
N
N
N
N
N
Private Export Funding Corp
CYQE6SAYPFKNQJ6FMH60
Private Export Funding Corp
742651DV1
360000.00000000
PA
USD
361569.42000000
0.233519885668
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQ5E8
274567.31000000
PA
USD
297496.98000000
0.192138651427
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022428
250000.00000000
PA
USD
251959.27000000
0.162728086693
Long
ABS-MBS
USGSE
US
N
2
2035-02-18
Fixed
2.50000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AZ5
260000.00000000
PA
USD
262423.49000000
0.169486411161
Long
DBT
CORP
US
Y
2
2022-09-26
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L6HF1
237991.35000000
PA
USD
251657.12000000
0.162532942885
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
Private Export Funding Corp
CYQE6SAYPFKNQJ6FMH60
Private Export Funding Corp
742651DU3
86000.00000000
PA
USD
86135.66000000
0.055630781704
Long
DBT
CORP
US
N
2
2020-03-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416YDT2
72208.31000000
PA
USD
78248.81000000
0.050537053617
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7PU4
104738.96000000
PA
USD
113541.23000000
0.073330689991
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B6ZM6
283284.45000000
PA
USD
284804.53000000
0.183941222914
Long
ABS-MBS
USGSE
US
N
2
2020-10-25
Variable
3.03000000
N
N
N
N
N
N
Transelec SA
549300DPF7MAL5F6CR86
Transelec SA
000000000
200000.00000000
PA
USD
209250.00000000
0.135144272090
Long
DBT
CORP
CL
N
2
2025-01-14
Fixed
4.25000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BK9
358000.00000000
PA
USD
369635.00000000
0.238729046662
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
3.16000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406V2P0
13063.12000000
PA
USD
14406.96000000
0.009304746103
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Imperial Brands Finance PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AE5
266000.00000000
PA
USD
273947.36000000
0.176929111389
Long
DBT
CORP
GB
Y
2
2022-07-21
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRF3
236644.74000000
PA
USD
242911.80000000
0.156884771293
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
3.00000000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBJ2
99000.00000000
PA
USD
100985.94000000
0.065221846368
Long
DBT
CORP
US
Y
2
2050-10-15
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LFV62
72859.28000000
PA
USD
73336.55000000
0.047364466749
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
2.28000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
CCUBS Commercial Mortgage Trust 2017-C1
12508GAU0
279000.00000000
PA
USD
298300.58000000
0.192657657100
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
3.54000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PBC1
1500000.00000000
PA
USD
1695437.21000000
1.094999415153
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403UHG9
234475.25000000
PA
USD
263771.23000000
0.170356850068
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJC99
244268.32000000
PA
USD
275114.71000000
0.177683045277
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RB6
1697100.00000000
PA
USD
1908972.33000000
1.232911235263
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADWS0
269040.91000000
PA
USD
291616.57000000
0.188340784144
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LXAY6
55996.59000000
PA
USD
64369.07000000
0.041572812952
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CRE9
14358.03000000
PA
USD
16064.79000000
0.010375456873
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31396HE70
82107.65000000
PA
USD
90127.42000000
0.058208862945
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
5.00000000
N
N
N
N
N
N
Loomis Sayles Ltd
549300SUQAYPCZFFGP18
Loomis Sayles CLO II Ltd
54347LAQ5
429010.00000000
PA
USD
425242.01000000
0.274642876481
Long
ABS-CBDO
CORP
KY
Y
2
2028-04-15
Floating
3.40000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285T3
600000.00000000
PA
USD
631851.56000000
0.408081811925
Long
DBT
UST
US
N
2
2025-12-31
Fixed
2.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411VC31
4172.55000000
PA
USD
4580.57000000
0.002958364628
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LAAB5
200000.00000000
PA
USD
206317.85000000
0.133250540776
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
2.70000000
N
N
N
N
N
N
City of Chicago IL
T5UYO5SYLC8K73MJQX30
CHICAGO IL
167486C80
795000.00000000
PA
USD
1051093.35000000
0.678849441744
Long
DBT
MUN
US
N
2
2036-01-01
Fixed
6.21000000
N
N
N
N
N
N
United States Small Business Administration
254900HROIFWPRGM1V77
United States Small Business Administration
83162CVU4
207289.37000000
PA
USD
219092.45000000
0.141501025929
Long
ABS-O
USGA
US
N
2
2033-09-01
Fixed
3.62000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292SA59
721633.61000000
PA
USD
759620.61000000
0.490601550315
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BTAC5
605000.00000000
PA
USD
648191.01000000
0.418634658170
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETDS2
364439.87000000
PA
USD
389912.90000000
0.251825543843
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B3NX2
429471.00000000
PA
USD
447780.85000000
0.289199603485
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Variable
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERQS2
735799.69000000
PA
USD
761795.33000000
0.492006094885
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEEL9
119711.71000000
PA
USD
124741.95000000
0.080564683545
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
DLL Securitization Trust
N/A
DLL 2019-1 LLC
23291GAB0
425555.58000000
PA
USD
427086.30000000
0.275834012584
Long
ABS-O
CORP
US
Y
2
2021-11-22
Fixed
2.79000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AEEP8
95865.77000000
PA
USD
95476.34000000
0.061663467006
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CV68
226411.35000000
PA
USD
235693.76000000
0.152222994654
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335ALX4
237195.57000000
PA
USD
257150.86000000
0.166081079054
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405VFF9
108.58000000
PA
USD
108.34000000
0.000069971471
Long
ABS-MBS
USGSE
US
N
2
2019-12-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X13A2
120208.63000000
PA
USD
126458.99000000
0.081673635139
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BBT1
898155.71000000
PA
USD
961138.75000000
0.620752194727
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FEZW3
9085149.06000000
PA
USD
105797.47000000
0.068329376689
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
0.26000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PPZS5
50923.28000000
PA
USD
53117.63000000
0.034306061847
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHGM8
133495.13000000
PA
USD
142853.39000000
0.092261970882
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A7PB8
205608.21000000
PA
USD
222172.98000000
0.143490588579
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RD34
532525.84000000
PA
USD
30527.74000000
0.019716364161
Long
ABS-MBS
USGA
US
N
2
2059-02-16
Variable
0.66000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BRS71
55579.33000000
PA
USD
56539.24000000
0.036515911275
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36296FS61
5550.35000000
PA
USD
6274.25000000
0.004052229147
Long
ABS-MBS
USGA
US
N
2
2058-04-20
Variable
5.87000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396VEQ7
173137.66000000
PA
USD
192263.29000000
0.124173392481
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKG3
18694.00000000
PA
USD
19482.47000000
0.012582768108
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3129456V5
54599.90000000
PA
USD
59344.45000000
0.038327658293
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHBP6
798411.66000000
PA
USD
831272.14000000
0.536877745612
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132J8ZX1
85196.21000000
PA
USD
88094.10000000
0.056895641672
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPHM0
2569510.11000000
PA
USD
241763.15000000
0.156142914815
Long
ABS-MBS
USGSE
US
N
2
2029-08-25
Variable
1.27000000
N
N
N
N
N
N
United States Small Business Administration
254900HROIFWPRGM1V77
United States Small Business Administration
83162CNU3
55646.24000000
PA
USD
58404.34000000
0.037720487532
Long
ABS-O
USGA
US
N
2
2024-06-01
Fixed
5.52000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JK31
133113.29000000
PA
USD
149147.78000000
0.096327207464
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810FG8
48000.00000000
PA
USD
62182.50000000
0.040160615050
Long
DBT
UST
US
N
2
2029-02-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BCM47
133686.99000000
PA
USD
136142.94000000
0.087928021632
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
3.00000000
N
N
N
N
N
N
United Overseas Bank Ltd
IO66REGK3RCBAMA8HR66
United Overseas Bank Ltd
91127KAC6
309000.00000000
PA
USD
320004.30000000
0.206675021215
Long
DBT
CORP
SG
Y
2
2029-04-15
Variable
3.75000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136APK43
174143.19000000
PA
USD
173553.18000000
0.112089453668
Long
ABS-MBS
USGSE
US
N
2
2044-05-25
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4X98
14203558.18000000
PA
USD
176686.58000000
0.114113162448
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Variable
0.27000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225B2U1
101732.51000000
PA
USD
114251.14000000
0.073789185905
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
5.50000000
N
N
N
N
N
N
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR20 XCBT 20200331
000000000
58.00000000
NC
USD
-5252.25000000
-0.00339216966
N/A
DIR
US
N
1
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUH0 Comdty
2020-03-31
12509236.65000000
USD
-5252.25000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KQ64
142319.11000000
PA
USD
160183.92000000
0.103454906900
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EH3F7
395901.22000000
PA
USD
423693.65000000
0.273642866994
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RK6
4017000.00000000
PA
USD
4244682.31000000
2.741431307244
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
Syracuse Industrial Development Agency
N/A
SYRACUSE NY INDL DEV AGY PILOT REVENUE
87172NBE7
1215000.00000000
PA
USD
1247221.80000000
0.805519150760
Long
DBT
MUN
US
N
2
2036-01-01
Fixed
5.00000000
N
N
N
N
N
N
New Jersey Economic Development Authority
5493006JS6QWDVU4R678
NEW JERSEY ST ECON DEV AUTH LEASE REVENUE
645913BB9
1182000.00000000
PA
USD
1089354.84000000
0.703560654242
Long
DBT
MUN
US
N
2
2023-02-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417TNK0
93802.91000000
PA
USD
101643.51000000
0.065646538454
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LQ2S2
151177.95000000
PA
USD
161529.63000000
0.104324034730
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Montefiore Obligated Group
N/A
Montefiore Obligated Group
61237WAF3
614000.00000000
PA
USD
731620.60000000
0.472517722501
Long
DBT
CORP
US
N
2
2048-11-01
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412FS38
31543.93000000
PA
USD
35265.32000000
0.022776133818
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Equate Petrochemical BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
000000000
453000.00000000
PA
USD
481658.59000000
0.311079567702
Long
DBT
CORP
NL
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403CXQ9
46334.99000000
PA
USD
52186.47000000
0.033704671451
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
RECKITT BENCKISER TSY
213800LAXWIUOOBZ3908
Reckitt Benckiser Treasury Services PLC
75625QAD1
267000.00000000
PA
USD
272336.33000000
0.175888626435
Long
DBT
CORP
GB
Y
2
2024-06-26
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERQU7
436768.44000000
PA
USD
447794.94000000
0.289208703522
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132JADZ5
64531.35000000
PA
USD
66606.40000000
0.043017794239
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQ7L0
174597.56000000
PA
USD
186612.19000000
0.120523625236
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DP79
364317.29000000
PA
USD
410387.52000000
0.265049092785
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409WVY4
48517.49000000
PA
USD
54790.60000000
0.035386550797
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LDU3
62962.51000000
PA
USD
68242.17000000
0.044074257541
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9LS9
194911.56000000
PA
USD
206882.41000000
0.133615162283
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABC0
233000.00000000
PA
USD
234840.12000000
0.151671670609
Long
DBT
CORP
US
Y
2
2022-11-01
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPN91
228579.74000000
PA
USD
241635.15000000
0.156060245917
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YWJX6
487434.33000000
PA
USD
514881.02000000
0.332536299456
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BMFL5
57803.51000000
PA
USD
59136.49000000
0.038193347168
Long
ABS-MBS
USGSE
US
N
2
2028-06-15
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GRD8
241000.00000000
PA
USD
251324.40000000
0.162318055419
Long
DBT
CORP
US
N
2
2023-01-22
Fixed
3.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6NG9
30140.07000000
PA
USD
33960.13000000
0.021933175861
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
FREDDIE MAC FHR 3845 AI
N/A
FREDDIE MAC FHR 3845 AI
3137A9RJ7
56324.76000000
PA
USD
10988.93000000
0.007097208821
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
5.50000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
352000.00000000
PA
415757.50000000
0.268517298464
Long
DBT
NUSS
RO
Y
2
2026-12-08
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FAWU8
8575405.36000000
PA
USD
339723.26000000
0.219410526570
Long
ABS-MBS
USGSE
US
N
2
2027-07-25
Variable
0.71000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411JUS3
15773.36000000
PA
USD
18092.04000000
0.011684757832
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
Inter-American Development Bank
VKU1UKDS9E7LYLMACP54
Inter-American Development Bank
4581X0CE6
158000.00000000
PA
USD
215977.40000000
0.139489168511
Long
DBT
NUSS
N/A
N
2
2044-01-24
Fixed
4.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJZG8
1297842.21000000
PA
USD
1352816.52000000
0.873717581206
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LK35
115674.02000000
PA
USD
123619.16000000
0.079839528767
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312941LZ8
45461.65000000
PA
USD
49293.05000000
0.031835953937
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L3D28
121172.44000000
PA
USD
122794.09000000
0.079306656678
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
2.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WAFE2
182209.97000000
PA
USD
188067.73000000
0.121463686855
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.00000000
N
N
N
N
N
N
KazMunayGas National Co JSC
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAQ8
434000.00000000
PA
USD
499273.60000000
0.322456235345
Long
DBT
CORP
KZ
Y
2
2030-04-24
Fixed
5.38000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AG8
350000.00000000
PA
USD
357940.83000000
0.231176358049
Long
DBT
CORP
NL
N
2
2022-03-29
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292LLA1
227160.19000000
PA
USD
239120.10000000
0.154435898956
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNX70
1262484.07000000
PA
USD
113688.96000000
0.073426101524
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Variable
1.22000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BF2
79000.00000000
PA
USD
82199.44000000
0.053088571015
Long
DBT
CORP
US
N
2
2022-06-12
Fixed
4.00000000
N
N
N
N
N
N
Martin Marietta Materials Inc
5299005MZ4WZECVATV08
Martin Marietta Materials Inc
573284AN6
82000.00000000
PA
USD
87822.23000000
0.056720054225
Long
DBT
CORP
US
N
2
2024-07-02
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31397QLS5
47694.04000000
PA
USD
48805.75000000
0.031521230860
Long
ABS-MBS
USGSE
US
N
2
2040-04-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ANB9
253476.30000000
PA
USD
271234.55000000
0.175177040982
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RBW8
440252.23000000
PA
USD
455022.38000000
0.293876551159
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NF78
1070705.87000000
PA
USD
1133497.68000000
0.732070341123
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERCZ1
351925.06000000
PA
USD
375554.36000000
0.242552069833
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B0CN2
277742.98000000
PA
USD
287712.48000000
0.185819324640
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P8GA3
101042.15000000
PA
USD
105238.78000000
0.067968546326
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5BK8
59599.31000000
PA
USD
60284.81000000
0.038934990516
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WHJY2
1544868.25000000
PA
USD
1589287.17000000
1.026442330860
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VGJ9
94462.00000000
PA
USD
100543.13000000
0.064935857192
Long
ABS-MBS
USGA
US
N
2
2039-05-16
Fixed
4.00000000
N
N
N
N
N
N
NTPC Ltd
335800Q4TRGJXNLVMB81
NTPC Ltd
000000000
398000.00000000
PA
USD
420489.67000000
0.271573574068
Long
DBT
CORP
IN
N
2
2026-02-26
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417N4M0
130749.56000000
PA
USD
144358.98000000
0.093234357332
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L7K47
70007.62000000
PA
USD
75865.82000000
0.048997997708
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
3.59000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WD3L3
494265.10000000
PA
USD
524287.36000000
0.338611391319
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LQW2
319120.20000000
PA
USD
359544.67000000
0.232212199336
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYE3
508824.82000000
PA
USD
543852.23000000
0.351247377530
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Symphony CLO Ltd
549300X84MR2MGY6OR68
Symphony CLO XVII Ltd
87165UAQ4
383677.00000000
PA
USD
383358.93000000
0.247592657320
Long
ABS-CBDO
CORP
KY
Y
2
2028-04-15
Floating
3.20000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AH0
694000.00000000
PA
USD
742605.46000000
0.479612302710
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.90000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B5KW2
367000.00000000
PA
USD
385561.10000000
0.249014930494
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Variable
3.46000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FK4M5
423000.00000000
PA
USD
480562.09000000
0.310371392341
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Variable
4.06000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QC5
4503100.00000000
PA
USD
6269687.25000000
4.049282292172
Long
DBT
UST
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FSD9
79237.64000000
PA
USD
84374.21000000
0.054493147878
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MBH82
120922.30000000
PA
USD
129243.42000000
0.083471961378
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-H4
61691RAF3
1680097.99000000
PA
USD
107368.34000000
0.069343924276
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Variable
1.03000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UD74
127882.65000000
PA
USD
131661.09000000
0.085033415391
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
3.00000000
N
N
N
N
N
N
Engie Energia Chile SA
5493000FIKCC3ZDWTO77
Engie Energia Chile SA
000000000
566000.00000000
PA
USD
583671.06000000
0.376964399254
Long
DBT
CORP
CL
N
2
2021-01-15
Fixed
5.63000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
183000.00000000
PA
USD
186900.36000000
0.120709740051
Long
DBT
CORP
US
N
2
2023-12-20
Variable
3.00000000
N
N
N
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494AY9
38000.00000000
PA
USD
46412.10000000
0.029975290182
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
5.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LDH9
299213.50000000
PA
USD
337103.60000000
0.217718617161
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFPH3
133217.53000000
PA
USD
138812.58000000
0.089652210662
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BG3
140000.00000000
PA
USD
165217.20000000
0.106705654627
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.69000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MQ48
531493.02000000
PA
USD
594667.60000000
0.384066523000
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381MR56
111617.89000000
PA
USD
129639.15000000
0.083727543900
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
4.96000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177T4M6
72380.83000000
PA
USD
76090.47000000
0.049143088082
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WDKV2
218146.02000000
PA
USD
230603.50000000
0.148935446351
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SA7
804400.00000000
PA
USD
938225.77000000
0.605953829119
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183BT0
346079.28000000
PA
USD
352240.36000000
0.227494705152
Long
ABS-O
CORP
US
Y
2
2031-01-15
Fixed
3.39000000
N
N
N
N
N
N
Enel Finance International NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAB4
366000.00000000
PA
USD
369850.19000000
0.238868027288
Long
DBT
CORP
NL
Y
2
2022-05-25
Fixed
2.88000000
N
N
N
N
N
N
City of Chicago IL
T5UYO5SYLC8K73MJQX30
CHICAGO IL
167486VV8
275000.00000000
PA
USD
329194.25000000
0.212610357432
Long
DBT
MUN
US
N
2
2033-01-01
Fixed
7.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L3KA2
66117.29000000
PA
USD
67383.79000000
0.043519872163
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
2.59000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJRD2
275565.29000000
PA
USD
286011.08000000
0.184720474152
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9DT6
243697.63000000
PA
USD
264248.29000000
0.170664959633
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378CP92
109668.18000000
PA
USD
117805.07000000
0.076084494306
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJXK1
420456.92000000
PA
USD
438629.83000000
0.283289410239
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P8E23
50319.76000000
PA
USD
53274.91000000
0.034407641255
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L44T7
61105.91000000
PA
USD
64979.83000000
0.041967272764
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
3.78000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828SV3
1751000.00000000
PA
USD
1757224.26000000
1.134904628519
Long
DBT
UST
US
N
2
2022-05-15
Fixed
1.75000000
N
N
N
N
N
N
State Grid Overseas Investment 2014 Ltd
N/A
State Grid Overseas Investment 2014 Ltd
857004AC9
240000.00000000
PA
USD
256746.15000000
0.165819696792
Long
DBT
CORP
VG
Y
2
2024-05-07
Fixed
4.13000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Y79
3100000.00000000
PA
USD
3299441.41000000
2.130946751063
Long
DBT
UST
US
N
2
2025-07-31
Fixed
2.88000000
N
N
N
N
N
N
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR20 XCBT 20200320
000000000
-37.00000000
NC
USD
36357.38000000
0.023481441602
N/A
DIR
US
N
1
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USH0 Comdty
2020-03-20
-5918201.13000000
USD
36357.38000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYG8
101902.03000000
PA
USD
108910.02000000
0.070339619480
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ER5E6
725363.01000000
PA
USD
773936.44000000
0.499847440039
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.00000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183BG8
210952.19000000
PA
USD
213342.11000000
0.137787164455
Long
ABS-O
CORP
US
Y
2
2030-04-15
Fixed
3.04000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BLMZ8
225000.00000000
PA
USD
235994.69000000
0.152417350524
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Fixed
3.01000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCQ3
672000.00000000
PA
USD
821867.67000000
0.530803861490
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
4.63000000
N
N
N
N
N
N
Fannie Mae - ACES
N/A
Fannie Mae - ACES
3136B1XJ8
363000.00000000
PA
USD
382261.58000000
0.246883932985
Long
ABS-MBS
USGSE
US
N
2
2028-03-25
Variable
3.14000000
N
N
N
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAL6
34000.00000000
PA
USD
36169.79000000
0.023360286457
Long
DBT
CORP
US
Y
2
2024-11-15
Fixed
3.85000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BA0
82000.00000000
PA
USD
95090.23000000
0.061414097568
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
4.50000000
N
N
N
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135FAB7
750000.00000000
PA
USD
801995.24000000
0.517969237419
Long
DBT
CORP
US
Y
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828L57
6200000.00000000
PA
USD
6224945.33000000
4.020385689016
Long
DBT
UST
US
N
2
2022-09-30
Fixed
1.75000000
N
N
N
N
N
N
GNL Quintero SA
549300JJJIQXE6E1QY27
GNL Quintero SA
36190CAA5
200000.00000000
PA
USD
208322.00000000
0.134544922582
Long
DBT
CORP
CL
Y
2
2029-07-31
Fixed
4.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FXC5
129655.31000000
PA
USD
139998.65000000
0.090418234876
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828WJ5
2955000.00000000
PA
USD
3064889.06000000
1.979460936927
Long
DBT
UST
US
N
2
2024-05-15
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B1BS0
496000.00000000
PA
USD
504277.40000000
0.325687943391
Long
ABS-MBS
USGSE
US
N
2
2022-11-25
Fixed
2.51000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TG33
180793.25000000
PA
USD
186522.25000000
0.120465537419
Long
ABS-MBS
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERSB7
280327.70000000
PA
USD
299233.32000000
0.193260067941
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - ACES
N/A
Fannie Mae - ACES
3136AQ5E6
366885.80000000
PA
USD
368123.56000000
0.237752881986
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Fixed
2.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LTU3
262044.25000000
PA
USD
294740.89000000
0.190358628599
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137A2B26
212490.76000000
PA
USD
213886.51000000
0.138138765610
Long
ABS-MBS
USGSE
US
N
2
2020-08-25
Fixed
3.81000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WJEF4
357703.39000000
PA
USD
372539.62000000
0.240604997705
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030421
125000.00000000
PA
USD
127824.61000000
0.082555621857
Long
ABS-MBS
USGSE
US
N
2
2035-02-18
Fixed
3.00000000
N
N
N
N
N
N
2019-12-24
MFS GOVERNMENT MARKETS INCOME TRUST
Kasey Phillips
Kasey Phillips
Assistant Treasurer