0001752724-23-161003.txt : 20230725
0001752724-23-161003.hdr.sgml : 20230725
20230725082455
ACCESSION NUMBER: 0001752724-23-161003
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230531
FILED AS OF DATE: 20230725
DATE AS OF CHANGE: 20230725
PERIOD START: 20231130
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: 231106531
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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MFS GOVERNMENT MARKETS INCOME TRUST
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02199
617-954-5000
MFS GOVERNMENT MARKETS INCOME TRUST
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2023-11-30
2023-05-31
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FHLMC Multifamily Structured Pass Through Certs.
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Freddie Mac Multifamily Structured Pass Through Certificates
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USD
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0.057376197028
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ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
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N
N
N
N
N
N
Fannie Mae
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Fannie Mae Pool
31418D4Y5
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PA
USD
32168.40000000
0.028387268512
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AAL29
120285.35000000
PA
USD
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0.098732953775
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Fixed
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N
N
N
N
N
N
Freddie Mac
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Freddie Mac Gold Pool
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PA
USD
100828.51000000
0.088976945918
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
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Citigroup Commercial Mortgage Trust 2019-C7
17328CAJ1
1421565.59000000
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USD
60058.30000000
0.052998939595
Long
ABS-MBS
CORP
US
Y
2
2072-12-15
Variable
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N
N
N
N
N
N
MORGAN STANLEY
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Morgan Stanley
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USD
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0.468999585529
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DBT
CORP
US
N
2
2031-04-01
Fixed
3.62000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECG3
235473.97000000
PA
USD
201116.69000000
0.177477073194
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBQ3
750000.00000000
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USD
561242.47000000
0.495273022483
Long
DBT
CORP
US
Y
2
2036-11-15
Fixed
3.19000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L6HF1
89069.60000000
PA
USD
85887.81000000
0.075792402619
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F9ZC8
873865.00000000
PA
USD
43290.92000000
0.038202427543
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
0.78000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828V98
1921000.00000000
PA
USD
1810317.38000000
1.597529425110
Long
DBT
UST
US
N
2
2027-02-15
Fixed
2.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BFXT3
827000.00000000
PA
USD
797341.88000000
0.703620883965
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
26046.51000000
PA
USD
25903.74000000
0.022858967895
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
BECTON DICKINSON & CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson & Co
075887BG3
123000.00000000
PA
USD
110950.72000000
0.097909373182
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JK31
61708.95000000
PA
USD
63708.34000000
0.056219947341
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
31412FS38
18420.09000000
PA
USD
18946.62000000
0.016719600270
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
ACREC 2021-FL1 Ltd.
N/A
ACREC 2021-FL1 Ltd
00500RAC9
323500.00000000
PA
USD
311777.88000000
0.275130948253
Long
ABS-CBDO
CORP
KY
Y
2
2036-10-16
Floating
6.61000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414CRZ3
31673.07000000
PA
USD
32612.04000000
0.028778762270
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
31418DXJ6
124531.13000000
PA
USD
97050.67000000
0.085643160014
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XDD5
165438.65000000
PA
USD
157184.93000000
0.138709131135
Long
ABS-MBS
USGA
US
N
2
2052-08-20
Fixed
4.00000000
N
N
N
N
N
N
PFP III
N/A
PFP 2021-7 Ltd
69290LAC1
311484.46000000
PA
USD
299653.03000000
0.264431274889
Long
ABS-CBDO
CORP
KY
Y
2
2038-04-14
Floating
6.26000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXAY6
26953.60000000
PA
USD
28054.58000000
0.024756994300
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
6.00000000
N
N
N
N
N
N
INDIAN RAILWAY FINANCE
335800F2JHSOGXQEBY56
Indian Railway Finance Corp Ltd
45434L2C7
376000.00000000
PA
USD
314071.42000000
0.277154901444
Long
DBT
CORP
IN
Y
2
2031-02-10
Fixed
2.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNE4
471600.75000000
PA
USD
412950.10000000
0.364411203880
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRF3
56191.08000000
PA
USD
52122.97000000
0.045996342530
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MHS42
105877.07000000
PA
USD
91107.71000000
0.080398746201
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B2S75
140622.97000000
PA
USD
125031.41000000
0.110334993600
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B5MH3
25187.77000000
PA
USD
25006.58000000
0.022067261692
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
41502.77000000
PA
USD
40443.34000000
0.035689557208
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
106188.17000000
PA
USD
102686.01000000
0.090616112033
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D4X7
49175.46000000
PA
USD
40476.91000000
0.035719181330
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
03880KAC8
374500.00000000
PA
USD
358817.81000000
0.316641720430
Long
ABS-CBDO
CORP
KY
Y
2
2034-08-15
Floating
6.51000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B24 Mortgage Trust
08163CBE8
1169831.21000000
PA
USD
69824.30000000
0.061617026423
Long
ABS-MBS
CORP
US
N
2
2054-03-15
Variable
1.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022663
775000.00000000
PA
USD
678019.04000000
0.598323464797
Long
ABS-MBS
USGA
US
N
2
2053-06-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XTD8
174983.32000000
PA
USD
174910.73000000
0.154351408780
Long
ABS-MBS
USGA
US
N
2
2053-02-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LDH9
143491.41000000
PA
USD
147394.86000000
0.130069803539
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W7K8
834631.94000000
PA
USD
750996.90000000
0.662723376116
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EBJ8
454933.44000000
PA
USD
388767.83000000
0.343071361310
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WDKV2
54822.66000000
PA
USD
52782.04000000
0.046577944259
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
544058.62000000
0.480108993062
Long
DBT
CORP
US
N
2
2048-11-01
Fixed
5.25000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE6 Trust
04002VAC5
512000.00000000
PA
USD
491542.02000000
0.433765288508
Long
ABS-CBDO
CORP
KY
Y
2
2037-01-20
Floating
6.56000000
N
N
N
N
N
N
Toledo Hospital/The
5493009DCR7NWV6K4T34
Toledo Hospital/The
889184AD9
175000.00000000
PA
USD
173108.36000000
0.152760892585
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
24188.84000000
PA
USD
22587.14000000
0.019932207013
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9T51
61199.84000000
PA
USD
59248.69000000
0.052284492608
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
FREEPORT INDONESIA PT
549300T4HTQHRKLNE619
Freeport Indonesia PT
69377FAB2
222000.00000000
PA
USD
207820.79000000
0.183393161244
Long
DBT
CORP
ID
Y
2
2032-04-14
Fixed
5.32000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LDU3
22979.42000000
PA
USD
22853.47000000
0.020167232107
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NF78
437201.36000000
PA
USD
413972.40000000
0.365313340903
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FMVC3
238316.44000000
PA
USD
215987.36000000
0.190599817945
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Fixed
3.00000000
N
N
N
N
N
N
JBS USA/FOOD/FINANCE
N/A
JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
46590XAF3
488000.00000000
PA
USD
411525.72000000
0.363154248063
Long
DBT
CORP
N/A
Y
2
2029-02-02
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417G5A0
37015.75000000
PA
USD
34887.54000000
0.030786795915
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWE5
251355.45000000
PA
USD
214798.66000000
0.189550839877
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AFZS6
21594.40000000
PA
USD
21466.19000000
0.018943015489
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
44136.35000000
PA
USD
42693.55000000
0.037675273485
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) SEP23
000000000
-48.00000000
NC
USD
-15950.40000000
-0.01407556134
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 2 Year U.S. Treasury Notes Futures
TUU3 Comdty
2023-09-29
-9863799.65000000
USD
-15950.40000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WH6K3
57476.01000000
PA
USD
49802.92000000
0.043948995372
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
2.50000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Trust 2021-C10
05551VBK8
1175692.36000000
PA
USD
78503.92000000
0.069276428305
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
1.29000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384WLN8
12520.61000000
PA
USD
12824.96000000
0.011317491177
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDY67
181641.70000000
PA
USD
156080.73000000
0.137734720785
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300REQJRID6TODX95
Wells Fargo Commercial Mortgage Trust 2018-C48
95001RAY5
866524.39000000
PA
USD
33985.95000000
0.029991180422
Long
ABS-MBS
CORP
US
Y
2
2052-01-15
Variable
0.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYH6
64505.13000000
PA
USD
62376.73000000
0.055044857171
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
750000.00000000
PA
USD
619791.17000000
0.546939803173
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.69000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBD9
100000.00000000
PA
USD
74109.80000000
0.065398801059
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
912810TB4
133500.00000000
PA
USD
87838.83000000
0.077514096225
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MHS34
243576.07000000
PA
USD
209918.48000000
0.185244284996
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AA5A5
83975.46000000
PA
USD
83514.96000000
0.073698461668
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477BN2
138000.00000000
PA
USD
122616.47000000
0.108203909984
Long
DBT
CORP
US
N
2
2031-03-30
Fixed
3.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERSB7
124195.21000000
PA
USD
120097.17000000
0.105980733028
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
3119451.56000000
2.752785623318
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RU4
3470000.00000000
PA
USD
2869120.71000000
2.531879110843
Long
DBT
UST
US
N
2
2046-11-15
Fixed
2.88000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT SEP23
000000000
39.00000000
NC
USD
19661.19000000
0.017350178429
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Ultra 10-Year U.S. Treasury Notes Futures
UXYU3 Comdty
2023-09-20
4678010.69000000
USD
19661.19000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292SA59
289345.71000000
PA
USD
273249.44000000
0.241131210260
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
31418EE22
112397.13000000
PA
USD
96128.26000000
0.084829171741
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
2.50000000
N
N
N
N
N
N
Sales Tax Securitization Corp
N/A
SALES TAX SECURITIZATION CORP IL
79467BDK8
240000.00000000
PA
USD
187998.62000000
0.165900924693
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
95908.50000000
PA
USD
98518.82000000
0.086938741027
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7PU4
38533.16000000
PA
USD
38366.08000000
0.033856462078
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WBA3
501000.00000000
PA
USD
430755.38000000
0.380123619304
Long
DBT
CORP
KY
Y
2
2031-04-22
Fixed
2.88000000
N
N
N
N
N
N
Michigan Finance Authority
54930022O46HOX5J1D14
MICHIGAN ST FIN AUTH REVENUE
59447TH89
12444.65000000
PA
USD
11889.47000000
0.010491960351
Long
DBT
MUN
US
N
2
2030-06-01
Fixed
2.33000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AQVJ6
37721.30000000
PA
USD
35700.54000000
0.031504234435
Long
ABS-MBS
USGSE
US
N
2
2045-12-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJC99
112119.92000000
PA
USD
115595.41000000
0.102008117981
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFET4
80104.23000000
PA
USD
68582.07000000
0.060520810367
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FXZ50
2858720.11000000
PA
USD
54962.90000000
0.048502462059
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
0.33000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAK6
324000.00000000
PA
USD
309615.78000000
0.273222985368
Long
DBT
NUSS
MX
N
2
2032-04-27
Fixed
4.75000000
N
N
N
N
N
N
MEGLOBAL BV
549300WBVLU2FILR7W19
MEGlobal BV
000000000
253000.00000000
PA
USD
244586.23000000
0.215837125422
Long
DBT
CORP
NL
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECH1
182338.40000000
PA
USD
159589.51000000
0.140831072485
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
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
903727.69000000
0.797501914864
Long
DBT
MUN
US
Y
2
2036-01-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWGY3
447451.82000000
PA
USD
440886.98000000
0.389064332850
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XNE2
98862.75000000
PA
USD
96050.40000000
0.084760463545
Long
ABS-MBS
USGA
US
N
2
2052-12-20
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FVNL2
559633.00000000
PA
USD
44180.67000000
0.038987594731
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.34000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2021-C9
05493EAZ5
984058.48000000
PA
USD
86324.37000000
0.076177648572
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Variable
1.62000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAX3
650000.00000000
PA
USD
570711.41000000
0.503628966276
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
4.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8ZU4
19756.43000000
PA
USD
16324.33000000
0.014405538944
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XX50
550000.19000000
PA
USD
543234.47000000
0.479381715132
Long
ABS-MBS
USGA
US
N
2
2053-04-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJWU0
128909.51000000
PA
USD
117455.07000000
0.103649190206
Long
ABS-MBS
USGSE
US
N
2
2045-08-01
Fixed
3.00000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAB7
109000.00000000
PA
USD
86597.00000000
0.076418233153
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
4.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378TKC3
31912.47000000
PA
USD
1401.91000000
0.001237126981
Long
ABS-MBS
USGA
US
N
2
2041-10-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BJGN7
6700.95000000
PA
USD
566.71000000
0.000500097889
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
3140XFLN9
179825.56000000
PA
USD
161386.75000000
0.142417061669
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFPH3
43080.65000000
PA
USD
40277.92000000
0.035543580972
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL1 Ltd
03881CAE1
175500.00000000
PA
USD
168691.48000000
0.148863180590
Long
ABS-CBDO
CORP
KY
Y
2
2035-12-15
Floating
6.61000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XFF8
238019.85000000
PA
USD
220736.57000000
0.194790797276
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411VC31
1991.40000000
PA
USD
1995.05000000
0.001760548241
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
45548.86000000
PA
USD
46916.72000000
0.041402044502
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DYB2
104755.33000000
PA
USD
86524.49000000
0.076354246108
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAU5
464000.00000000
PA
USD
309569.32000000
0.273181986360
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AQ2X7
58891.10000000
PA
USD
5716.42000000
0.005044501730
Long
ABS-MBS
USGSE
US
N
2
2036-02-25
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P8FJ5
109903.90000000
PA
USD
102057.98000000
0.090061901807
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A9RJ7
26395.44000000
PA
USD
4186.67000000
0.003694561291
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AWYJ0
155131.85000000
PA
USD
148787.83000000
0.131299041344
Long
ABS-MBS
USGSE
US
N
2
2053-05-25
Fixed
3.00000000
N
N
N
N
N
N
Village of Bridgeview IL
N/A
BRIDGEVIEW IL
108555GF4
505000.00000000
PA
USD
497323.95000000
0.438867600076
Long
DBT
MUN
US
N
2
2025-12-01
Fixed
5.06000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PML0
180818.95000000
PA
USD
166969.01000000
0.147343172806
Long
ABS-MBS
USGSE
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPN91
60582.23000000
PA
USD
58352.34000000
0.051493501197
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
3138EPS47
38041.91000000
PA
USD
36787.52000000
0.032463448854
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
31418EBS8
171932.78000000
PA
USD
147100.90000000
0.129810396125
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBDJ6
24454.59000000
PA
USD
20964.86000000
0.018500612717
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERQU7
193437.48000000
PA
USD
183983.95000000
0.162358146212
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
189636.30000000
PA
USD
179539.37000000
0.158435990125
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
21H052660
400000.00000000
PA
USD
399750.00000000
0.352762667332
Long
ABS-MBS
USGA
US
N
2
2053-06-20
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECZ1
289158.91000000
PA
USD
253021.87000000
0.223281225152
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
355000.00000000
PA
USD
288514.99000000
0.254602420107
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
New Jersey Turnpike Authority
5493005YN67D71KSMI84
NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
646139W35
32000.00000000
PA
USD
39896.41000000
0.035206914342
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
7.41000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4D66
11509815.50000000
PA
USD
146838.77000000
0.129579077356
Long
ABS-MBS
USGSE
US
N
2
2028-01-25
Variable
0.29000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AMNZ8
51747.17000000
PA
USD
49091.55000000
0.043321241079
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
42657.16000000
PA
USD
43355.53000000
0.038259443168
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
228040.10000000
PA
USD
234178.53000000
0.206652765165
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
31418ECY4
397313.73000000
PA
USD
339159.21000000
0.299293827567
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H3EZ1
2591485.00000000
PA
USD
147421.55000000
0.130093356348
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Variable
0.86000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJXH1
147685.08000000
PA
USD
149896.85000000
0.132277705142
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
6.00000000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
00131LAN5
200000.00000000
PA
USD
207232.64000000
0.182874143451
Long
DBT
CORP
HK
Y
2
2027-10-25
Fixed
5.63000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6NG9
13827.13000000
PA
USD
14230.73000000
0.012558024447
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
101592.75000000
PA
USD
93180.00000000
0.082227455514
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
92750.62000000
0.081848545610
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
4.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKNN4
849392.06000000
PA
USD
726920.34000000
0.641476818203
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XQW9
199401.57000000
PA
USD
197218.09000000
0.174036721637
Long
ABS-MBS
USGA
US
N
2
2053-01-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ER5E6
248357.07000000
PA
USD
240165.04000000
0.211935610032
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BNPS7
129030.31000000
PA
USD
119972.07000000
0.105870337507
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
3140QKSJ8
177235.88000000
PA
USD
151607.77000000
0.133787520534
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LTU3
115008.38000000
PA
USD
118139.61000000
0.104253268145
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
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
237973.57000000
0.210001729350
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.91000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) SEP23
000000000
54.00000000
NC
USD
17922.71000000
0.015816042490
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUU3 Comdty
2023-09-29
11096796.09000000
USD
17922.71000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397QLS5
5472.30000000
PA
USD
5392.46000000
0.004758620570
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
3140XDYN0
178045.16000000
PA
USD
153189.20000000
0.135183066413
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJC3
78140.15000000
PA
USD
81623.69000000
0.072029494939
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
53212.11000000
PA
USD
50196.95000000
0.044296710378
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
22205.91000000
PA
USD
21074.48000000
0.018597347786
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Fixed
2.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F9Z38
663744.00000000
PA
USD
39051.51000000
0.034461325405
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
0.94000000
N
N
N
N
N
N
Bank
N/A
BANK 2021-BNK31
06541ABM1
1515902.78000000
PA
USD
110378.34000000
0.097404271755
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Variable
1.32000000
N
N
N
N
N
N
ARROW ELECTRONICS INC
549300YNNLBXT8N8R512
Arrow Electronics Inc
04273WAD3
171000.00000000
PA
USD
171227.91000000
0.151101474054
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
6.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2AX7
76611.50000000
PA
USD
73092.54000000
0.064501111626
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B23 Mortgage Trust
08162RAF4
1974471.67000000
PA
USD
130044.04000000
0.114758430071
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Variable
1.27000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1Y58
65616.78000000
PA
USD
54297.50000000
0.047915274370
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLH0
116565.23000000
PA
USD
110278.63000000
0.097316281847
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
89916.82000000
PA
USD
89423.94000000
0.078912889550
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SX7
638000.00000000
PA
USD
474088.83000000
0.418363577794
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.38000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
Ready Capital Mortgage Financing 2021-FL7 LLC
75575WAA4
214120.92000000
PA
USD
208650.32000000
0.184125186799
Long
ABS-CBDO
CORP
US
Y
2
2036-11-25
Floating
6.34000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828WJ5
755000.00000000
PA
USD
735564.65000000
0.649105060487
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
363795.38000000
0.321034217916
Long
DBT
CORP
IN
N
2
2028-08-10
Fixed
5.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHX1
633757.00000000
PA
USD
59915.39000000
0.052872827493
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Variable
1.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WAFE2
64943.97000000
PA
USD
62448.85000000
0.055108500057
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B0SP9
523557.70000000
PA
USD
448220.87000000
0.395536184253
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FY7
612000.00000000
PA
USD
502546.88000000
0.443476617507
Long
DBT
CORP
US
N
2
2040-05-13
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J4MM8
79741.20000000
PA
USD
76127.54000000
0.067179372277
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
3140QKY77
63534.45000000
PA
USD
57138.41000000
0.050422258708
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335B7F7
108816.00000000
PA
USD
109933.13000000
0.097011392537
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
5.00000000
N
N
N
N
N
N
MDGH GMTN RSC LTD
213800WRY6FRL9IXLT77
MDGH GMTN RSC Ltd
55285GAC8
200000.00000000
PA
USD
199208.00000000
0.175792734043
Long
DBT
CORP
AE
Y
2
2053-05-22
Fixed
5.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419EJE0
18459.56000000
PA
USD
18627.60000000
0.016438078454
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
285886.52000000
PA
USD
259370.77000000
0.228883864048
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
36179TNQ4
173905.78000000
PA
USD
158367.95000000
0.139753096840
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
36179XX68
225000.55000000
PA
USD
224873.94000000
0.198441853378
Long
ABS-MBS
USGA
US
N
2
2053-04-20
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JAJ97
90709.90000000
PA
USD
82653.58000000
0.072938329819
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B6DQ0
97396.05000000
PA
USD
84043.55000000
0.074164920250
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9BH4
27853.24000000
PA
USD
28182.91000000
0.024870240162
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XHY5
35117.25000000
PA
USD
34139.98000000
0.030127105459
Long
ABS-MBS
USGA
US
N
2
2052-10-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128PPZS5
9621.92000000
PA
USD
9557.28000000
0.008433900150
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
3140N24Z1
95991.43000000
PA
USD
93745.69000000
0.082726653296
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1Y41
110019.38000000
PA
USD
91170.10000000
0.080453802769
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
BANK 2021-BN35
N/A
BANK 2021-BNK35
06540CBL0
991963.71000000
PA
USD
57885.25000000
0.051081313794
Long
ABS-MBS
CORP
US
N
2
2064-06-15
Variable
1.04000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCAK4
63574.48000000
PA
USD
54725.57000000
0.048293028253
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Massachusetts Educational Financing Authority
5493007K5OP7V6CL0Y88
MASSACHUSETTS ST EDUCTNL FING AUTH
57563RRZ4
535000.00000000
PA
USD
491624.66000000
0.433838214854
Long
DBT
MUN
US
N
2
2037-07-01
Fixed
2.64000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEAV4
105443.91000000
PA
USD
91250.29000000
0.080524567092
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XBS4
536979.56000000
PA
USD
497989.38000000
0.439454814239
Long
ABS-MBS
USGA
US
N
2
2052-07-20
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H9UD9
130285.00000000
PA
USD
130067.14000000
0.114778814856
Long
ABS-MBS
USGSE
US
N
2
2033-01-25
Variable
4.35000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBN5
485000.00000000
PA
USD
335270.97000000
0.295862618277
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.11000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT SEP23
000000000
-14.00000000
NC
USD
-28849.53000000
-0.02545850445
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CME Ultra Long Term U.S. Treasury Bond Futures
WNU3 Comdty
2023-09-20
-1887400.47000000
USD
-28849.53000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNE32
37342.32000000
PA
USD
30791.41000000
0.027172132389
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B26 Mortgage Trust
08163EBE4
1596369.75000000
PA
USD
76404.01000000
0.067423345497
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
0.89000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MBH82
48371.16000000
PA
USD
46789.98000000
0.041290201749
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31396HE70
37556.84000000
PA
USD
37836.10000000
0.033388776879
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
23601.18000000
PA
USD
23471.80000000
0.020712882489
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
4.50000000
N
N
N
N
N
N
Golden State Tobacco Securitization Corp
N/A
GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT
38122NB76
155000.00000000
PA
USD
143059.40000000
0.126243941290
Long
DBT
MUN
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CVR1
95425.94000000
PA
USD
90118.16000000
0.079525509685
Long
ABS-O
USGA
US
N
2
2033-07-01
Fixed
3.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WR26
595477.06000000
PA
USD
521627.98000000
0.460314890757
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WLP1
147331.10000000
PA
USD
128879.01000000
0.113730339789
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
BANCO DEL ESTADO -CHILE
5493004R4EJC0W0XVQ72
Banco del Estado de Chile
05965MAG8
241000.00000000
PA
USD
231040.55000000
0.203883628968
Long
DBT
CORP
CL
Y
2
2025-01-09
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ALWK0
445119.06000000
PA
USD
347166.30000000
0.306359749833
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5XN8
88701.85000000
PA
USD
76582.68000000
0.067581014304
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L5AD5
583414.34000000
PA
USD
531601.50000000
0.469116105311
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
150731.95000000
PA
USD
132589.94000000
0.117005080415
Long
ABS-MBS
USGSE
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
128495.98000000
PA
USD
118338.09000000
0.104428418450
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BYPS3
2840276.73000000
PA
USD
15435.20000000
0.013620918881
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Variable
0.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXDA5
27944.76000000
PA
USD
28805.23000000
0.025419411552
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
3140MHSV2
63662.34000000
PA
USD
52848.33000000
0.046636442413
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6WA2
106383.79000000
PA
USD
110868.78000000
0.097837064557
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
36179W2U1
274972.73000000
PA
USD
240574.64000000
0.212297064913
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M9DA2
2932788.62000000
PA
USD
2420732.64000000
2.136195379577
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828B66
577000.00000000
PA
USD
566789.81000000
0.500168318180
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
212478.02000000
PA
USD
199372.40000000
0.175937810172
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.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZZ0
612877.00000000
PA
USD
58934.80000000
0.052007497802
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.67000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9DT6
90407.50000000
PA
USD
90015.68000000
0.079435075368
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BCM47
31156.36000000
PA
USD
30087.09000000
0.026550599426
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERCZ1
128097.39000000
PA
USD
123871.03000000
0.109311006749
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
City of Chicago IL
T5UYO5SYLC8K73MJQX30
CHICAGO IL
167486C80
615000.00000000
PA
USD
653974.58000000
0.577105233792
Long
DBT
MUN
US
N
2
2036-01-01
Fixed
6.21000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FYUL8
2270624.37000000
PA
USD
71497.19000000
0.063093281929
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Variable
0.52000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B28 Mortgage Trust
08163GAZ3
2202191.93000000
PA
USD
156375.01000000
0.137994410586
Long
ABS-MBS
CORP
US
N
2
2054-08-15
Variable
1.28000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBP9
600000.00000000
PA
USD
585356.26000000
0.516552434315
Long
DBT
CORP
US
N
2
2027-04-02
Fixed
4.70000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAF6
500000.00000000
PA
USD
450789.65000000
0.397803025240
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XVS2
49863.99000000
PA
USD
49250.60000000
0.043461596056
Long
ABS-MBS
USGA
US
N
2
2053-03-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419B5X9
77811.35000000
PA
USD
75245.27000000
0.066400805877
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
31418D7E6
37515.02000000
PA
USD
30855.96000000
0.027229095066
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2021-FL4 Ltd
05609GAC2
345000.00000000
PA
USD
326086.62000000
0.287757813265
Long
ABS-CBDO
CORP
US
Y
2
2038-05-15
Floating
6.41000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202F2V7
19098.69000000
PA
USD
19738.95000000
0.017418798379
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
5.50000000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBJ2
99000.00000000
PA
USD
71602.24000000
0.063185984163
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
12477.19000000
PA
USD
12627.40000000
0.011143152734
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
3138A7PB8
75262.71000000
PA
USD
74850.04000000
0.066052031920
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FAWU8
8339459.26000000
PA
USD
165487.40000000
0.146035713906
Long
ABS-MBS
USGSE
US
N
2
2027-07-25
Variable
0.57000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM5N1
903489.53000000
PA
USD
773408.82000000
0.682500958804
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FDVW3
159694.45000000
PA
USD
144938.51000000
0.127902177327
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292KZ67
473882.69000000
PA
USD
478767.57000000
0.422492370295
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKQG8
405122.71000000
PA
USD
372913.02000000
0.329080154142
Long
ABS-MBS
USGSE
US
N
2
2038-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KM4Q5
731622.66000000
PA
USD
625637.37000000
0.552098830329
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
COMISION FEDERAL DE ELEC
4469000001BFPONMPF32
Comision Federal de Electricidad
200447AH3
232000.00000000
PA
USD
182818.32000000
0.161329526455
Long
DBT
CORP
MX
Y
2
2031-02-09
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDRB4
123935.03000000
PA
USD
106250.89000000
0.093761969638
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWFB4
264482.61000000
PA
USD
226235.30000000
0.199643196680
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BWP99
126111.29000000
PA
USD
122001.97000000
0.107661639417
Long
ABS-MBS
USGSE
US
N
2
2028-06-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129456V5
14360.71000000
PA
USD
14305.07000000
0.012623626390
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292LLA1
112706.64000000
PA
USD
106475.75000000
0.093960399190
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETDS2
144308.84000000
PA
USD
139230.59000000
0.122865176492
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AFC51
86886.07000000
PA
USD
81066.96000000
0.071538203982
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Fixed
2.75000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TAZ2
200000.00000000
PA
USD
138730.40000000
0.122423779722
Long
DBT
NUSS
SA
Y
2
2051-11-17
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMZC1
228787.56000000
PA
USD
196952.08000000
0.173801978930
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
HALEON US CAPITAL LLC
549300N8C3A3L0UVQB07
Haleon US Capital LLC
36264FAM3
250000.00000000
PA
USD
224446.45000000
0.198064611320
Long
DBT
CORP
US
N
2
2032-03-24
Fixed
3.63000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FARG5
3898822.75000000
PA
USD
17732.63000000
0.015648304834
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Variable
0.60000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177T4M6
34767.02000000
PA
USD
33175.11000000
0.029275648011
Long
ABS-MBS
USGA
US
N
2
2042-04-15
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TH1
165000.00000000
PA
USD
148197.07000000
0.130777720335
Long
DBT
UST
US
N
2
2042-05-15
Fixed
3.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H2NA8
489989.00000000
PA
USD
30408.86000000
0.026834548002
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Variable
0.94000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412LBD1
4790.66000000
PA
USD
4904.97000000
0.004328431020
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.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FEZW3
8981563.58000000
PA
USD
57264.65000000
0.050533660232
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
0.12000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377YEC0
66689.08000000
PA
USD
64816.23000000
0.057197613961
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
4.00000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 Multifamily Housing Mortgage Loan Trust
55282XAC4
173500.00000000
PA
USD
167969.51000000
0.148226072240
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Floating
6.38000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F84L4
789331.00000000
PA
USD
52381.27000000
0.046224281484
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
1.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EREH9
75178.96000000
PA
USD
72700.51000000
0.064155161536
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
174532.47000000
PA
USD
181382.97000000
0.160062890071
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AVBM7
166373.79000000
PA
USD
142460.36000000
0.125715313527
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WXK9
136869.52000000
PA
USD
123289.04000000
0.108797424898
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KPF52
189268.81000000
PA
USD
180161.75000000
0.158985214462
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B4WB8
142654.60000000
PA
USD
142111.27000000
0.125407256193
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
16529.05000000
PA
USD
16747.68000000
0.014779127625
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C5U4
96362.33000000
PA
USD
91314.74000000
0.080581441523
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
98644.42000000
PA
USD
101328.56000000
0.089418219143
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AH0
694000.00000000
PA
USD
664289.86000000
0.586208037262
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.15000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2021-L7
61772TBN3
3360611.59000000
PA
USD
192949.51000000
0.170269878194
Long
ABS-MBS
CORP
US
N
2
2054-10-15
Variable
1.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EH3F7
145736.24000000
PA
USD
140931.59000000
0.124366237898
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ARB31
77693.82000000
PA
USD
70028.30000000
0.061797047896
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
120266.69000000
PA
USD
110390.41000000
0.097414923025
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGG0
232000.00000000
PA
USD
230024.38000000
0.202986901414
Long
DBT
UST
US
N
2
2025-01-31
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BJF65
20724.52000000
PA
USD
19167.44000000
0.016914464691
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Fixed
3.00000000
N
N
N
N
N
N
BSPDF 2021-FL1 Issuer Ltd
N/A
BSPDF 2021-FL1 Issuer Ltd
055731AA1
200500.00000000
PA
USD
194333.02000000
0.171490767945
Long
ABS-CBDO
CORP
KY
Y
2
2036-10-15
Floating
6.31000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EKBW4
74003.80000000
PA
USD
74678.35000000
0.065900522671
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
1483601.97000000
1.309216730950
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
172871.60000000
PA
USD
164830.17000000
0.145455735900
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
31410KQ64
62139.51000000
PA
USD
63928.01000000
0.056413796935
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A5C38
11181.36000000
PA
USD
760.97000000
0.000671524220
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGP0
3068000.00000000
PA
USD
3094964.84000000
2.731177116347
Long
DBT
UST
US
N
2
2028-02-29
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335ALX4
87671.85000000
PA
USD
87291.81000000
0.077031373938
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
3140QPKC0
435300.80000000
PA
USD
386583.37000000
0.341143666661
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) SEP23
000000000
57.00000000
NC
USD
-1444.43000000
-0.00127464910
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year U.S. Treasury Notes
FVU3 Comdty
2023-09-29
6218897.56000000
USD
-1444.43000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTZU4
1277474.00000000
PA
USD
133556.07000000
0.117857649760
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.87000000
N
N
N
N
N
N
ABU DHABI NATIONAL ENERG
213800UNJSVQFNUYYW03
Abu Dhabi National Energy Co PJSC
00388WAM3
200000.00000000
PA
USD
199663.60000000
0.176194782001
Long
DBT
CORP
AE
Y
2
2033-04-24
Fixed
4.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BMFL5
17077.71000000
PA
USD
16511.98000000
0.014571132227
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.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B5KW2
263191.99000000
PA
USD
261725.85000000
0.230962123717
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Variable
3.46000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H4BT6
2619786.00000000
PA
USD
90231.46000000
0.079625492199
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Variable
0.54000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKQL5
81760.64000000
PA
USD
70197.42000000
0.061946289228
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W5C8
216334.87000000
PA
USD
194656.63000000
0.171776340244
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
3.00000000
N
N
N
N
N
N
3650R Commercial Mortgage Trust
N/A
3650R 2021-PF1 Commercial Mortgage Trust
88581EAF8
1171748.71000000
PA
USD
62456.55000000
0.055115294985
Long
ABS-MBS
CORP
US
N
2
2054-11-15
Variable
1.02000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFLK3
48576.10000000
PA
USD
41702.16000000
0.036800413246
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
MFS Institutional Money Market Portfolio
5L2W638H85N8T1136O07
MFS Institutional Money Market Portfolio
55291X109
2533202.37000000
NS
USD
2532949.04000000
2.235221662461
Long
STIV
RF
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377VGJ9
37754.07000000
PA
USD
37083.13000000
0.032724312324
Long
ABS-MBS
USGA
US
N
2
2039-05-16
Fixed
4.00000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TBE8
300000.00000000
PA
USD
275250.00000000
0.242896620846
Long
DBT
NUSS
SA
Y
2
2053-01-18
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABC35
106143.01000000
PA
USD
9413.93000000
0.008307399767
Long
ABS-MBS
USGSE
US
N
2
2033-02-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J8ZX1
51571.92000000
PA
USD
46993.48000000
0.041469781993
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
4700000.00000000
PA
USD
4558632.84000000
4.022802951919
Long
DBT
UST
US
N
2
2025-07-31
Fixed
2.88000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H13T1
399402.00000000
PA
USD
31367.52000000
0.027680525385
Long
ABS-MBS
USGSE
US
N
2
2031-05-25
Variable
1.22000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AEEP8
2658.77000000
PA
USD
2630.32000000
0.002321147465
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
375900.00000000
0.331716039150
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
33249.85000000
0.029341602937
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
659258.41000000
0.581767992928
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
51988.84000000
PA
USD
50274.80000000
0.044365409750
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B5N24
64510.54000000
PA
USD
53274.68000000
0.047012678469
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WR34
173766.04000000
PA
USD
156845.18000000
0.138409315960
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
3.00000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBC6
379000.00000000
PA
USD
331110.10000000
0.292190824407
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.28000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BE1
96000.00000000
PA
USD
104867.83000000
0.092541476993
Long
DBT
NUSS
UY
N
2
2034-10-28
Fixed
5.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGD7
633000.00000000
PA
USD
628376.13000000
0.554515671562
Long
DBT
UST
US
N
2
2024-12-31
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202ESB6
16770.97000000
PA
USD
17407.64000000
0.015361514742
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
12214.68000000
PA
USD
12508.66000000
0.011038369646
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LDWL4
13236.59000000
PA
USD
13416.22000000
0.011839253415
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B4H99
105812.57000000
PA
USD
87468.38000000
0.077187189583
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
LAD Auto Receivables Trust
N/A
LAD Auto Receivables Trust 2022-1
501687AA5
93301.35000000
PA
USD
92298.44000000
0.081449515659
Long
ABS-O
CORP
US
Y
2
2027-06-15
Fixed
5.21000000
N
N
N
N
N
N
HOWARD UNIVERSITY
N/A
Howard University
442851AG6
42000.00000000
PA
USD
39173.81000000
0.034569250044
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
2.52000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N5MY7
336433.50000000
PA
USD
337350.43000000
0.297697654816
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMY58
22612.01000000
PA
USD
19361.77000000
0.017085952794
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BLRJ9
23778.24000000
PA
USD
23654.33000000
0.020873957585
Long
ABS-MBS
USGSE
US
N
2
2027-01-15
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828K74
98000.00000000
PA
USD
93260.78000000
0.082298740488
Long
DBT
UST
US
N
2
2025-08-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LQW2
150919.45000000
PA
USD
155028.24000000
0.136805942349
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
3140XEAU8
180744.01000000
PA
USD
161386.64000000
0.142416964598
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WVT2
412334.70000000
PA
USD
349509.54000000
0.308427561197
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177UCZ5
18358.26000000
PA
USD
17900.23000000
0.015796204829
Long
ABS-MBS
USGA
US
N
2
2040-08-15
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCF6
567700.00000000
PA
USD
515365.16000000
0.454788213863
Long
DBT
UST
US
N
2
2026-05-31
Fixed
0.75000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBH1
229000.00000000
PA
USD
167595.45000000
0.147895979924
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
4.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P8E23
19461.17000000
PA
USD
18793.75000000
0.016584698884
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780DS2
200000.00000000
PA
USD
207752.64000000
0.183333021718
Long
DBT
NUSS
ID
N
2
2053-01-11
Fixed
5.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136APK43
14917.74000000
PA
USD
14333.40000000
0.012648626431
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
6241.20000000
PA
USD
6418.39000000
0.005663960916
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FYUN4
973113.00000000
PA
USD
46289.72000000
0.040848743207
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Variable
0.73000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAK8
500000.00000000
PA
USD
492126.85000000
0.434281376540
Long
DBT
CORP
US
Y
2
2024-05-13
Fixed
4.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X6UA1
35958.89000000
PA
USD
33909.92000000
0.029924087125
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.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBBZ8
6468852.95000000
PA
USD
99324.06000000
0.087649331672
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Variable
0.42000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A8KR0
141244.70000000
PA
USD
130589.27000000
0.115239572758
Long
ABS-MBS
USGSE
US
N
2
2042-01-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJS43
288062.36000000
PA
USD
271992.96000000
0.240022419175
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
3140MSDH5
628326.97000000
PA
USD
563394.05000000
0.497171701907
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BCZM2
197623.25000000
PA
USD
169055.53000000
0.149184439500
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2021-L6
61692CBK3
1141154.39000000
PA
USD
69433.42000000
0.061272091160
Long
ABS-MBS
CORP
US
N
2
2054-06-15
Variable
1.22000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV44
183087.53000000
PA
USD
166767.13000000
0.147165022144
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGW96
483723.62000000
PA
USD
398099.56000000
0.351306223013
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.00000000
N
N
N
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AL8
377000.00000000
PA
USD
296887.50000000
0.261990810250
Long
DBT
NUSS
MA
Y
2
2032-12-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERQS2
354663.47000000
PA
USD
337309.75000000
0.297661756416
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2021-L5
61691YAP6
736254.28000000
PA
USD
48954.06000000
0.043199911900
Long
ABS-MBS
CORP
US
N
2
2054-05-15
Variable
1.29000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K8RB9
69636.38000000
PA
USD
59984.18000000
0.052933531793
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
3140XFGA3
183218.55000000
PA
USD
158057.97000000
0.139479552446
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAK6
650000.00000000
PA
USD
499485.75000000
0.440775298223
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292SBD1
443322.72000000
PA
USD
418613.87000000
0.369409244187
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
6530.96000000
PA
USD
6590.25000000
0.005815620183
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403CXQ9
21466.76000000
PA
USD
22106.75000000
0.019508282916
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810PW2
1109000.00000000
PA
USD
1190268.91000000
1.050362565441
Long
DBT
UST
US
N
2
2038-02-15
Fixed
4.38000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B5EQ1
446391.53000000
PA
USD
367746.50000000
0.324520916178
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYG8
31717.50000000
PA
USD
30671.10000000
0.027065963842
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
89592.05000000
PA
USD
81640.81000000
0.072044602623
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
38273.97000000
PA
USD
35772.19000000
0.031567462565
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
3.50000000
N
N
N
N
N
N
LoanCore 2021-CRE5 Issuer, Ltd
N/A
LoanCore 2021-CRE5 Issuer Ltd
53947XAE2
283500.00000000
PA
USD
268191.14000000
0.236667471923
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Floating
6.86000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828U24
6071000.00000000
PA
USD
5686108.07000000
5.017752719240
Long
DBT
UST
US
N
2
2026-11-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417N4M0
29436.45000000
PA
USD
29704.36000000
0.026212856197
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTG43
600527.00000000
PA
USD
62066.99000000
0.054771524567
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.80000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZG2
1389954.00000000
PA
USD
143791.02000000
0.126889565362
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377DSY3
71889.80000000
PA
USD
73238.98000000
0.064630338805
Long
ABS-MBS
USGA
US
N
2
2034-08-20
Variable
5.68000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CGX3
3642000.00000000
PA
USD
3602307.88000000
3.178886144598
Long
DBT
UST
US
N
2
2025-04-30
Fixed
3.88000000
N
N
N
N
N
N
TOLEDO HOSPITAL/THE
5493009DCR7NWV6K4T34
Toledo Hospital/The
889184AF4
250000.00000000
PA
USD
247655.25000000
0.218545407302
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.33000000
N
N
N
N
N
N
Dell Equipment Finance Trust
N/A
Dell Equipment Finance Trust 2023-1
24702HAC7
271000.00000000
PA
USD
270082.23000000
0.238336279809
Long
ABS-O
CORP
US
Y
2
2028-09-22
Fixed
5.65000000
N
N
N
N
N
N
BANK LEUMI LE-ISRAEL
7JDSZWRGUQY2DSTWCR57
Bank Leumi Le-Israel BM
000000000
354000.00000000
PA
USD
314659.98000000
0.277674281044
Long
DBT
CORP
IL
Y
2
2031-01-29
Fixed
3.28000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLR6
40203.85000000
PA
USD
36803.51000000
0.032477559361
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BF2S8
371953.16000000
PA
USD
367320.77000000
0.324145227246
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-H4
61691RAF3
1613101.63000000
PA
USD
55185.82000000
0.048699179642
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Variable
0.83000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CVK6
99000.27000000
PA
USD
90147.52000000
0.079551418658
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
33181.16000000
PA
USD
32055.81000000
0.028287912543
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H4SM3
644718.00000000
PA
USD
25067.93000000
0.022121400503
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Variable
0.57000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FSD9
30792.88000000
PA
USD
30020.88000000
0.026492171868
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2022-1
35563P7F0
209681.04000000
PA
USD
192209.30000000
0.169616673806
Long
ABS-MBS
USGSE
US
N
2
2061-11-25
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ACPT2
171114.50000000
PA
USD
157415.02000000
0.138912175943
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
1.75000000
N
N
N
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
085209AJ3
400000.00000000
PA
USD
393033.73000000
0.346835839766
Long
DBT
NUSS
BM
Y
2
2032-07-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F62R7
314905.00000000
PA
USD
22252.26000000
0.019636689410
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Variable
1.17000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CVH3
67875.51000000
PA
USD
61895.64000000
0.054620315353
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.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4X98
13938649.08000000
PA
USD
93009.82000000
0.082077278777
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Variable
0.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QRKT9
72926.31000000
PA
USD
76421.16000000
0.067438479655
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4T37
31534.75000000
PA
USD
32984.00000000
0.029107001424
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MPWM9
33044.59000000
PA
USD
29607.99000000
0.026127813700
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810FG8
48000.00000000
PA
USD
51487.50000000
0.045435566815
Long
DBT
UST
US
N
2
2029-02-15
Fixed
5.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QZ4
453700.00000000
PA
USD
398121.75000000
0.351325804761
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNQH8
52597.42000000
PA
USD
43331.20000000
0.038237972959
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CX3
200000.00000000
PA
USD
207012.85000000
0.182680187962
Long
DBT
NUSS
PH
N
2
2048-01-17
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MPYL9
383820.74000000
PA
USD
343903.84000000
0.303480765239
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
2.00000000
N
N
N
N
N
N
LoanCore 2021-CRE6 Issuer, Ltd.
N/A
LoanCore 2021-CRE6 Issuer Ltd
53948HAC0
500000.00000000
PA
USD
470835.00000000
0.415492208814
Long
ABS-CBDO
CORP
KY
Y
2
2038-11-15
Floating
6.76000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) SEP23
000000000
-51.00000000
NC
USD
-62301.55000000
-0.05497851396
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT U.S. Long Bond Futures
USU3 Comdty
2023-09-20
-6483229.70000000
USD
-62301.55000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEEL9
28770.59000000
PA
USD
26916.77000000
0.023752924530
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BRS71
7143.88000000
PA
USD
7102.48000000
0.006267641749
Long
ABS-MBS
USGSE
US
N
2
2028-03-15
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H4CH1
3899181.00000000
PA
USD
97058.41000000
0.085649990240
Long
ABS-MBS
USGSE
US
N
2
2031-11-25
Variable
0.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419LZZ9
42910.07000000
PA
USD
41495.40000000
0.036617956187
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
9705.67000000
PA
USD
9721.37000000
0.008578702717
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
31418ECQ1
331319.88000000
PA
USD
283356.69000000
0.250050435950
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Capital Automotive Reit
N/A
CARS-DB4 LP
12510HAD2
99020.83000000
PA
USD
92604.90000000
0.081719953801
Long
ABS-O
CORP
US
Y
2
2050-02-15
Fixed
3.19000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTFW2
391000.00000000
PA
USD
17886.22000000
0.015783841590
Long
ABS-MBS
USGSE
US
N
2
2027-03-25
Variable
1.37000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378HQU3
41561.51000000
PA
USD
6052.10000000
0.005340725300
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
175030.80000000
PA
USD
5846.99000000
0.005159724298
Long
ABS-MBS
USGA
US
N
2
2059-02-16
Variable
0.59000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JADZ5
34878.41000000
PA
USD
31781.25000000
0.028045624818
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BT8
167000.00000000
PA
USD
154848.65000000
0.136647461680
Long
DBT
CORP
US
N
2
2029-03-23
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LQ2S2
41278.12000000
PA
USD
39928.76000000
0.035235461865
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BAFE6
186723.03000000
PA
USD
166464.90000000
0.146898316801
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DP79
163272.46000000
PA
USD
167717.29000000
0.148003498632
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
INDOFOOD CBP SUKSES MAKM
254900YKZW9GRKZZN285
Indofood CBP Sukses Makmur Tbk PT
000000000
416000.00000000
PA
USD
306001.85000000
0.270033843189
Long
DBT
CORP
ID
N
2
2052-04-27
Fixed
4.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGHU1
41367.11000000
PA
USD
38726.26000000
0.034174305874
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B4JE6
125580.36000000
PA
USD
103724.09000000
0.091532174246
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RB6
1697100.00000000
PA
USD
1428414.60000000
1.260516183497
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
87105.75000000
PA
USD
84231.28000000
0.074330584129
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZQ6
800000.00000000
PA
USD
650375.00000000
0.573928754888
Long
DBT
UST
US
N
2
2030-05-15
Fixed
0.63000000
N
N
N
N
N
N
EXPORT-IMPORT BANK KOREA
549300APVP4R32PI3Y06
Export-Import Bank of Korea
302154DW6
200000.00000000
PA
USD
208294.00000000
0.183810749291
Long
DBT
NUSS
KR
N
2
2033-01-11
Fixed
5.13000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNEG4
180506.54000000
PA
USD
155124.07000000
0.136890508319
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A4XB6
109329.40000000
PA
USD
110064.56000000
0.097127374019
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D6BS8
163870.48000000
PA
USD
150795.77000000
0.133070964472
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XFH4
869768.78000000
PA
USD
845219.99000000
0.745871314960
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
4.50000000
N
N
N
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494AY9
38000.00000000
PA
USD
33993.20000000
0.029997578244
Long
DBT
CORP
US
N
2
2044-08-15
Fixed
5.15000000
N
N
N
N
N
N
BSPDF 2021-FL1 Issuer Ltd
N/A
BSPDF 2021-FL1 Issuer Ltd
055731AC7
253500.00000000
PA
USD
236293.18000000
0.208518855408
Long
ABS-CBDO
CORP
KY
Y
2
2036-10-15
Floating
6.59000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SA7
804400.00000000
PA
USD
679937.96000000
0.600016831495
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DN5
200000.00000000
PA
USD
171618.79000000
0.151446409317
Long
DBT
NUSS
CL
N
2
2032-01-27
Fixed
2.55000000
N
N
N
N
N
N
APA INFRASTRUCTURE LTD
261700SS8OEHDOCOUJ33
APA Infrastructure Ltd
00205GAD9
16000.00000000
PA
USD
15399.53000000
0.013589441597
Long
DBT
CORP
AU
Y
2
2027-07-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEXT1
33442.04000000
PA
USD
31245.75000000
0.027573068449
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
3140XGQ69
171118.20000000
PA
USD
152910.13000000
0.134936798801
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407FJ92
57869.03000000
PA
USD
59558.48000000
0.052557869336
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
97264.42000000
PA
USD
90814.41000000
0.080139921210
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B29 Mortgage Trust
08163JAG9
1887652.69000000
PA
USD
103130.21000000
0.091008099967
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Variable
1.04000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust 2022-C18
054975AG2
1233059.85000000
PA
USD
47612.02000000
0.042015617691
Long
ABS-MBS
CORP
US
N
2
2055-12-15
Variable
0.46000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FXC5
54690.39000000
PA
USD
54655.55000000
0.048231238530
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWB85
88995.53000000
PA
USD
82003.79000000
0.072364917302
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QC5
4503100.00000000
PA
USD
4886918.94000000
4.312501714357
Long
DBT
UST
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDC4
734281.40000000
PA
USD
604027.92000000
0.533029393878
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMZB4
177182.57000000
PA
USD
152720.75000000
0.134769678867
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Antonio B Won Pat International Airport Authority
N/A
GUAM INTERNATIONAL ARPT AUTH
40064REL9
5000.00000000
PA
USD
3778.17000000
0.003334077115
Long
DBT
MUN
US
N
2
2043-10-01
Fixed
4.46000000
N
N
N
N
N
N
Bank
N/A
BANK 2021-BNK32
06542BBN6
995724.95000000
PA
USD
41636.04000000
0.036742065109
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Variable
0.78000000
N
N
N
N
N
N
DUA CAPITAL LTD
213800ILVLALFTITCB43
Dua Capital Ltd
000000000
400000.00000000
PA
USD
343417.60000000
0.303051678761
Long
DBT
CORP
MY
N
2
2031-05-11
Fixed
2.78000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCJ8
678600.00000000
PA
USD
617976.63000000
0.545338547462
Long
DBT
UST
US
N
2
2026-06-30
Fixed
0.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AWFW2
168817.97000000
PA
USD
155732.06000000
0.137427034083
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
9310.20000000
PA
USD
8783.82000000
0.007751354027
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
52939.42000000
PA
USD
50454.75000000
0.044524208104
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.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPHM0
2542319.69000000
PA
USD
146039.74000000
0.128873966776
Long
ABS-MBS
USGSE
US
N
2
2029-08-25
Variable
1.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ANB9
88657.35000000
PA
USD
85734.33000000
0.075656962933
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BB3C1
56759.73000000
PA
USD
52608.94000000
0.046425190744
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBTA4
473630.20000000
PA
USD
461415.37000000
0.407179779035
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Variable
3.06000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QN7M8
71808.12000000
PA
USD
65979.81000000
0.058224424679
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WY85
273391.38000000
PA
USD
231692.91000000
0.204459309402
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
2.00000000
N
N
N
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216JAF2
317000.00000000
PA
USD
257166.25000000
0.226938467287
Long
DBT
NUSS
IN
Y
2
2031-01-13
Fixed
2.25000000
N
N
N
N
N
N
UAE INT'L GOVT BOND
N/A
UAE INTERNATIONAL GOVERNMENT BOND
31424EAE2
200000.00000000
PA
USD
197476.00000000
0.174264316433
Long
DBT
NUSS
AE
Y
2
2052-07-07
Fixed
4.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312941LZ8
16929.82000000
PA
USD
16768.51000000
0.014797509230
Long
ABS-MBS
USGSE
US
N
2
2040-07-01
Fixed
4.50000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
45262BAF0
200000.00000000
PA
USD
203415.91000000
0.179506038748
Long
DBT
CORP
GB
Y
2
2027-07-27
Fixed
6.13000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H5DT1
3898081.00000000
PA
USD
133841.78000000
0.118109776894
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Variable
0.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJW55
275892.20000000
PA
USD
257891.79000000
0.227578726012
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCC8
750000.00000000
PA
USD
624400.79000000
0.551007600163
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.58000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 Multifamily Housing Mortgage Loan Trust
55282XAE0
279500.00000000
PA
USD
269923.46000000
0.238196171920
Long
ABS-CBDO
CORP
KY
Y
2
2036-07-15
Floating
6.63000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CT2
200000.00000000
PA
USD
213747.86000000
0.188623552796
Long
DBT
NUSS
PH
N
2
2033-04-13
Fixed
5.61000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297V6E3
14501.78000000
PA
USD
14766.83000000
0.013031110291
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
79355.92000000
PA
USD
76094.45000000
0.067150171735
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
7674.55000000
PA
USD
7743.97000000
0.006833729863
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B27 Mortgage Trust
08163HAG3
1454484.72000000
PA
USD
102175.22000000
0.090165361207
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
1.26000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2022-1
35563P7E3
163488.50000000
PA
USD
144415.65000000
0.127440775231
Long
ABS-MBS
USGSE
US
N
2
2061-11-25
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417F3J5
193180.76000000
PA
USD
182213.96000000
0.160796204014
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
MDGH GMTN RSC LTD
213800WRY6FRL9IXLT77
MDGH GMTN RSC Ltd
55285GAB0
200000.00000000
PA
USD
212018.00000000
0.187097023646
Long
DBT
CORP
AE
Y
2
2033-04-28
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EB82
1106945.89000000
PA
USD
911322.77000000
0.804204255525
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KF3
357000.00000000
PA
USD
351580.62000000
0.310255202736
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.45000000
N
N
N
N
N
N
HOWARD UNIVERSITY
N/A
Howard University
442851AF8
33000.00000000
PA
USD
31807.42000000
0.028068718749
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.42000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNX70
1256120.47000000
PA
USD
68501.52000000
0.060449728359
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Variable
1.09000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9LS9
84468.70000000
PA
USD
79799.62000000
0.070419829401
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B0CN2
117394.95000000
PA
USD
113130.94000000
0.099833326209
Long
ABS-MBS
USGSE
US
N
2
2041-09-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W5A2
277930.22000000
PA
USD
235538.08000000
0.207852511217
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
2.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)SEP23
000000000
119.00000000
NC
USD
8512.07000000
0.007511546010
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year U.S. Treasury Notes
TYU3 Comdty
2023-09-20
13613269.18000000
USD
8512.07000000
N
N
N
CONSERVATION FUND
N/A
Conservation Fund A Nonprofit Corp/The
20848FAA8
159000.00000000
PA
USD
136616.72000000
0.120558545464
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
8085.25000000
PA
USD
8055.39000000
0.007108544997
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
3138ABYR4
44298.28000000
PA
USD
44055.36000000
0.038877013893
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
17239.58000000
0.015213208816
Long
ABS-MBS
USGA
US
N
2
2042-06-20
Fixed
2.50000000
N
N
N
N
N
N
2023-06-14
MFS GOVERNMENT MARKETS INCOME TRUST
Kasey Phillips
Kasey Phillips
Assistant Treasurer