0001752724-21-009332.txt : 20210122
0001752724-21-009332.hdr.sgml : 20210122
20210122170629
ACCESSION NUMBER: 0001752724-21-009332
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201130
FILED AS OF DATE: 20210122
PERIOD START: 20201130
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: 21546977
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
primary_doc.xml
NPORT-P
false
0000811922
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MFS GOVERNMENT MARKETS INCOME TRUST
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24TH FLOOR
BOSTON
02199
617-954-5000
MFS GOVERNMENT MARKETS INCOME TRUST
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2020-11-30
2020-11-30
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
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0.00000000
0.00000000
50913.35000000
USD
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FHLMC Multifamily Structured Pass Through Certs.
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Freddie Mac Multifamily Structured Pass Through Certificates
3137FETQ3
5027188.31000000
PA
USD
106545.22000000
0.068882889944
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
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N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AAL29
363101.06000000
PA
USD
368508.98000000
0.238245915798
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Fixed
1.75000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2020-FL4 Ltd
58003UAA6
229000.00000000
PA
USD
229218.70000000
0.148192912692
Long
ABS-CBDO
CORP
US
Y
2
2035-11-15
Floating
1.85000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJXK1
265795.05000000
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USD
283903.63000000
0.183547441171
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2019-C7
17328CAJ1
1440430.40000000
PA
USD
92152.26000000
0.059577651476
Long
ABS-MBS
CORP
US
Y
2
2072-12-15
Variable
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N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR21 XCBT 20210322
000000000
-65.00000000
NC
USD
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-0.02707585597
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DIR
US
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1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
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US Treasury Long Bond
USH1 Comdty
2021-03-22
-11327026.43000000
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-41879.82000000
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N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
588000.00000000
PA
USD
685130.29000000
0.442945768600
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L6HF1
175348.70000000
PA
USD
192760.27000000
0.124622056851
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0326C9
625000.00000000
PA
USD
660302.73000000
0.426894423611
Long
ABS-MBS
USGA
US
N
2
2050-12-21
Fixed
3.50000000
N
N
N
N
N
N
GNL Quintero SA
549300JJJIQXE6E1QY27
GNL Quintero SA
36190CAA5
200000.00000000
PA
USD
220700.00000000
0.142685460790
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
21H032613
700000.00000000
PA
USD
739265.62000000
0.477944973430
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0124C7
150000.00000000
PA
USD
153814.45000000
0.099443070568
Long
ABS-MBS
USGSE
US
N
2
2035-12-15
Fixed
1.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BFXT3
827000.00000000
PA
USD
894610.89000000
0.578377739318
Long
ABS-MBS
USGSE
US
N
2
2024-12-25
Fixed
2.67000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416YDT2
49466.33000000
PA
USD
54712.82000000
0.035372559731
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BG3
140000.00000000
PA
USD
181310.59000000
0.117219687722
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.69000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YS3
1950800.00000000
PA
USD
2118523.07000000
1.369653105744
Long
DBT
UST
US
N
2
2029-11-15
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JK31
109398.95000000
PA
USD
124324.97000000
0.080377732814
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQ7L0
115090.05000000
PA
USD
125438.03000000
0.081097340784
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
31412FS38
22651.85000000
PA
USD
26620.18000000
0.017210297460
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YWJX6
381584.24000000
PA
USD
416468.30000000
0.269252248708
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414CRZ3
57926.52000000
PA
USD
67674.42000000
0.043752405081
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LXAY6
46602.83000000
PA
USD
55985.44000000
0.036195325346
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
31418CRF3
146131.55000000
PA
USD
152940.40000000
0.098877985715
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0206C4
550000.00000000
PA
USD
575397.51000000
0.372002079075
Long
ABS-MBS
USGA
US
N
2
2050-12-21
Fixed
2.00000000
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
665207.82000000
0.430065628989
Long
ABS-MBS
CORP
US
N
2
2052-12-15
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B5MH3
509259.62000000
PA
USD
516792.13000000
0.334112927964
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378CP92
75071.38000000
PA
USD
82522.29000000
0.053351748863
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E0X91
229037.97000000
PA
USD
249535.84000000
0.161328211663
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.00000000
N
N
N
N
N
N
FIDELITY NATIONAL INFORM
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MAM8
271000.00000000
PA
USD
298289.37000000
0.192848011813
Long
DBT
CORP
US
N
2
2024-06-05
Fixed
3.88000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B36J2
433000.00000000
PA
USD
458767.18000000
0.296599032504
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Fixed
3.32000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L6W46
186047.97000000
PA
USD
207339.36000000
0.134047630818
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
3.43000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L2T72
101493.70000000
PA
USD
106010.75000000
0.068537348040
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
2.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LDH9
241660.01000000
PA
USD
283561.20000000
0.183326055660
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
3138WDKV2
136294.78000000
PA
USD
148163.80000000
0.095789850817
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.00000000
N
N
N
N
N
N
MONTEFIORE OBLIGATED GRP
N/A
Montefiore Obligated Group
61237WAF3
614000.00000000
PA
USD
785562.02000000
0.507876206629
Long
DBT
CORP
US
N
2
2048-11-01
Fixed
5.25000000
N
N
N
N
N
N
Toledo Hospital/The
5493009DCR7NWV6K4T34
Toledo Hospital/The
889184AD9
175000.00000000
PA
USD
206880.47000000
0.133750952380
Long
DBT
CORP
US
N
2
2038-11-15
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5BK8
46572.35000000
PA
USD
48539.13000000
0.031381187722
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2H7
305000.00000000
PA
USD
310562.12000000
0.200782506552
Long
DBT
CORP
SA
Y
2
2025-11-24
Fixed
1.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9T51
117897.92000000
PA
USD
128476.08000000
0.083061480178
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LDU3
45533.27000000
PA
USD
50832.15000000
0.032863655395
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
RECKITT BENCKISER TSY
213800LAXWIUOOBZ3908
Reckitt Benckiser Treasury Services PLC
75625QAD1
267000.00000000
PA
USD
285598.42000000
0.184643145259
Long
DBT
CORP
GB
Y
2
2024-06-26
Fixed
2.75000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GRD8
241000.00000000
PA
USD
256927.84000000
0.166107237155
Long
DBT
CORP
US
N
2
2023-01-22
Fixed
3.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NF78
813949.17000000
PA
USD
884959.33000000
0.572137878485
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
3.50000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136AVY52
729000.00000000
PA
USD
798677.16000000
0.516355317613
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
2.67000000
N
N
N
N
N
N
CAMPBELL SOUP CO
5493007JDSMX8Z5Z1902
Campbell Soup Co
134429BK4
366000.00000000
PA
USD
388048.72000000
0.250878615415
Long
DBT
CORP
US
N
2
2050-04-24
Fixed
3.13000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F012619
100000.00000000
PA
USD
101025.15000000
0.065314091885
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
1.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FMVC3
481792.89000000
PA
USD
517585.09000000
0.334625587063
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417G5A0
79811.29000000
PA
USD
85908.81000000
0.055541178707
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AFZS6
170185.17000000
PA
USD
178967.93000000
0.115705127135
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
31410LK35
85060.85000000
PA
USD
93501.94000000
0.060450237397
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WH6K3
100598.16000000
PA
USD
105718.87000000
0.068348643770
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UV90
196855.54000000
PA
USD
209393.31000000
0.135375536582
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384WLN8
22897.32000000
PA
USD
25989.63000000
0.016802638569
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300REQJRID6TODX95
Wells Fargo Commercial Mortgage Trust 2018-C48
95001RAY5
988210.47000000
PA
USD
61687.95000000
0.039882073271
Long
ABS-MBS
CORP
US
Y
2
2052-01-15
Variable
1.12000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYH6
124123.36000000
PA
USD
135279.72000000
0.087460123170
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBD9
100000.00000000
PA
USD
115365.64000000
0.074585407805
Long
DBT
CORP
US
N
2
2042-09-15
Fixed
4.50000000
N
N
N
N
N
N
State of California Department of Water Resources
549300X618YEC5LGBQ98
CALIFORNIA ST DEPT OF WTR RESOURCES CENTRL VLY PROJ
13067WRG9
160000.00000000
PA
USD
159811.20000000
0.103320048534
Long
DBT
MUN
US
N
2
2029-12-01
Fixed
1.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DVC3
175000.00000000
PA
USD
183568.41000000
0.118679398130
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AA5A5
158378.97000000
PA
USD
177107.71000000
0.114502470370
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2017-COR2 Mortgage Trust
12595EAD7
292470.00000000
PA
USD
327753.67000000
0.211897070365
Long
ABS-MBS
CORP
US
N
2
2050-09-10
Fixed
3.51000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477BN2
138000.00000000
PA
USD
158292.67000000
0.102338298861
Long
DBT
CORP
US
N
2
2031-03-30
Fixed
3.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VTX8
347120.22000000
PA
USD
364499.12000000
0.235653488422
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERSB7
229950.85000000
PA
USD
253631.20000000
0.163975915916
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RK6
4017000.00000000
PA
USD
4856019.50000000
3.139480652307
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBA8
750000.00000000
PA
USD
892090.48000000
0.576748261012
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RU4
3470000.00000000
PA
USD
4496496.48000000
2.907044278164
Long
DBT
UST
US
N
2
2046-11-15
Fixed
2.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292SA59
557504.57000000
PA
USD
605311.24000000
0.391341700049
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENAA7
367068.05000000
PA
USD
413031.36000000
0.267030221669
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.50000000
N
N
N
N
N
N
Sales Tax Securitization Corp
N/A
SALES TAX SECURITIZATION CORP IL
79467BDK8
240000.00000000
PA
USD
250089.60000000
0.161686224806
Long
DBT
MUN
US
N
2
2043-01-01
Fixed
3.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403UHG9
184206.35000000
PA
USD
217562.58000000
0.140657077381
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
3128M7PU4
74555.56000000
PA
USD
83317.56000000
0.053865901407
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
Michigan Finance Authority
54930022O46HOX5J1D14
MICHIGAN ST FIN AUTH REVENUE
59447TH89
25000.00000000
PA
USD
25161.50000000
0.016267241602
Long
DBT
MUN
US
N
2
2030-06-01
Fixed
2.33000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AQVJ6
66060.72000000
PA
USD
72484.71000000
0.046862321008
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJC99
192906.78000000
PA
USD
228578.79000000
0.147779202437
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WHUC7
288425.01000000
PA
USD
310701.53000000
0.200872636956
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2020-GC45
36258YBG2
245853.00000000
PA
USD
272031.43000000
0.175871907290
Long
ABS-MBS
CORP
US
N
2
2053-02-13
Fixed
2.91000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAK6
324000.00000000
PA
USD
383130.00000000
0.247698598063
Long
DBT
NUSS
MX
N
2
2032-04-27
Fixed
4.75000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CLM3
4317.71000000
PA
USD
4373.92000000
0.002827796967
Long
ABS-O
USGA
US
N
2
2021-05-01
Fixed
6.34000000
N
N
N
N
N
N
Equate Petrochemical BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
000000000
253000.00000000
PA
USD
275916.74000000
0.178383811448
Long
DBT
CORP
NL
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BK7
350000.00000000
PA
USD
422628.50000000
0.273234899255
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.38000000
N
N
N
N
N
N
TENN VALLEY AUTHORITY
549300HE1ISW43LNKM54
Tennessee Valley Authority
880591EW8
268000.00000000
PA
USD
271215.95000000
0.175344688715
Long
DBT
USGA
US
N
2
2025-05-15
Fixed
0.75000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABC0
233000.00000000
PA
USD
241364.83000000
0.156045545931
Long
DBT
CORP
US
Y
2
2022-11-01
Fixed
2.85000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B1BS0
496000.00000000
PA
USD
513166.76000000
0.331769078445
Long
ABS-MBS
USGSE
US
N
2
2022-11-25
Fixed
2.51000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DQF2
274763.42000000
PA
USD
285772.76000000
0.184755858368
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
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
1026735.75000000
0.663798203890
Long
DBT
MUN
US
N
2
2036-01-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FVNL2
559633.00000000
PA
USD
64158.17000000
0.041479103080
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.44000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L7K47
68658.08000000
PA
USD
77230.47000000
0.049930517439
Long
ABS-MBS
USGSE
US
N
2
2026-09-01
Fixed
3.59000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJWU0
277704.45000000
PA
USD
291870.85000000
0.188698353980
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAW5
650000.00000000
PA
USD
793838.50000000
0.513227060106
Long
DBT
CORP
US
Y
2
2040-04-15
Fixed
4.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378TKC3
75490.14000000
PA
USD
6072.19000000
0.003925750920
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-MP
61764JAG1
100000.00000000
PA
USD
101387.02000000
0.065548045613
Long
ABS-MBS
CORP
US
Y
2
2033-08-11
Variable
3.82000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040610
525000.00000000
PA
USD
560663.09000000
0.362476082214
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BJGN7
16058.66000000
PA
USD
1531.07000000
0.000989856948
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFPH3
86269.72000000
PA
USD
92154.88000000
0.059579345341
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411VC31
3964.06000000
PA
USD
4576.83000000
0.002958980958
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225B2U1
76891.56000000
PA
USD
90268.31000000
0.058359652954
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
5.50000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAU5
464000.00000000
PA
USD
491217.77000000
0.317578766927
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AQ2X7
121756.02000000
PA
USD
13021.47000000
0.008418552093
Long
ABS-MBS
USGSE
US
N
2
2036-02-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P8FJ5
266728.26000000
PA
USD
278636.42000000
0.180142120438
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0206C8
850000.00000000
PA
USD
882809.29000000
0.570747849268
Long
ABS-MBS
USGSE
US
N
2
2050-12-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137A9RJ7
46183.17000000
PA
USD
8849.96000000
0.005721615861
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
5.50000000
N
N
N
N
N
N
FANNIE MAE
N/A
Fannie Mae REMICS
3136AWYJ0
550592.69000000
PA
USD
572582.81000000
0.370182338402
Long
ABS-MBS
USGSE
US
N
2
2053-05-25
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136AQ5E6
237288.71000000
PA
USD
242977.16000000
0.157087938541
Long
ABS-MBS
USGSE
US
N
2
2023-01-25
Fixed
2.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0226C0
700000.00000000
PA
USD
737656.13000000
0.476904416918
Long
ABS-MBS
USGA
US
N
2
2050-12-21
Fixed
2.50000000
N
N
N
N
N
N
Village of Bridgeview IL
N/A
BRIDGEVIEW IL
108555GF4
750000.00000000
PA
USD
743722.50000000
0.480826405132
Long
DBT
MUN
US
N
2
2025-12-01
Fixed
5.06000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381MR56
104203.87000000
PA
USD
124596.97000000
0.080553584402
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
4.96000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PML0
308078.02000000
PA
USD
330536.60000000
0.213696271314
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPN91
145155.98000000
PA
USD
157787.53000000
0.102011719189
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
3138ENEK1
1170333.55000000
PA
USD
1312774.27000000
0.848725879604
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
3138EPS47
81382.09000000
PA
USD
88963.73000000
0.057516224778
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERQU7
352039.92000000
PA
USD
375377.92000000
0.242686776102
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NJA7
356522.31000000
PA
USD
387653.83000000
0.250623313822
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
3.50000000
N
N
N
N
N
N
New Jersey Turnpike Authority
5493005YN67D71KSMI84
NEW JERSEY ST TURNPIKE AUTH
646139W35
32000.00000000
PA
USD
53591.68000000
0.034647727935
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
7.41000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4D66
12204617.90000000
PA
USD
251621.39000000
0.162676547244
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
0.43000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AMNZ8
114849.16000000
PA
USD
123985.22000000
0.080158079958
Long
ABS-MBS
USGSE
US
N
2
2044-09-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405VJP3
82304.51000000
PA
USD
98519.23000000
0.063693981555
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200MQ48
420274.45000000
PA
USD
492780.45000000
0.318589060157
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABE6
115000.00000000
PA
USD
118539.91000000
0.076637615226
Long
DBT
CORP
US
Y
2
2023-02-10
Fixed
2.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DVK46
93302.93000000
PA
USD
100845.33000000
0.065197835884
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6NG9
24177.72000000
PA
USD
28716.70000000
0.018565725291
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKJ7
113172.52000000
PA
USD
126845.36000000
0.082007198190
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
3.50000000
N
N
N
N
N
N
LABORATORY CORP OF AMER
OZ7UA8IXAIFILY2VZH07
Laboratory Corp of America Holdings
50540RAS1
106000.00000000
PA
USD
140604.28000000
0.090902521435
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
4.70000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412HGG2
470000.00000000
PA
USD
467227.00000000
0.302068417710
Long
DBT
MUN
US
N
2
2030-05-15
Fixed
1.61000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ER5E6
538124.10000000
PA
USD
588417.49000000
0.380419667864
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.00000000
N
N
N
N
N
N
HOWARD UNIVERSITY
N/A
Howard University
442851AD3
28000.00000000
PA
USD
28873.37000000
0.018667014513
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
2.74000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBD2
398000.00000000
PA
USD
466396.30000000
0.301531359204
Long
DBT
NUSS
QA
Y
2
2030-04-16
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BNPS7
226481.67000000
PA
USD
243420.28000000
0.157374421465
Long
ABS-MBS
USGSE
US
N
2
2045-06-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LTU3
180768.40000000
PA
USD
212928.36000000
0.137660993030
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P8GA3
56492.25000000
PA
USD
59550.04000000
0.038499886259
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
242000.00000000
PA
USD
280205.34000000
0.181156447910
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.91000000
N
N
N
N
N
N
California Earthquake Authority
N/A
CALIFORNIA ST EARTHQUAKE AUTH
13017HAJ5
155000.00000000
PA
USD
155351.85000000
0.100437019945
Long
DBT
MUN
US
N
2
2022-07-01
Fixed
1.33000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31397QLS5
31973.47000000
PA
USD
33194.50000000
0.021460682048
Long
ABS-MBS
USGSE
US
N
2
2040-04-25
Fixed
3.50000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BH2
121000.00000000
PA
USD
167979.13000000
0.108600723005
Long
DBT
CORP
US
N
2
2045-05-13
Fixed
4.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJC3
134968.85000000
PA
USD
158061.04000000
0.102188547011
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X13A2
93509.56000000
PA
USD
101475.19000000
0.065605048681
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FNW5
102218.48000000
PA
USD
103982.35000000
0.067225960687
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2AX7
157746.36000000
PA
USD
172469.22000000
0.111503625409
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
785000.00000000
PA
USD
907762.53000000
0.586880448034
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLH0
236211.67000000
PA
USD
257183.39000000
0.166272453601
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQ5E8
200793.13000000
PA
USD
224214.43000000
0.144957586136
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.50000000
N
N
N
N
N
N
The Bancorp Commercial Mortgage Trust
N/A
Bancorp Commercial Mortgage 2019-CRE6 Trust
05973BAA5
285866.09000000
PA
USD
284013.45000000
0.183618441250
Long
ABS-MBS
CORP
US
Y
2
2036-09-15
Floating
1.19000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828WJ5
2955000.00000000
PA
USD
3185974.80000000
2.059774727704
Long
DBT
UST
US
N
2
2024-05-15
Fixed
2.50000000
N
N
N
N
N
N
Power Finance Corp Ltd
3358003Q6D9LIJJZ1614
Power Finance Corp Ltd
000000000
370000.00000000
PA
USD
420391.05000000
0.271788358320
Long
DBT
CORP
IN
N
2
2028-08-10
Fixed
5.25000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2019-C7
17328CAD4
134582.00000000
PA
USD
151080.96000000
0.097675833231
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
3.10000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHX1
633757.00000000
PA
USD
87179.23000000
0.056362521993
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Variable
1.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WAFE2
143787.09000000
PA
USD
152799.04000000
0.098786594611
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0406C6
275000.00000000
PA
USD
293379.88000000
0.189673961778
Long
ABS-MBS
USGSE
US
N
2
2050-12-15
Fixed
4.00000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FY7
612000.00000000
PA
USD
712947.09000000
0.460929696673
Long
DBT
CORP
US
N
2
2040-05-13
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022622
325000.00000000
PA
USD
341035.94000000
0.220484233099
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.50000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B1XJ8
363000.00000000
PA
USD
411628.02000000
0.266122943850
Long
ABS-MBS
USGSE
US
N
2
2028-03-25
Variable
3.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132J4MM8
186657.25000000
PA
USD
198281.71000000
0.128191740632
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335B7F7
196529.43000000
PA
USD
228153.76000000
0.147504414937
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
5.00000000
N
N
N
N
N
N
Cantor Commercial Real Estate Lending
N/A
Cantor Commercial Real Estate Lending 2019-CF3
12529TAX1
375000.00000000
PA
USD
416188.88000000
0.269071599993
Long
ABS-MBS
CORP
US
N
2
2053-01-15
Fixed
3.01000000
N
N
N
N
N
N
Valero Energy Corp
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAT7
130000.00000000
PA
USD
151654.93000000
0.098046912406
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EJE0
50728.33000000
PA
USD
58976.74000000
0.038129240248
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5A45
1345002.62000000
PA
USD
1447456.18000000
0.935799510725
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032617
225000.00000000
PA
USD
237629.45000000
0.153630573496
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ADWS0
176588.49000000
PA
USD
196024.52000000
0.126732437527
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AK6V0
188781.24000000
PA
USD
191315.50000000
0.123687993991
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNQ4
452348.12000000
PA
USD
477182.81000000
0.308504980181
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Symphony CLO Ltd
549300X84MR2MGY6OR68
Symphony CLO XVII Ltd
87165UAQ4
383677.00000000
PA
USD
378799.70000000
0.244899002001
Long
ABS-CBDO
CORP
KY
Y
2
2028-04-15
Floating
1.44000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132JAJ97
139939.20000000
PA
USD
151939.40000000
0.098230826013
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 Gold Pool
3128M9BH4
70235.24000000
PA
USD
81547.13000000
0.052721295061
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp
89236TGY5
320000.00000000
PA
USD
373388.66000000
0.241400693275
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PPZS5
35876.61000000
PA
USD
38165.50000000
0.024674499110
Long
ABS-MBS
USGSE
US
N
2
2024-09-01
Fixed
4.50000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
CCUBS Commercial Mortgage Trust 2017-C1
12508GAU0
207878.00000000
PA
USD
235815.62000000
0.152457908478
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
3.54000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
183000.00000000
PA
USD
192164.64000000
0.124236974200
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYK9
183608.87000000
PA
USD
199442.93000000
0.128942484677
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
3140QEAV4
147303.53000000
PA
USD
157224.18000000
0.101647505984
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CLQ4
8367.81000000
PA
USD
8448.62000000
0.005462144258
Long
ABS-O
USGA
US
N
2
2021-07-01
Fixed
6.63000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBN5
485000.00000000
PA
USD
541856.70000000
0.350317503044
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410NLC0
1722.39000000
PA
USD
1735.97000000
0.001122327500
Long
ABS-MBS
USGSE
US
N
2
2021-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MBH82
90559.91000000
PA
USD
99569.57000000
0.064373040218
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CB6
700000.00000000
PA
USD
777826.08000000
0.502874819390
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31396HE70
64373.90000000
PA
USD
73421.52000000
0.047467981029
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKET8
48003.20000000
PA
USD
53671.89000000
0.034699584758
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.50000000
N
N
N
N
N
N
AID-TUNISIA
N/A
Tunisia Government AID Bonds
066717AA7
235000.00000000
PA
USD
238447.20000000
0.154159259656
Long
DBT
NUSS
TN
N
2
2021-07-24
Fixed
2.45000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CVR1
184473.00000000
PA
USD
197116.67000000
0.127438526907
Long
ABS-O
USGA
US
N
2
2033-07-01
Fixed
3.15000000
N
N
N
N
N
N
KazTransGas JSC
635400YGLXBBSVHONW39
KazTransGas JSC
000000000
350000.00000000
PA
USD
394670.50000000
0.255159683519
Long
DBT
CORP
KZ
N
2
2027-09-26
Fixed
4.38000000
N
N
N
N
N
N
BANCO DEL ESTADO -CHILE
5493004R4EJC0W0XVQ72
Banco del Estado de Chile
05965MAG8
241000.00000000
PA
USD
253956.16000000
0.164186006842
Long
DBT
CORP
CL
Y
2
2025-01-09
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5XN8
202169.88000000
PA
USD
212585.71000000
0.137439465286
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L5AD5
875152.76000000
PA
USD
950197.67000000
0.614315325717
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PMN6
164391.36000000
PA
USD
178549.30000000
0.115434477318
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLK3
142844.77000000
PA
USD
160017.81000000
0.103453624623
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DE4
108000.00000000
PA
USD
139172.82000000
0.089977063666
Long
DBT
CORP
US
N
2
2035-07-10
Fixed
4.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJZG8
881032.26000000
PA
USD
938417.80000000
0.606699484398
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BYPS3
3754360.54000000
PA
USD
86354.80000000
0.055829517124
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Variable
1.02000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34
61767EAE4
59686.00000000
PA
USD
67111.24000000
0.043388301783
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.54000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LXDA5
46465.10000000
PA
USD
55195.21000000
0.035684431229
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
3128M6WA2
185580.88000000
PA
USD
219809.11000000
0.142109488655
Long
ABS-MBS
USGSE
US
N
2
2038-10-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36296FS61
5885.06000000
PA
USD
6855.07000000
0.004431893165
Long
ABS-MBS
USGA
US
N
2
2058-04-20
Variable
5.87000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828B66
577000.00000000
PA
USD
623948.87000000
0.403391173654
Long
DBT
UST
US
N
2
2024-02-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WD3L3
390839.60000000
PA
USD
429160.28000000
0.277457781172
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZZ0
612877.00000000
PA
USD
86260.35000000
0.055768453954
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.77000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9DT6
173682.58000000
PA
USD
194160.68000000
0.125527440385
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BCM47
97205.78000000
PA
USD
100366.61000000
0.064888337090
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
3.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR21 XCBT 20210331
000000000
-7.00000000
NC
USD
-1173.15000000
-0.00075845694
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVH1 Comdty
2021-03-31
-881045.60000000
USD
-1173.15000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERCZ1
263329.31000000
PA
USD
287983.75000000
0.186185292564
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
HOWARD UNIVERSITY
N/A
Howard University
442851AC5
26000.00000000
PA
USD
26335.78000000
0.017026429109
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
2.64000000
N
N
N
N
N
N
City of Chicago IL
T5UYO5SYLC8K73MJQX30
CHICAGO IL
167486C80
1010000.00000000
PA
USD
1294527.10000000
0.836928843539
Long
DBT
MUN
US
N
2
2036-01-01
Fixed
6.21000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBP9
600000.00000000
PA
USD
702728.90000000
0.454323502071
Long
DBT
CORP
US
N
2
2027-04-02
Fixed
4.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WHJY2
1304246.49000000
PA
USD
1404000.28000000
0.907704698239
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419B5X9
152111.85000000
PA
USD
165423.20000000
0.106948280550
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DRT1
338114.17000000
PA
USD
355060.25000000
0.229551134479
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828V49
1804812.50000000
PA
USD
1984400.75000000
1.282941256938
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202F2V7
31104.37000000
PA
USD
36981.46000000
0.023909001634
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L44T7
59935.48000000
PA
USD
64386.78000000
0.041626902460
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
3.78000000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBJ2
99000.00000000
PA
USD
119304.01000000
0.077131615953
Long
DBT
CORP
US
Y
2
2050-10-15
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411VFL8
50340.10000000
PA
USD
59196.55000000
0.038271350312
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5DA8
587119.70000000
PA
USD
624759.08000000
0.403914985105
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
3138A7PB8
148179.54000000
PA
USD
165815.56000000
0.107201946464
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BK9
358000.00000000
PA
USD
392013.58000000
0.253441949698
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
3.16000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AZ5
260000.00000000
PA
USD
269692.17000000
0.174359544848
Long
DBT
CORP
US
Y
2
2022-09-26
Fixed
2.70000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FAWU8
8548897.86000000
PA
USD
297641.85000000
0.192429381593
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
3140FDVW3
263980.71000000
PA
USD
284287.45000000
0.183795585863
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292KZ67
939571.28000000
PA
USD
1091716.93000000
0.705809393790
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BWP99
276663.64000000
PA
USD
293996.26000000
0.190072459577
Long
ABS-MBS
USGSE
US
N
2
2028-06-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3129456V5
32068.86000000
PA
USD
35575.07000000
0.022999751951
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
31292LLA1
188947.52000000
PA
USD
205530.83000000
0.132878392320
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
California Earthquake Authority
N/A
CALIFORNIA ST EARTHQUAKE AUTH
13017HAK2
110000.00000000
PA
USD
110578.60000000
0.071490523310
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
1.48000000
N
N
N
N
N
N
HOWARD UNIVERSITY
N/A
Howard University
442851AE1
31000.00000000
PA
USD
32213.77000000
0.020826627169
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
2.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETDS2
281530.61000000
PA
USD
309164.69000000
0.199879049627
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AFC51
198513.45000000
PA
USD
208415.56000000
0.134743408312
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VSH4
1264542.18000000
PA
USD
1330259.91000000
0.860030576480
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
3.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020422
200000.00000000
PA
USD
207750.00000000
0.134313114994
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DQ96
476333.10000000
PA
USD
499419.63000000
0.322881377590
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FARG5
4702987.07000000
PA
USD
79668.13000000
0.051506496780
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Variable
0.73000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177T4M6
55637.28000000
PA
USD
61374.15000000
0.039679197432
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
31412LBD1
10927.90000000
PA
USD
12223.54000000
0.007902679825
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FEZW3
9067572.79000000
PA
USD
92251.67000000
0.059641921353
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
0.26000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VZR4
575000.00000000
PA
USD
606626.55000000
0.392192065312
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
Bank
N/A
BANK 2020-BNK29
06541TBF5
180339.00000000
PA
USD
185882.62000000
0.120175565417
Long
ABS-MBS
CORP
US
N
2
2053-11-15
Fixed
2.00000000
N
N
N
N
N
N
Loomis Sayles Ltd
549300SUQAYPCZFFGP18
Loomis Sayles CLO II Ltd
54347LAQ5
429010.00000000
PA
USD
421890.58000000
0.272757824242
Long
ABS-CBDO
CORP
KY
Y
2
2028-04-15
Floating
1.64000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377YEC0
109542.70000000
PA
USD
121573.27000000
0.078598722472
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
3138EREH9
139072.67000000
PA
USD
153091.74000000
0.098975829021
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DF70
296390.80000000
PA
USD
355811.97000000
0.230037131373
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020620
850000.00000000
PA
USD
878733.08000000
0.568112525743
Long
ABS-MBS
USGSE
US
N
2
2051-02-15
Fixed
2.00000000
N
N
N
N
N
N
TJX COS INC
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540AS8
600000.00000000
PA
USD
695067.44000000
0.449370267135
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417TNK0
67436.55000000
PA
USD
75600.33000000
0.048876610430
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B4WB8
294000.00000000
PA
USD
312160.44000000
0.201815841512
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Variable
3.06000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412V4J4
46761.82000000
PA
USD
53989.91000000
0.034905188882
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DQ2
420000.00000000
PA
USD
415174.20000000
0.268415595991
Long
DBT
NUSS
PE
N
2
2060-12-01
Fixed
2.78000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C5U4
275904.96000000
PA
USD
288710.60000000
0.186655210675
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402C4J8
175751.03000000
PA
USD
206812.92000000
0.133707280415
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
THAIOIL TRSRY CENTER
549300NH03B9E8VGJR89
Thaioil Treasury Center Co Ltd
88322YAL5
470000.00000000
PA
USD
471734.30000000
0.304982446606
Long
DBT
CORP
TH
Y
2
2050-06-18
Fixed
3.75000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AH0
694000.00000000
PA
USD
766663.66000000
0.495658167640
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EH3F7
297416.39000000
PA
USD
326602.95000000
0.211153114708
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ARB31
142455.96000000
PA
USD
147624.72000000
0.095441328487
Long
ABS-MBS
USGSE
US
N
2
2046-04-25
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RBW8
284605.74000000
PA
USD
303916.54000000
0.196486051434
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BJF65
37216.54000000
PA
USD
40181.16000000
0.025977649885
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Fixed
3.00000000
N
N
N
N
N
N
MDGH - GMTN BV
213800L53ZH5KG593W13
MDGH - GMTN BV
55276VAH5
429000.00000000
PA
USD
451072.05000000
0.291624029469
Long
DBT
CORP
NL
Y
2
2024-11-07
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKBW4
159243.03000000
PA
USD
184397.27000000
0.119215267052
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
5.00000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PBC1
1500000.00000000
PA
USD
1823661.06000000
1.179020927374
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CMG6
492770.12000000
PA
USD
529267.39000000
0.342178348089
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
31418DSK9
170953.71000000
PA
USD
179271.07000000
0.115901111143
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KQ64
117113.95000000
PA
USD
138998.78000000
0.089864544511
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A5C38
23411.27000000
PA
USD
2014.74000000
0.001302555982
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
31335ALX4
175743.70000000
PA
USD
197155.03000000
0.127463327153
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTZU4
1277474.00000000
PA
USD
198905.13000000
0.128594789884
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.99000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022618
1025000.00000000
PA
USD
1072023.44000000
0.693077292770
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BMFL5
50702.50000000
PA
USD
52280.08000000
0.033799761236
Long
ABS-MBS
USGSE
US
N
2
2028-06-15
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B5KW2
367000.00000000
PA
USD
393777.42000000
0.254582295521
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Variable
3.46000000
N
N
N
N
N
N
INTER-AMERICAN DEVEL BK
VKU1UKDS9E7LYLMACP54
Inter-American Development Bank
4581X0CE6
158000.00000000
PA
USD
239790.79000000
0.155027908311
Long
DBT
NUSS
N/A
N
2
2044-01-24
Fixed
4.38000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030611
925000.00000000
PA
USD
966877.93000000
0.625099333801
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
3.00000000
N
N
N
N
N
N
MFS Institutional Money Market Portfolio
5L2W638H85N8T1136O07
MFS Institutional Money Market Portfolio
55291X109
5662258.56800000
NS
USD
5662258.57000000
3.660724844469
Long
STIV
RF
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VGJ9
94462.00000000
PA
USD
100463.97000000
0.064951281614
Long
ABS-MBS
USGA
US
N
2
2039-05-16
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ABC35
178566.56000000
PA
USD
19295.12000000
0.012474549561
Long
ABS-MBS
USGSE
US
N
2
2033-02-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132J8ZX1
71679.23000000
PA
USD
78105.63000000
0.050496319922
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Y79
3100000.00000000
PA
USD
3464855.46000000
2.240074752523
Long
DBT
UST
US
N
2
2025-07-31
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AEEP8
63445.95000000
PA
USD
64211.53000000
0.041513601024
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810PT9
336000.00000000
PA
USD
518713.12000000
0.335354873335
Long
DBT
UST
US
N
2
2037-02-15
Fixed
4.75000000
N
N
N
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAL6
34000.00000000
PA
USD
37777.38000000
0.024423574412
Long
DBT
CORP
US
Y
2
2024-11-15
Fixed
3.85000000
N
N
N
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCQ3
672000.00000000
PA
USD
911626.85000000
0.589378781880
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
4.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHGM8
97787.88000000
PA
USD
106843.51000000
0.069075738363
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
150000.00000000
PA
USD
156615.23000000
0.101253811777
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202ESB6
30845.29000000
PA
USD
36664.59000000
0.023704141000
Long
ABS-MBS
USGA
US
N
2
2038-04-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409WVY4
31048.60000000
PA
USD
35418.89000000
0.022898779521
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
RAYMOND JAMES FINANCIAL
RGUZHJ05YTITL6D76949
Raymond James Financial Inc
754730AG4
374000.00000000
PA
USD
460032.57000000
0.297417123828
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.65000000
N
N
N
N
N
N
STATE GRID OVERSEAS INV
N/A
State Grid Overseas Investment 2014 Ltd
857004AC9
240000.00000000
PA
USD
263923.20000000
0.170629829656
Long
DBT
CORP
VG
Y
2
2024-05-07
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LDWL4
30752.39000000
PA
USD
34969.78000000
0.022608423982
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
01F0326C3
125000.00000000
PA
USD
131845.70000000
0.085239983949
Long
ABS-MBS
USGSE
US
N
2
2050-12-15
Fixed
3.50000000
N
N
N
N
N
N
HOWARD UNIVERSITY
N/A
Howard University
442851AG6
42000.00000000
PA
USD
43859.02000000
0.028355434882
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
2.52000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS MORTGAGE TRUST 2017-C1
07332VBD6
490000.00000000
PA
USD
557503.63000000
0.360433449654
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Fixed
3.67000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AH3J7
87343.94000000
PA
USD
89787.09000000
0.058048537877
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 REMICS
3137BLRJ9
101348.92000000
PA
USD
107400.43000000
0.069435794488
Long
ABS-MBS
USGSE
US
N
2
2027-01-15
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0204C0
125000.00000000
PA
USD
130146.48000000
0.084141415808
Long
ABS-MBS
USGSE
US
N
2
2035-12-15
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828K74
98000.00000000
PA
USD
105610.31000000
0.068278458298
Long
DBT
UST
US
N
2
2025-08-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128PDDD9
487.67000000
PA
USD
489.83000000
0.000316681555
Long
ABS-MBS
USGSE
US
N
2
2021-05-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LQW2
257138.10000000
PA
USD
304810.76000000
0.197064176458
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XIII Ltd
55818MBC0
452738.00000000
PA
USD
448855.77000000
0.290191175219
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-19
Floating
1.72000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177UCZ5
20038.54000000
PA
USD
21321.73000000
0.013784779655
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
4.00000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBH1
229000.00000000
PA
USD
281453.59000000
0.181963457998
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
4.65000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P8E23
36281.19000000
PA
USD
39274.17000000
0.025391268888
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136APK43
111096.70000000
PA
USD
113638.51000000
0.073468795481
Long
ABS-MBS
USGSE
US
N
2
2044-05-25
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411JUS3
11968.37000000
PA
USD
14014.78000000
0.009060740109
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
Central Texas Turnpike System
N/A
TEXAS ST TRANSPRTN COMMISSION CENTRAL TX TURNPIKE SYS REVENU
88283KBK3
195000.00000000
PA
USD
196990.95000000
0.127357247269
Long
DBT
MUN
US
N
2
2042-08-15
Floating
1.98000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137AVK89
250000.00000000
PA
USD
278016.50000000
0.179741333981
Long
ABS-MBS
USGSE
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYE3
365465.97000000
PA
USD
399550.46000000
0.258314642021
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
31419BBY0
61510.12000000
PA
USD
68992.89000000
0.044604813325
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
3138X6UA1
71304.28000000
PA
USD
77218.54000000
0.049922804537
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBBZ8
6701674.45000000
PA
USD
178659.94000000
0.115506007538
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Variable
0.56000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A8KR0
317384.32000000
PA
USD
331713.33000000
0.214457042779
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJS43
543886.16000000
PA
USD
590006.04000000
0.381446686390
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV44
463377.03000000
PA
USD
484491.03000000
0.313229840798
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.00000000
N
N
N
N
N
N
MARTIN MARIETTA MATERIAL
5299005MZ4WZECVATV08
Martin Marietta Materials Inc
573284AN6
82000.00000000
PA
USD
91461.97000000
0.059131369887
Long
DBT
CORP
US
N
2
2024-07-02
Fixed
4.25000000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAL6
620000.00000000
PA
USD
656035.65000000
0.424135700113
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
1.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERQS2
611503.16000000
PA
USD
658241.40000000
0.425561746580
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
3140K8RB9
154530.36000000
PA
USD
162096.53000000
0.104797544519
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L3KA2
64519.15000000
PA
USD
67141.59000000
0.043407923458
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
2.59000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAK6
650000.00000000
PA
USD
777156.63000000
0.502442011136
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292SBD1
896573.91000000
PA
USD
973000.82000000
0.629057862940
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406V2P0
10911.46000000
PA
USD
12661.48000000
0.008185813810
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
COMM Mortgage Trust
549300CJNWCNIHR7IT87
COMM 2013-WWP Mortgage Trust
12625CAN3
564000.00000000
PA
USD
603080.29000000
0.389899361450
Long
ABS-MBS
CORP
US
Y
2
2031-03-10
Fixed
3.90000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR21 XCBT 20210322
000000000
-1.00000000
NC
USD
-1386.54000000
-0.00089641639
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Ultra Long Bond
WNH1 Comdty
2021-03-22
-214644.71000000
USD
-1386.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403CXQ9
37145.81000000
PA
USD
43956.39000000
0.028418385871
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AG8
350000.00000000
PA
USD
362419.08000000
0.234308715129
Long
DBT
CORP
NL
N
2
2022-03-29
Fixed
3.15000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810PW2
1109000.00000000
PA
USD
1670344.61000000
1.079899820373
Long
DBT
UST
US
N
2
2038-02-15
Fixed
4.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYG8
66504.43000000
PA
USD
72263.23000000
0.046719131267
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TG33
227583.81000000
PA
USD
240875.12000000
0.155728941957
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
3138WEVB2
93302.81000000
PA
USD
99676.70000000
0.064442301176
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828U24
6071000.00000000
PA
USD
6609089.79000000
4.272863715862
Long
DBT
UST
US
N
2
2026-11-15
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BTAC5
605000.00000000
PA
USD
688119.86000000
0.444878565034
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
31417N4M0
80079.68000000
PA
USD
91344.65000000
0.059055520960
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
5.00000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CLN1
6951.49000000
PA
USD
7012.42000000
0.004533622016
Long
ABS-O
USGA
US
N
2
2021-06-01
Fixed
6.44000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTG43
600527.00000000
PA
USD
90342.08000000
0.058407346232
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.92000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZG2
1389954.00000000
PA
USD
209483.58000000
0.135433897328
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.91000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377DSY3
126411.97000000
PA
USD
145385.90000000
0.093993901830
Long
ABS-MBS
USGA
US
N
2
2034-08-20
Variable
5.70000000
N
N
N
N
N
N
TOLEDO HOSPITAL/THE
5493009DCR7NWV6K4T34
Toledo Hospital/The
889184AF4
250000.00000000
PA
USD
298696.58000000
0.193111278449
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.33000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137AVXN2
500000.00000000
PA
USD
514103.45000000
0.332374660884
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
2.36000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ART57
250000.00000000
PA
USD
285807.15000000
0.184778091957
Long
ABS-MBS
USGSE
US
N
2
2046-05-25
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FHPJ6
909308.00000000
PA
USD
1093794.95000000
0.707152861127
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Variable
3.93000000
N
N
N
N
N
N
PETRONAS CAPITAL LTD
549300G7YFX3540OYR85
Petronas Capital Ltd
716743AR0
269000.00000000
PA
USD
361788.32000000
0.233900920470
Long
DBT
CORP
MY
Y
2
2050-04-21
Fixed
4.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLR6
101358.79000000
PA
USD
107765.50000000
0.069671817058
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-H4
61691RAF3
1671937.26000000
PA
USD
92530.02000000
0.059821878299
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Variable
1.03000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CVK6
216296.11000000
PA
USD
224217.28000000
0.144959428699
Long
ABS-O
USGA
US
N
2
2033-03-01
Fixed
2.22000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9A75
76306.54000000
PA
USD
83143.54000000
0.053753395181
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VKN9
160245.95000000
PA
USD
170371.34000000
0.110147318320
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FSD9
58119.64000000
PA
USD
64314.41000000
0.041580114301
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
4.00000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300NPF57YF6WBDP72
Neuberger Berman CLO XX Ltd
64130TAQ8
222996.09000000
PA
USD
221654.77000000
0.143302732187
Long
ABS-CBDO
CORP
KY
Y
2
2028-01-15
Floating
1.04000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LAAB5
200000.00000000
PA
USD
215512.46000000
0.139331647762
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VXY1
475000.00000000
PA
USD
499877.88000000
0.323177642259
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ACPT2
425688.30000000
PA
USD
435798.18000000
0.281749271068
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
1.75000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137F62R7
314905.00000000
PA
USD
32249.77000000
0.020849901644
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Variable
1.26000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CVH3
140763.04000000
PA
USD
145843.83000000
0.094289959614
Long
ABS-O
USGA
US
N
2
2033-02-01
Fixed
2.21000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4X98
14168004.97000000
PA
USD
154302.33000000
0.099758491423
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Variable
0.27000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M4T37
53872.62000000
PA
USD
63377.10000000
0.040974131024
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VKL3
861721.70000000
PA
USD
901379.09000000
0.582753469884
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810FG8
48000.00000000
PA
USD
65501.25000000
0.042347422014
Long
DBT
UST
US
N
2
2029-02-15
Fixed
5.25000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0126C5
200000.00000000
PA
USD
202313.58000000
0.130798397763
Long
ABS-MBS
USGSE
US
N
2
2050-12-15
Fixed
1.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QZ4
453700.00000000
PA
USD
603722.28000000
0.390314416453
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.13000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YF1
4459000.00000000
PA
USD
4566120.52000000
2.952057138288
Long
DBT
UST
US
N
2
2022-09-15
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L3D28
118164.12000000
PA
USD
122465.99000000
0.079175877726
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
2.41000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR21 XCBT 20210331
000000000
37.00000000
NC
USD
2181.22000000
0.001410187497
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUH1 Comdty
2021-03-31
8169326.57000000
USD
2181.22000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BKRJ1
928000.00000000
PA
USD
1033859.00000000
0.668403478963
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Variable
3.33000000
N
N
N
N
N
N
PETRONAS CAPITAL LTD
549300G7YFX3540OYR85
Petronas Capital Ltd
716743AP4
386000.00000000
PA
USD
441221.60000000
0.285255583627
Long
DBT
CORP
MY
Y
2
2030-04-21
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286Y1
1500000.00000000
PA
USD
1537265.63000000
0.993862504638
Long
DBT
UST
US
N
2
2022-06-15
Fixed
1.75000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0306C7
575000.00000000
PA
USD
600672.85000000
0.388342919739
Long
ABS-MBS
USGSE
US
N
2
2050-12-15
Fixed
3.00000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BA0
82000.00000000
PA
USD
104819.85000000
0.067767415483
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEEL9
70553.15000000
PA
USD
75133.27000000
0.048574649980
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BRS71
49453.05000000
PA
USD
51299.09000000
0.033165538263
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LFV62
71373.09000000
PA
USD
76023.56000000
0.049150234207
Long
ABS-MBS
USGSE
US
N
2
2026-11-01
Fixed
2.28000000
N
N
N
N
N
N
California Earthquake Authority
N/A
CALIFORNIA ST EARTHQUAKE AUTH
13017HAH9
50000.00000000
PA
USD
50037.00000000
0.032349580433
Long
DBT
MUN
US
N
2
2021-07-01
Fixed
1.23000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419LZZ9
85581.28000000
PA
USD
93253.13000000
0.060289378451
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
31406XKB7
15782.81000000
PA
USD
17979.06000000
0.011623699414
Long
ABS-MBS
USGSE
US
N
2
2035-03-01
Fixed
5.50000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AE5
266000.00000000
PA
USD
276771.55000000
0.178936457387
Long
DBT
CORP
GB
Y
2
2022-07-21
Fixed
3.75000000
N
N
N
N
N
N
Capital Automotive Reit
N/A
CARS-DB4 LP
12510HAD2
99979.17000000
PA
USD
102941.31000000
0.066552914597
Long
ABS-O
CORP
US
Y
2
2050-02-15
Fixed
3.19000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CLK7
2849.95000000
PA
USD
2876.27000000
0.001859546489
Long
ABS-O
USGA
US
N
2
2021-04-01
Fixed
6.35000000
N
N
N
N
N
N
Bank
N/A
BANK 2020-BNK28
06540YAH2
71681.00000000
PA
USD
73191.06000000
0.047318985599
Long
ABS-MBS
CORP
US
N
2
2063-03-15
Fixed
1.84000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BHCY1
642000.00000000
PA
USD
697151.97000000
0.450717943272
Long
ABS-MBS
USGSE
US
N
2
2025-01-25
Fixed
2.81000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTFW2
391000.00000000
PA
USD
30785.46000000
0.019903205916
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Variable
1.48000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378HQU3
72619.68000000
PA
USD
9950.90000000
0.006433388091
Long
ABS-MBS
USGA
US
N
2
2042-08-16
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RD34
368498.89000000
PA
USD
17787.59000000
0.011499911533
Long
ABS-MBS
USGA
US
N
2
2059-02-16
Variable
0.62000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132JADZ5
52355.58000000
PA
USD
56844.77000000
0.036750893525
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
3138LQ2S2
111434.70000000
PA
USD
121933.99000000
0.078831932710
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DP79
295012.18000000
PA
USD
349694.46000000
0.226082080475
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
3138WGHU1
74628.99000000
PA
USD
81451.23000000
0.052659294447
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377YX47
167806.85000000
PA
USD
196482.02000000
0.127028217311
Long
ABS-MBS
USGA
US
N
2
2039-01-20
Variable
5.89000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RB6
1697100.00000000
PA
USD
2175337.49000000
1.406384377594
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EK6N0
167443.66000000
PA
USD
184045.16000000
0.118987623293
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A4XB6
199296.74000000
PA
USD
231679.93000000
0.149784130348
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
5.00000000
N
N
N
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494AY9
38000.00000000
PA
USD
52387.23000000
0.033869035124
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
5.15000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SA7
804400.00000000
PA
USD
1071140.29000000
0.692506324647
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UD74
86993.41000000
PA
USD
90945.10000000
0.058797206615
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
3.00000000
N
N
N
N
N
N
State Board of Administration Finance Corp
549300S34SOJ0RULXM35
FLORIDA ST BRD OF ADMIN FIN CORP REVENUE
341271AE4
291000.00000000
PA
USD
299156.73000000
0.193408771493
Long
DBT
MUN
US
N
2
2027-07-01
Fixed
1.71000000
N
N
N
N
N
N
APT Pipelines Ltd
261700SS8OEHDOCOUJ33
APT Pipelines Ltd
00205GAD9
16000.00000000
PA
USD
18048.64000000
0.011668683801
Long
DBT
CORP
AU
Y
2
2027-07-15
Fixed
4.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BLMZ8
225000.00000000
PA
USD
247685.18000000
0.160131735565
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Fixed
3.01000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEXT1
80899.38000000
PA
USD
86390.15000000
0.055852371366
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
31407FJ92
105071.32000000
PA
USD
124490.16000000
0.080484530328
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
3138WHNH1
199688.41000000
PA
USD
217064.65000000
0.140335159069
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412LCW8
2762.15000000
PA
USD
3089.64000000
0.001997493008
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0226C4
375000.00000000
PA
USD
392931.72000000
0.254035539317
Long
ABS-MBS
USGSE
US
N
2
2050-12-15
Fixed
2.50000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BM5
297000.00000000
PA
USD
377190.00000000
0.243858309721
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FXC5
97169.39000000
PA
USD
108284.22000000
0.070007176379
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396VEQ7
140538.35000000
PA
USD
161917.56000000
0.104681838054
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Fixed
5.50000000
N
N
N
N
N
N
Transelec SA
549300DPF7MAL5F6CR86
Transelec SA
000000000
200000.00000000
PA
USD
217750.00000000
0.140778246883
Long
DBT
CORP
CL
N
2
2025-01-14
Fixed
4.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QC5
4503100.00000000
PA
USD
6982443.55000000
4.514241845827
Long
DBT
UST
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
IND & COMM BK OF CHINA
5493002ERZU2K9PZDL40
Industrial & Commercial Bank of China Ltd
000000000
294000.00000000
PA
USD
333075.81000000
0.215337904068
Long
DBT
CORP
CN
N
2
2025-09-21
Fixed
4.88000000
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
1153962.96000000
0.746052273142
Long
DBT
MUN
US
N
2
2023-02-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AWFW2
311443.95000000
PA
USD
339206.81000000
0.219301676429
Long
ABS-MBS
USGSE
US
N
2
2039-05-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKG3
16238.40000000
PA
USD
17699.17000000
0.011442746837
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
31418CV68
140935.40000000
PA
USD
149248.26000000
0.096490968510
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPHM0
2563122.19000000
PA
USD
221627.54000000
0.143285127633
Long
ABS-MBS
USGSE
US
N
2
2029-08-25
Variable
1.27000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ANB9
179256.95000000
PA
USD
195851.45000000
0.126620545490
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBTA4
489568.00000000
PA
USD
530183.15000000
0.342770399007
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Variable
3.06000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A2UW1
6049.88000000
PA
USD
6043.35000000
0.003907105480
Long
ABS-MBS
USGSE
US
N
2
2039-06-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312941LZ8
33210.17000000
PA
USD
37114.15000000
0.023994787469
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJW55
699668.96000000
PA
USD
747381.09000000
0.483191731819
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FJKE8
50000.00000000
PA
USD
59857.89000000
0.038698915344
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Variable
3.92000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297V6E3
30801.14000000
PA
USD
36457.86000000
0.023570487329
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CVU4
170290.82000000
PA
USD
187512.72000000
0.121229446566
Long
ABS-O
USGA
US
N
2
2033-09-01
Fixed
3.62000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CRE9
12308.36000000
PA
USD
14336.37000000
0.009268652285
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417F3J5
361393.43000000
PA
USD
392264.35000000
0.253604075810
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAB4
366000.00000000
PA
USD
378106.56000000
0.244450877849
Long
DBT
CORP
NL
Y
2
2022-05-25
Fixed
2.88000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
714000.00000000
PA
USD
813213.07000000
0.525752975141
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45000000
N
N
N
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAJ3
625000.00000000
PA
USD
681063.44000000
0.440316496437
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
4.20000000
N
N
N
N
N
N
CROATIA
74780000O00QGQ7CER13
Croatia Government International Bond
000000000
306000.00000000
PA
USD
311331.13000000
0.201279681660
Long
DBT
NUSS
HR
N
2
2021-03-24
Fixed
6.38000000
N
N
N
N
N
N
HOWARD UNIVERSITY
N/A
Howard University
442851AF8
33000.00000000
PA
USD
34249.83000000
0.022142966812
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.42000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNX70
1261748.97000000
PA
USD
104229.80000000
0.067385940376
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Variable
1.22000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-DC1 Mortgage Trust
12629NAF2
327000.00000000
PA
USD
354194.79000000
0.228991603174
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9LS9
161568.36000000
PA
USD
177534.92000000
0.114778667270
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EJQT8
327874.38000000
PA
USD
367175.76000000
0.237383971484
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B0CN2
222942.17000000
PA
USD
237029.17000000
0.153242484559
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
3.50000000
N
N
N
N
N
N
CONSERVATION FUND
N/A
Conservation Fund A Nonprofit Corp/The
20848FAA8
159000.00000000
PA
USD
172769.35000000
0.111697663412
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
3.47000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CNU3
36986.34000000
PA
USD
38949.69000000
0.025181488288
Long
ABS-O
USGA
US
N
2
2024-06-01
Fixed
5.52000000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930066YOFVQE068N73
GS Mortgage Securities Trust 2015-GC32
36250PAB1
33251.89000000
PA
USD
33336.90000000
0.021552745527
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
85040.49000000
PA
USD
95380.08000000
0.061664479678
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375GBQ3
20000.00000000
PA
USD
21897.86000000
0.014157255298
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
2.50000000
N
N
N
N
N
N
2020-12-23
MFS GOVERNMENT MARKETS INCOME TRUST
Kasey Phillips
Kasey Phillips
Assistant Treasurer