NPORT-P
false
0001070222
XXXXXXXX
S000024942
C000074155
NEW COVENANT FUNDS
811-09025
0001070222
RVB8BBBTG6J5RT8BQ908
200 EAST 12TH ST
JEFFERSONVILLE
47130
5025695984
New Covenant Income Fund
S000024942
YXU517QXOB92KBEH0A38
2022-06-30
2022-03-31
N
437588390.20
24584593.90
413003796.30
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
USD
N
LUKOIL CAPITAL DESIGNATED ACTIVITY COMPANY
984500BEC55D7EHC4M56
LUKOIL CAPITAL DAC 144A 2.800000% 04/26/2027
549875AA0
200000.00000000
PA
USD
106000.00000000
0.025665623645
Long
DBT
NUSS
RU
N
2
2027-04-26
Fixed
2.80000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA MTN 3.000000% 05/22/2022
05583JAA0
640000.00000000
PA
USD
641249.96000000
0.155264906943
Long
DBT
NUSS
FR
N
2
2022-05-22
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BO6275
3140K16M3
809016.18000000
PA
USD
813174.00000000
0.196892621153
Long
DBT
USGA
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 1.250000% 01/15/2026
91324PDW9
20000.00000000
PA
USD
18802.76000000
0.004552684543
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
WISCONSIN ST GEN FD ANNUAL APPROPRIATION REV
N/A
WISCONSIN ST GEN FUND ANNUAL A STATE OF WISCONSIN
977100AC0
745000.00000000
PA
USD
798613.63000000
0.193367140242
Long
DBT
MUN
US
N
2
2026-05-01
Fixed
5.70000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.300000% 11/21/2022
00287YBM0
946000.00000000
PA
USD
949189.22000000
0.229825785744
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
OCP S.A.
213800D26TAPVTCVWG40
OCP SA 144A 4.500000% 10/22/2025
67091TAC9
400000.00000000
PA
USD
399909.60000000
0.096829521564
Long
DBT
NUSS
MA
N
2
2025-10-22
Fixed
4.50000000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1
31572LAA4
351230.73000000
PA
USD
328468.94000000
0.079531699936
Long
ABS-MBS
US
Y
2
2066-06-25
Floating
0.93099960
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 2.300000% 05/15/2031
91324PED0
20000.00000000
PA
USD
18783.37000000
0.004547989671
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.30000000
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.500000% 10/15/2022
68389XAP0
130000.00000000
PA
USD
130376.15000000
0.031567784889
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9461
3140XDQP4
761644.26000000
PA
USD
766586.94000000
0.185612565033
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q59799
3132Y33H5
21848.63000000
PA
USD
23318.04000000
0.005645962630
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA6000
3140QDU28
61396.55000000
PA
USD
60179.29000000
0.014571122720
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QD6139
3133B3ZC4
99477.95000000
PA
USD
92447.93000000
0.022384280926
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA9390
3140QHNG6
284636.00000000
PA
USD
272046.38000000
0.065870188709
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.550000% 03/21/2031
92343VGJ7
1064000.00000000
PA
USD
988509.20000000
0.239346274502
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0352
3140XFMA6
296361.55000000
PA
USD
275325.09000000
0.066664057925
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 1.450000% 09/01/2025
58013MFL3
10000.00000000
PA
USD
9558.53000000
0.002314392769
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
1.45000000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 3.750000% 06/15/2027
96949LAD7
390000.00000000
PA
USD
394261.03000000
0.095461841642
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA4950
3140QCQC3
765574.28000000
PA
USD
771395.29000000
0.186776803726
Long
DBT
USGA
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
AMERICAN EXPRESS COMPANY
R4PP93JZOLY261QX3811
AMERICAN EXPRESS CO 2.650000% 12/02/2022
025816BD0
264000.00000000
PA
USD
265613.38000000
0.064312575908
Long
DBT
CORP
US
N
2
2022-12-02
Fixed
2.65000000
N
N
N
N
N
N
MERCK & CO., INC.
4YV9Y5M8S0BRK1RP0397
MERCK & CO INC 1.450000% 06/24/2030
58933YAZ8
50000.00000000
PA
USD
44393.32000000
0.010748889089
Long
DBT
CORP
US
N
2
2030-06-24
Fixed
1.45000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2018-3 JPMMT 2018-3 A1
46649TAA4
108212.73000000
PA
USD
107899.84000000
0.026125629102
Long
ABS-MBS
US
N
2
2048-09-25
Floating
3.49999920
N
N
N
N
N
N
NIKE, INC.
787RXPR0UX0O0XUXPZ81
NIKE INC 2.400000% 03/27/2025
654106AH6
40000.00000000
PA
USD
39730.83000000
0.009619967263
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
2.40000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6477
36179VFS4
22740.39000000
PA
USD
23538.81000000
0.005699417344
Long
DBT
USGA
US
N
2
2050-02-20
Fixed
4.50000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB 144A 1.300000% 06/02/2023
87020PAK3
200000.00000000
PA
USD
197171.64000000
0.047740878356
Long
DBT
NUSS
SE
N
2
2023-06-02
Fixed
1.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G07668
3128M9Z96
532148.72000000
PA
USD
557001.98000000
0.134866067815
Long
DBT
USGA
US
N
2
2037-07-01
Fixed
4.00000000
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST
N/A
CASCADE MH ASSET TRUST 2021-MH1 CMHAT 2021-MH1 A1
14731QAA7
87174.32000000
PA
USD
80811.14000000
0.019566682128
Long
ABS-MBS
US
Y
2
2046-02-25
Fixed
1.75300000
N
N
N
N
N
N
FIRSTENERGY CORP.
549300SVYJS666PQJH88
FIRSTENERGY CORP 3.350000% 07/15/2022
337932AG2
330000.00000000
PA
USD
329587.50000000
0.079802535219
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4099 ST
3137ASRX4
52401.52000000
PA
USD
8229.21000000
0.001992526478
Long
DBT
USGA
US
N
2
2042-08-15
Floating
5.60342880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3444
3140X6ZJ3
356697.10000000
PA
USD
359215.04000000
0.086976207777
Long
DBT
USGA
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR4393
3140L23B7
371817.28000000
PA
USD
346006.75000000
0.083778104002
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1756
3140X45S1
335229.19000000
PA
USD
362065.07000000
0.087666281337
Long
DBT
USGA
US
N
2
2047-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN AB2892
36178NF95
48318.93000000
PA
USD
48125.64000000
0.011652590225
Long
DBT
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6448
3140XAEW8
92158.50000000
PA
USD
85794.61000000
0.020773322368
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.900000% 12/06/2028
437076BW1
10000.00000000
PA
USD
10468.09000000
0.002534623190
Long
DBT
CORP
US
N
2
2028-12-06
Fixed
3.90000000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 3.200000% 03/10/2032
89114TZV7
807000.00000000
PA
USD
794204.06000000
0.192299457563
Long
DBT
NUSS
CA
N
2
2032-03-10
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H13 FM
38380QGX4
283831.65000000
PA
USD
282873.26000000
0.068491685193
Long
DBT
USGA
US
N
2
2070-08-20
Floating
0.84857040
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 2.188000% 04/28/2026
6174468Q5
400000.00000000
PA
USD
386387.38000000
0.093555406381
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
APPLE INC.
HWUPKR0MPOU8FGXBT394
APPLE INC 2.450000% 08/04/2026
037833BZ2
70000.00000000
PA
USD
69142.68000000
0.016741415120
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
AMERICAN INTERNATIONAL GROUP, INC.
ODVCVCQG2BP6VHV36M30
AMERICAN INTERNATIONAL GROUP INC 2.500000% 06/30/2025
026874DQ7
40000.00000000
PA
USD
39108.52000000
0.009469288260
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
2.50000000
N
N
N
N
N
N
THE COCA-COLA COMPANY
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE 3.375000% 03/25/2027
191216CR9
30000.00000000
PA
USD
30696.64000000
0.007432532164
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
3.37500000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST
N/A
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS3 WFCM 2015-NXS3 ASB
94989VAE9
111988.90000000
PA
USD
112173.55000000
0.027160416200
Long
ABS-MBS
US
N
2
2057-09-15
Fixed
3.37100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G67701
3132XCRW7
164619.64000000
PA
USD
163765.46000000
0.039652289268
Long
DBT
USGA
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
EQUATE Petrochemical B.V.
635400Y3Z5R4NJSMQ630
EQUATE PETROCHEMICAL BV MTN 4.250000% 11/03/2026
29441WAC9
200000.00000000
PA
USD
202500.00000000
0.049031026303
Long
DBT
NUSS
KW
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
CARLYLE FINANCE SUBSIDIARY L.L.C.
N/A
CARLYLE FINANCE SUBSIDIARY LLC 144A 3.500000% 09/19/2029
14314DAA1
716000.00000000
PA
USD
703081.18000000
0.170236009038
Long
DBT
CORP
US
N
2
2029-09-19
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA5117
3133KLVJ3
369342.26000000
PA
USD
344669.35000000
0.083454281313
Long
DBT
USGA
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
KINDER MORGAN, INC.
549300WR7IX8XE0TBO16
KINDER MORGAN INC 5.550000% 06/01/2045
49456BAH4
20000.00000000
PA
USD
22358.87000000
0.005413720212
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
PETROLEOS DEL PERU - PETROPERU S.A.
549300ZMGDLC9JT2OR80
PETROLEOS DEL PERU SA 144A 4.750000% 06/19/2032
716564AA7
400000.00000000
PA
USD
358200.00000000
0.086730437639
Long
DBT
NUSS
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS PASS-THROUGH TRUST 144A 7.507000% 01/10/2032
126650BS8
1006193.32000000
PA
USD
1170751.13000000
0.283472244199
Long
DBT
CORP
US
N
2
2032-01-10
Fixed
7.50700000
N
N
N
N
N
N
Duke Energy Carolinas, LLC
MWIUSDMN17TCR56VW396
DUKE ENERGY CAROLINAS LLC 2.850000% 03/15/2032
26442CBG8
1057000.00000000
PA
USD
1021640.49000000
0.247368304880
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.85000000
N
N
N
N
N
N
ORIX CORPORATION
35380016EMHNBOVYE123
ORIX CORP 4.050000% 01/16/2024
686330AL5
365000.00000000
PA
USD
372062.78000000
0.090087012113
Long
DBT
NUSS
JP
N
2
2024-01-16
Fixed
4.05000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
ABBOTT LABORATORIES 3.400000% 11/30/2023
002824BE9
175000.00000000
PA
USD
177894.81000000
0.043073407942
Long
DBT
CORP
US
N
2
2023-11-30
Fixed
3.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4305
31418DYB2
821234.22000000
PA
USD
764258.06000000
0.185048676754
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.100000% 03/22/2028
92343VGH1
90000.00000000
PA
USD
83886.64000000
0.020311348406
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
DUNKIN BRANDS
N/A
DB MASTER FINANCE LLC DNKN 2021-1A A2II
233046AQ4
1046377.50000000
PA
USD
943332.34000000
0.228407668028
Long
ABS-MBS
US
Y
2
2051-11-20
Fixed
2.49300000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5652
36179UH54
11731.11000000
PA
USD
12203.69000000
0.002954861458
Long
DBT
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2021-NQM2 TRUST OBX 2021-NQM2 A1
670857AA9
309361.67000000
PA
USD
291293.53000000
0.070530472748
Long
ABS-MBS
US
Y
2
2061-05-25
Floating
1.10099880
N
N
N
N
N
N
MORGAN STANLEY ABS CAPITAL I, INC.
N/A
MORGAN STANLEY ABS CAPITAL I INC TRUST 2004-NC7 MSAC 2004-NC7 M1
61744CFP6
350073.31000000
PA
USD
340097.27000000
0.082347250327
Long
ABS-MBS
US
N
2
2034-07-25
Floating
1.31157000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 4.800000% 02/01/2049
29379VBU6
30000.00000000
PA
USD
31997.77000000
0.007747572852
Long
DBT
CORP
US
N
2
2049-02-01
Fixed
4.80000000
N
N
N
N
N
N
ALPHABET INC.
5493006MHB84DD0ZWV18
ALPHABET INC 1.100000% 08/15/2030
02079KAD9
40000.00000000
PA
USD
34956.21000000
0.008463895565
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G61637
31335BZA7
179668.26000000
PA
USD
178632.95000000
0.043252132692
Long
DBT
USGA
US
N
2
2047-09-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 06/30/2025
912828ZW3
240000.00000000
PA
USD
222965.63000000
0.053986339108
Long
SN
UST
US
N
2
2025-06-30
Fixed
0.25000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC 2021-NQM5 TRUST CSMC 2021-NQM5 A1
22946DAA0
156838.49000000
PA
USD
148032.60000000
0.035842915083
Long
ABS-MBS
US
Y
2
2066-05-25
Floating
0.93800160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA1084
3133KGFZ6
30715.84000000
PA
USD
32038.95000000
0.007757543704
Long
DBT
USGA
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-34 SA
38378D2U8
20333.45000000
PA
USD
3268.94000000
0.000791503620
Long
DBT
USGA
US
N
2
2042-03-20
Floating
5.60143080
N
N
N
N
N
N
PAYPAL HOLDINGS, INC.
5493005X2GO78EFZ3E94
PAYPAL HOLDINGS INC 1.650000% 06/01/2025
70450YAG8
60000.00000000
PA
USD
57690.48000000
0.013968510826
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.65000000
N
N
N
N
N
N
THE COCA-COLA COMPANY
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE 1.450000% 06/01/2027
191216CU2
80000.00000000
PA
USD
75039.90000000
0.018169300299
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
1.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0034
3140XFBC4
98397.54000000
PA
USD
97393.02000000
0.023581628273
Long
DBT
USGA
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZT1854
3132AEBX3
168160.88000000
PA
USD
176293.71000000
0.042685735961
Long
DBT
USGA
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2022-NQM1 TRUST OBX 2022-NQM1 A1
67114VAA1
400375.03000000
PA
USD
387168.66000000
0.093744576555
Long
ABS-MBS
US
Y
2
2061-11-25
Floating
2.30500080
N
N
N
N
N
N
APPLEBEE'S FUNDING LLC/IHOP FUNDING LLC
N/A
APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC DIN 2019-1A A2I
03789XAD0
297000.00000000
PA
USD
294739.53000000
0.071364847645
Long
ABS-MBS
US
N
2
2049-06-05
Fixed
4.19400000
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TOWD POINT MORTGAGE TRUST 2019-HY2 TPMT 2019-HY2 M2
89177HAD4
100000.00000000
PA
USD
101530.99000000
0.024583548846
Long
ABS-MBS
US
N
2
2058-05-25
Floating
2.08685880
N
N
N
N
N
N
MACQUARIE GROUP LIMITED
ACMHD8HWFMFUIQQ8Y590
MACQUARIE GROUP LTD MTN 4.150000% 03/27/2024
55608JAL2
495000.00000000
PA
USD
500497.27000000
0.121184665730
Long
DBT
NUSS
AU
N
2
2024-03-27
Fixed
4.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS7738
3132A8S34
550539.08000000
PA
USD
544930.30000000
0.131943169743
Long
DBT
USGA
US
N
2
2031-01-01
Fixed
2.50000000
N
N
N
N
N
N
BAYVIEW FINANCIAL MORTGAGE PASS-THROUGH TRUST
N/A
BAYVIEW FINANCIAL MORTGAGE PASS-THROUGH TRUST 2006 BAYV 2006-A M3
07325NDA7
107593.81000000
PA
USD
107288.64000000
0.025977640147
Long
ABS-MBS
US
N
2
2041-02-28
Floating
1.42214040
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q59125
3132Y3D76
19878.13000000
PA
USD
21076.60000000
0.005103246069
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S 144A 1.226000% 06/22/2024
23636AAW1
200000.00000000
PA
USD
190574.98000000
0.046143638801
Long
DBT
NUSS
DK
N
2
2024-06-22
Fixed
1.22600000
N
N
N
N
N
N
PENSKE TRUCK LEASING CO., L.P.
549300ZX07JYMI8GHQ39
PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP 144A 3.900000% 02/01/2024
709599BB9
965000.00000000
PA
USD
976908.90000000
0.236537510974
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
3.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR5587
3140L4F53
89566.54000000
PA
USD
83416.56000000
0.020197528629
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC 2021-NQM3 CSMC 2021-NQM3 A3
12660LAC3
206212.97000000
PA
USD
197179.36000000
0.047742747588
Long
ABS-MBS
US
Y
2
2066-04-25
Floating
1.63199880
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP ZERO COUPON 10/10/2036
674599DG7
1641000.00000000
PA
USD
879986.25000000
0.213069772695
Long
DBT
CORP
US
N
2
2036-10-10
Fixed
0.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC HOLDINGS PLC 4.583000% 06/19/2029
404280BT5
200000.00000000
PA
USD
205780.48000000
0.049825324087
Long
DBT
NUSS
GB
N
2
2029-06-19
Fixed
4.58300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4577
3140X8CP0
83190.69000000
PA
USD
79635.82000000
0.019282103630
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.908000% 07/23/2025
161175AY0
490000.00000000
PA
USD
508135.45000000
0.123034086987
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G60199
31335AGG7
680611.47000000
PA
USD
724549.57000000
0.175434118642
Long
DBT
USGA
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 3.150000% 12/01/2022
444859BA9
240000.00000000
PA
USD
241559.19000000
0.058488370364
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
3.15000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 5.850000% 12/15/2025
25179MAV5
210000.00000000
PA
USD
227272.41000000
0.055029133396
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
GLENCORE FUNDING LLC 144A 4.125000% 03/12/2024
378272AT5
60000.00000000
PA
USD
60810.59000000
0.014723978458
Long
DBT
CORP
AU
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C23 WFRBS 2014-C23 B
92939HBB0
270000.00000000
PA
USD
271809.76000000
0.065812896257
Long
ABS-MBS
US
N
2
2057-10-15
Floating
4.38776280
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0424
3140XFPJ4
298522.95000000
PA
USD
286539.41000000
0.069379364685
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7 WFRBS 2012-C7 XA
92936TAF9
397848.00000000
PA
USD
3.98000000
0.000000963671
Long
DBT
USGA
US
N
2
2045-06-15
Floating
1.20079440
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U90903
3132H4AC5
25770.28000000
PA
USD
26212.19000000
0.006346718900
Long
DBT
USGA
US
N
2
2043-02-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2674
3140X56L2
358501.50000000
PA
USD
368443.77000000
0.089210746559
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
LAKE COUNTRY MORGTAGE LOAN TRUST
N/A
LAKE COUNTRY MORTGAGE LOAN TRUST 2006-HE1 LCMLT 2006-HE1 M5
50820TAJ8
22813.24000000
PA
USD
22816.15000000
0.005524440744
Long
ABS-MBS
US
N
2
2034-07-25
Floating
3.45656880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0024
3140XFA27
96284.74000000
PA
USD
92746.25000000
0.022456512707
Long
DBT
USGA
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AW9453
3138XZQF1
155040.21000000
PA
USD
158109.54000000
0.038282829701
Long
DBT
USGA
US
N
2
2044-08-01
Fixed
3.50000000
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C13 WFRBS 2013-C13 XA
92937UAS7
980351.15000000
PA
USD
8343.38000000
0.002020170292
Long
DBT
USGA
US
N
2
2045-05-15
Floating
1.17302040
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 3.625000% 04/01/2027
126650DH0
180000.00000000
PA
USD
182976.97000000
0.044303943847
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
United States of America
N/A
US 10YR ULTRA FUT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
80.00000000
NC
USD
10837500.00000000
2.624067889227
N/A
DIR
US
N
1
MERRILL LYNCH, PIERCE, FENNER & SMITH
N/A
Long
U.S. Treasury Futures
CBT Chicago Board of Trade Ultra 10-Year U.S. Treasury Note Electronic Bond Future Jun 2022
2022-06-24
11186448.06000000
USD
-348948.06000000
N
N
N
SMBC Aviation Capital Finance DAC
549300OD7VKRVNWB2J98
SMBC AVIATION CAPITAL FINANCE DAC 144A 4.125000% 07/15/2023
78448TAD4
200000.00000000
PA
USD
200592.77000000
0.048569231517
Long
DBT
NUSS
IE
N
2
2023-07-15
Fixed
4.12500000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.600000% 11/21/2024
00287YBZ1
140000.00000000
PA
USD
139031.62000000
0.033663521073
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9733
3140XDY75
198489.56000000
PA
USD
190026.42000000
0.046010816777
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2017-20J 1
83162CYX5
489376.79000000
PA
USD
485853.23000000
0.117638925925
Long
ABS-MBS
US
N
2
2037-10-01
Fixed
2.85000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA (JUNE)
21H032662
400000.00000000
PA
USD
399687.50000000
0.096775744818
Long
DBT
USGA
US
N
2
2041-06-15
Fixed
3.50000000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2013-CCRE8 MORTGAGE TRUST COMM 2013-CR8 A4
12625KAD7
99426.72000000
PA
USD
99653.54000000
0.024128964647
Long
ABS-MBS
US
N
2
2046-06-10
Fixed
3.33400000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB COMPANY
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 3.550000% 08/15/2022
110122CX4
60000.00000000
PA
USD
60486.43000000
0.014645490075
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.55000000
N
N
N
N
N
N
SHOPS AT CRYSTALS TRUST
N/A
SHOPS AT CRYSTALS TRUST 2016-CSTL SHOPS 2016-CSTL A
82510WAA8
100000.00000000
PA
USD
96916.22000000
0.023466181393
Long
ABS-MBS
US
N
2
2036-07-05
Fixed
3.12550000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2021-1 IG
3136BDY93
183252.36000000
PA
USD
30149.96000000
0.007300165342
Long
DBT
USGA
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
BANQUE DE MONTREAL
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL MTN 1.850000% 05/01/2025
06367WB85
130000.00000000
PA
USD
124930.91000000
0.030249336959
Long
DBT
NUSS
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
Chevron U.S.A. Inc.
VA8TZDWPEZYU430RZ444
CHEVRON USA INC 3.250000% 10/15/2029
166756AS5
80000.00000000
PA
USD
81265.37000000
0.019676664168
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.25000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 2.650000% 10/21/2032
38141GYN8
110000.00000000
PA
USD
99446.96000000
0.024078945736
Long
DBT
CORP
US
N
2
2032-10-21
Fixed
2.65000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7590
36179WNF1
282271.24000000
PA
USD
279735.79000000
0.067732014210
Long
DBT
USGA
US
N
2
2051-09-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3753
3140X7E39
99074.50000000
PA
USD
100593.65000000
0.024356592094
Long
DBT
USGA
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4587
36179TCY9
33446.23000000
PA
USD
34647.52000000
0.008389152911
Long
DBT
USGA
US
N
2
2047-07-20
Fixed
4.00000000
N
N
N
N
N
N
STRUCTURED ASSET INVESTMENT LOAN TRUST
N/A
STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-7 SAIL 2004-7 A8
86358EKJ4
170000.00000000
PA
USD
167915.60000000
0.040657156545
Long
ABS-MBS
US
N
2
2034-08-25
Floating
1.65656880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE INTEREST STRIP FNS 409 C18
3136FLFM3
10351.14000000
PA
USD
1671.38000000
0.000404688774
Long
DBT
USGA
US
N
2
2042-04-25
Fixed
4.00000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.300000% 11/21/2022
00287YBM0
100000.00000000
PA
USD
100337.13000000
0.024294481285
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841090
31288QF70
712167.59000000
PA
USD
732529.47000000
0.177366280059
Long
DBT
USGA
US
N
2
2046-10-01
Floating
1.89399960
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 4.400000% 08/14/2028
09659W2F0
200000.00000000
PA
USD
203454.45000000
0.049262125874
Long
DBT
NUSS
FR
N
2
2028-08-14
Fixed
4.40000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.000000% 03/22/2027
92343VFF6
120000.00000000
PA
USD
118598.03000000
0.028715966066
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (MAY)
01F030652
100000.00000000
PA
USD
97583.73000000
0.023627804604
Long
DBT
USGA
US
N
2
2051-05-15
Fixed
3.00000000
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 2.875000% 03/25/2031
68389XCE3
30000.00000000
PA
USD
27353.72000000
0.006623115875
Long
DBT
CORP
US
N
2
2031-03-25
Fixed
2.87500000
N
N
N
N
N
N
PFIZER INC.
765LHXWGK1KXCLTFYQ30
PFIZER INC 0.800000% 05/28/2025
717081EX7
110000.00000000
PA
USD
104025.88000000
0.025187632881
Long
DBT
CORP
US
N
2
2025-05-28
Fixed
0.80000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.879000% 10/30/2030
95000U2G7
100000.00000000
PA
USD
95043.86000000
0.023012829628
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.87900000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.500000% 04/15/2025
87264ABB0
150000.00000000
PA
USD
150992.64000000
0.036559625202
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5529
36179UEA6
53607.80000000
PA
USD
55780.84000000
0.013506132510
Long
DBT
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.300000% 01/11/2023
06051GEU9
60000.00000000
PA
USD
60664.80000000
0.014688678540
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
3.30000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.600000% 05/14/2025
00287YAQ2
10000.00000000
PA
USD
10131.30000000
0.002453076724
Long
DBT
CORP
US
N
2
2025-05-14
Fixed
3.60000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 1.654000% 06/02/2024
95000U2R3
160000.00000000
PA
USD
158079.82000000
0.038275633642
Long
DBT
CORP
US
N
2
2024-06-02
Fixed
1.65400000
N
N
N
N
N
N
N/A
N/A
US 5YR NOTE W1 OP Apr22C 114.5 SHORT
015TXC3Z5
-18.00000000
NC
USD
-5343.75000000
-0.00129387430
N/A
DIR
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Call
Written
N/A
Call Option 114.5 Apr 2022 on US 5Y NOTE e-CBOT Jun 2022 (Week 1)
-18000.00000000
114.50000000
USD
2022-04-04
XXXX
-1296.76000000
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-H30 GA
38375BA77
406176.61000000
PA
USD
404234.44000000
0.097876688694
Long
DBT
USGA
US
N
2
2062-12-20
Floating
0.45628920
N
N
N
N
N
N
Republica Oriental del Uruguay
549300RDR012H2V82H43
REPUBLICA ORIENT URUGUAY 4.375000% 01/23/2031
917288BK7
580000.00000000
PA
USD
632020.20000000
0.153030118769
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM3286
3140J7UL7
339102.63000000
PA
USD
359914.57000000
0.087145583944
Long
DBT
USGA
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 3.150000% 12/14/2025
92826CAD4
110000.00000000
PA
USD
111264.11000000
0.026940214835
Long
DBT
CORP
US
N
2
2025-12-14
Fixed
3.15000000
N
N
N
N
N
N
THE KROGER CO.
6CPEOKI6OYJ13Q6O7870
KROGER CO/THE 7.700000% 06/01/2029
501044BT7
565000.00000000
PA
USD
717066.46000000
0.173622244256
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
7.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 946391
31413H2Y3
24994.46000000
PA
USD
27882.68000000
0.006751192180
Long
DBT
USGA
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QA2967
31339SJL0
259247.45000000
PA
USD
261248.35000000
0.063255677633
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
WALMART INC.
Y87794H0US1R65VBXU25
WALMART INC 1.800000% 09/22/2031
931142ET6
160000.00000000
PA
USD
145549.27000000
0.035241630053
Long
DBT
CORP
US
N
2
2031-09-22
Fixed
1.80000000
N
N
N
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
MOODY'S CORP 2.000000% 08/19/2031
615369AW5
1000000.00000000
PA
USD
887130.98000000
0.214799715631
Long
DBT
CORP
US
N
2
2031-08-19
Fixed
2.00000000
N
N
N
N
N
N
APTIV PLC
N/A
APTIV PLC / APTIV CORP 3.250000% 03/01/2032
00217GAB9
639000.00000000
PA
USD
605642.95000000
0.146643434134
Long
DBT
NUSS
US
N
2
2032-03-01
Fixed
3.25000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 4.253000% 03/23/2028
90352JAC7
250000.00000000
PA
USD
255000.42000000
0.061742875558
Long
DBT
NUSS
CH
N
2
2028-03-23
Fixed
4.25300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.125000% 08/15/2040
912810SQ2
1060000.00000000
PA
USD
830982.03000000
0.201204453190
Long
DBT
UST
US
N
1
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 BM9743
3617K1ZG1
104573.15000000
PA
USD
105704.55000000
0.025594086772
Long
DBT
USGA
US
N
2
2049-11-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G08660
3128MJWW6
33648.02000000
PA
USD
35058.75000000
0.008488723424
Long
DBT
USGA
US
N
2
2045-08-01
Fixed
4.00000000
N
N
N
N
N
N
AETNA INC.
549300QKBENKLBXQ8968
AETNA INC 2.800000% 06/15/2023
00817YAV0
20000.00000000
PA
USD
20074.11000000
0.004860514644
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
2.80000000
N
N
N
N
N
N
BLACKSTONE HOLDINGS FINANCE CO. L.L.C.
549300D2L6J4NC1QVZ22
BLACKSTONE HOLDINGS FINANCE CO LLC 144A 1.600000% 03/30/2031
09261BAA8
590000.00000000
PA
USD
499290.17000000
0.120892392387
Long
DBT
CORP
US
N
2
2031-03-30
Fixed
1.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3773
3140X7FP9
133919.97000000
PA
USD
136008.21000000
0.032931467269
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
United States of America
N/A
US 2YR NOTE (CBT) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
97.00000000
NC
USD
20556421.88000000
4.977296108210
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Long
U.S. Treasury Futures
US 2-YEAR NOTE (Globex) Jun 2022
2022-07-03
20832214.71000000
USD
-275792.83000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BU0051
3140M1BV5
293738.11000000
PA
USD
281311.97000000
0.068113652349
Long
DBT
USGA
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
N/A
US 10YR NOTE (CBT)JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-216.00000000
NC
USD
-26541000.00000000
-6.42633318089
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Short
U.S. Treasury Futures
US 10 Year Treasury Note Future (consolidated) Jun 2022
2022-06-24
-27087874.91000000
USD
546874.91000000
N
N
N
LUKOIL CAPITAL DESIGNATED ACTIVITY COMPANY
984500BEC55D7EHC4M56
LUKOIL CAPITAL DAC 144A 3.600000% 10/26/2031
549875AB8
230000.00000000
PA
USD
117300.00000000
0.028401675977
Long
DBT
NUSS
RU
N
2
2031-10-26
Fixed
3.60000000
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 3.750000% 07/15/2023
125523AF7
16000.00000000
PA
USD
16233.58000000
0.003930612780
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 CD8312
3617VKGV5
92789.49000000
PA
USD
89702.59000000
0.021719555801
Long
DBT
USGA
US
N
2
2051-05-20
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7160
3140XA5W8
449550.79000000
PA
USD
466732.36000000
0.113009217876
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
4.50000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 1.571000% 04/15/2023
30231GBL5
10000.00000000
PA
USD
9967.92000000
0.002413517766
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
1.57100000
N
N
N
N
N
N
NIKE, INC.
787RXPR0UX0O0XUXPZ81
NIKE INC 3.375000% 03/27/2050
654106AM5
30000.00000000
PA
USD
29811.28000000
0.007218161253
Long
DBT
CORP
US
N
2
2050-03-27
Fixed
3.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7321
3140XBD31
388711.07000000
PA
USD
400446.61000000
0.096959547003
Long
DBT
USGA
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8864
3140XCZ68
96878.76000000
PA
USD
92988.23000000
0.022515102968
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA2362
3133KHTT3
36779.71000000
PA
USD
36978.45000000
0.008953537553
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG V83157
3132L8QJ9
284713.86000000
PA
USD
296816.68000000
0.071867784911
Long
DBT
USGA
US
N
2
2047-04-01
Fixed
4.50000000
N
N
N
N
N
N
THE WALT DISNEY COMPANY
549300GZKULIZ0WOW665
WALT DISNEY CO/THE 3.000000% 09/15/2022
254687CM6
30000.00000000
PA
USD
30232.25000000
0.007320090098
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
3.00000000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED
PUSS41EMO3E6XXNV3U28
PUBLIC SERVICE ENTERPRISE GROUP INC 2.875000% 06/15/2024
744573AN6
713000.00000000
PA
USD
706424.10000000
0.171045425327
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
2.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0301
3140FXKP6
91595.14000000
PA
USD
97677.70000000
0.023650557422
Long
DBT
USGA
US
N
2
2058-08-01
Fixed
4.50000000
N
N
N
N
N
N
MERCK & CO., INC.
4YV9Y5M8S0BRK1RP0397
MERCK & CO INC 0.750000% 02/24/2026
58933YAY1
80000.00000000
PA
USD
74673.19000000
0.018080509348
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
0.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA4110
3140QBR83
214729.19000000
PA
USD
212157.75000000
0.051369443065
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.050000% 02/15/2028
87264ACA1
20000.00000000
PA
USD
18266.28000000
0.004422787432
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 928938
31412MBF4
2057.71000000
PA
USD
2189.71000000
0.000530191252
Long
DBT
USGA
US
N
2
2037-12-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q19611
3132JBDR1
31171.85000000
PA
USD
32589.52000000
0.007890852406
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
SEI Daily Income Trust: Government Fund; Class F Shares
N/A
SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)
783965593
6491992.25000000
NS
USD
6491992.25000000
1.571896507528
Long
STIV
RF
US
N
2
N
N
N
N/A
N/A
US 5YR FUTR OPTN May22C118.25 SHORT
0148R1C59
-19.00000000
NC
USD
-445.31000000
-0.00010782225
N/A
DIR
US
N
1
RJ O'BRIEN
N/A
Call
Written
N/A
Call Option 118.25 Apr 2022 on US 5Y NOTE e-CBOT Jun 2022
-19000.00000000
118.25000000
USD
2022-04-25
XXXX
8131.20000000
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 784905
3622AAKS2
68566.09000000
PA
USD
67702.38000000
0.016392677405
Long
DBT
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA5373
3133KL6J1
94270.73000000
PA
USD
87667.89000000
0.021226896891
Long
DBT
USGA
US
N
2
2051-06-01
Fixed
2.00000000
N
N
N
N
N
N
FLORIDA POWER & LIGHT COMPANY
A89MY1K3YLIGJMYWVX50
FLORIDA POWER & LIGHT CO 2.450000% 02/03/2032
341081GG6
544000.00000000
PA
USD
511668.34000000
0.123889500431
Long
DBT
CORP
US
N
2
2032-02-03
Fixed
2.45000000
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 1.250000% 03/15/2026
125523CP3
725000.00000000
PA
USD
676963.34000000
0.163912134964
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
1.25000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5137
36179TV69
129767.71000000
PA
USD
133381.59000000
0.032295487643
Long
DBT
USGA
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0189
3140QKF78
1768704.94000000
PA
USD
1732074.90000000
0.419384740653
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
3.00000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.200000% 11/21/2029
00287YBX6
150000.00000000
PA
USD
148216.28000000
0.035887389251
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U91254
3132HBH73
56534.74000000
PA
USD
58823.16000000
0.014242764964
Long
DBT
USGA
US
N
2
2043-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR7222
3140L6AY0
95059.34000000
PA
USD
90977.18000000
0.022028170398
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
DOLLAR GENERAL CORPORATION
OPX52SQVOZI8IVSWYU66
DOLLAR GENERAL CORP 3.250000% 04/15/2023
256677AC9
10000.00000000
PA
USD
10071.98000000
0.002438713660
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.25000000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST
N/A
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-1 DRMT 2022-1 A1
24382JAA4
334856.11000000
PA
USD
320688.78000000
0.077647901271
Long
ABS-MBS
US
Y
2
2067-01-25
Floating
2.20500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0101
3140QKDF2
92621.01000000
PA
USD
90492.25000000
0.021910755012
Long
DBT
USGA
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q26814
3132M7GX0
74160.01000000
PA
USD
77189.03000000
0.018689665976
Long
DBT
USGA
US
N
2
2044-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6544
36179VHV5
24557.22000000
PA
USD
25434.77000000
0.006158483342
Long
DBT
USGA
US
N
2
2050-03-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3870
3140X7JQ3
249877.76000000
PA
USD
253234.19000000
0.061315220893
Long
DBT
USGA
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG L00016
3128DFAR9
554037.79000000
PA
USD
599964.63000000
0.145268550888
Long
DBT
USGA
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2019-SB58 MORTGAGE TRUST FRESB 2019-SB58 A10F
30308MAG2
794914.37000000
PA
USD
788388.28000000
0.190891291330
Long
ABS-MBS
US
N
2
2028-10-25
Floating
3.61000080
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.650000% 11/20/2040
92343VFT6
300000.00000000
PA
USD
255197.51000000
0.061790596669
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-47 GZ
3136BAS21
103558.95000000
PA
USD
82882.77000000
0.020068282844
Long
DBT
USGA
US
N
2
2050-07-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2020-56 DI
3136BBMQ2
85394.36000000
PA
USD
14339.24000000
0.003471939030
Long
DBT
USGA
US
N
2
2050-08-25
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ5101
3140KQU33
674311.08000000
PA
USD
661353.40000000
0.160132523217
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 890843
31410LWC2
187803.07000000
PA
USD
186635.03000000
0.045189664519
Long
DBT
USGA
US
N
2
2047-09-01
Fixed
3.00000000
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2021-NYAH D
46654EAG6
520000.00000000
PA
USD
506307.15000000
0.122591403404
Long
ABS-MBS
US
Y
2
2038-06-15
Floating
1.93700160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 934648
31412TZM8
5147.92000000
PA
USD
5968.82000000
0.001445221582
Long
DBT
USGA
US
N
2
2038-11-01
Fixed
7.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 2.699000% 01/22/2031
6174468L6
200000.00000000
PA
USD
187673.28000000
0.045441054460
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.69900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2005-29 ZA
31394DEV8
96939.52000000
PA
USD
105484.01000000
0.025540687747
Long
DBT
USGA
US
N
2
2035-04-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2 SCRT 2019-2 MA
35563PKG3
696336.12000000
PA
USD
699109.21000000
0.169274281801
Long
ABS-MBS
US
N
2
2058-08-25
Fixed
3.50000000
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2020-INV1 GSMBS 2020-INV1 A14
36258KAS7
314944.98000000
PA
USD
301688.47000000
0.073047384237
Long
ABS-MBS
US
N
2
2050-10-25
Floating
2.95905960
N
N
N
N
N
N
United States of America
N/A
US LONG BOND(CBT) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-201.00000000
NC
USD
-30162562.50000000
-7.30321676706
N/A
DIR
US
N
1
JP MORGAN
N/A
Short
U.S. Treasury Futures
US Long Bond (CBT) Jun 2022
2022-06-24
-31165973.22000000
USD
1003410.72000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q53595
3132XV7H0
439305.03000000
PA
USD
445586.73000000
0.107889257675
Long
DBT
USGA
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5423
3140X9AZ8
86144.52000000
PA
USD
82481.68000000
0.019971167514
Long
DBT
USGA
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.862000% 08/21/2046
92343VCK8
40000.00000000
PA
USD
45896.02000000
0.011112735624
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE TRUST 2003-W2 FNW 2003-W2 2A9
31392JAQ2
324280.45000000
PA
USD
347675.21000000
0.084182085761
Long
DBT
USGA
US
N
2
2042-07-25
Fixed
5.90000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
DEERE & CO 3.100000% 04/15/2030
244199BJ3
10000.00000000
PA
USD
10015.48000000
0.002425033399
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.10000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.625000% 02/26/2044
195325BR5
280000.00000000
PA
USD
253811.60000000
0.061455028325
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0104
3140FXDJ8
44614.05000000
PA
USD
46790.74000000
0.011329372857
Long
DBT
USGA
US
N
2
2056-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5877
36179UQ62
31426.37000000
PA
USD
32680.96000000
0.007912992638
Long
DBT
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 3.350000% 04/01/2023
58013MFE9
280000.00000000
PA
USD
283470.49000000
0.068636291612
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
3.35000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 4.300000% 03/25/2028
126650CX6
164000.00000000
PA
USD
171556.93000000
0.041538826407
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN AA5649
36178DH20
21533.02000000
PA
USD
21393.60000000
0.005180000811
Long
DBT
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 3.000000% 06/30/2022
00206RCM2
10000.00000000
PA
USD
10011.52000000
0.002424074570
Long
DBT
CORP
US
N
2
2022-06-30
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA9358
3140QHMG7
90222.33000000
PA
USD
88148.78000000
0.021343334078
Long
DBT
USGA
US
N
2
2041-03-01
Fixed
2.50000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
CREDIT SUISSE GROUP AG 144A 4.194000% 04/01/2031
225401AP3
250000.00000000
PA
USD
246627.50000000
0.059715552788
Long
DBT
NUSS
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.329000% 09/21/2028
92343VER1
435000.00000000
PA
USD
458870.22000000
0.111105569515
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AK4523
3138E9AZ3
363660.81000000
PA
USD
378748.62000000
0.091705844690
Long
DBT
USGA
US
N
2
2042-03-01
Fixed
4.00000000
N
N
N
N
N
N
NSTAR ELECTRIC COMPANY
54930080R72Y2Z31UR68
NSTAR ELECTRIC CO 1.950000% 08/15/2031
67021CAR8
1000000.00000000
PA
USD
882537.09000000
0.213687403822
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
1.95000000
N
N
N
N
N
N
Nutrien Ltd.
5493002QQ7GD21OWF963
NUTRIEN LTD 1.900000% 05/13/2023
67077MAV0
501000.00000000
PA
USD
497230.71000000
0.120393738375
Long
DBT
NUSS
CA
N
2
2023-05-13
Fixed
1.90000000
N
N
N
N
N
N
Emirate of Abu Dhabi
213800FER4348CINTA77
ABU DHABI GOVERNMENT INTERNATIONAL BOND 144A 2.500000% 10/11/2022
29135LAC4
690000.00000000
PA
USD
693243.00000000
0.167853905027
Long
DBT
NUSS
AE
N
2
2022-10-11
Fixed
2.50000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
DEERE & CO 3.750000% 04/15/2050
244199BK0
30000.00000000
PA
USD
31712.09000000
0.007678401575
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.75000000
N
N
N
N
N
N
Ferguson Finance Plc
2138003A7ZEU931DZL61
FERGUSON FINANCE PLC 144A 3.250000% 06/02/2030
314890AB0
851000.00000000
PA
USD
809921.34000000
0.196105059385
Long
DBT
NUSS
US
N
2
2030-06-02
Fixed
3.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA3276
31418CUA0
20240.09000000
PA
USD
20476.77000000
0.004958010115
Long
DBT
USGA
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
The Bank of New York Mellon Corporation
WFLLPEPC7FZXENRZV188
BANK OF NEW YORK MELLON CORP/THE MTN 3.300000% 08/23/2029
06406YAA0
790000.00000000
PA
USD
785994.17000000
0.190311609007
Long
DBT
CORP
US
N
2
2029-08-23
Fixed
3.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (JUNE)
01F032666
2900000.00000000
PA
USD
2887505.90000000
0.699147544373
Long
DBT
USGA
US
N
2
2051-06-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5819
3140X9PD1
732846.14000000
PA
USD
758255.91000000
0.183595385028
Long
DBT
USGA
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q17792
3132J9C63
102112.48000000
PA
USD
104237.35000000
0.025238835800
Long
DBT
USGA
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2010-20H 1
83162CTL7
148878.81000000
PA
USD
149107.03000000
0.036103065234
Long
ABS-MBS
US
N
2
2030-08-01
Fixed
3.52000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 3.350000% 03/02/2033
95000U2U6
40000.00000000
PA
USD
38873.71000000
0.009412434061
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.625000% 07/31/2026
91282CCP4
25309000.00000000
PA
USD
23353484.42000000
5.654544735234
Long
SN
UST
US
N
2
2026-07-31
Fixed
0.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR5634
3140L4HL6
88399.44000000
PA
USD
82332.97000000
0.019935160581
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AB1152
31416WH62
33688.37000000
PA
USD
34645.86000000
0.008388750977
Long
DBT
USGA
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 1.678000% 05/15/2024
172967MR9
823000.00000000
PA
USD
816245.61000000
0.197636345552
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
1.67800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA9121
3140QHD36
87019.60000000
PA
USD
83169.05000000
0.020137599398
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
EXELON CORPORATION
3SOUA6IRML7435B56G12
EXELON CORP 5.625000% 06/15/2035
30161NAC5
343000.00000000
PA
USD
388199.93000000
0.093994276439
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
5.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1014
3140XGDU0
99757.66000000
PA
USD
92900.60000000
0.022493885245
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2672
31418B6J0
120783.36000000
PA
USD
120472.53000000
0.029169835986
Long
DBT
USGA
US
N
2
2036-07-01
Fixed
3.00000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING III LLC
N/A
HERTZ VEHICLE FINANCING LLC HERTZ 2021-1A B
42806MAB5
240000.00000000
PA
USD
227347.90000000
0.055047411679
Long
ABS-MBS
US
Y
2
2025-12-26
Fixed
1.56000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5018 MI
3137FXC89
90779.78000000
PA
USD
12643.30000000
0.003061303579
Long
DBT
USGA
US
N
2
2050-10-25
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QD6079
3133B3XG7
198885.33000000
PA
USD
190901.72000000
0.046222751875
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 4.125000% 08/01/2025
05369AAD3
160000.00000000
PA
USD
158691.78000000
0.038423806614
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7741
3140XBS76
87374.70000000
PA
USD
83511.34000000
0.020220477571
Long
DBT
USGA
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 2.150000% 01/15/2031
723787AR8
40000.00000000
PA
USD
36047.19000000
0.008728052943
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.15000000
N
N
N
N
N
N
Truist Financial Corporation
549300DRQQI75D2JP341
TRUIST FINANCIAL CORP MTN 1.267000% 03/02/2027
89788MAD4
686000.00000000
PA
USD
635253.36000000
0.153812959031
Long
DBT
CORP
US
N
2
2027-03-02
Fixed
1.26700000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BC2817
3140EXDX8
72558.59000000
PA
USD
72015.54000000
0.017437016474
Long
DBT
USGA
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA1293
3133KGNJ3
112379.10000000
PA
USD
111715.35000000
0.027049472910
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.875000% 02/15/2051
912810SU3
3230000.00000000
PA
USD
2822338.66000000
0.683368696676
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.87500000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.550000% 12/01/2033
00206RMM1
20000.00000000
PA
USD
17768.89000000
0.004302355125
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A
056054AA7
921832.41000000
PA
USD
917818.11000000
0.222229945153
Long
ABS-MBS
US
N
2
2036-10-15
Floating
1.31699880
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 144A 1.625000% 01/14/2025
05578AAV0
1085000.00000000
PA
USD
1035089.34000000
0.250624655093
Long
DBT
NUSS
FR
N
2
2025-01-14
Fixed
1.62500000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING III LLC
N/A
HERTZ VEHICLE FINANCING III LP HERTZ 2021-2A C
42806MAG4
300000.00000000
PA
USD
272251.32000000
0.065919810529
Long
ABS-MBS
US
Y
2
2027-12-27
Fixed
2.52000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.300000% 11/20/2026
172967JC6
40000.00000000
PA
USD
41135.16000000
0.009959995614
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
4.30000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.800000% 02/15/2029
55336VAS9
50000.00000000
PA
USD
53233.99000000
0.012889467476
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA4175
3133KKT82
172151.48000000
PA
USD
164812.72000000
0.039905860787
Long
DBT
USGA
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
US 10YR FUT OPTN May22C 123 SHORT
N/A
-16.00000000
NC
USD
-12750.00000000
-0.00308713869
N/A
DIR
US
N
1
RJ O'BRIEN
N/A
Call
Written
N/A
Call Option 123 Apr 2022 on US 10YR NOTE (Globex) Jun 2022
-16000.00000000
123.00000000
USD
2022-04-25
XXXX
-4277.68000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 863729
31408XSS0
21476.86000000
PA
USD
21497.34000000
0.005205119224
Long
DBT
USGA
US
N
2
2036-01-01
Floating
2.39299920
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
JOHNSON & JOHNSON 0.550000% 09/01/2025
478160CN2
50000.00000000
PA
USD
46630.29000000
0.011290523336
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.55000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7473
36179WJS8
107777.76000000
PA
USD
106833.39000000
0.025867411136
Long
DBT
USGA
US
N
2
2051-07-20
Fixed
3.00000000
N
N
N
N
N
N
US 10YR FUT OPTN May22C 124.5
N/A
US 10YR FUT OPTN May22C 124.5 SHORT
0148R5WD2
-15.00000000
NC
USD
-3984.38000000
-0.00096473205
N/A
DIR
US
N
1
RJ O'BRIEN
N/A
Call
Written
N/A
N/A
-15000.00000000
124.50000000
USD
2022-04-25
XXXX
2630.30000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G60804
31335A3M8
306398.63000000
PA
USD
326062.18000000
0.078948954687
Long
DBT
USGA
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION 30YR TBA APRIL
01F022642
2100000.00000000
PA
USD
2003531.25000000
0.485112066268
Long
DBT
USGA
US
N
2
2043-04-01
Fixed
2.50000000
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 2.750000% 04/06/2030
822582CG5
40000.00000000
PA
USD
38799.73000000
0.009394521393
Long
DBT
NUSS
NL
N
2
2030-04-06
Fixed
2.75000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 3.850000% 07/18/2027
455780CA2
200000.00000000
PA
USD
208538.09000000
0.050493020129
Long
DBT
NUSS
ID
N
2
2027-07-18
Fixed
3.85000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA2678
36179Q6P1
12395.81000000
PA
USD
12676.24000000
0.003069279293
Long
DBT
USGA
US
N
2
2045-03-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G04588
3128M6ND6
17945.60000000
PA
USD
19792.00000000
0.004792207765
Long
DBT
USGA
US
N
2
2038-08-01
Fixed
5.50000000
N
N
N
N
N
N
BP CAPITAL MARKETS P.L.C.
549300CRVT18MXX0AG93
BP CAPITAL MARKETS PLC 3.535000% 11/04/2024
05565QCS5
20000.00000000
PA
USD
20317.71000000
0.004919497152
Long
DBT
NUSS
GB
N
2
2024-11-04
Fixed
3.53500000
N
N
N
N
N
N
COMCAST CABLE COMMUNICATIONS, LLC.
549300T2R1ZBGV1UVE31
TCI COMMUNICATIONS INC 7.875000% 02/15/2026
872287AF4
240000.00000000
PA
USD
279919.87000000
0.067776585229
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
7.87500000
N
N
N
N
N
N
THE CHARLES SCHWAB CORPORATION
549300VSGCJ7E698NM85
CHARLES SCHWAB CORP/THE 3.850000% 05/21/2025
808513AX3
110000.00000000
PA
USD
112388.67000000
0.027212502889
Long
DBT
CORP
US
N
2
2025-05-21
Fixed
3.85000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.300000% 04/15/2040
437076CC4
40000.00000000
PA
USD
38525.48000000
0.009328117645
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
3.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.875000% 05/15/2049
912810SH2
170000.00000000
PA
USD
182816.41000000
0.044265067691
Long
DBT
UST
US
N
2
2049-05-15
Fixed
2.87500000
N
N
N
N
N
N
DUKE ENERGY CORPORATION
I1BZKREC126H0VB1BL91
DUKE ENERGY CORP 2.400000% 08/15/2022
26441CAW5
150000.00000000
PA
USD
150360.36000000
0.036406532178
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.40000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2018-20E 1
83162CZL0
966467.03000000
PA
USD
983496.66000000
0.238132595586
Long
ABS-MBS
US
N
2
2038-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AB9683
31417GXM3
39584.54000000
PA
USD
41342.75000000
0.010010259075
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-4 SCRT 2018-4 MA
35563PHF9
612842.07000000
PA
USD
615686.15000000
0.149075179336
Long
ABS-MBS
US
N
2
2058-03-25
Fixed
3.50000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC 4.519000% 06/25/2024
780097BJ9
290000.00000000
PA
USD
294367.31000000
0.071274722566
Long
DBT
NUSS
GB
N
2
2024-06-25
Fixed
4.51900000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 1.875000% 02/28/2031
126650DQ0
20000.00000000
PA
USD
17609.23000000
0.004263696885
Long
DBT
CORP
US
N
2
2031-02-28
Fixed
1.87500000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 4.300000% 04/29/2053
698299BB9
300000.00000000
PA
USD
287994.00000000
0.069731562416
Long
DBT
NUSS
PA
N
2
2053-04-29
Fixed
4.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BC9077
3140F5CP6
38061.59000000
PA
USD
38627.46000000
0.009352809912
Long
DBT
USGA
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS7533
3138WHLP5
72657.18000000
PA
USD
72232.61000000
0.017489575313
Long
DBT
USGA
US
N
2
2046-07-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5711
36179UKY7
109962.49000000
PA
USD
114334.45000000
0.027683631730
Long
DBT
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC25 CGCMT 2014-GC25 AS
17322YAF7
100000.00000000
PA
USD
100626.05000000
0.024364437058
Long
ABS-MBS
US
N
2
2047-10-10
Fixed
4.01700000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.500000% 05/15/2023
172967GT2
100000.00000000
PA
USD
101029.43000000
0.024462106863
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 3953
36202EMA4
30756.40000000
PA
USD
33799.85000000
0.008183907824
Long
DBT
USGA
US
N
2
2037-02-20
Fixed
5.50000000
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVIENT STUDENT LOAN TRUST 2016-6 NAVSL 2016-6A A3
63940LAC8
550000.00000000
PA
USD
561746.63000000
0.136014882921
Long
ABS-MBS
US
N
2
2066-03-25
Floating
1.75656960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AH4292
3138A5XW7
3491.73000000
PA
USD
3714.31000000
0.000899340401
Long
DBT
USGA
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 AY6444
36196WER4
337408.29000000
PA
USD
341908.72000000
0.082785854043
Long
DBT
USGA
US
N
2
2047-02-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STACR REMIC TRUST 2022-DNA1 STACR 2022-DNA1 M1B
35564KPV5
420000.00000000
PA
USD
395873.44000000
0.095852252097
Long
DBT
USGA
US
Y
2
2042-01-25
Floating
1.94900040
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2014-GC24 GSMS 2014-GC24 A5
36253GAE2
511000.00000000
PA
USD
515008.39000000
0.124698221811
Long
ABS-MBS
US
N
2
2047-09-10
Fixed
3.93100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA3332
31418CV27
129921.61000000
PA
USD
130908.96000000
0.031696793388
Long
DBT
USGA
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.875000% 02/08/2029
92343VES9
30000.00000000
PA
USD
31210.20000000
0.007556879689
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
3.87500000
N
N
N
N
N
N
CHEVRON CORPORATION
N/A
CHEVRON CORP 1.995000% 05/11/2027
166764BX7
40000.00000000
PA
USD
38387.35000000
0.009294672432
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
1.99500000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 144A ZERO COUPON 11/27/2022
00206RAE2
2000000.00000000
PA
USD
1967704.32000000
0.476437344554
Long
DBT
CORP
US
N
2
2022-11-27
Fixed
0.00000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP LLC
549300ODEK8HY3445C77
AVIATION CAPITAL GROUP LLC 144A 1.950000% 01/30/2026
05369AAK7
567000.00000000
PA
USD
520725.88000000
0.126082589231
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
1.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7786
3140XBUL2
335838.24000000
PA
USD
346342.43000000
0.083859381706
Long
DBT
USGA
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5138
36179TV77
40447.81000000
PA
USD
42330.68000000
0.010249465108
Long
DBT
USGA
US
N
2
2048-04-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AT9653
3138WXWP8
60514.85000000
PA
USD
63194.08000000
0.015301089376
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB2869
3140QNFK3
592777.09000000
PA
USD
566336.05000000
0.137126112416
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 708404
36297DAD9
30900.26000000
PA
USD
34100.16000000
0.008256621441
Long
DBT
USGA
US
N
2
2039-03-15
Fixed
5.00000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 3.691000% 06/05/2028
38141GWL4
400000.00000000
PA
USD
400458.88000000
0.096962517920
Long
DBT
CORP
US
N
2
2028-06-05
Fixed
3.69100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (MAY)
01F032658
1100000.00000000
PA
USD
1098096.80000000
0.265880558444
Long
DBT
USGA
US
N
2
2051-05-15
Fixed
3.50000000
N
N
N
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 144A 5.750000% 01/15/2031
212015AT8
10000.00000000
PA
USD
10938.00000000
0.002648401805
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6767
36179VQU7
45283.01000000
PA
USD
45638.85000000
0.011050467431
Long
DBT
USGA
US
N
2
2050-07-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA2894
36179RGB9
589993.86000000
PA
USD
630971.77000000
0.152776263959
Long
DBT
USGA
US
N
2
2045-06-20
Fixed
4.50000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 3.875000% 07/20/2025
126650CL2
95000.00000000
PA
USD
96910.94000000
0.023464902954
Long
DBT
CORP
US
N
2
2025-07-20
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5010 IK
3137FVQ54
147189.54000000
PA
USD
22166.91000000
0.005367241221
Long
DBT
USGA
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
DIAMONDBACK ENERGY, INC.
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 3.125000% 03/24/2031
25278XAR0
40000.00000000
PA
USD
38202.06000000
0.009249808438
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
3.12500000
N
N
N
N
N
N
ANTHEM, INC.
8MYN82XMYQH89CTMTH67
ANTHEM INC 3.125000% 05/15/2022
94973VAX5
340000.00000000
PA
USD
340513.66000000
0.082448070223
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
3.12500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-107 AD
38378KYP8
46926.08000000
PA
USD
45710.72000000
0.011067869208
Long
DBT
USGA
US
N
2
2047-11-16
Floating
2.76409080
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0745
3132DMZJ7
98209.94000000
PA
USD
91453.30000000
0.022143452631
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS4271
3138WDW98
27560.21000000
PA
USD
29360.91000000
0.007109113829
Long
DBT
USGA
US
N
2
2045-01-01
Fixed
4.50000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC 2021-RPL3 TRUST CSMC 2021-RPL3 A1
12661GAA7
286961.68000000
PA
USD
278470.05000000
0.067425542451
Long
ABS-MBS
US
Y
2
2060-01-25
Floating
2.00000160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.250000% 05/31/2028
91282CCE9
1700000.00000000
PA
USD
1582660.15000000
0.383207167628
Long
SN
UST
US
N
2
2028-05-31
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2373
3140X5T78
51596.31000000
PA
USD
54407.29000000
0.013173556874
Long
DBT
USGA
US
N
2
2049-12-01
Fixed
5.00000000
N
N
N
N
N
N
GUARDIAN LIFE GLOBAL FUNDING
635400NHILJ5JEKILC36
GUARDIAN LIFE GLOBAL FUNDING 144A 1.100000% 06/23/2025
40139LAG8
30000.00000000
PA
USD
28222.92000000
0.006833573989
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.10000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 2.871000% 04/19/2032
09659W2P8
200000.00000000
PA
USD
181900.20000000
0.044043227115
Long
DBT
NUSS
FR
N
2
2032-04-19
Fixed
2.87100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA1591
31418AXV5
52237.20000000
PA
USD
55533.91000000
0.013446343713
Long
DBT
USGA
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 2.375000% 10/15/2022
91324PDD1
10000.00000000
PA
USD
10046.66000000
0.002432582966
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.37500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-105 IO
38378XCY5
67096.87000000
PA
USD
1611.28000000
0.000390136849
Long
DBT
USGA
US
N
2
2054-06-16
Floating
0.12272040
N
N
N
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 1.625000% 05/01/2030
713448EZ7
70000.00000000
PA
USD
62936.76000000
0.015238784864
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
1.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4330
3140X7Y45
633596.83000000
PA
USD
608019.25000000
0.147218804148
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.800000% 03/01/2050
161175BT0
40000.00000000
PA
USD
37996.38000000
0.009200007443
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2011-20B 1
83162CTV5
131136.93000000
PA
USD
132949.99000000
0.032190984971
Long
ABS-MBS
US
N
2
2031-02-01
Fixed
4.22000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.000000% 10/29/2028
00774MAW5
1046000.00000000
PA
USD
964607.76000000
0.233559054091
Long
DBT
NUSS
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA2047
3140Q9HZ9
61854.01000000
PA
USD
64908.09000000
0.015716100089
Long
DBT
USGA
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 890695
31410LRQ7
551503.59000000
PA
USD
574745.79000000
0.139162350358
Long
DBT
USGA
US
N
2
2045-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS8673
3132A9T64
27639.41000000
PA
USD
27927.38000000
0.006762015325
Long
DBT
USGA
US
N
2
2032-10-01
Fixed
3.00000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.450000% 02/01/2050
20030NCZ2
40000.00000000
PA
USD
37421.36000000
0.009060778698
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-3 IO
38381ETV0
996989.13000000
PA
USD
63259.36000000
0.015316895526
Long
DBT
USGA
US
N
2
2061-02-16
Floating
0.64050120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.625000% 05/15/2031
91282CCB5
1860000.00000000
PA
USD
1751160.95000000
0.424006017786
Long
SN
UST
US
N
1
2031-05-15
Fixed
1.62500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-H20 FA
38376RFG6
204849.92000000
PA
USD
204042.65000000
0.049404545872
Long
DBT
USGA
US
N
2
2065-08-20
Floating
0.57629160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.750000% 05/31/2026
91282CCF6
13210000.00000000
PA
USD
12286331.97000000
2.974871437035
Long
SN
UST
US
N
1
2026-05-31
Fixed
0.75000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3375
36179RXC8
38543.21000000
PA
USD
38405.67000000
0.009299108227
Long
DBT
USGA
US
N
2
2046-01-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ5882
3140KRRC5
83808.13000000
PA
USD
80129.90000000
0.019401734491
Long
DBT
USGA
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
SLM PRIVATE EDUCATION LOAN TRUST
N/A
SLM PRIVATE EDUCATION LOAN TRUST 2010-C SLMA 2010-C A5
78445QAE1
368670.37000000
PA
USD
408642.16000000
0.098943923436
Long
ABS-MBS
US
N
2
2041-10-15
Floating
5.14657080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6400
3140XADE9
91028.65000000
PA
USD
84733.17000000
0.020516317467
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA6777
3140QEQ70
571284.32000000
PA
USD
594290.50000000
0.143894682161
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
4.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 4.250000% 06/15/2048
91324PDL3
10000.00000000
PA
USD
10937.64000000
0.002648314639
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
4.25000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.800000% 03/15/2025
00287YCX5
40000.00000000
PA
USD
40743.29000000
0.009865112709
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q45587
3132WKF52
50876.02000000
PA
USD
52788.64000000
0.012781635537
Long
DBT
USGA
US
N
2
2047-01-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRIPS FHS 353 S1
31325WSM5
80602.31000000
PA
USD
11677.79000000
0.002827526067
Long
DBT
USGA
US
N
2
2046-12-15
Floating
5.60342880
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA 144A 3.875000% 09/26/2023
74977RDE1
595000.00000000
PA
USD
605185.87000000
0.146532762028
Long
DBT
NUSS
NL
N
2
2023-09-26
Fixed
3.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0240
3140XFHS3
99085.08000000
PA
USD
98073.56000000
0.023746406420
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.203000% 07/23/2029
46647PAV8
673000.00000000
PA
USD
695994.32000000
0.168520078080
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.20300000
N
N
N
N
N
N
DIAMONDBACK ENERGY, INC.
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 3.250000% 12/01/2026
25278XAM1
30000.00000000
PA
USD
29955.43000000
0.007253064080
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC TRUST 2018-J1 TRUST CSMC 2018-J1 A2
12653TAB7
330754.27000000
PA
USD
324990.02000000
0.078689354168
Long
ABS-MBS
US
N
2
2048-02-25
Floating
3.49999920
N
N
N
N
N
N
CF HIPPOLYTA ISSUER LLC
N/A
CF HIPPOLYTA LLC SORT 2020-1 A1
12530MAA3
504435.92000000
PA
USD
476666.57000000
0.115414573490
Long
ABS-MBS
US
N
2
2060-07-15
Fixed
1.69000000
N
N
N
N
N
N
SALESFORCE.COM, INC.
RCGZFPDMRW58VJ54VR07
SALESFORCE.COM INC 3.700000% 04/11/2028
79466LAF1
150000.00000000
PA
USD
154977.81000000
0.037524548536
Long
DBT
CORP
US
N
2
2028-04-11
Fixed
3.70000000
N
N
N
N
N
N
BP CAPITAL MARKETS AMERICA INC.
5493009NTB34VXE1T760
BP CAPITAL MARKETS AMERICA INC 3.410000% 02/11/2026
10373QBE9
90000.00000000
PA
USD
91002.40000000
0.022034276879
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
3.41000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BN4303
3140JLX90
883221.06000000
PA
USD
949056.21000000
0.229793580229
Long
DBT
USGA
US
N
2
2048-12-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL3673
3138ELCK7
148595.85000000
PA
USD
151654.77000000
0.036719945762
Long
DBT
USGA
US
N
2
2043-05-01
Floating
1.74899880
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 4.125000% 04/15/2026
90351DAF4
634000.00000000
PA
USD
645618.01000000
0.156322536447
Long
DBT
NUSS
CH
N
2
2026-04-15
Fixed
4.12500000
N
N
N
N
N
N
SALESFORCE.COM, INC.
RCGZFPDMRW58VJ54VR07
SALESFORCE.COM INC 3.250000% 04/11/2023
79466LAE4
70000.00000000
PA
USD
70871.75000000
0.017160072288
Long
DBT
CORP
US
N
2
2023-04-11
Fixed
3.25000000
N
N
N
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST
N/A
RESIDENTIAL MORTGAGE LOAN TRUST 2020-2 RMLT 2020-2 A1
76123MAA1
136171.74000000
PA
USD
135281.72000000
0.032755563317
Long
ABS-MBS
US
N
2
2060-05-25
Floating
1.65399840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BJ9257
3140HBJB5
31919.65000000
PA
USD
33400.06000000
0.008087107261
Long
DBT
USGA
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZT0794
3132AC3B4
381984.09000000
PA
USD
402797.60000000
0.097528788744
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841077
31288QFS4
150063.20000000
PA
USD
151179.07000000
0.036604765223
Long
DBT
USGA
US
N
2
2047-11-01
Floating
2.87200080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2579
31418B2M7
61723.38000000
PA
USD
61590.42000000
0.014912797546
Long
DBT
USGA
US
N
2
2036-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6134
3140X9Y82
60849.30000000
PA
USD
60807.83000000
0.014723310183
Long
DBT
USGA
US
N
2
2040-03-01
Fixed
3.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 2.800000% 01/31/2030
29379VBX0
230000.00000000
PA
USD
221078.99000000
0.053529529747
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZT1970
3132AEFK7
47761.31000000
PA
USD
49258.79000000
0.011926958163
Long
DBT
USGA
US
N
2
2033-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-85 SC
3136AYSU8
74539.45000000
PA
USD
11266.90000000
0.002728037877
Long
DBT
USGA
US
N
2
2047-11-25
Floating
5.74342920
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-H01 TA
38375BE99
1171.09000000
PA
USD
1167.32000000
0.000282641469
Long
DBT
USGA
US
N
2
2063-01-20
Floating
0.60629040
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2014-C23 WFRBS 2014-C23 XA
92939HBE4
956539.70000000
PA
USD
10994.66000000
0.002662120808
Long
DBT
USGA
US
N
2
2057-10-15
Floating
0.56059200
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STACR REMIC TRUST 2021-DNA6 STACR 2021-DNA6 M2
35564KKY4
230000.00000000
PA
USD
218732.92000000
0.052961479279
Long
DBT
USGA
US
N
2
2041-10-25
Floating
1.59900120
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841076
31288QFR6
463873.28000000
PA
USD
465791.19000000
0.112781333772
Long
DBT
USGA
US
N
2
2048-11-01
Floating
3.01200120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6465
3140XAFF4
960740.21000000
PA
USD
937032.73000000
0.226882352751
Long
DBT
USGA
US
N
2
2031-07-01
Fixed
2.00000000
N
N
N
N
N
N
MIDAMERICAN ENERGY COMPANY
NINLOILYRTLIMK26MZ18
MIDAMERICAN ENERGY CO 3.650000% 04/15/2029
595620AT2
140000.00000000
PA
USD
143899.22000000
0.034842105881
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.65000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
VALE OVERSEAS LTD 6.875000% 11/21/2036
91911TAH6
148000.00000000
PA
USD
178526.48000000
0.043226353268
Long
DBT
NUSS
BR
N
2
2036-11-21
Fixed
6.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM0068
3140X3CE6
59268.44000000
PA
USD
61120.36000000
0.014798982611
Long
DBT
USGA
US
N
2
2040-02-01
Fixed
3.50000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.750000% 04/15/2027
87264ABD6
20000.00000000
PA
USD
20116.91000000
0.004870877745
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20E 1
83162CXA6
312276.39000000
PA
USD
311145.67000000
0.075337242124
Long
ABS-MBS
US
N
2
2035-05-01
Fixed
2.77000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 3.750000% 11/14/2023
00287YBC2
20000.00000000
PA
USD
20382.33000000
0.004935143498
Long
DBT
CORP
US
N
2
2023-11-14
Fixed
3.75000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORPORATION TRUST
N/A
GS MORTGAGE SECURITIES CORP II GSMS 2018-SRP5 A
36255TAA0
582338.91000000
PA
USD
525230.97000000
0.127173400028
Long
ABS-MBS
US
N
2
2031-09-15
Floating
1.94699880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 991549
31415WQA4
4230.19000000
PA
USD
4492.52000000
0.001087767240
Long
DBT
USGA
US
N
2
2038-11-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G61242
31335BLX2
354069.56000000
PA
USD
377632.39000000
0.091435573566
Long
DBT
USGA
US
N
2
2045-12-01
Fixed
4.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 4.150000% 10/16/2028
29379VBT9
140000.00000000
PA
USD
145583.40000000
0.035249893900
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 2.550000% 02/15/2031
87264ACB9
190000.00000000
PA
USD
172292.27000000
0.041716873196
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP / REGENCY ENERGY FINANCE CORP 4.500000% 11/01/2023
75886AAJ7
60000.00000000
PA
USD
60910.96000000
0.014748280898
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA2658
3133KH5T9
52306.15000000
PA
USD
52812.31000000
0.012787366719
Long
DBT
USGA
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 1.900000% 08/15/2030
723787AQ0
70000.00000000
PA
USD
62052.36000000
0.015024646396
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.90000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 4.250000% 10/21/2025
38141GVR2
190000.00000000
PA
USD
194606.28000000
0.047119731523
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 3.500000% 11/15/2030
969457BX7
20000.00000000
PA
USD
19773.30000000
0.004787679962
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOT STACR 2022-DNA2 M1A
35564KRE1
235963.47000000
PA
USD
234540.16000000
0.056788862984
Long
DBT
USGA
US
Y
2
2042-02-25
Floating
1.39899960
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MORGAN STANLEY CAPITAL I TRUST 2019-BPR MSC 2019-BPR A
61769GAA5
320000.00000000
PA
USD
315730.21000000
0.076447290031
Long
ABS-MBS
US
N
2
2036-05-15
Floating
1.79700120
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 3.750000% 05/15/2030
29278NAQ6
220000.00000000
PA
USD
216426.88000000
0.052403121215
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 08/31/2025
91282CAJ0
730000.00000000
PA
USD
675421.10000000
0.163538714668
Long
SN
UST
US
N
2
2025-08-31
Fixed
0.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM4751
3140J9H53
85107.00000000
PA
USD
86813.36000000
0.021019990803
Long
DBT
USGA
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA VARIABLE RATE 04/12/2023
05964HAH8
200000.00000000
PA
USD
201080.86000000
0.048687412029
Long
DBT
NUSS
ES
N
2
2023-04-12
Floating
1.35829080
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 4.250000% 03/01/2027
00206RDQ2
150000.00000000
PA
USD
156813.87000000
0.037969111035
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.25000000
N
N
N
N
N
N
Corporacion Nacional del Cobre de Chile
549300UVMBCBCIPSUI70
CORP NACIONAL DEL COBRE DE CHILE 3.150000% 01/15/2051
P3143NBM5
420000.00000000
PA
USD
340084.68000000
0.082344201929
Long
DBT
NUSS
CL
N
2
2051-01-15
Fixed
3.15000000
N
N
N
N
N
N
CARGILL, INCORPORATED
QXZYQNMR4JZ5RIRN4T31
CARGILL INC 144A 1.375000% 07/23/2023
141781BL7
70000.00000000
PA
USD
69129.18000000
0.016738146384
Long
DBT
CORP
US
N
2
2023-07-23
Fixed
1.37500000
N
N
N
N
N
N
UBS-BAMLL TRUST
N/A
UBS-BAMLL TRUST UBSBM 2012-WRM A
90269PAA9
116000.00000000
PA
USD
115803.70000000
0.028039379065
Long
ABS-MBS
US
N
2
2030-06-10
Fixed
3.66300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2017-76 SB
3136AX4N2
144939.82000000
PA
USD
26767.96000000
0.006481286670
Long
DBT
USGA
US
N
2
2057-10-25
Floating
5.64342840
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.500000% 04/15/2025
87264ABB0
219000.00000000
PA
USD
220449.25000000
0.053377051730
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.550000% 03/05/2024
06051GHF9
80000.00000000
PA
USD
80456.74000000
0.019480871779
Long
DBT
CORP
US
N
2
2024-03-05
Fixed
3.55000000
N
N
N
N
N
N
HONDA MOTOR CO., LTD.
549300P7ZYCQJ36CCS16
HONDA MOTOR CO LTD 2.534000% 03/10/2027
438127AB8
632000.00000000
PA
USD
611759.34000000
0.148124386623
Long
DBT
CORP
JP
N
2
2027-03-10
Fixed
2.53400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS6340
3138WGBJ2
31019.87000000
PA
USD
31574.35000000
0.007645050791
Long
DBT
USGA
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 3.800000% 06/01/2024
212015AN1
190000.00000000
PA
USD
190695.40000000
0.046172795918
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.80000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 889151
31410GZQ9
23815.45000000
PA
USD
26212.66000000
0.006346832701
Long
DBT
USGA
US
N
2
2038-01-01
Fixed
6.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3445
3140X6ZK0
40238.43000000
PA
USD
41415.54000000
0.010027883610
Long
DBT
USGA
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 4.327000% 03/19/2050
30231GBG6
30000.00000000
PA
USD
33447.30000000
0.008098545412
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785359
3622AAZY3
92067.65000000
PA
USD
87584.57000000
0.021206722743
Long
DBT
USGA
US
N
2
2051-03-20
Fixed
2.00000000
N
N
N
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 0.750000% 05/01/2023
713448EY0
80000.00000000
PA
USD
78847.21000000
0.019091158654
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.75000000
N
N
N
N
N
N
N/A
N/A
US 5YR FUTR OPTN May22C 115 LONG
N/A
37.00000000
NC
USD
15898.44000000
0.003849465826
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Call
Purchased
N/A
Call Option 115 Apr 2022 on US 5Y NOTE e-CBOT Jun 2022
37000.00000000
115.00000000
USD
2022-04-25
XXXX
-6915.58000000
N
N
N
ATRIUM HOTEL PORTFOLIO TRUST
N/A
ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM AHPT 2017-ATRM C
04965JAE3
410000.00000000
PA
USD
399681.49000000
0.096774289626
Long
ABS-MBS
US
N
2
2036-12-15
Floating
2.04699960
N
N
N
N
N
N
MTN COMMERCIAL MORTGAGE TRUST
N/A
MTN COMMERCIAL MORTGAGE TRUST 2022-LPFL MTN 2022-LPFL A
62475WAA3
410000.00000000
PA
USD
408201.74000000
0.098837285191
Long
ABS-MBS
US
Y
2
2039-03-15
Floating
1.44690120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AU5890
3138X5RL3
1927.77000000
PA
USD
2011.11000000
0.000486947097
Long
DBT
USGA
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-127 IN
38382HY87
86998.76000000
PA
USD
12489.72000000
0.003024117480
Long
DBT
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
BP CAPITAL MARKETS AMERICA INC.
5493009NTB34VXE1T760
BP CAPITAL MARKETS AMERICA INC 3.790000% 02/06/2024
10373QAD2
80000.00000000
PA
USD
81387.72000000
0.019706288593
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
AIR LEASE CORPORATION
5493004NW4M4P8TMMK63
AIR LEASE CORP 3.375000% 07/01/2025
00914AAH5
100000.00000000
PA
USD
98558.65000000
0.023863860546
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA4446
31418D5G3
1302946.87000000
PA
USD
1222714.45000000
0.296054046222
Long
DBT
USGA
US
N
2
2041-10-01
Fixed
2.00000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 2.900000% 12/15/2022
444859BJ0
290000.00000000
PA
USD
292017.27000000
0.070705710847
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.90000000
N
N
N
N
N
N
NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION
4NYF266XZC35SCTGX023
NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP 2.850000% 01/27/2025
637432ND3
1060000.00000000
PA
USD
1053419.04000000
0.255062798317
Long
DBT
CORP
US
N
2
2025-01-27
Fixed
2.85000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3044
3140QNL26
199649.97000000
PA
USD
191387.34000000
0.046340334329
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 2.746000% 02/11/2033
902613AK4
575000.00000000
PA
USD
522490.71000000
0.126509904916
Long
DBT
NUSS
CH
N
2
2033-02-11
Fixed
2.74600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA2572
3133KH2D7
641592.27000000
PA
USD
646591.90000000
0.156558342996
Long
DBT
USGA
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5134
3133KYV30
78153.17000000
PA
USD
70822.47000000
0.017148140194
Long
DBT
USGA
US
N
2
2041-11-01
Fixed
1.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BL5850
3140HXQC7
96147.53000000
PA
USD
92648.76000000
0.022432907597
Long
DBT
USGA
US
N
2
2030-04-01
Fixed
2.26000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785220
3622AAVM3
91025.45000000
PA
USD
86705.85000000
0.020993959565
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.023000% 12/05/2024
46647PAY2
230000.00000000
PA
USD
233681.96000000
0.056581068283
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02300000
N
N
N
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST
N/A
ELLINGTON FINANCIAL MORTGAGE TRUST 2022-1 EFMT 2022-1 A1
31573CAA3
107273.43000000
PA
USD
101511.11000000
0.024578735331
Long
ABS-MBS
US
Y
2
2067-01-25
Floating
2.20600080
N
N
N
N
N
N
MAGALLANES, INC.
549300DXR29GD4N0A520
MAGALLANES INC 144A 4.054000% 03/15/2029
55903VAJ2
387000.00000000
PA
USD
388919.39000000
0.094168478228
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.05400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR4056
3140L2QJ5
89061.01000000
PA
USD
82919.63000000
0.020077207701
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841085
31288QF21
390849.94000000
PA
USD
401177.84000000
0.097136598644
Long
DBT
USGA
US
N
2
2047-09-01
Floating
2.43299880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0392
3140XFNJ6
397642.00000000
PA
USD
380083.15000000
0.092028972470
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.125000% 01/15/2045
455780BU9
200000.00000000
PA
USD
221120.44000000
0.053539565975
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
FORD CREDIT AUTO OWNER TRUST
N/A
FORD CREDIT AUTO OWNER TRUST 2020-REV2 FORDR 2020-2 A
34532JAA2
1144000.00000000
PA
USD
1060932.90000000
0.256882118155
Long
ABS-MBS
US
Y
2
2033-04-15
Fixed
1.06000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-186 IO
38378XW72
227810.05000000
PA
USD
3213.83000000
0.000778159917
Long
DBT
USGA
US
N
2
2054-08-16
Floating
0.39111120
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5193
36179TXW0
14158.36000000
PA
USD
14797.75000000
0.003582957380
Long
DBT
USGA
US
N
2
2048-05-20
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
US 10YR FUT OPTN May22C 124 SHORT
N/A
-27.00000000
NC
USD
-10546.88000000
-0.00255370049
N/A
DIR
US
N
1
MORGAN STANLEY & CO, INC
N/A
Call
Written
N/A
Call Option 124 Apr 2022 on US 10YR NOTE (Globex) Jun 2022
-27000.00000000
124.00000000
USD
2022-04-25
XXXX
7031.41000000
N
N
N
CIM TRUST
N/A
CIM TRUST 2020-INV1 CIM 2020-INV1 A2
12560AAB0
206378.81000000
PA
USD
201193.71000000
0.048714736233
Long
ABS-MBS
US
Y
2
2050-04-25
Floating
2.49999840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9387
3140XDND4
98815.45000000
PA
USD
91840.91000000
0.022237304069
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
WORKDAY, INC.
549300J0DYC0N31V7G13
WORKDAY INC 3.500000% 04/01/2027
98138HAG6
40000.00000000
PA
USD
39989.59000000
0.009682620440
Long
DBT
NUSS
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
NEWELL BRANDS INC.
549300LWGYFM1TVO1Z12
NEWELL BRANDS INC 4.350000% 04/01/2023
651229AV8
53000.00000000
PA
USD
53518.21000000
0.012958285245
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
4.35000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 784319
3622A2YQ9
104363.93000000
PA
USD
110975.93000000
0.026870438236
Long
DBT
USGA
US
N
2
2041-12-20
Fixed
4.50000000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 0.750000% 06/12/2023
89114QCG1
130000.00000000
PA
USD
127641.93000000
0.030905752233
Long
DBT
NUSS
CA
N
2
2023-06-12
Fixed
0.75000000
N
N
N
N
N
N
BP CAPITAL MARKETS AMERICA INC.
5493009NTB34VXE1T760
BP CAPITAL MARKETS AMERICA INC 3.633000% 04/06/2030
10373QBL3
50000.00000000
PA
USD
50913.09000000
0.012327511382
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
Cooperatieve Rabobank U.A.
DG3RU1DBUFHT4ZF9WN62
COOPERATIEVE RABOBANK UA 4.375000% 08/04/2025
21684AAC0
500000.00000000
PA
USD
508130.41000000
0.123032866659
Long
DBT
NUSS
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7910
3140XBYG9
94645.98000000
PA
USD
90991.78000000
0.022031705474
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.200000% 08/15/2026
674599CR4
130000.00000000
PA
USD
127725.00000000
0.030925865850
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.20000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 2.550000% 03/21/2031
92343VGJ7
350000.00000000
PA
USD
325167.50000000
0.078732327139
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
N/A
N/A
90DAY EURO$ FUTR JUN22 FINANCIAL COMMODITY FUTURE.
N/A
41.00000000
NC
USD
10093175.00000000
2.443845574888
N/A
DO
US
N
1
GOLDMAN, SACHS & CO.
N/A
Long
Interest Rate Futures
3M -- 90 Day EuroDollar Future (Consolidated) Jun 2022
2022-06-16
10092236.10000000
USD
938.90000000
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-167 OI
38379FFB0
53791.23000000
PA
USD
8874.68000000
0.002148813177
Long
DBT
USGA
US
N
2
2045-04-16
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K140 A2
3137H6LZ6
1098000.00000000
PA
USD
1039833.34000000
0.251773312815
Long
DBT
USGA
US
N
2
2032-01-25
Fixed
2.25000000
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 2.875000% 05/10/2026
822582BT8
90000.00000000
PA
USD
90182.26000000
0.021835697591
Long
DBT
NUSS
NL
N
2
2026-05-10
Fixed
2.87500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 3.750000% 02/25/2023
61746BDJ2
1110000.00000000
PA
USD
1127459.28000000
0.272990052416
Long
DBT
CORP
US
N
2
2023-02-25
Fixed
3.75000000
N
N
N
N
N
N
CHEVRON CORPORATION
N/A
CHEVRON CORP 1.554000% 05/11/2025
166764BW9
70000.00000000
PA
USD
67533.10000000
0.016351689888
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.55400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4310 SA
3137B7RN1
23738.62000000
PA
USD
3272.66000000
0.000792404338
Long
DBT
USGA
US
N
2
2044-02-15
Floating
5.55342840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BV3089
3140MGNF4
99810.41000000
PA
USD
95803.46000000
0.023196750455
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA7056
36179VZV5
282341.28000000
PA
USD
294125.54000000
0.071216183152
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
4.50000000
N
N
N
N
N
N
NVIDIA CORPORATION
549300S4KLFTLO7GSQ80
NVIDIA CORP 3.700000% 04/01/2060
67066GAJ3
90000.00000000
PA
USD
91113.72000000
0.022061230626
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.70000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 5.050000% 03/25/2048
126650CZ1
60000.00000000
PA
USD
67949.46000000
0.016452502521
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M CO 2.375000% 08/26/2029
88579YBJ9
30000.00000000
PA
USD
28529.25000000
0.006907745220
Long
DBT
CORP
US
N
2
2029-08-26
Fixed
2.37500000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.100000% 05/07/2041
168863DS4
460000.00000000
PA
USD
404689.60000000
0.097986895913
Long
DBT
NUSS
CL
N
2
2041-05-07
Fixed
3.10000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5818
36179UPB2
13366.28000000
PA
USD
13897.76000000
0.003365044129
Long
DBT
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.100000% 07/24/2023
06053FAA7
280000.00000000
PA
USD
286129.99000000
0.069280232424
Long
DBT
CORP
US
N
2
2023-07-24
Fixed
4.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3123
3140X6PH8
127772.00000000
PA
USD
123730.22000000
0.029958615661
Long
DBT
USGA
US
N
2
2038-03-01
Fixed
2.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 3.500000% 06/15/2023
91324PDJ8
20000.00000000
PA
USD
20262.74000000
0.004906187347
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS PASS-THROUGH TRUST 144A 5.773000% 01/10/2033
126650BV1
359997.78000000
PA
USD
393414.89000000
0.095256967012
Long
DBT
CORP
US
N
2
2033-01-10
Fixed
5.77300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 05/15/2024
91282CCC3
260000.00000000
PA
USD
248513.28000000
0.060172153918
Long
SN
UST
US
N
2
2024-05-15
Fixed
0.25000000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 1.150000% 06/12/2025
89114QCH9
80000.00000000
PA
USD
75500.87000000
0.018280914286
Long
DBT
NUSS
CA
N
2
2025-06-12
Fixed
1.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4415 IO
3137BF4Y4
24813.89000000
PA
USD
1034.94000000
0.000250588495
Long
DBT
USGA
US
N
2
2041-04-15
Floating
1.59238440
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 784085
3622A2RE4
1087093.60000000
PA
USD
1174526.11000000
0.284386274538
Long
DBT
USGA
US
N
2
2034-09-15
Fixed
4.60000000
N
N
N
N
N
N
UNION PACIFIC CORPORATION
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP 3.750000% 07/15/2025
907818ES3
20000.00000000
PA
USD
20495.24000000
0.004962482229
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 955183
31413TUG5
3203.09000000
PA
USD
3335.43000000
0.000807602745
Long
DBT
USGA
US
N
2
2037-11-01
Fixed
7.00000000
N
N
N
N
N
N
LINCOLN NATIONAL CORPORATION
EFQMQROEDSNBRIP7LE47
LINCOLN NATIONAL CORP 3.400000% 01/15/2031
534187BK4
451000.00000000
PA
USD
441559.65000000
0.106914186735
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZA2489
31329KXS8
140511.10000000
PA
USD
142383.15000000
0.034475022088
Long
DBT
USGA
US
N
2
2038-01-01
Fixed
3.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 4.300000% 07/22/2027
94974BGL8
200000.00000000
PA
USD
207671.05000000
0.050283085012
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
4.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR5649
3140L4H36
93899.71000000
PA
USD
87408.65000000
0.021164127493
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING III LLC
N/A
HERTZ VEHICLE FINANCING III LP HERTZ 2021-2A B
42806MAF6
160000.00000000
PA
USD
145635.95000000
0.035262617754
Long
ABS-MBS
US
Y
2
2027-12-27
Fixed
2.12000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 1M2
30711XAP9
100888.62000000
PA
USD
103868.27000000
0.025149471004
Long
DBT
USGA
US
N
2
2024-11-25
Floating
5.35656960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7900
3140XBX62
93904.23000000
PA
USD
90017.22000000
0.021795736699
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 3.622000% 04/01/2031
6174468P7
475000.00000000
PA
USD
472528.94000000
0.114412735241
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0552
3132DMTH8
91573.92000000
PA
USD
85226.25000000
0.020635706200
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5019
36179TSG1
106627.46000000
PA
USD
108163.77000000
0.026189534083
Long
DBT
USGA
US
N
2
2048-02-20
Fixed
3.50000000
N
N
N
N
N
N
NVIDIA CORPORATION
549300S4KLFTLO7GSQ80
NVIDIA CORP 3.500000% 04/01/2040
67066GAG9
130000.00000000
PA
USD
130947.55000000
0.031706137128
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5309
3140X83T2
91563.95000000
PA
USD
87789.04000000
0.021256230762
Long
DBT
USGA
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4335 SW
3137BAQX3
47275.04000000
PA
USD
6926.51000000
0.001677105649
Long
DBT
USGA
US
N
2
2044-05-15
Floating
5.60342880
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2021-NQM3 TRUST OBX 2021-NQM3 A1
67114JAA8
170214.85000000
PA
USD
159668.32000000
0.038660254804
Long
ABS-MBS
US
Y
2
2061-07-25
Floating
1.05400080
N
N
N
N
N
N
PROGRESS RESIDENTIAL MASTER TRUST
N/A
PROGRESS RESIDENTIAL 2022-SFR2 TRUST PROG 2022-SFR2 A
74332VAA3
980000.00000000
PA
USD
934520.06000000
0.226273963671
Long
ABS-MBS
US
Y
2
2027-04-17
Fixed
2.95000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
VALE OVERSEAS LTD 6.250000% 08/10/2026
91911TAP8
240000.00000000
PA
USD
263448.00000000
0.063788275643
Long
DBT
NUSS
BR
N
2
2026-08-10
Fixed
6.25000000
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC 3.700000% 05/09/2023
37045XBK1
190000.00000000
PA
USD
191897.17000000
0.046463778715
Long
DBT
CORP
US
N
2
2023-05-09
Fixed
3.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.875000% 02/15/2041
912810SW9
600000.00000000
PA
USD
534257.81000000
0.129359055482
Long
DBT
UST
US
N
1
2041-02-15
Fixed
1.87500000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2019-GC39 GSMS 2019-GC39 A2
36260JAB3
520000.00000000
PA
USD
517514.45000000
0.125305010422
Long
ABS-MBS
US
N
2
2052-05-10
Fixed
3.45700000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6555
3140XAH96
91757.50000000
PA
USD
85417.32000000
0.020681969697
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
PEACHTREE CORNERS FUNDING TRUST
N/A
PEACHTREE CORNERS FUNDING TRUST 144A 3.976000% 02/15/2025
70466WAA7
944000.00000000
PA
USD
955988.18000000
0.231472007900
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.97600000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.075000% 04/23/2029
172967LW9
240000.00000000
PA
USD
244603.30000000
0.059225436228
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.07500000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 4.250000% 11/21/2049
00287YCB3
30000.00000000
PA
USD
31131.50000000
0.007537824174
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
EOG RESOURCES, INC.
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC 4.150000% 01/15/2026
26875PAP6
160000.00000000
PA
USD
165673.54000000
0.040114289864
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0366
3140XFMQ1
98926.55000000
PA
USD
95292.82000000
0.023073109945
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES, INC.
PZ9HF5U52KPF0MH0QN75
HEALTHPEAK PROPERTIES INC 2.125000% 12/01/2028
42250PAD5
769000.00000000
PA
USD
707129.30000000
0.171216174363
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
2.12500000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 4.500000% 01/15/2030
25179MBF9
32000.00000000
PA
USD
33021.91000000
0.007995546359
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 784106
3622A2R38
16296.40000000
PA
USD
16672.52000000
0.004036892674
Long
DBT
USGA
US
N
2
2046-01-20
Fixed
3.50000000
N
N
N
N
N
N
THE PROCTER & GAMBLE COMPANY
2572IBTT8CCZW6AU4141
PROCTER & GAMBLE CO/THE 3.000000% 03/25/2030
742718FH7
40000.00000000
PA
USD
40218.47000000
0.009738038817
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.250000% 04/30/2028
91282CBZ3
200000.00000000
PA
USD
186312.50000000
0.045111570806
Long
SN
UST
US
N
1
2028-04-30
Fixed
1.25000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2014-20F 1
83162CWH2
616546.39000000
PA
USD
609274.97000000
0.147522849779
Long
ABS-MBS
US
N
2
2034-06-01
Fixed
2.99000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.950000% 10/15/2025
20030NCS8
210000.00000000
PA
USD
216869.58000000
0.052510311513
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 3.375000% 02/05/2024
91159HHV5
540000.00000000
PA
USD
547425.05000000
0.132547219881
Long
DBT
CORP
US
N
2
2024-02-05
Fixed
3.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9365
3140XDMP8
98062.21000000
PA
USD
97061.14000000
0.023501270658
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZT1408
3132ADR59
219919.64000000
PA
USD
214483.28000000
0.051932520214
Long
DBT
USGA
US
N
2
2032-10-01
Fixed
2.00000000
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2005-8 SLMA 2005-8 A5
78442GQS8
626250.79000000
PA
USD
600259.82000000
0.145340024807
Long
ABS-MBS
US
N
2
2040-01-25
Floating
0.42770880
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5078
36179TUB9
47928.00000000
PA
USD
49630.30000000
0.012016911332
Long
DBT
USGA
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC 2021-RPL6 TRUST CSMC 2021-RPL6 A1
12657GAA3
163274.70000000
PA
USD
154615.65000000
0.037436859269
Long
ABS-MBS
US
Y
2
2060-10-25
Floating
2.00000160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U95137
3132H5EK0
24497.80000000
PA
USD
25667.59000000
0.006214855705
Long
DBT
USGA
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
PALMER SQUARE CLO
N/A
PALMER SQUARE CLO 2013-2 LTD PLMRS 2013-2A A1A3
69688AAL5
693000.00000000
PA
USD
689474.02000000
0.166941327459
Long
ABS-CBDO
CORP
KY
Y
2
2031-10-17
Floating
1.24800120
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA2199
3140Q9NR0
83036.11000000
PA
USD
86977.87000000
0.021059823367
Long
DBT
USGA
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.750000% 08/15/2041
912810TA6
640000.00000000
PA
USD
554700.00000000
0.134308692793
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 3.800000% 04/01/2028
58013MFF6
280000.00000000
PA
USD
288088.08000000
0.069754341868
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.850000% 11/01/2042
92343VBG8
10000.00000000
PA
USD
9968.78000000
0.002413725997
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
3.85000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.300000% 05/06/2044
172967HS3
31000.00000000
PA
USD
35272.98000000
0.008540594618
Long
DBT
CORP
US
N
2
2044-05-06
Fixed
5.30000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 BC4732
3617B8HH4
101195.29000000
PA
USD
102441.51000000
0.024804011710
Long
DBT
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
BX TRUST
N/A
BX TRUST 2022-LBA6 BX 2022-LBA6 A
12433EAA9
110000.00000000
PA
USD
108075.11000000
0.026168066968
Long
ABS-MBS
US
Y
2
2039-01-15
Floating
1.30115880
N
N
N
N
N
N
VANTAGE DATA CENTERS ISSUER LLC
N/A
VANTAGE DATA CENTERS LLC VDC 2020-2A A2
92212KAC0
1000000.00000000
PA
USD
915068.90000000
0.221564282991
Long
ABS-MBS
US
Y
2
2045-09-15
Fixed
1.99200000
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA/THE 1.300000% 06/11/2025
064159VL7
70000.00000000
PA
USD
65950.44000000
0.015968482757
Long
DBT
NUSS
CA
N
2
2025-06-11
Fixed
1.30000000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 1.750000% 06/16/2022
694308JE8
100000.00000000
PA
USD
99886.44000000
0.024185356380
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-95 IO
38378KTM1
979917.87000000
PA
USD
15186.38000000
0.003677055788
Long
DBT
USGA
US
N
2
2047-04-16
Floating
0.52488000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2256
3140X5QJ5
92625.01000000
PA
USD
97787.99000000
0.023677261777
Long
DBT
USGA
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2749
31418CBT0
71396.23000000
PA
USD
69051.30000000
0.016719289415
Long
DBT
USGA
US
N
2
2036-09-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 4308
36202EYD5
5073.79000000
PA
USD
5331.09000000
0.001290808958
Long
DBT
USGA
US
N
2
2038-12-20
Fixed
5.00000000
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2021-B26 MORTGAGE TRUST BMARK 2021-B26 A3
08163EBA2
604000.00000000
PA
USD
573011.84000000
0.138742511602
Long
ABS-MBS
US
N
2
2054-06-15
Fixed
2.39100000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4654
36179TE35
29520.78000000
PA
USD
31178.14000000
0.007549117049
Long
DBT
USGA
US
N
2
2047-08-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 784571
3622A3CG3
77042.54000000
PA
USD
79300.99000000
0.019201031736
Long
DBT
USGA
US
N
2
2048-06-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 BT0812
3617MN3V3
65230.60000000
PA
USD
64344.62000000
0.015579667929
Long
DBT
USGA
US
N
2
2050-03-20
Fixed
3.00000000
N
N
N
N
N
N
INTEL CORPORATION
KNX4USFCNGPY45LOCE31
INTEL CORP 4.750000% 03/25/2050
458140BM1
10000.00000000
PA
USD
11645.34000000
0.002819668996
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.75000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4 NRZT 2019-NQM4 A1
64828EAA3
123896.04000000
PA
USD
123135.73000000
0.029814672674
Long
ABS-MBS
US
N
2
2059-09-25
Floating
2.49188040
N
N
N
N
N
N
CONTINENTAL RESOURCES, INC.
XXRTID9RYWOZ0UPIVR53
CONTINENTAL RESOURCES INC/OK 4.375000% 01/15/2028
212015AS0
120000.00000000
PA
USD
121656.00000000
0.029456387832
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.375000% 11/15/2040
912810ST6
880000.00000000
PA
USD
719434.37000000
0.174195582811
Long
DBT
UST
US
N
1
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZA5297
31329N3E6
538689.75000000
PA
USD
555549.22000000
0.134514313179
Long
DBT
USGA
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4203 PS
3137B2DY3
80584.05000000
PA
USD
9154.37000000
0.002216534105
Long
DBT
USGA
US
N
2
2042-09-15
Floating
5.85343080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-56 AS
3136APTN2
35553.96000000
PA
USD
6144.81000000
0.001487833781
Long
DBT
USGA
US
N
2
2045-08-25
Floating
5.69342880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0520
3140XFSJ1
99668.34000000
PA
USD
98319.83000000
0.023806035411
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BO1406
3140JVR46
287252.74000000
PA
USD
288814.56000000
0.069930243399
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
ALPHABET INC.
5493006MHB84DD0ZWV18
ALPHABET INC 2.050000% 08/15/2050
02079KAF4
70000.00000000
PA
USD
55219.02000000
0.013370099862
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0114
3140QKDU9
92145.65000000
PA
USD
89323.52000000
0.021627772141
Long
DBT
USGA
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 4.478000% 04/04/2031
95000U2L6
220000.00000000
PA
USD
232958.00000000
0.056405776917
Long
DBT
CORP
US
N
2
2031-04-04
Fixed
4.47800000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20K 1
83162CXK4
361930.43000000
PA
USD
360957.63000000
0.087398138524
Long
ABS-MBS
US
N
2
2035-11-01
Fixed
2.70000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
STANDARD CHARTERED PLC 144A 0.991000% 01/12/2025
853254BY5
670000.00000000
PA
USD
640039.76000000
0.154971883003
Long
DBT
NUSS
GB
N
2
2025-01-12
Fixed
0.99100000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-XL2 BX 2021-XL2 A
05609KAA7
117115.66000000
PA
USD
114621.59000000
0.027753156514
Long
ABS-MBS
US
Y
2
2038-10-15
Floating
1.08550080
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2019-B15 MORTGAGE TRUST BMARK 2019-B15 A5
08160KAE4
481000.00000000
PA
USD
465710.98000000
0.112761912643
Long
ABS-MBS
US
N
2
2072-12-15
Fixed
2.92800000
N
N
N
N
N
N
SALESFORCE.COM, INC.
RCGZFPDMRW58VJ54VR07
SALESFORCE.COM INC 1.500000% 07/15/2028
79466LAH7
510000.00000000
PA
USD
469152.24000000
0.113595139851
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
1.50000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2022-2 MORTGAGE LOAN TRUST COLT 2022-2 A1
19685EAA9
98080.22000000
PA
USD
95769.70000000
0.023188576196
Long
ABS-MBS
US
Y
2
2067-02-25
Fixed
2.99400000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.625000% 12/31/2027
91282CBB6
1760000.00000000
PA
USD
1586818.75000000
0.384214083312
Long
SN
UST
US
N
2
2027-12-31
Fixed
0.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA6871
3140QET51
1813499.72000000
PA
USD
1795024.17000000
0.434626554545
Long
DBT
USGA
US
N
2
2035-08-01
Fixed
2.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 1.734000% 07/22/2027
06051GJS9
2006000.00000000
PA
USD
1862942.05000000
0.451071410647
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73400000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-H18 NA
38375BUL4
90735.03000000
PA
USD
90687.98000000
0.021958146828
Long
DBT
USGA
US
N
2
2062-08-20
Floating
0.62628840
N
N
N
N
N
N
AEP TEXAS RESTORATION FUNDING LLC
N/A
AEP TEXAS RESTORATION FUNDING LLC AEPTC 2019-1 A2
00115BAB3
1646000.00000000
PA
USD
1591535.84000000
0.385356225356
Long
ABS-MBS
US
N
2
2031-08-01
Fixed
2.29390000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 3.700000% 03/23/2029
444859BT8
160000.00000000
PA
USD
160528.17000000
0.038868449016
Long
DBT
CORP
US
N
2
2029-03-23
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 4194
36202EUT4
16078.09000000
PA
USD
17404.10000000
0.004214029061
Long
DBT
USGA
US
N
2
2038-07-20
Fixed
5.50000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 4.500000% 04/01/2025
444859BM3
10000.00000000
PA
USD
10354.53000000
0.002507127075
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.200000% 10/21/2026
172967KY6
287000.00000000
PA
USD
284737.03000000
0.068942957074
Long
DBT
CORP
US
N
2
2026-10-21
Fixed
3.20000000
N
N
N
N
N
N
NEW JERSEY ST TRANSN TR FD AUTH
N/A
NEW JERSEY ST TRANSPRTN TRUST NEW JERSEY TRANSPORTATION TRUST FUND AUTHORITY
6461366P1
125000.00000000
PA
USD
125150.38000000
0.030302476907
Long
DBT
MUN
US
N
2
2023-06-15
Fixed
2.55100000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 3.950000% 02/15/2027
29379VBL6
150000.00000000
PA
USD
153682.81000000
0.037210992096
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2091
3140X5KD4
97269.75000000
PA
USD
98500.83000000
0.023849860674
Long
DBT
USGA
US
N
2
2049-12-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 3.004000% 12/20/2023
06051GHC6
258000.00000000
PA
USD
258651.42000000
0.062626886802
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00400000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.125000% 01/22/2024
06051GFB0
370000.00000000
PA
USD
379763.59000000
0.091951597879
Long
DBT
CORP
US
N
2
2024-01-22
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM1565
3140J5W39
135486.26000000
PA
USD
134668.51000000
0.032607087684
Long
DBT
USGA
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
U.S. BANCORP
N1GZ7BBF3NP8GI976H15
US BANCORP 1.450000% 05/12/2025
91159HHZ6
160000.00000000
PA
USD
152940.30000000
0.037031209245
Long
DBT
CORP
US
N
2
2025-05-12
Fixed
1.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA4414
3133KK3X5
84745.35000000
PA
USD
81044.66000000
0.019623223981
Long
DBT
USGA
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
ERP OPERATING LIMITED PARTNERSHIP
DX5HQV5MLU50FEWZ5072
ERP OPERATING LP 1.850000% 08/01/2031
26884ABN2
1066000.00000000
PA
USD
945941.36000000
0.229039386193
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
1.85000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 5.200000% 05/15/2049
195325DQ5
310000.00000000
PA
USD
264203.70000000
0.063971252169
Long
DBT
NUSS
CO
N
2
2049-05-15
Fixed
5.20000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 3.500000% 11/16/2026
38145GAH3
90000.00000000
PA
USD
90374.25000000
0.021882183846
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1727
3140X44M5
135296.86000000
PA
USD
144240.89000000
0.034924833934
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C24 A4
61765LAU4
473000.00000000
PA
USD
476603.36000000
0.115399268546
Long
ABS-MBS
US
N
2
2048-05-15
Fixed
3.73200000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M CO 3.700000% 04/15/2050
88579YBP5
150000.00000000
PA
USD
151403.91000000
0.036659205401
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.70000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.400000% 04/15/2026
674599CH6
80000.00000000
PA
USD
79500.00000000
0.019249217734
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.40000000
N
N
N
N
N
N
MANULIFE FINANCIAL CORP
5493007GBX87QOZACS27
MANULIFE FINANCIAL CORP 3.703000% 03/16/2032
56501RAN6
1046000.00000000
PA
USD
1055463.47000000
0.255557813137
Long
DBT
NUSS
CA
N
2
2032-03-16
Fixed
3.70300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZA6531
31329QHG9
550648.55000000
PA
USD
574033.64000000
0.138989918529
Long
DBT
USGA
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BP0661
3140K7WX7
1259772.40000000
PA
USD
1247299.39000000
0.302006761481
Long
DBT
USGA
US
N
2
2035-03-01
Fixed
2.50000000
N
N
N
N
N
N
Prosus N.V.
635400Z5LQ5F9OLVT688
PROSUS NV MTN 3.061000% 07/13/2031
74365PAF5
410000.00000000
PA
USD
340580.64000000
0.082464287992
Long
DBT
NUSS
CN
N
2
2031-07-13
Fixed
3.06100000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2012-CCRE5 MORTGAGE TRUST COMM 2012-CR5 A4
12623SAE0
700000.00000000
PA
USD
701799.70000000
0.169925726176
Long
ABS-MBS
US
N
2
2045-12-10
Fixed
2.77100000
N
N
N
N
N
N
MAGALLANES, INC.
549300DXR29GD4N0A520
MAGALLANES INC 144A 4.054000% 03/15/2029
55903VAJ2
60000.00000000
PA
USD
60297.58000000
0.014599764103
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.05400000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.375000% 01/31/2026
91282CBH3
1623000.00000000
PA
USD
1495378.95000000
0.362073899416
Long
SN
UST
US
N
2
2026-01-31
Fixed
0.37500000
N
N
N
N
N
N
HARDEES FUNDING LLC
N/A
HARDEE'S FUNDING LLC HNGRY 2021-1A A2
411707AK8
397000.00000000
PA
USD
360050.02000000
0.087178380253
Long
ABS-MBS
US
Y
2
2051-06-20
Fixed
2.86500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS9316
3132AAK52
78903.83000000
PA
USD
80771.35000000
0.019557047834
Long
DBT
USGA
US
N
2
2038-01-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS4583
3138WECV9
312231.04000000
PA
USD
325793.19000000
0.078883824535
Long
DBT
USGA
US
N
2
2045-03-01
Fixed
4.00000000
N
N
N
N
N
N
CommonSpirit Health
4SXHN5XW08IBO0UG2V58
COMMONSPIRIT HEALTH 4.200000% 08/01/2023
14916RAF1
473000.00000000
PA
USD
480233.16000000
0.116278146666
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
4.20000000
N
N
N
N
N
N
OBX TRUST
N/A
ONSLOW BAY MORTGAGE LOAN TRUST OBX 2021-NQM4 A1
67115DAA0
255381.98000000
PA
USD
240129.16000000
0.058142119310
Long
ABS-MBS
US
Y
2
2061-10-25
Floating
1.95699960
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 2.900000% 05/15/2025
29278NAP8
140000.00000000
PA
USD
136941.19000000
0.033157368340
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 3.600000% 02/01/2025
958667AB3
30000.00000000
PA
USD
29797.05000000
0.007214715764
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4165
3140X7TX7
325433.28000000
PA
USD
318903.52000000
0.077215638901
Long
DBT
USGA
US
N
2
2050-09-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3002
3140X6KQ3
34426.87000000
PA
USD
36140.79000000
0.008750716173
Long
DBT
USGA
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 783368
36241LW51
40670.51000000
PA
USD
43302.41000000
0.010484748660
Long
DBT
USGA
US
N
2
2041-07-20
Fixed
4.50000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2015-GC30 GSMS 2015-GC30 A3
36250GAN5
954992.97000000
PA
USD
941316.99000000
0.227919694306
Long
ABS-MBS
US
N
2
2050-05-10
Fixed
3.11900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G13546
3128MCET8
5450.27000000
PA
USD
5561.63000000
0.001346629268
Long
DBT
USGA
US
N
2
2024-04-01
Fixed
5.00000000
N
N
N
N
N
N
Rzeczpospolita Polska
259400R9L8QEP0TPXS31
REPUBLIC OF POLAND 3.250000% 04/06/2026
731011AU6
450000.00000000
PA
USD
458325.00000000
0.110973556201
Long
DBT
NUSS
PL
N
2
2026-04-06
Fixed
3.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2320
31418BSJ6
68132.52000000
PA
USD
67931.80000000
0.016448226531
Long
DBT
USGA
US
N
2
2035-07-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2012-C5 A4
61761AAZ1
1230205.10000000
PA
USD
1230060.43000000
0.297832717524
Long
ABS-MBS
US
N
2
2045-08-15
Fixed
3.17600000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BU2599
3140M33H1
99114.40000000
PA
USD
95256.70000000
0.023064364263
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS6562
3138WGJG0
54963.30000000
PA
USD
55989.35000000
0.013556618728
Long
DBT
USGA
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 2.125000% 09/15/2031
126650DR8
150000.00000000
PA
USD
134022.02000000
0.032450554014
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.12500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 3.875000% 12/15/2028
91324PDP4
30000.00000000
PA
USD
31455.21000000
0.007616203599
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 3.419000% 12/20/2028
06051GHD4
234000.00000000
PA
USD
231635.25000000
0.056085501410
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
PRKCM TRUST
N/A
PRKCM 2021-AFC2 TRUST PRKCM 2021-AFC2 A1
69361JAA4
154726.31000000
PA
USD
146156.14000000
0.035388570591
Long
ABS-MBS
US
Y
2
2056-11-25
Floating
2.07100080
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 4.223000% 05/01/2029
38141GWZ3
650000.00000000
PA
USD
665529.67000000
0.161143717312
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 890604
31410LNV0
236096.05000000
PA
USD
251098.14000000
0.060798022257
Long
DBT
USGA
US
N
2
2044-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q19615
3132JBDV2
26662.35000000
PA
USD
27863.97000000
0.006746661955
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA1664
31418AZ68
24006.17000000
PA
USD
25458.99000000
0.006164347695
Long
DBT
USGA
US
N
2
2043-11-01
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.375000% 01/31/2026
91282CBH3
90000.00000000
PA
USD
82923.05000000
0.020078035781
Long
SN
UST
US
N
2
2026-01-31
Fixed
0.37500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB COMPANY
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 2.600000% 05/16/2022
110122CL0
80000.00000000
PA
USD
80075.10000000
0.019388465848
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P CGCMT 2013-375P A
17320QAA7
190000.00000000
PA
USD
190084.78000000
0.046024947398
Long
ABS-MBS
US
N
2
2035-05-10
Fixed
3.25100000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.650000% 07/30/2045
172967JU6
28000.00000000
PA
USD
30741.26000000
0.007443335939
Long
DBT
CORP
US
N
2
2045-07-30
Fixed
4.65000000
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDING II
549300K1IE3K7YU6VG29
MASSMUTUAL GLOBAL FUNDING II MTN 0.850000% 06/09/2023
57629WCU2
220000.00000000
PA
USD
216135.07000000
0.052332465690
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
0.85000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0523
3140XFSM4
298625.89000000
PA
USD
285984.13000000
0.069244915558
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
BANK
N/A
BANK 2021-BNK36 BANK 2021-BN36 A5
06540DBH7
644000.00000000
PA
USD
602112.63000000
0.145788642960
Long
ABS-MBS
US
N
2
2064-09-15
Fixed
2.47000000
N
N
N
N
N
N
ELI LILLY AND COMPANY
FRDRIPF3EKNDJ2CQJL29
ELI LILLY & CO 2.350000% 05/15/2022
532457BQ0
170000.00000000
PA
USD
170257.47000000
0.041224190074
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
2.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0573
3132DMT62
85785.10000000
PA
USD
79963.09000000
0.019361345032
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3521
36179R4E6
132038.82000000
PA
USD
134875.12000000
0.032657113859
Long
DBT
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
FOX CORPORATION
549300DDU6FDRBIELS05
FOX CORP 4.709000% 01/25/2029
35137LAH8
30000.00000000
PA
USD
32027.69000000
0.007754817337
Long
DBT
CORP
US
N
2
2029-01-25
Fixed
4.70900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6460
3140XAFA5
89552.28000000
PA
USD
85956.39000000
0.020812493921
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.900000% 06/15/2047
437076BS0
10000.00000000
PA
USD
10416.09000000
0.002522032507
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
3.90000000
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEQUOIA MORTGAGE TRUST 2021-1 SEMT 2021-1 A1
81747KAA1
115472.39000000
PA
USD
106991.06000000
0.025905587541
Long
ABS-MBS
US
Y
2
2051-03-25
Floating
2.49999840
N
N
N
N
N
N
DELTA AIRLINES 2019-1 PASS THROUGH TRUST
N/A
DELTA AIR LINES 2019-1 CLASS AA PASS THROUGH TRUST 3.204000% 04/25/2024
24737BAA3
621000.00000000
PA
USD
621528.97000000
0.150489892724
Long
DBT
CORP
US
N
2
2024-04-25
Fixed
3.20400000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2021-A SMB 2021-A A2B
78448YAC5
380000.00000000
PA
USD
353766.24000000
0.085656897870
Long
ABS-MBS
US
Y
2
2053-01-15
Fixed
1.59000000
N
N
N
N
N
N
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2019-CO JPMDB 2019-COR6 A4
48129RAX3
537000.00000000
PA
USD
523697.97000000
0.126802216999
Long
ABS-MBS
US
N
2
2052-11-13
Fixed
3.05650000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS8951
3138WJ5M6
57833.67000000
PA
USD
58644.63000000
0.014199537758
Long
DBT
USGA
US
N
2
2047-03-01
Fixed
3.50000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 3.150000% 08/22/2027
023135BC9
470000.00000000
PA
USD
476027.80000000
0.115259909052
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7785
3140XBUK4
1187938.99000000
PA
USD
1216816.05000000
0.294625875331
Long
DBT
USGA
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
NEW YORK ST URBAN DEV CORP REV
N/A
NEW YORK ST URBAN DEV CORP REV NEW YORK STATE URBAN DEVELOPMENT CORP
6500358P6
665000.00000000
PA
USD
673684.97000000
0.163118348072
Long
DBT
MUN
US
N
2
2026-03-15
Fixed
3.35000000
N
N
N
N
N
N
MERRILL LYNCH MORTGAGE TRUST
N/A
MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2004 MLMI 2004-WMC5 M1
59020UMF9
158915.73000000
PA
USD
156715.76000000
0.037945355806
Long
ABS-MBS
US
N
2
2035-07-25
Floating
1.38656880
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 3.500000% 06/15/2024
125523BX7
160000.00000000
PA
USD
161861.96000000
0.039191397621
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 255935
31371MHL4
19228.80000000
PA
USD
20221.51000000
0.004896204388
Long
DBT
USGA
US
N
2
2025-11-01
Fixed
5.00000000
N
N
N
N
N
N
280 PARK AVENUE MORTGAGE TRUST COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES
N/A
280 PARK AVENUE 2017-280P MORTGAGE TRUST PRK 2017-280P A
90205FAA8
130000.00000000
PA
USD
129367.33000000
0.031323520790
Long
ABS-MBS
US
N
2
2034-09-15
Floating
1.18699920
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT A
05609VAA3
635000.00000000
PA
USD
618669.77000000
0.149797598845
Long
ABS-MBS
US
Y
2
2036-09-15
Floating
1.09657080
N
N
N
N
N
N
PROVIDENT FUNDING MORTGAGE LOAN TRUST
N/A
PROVIDENT FUNDING MORTGAGE TRUST 2021-INV1 PFMT 2021-INV1 A1
74387VAA7
575900.28000000
PA
USD
530053.43000000
0.128341055154
Long
ABS-MBS
US
Y
2
2051-08-25
Floating
2.49999840
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4780
36179TJZ9
15835.43000000
PA
USD
16671.09000000
0.004036546431
Long
DBT
USGA
US
N
2
2047-10-20
Fixed
4.50000000
N
N
N
N
N
N
CARLISLE COMPANIES INCORPORATED
XR64VGX1ZPX6G7ZN7Z11
CARLISLE COS INC 2.200000% 03/01/2032
142339AL4
634000.00000000
PA
USD
552350.73000000
0.133739867514
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
2.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE-ACES FNA 2019-M19 A2
3136B57A7
78955.55000000
PA
USD
77854.96000000
0.018850906625
Long
DBT
USGA
US
N
2
2029-09-25
Fixed
2.56000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8576
3140XCQ68
704667.42000000
PA
USD
699766.38000000
0.169433401404
Long
DBT
USGA
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ9226
3140KVHC7
87960.15000000
PA
USD
81902.02000000
0.019830815293
Long
DBT
USGA
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1074
3140XGFQ7
600000.00000000
PA
USD
593874.53000000
0.143793963958
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
US 5YR FUTR OPTN May22C 118.5
N/A
US 5YR FUTR OPTN May22C 118.5 SHORT
0148R1CL1
-10.00000000
NC
USD
-234.38000000
-0.00005675008
N/A
DIR
US
N
1
RJ O'BRIEN
N/A
Call
Written
N/A
N/A
-10000.00000000
118.50000000
USD
2022-04-25
XXXX
4420.20000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q19236
3132JAV69
18775.17000000
PA
USD
19552.27000000
0.004734162294
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-73 IA
3136AFRX4
40311.85000000
PA
USD
2589.56000000
0.000627006343
Long
DBT
USGA
US
N
2
2032-09-25
Fixed
3.00000000
N
N
N
N
N
N
PFIZER INC.
765LHXWGK1KXCLTFYQ30
PFIZER INC 2.625000% 04/01/2030
717081EW9
100000.00000000
PA
USD
97086.98000000
0.023507527259
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0849
3132DM5J0
99572.83000000
PA
USD
95699.12000000
0.023171486765
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.250000% 11/30/2026
91282CDK4
3410000.00000000
PA
USD
3226312.88000000
0.781182378686
Long
SN
UST
US
N
2
2026-11-30
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA2482
3140Q9XL2
59195.34000000
PA
USD
62005.99000000
0.015013418897
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS7740
3132A8S59
408384.52000000
PA
USD
404623.14000000
0.097970804051
Long
DBT
USGA
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.300000% 04/01/2027
20030NDK4
30000.00000000
PA
USD
30351.61000000
0.007348990559
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA MTN 5.017000% 06/26/2024
46115HAT4
200000.00000000
PA
USD
201568.67000000
0.048805524744
Long
DBT
NUSS
IT
N
2
2024-06-26
Fixed
5.01700000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AK5556
3138EAE60
1216970.11000000
PA
USD
1273080.65000000
0.308249139936
Long
DBT
USGA
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2020-2A A
05377RDY7
440000.00000000
PA
USD
416920.50000000
0.100948345689
Long
ABS-MBS
US
N
2
2027-02-20
Fixed
2.02000000
N
N
N
N
N
N
N/A
N/A
US 5YR FUTR OPTN May22C115.75 SHORT
0148R17W0
-44.00000000
NC
USD
-8250.00000000
-0.00199756033
N/A
DIR
US
N
1
RJ O'BRIEN
N/A
Call
Written
N/A
Call Option 115.75 Apr 2022 on US 5Y NOTE e-CBOT Jun 2022
-44000.00000000
115.75000000
USD
2022-04-25
XXXX
7056.71000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AU3751
3138X3EZ1
409330.59000000
PA
USD
426904.30000000
0.103365708457
Long
DBT
USGA
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
GLENCORE FUNDING LLC 144A 1.625000% 04/27/2026
378272BD9
90000.00000000
PA
USD
83112.34000000
0.020123868289
Long
DBT
CORP
AU
N
2
2026-04-27
Fixed
1.62500000
N
N
N
N
N
N
APPLE INC.
HWUPKR0MPOU8FGXBT394
APPLE INC 3.350000% 02/09/2027
037833CJ7
210000.00000000
PA
USD
214447.75000000
0.051923917387
Long
DBT
CORP
US
N
2
2027-02-09
Fixed
3.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1104
3140XGGN3
100000.00000000
PA
USD
95986.04000000
0.023240958281
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 3.500000% 03/01/2027
58013MFB5
20000.00000000
PA
USD
20350.40000000
0.004927412334
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3873
36179SJS7
41616.29000000
PA
USD
41454.83000000
0.010037396840
Long
DBT
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
INTERNATIONAL LEASE FINANCE CORPORATION
N/A
INTERNATIONAL LEASE FINANCE CORP 5.875000% 08/15/2022
459745GN9
400000.00000000
PA
USD
404883.66000000
0.098033883375
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BP2898
3140KAGG5
198486.77000000
PA
USD
204458.58000000
0.049505254390
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
Joint Stock Company National Company KazMunayGas
2138001H1M69RFJCSH88
KAZMUNAYGAS NATIONAL CO JSC 144A 5.375000% 04/24/2030
48667QAQ8
400000.00000000
PA
USD
383928.82000000
0.092960118875
Long
DBT
NUSS
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2015-55 IO
3136APB68
17198.50000000
PA
USD
615.29000000
0.000148979260
Long
DBT
USGA
US
N
2
2055-08-25
Floating
1.40169600
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 11/15/2041
912810TC2
1430000.00000000
PA
USD
1293926.56000000
0.313296529376
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
Republica de Colombia
549300MHDRBVRF6B9117
REPUBLIC OF COLOMBIA 3.125000% 04/15/2031
195325DS1
220000.00000000
PA
USD
186175.00000000
0.045078278133
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 4.900000% 01/15/2045
96950FAP9
90000.00000000
PA
USD
93952.57000000
0.022748597190
Long
DBT
CORP
US
N
2
2045-01-15
Fixed
4.90000000
N
N
N
N
N
N
SMALL BUSINESS INVESTMENT COMPANIES
N/A
SBA SMALL BUSINESS INVESTMENT COS SBIC 2019-10A 1
831641FM2
141313.69000000
PA
USD
140378.45000000
0.033989627034
Long
ABS-MBS
US
N
2
2029-03-10
Fixed
3.11300000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2017-C34 ASB
61767EAC8
615000.00000000
PA
USD
616127.11000000
0.149181948330
Long
ABS-MBS
US
N
2
2052-11-15
Fixed
3.35400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2832
31418CEE0
287855.07000000
PA
USD
287628.59000000
0.069643086232
Long
DBT
USGA
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3597
36179R7J2
52747.28000000
PA
USD
53768.02000000
0.013018771372
Long
DBT
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G08844
3128MJ5E6
17063.49000000
PA
USD
18056.33000000
0.004371952549
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BN1623
3140JHYV9
33813.38000000
PA
USD
35441.07000000
0.008581294002
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
90DAY EURO$ FUTR JUN23 FINANCIAL COMMODITY FUTURE.
N/A
41.00000000
NC
USD
9929175.00000000
2.404136496795
N/A
DO
US
N
1
RJ O'BRIEN
N/A
Long
Interest Rate Futures
3M -- 90 Day EuroDollar Future (Consolidated) Jun 2023
2023-06-22
10172295.83000000
USD
-243120.83000000
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 3.300000% 03/11/2041
715638DS8
340000.00000000
PA
USD
308679.20000000
0.074740039381
Long
DBT
NUSS
PE
N
2
2041-03-11
Fixed
3.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 05/31/2025
912828ZT0
7980000.00000000
PA
USD
7427010.90000000
1.798291194060
Long
SN
UST
US
N
1
2025-05-31
Fixed
0.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 870545
31409GES1
18819.64000000
PA
USD
18846.72000000
0.004563328513
Long
DBT
USGA
US
N
2
2036-03-01
Floating
2.03900040
N
N
N
N
N
N
DIAMONDBACK ENERGY, INC.
549300R22LSX6OHWEN64
DIAMONDBACK ENERGY INC 3.500000% 12/01/2029
25278XAN9
50000.00000000
PA
USD
49528.31000000
0.011992216643
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.106000% 04/08/2026
172967MQ1
150000.00000000
PA
USD
148725.07000000
0.036010581823
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.10600000
N
N
N
N
N
N
PT Perusahaan Listrik Negara (Persero)
254900OYVDRYS9J51J61
PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 5.450000% 05/21/2028
71568PAE9
370000.00000000
PA
USD
396825.00000000
0.096082651916
Long
DBT
NUSS
ID
N
2
2028-05-21
Fixed
5.45000000
N
N
N
N
N
N
SAN JOSE CALIF FING AUTH LEASE REV
N/A
SAN JOSE CA FING AUTH LEASE RE SAN JOSE FINANCING AUTHORITY
798153NF5
540000.00000000
PA
USD
507458.41000000
0.122870156290
Long
DBT
MUN
US
N
2
2026-06-01
Fixed
1.31100000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE EQUITIES, INC.
MGCJBT4MKTQBVLNUIS88
ALEXANDRIA REAL ESTATE EQUITIES INC 3.450000% 04/30/2025
015271AL3
802000.00000000
PA
USD
807093.85000000
0.195420443402
Long
DBT
CORP
US
N
2
2025-04-30
Fixed
3.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-93 UI
3136A8FA3
175604.34000000
PA
USD
8558.67000000
0.002072298142
Long
DBT
USGA
US
N
2
2027-09-25
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.593000% 07/21/2028
06051GGR4
210000.00000000
PA
USD
210365.51000000
0.050935490638
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
3.59300000
N
N
N
N
N
N
WENDYS FUNDING LLC
N/A
WENDY'S FUNDING LLC WEN 2021-1A A2I
95058XAK4
406925.00000000
PA
USD
361923.98000000
0.087632119424
Long
ABS-MBS
US
Y
2
2051-06-15
Fixed
2.37000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U99126
3132H7D84
330211.73000000
PA
USD
329323.45000000
0.079738601182
Long
DBT
USGA
US
N
2
2043-11-01
Fixed
3.00000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES
N/A
CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 CAS 2021-R03 1M2
20754AAB9
440000.00000000
PA
USD
416487.94000000
0.100843610574
Long
ABS-MBS
US
Y
2
2041-12-25
Floating
1.74899880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3141
3140X6P39
126164.22000000
PA
USD
127768.46000000
0.030936388755
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1517 X1
3137FWHG8
239643.88000000
PA
USD
31876.16000000
0.007718127602
Long
DBT
USGA
US
N
2
2035-07-25
Floating
1.33022160
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 3.500000% 07/01/2027
58013MFP4
10000.00000000
PA
USD
10163.48000000
0.002460868420
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.50000000
N
N
N
N
N
N
WIND RIVER CLO LTD.
N/A
WIND RIVER 2021-3 CLO LTD WINDR 2021-3A A
97316DAA4
614000.00000000
PA
USD
609102.74000000
0.147481147983
Long
ABS-CBDO
CORP
KY
Y
2
2033-07-20
Floating
1.40400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB1273
3140QLMX1
288745.09000000
PA
USD
268430.89000000
0.064994775448
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
Delta Air Lines 2015-1 Pass Through Trusts
N/A
DELTA AIR LINES 2015-1 CLASS AA PASS THROUGH TRUST 3.625000% 07/30/2027
24736XAA6
471921.93000000
PA
USD
467108.52000000
0.113100296942
Long
DBT
CORP
US
N
2
2027-07-30
Fixed
3.62500000
N
N
N
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 2.746000% 05/28/2025
05971KAE9
200000.00000000
PA
USD
194893.03000000
0.047189161878
Long
DBT
NUSS
ES
N
2
2025-05-28
Fixed
2.74600000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2021-61 KI
3136BGVA6
585734.41000000
PA
USD
87788.76000000
0.021256162966
Long
DBT
USGA
US
N
2
2049-04-25
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 5.500000% 09/13/2025
172967HB0
450000.00000000
PA
USD
480482.93000000
0.116338623108
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8210
3140XCDQ8
1517813.50000000
PA
USD
1497918.84000000
0.362688879235
Long
DBT
USGA
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 4.175000% 03/24/2028
05964HAQ8
200000.00000000
PA
USD
201014.39000000
0.048671317745
Long
DBT
NUSS
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR7191
3140L57D2
96487.43000000
PA
USD
89793.59000000
0.021741589497
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN BS8439
3617MKLU1
57104.23000000
PA
USD
58290.41000000
0.014113770992
Long
DBT
USGA
US
N
2
2050-05-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0653
3132DMWN1
95366.20000000
PA
USD
91299.99000000
0.022106331907
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 144A 2.355000% 03/15/2032
92343VGM0
437000.00000000
PA
USD
394705.00000000
0.095569339443
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2012-LC9 AS
46639EAJ0
380000.00000000
PA
USD
380403.26000000
0.092106480232
Long
ABS-MBS
US
N
2
2047-12-15
Fixed
3.35330000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 2.592000% 04/29/2031
06051GJB6
380000.00000000
PA
USD
350575.26000000
0.084884270590
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC CANADA MTN 6.350000% 01/30/2026
74815HBZ4
1010000.00000000
PA
USD
1117311.96000000
0.270533096792
Long
DBT
NUSS
CA
N
2
2026-01-30
Fixed
6.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5013 IN
3137FW3E8
91199.17000000
PA
USD
15461.57000000
0.003743687137
Long
DBT
USGA
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 3.550000% 03/10/2051
715638DT6
170000.00000000
PA
USD
158312.50000000
0.038331972107
Long
DBT
NUSS
PE
N
2
2051-03-10
Fixed
3.55000000
N
N
N
N
N
N
Daiwa Securities Group Inc.
353800WRC7Y23PWFJG38
DAIWA SECURITIES GROUP INC 144A 3.129000% 04/19/2022
234064AB9
50000.00000000
PA
USD
50038.10000000
0.012115651344
Long
DBT
NUSS
JP
N
2
2022-04-19
Fixed
3.12900000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BL3540
3140HU5A0
200000.00000000
PA
USD
198923.06000000
0.048164947097
Long
DBT
USGA
US
N
2
2029-08-01
Fixed
2.79000000
N
N
N
N
N
N
BURLINGTON NORTHERN SANTA FE, LLC
N/A
BURLINGTON NORTHERN SANTA FE LLC 4.550000% 09/01/2044
12189LAU5
10000.00000000
PA
USD
11084.50000000
0.002683873634
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
4.55000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC 1.700000% 05/12/2022
06739GCR8
200000.00000000
PA
USD
200100.93000000
0.048450143023
Long
DBT
NUSS
GB
N
2
2022-05-12
Fixed
1.70000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H09 FL
38380QAW2
76767.69000000
PA
USD
78862.94000000
0.019094967336
Long
DBT
USGA
US
N
2
2070-05-20
Floating
1.59856920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 5010 JI
3137FVQG0
260135.90000000
PA
USD
43886.77000000
0.010626238885
Long
DBT
USGA
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
Gobierno de Chile
549300FLZTJM5YJF8D34
REPUBLIC OF CHILE 3.500000% 01/31/2034
168863DV7
380000.00000000
PA
USD
374866.20000000
0.090765800062
Long
DBT
NUSS
CL
N
2
2034-01-31
Fixed
3.50000000
N
N
N
N
N
N
Mondelez International, Inc.
549300DV9GIB88LZ5P30
MONDELEZ INTERNATIONAL INC 1.500000% 05/04/2025
609207AU9
180000.00000000
PA
USD
171930.91000000
0.041629377632
Long
DBT
CORP
US
N
2
2025-05-04
Fixed
1.50000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SYSTEMS, INCORPORATED
N/A
AMERICAN TRANSMISSION SYSTEMS INC 144A 2.650000% 01/15/2032
030288AC8
60000.00000000
PA
USD
55451.82000000
0.013426467382
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2138
31418BLU8
35709.82000000
PA
USD
36156.48000000
0.008754515170
Long
DBT
USGA
US
N
2
2035-01-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.200000% 08/26/2024
06051GFH7
210000.00000000
PA
USD
215103.88000000
0.052082785177
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 992249
31415XH20
2665.50000000
PA
USD
2788.93000000
0.000675279507
Long
DBT
USGA
US
N
2
2038-11-01
Fixed
7.00000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.550000% 12/01/2033
00206RMM1
472000.00000000
PA
USD
419345.75000000
0.101535567894
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
TENCENT HOLDINGS LIMITED
254900N4SLUMW4XUYY11
TENCENT HOLDINGS LTD MTN 3.595000% 01/19/2028
88032WAG1
250000.00000000
PA
USD
243556.25000000
0.058971915556
Long
DBT
NUSS
CN
N
2
2028-01-19
Fixed
3.59500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AB9597
31417GUX2
24006.17000000
PA
USD
25077.31000000
0.006071932080
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4901
36179TNS0
36362.39000000
PA
USD
37654.15000000
0.009117143798
Long
DBT
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
MACQUARIE BANK LIMITED
4ZHCHI4KYZG2WVRT8631
MACQUARIE BANK LTD 144A 2.300000% 01/22/2025
55608PBE3
1188000.00000000
PA
USD
1154493.28000000
0.279535754959
Long
DBT
NUSS
AU
N
2
2025-01-22
Fixed
2.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9728
3140XDY26
2068202.84000000
PA
USD
1980020.57000000
0.479419459999
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 2.591000% 01/20/2028
09659W2T0
542000.00000000
PA
USD
510078.76000000
0.123504617770
Long
DBT
NUSS
FR
N
2
2028-01-20
Fixed
2.59100000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 BS8546
3617MKP78
52067.40000000
PA
USD
49694.11000000
0.012032361553
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
State of Kuwait
549300FSC1YD0D9XX589
KUWAIT INTERNATIONAL GOVERNMENT BOND 144A 3.500000% 03/20/2027
501499AB3
210000.00000000
PA
USD
218463.00000000
0.052896123947
Long
DBT
NUSS
KW
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
Pemerintah Republik Indonesia
529900FWX0GRR7WG5W79
INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 3.750000% 04/25/2022
Y20721BC2
370000.00000000
PA
USD
370488.46000000
0.089705824333
Long
DBT
NUSS
ID
N
2
2022-04-25
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4838
36179TLT0
93413.29000000
PA
USD
96733.58000000
0.023421959039
Long
DBT
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-26 HI
3136ADXW4
5384.22000000
PA
USD
109.47000000
0.000026505809
Long
DBT
USGA
US
N
2
2032-04-25
Fixed
3.00000000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FUNDING
635400DPNHEAUHB7ZI15
NEW YORK LIFE GLOBAL FUNDING 144A 0.950000% 06/24/2025
64952WDQ3
60000.00000000
PA
USD
56028.24000000
0.013566035107
Long
DBT
CORP
US
N
2
2025-06-24
Fixed
0.95000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.250000% 05/15/2050
912810SN9
3970000.00000000
PA
USD
2961061.74000000
0.716957511414
Long
DBT
UST
US
N
1
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
SEI Daily Income Trust: Government Fund; Class F Shares
N/A
SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)
783965593
6114222.14000000
NS
USD
6114222.14000000
1.480427588021
Long
STIV
RF
US
N
2
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3347
3140X6WH0
92899.01000000
PA
USD
94349.56000000
0.022844719793
Long
DBT
USGA
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA5576
3133KMFR1
283396.11000000
PA
USD
271312.52000000
0.065692500270
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4720
36179TG58
145328.10000000
PA
USD
150108.83000000
0.036345629591
Long
DBT
USGA
US
N
2
2047-09-20
Fixed
4.00000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC 2021-NQM7 CSMC 2021-NQM7 A1
12662QAA4
128742.66000000
PA
USD
121971.53000000
0.029532786645
Long
ABS-MBS
US
N
2
2066-10-25
Floating
1.75600080
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 2.083000% 04/22/2026
46647PBK1
130000.00000000
PA
USD
125450.73000000
0.030375200209
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
2.08300000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.083000% 03/20/2051
06051GJA8
40000.00000000
PA
USD
41393.18000000
0.010022469616
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08300000
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.500000% 02/12/2034
91087BAR1
1040000.00000000
PA
USD
966669.60000000
0.234058284369
Long
DBT
NUSS
MX
N
2
2034-02-12
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785221
3622AAVN1
88852.24000000
PA
USD
84528.34000000
0.020466722281
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Orbia Advance Corporation S.A.B. de CV
549300MVHZ20SBIOEQ79
ORBIA ADVANCE CORP SAB DE CV 144A 2.875000% 05/11/2031
68560EAB4
200000.00000000
PA
USD
176998.00000000
0.042856264660
Long
DBT
NUSS
MX
N
2
2031-05-11
Fixed
2.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K118 X1
3137F62P1
5723829.73000000
PA
USD
381013.02000000
0.092254120522
Long
DBT
USGA
US
N
2
2030-09-25
Floating
0.96030360
N
N
N
N
N
N
Mitsubishi UFJ Financial Group, Inc.
353800V2V8PUY9TK3E06
MITSUBISHI UFJ FINANCIAL GROUP INC 3.407000% 03/07/2024
606822BD5
510000.00000000
PA
USD
515223.26000000
0.124750247967
Long
DBT
NUSS
JP
N
2
2024-03-07
Fixed
3.40700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G06875
3128M86L3
105476.02000000
PA
USD
115531.19000000
0.027973396621
Long
DBT
USGA
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5875
3140X9Q57
375241.05000000
PA
USD
394462.09000000
0.095510524003
Long
DBT
USGA
US
N
2
2050-04-01
Fixed
4.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 5.200000% 12/01/2047
55336VBP4
50000.00000000
PA
USD
53044.36000000
0.012843552644
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
5.20000000
N
N
N
N
N
N
WORKDAY, INC.
549300J0DYC0N31V7G13
WORKDAY INC 3.700000% 04/01/2029
98138HAH4
30000.00000000
PA
USD
30067.02000000
0.007280083202
Long
DBT
NUSS
US
N
2
2029-04-01
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0926
3132DNA37
100000.00000000
PA
USD
95618.86000000
0.023152053529
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Sinopec Group Overseas Development (2014) Limited
549300ZIMV82UUECOQ45
SINOPEC GROUP OVERSEAS DEVELOPMENT 2014 LTD 144A 4.375000% 04/10/2024
82937WAE5
290000.00000000
PA
USD
297561.47000000
0.072048119815
Long
DBT
NUSS
CN
N
2
2024-04-10
Fixed
4.37500000
N
N
N
N
N
N
PAYPAL HOLDINGS, INC.
5493005X2GO78EFZ3E94
PAYPAL HOLDINGS INC 1.350000% 06/01/2023
70450YAF0
70000.00000000
PA
USD
69795.31000000
0.016899435459
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
1.35000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 783669
3622A2CE0
61072.69000000
PA
USD
61304.02000000
0.014843451936
Long
DBT
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2770
3140X6CG4
100923.49000000
PA
USD
101641.17000000
0.024610226567
Long
DBT
USGA
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 2.500000% 04/15/2027
437076CA8
450000.00000000
PA
USD
441718.57000000
0.106952665800
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.50000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.000000% 10/29/2028
00774MAW5
180000.00000000
PA
USD
165993.69000000
0.040191807311
Long
DBT
NUSS
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AP2422
3138M5VQ9
646401.25000000
PA
USD
659265.76000000
0.159627046023
Long
DBT
USGA
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BD8104
3140FGAE9
140342.41000000
PA
USD
139435.55000000
0.033761324048
Long
DBT
USGA
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC SERVICES, INC.
NKNQHM6BLECKVOQP7O46
REPUBLIC SERVICES INC 3.200000% 03/15/2025
760759AQ3
180000.00000000
PA
USD
180832.30000000
0.043784658063
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.20000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC 2022-NQM1 CSMC 2022-NQM1 A1
126416AA4
401500.87000000
PA
USD
386172.33000000
0.093503336642
Long
ABS-MBS
US
Y
2
2066-11-25
Floating
2.26500120
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 3.250000% 05/11/2025
822582BD3
150000.00000000
PA
USD
151627.74000000
0.036713401028
Long
DBT
NUSS
NL
N
2
2025-05-11
Fixed
3.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8275
3140XCFR4
73393.46000000
PA
USD
74294.29000000
0.017988766850
Long
DBT
USGA
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A1
64831TAA5
125850.56000000
PA
USD
120004.52000000
0.029056517415
Long
ABS-MBS
US
Y
2
2056-11-27
Floating
1.15611840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 735228
31402QYZ8
71728.89000000
PA
USD
78522.94000000
0.019012643637
Long
DBT
USGA
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U91671
3132HBW84
280833.43000000
PA
USD
286932.16000000
0.069474460663
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 2.610000% 10/15/2030
30231GBN1
100000.00000000
PA
USD
96385.96000000
0.023337790321
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.61000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0148
3140FXEW8
173451.02000000
PA
USD
185435.14000000
0.044899136923
Long
DBT
USGA
US
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2793
3140X6C74
71407.02000000
PA
USD
70171.39000000
0.016990495154
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.500000% 04/19/2026
06051GFX2
130000.00000000
PA
USD
131611.25000000
0.031866837830
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3250
3140X6TG6
239255.90000000
PA
USD
240976.91000000
0.058347383767
Long
DBT
USGA
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (APRIL)
01F030645
1700000.00000000
PA
USD
1662812.50000000
0.402614337906
Long
DBT
USGA
US
N
2
2051-04-15
Fixed
3.00000000
N
N
N
N
N
N
EOG RESOURCES, INC.
XWTZDRYZPBUHIQBKDB46
EOG RESOURCES INC 4.375000% 04/15/2030
26875PAU5
190000.00000000
PA
USD
205714.04000000
0.049809237068
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM9579
3140XDUD6
679286.66000000
PA
USD
634028.36000000
0.153516351588
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.375000% 08/15/2050
912810SP4
3760000.00000000
PA
USD
2894025.00000000
0.700726004440
Long
DBT
UST
US
N
1
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G08859
3128MJ5V8
52607.19000000
PA
USD
55686.41000000
0.013483268313
Long
DBT
USGA
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0583
3140XFUH2
99812.62000000
PA
USD
95681.89000000
0.023167314890
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 NRZT 2019-6A B1
64828GAS9
211959.02000000
PA
USD
214297.88000000
0.051887629585
Long
ABS-MBS
US
N
2
2059-09-25
Floating
3.99999960
N
N
N
N
N
N
ADOBE INC.
FU4LY2G4933NH2E1CP29
ADOBE INC 2.300000% 02/01/2030
00724PAD1
210000.00000000
PA
USD
198686.79000000
0.048107739391
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.30000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
ENERGY TRANSFER LP 4.950000% 06/15/2028
29278NAF0
10000.00000000
PA
USD
10502.39000000
0.002542928199
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2523
31418BYV2
66282.20000000
PA
USD
66139.47000000
0.016014252312
Long
DBT
USGA
US
N
2
2036-02-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-H08 BF
38375BN99
378190.54000000
PA
USD
376299.36000000
0.091112808979
Long
DBT
USGA
US
N
2
2063-03-20
Floating
0.50628960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6954
3140XAWQ1
656484.00000000
PA
USD
631139.06000000
0.152816769640
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 1.675000% 06/30/2027
09659W2Q6
290000.00000000
PA
USD
265181.87000000
0.064208095028
Long
DBT
NUSS
FR
N
2
2027-06-30
Fixed
1.67500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0499
3132DMRU1
1550384.52000000
PA
USD
1526553.20000000
0.369622074585
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL9397
3138ERNP1
76843.81000000
PA
USD
76269.55000000
0.018467033640
Long
DBT
USGA
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN 942165
31413DFE2
17040.02000000
PA
USD
18841.04000000
0.004561953223
Long
DBT
USGA
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-123 NI
38382HM98
87564.71000000
PA
USD
12713.39000000
0.003078274367
Long
DBT
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QD6093
3133B3XW2
197104.53000000
PA
USD
183169.43000000
0.044350543903
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 144A 3.375000% 01/12/2023
46115HBC0
200000.00000000
PA
USD
200414.05000000
0.048525958307
Long
DBT
NUSS
IT
N
2
2023-01-12
Fixed
3.37500000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2011-20J 1
83162CUH4
117259.54000000
PA
USD
114373.50000000
0.027693086849
Long
ABS-MBS
US
N
2
2031-10-01
Fixed
2.76000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2110
31418BKY1
68100.64000000
PA
USD
68952.37000000
0.016695335640
Long
DBT
USGA
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4085 IO
3137ARUW4
120676.09000000
PA
USD
5136.73000000
0.001243748858
Long
DBT
USGA
US
N
2
2027-06-15
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.625000% 11/30/2027
91282CAY7
1410000.00000000
PA
USD
1272965.63000000
0.308221290313
Long
SN
UST
US
N
1
2027-11-30
Fixed
0.62500000
N
N
N
N
N
N
CWHEQ REVOLVING HOME EQUITY LOAN TRUST
N/A
CWHEQ REVOLVING HOME EQUITY LOAN TRUST SERIES 2006 CWHEL 2006-F 2A1A
23242LAB9
179294.28000000
PA
USD
166816.12000000
0.040390941074
Long
ABS-MBS
US
N
2
2036-07-15
Floating
0.53656920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA6562
3133KNJF1
98533.87000000
PA
USD
94912.99000000
0.022981142268
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
SLG OFFICE TRUST
N/A
SLG OFFICE TRUST 2021-OVA SLG 2021-OVA A
78449RAA3
510000.00000000
PA
USD
474165.00000000
0.114808872036
Long
ABS-MBS
US
Y
2
2041-07-15
Fixed
2.58540000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3469
3140X62B6
115761.48000000
PA
USD
117601.51000000
0.028474680149
Long
DBT
USGA
US
N
2
2048-08-01
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.785000% 03/17/2033
172967NN7
150000.00000000
PA
USD
148699.29000000
0.036004339749
Long
DBT
CORP
US
N
2
2033-03-17
Fixed
3.78500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4068
36179SQV2
22703.13000000
PA
USD
22614.94000000
0.005475722064
Long
DBT
USGA
US
N
2
2046-11-20
Fixed
3.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP 4.550000% 02/01/2030
958667AC1
20000.00000000
PA
USD
19900.00000000
0.004818357646
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.55000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ1150
3140KLH47
82073.75000000
PA
USD
78581.18000000
0.019026745202
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.250000% 08/15/2031
91282CCS8
7010000.00000000
PA
USD
6372528.13000000
1.542970836367
Long
SN
UST
US
N
2
2031-08-15
Fixed
1.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.452000% 12/05/2029
46647PAX4
200000.00000000
PA
USD
208472.57000000
0.050477155868
Long
DBT
CORP
US
N
2
2029-12-05
Fixed
4.45200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BU1030
3140M2EC2
295936.32000000
PA
USD
275996.33000000
0.066826584276
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
ABBVIE INC.
FR5LCKFTG8054YNNRU85
ABBVIE INC 2.950000% 11/21/2026
00287YBV0
20000.00000000
PA
USD
19812.01000000
0.004797052757
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2015-FL7 D
46644PAG4
114920.47000000
PA
USD
105726.83000000
0.025599481396
Long
ABS-MBS
US
N
2
2028-05-15
Floating
4.14657000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1015
3140XGDV8
199048.13000000
PA
USD
185181.16000000
0.044837641120
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Adventist Health System
N/A
ADVENTIST HEALTH SYSTEM/WEST 2.433000% 09/01/2024
007944AE1
431000.00000000
PA
USD
421386.61000000
0.102029718316
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
2.43300000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2018-5 JPMMT 2018-5 A1
46649KAA3
71874.75000000
PA
USD
71101.60000000
0.017215725530
Long
ABS-MBS
US
N
2
2048-10-25
Floating
3.49999920
N
N
N
N
N
N
Coterra Energy Inc.
FCNMH6O7VWU7LHXMK351
COTERRA ENERGY INC 144A 4.375000% 06/01/2024
127097AB9
160000.00000000
PA
USD
163215.38000000
0.039519099209
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
4.37500000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2012-CCRE5 MORTGAGE TRUST COMM 2012-CR5 AM
12623SAJ9
590000.00000000
PA
USD
591472.58000000
0.143212383348
Long
ABS-MBS
US
N
2
2045-12-10
Fixed
3.22300000
N
N
N
N
N
N
CARRIER GLOBAL CORPORATION
549300JE3W6CWY2NAN77
CARRIER GLOBAL CORP 2.700000% 02/15/2031
14448CAL8
10000.00000000
PA
USD
9331.51000000
0.002259424751
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5944
3140X9TA3
79386.73000000
PA
USD
75973.31000000
0.018395305486
Long
DBT
USGA
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
STACK INFRASTRUCTURE ISSUER, LLC
N/A
STACK INFRASTRUCTURE ISSUER LLC SIDC 2019-1A A2
85236KAA0
458415.75000000
PA
USD
460465.60000000
0.111491856521
Long
ABS-MBS
US
N
2
2044-02-25
Fixed
4.54000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM4097
3140J8RT2
810818.65000000
PA
USD
855785.93000000
0.207210184910
Long
DBT
USGA
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 8.125000% 07/15/2039
172967EW7
12000.00000000
PA
USD
18166.97000000
0.004398741649
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1000
3140X4DE3
393554.34000000
PA
USD
389874.34000000
0.094399698863
Long
DBT
USGA
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QD8675
3133B6T83
100000.00000000
PA
USD
95674.51000000
0.023165527982
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841081
31288QFW5
151075.73000000
PA
USD
151844.60000000
0.036765909020
Long
DBT
USGA
US
N
2
2050-02-01
Floating
3.08900160
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785219
3622AAVL5
52417.70000000
PA
USD
49703.35000000
0.012034598820
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.625000% 11/15/2050
912810SS8
1400000.00000000
PA
USD
1147234.37000000
0.277778165788
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Province de Quebec
549300WN65YFEQH74Y36
PROVINCE OF QUEBEC 2.625000% 02/13/2023
748149AG6
500000.00000000
PA
USD
503635.00000000
0.121944399667
Long
DBT
NUSS
CA
N
2
2023-02-13
Fixed
2.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD7548
3132DVL52
1183345.81000000
PA
USD
1135846.25000000
0.275020777091
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
MASTERCARD INCORPORATED.
AR5L2ODV9HN37376R084
MASTERCARD INC 3.850000% 03/26/2050
57636QAQ7
10000.00000000
PA
USD
10565.00000000
0.002558087866
Long
DBT
CORP
US
N
2
2050-03-26
Fixed
3.85000000
N
N
N
N
N
N
GILEAD SCIENCES, INC.
549300WTZWR07K8MNV44
GILEAD SCIENCES INC 2.500000% 09/01/2023
375558BL6
50000.00000000
PA
USD
50091.06000000
0.012128474471
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
2.50000000
N
N
N
N
N
N
BECTON, DICKINSON AND COMPANY
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON AND CO 3.363000% 06/06/2024
075887BV0
186000.00000000
PA
USD
187548.64000000
0.045410875561
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0633
3132DMV28
66483.30000000
PA
USD
66665.68000000
0.016141662763
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
3.50000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 1.200000% 06/03/2027
023135BR6
20000.00000000
PA
USD
18449.17000000
0.004467070318
Long
DBT
CORP
US
N
2
2027-06-03
Fixed
1.20000000
N
N
N
N
N
N
AMAZON.COM, INC.
ZXTILKJKG63JELOEG630
AMAZON.COM INC 4.250000% 08/22/2057
023135BM7
10000.00000000
PA
USD
11303.66000000
0.002736938522
Long
DBT
CORP
US
N
2
2057-08-22
Fixed
4.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS8740
3138WJWA2
24780.07000000
PA
USD
25089.20000000
0.006074810988
Long
DBT
USGA
US
N
2
2037-02-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (JUNE)
21H030666
600000.00000000
PA
USD
589875.00000000
0.142825563659
Long
DBT
USGA
US
N
2
2051-06-15
Fixed
3.00000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2022-AHP BX 2022-AHP A
05610FAA5
630000.00000000
PA
USD
621747.38000000
0.150542776015
Long
ABS-MBS
US
Y
2
2039-01-17
Floating
1.29116160
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5018
36179TSF3
30192.48000000
PA
USD
30058.86000000
0.007278107433
Long
DBT
USGA
US
N
2
2048-02-20
Fixed
3.00000000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C1 JPMBB 2013-C15 B
46640NAK4
210000.00000000
PA
USD
212883.43000000
0.051545150893
Long
ABS-MBS
US
N
2
2045-11-15
Fixed
4.92670000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7796
3140XBUW8
76708.63000000
PA
USD
79437.91000000
0.019234183974
Long
DBT
USGA
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ6341
3140KSBK2
62682.35000000
PA
USD
61760.72000000
0.014954032033
Long
DBT
USGA
US
N
2
2050-11-01
Fixed
3.00000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25A 1
83162CN33
1089000.00000000
PA
USD
1048830.06000000
0.253951675358
Long
ABS-MBS
US
N
2
2047-01-01
Fixed
2.04000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA3210
31418CR89
61209.50000000
PA
USD
61739.64000000
0.014948927964
Long
DBT
USGA
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 4.200000% 01/31/2050
29379VBW2
10000.00000000
PA
USD
9922.73000000
0.002402575978
Long
DBT
CORP
US
N
2
2050-01-31
Fixed
4.20000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 784605
3622AAAE4
67522.47000000
PA
USD
72754.93000000
0.017616043884
Long
DBT
USGA
US
N
2
2042-01-15
Fixed
4.50000000
N
N
N
N
N
N
COMMONWEALTH EDISON COMPANY
D8YOXB8L2ZDC8P7Q0771
COMMONWEALTH EDISON CO 3.700000% 08/15/2028
202795JN1
468000.00000000
PA
USD
475506.71000000
0.115133738299
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
3.70000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL MASTER TRUST
N/A
PROGRESS RESIDENTIAL 2021-SFR2 TRUST PROG 2021-SFR2 A
74333DAA2
597000.00000000
PA
USD
555753.57000000
0.134563792144
Long
ABS-MBS
US
Y
2
2038-04-19
Fixed
1.54600000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 3.950000% 01/31/2060
29379VBZ5
10000.00000000
PA
USD
9296.99000000
0.002251066475
Long
DBT
CORP
US
N
2
2060-01-31
Fixed
3.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7148
3140XA5J7
823611.19000000
PA
USD
845958.69000000
0.204830729784
Long
DBT
USGA
US
N
2
2036-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G07697
3128M93E0
269798.00000000
PA
USD
287234.46000000
0.069547656116
Long
DBT
USGA
US
N
2
2038-06-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 2.572000% 10/20/2032
06051GKD0
240000.00000000
PA
USD
218079.24000000
0.052803204705
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
N
N/A
N/A
US 10YR FUT OPTN Jun22C 124 SHORT
N/A
-26.00000000
NC
USD
-20312.50000000
-0.00491823566
N/A
DIR
US
N
1
RJ O'BRIEN
N/A
Call
Written
N/A
Call Option 124 May 2022 on US 10YR NOTE (Globex) Jun 2022
-26000.00000000
124.00000000
USD
2022-05-23
XXXX
1048.77000000
N
N
N
TEXAS INSTRUMENTS INCORPORATED
WDJNR2L6D8RWOEB8T652
TEXAS INSTRUMENTS INC 1.750000% 05/04/2030
882508BJ2
40000.00000000
PA
USD
36397.86000000
0.008812960153
Long
DBT
CORP
US
N
2
2030-05-04
Fixed
1.75000000
N
N
N
N
N
N
GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST
N/A
GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2022-1 GOOD 2022-1GS B
38237JAB9
621140.67000000
PA
USD
582108.19000000
0.140944997410
Long
ABS-MBS
US
Y
2
2049-01-20
Fixed
2.94000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0582
3140XFUG4
99819.90000000
PA
USD
95681.73000000
0.023167276150
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-54 BS
3136AETS6
23310.67000000
PA
USD
3885.84000000
0.000940872707
Long
DBT
USGA
US
N
2
2043-06-25
Floating
5.69342880
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0394
3140XFNL1
197188.98000000
PA
USD
183514.97000000
0.044434208993
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
MICHIGAN FIN AUTH REV
N/A
MICHIGAN ST FIN AUTH REVENUE MICHIGAN FINANCE AUTHORITY
59447TUG6
755000.00000000
PA
USD
773887.68000000
0.187380282441
Long
DBT
MUN
US
N
2
2049-09-01
Floating
2.98800000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.400000% 06/10/2025
172967JT9
160000.00000000
PA
USD
164591.62000000
0.039852326170
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM3325
3140J7VT9
1449754.02000000
PA
USD
1442820.79000000
0.349348069660
Long
DBT
USGA
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
MERCK & CO., INC.
4YV9Y5M8S0BRK1RP0397
MERCK & CO INC 1.900000% 12/10/2028
58933YBD6
430000.00000000
PA
USD
404696.15000000
0.097988481855
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
1.90000000
N
N
N
N
N
N
MASTERCARD INCORPORATED.
AR5L2ODV9HN37376R084
MASTERCARD INC 3.375000% 04/01/2024
57636QAB0
60000.00000000
PA
USD
61069.40000000
0.014786643742
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.250000% 03/31/2028
91282CBS9
1280000.00000000
PA
USD
1193900.01000000
0.289077248368
Long
SN
UST
US
N
1
2028-03-31
Fixed
1.25000000
N
N
N
N
N
N
KIMBERLY-CLARK CORPORATION
MP3J6QPYPGN75NVW2S34
KIMBERLY-CLARK CORP 3.100000% 03/26/2030
494368CB7
20000.00000000
PA
USD
19932.26000000
0.004826168712
Long
DBT
CORP
US
N
2
2030-03-26
Fixed
3.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2336
3140X5S20
182292.77000000
PA
USD
187574.20000000
0.045417064366
Long
DBT
USGA
US
N
2
2050-01-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AN8693
3138LMUT8
118242.93000000
PA
USD
121916.62000000
0.029519491368
Long
DBT
USGA
US
N
2
2030-03-01
Fixed
3.46800000
N
N
N
N
N
N
HERTZ VEHICLE FINANCING III LLC
N/A
HERTZ VEHICLE FINANCING LLC HERTZ 2021-1A C
42806MAC3
210000.00000000
PA
USD
197744.51000000
0.047879586524
Long
ABS-MBS
US
Y
2
2025-12-26
Fixed
2.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BN6257
3140JN5T3
931833.81000000
PA
USD
952962.35000000
0.230739368145
Long
DBT
USGA
US
N
2
2049-04-01
Fixed
3.50000000
N
N
N
N
N
N
HOME PARTNERS OF AMERICA TRUST
N/A
HOME PARTNERS OF AMERICA 2022-1 TRUST HPA 2022-1 A
43730NAA4
1042000.00000000
PA
USD
1033160.71000000
0.250157678756
Long
ABS-MBS
US
N
2
2039-04-17
Fixed
3.93000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 3.000000% 02/15/2027
674599CM5
130000.00000000
PA
USD
127075.00000000
0.030768482308
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB3031
3140QNLM2
299508.53000000
PA
USD
286148.84000000
0.069284796547
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP 2.972000% 02/04/2033
06051GKK4
90000.00000000
PA
USD
84329.35000000
0.020418541126
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
TOYOTA MOTOR CORPORATION
5493006W3QUS5LMH6R84
TOYOTA MOTOR CORP 1.339000% 03/25/2026
892331AM1
210000.00000000
PA
USD
197935.26000000
0.047925772540
Long
DBT
NUSS
JP
N
2
2026-03-25
Fixed
1.33900000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 3.750000% 01/24/2024
95000U2C6
540000.00000000
PA
USD
549862.60000000
0.133137420267
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.203000% 07/23/2029
46647PAV8
100000.00000000
PA
USD
103416.69000000
0.025040130605
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.20300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1515 X1
3137FTZM2
2293180.32000000
PA
USD
319480.15000000
0.077355257472
Long
DBT
USGA
US
N
2
2035-02-25
Floating
1.51201440
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL4324
3138ELYW7
93599.53000000
PA
USD
103687.81000000
0.025105776491
Long
DBT
USGA
US
N
2
2040-05-01
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125% 01/15/2030
912828Z37
893000.00000000
PA
USD
1029991.70000000
0.249390371039
Long
DBT
USGA
US
N
2
2030-01-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
90DAY EURO$ FUTR DEC23 FINANCIAL COMMODITY FUTURE.
N/A
11.00000000
NC
USD
2666675.00000000
0.645678084291
N/A
DO
US
N
1
CITIGROUP GLOBAL MARKETS
N/A
Long
Interest Rate Futures
3M -- 90 Day EuroDollar Future (Consolidated) Dec 2023
2023-12-21
2663998.10000000
USD
2676.90000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0612
3140XFVE8
99753.00000000
PA
USD
92927.13000000
0.022500308915
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
WORKDAY, INC.
549300J0DYC0N31V7G13
WORKDAY INC 3.800000% 04/01/2032
98138HAJ0
20000.00000000
PA
USD
19961.94000000
0.004833355087
Long
DBT
NUSS
US
N
2
2032-04-01
Fixed
3.80000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERGY COMPANY
549300JD0S5IZJE9LY15
BERKSHIRE HATHAWAY ENERGY CO 3.700000% 07/15/2030
084659AV3
140000.00000000
PA
USD
143806.47000000
0.034819648460
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AQ4080
3138MKRA6
18667.06000000
PA
USD
19527.26000000
0.004728106660
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA2313
3133KHSA5
179398.26000000
PA
USD
181177.94000000
0.043868347367
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7960
3140XBZ29
282227.00000000
PA
USD
291835.04000000
0.070661587766
Long
DBT
USGA
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-181 WI
38382LXR7
438452.70000000
PA
USD
45950.68000000
0.011125970369
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-H21 FB
38375UAN0
279915.15000000
PA
USD
279976.87000000
0.067790386555
Long
DBT
USGA
US
N
2
2063-09-20
Floating
0.80628840
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5331
36179T4Q5
25977.81000000
PA
USD
27150.48000000
0.006573905674
Long
DBT
USGA
US
N
2
2048-07-20
Fixed
4.50000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN TRUST 2015-5 JPMMT 2015-5 A9
46644XAK8
37440.25000000
PA
USD
37669.07000000
0.009120756355
Long
ABS-MBS
US
N
2
2045-05-25
Floating
2.32011000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA5040
3133KLS57
377840.34000000
PA
USD
351435.38000000
0.085092530177
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
TRIUMPH RAIL LLC
N/A
TRP - TRIP RAIL MASTER FUNDING LLC TRP 2021-2 A
89683LAA8
282531.11000000
PA
USD
261094.99000000
0.063218544802
Long
ABS-MBS
US
Y
2
2051-06-19
Fixed
2.15000000
N
N
N
N
N
N
USAA CAPITAL CORPORATION
5493007XLF4LU3U2W757
USAA CAPITAL CORP 144A 2.125000% 05/01/2030
90327QD55
150000.00000000
PA
USD
138303.78000000
0.033487290247
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.12500000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.412000% 03/31/2031
172967MP3
100000.00000000
PA
USD
103815.47000000
0.025136686618
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41200000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.250000% 08/15/2049
912810SJ8
280000.00000000
PA
USD
266240.63000000
0.064464451025
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS4751
3132A5H40
40641.86000000
PA
USD
41116.05000000
0.009955368538
Long
DBT
USGA
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES CORPORATION TRUST
N/A
GS MORTGAGE SECURITIES CORP II GSMS 2018-SRP5 B
36255TAJ1
403880.21000000
PA
USD
328367.05000000
0.079507029461
Long
ABS-MBS
US
N
2
2031-09-15
Floating
3.14700120
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 3.300000% 07/01/2025
58013MFN9
50000.00000000
PA
USD
50560.75000000
0.012242199818
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.30000000
N
N
N
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 2.250000% 03/19/2025
713448EQ7
321000.00000000
PA
USD
317643.82000000
0.076910629598
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC NON GOLD POOL FH 841089
31288QF62
471447.06000000
PA
USD
484635.95000000
0.117344187714
Long
DBT
USGA
US
N
2
2047-06-01
Floating
1.90599840
N
N
N
N
N
N
RYDER SYSTEM, INC.
ZXJ6Y2OSPZXIVGRILD15
RYDER SYSTEM INC MTN 3.350000% 09/01/2025
78355HKR9
836000.00000000
PA
USD
836109.53000000
0.202445967201
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
3.35000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 3.700000% 01/31/2051
29379VBY8
80000.00000000
PA
USD
73199.60000000
0.017723711175
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
3.70000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
GLENCORE FUNDING LLC 144A 4.125000% 05/30/2023
378272AF5
890000.00000000
PA
USD
904168.80000000
0.218925057856
Long
DBT
CORP
AU
N
2
2023-05-30
Fixed
4.12500000
N
N
N
N
N
N
WENDYS FUNDING LLC
N/A
WENDY'S FUNDING LLC WEN 2021-1A A2II
95058XAL2
263012.50000000
PA
USD
232427.04000000
0.056277216355
Long
ABS-MBS
US
Y
2
2051-06-15
Fixed
2.77500000
N
N
N
N
N
N
COSTCO WHOLESALE CORPORATION
29DX7H14B9S6O3FD6V18
COSTCO WHOLESALE CORP 1.600000% 04/20/2030
22160KAP0
90000.00000000
PA
USD
80642.03000000
0.019525735773
Long
DBT
CORP
US
N
2
2030-04-20
Fixed
1.60000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 3.700000% 01/30/2026
58013MEY6
10000.00000000
PA
USD
10239.32000000
0.002479231448
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
3.70000000
N
N
N
N
N
N
STORE MASTER FUNDING LLC
N/A
STORE MASTER FUNDING I-VII STR 2018-1A A1
86212VAD6
369303.78000000
PA
USD
372808.10000000
0.090267475345
Long
ABS-MBS
US
N
2
2048-10-20
Fixed
3.96000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA5379
3140QC6R2
53318.17000000
PA
USD
56042.93000000
0.013569591975
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 4923
36202FPG5
114699.68000000
PA
USD
123110.35000000
0.029808527452
Long
DBT
USGA
US
N
2
2041-01-20
Fixed
4.50000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
INTESA SANPAOLO SPA 144A 3.125000% 07/14/2022
46115HAZ0
200000.00000000
PA
USD
200297.64000000
0.048497772125
Long
DBT
NUSS
IT
N
2
2022-07-14
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4 SCRT 2019-4 MA
35563PML0
889923.84000000
PA
USD
883841.74000000
0.214003296802
Long
ABS-MBS
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.150000% 03/01/2026
20030NBS9
30000.00000000
PA
USD
30260.81000000
0.007327005289
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM5956
3140JATN8
292095.80000000
PA
USD
306637.89000000
0.074245780001
Long
DBT
USGA
US
N
2
2038-09-01
Fixed
4.00000000
N
N
N
N
N
N
DUKE ENERGY FLORIDA, LLC
7MOHLM3DKE63RX2ZCN83
DUKE ENERGY FLORIDA LLC 3.200000% 01/15/2027
26444HAC5
440000.00000000
PA
USD
440510.67000000
0.106660198755
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.20000000
N
N
N
N
N
N
INTEL CORPORATION
KNX4USFCNGPY45LOCE31
INTEL CORP 3.700000% 07/29/2025
458140AS9
30000.00000000
PA
USD
30725.48000000
0.007439515151
Long
DBT
CORP
US
N
2
2025-07-29
Fixed
3.70000000
N
N
N
N
N
N
PACIFIC GAS AND ELECTRIC COMPANY
1HNPXZSMMB7HMBMVBS46
PACIFIC GAS AND ELECTRIC CO 2.100000% 08/01/2027
694308JF5
130000.00000000
PA
USD
116810.35000000
0.028283117745
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 784369
3622A22A9
306966.56000000
PA
USD
327863.85000000
0.079385190387
Long
DBT
USGA
US
N
2
2045-08-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4946
3140X8P84
107968.21000000
PA
USD
115934.89000000
0.028071143906
Long
DBT
USGA
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
SABEY DATA CENTER ISSUER, LLC
N/A
SABEY DATA CENTER ISSUER LLC SDCP 2020-1 A2
78520EAA4
339000.00000000
PA
USD
336721.68000000
0.081529923699
Long
ABS-MBS
US
N
2
2045-04-20
Fixed
3.81200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K740 X1
3137F72D6
7962877.60000000
PA
USD
282159.79000000
0.068318933755
Long
DBT
USGA
US
N
2
2027-09-25
Floating
0.75810960
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-1 SCRT 2019-1 MA
35563PJF7
514133.41000000
PA
USD
516675.75000000
0.125101937228
Long
ABS-MBS
US
N
2
2058-07-25
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA3641
3140QBBK3
366111.68000000
PA
USD
374210.93000000
0.090607140503
Long
DBT
USGA
US
N
2
2049-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QC5830
3133AQPP6
384316.21000000
PA
USD
368882.72000000
0.089317028875
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST
N/A
BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1
10569EAA9
60463.56000000
PA
USD
59016.81000000
0.014289653153
Long
ABS-MBS
US
Y
2
2060-03-25
Floating
0.96999840
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 3.043000% 03/01/2026
30231GAT9
150000.00000000
PA
USD
151383.88000000
0.036654355566
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.04300000
N
N
N
N
N
N
Ferguson Finance Plc
2138003A7ZEU931DZL61
FERGUSON FINANCE PLC 144A 4.500000% 10/24/2028
314890AA2
459000.00000000
PA
USD
472885.95000000
0.114499177546
Long
DBT
NUSS
US
N
2
2028-10-24
Fixed
4.50000000
N
N
N
N
N
N
STATE STREET CORPORATION
549300ZFEEJ2IP5VME73
STATE STREET CORP 3.152000% 03/30/2031
857477BN2
50000.00000000
PA
USD
49252.25000000
0.011925374643
Long
DBT
CORP
US
N
2
2031-03-30
Fixed
3.15200000
N
N
N
N
N
N
APPLE INC.
HWUPKR0MPOU8FGXBT394
APPLE INC 1.125000% 05/11/2025
037833DT4
130000.00000000
PA
USD
124125.71000000
0.030054375071
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.12500000
N
N
N
N
N
N
CURATORS UNIV MO SYS FACS REV
N/A
CURATORS OF THE UNIV OF MISSOU CURATORS OF THE UNIVERSITY OF MISSOURI/THE
231266MM6
725000.00000000
PA
USD
695841.59000000
0.168483097790
Long
DBT
MUN
US
N
2
2025-11-01
Fixed
1.71400000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 2.800000% 01/15/2051
20030NDL2
30000.00000000
PA
USD
25297.99000000
0.006125365003
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.80000000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2013-CCRE12 MORTGAGE TRUST COMM 2013-CR12 C
12591KAK1
10000.00000000
PA
USD
9655.94000000
0.002337978509
Long
ABS-MBS
US
N
2
2046-10-10
Floating
5.06292840
N
N
N
N
N
N
US 5YR FUTR OPTN May22C 116.5
N/A
US 5YR FUTR OPTN May22C 116.5 SHORT
0148R1938
-53.00000000
NC
USD
-4554.69000000
-0.00110282037
N/A
DIR
US
N
1
GOLDMAN, SACHS & CO.
N/A
Call
Written
N/A
N/A
-53000.00000000
116.50000000
USD
2022-04-25
XXXX
17072.37000000
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 144A 2.937000% 11/01/2056
20030NDT5
27000.00000000
PA
USD
22289.13000000
0.005396834169
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.93700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q19254
3132JAWQ4
31858.85000000
PA
USD
33308.02000000
0.008064821751
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BO2878
3140JXFU7
29726.58000000
PA
USD
29226.76000000
0.007076632288
Long
DBT
USGA
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QC9154
3133AUE38
98794.18000000
PA
USD
97269.93000000
0.023551824673
Long
DBT
USGA
US
N
2
2051-10-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.000000% 04/01/2024
06051GFF1
440000.00000000
PA
USD
451582.86000000
0.109341091787
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AT9657
3138WXWT0
23724.31000000
PA
USD
24772.59000000
0.005998150676
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q42618
3132WF4C0
609994.51000000
PA
USD
605500.96000000
0.146609054305
Long
DBT
USGA
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR2664
3140L06A0
82879.10000000
PA
USD
77284.13000000
0.018712692399
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 1.650000% 02/01/2028
00206RKG6
400000.00000000
PA
USD
364443.14000000
0.088242079919
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.150000% 10/15/2028
20030NCT6
80000.00000000
PA
USD
84065.53000000
0.020354662778
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
BPR TRUST
N/A
BPR TRUST 2021-TY BPR 2021-TY B
05592AAG5
370000.00000000
PA
USD
361660.68000000
0.087568366983
Long
ABS-MBS
US
Y
2
2038-09-15
Floating
1.54699920
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G61739
31335B4Y9
139990.12000000
PA
USD
138457.87000000
0.033524599831
Long
DBT
USGA
US
N
2
2048-09-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (MAY)
21H030658
1200000.00000000
PA
USD
1182796.87000000
0.286388861457
Long
DBT
USGA
US
N
2
2051-05-15
Fixed
3.00000000
N
N
N
N
N
N
MARS, INCORPORATED
54930073HKEO6GZBSS03
MARS INC 144A 2.700000% 04/01/2025
571676AA3
60000.00000000
PA
USD
59466.36000000
0.014398502031
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA3882
3133KKJ34
88239.96000000
PA
USD
82174.55000000
0.019896802580
Long
DBT
USGA
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (APRIL)
01F040644
100000.00000000
PA
USD
102062.50000000
0.024712242578
Long
DBT
USGA
US
N
2
2051-04-15
Fixed
4.00000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 3.625000% 09/01/2049
58013MFK5
10000.00000000
PA
USD
9574.70000000
0.002318307987
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BU2630
3140M34Q0
99625.38000000
PA
USD
92583.62000000
0.022417135345
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
US 10YR FUT OPTN May22C 127 SHORT
N/A
-23.00000000
NC
USD
-1437.50000000
-0.00034805975
N/A
DIR
US
N
1
RJ O'BRIEN
N/A
Call
Written
N/A
Call Option 127 Apr 2022 on US 10YR NOTE (Globex) Jun 2022
-23000.00000000
127.00000000
USD
2022-04-25
XXXX
13928.96000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO 3.000000% 10/23/2026
949746SH5
190000.00000000
PA
USD
187357.01000000
0.045364476471
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ3138
3140KNPY8
320010.16000000
PA
USD
305811.64000000
0.074045721308
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2013-124 SB
3136AHGQ7
27301.13000000
PA
USD
3975.41000000
0.000962560159
Long
DBT
USGA
US
N
2
2043-12-25
Floating
5.49343080
N
N
N
N
N
N
Shell International Finance B.V.
213800ITMMKU4Z7I4F78
SHELL INTERNATIONAL FINANCE BV 3.250000% 04/06/2050
822582CH3
110000.00000000
PA
USD
103187.27000000
0.024984581479
Long
DBT
NUSS
NL
N
2
2050-04-06
Fixed
3.25000000
N
N
N
N
N
N
US 5YR FUTR OPTN May22C 114.5
N/A
US 5YR FUTR OPTN May22C 114.5 LONG
0148R15T8
46.00000000
NC
USD
31625.00000000
0.007657314601
N/A
DIR
US
N
1
JEFFERIES LLC
N/A
Call
Purchased
N/A
N/A
46000.00000000
114.50000000
USD
2022-04-25
XXXX
7584.46000000
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 4696
36202FGD2
158093.14000000
PA
USD
168321.11000000
0.040755342083
Long
DBT
USGA
US
N
2
2040-05-20
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM5695
3140JAKH0
154649.51000000
PA
USD
159242.28000000
0.038557098367
Long
DBT
USGA
US
N
2
2049-02-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2013-C9 A4
61762DAW1
714000.00000000
PA
USD
713197.18000000
0.172685381197
Long
ABS-MBS
US
N
2
2046-05-15
Fixed
3.10200000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC 2021-RPL3 TRUST CSMC 2021-RPL3 M3
12661GAE9
120000.00000000
PA
USD
118160.82000000
0.028610105054
Long
ABS-MBS
US
Y
2
2060-01-25
Floating
3.88317960
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5931
3140X9SV8
83719.40000000
PA
USD
80064.62000000
0.019385928341
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB2375
3140QMT95
196281.73000000
PA
USD
187790.60000000
0.045469460978
Long
DBT
USGA
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA1711
31418A3V8
24991.14000000
PA
USD
26468.41000000
0.006408757071
Long
DBT
USGA
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
CSMC MORTGAGE BACKED TRUST
N/A
CSMC SERIES 2019-NQM1 CSMC 2019-NQM1 A3
12655VAC8
276280.87000000
PA
USD
269883.48000000
0.065346488922
Long
ABS-MBS
US
N
2
2059-10-25
Fixed
3.06400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8577
3140XCQ76
187699.03000000
PA
USD
185783.08000000
0.044983383122
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
MCDONALD'S CORPORATION
UE2136O97NLB5BYP9H04
MCDONALD'S CORP MTN 4.200000% 04/01/2050
58013MFR0
70000.00000000
PA
USD
73073.41000000
0.017693156976
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QA8518
3133A3PB8
523073.93000000
PA
USD
513856.62000000
0.124419345440
Long
DBT
USGA
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM1948
3140J6EW3
37083.37000000
PA
USD
41408.11000000
0.010026084595
Long
DBT
USGA
US
N
2
2041-07-01
Fixed
6.00000000
N
N
N
N
N
N
BENCHMARK MORTGAGE TRUST
N/A
BENCHMARK 2019-B12 MORTGAGE TRUST BMARK 2019-B12 A5
08162FAE3
703000.00000000
PA
USD
689316.46000000
0.166903177688
Long
ABS-MBS
US
N
2
2052-08-15
Fixed
3.11560000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4532
3140X8BA4
319070.06000000
PA
USD
313535.50000000
0.075915888136
Long
DBT
USGA
US
N
2
2050-09-01
Fixed
3.00000000
N
N
N
N
N
N
DIGITAL REALTY TRUST, L.P.
CD4SPTZ3YBTHY0C1AH38
DIGITAL REALTY TRUST LP 3.600000% 07/01/2029
25389JAU0
815000.00000000
PA
USD
811306.63000000
0.196440477610
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.60000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.750000% 04/01/2040
20030NDH1
20000.00000000
PA
USD
20132.26000000
0.004874594417
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 NRZT 2019-RPL3 A1
64830NAA9
220288.85000000
PA
USD
215369.51000000
0.052147101777
Long
ABS-MBS
US
N
2
2059-07-25
Floating
2.75000040
N
N
N
N
N
N
Estados Unidos Mexicanos
254900EGTWEU67VP6075
UNITED MEXICAN STATES 3.600000% 01/30/2025
91087BAA8
380000.00000000
PA
USD
389728.00000000
0.094364265774
Long
DBT
NUSS
MX
N
2
2025-01-30
Fixed
3.60000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 5.000000% 06/15/2045
25179MAU7
70000.00000000
PA
USD
76211.06000000
0.018452871543
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
BECTON, DICKINSON AND COMPANY
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON AND CO 4.685000% 12/15/2044
075887BG3
40000.00000000
PA
USD
42952.71000000
0.010400076315
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.68500000
N
N
N
N
N
N
MAD MORTGAGE TRUST
N/A
MAD MORTGAGE TRUST 2017-330M MAD 2017-330M A
55282MAA2
220000.00000000
PA
USD
215279.46000000
0.052125298103
Long
ABS-MBS
US
N
2
2034-08-15
Floating
2.97555840
N
N
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST
N/A
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2 UBSBB 2012-C2 XA
90269CAH3
208668.25000000
PA
USD
154.60000000
0.000037433069
Long
DBT
USGA
US
N
2
2063-05-10
Floating
1.29866400
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3663
36179SB89
17830.80000000
PA
USD
18167.23000000
0.004398804602
Long
DBT
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AQ4078
3138MKQ82
29221.07000000
PA
USD
30570.42000000
0.007401970701
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 3.875000% 09/10/2024
46625HJY7
290000.00000000
PA
USD
296223.26000000
0.071724101001
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7210
3140XBAL4
284064.78000000
PA
USD
264350.06000000
0.064006690100
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
TENNESSEE GAS PIPELINE COMPANY, L.L.C.
N/A
TENNESSEE GAS PIPELINE CO LLC 144A 2.900000% 03/01/2030
880451AZ2
160000.00000000
PA
USD
150093.15000000
0.036341833015
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.90000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 5.198000% 01/10/2030
09659W2H6
200000.00000000
PA
USD
213204.47000000
0.051622883835
Long
DBT
NUSS
FR
N
2
2030-01-10
Fixed
5.19800000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S 144A 3.773000% 03/28/2025
23636ABD2
310000.00000000
PA
USD
310711.78000000
0.075232184978
Long
DBT
NUSS
DK
N
2
2025-03-28
Fixed
3.77300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2012-101 BI
3136A76M9
4777.47000000
PA
USD
161.11000000
0.000039009326
Long
DBT
USGA
US
N
2
2027-09-25
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.250000% 10/22/2026
06051GFL8
10000.00000000
PA
USD
10292.72000000
0.002492161111
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
4.25000000
N
N
N
N
N
N
Republica del Peru
254900STKLK2DBJJZ530
REPUBLIC OF PERU 5.625000% 11/18/2050
715638BM3
180000.00000000
PA
USD
228407.40000000
0.055303946851
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.375000% 05/15/2051
912810SX7
1190000.00000000
PA
USD
1166107.04000000
0.282347777537
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.000000% 03/22/2050
92343VFD1
40000.00000000
PA
USD
40587.58000000
0.009827410876
Long
DBT
CORP
US
N
2
2050-03-22
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR4756
3140L3JA0
82846.79000000
PA
USD
77167.75000000
0.018684513481
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 NRZT 2018-RPL1 M2
64829VAD8
240000.00000000
PA
USD
232981.13000000
0.056411377349
Long
ABS-MBS
US
N
2
2057-12-25
Floating
3.49999920
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AT5860
3138WTQN9
607775.22000000
PA
USD
618914.01000000
0.149856736316
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
PRKCM TRUST
N/A
PRKCM 2021-AFC1 TRUST PRKCM 2021-AFC1 A1
69357TAA8
228613.61000000
PA
USD
212023.44000000
0.051336922783
Long
ABS-MBS
US
Y
2
2056-08-25
Floating
1.50999840
N
N
N
N
N
N
T-MOBILE USA, INC.
549300V2JRLO5DIFGE82
T-MOBILE USA INC 3.875000% 04/15/2030
87264ABF1
220000.00000000
PA
USD
220844.61000000
0.053472779664
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q41945
3132WFET2
17041.12000000
PA
USD
17866.07000000
0.004325885175
Long
DBT
USGA
US
N
2
2046-07-01
Fixed
4.50000000
N
N
N
N
N
N
OAK STREET INVESTMENT GRADE NET LEASE FUND LLC.
N/A
OAK STREET INVESTMENT GRADE NET LEASE FUND SERIES OAKIG 2021-1A A1
67190AAA4
962723.68000000
PA
USD
896394.62000000
0.217042707120
Long
ABS-MBS
US
Y
2
2051-01-20
Fixed
1.48000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QD5960
3133B3TR8
99235.41000000
PA
USD
92260.44000000
0.022338884249
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
The Bank of New York Mellon Corporation
WFLLPEPC7FZXENRZV188
BANK OF NEW YORK MELLON CORP/THE MTN 1.600000% 04/24/2025
06406RAN7
40000.00000000
PA
USD
38557.53000000
0.009335877864
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY MTN 3.772000% 01/24/2029
61744YAP3
150000.00000000
PA
USD
151170.47000000
0.036602682918
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
3.77200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1516 X1
3137FUZK3
846381.13000000
PA
USD
127848.66000000
0.030955807463
Long
DBT
USGA
US
N
2
2035-05-25
Floating
1.51151040
N
N
N
N
N
N
PIONEER NATURAL RESOURCES COMPANY
FY8JBF7CCL2VE4F1B628
PIONEER NATURAL RESOURCES CO 1.125000% 01/15/2026
723787AT4
50000.00000000
PA
USD
46369.63000000
0.011227410114
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.12500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 2.000000% 05/15/2030
91324PDX7
30000.00000000
PA
USD
27611.68000000
0.006685575350
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO 2.188000% 04/30/2026
95000U2N2
130000.00000000
PA
USD
125403.61000000
0.030363791113
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
2.18800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA1463
31418ATV0
261428.13000000
PA
USD
266928.27000000
0.064630948284
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB COMPANY
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 3.400000% 07/26/2029
110122CP1
16000.00000000
PA
USD
16284.59000000
0.003942963756
Long
DBT
CORP
US
N
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
BANCO SANTANDER, S.A.
5493006QMFDDMYWIAM13
BANCO SANTANDER SA 3.125000% 02/23/2023
05964HAE5
200000.00000000
PA
USD
201438.23000000
0.048773941499
Long
DBT
NUSS
ES
N
2
2023-02-23
Fixed
3.12500000
N
N
N
N
N
N
CREDIT AGRICOLE S.A. LONDON BRANCH
N/A
CREDIT AGRICOLE SA/LONDON MTN 1.907000% 06/16/2026
22535WAG2
250000.00000000
PA
USD
235989.94000000
0.057139896077
Long
DBT
NUSS
FR
N
2
2026-06-16
Fixed
1.90700000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL PLC
TINT358G1SSHR3L3PW36
ANGLO AMERICAN CAPITAL PLC 144A 3.625000% 09/11/2024
034863AS9
200000.00000000
PA
USD
199735.92000000
0.048361763690
Long
DBT
NUSS
ZA
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 4.000000% 01/22/2025
06051GFM6
80000.00000000
PA
USD
81464.78000000
0.019724947017
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.500000% 01/31/2027
912828Z78
7062000.00000000
PA
USD
6748623.75000000
1.634034314081
Long
SN
UST
US
N
2
2027-01-31
Fixed
1.50000000
N
N
N
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 1.600000% 04/17/2023
78015K7G3
120000.00000000
PA
USD
119395.27000000
0.028909000612
Long
DBT
NUSS
CA
N
2
2023-04-17
Fixed
1.60000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2013-20K 1
83162CVX8
520343.01000000
PA
USD
520982.88000000
0.126144816262
Long
ABS-MBS
US
N
2
2033-11-01
Fixed
3.38000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Z40125
3132FCD69
739512.30000000
PA
USD
820779.69000000
0.198734175654
Long
DBT
USGA
US
N
2
2035-03-01
Fixed
6.00000000
N
N
N
N
N
N
BECTON, DICKINSON AND COMPANY
ICE2EP6D98PQUILVRZ91
BECTON DICKINSON AND CO 3.734000% 12/15/2024
075887BF5
7000.00000000
PA
USD
7113.34000000
0.001722342521
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.73400000
N
N
N
N
N
N
BANQUE ROYALE DU CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA MTN 1.150000% 06/10/2025
78015K7H1
70000.00000000
PA
USD
66061.83000000
0.015995453453
Long
DBT
NUSS
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST
N/A
BX COMMERCIAL MORTGAGE TRUST 2022-LP2 BX 2022-LP2 A
05610HAA1
410000.00000000
PA
USD
401780.98000000
0.097282636043
Long
ABS-MBS
US
Y
2
2039-02-15
Floating
1.31789880
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.400000% 04/01/2030
20030NDG3
140000.00000000
PA
USD
141826.76000000
0.034340304198
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0809
3132DM3S2
196883.41000000
PA
USD
193170.35000000
0.046772051911
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 4747
36202FHY5
299029.73000000
PA
USD
327032.57000000
0.079183913787
Long
DBT
USGA
US
N
2
2040-07-20
Fixed
5.00000000
N
N
N
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 2.625000% 03/19/2027
713448ER5
10000.00000000
PA
USD
9937.81000000
0.002406227276
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
2.62500000
N
N
N
N
N
N
FLAGSTAR MORTGAGE TRUST
N/A
FLAGSTAR MORTGAGE TRUST 2018-2 FSMT 2018-2 A4
33851HAD5
8417.22000000
PA
USD
8411.95000000
0.002036773045
Long
ABS-MBS
US
N
2
2048-04-25
Floating
3.49999920
N
N
N
N
N
N
WENDYS FUNDING LLC
N/A
WENDY'S FUNDING LLC WEN 2021-1A A2I
95058XAK4
613365.00000000
PA
USD
545534.19000000
0.132089388738
Long
ABS-MBS
US
Y
2
2051-06-15
Fixed
2.37000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FEDERAL NATIONAL MORTGAGE ASSOCIATION 30YR TBA (JUNE)
01F040669
400000.00000000
PA
USD
405361.19000000
0.098149507009
Long
DBT
USGA
US
N
2
2045-06-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-160 YI
38382KQ97
181409.71000000
PA
USD
23698.15000000
0.005737998103
Long
DBT
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES T JPMCC 2022-ACB A
46593EAA3
300000.00000000
PA
USD
299340.51000000
0.072478876146
Long
ABS-MBS
US
Y
2
2039-03-15
Floating
1.45000080
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA8377
3140QGJX6
88959.20000000
PA
USD
84439.86000000
0.020445298749
Long
DBT
USGA
US
N
2
2035-12-01
Fixed
1.50000000
N
N
N
N
N
N
ORACLE CORPORATION
1Z4GXXU7ZHVWFCD8TV52
ORACLE CORP 1.650000% 03/25/2026
68389XCC7
150000.00000000
PA
USD
139875.81000000
0.033867923552
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
1.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA2790
3133KJC34
792353.89000000
PA
USD
757788.60000000
0.183482235947
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE MTN 4.000000% 03/03/2024
38141GVM3
420000.00000000
PA
USD
428580.29000000
0.103771513443
Long
DBT
CORP
US
N
2
2024-03-03
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA1995
36179QGC9
34853.50000000
PA
USD
35782.84000000
0.008664046267
Long
DBT
USGA
US
N
2
2044-06-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1266
3140X4MQ6
514411.07000000
PA
USD
545209.28000000
0.132010718759
Long
DBT
USGA
US
N
2
2049-07-01
Fixed
5.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 02/15/2050
912810SL3
850000.00000000
PA
USD
765630.86000000
0.185381070793
Long
DBT
UST
US
N
1
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 NRZT 2019-6A B2
64828GBB5
211959.02000000
PA
USD
214324.99000000
0.051894193690
Long
ABS-MBS
US
N
2
2059-09-25
Floating
4.25000160
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G61526
31335BVT0
449453.44000000
PA
USD
483220.09000000
0.117001367621
Long
DBT
USGA
US
N
2
2035-12-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QC4446
3133AN5F7
96579.92000000
PA
USD
92461.95000000
0.022387675568
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
NVIDIA CORPORATION
549300S4KLFTLO7GSQ80
NVIDIA CORP 3.500000% 04/01/2050
67066GAH7
290000.00000000
PA
USD
293076.90000000
0.070962277496
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 MSC 2015-UBS8 A4
61691ABL6
732000.00000000
PA
USD
739893.01000000
0.179149203137
Long
ABS-MBS
US
N
2
2048-12-15
Fixed
3.80900000
N
N
N
N
N
N
ALPHABET INC.
5493006MHB84DD0ZWV18
ALPHABET INC 0.800000% 08/15/2027
02079KAJ6
30000.00000000
PA
USD
27086.96000000
0.006558525670
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.80000000
N
N
N
N
N
N
PRINCIPAL LIFE GLOBAL FUNDING II
635400WSLKBQWSOIIT41
PRINCIPAL LIFE GLOBAL FUNDING II 144A 1.250000% 06/23/2025
74256LEE5
20000.00000000
PA
USD
18750.05000000
0.004539921949
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.875000% 02/15/2041
912810SW9
944000.00000000
PA
USD
840565.63000000
0.203524916121
Long
DBT
UST
US
N
1
2041-02-15
Fixed
1.87500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6780
3140XARA2
84776.70000000
PA
USD
81372.53000000
0.019702610660
Long
DBT
USGA
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0605
3140XFU74
597165.22000000
PA
USD
570648.50000000
0.138170279574
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS9588
3138WKUN3
105290.95000000
PA
USD
108829.94000000
0.026350832843
Long
DBT
USGA
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5265
36179TZ65
52912.41000000
PA
USD
55300.06000000
0.013389721957
Long
DBT
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2 SCRT 2020-2 MA
35563PQP7
334909.84000000
PA
USD
322473.90000000
0.078080129744
Long
ABS-MBS
US
N
2
2059-11-25
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR3290
3140L1UQ6
91231.27000000
PA
USD
84874.24000000
0.020550474538
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 3947 SG
3137AGE55
95310.28000000
PA
USD
12848.51000000
0.003110990774
Long
DBT
USGA
US
N
2
2041-10-15
Floating
5.55342840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS6328
3138WGA61
187085.65000000
PA
USD
189654.42000000
0.045920744966
Long
DBT
USGA
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
CVS HEALTH CORPORATION
549300EJG376EN5NQE29
CVS HEALTH CORP 1.750000% 08/21/2030
126650DN7
200000.00000000
PA
USD
175279.26000000
0.042440108679
Long
DBT
CORP
US
N
2
2030-08-21
Fixed
1.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.750000% 01/31/2028
91282CBJ9
2800000.00000000
PA
USD
2539906.26000000
0.614983756264
Long
SN
UST
US
N
2
2028-01-31
Fixed
0.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0331
3140XFLM1
198859.56000000
PA
USD
194947.78000000
0.047202418415
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
KINDER MORGAN, INC.
549300WR7IX8XE0TBO16
KINDER MORGAN INC 4.300000% 06/01/2025
49456BAF8
60000.00000000
PA
USD
61625.62000000
0.014921320470
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0349
3140XFL74
197899.87000000
PA
USD
183990.64000000
0.044549382269
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G18181
3128MMFX6
285.71000000
PA
USD
291.07000000
0.000070476349
Long
DBT
USGA
US
N
2
2022-05-01
Fixed
5.00000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
DEVON ENERGY CORP 5.250000% 10/15/2027
25179MBD4
64000.00000000
PA
USD
66350.58000000
0.016065368065
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
EQUATE Petrochemical B.V.
635400Y3Z5R4NJSMQ630
EQUATE PETROCHEMICAL BV MTN 2.625000% 04/28/2028
29441WAD7
230000.00000000
PA
USD
213037.50000000
0.051582455635
Long
DBT
NUSS
KW
N
2
2028-04-28
Fixed
2.62500000
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRUST
N/A
SMB PRIVATE EDUCATION LOAN TRUST 2021-C SMB 2021-C B
83208AAE3
170000.00000000
PA
USD
158698.60000000
0.038425457930
Long
ABS-MBS
US
Y
2
2053-01-15
Fixed
2.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZA5318
31329N4B1
213078.57000000
PA
USD
215542.67000000
0.052189028752
Long
DBT
USGA
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785218
3622AAVK7
88521.56000000
PA
USD
84188.16000000
0.020384354999
Long
DBT
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA5122
3140QCVQ6
529612.41000000
PA
USD
520652.16000000
0.126064739516
Long
DBT
USGA
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERATING, LP
L6D8A6MLSY454J2JXJ60
WESTERN MIDSTREAM OPERATING LP VARIABLE RATE 01/13/2023
958667AD9
20000.00000000
PA
USD
19800.00000000
0.004794144794
Long
DBT
CORP
US
N
2
2023-01-13
Floating
1.84443120
N
N
N
N
N
N
GENERAL MOTORS FINANCIAL COMPANY, INC.
5493008B6JBRUJ90QL97
GENERAL MOTORS FINANCIAL CO INC 3.100000% 01/12/2032
37045XDS2
30000.00000000
PA
USD
26964.46000000
0.006528864926
Long
DBT
CORP
US
N
2
2032-01-12
Fixed
3.10000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
STATE OF QATAR 3.250000% 06/02/2026
N/A
620000.00000000
PA
USD
631544.40000000
0.152914914017
Long
DBT
NUSS
QA
N
2
2026-06-02
Fixed
3.25000000
N
N
N
N
N
N
INTEL CORPORATION
KNX4USFCNGPY45LOCE31
INTEL CORP 1.600000% 08/12/2028
458140BT6
50000.00000000
PA
USD
45569.75000000
0.011033736350
Long
DBT
CORP
US
N
2
2028-08-12
Fixed
1.60000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4511
36179TAL9
378862.94000000
PA
USD
390338.54000000
0.094512094924
Long
DBT
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB COMPANY
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 2.900000% 07/26/2024
110122CM8
154000.00000000
PA
USD
155142.34000000
0.037564385942
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BC1509
3140EVVB0
38666.23000000
PA
USD
38376.80000000
0.009292117976
Long
DBT
USGA
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 2.875000% 04/15/2027
437076CN0
170000.00000000
PA
USD
169361.27000000
0.041007194490
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.87500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 3.750000% 07/15/2025
91324PCP5
30000.00000000
PA
USD
30852.46000000
0.007470260631
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4057 UI
3137ARKV7
56953.68000000
PA
USD
2176.37000000
0.000526961257
Long
DBT
USGA
US
N
2
2027-05-15
Fixed
3.00000000
N
N
N
N
N
N
COSTCO WHOLESALE CORPORATION
29DX7H14B9S6O3FD6V18
COSTCO WHOLESALE CORP 1.375000% 06/20/2027
22160KAN5
120000.00000000
PA
USD
111531.27000000
0.027004901891
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
1.37500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-85 IA
38378KUV9
886370.24000000
PA
USD
8269.13000000
0.002002192249
Long
DBT
USGA
US
N
2
2047-03-16
Floating
0.27171000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 3.615000% 03/15/2028
38141GZR8
30000.00000000
PA
USD
29957.99000000
0.007253683929
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.61500000
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING
N/A
AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2021-1A A
05377REH3
310000.00000000
PA
USD
287284.13000000
0.069559682640
Long
ABS-MBS
US
Y
2
2027-08-20
Fixed
1.38000000
N
N
N
N
N
N
SPIRIT REALTY, L.P.
549300GTBVIBJRX5BW73
SPIRIT REALTY LP 2.100000% 03/15/2028
84861TAH1
583000.00000000
PA
USD
527827.95000000
0.127802202964
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
2.10000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN AB9108
36178WDM8
138079.29000000
PA
USD
137526.88000000
0.033299180596
Long
DBT
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 4.375000% 10/15/2028
125523AH3
420000.00000000
PA
USD
441806.77000000
0.106974021536
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4451
36179S5L7
214873.20000000
PA
USD
217967.86000000
0.052776236429
Long
DBT
USGA
US
N
2
2047-05-20
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.520000% 11/03/2032
172967NE7
110000.00000000
PA
USD
98687.04000000
0.023894947427
Long
DBT
CORP
US
N
2
2032-11-03
Fixed
2.52000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZA6680
31329QM57
89455.26000000
PA
USD
92345.73000000
0.022359535391
Long
DBT
USGA
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZA5297
31329N3E6
84214.10000000
PA
USD
86849.76000000
0.021028804281
Long
DBT
USGA
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0037
3140XFBF7
93075.56000000
PA
USD
91741.61000000
0.022213260706
Long
DBT
USGA
US
N
2
2051-08-01
Fixed
3.00000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-4 NRZT 2019-4A A1B
64830WAD3
199363.71000000
PA
USD
198352.50000000
0.048026798246
Long
ABS-MBS
US
N
2
2058-12-25
Floating
3.49999920
N
N
N
N
N
N
FIRSTKEY HOMES TRUST
N/A
FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021-SFR1 A
33767WAA1
794290.15000000
PA
USD
736051.84000000
0.178219146311
Long
ABS-MBS
US
Y
2
2038-08-17
Fixed
1.53800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA6799
3140QERV6
1477021.60000000
PA
USD
1380319.05000000
0.334214615547
Long
DBT
USGA
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 2.572000% 06/03/2031
172967MS7
200000.00000000
PA
USD
183221.43000000
0.044363134586
Long
DBT
CORP
US
N
2
2031-06-03
Fixed
2.57200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS7738
3138WHS45
101268.55000000
PA
USD
100656.09000000
0.024371710599
Long
DBT
USGA
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
OBX TRUST
N/A
OBX 2021-NQM2 TRUST OBX 2021-NQM2 A3
670857AC5
255223.37000000
PA
USD
240374.76000000
0.058201586075
Long
ABS-MBS
US
Y
2
2061-05-25
Floating
1.56300120
N
N
N
N
N
N
AT&T INC.
549300Z40J86GGSTL398
AT&T INC 2.300000% 06/01/2027
00206RJX1
120000.00000000
PA
USD
114332.69000000
0.027683205584
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
Pepsico, Inc.
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 2.250000% 03/19/2025
713448EQ7
10000.00000000
PA
USD
9895.45000000
0.002395970712
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BO7625
3140K3PK2
35361.03000000
PA
USD
34667.11000000
0.008393896208
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB COMPANY
HLYYNH7UQUORYSJQCN42
BRISTOL-MYERS SQUIBB CO 3.200000% 06/15/2026
110122CN6
79000.00000000
PA
USD
80211.75000000
0.019421552711
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
METLIFE SECURITIZATION TRUST
N/A
METLIFE SECURITIZATION TRUST 2020-1 MST 2020-INV1 A2A
59166CAE9
317474.86000000
PA
USD
305040.20000000
0.073858933678
Long
ABS-MBS
US
Y
2
2050-05-25
Floating
2.49999840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.750000% 04/30/2026
91282CBW0
1990000.00000000
PA
USD
1853498.44000000
0.448784843288
Long
SN
UST
US
N
1
2026-04-30
Fixed
0.75000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H13 FA
38380QGQ9
452873.04000000
PA
USD
450437.17000000
0.109063687558
Long
DBT
USGA
US
N
2
2070-07-20
Floating
0.89857080
N
N
N
N
N
N
FRESB MORTGAGE TRUST
N/A
FRESB 2018-SB48 MORTGAGE TRUST FRESB 2018-SB48 A10F
30296RAP5
504270.65000000
PA
USD
494085.39000000
0.119632166683
Long
ABS-MBS
US
N
2
2028-02-25
Fixed
3.34473800
N
N
N
N
N
N
COMPAGNIE DE CHEMIN DE FER CANADIEN PACIFIQUE
54930036474DURYNB481
CANADIAN PACIFIC RAILWAY CO 2.450000% 12/02/2031
13645RBF0
330000.00000000
PA
USD
306486.41000000
0.074209102372
Long
DBT
NUSS
CA
N
2
2031-12-02
Fixed
2.45000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5762
36179UMK5
17561.56000000
PA
USD
17816.84000000
0.004313965188
Long
DBT
USGA
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK A/S 144A 4.298000% 04/01/2028
23636ABC4
240000.00000000
PA
USD
241934.63000000
0.058579275098
Long
DBT
NUSS
DK
N
2
2028-04-01
Fixed
4.29800000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 BD0384
3617BFM90
66924.51000000
PA
USD
68218.73000000
0.016517700469
Long
DBT
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.450000% 09/29/2027
172967KA8
120000.00000000
PA
USD
123772.37000000
0.029968821378
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
4.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BO2252
3140JWQE3
50765.61000000
PA
USD
51205.84000000
0.012398394508
Long
DBT
USGA
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR5633
3140L4HK8
91800.53000000
PA
USD
85456.40000000
0.020691432080
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
NXP B.V.
724500RKKW4NOJ9YQF60
NXP BV / NXP FUNDING LLC 144A 4.625000% 06/01/2023
62947QAV0
479000.00000000
PA
USD
486440.07000000
0.117781016629
Long
DBT
NUSS
CN
N
2
2023-06-01
Fixed
4.62500000
N
N
N
N
N
N
MASTR ASSET SECURITIZATION TRUST
N/A
MASTR ASSET BACKED SECURITIES TRUST 2007-NCW MABS 2007-NCW A1
576456AA5
163821.36000000
PA
USD
149685.43000000
0.036243112373
Long
ABS-MBS
US
N
2
2037-05-25
Floating
0.75656880
N
N
N
N
N
N
Continental Airlines
N/A
CONTINENTAL AIRLINES 2012-2 CLASS A PASS THROUGH T 4.000000% 10/29/2024
210795QB9
545883.75000000
PA
USD
544357.84000000
0.131804560848
Long
DBT
CORP
US
N
2
2024-10-29
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.000000% 08/15/2051
912810SZ2
790000.00000000
PA
USD
712728.13000000
0.172571810812
Long
DBT
UST
US
N
1
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE OR FREDDIE MAC 30YR TBA (MAY)
01F022659
900000.00000000
PA
USD
856876.32000000
0.207474199432
Long
DBT
USGA
US
N
2
2051-05-15
Fixed
2.50000000
N
N
N
N
N
N
TRINITY GREEN RAILCAR
N/A
TRP 2021 LLC TRP 2021-1 A
87267CAA6
493856.06000000
PA
USD
455442.16000000
0.110275538404
Long
ABS-MBS
US
Y
2
2051-06-19
Fixed
2.07000000
N
N
N
N
N
N
BBCMS TRUST
N/A
BBCMS MORTGAGE TRUST 2021-C9 BBCMS 2021-C9 A5
05493EAY8
563000.00000000
PA
USD
518309.23000000
0.125497449331
Long
ABS-MBS
US
N
2
2054-02-15
Fixed
2.29900000
N
N
N
N
N
N
Chevron U.S.A. Inc.
VA8TZDWPEZYU430RZ444
CHEVRON USA INC 3.850000% 01/15/2028
166756AR7
30000.00000000
PA
USD
31249.00000000
0.007566274276
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.85000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL4741
3138EMHT1
21666.41000000
PA
USD
22977.55000000
0.005563520288
Long
DBT
USGA
US
N
2
2044-01-01
Fixed
4.50000000
N
N
N
N
N
N
MAGALLANES, INC.
549300DXR29GD4N0A520
MAGALLANES INC 144A 4.279000% 03/15/2032
55903VAL7
400000.00000000
PA
USD
401779.47000000
0.097282270429
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.27900000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4781
36179TJ22
78535.75000000
PA
USD
83685.81000000
0.020262721735
Long
DBT
USGA
US
N
2
2047-10-20
Fixed
5.00000000
N
N
N
N
N
N
J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2012-C6 A3
46634SAC9
208756.15000000
PA
USD
208507.27000000
0.050485557728
Long
ABS-MBS
US
N
2
2045-05-15
Fixed
3.50740000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 5.013000% 04/04/2051
95000U2M4
380000.00000000
PA
USD
450972.77000000
0.109193371596
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019- NCMS 2019-FAME B
63873VAE3
410000.00000000
PA
USD
392398.70000000
0.095010918426
Long
ABS-MBS
US
N
2
2036-08-15
Fixed
3.65530000
N
N
N
N
N
N
TSMC ARIZONA CORPORATION
2549005GOBWLCSY63Q97
TSMC ARIZONA CORP 1.750000% 10/25/2026
872898AA9
230000.00000000
PA
USD
215542.65000000
0.052189023909
Long
DBT
CORP
TW
N
2
2026-10-25
Fixed
1.75000000
N
N
N
N
N
N
Teva Pharmaceutical Finance Company B.V.
549300Q840R30TDKVK53
TEVA PHARMACEUTICAL FINANCE CO BV 2.950000% 12/18/2022
88165FAG7
30000.00000000
PA
USD
29812.50000000
0.007218456650
Long
DBT
NUSS
IL
N
2
2022-12-18
Fixed
2.95000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3803
36179SGL5
18387.50000000
PA
USD
18713.00000000
0.004530951087
Long
DBT
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AT8394
3138WWKG3
28495.47000000
PA
USD
29762.91000000
0.007206449496
Long
DBT
USGA
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H04 FP
38380L2S1
144485.65000000
PA
USD
143994.02000000
0.034865059665
Long
DBT
USGA
US
N
2
2069-06-20
Floating
0.60629040
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2003-7 SLMA 2003-7A A5A
78442GHH2
106013.81000000
PA
USD
105165.35000000
0.025463531072
Long
ABS-MBS
US
N
2
2033-12-15
Floating
2.02600080
N
N
N
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 1.900000% 04/15/2027
92826CAL6
60000.00000000
PA
USD
57659.41000000
0.013960987893
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
1.90000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.125000% 08/31/2022
91282CAG6
350000.00000000
PA
USD
348837.89000000
0.084463603755
Long
SN
UST
US
N
1
2022-08-31
Fixed
0.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR SD0619
3132DMVL6
788754.72000000
PA
USD
811492.00000000
0.196485360974
Long
DBT
USGA
US
N
2
2050-07-01
Fixed
4.00000000
N
N
N
N
N
N
MSCCG TRUST
N/A
MSCG TRUST 2015-ALDR MSCCG 2015-ALDR A2
55352NAC1
410000.00000000
PA
USD
394835.99000000
0.095601055858
Long
ABS-MBS
US
N
2
2035-06-07
Floating
3.46232160
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C25 A5
46643PBE9
578000.00000000
PA
USD
581994.90000000
0.140917566669
Long
ABS-MBS
US
N
2
2047-11-15
Fixed
3.67200000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 2.250000% 02/15/2052
912810TD0
1206000.00000000
PA
USD
1156629.38000000
0.280052965702
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.750000% 08/15/2041
912810TA6
1610000.00000000
PA
USD
1395417.19000000
0.337870305915
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INCORPORATED
549300GHBMY8T5GXDE41
UNITEDHEALTH GROUP INC 4.450000% 12/15/2048
91324PDQ2
10000.00000000
PA
USD
11266.82000000
0.002728018507
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BO9169
3140K5FK8
995178.58000000
PA
USD
978030.40000000
0.236809058115
Long
DBT
USGA
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
SABEY DATA CENTER ISSUER, LLC
N/A
SABEY DATA CENTER ISSUER LLC SDCP 2021-1 A2
78520EAB2
1027000.00000000
PA
USD
959439.73000000
0.232307726610
Long
ABS-MBS
US
Y
2
2046-06-20
Fixed
1.88100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS1112
3140XGGW3
500000.00000000
PA
USD
465943.92000000
0.112818314062
Long
DBT
USGA
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6184
3140X92S3
172866.42000000
PA
USD
161085.45000000
0.039003382400
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
CITIGROUP COMMERCIAL MORTGAGE TRUST
N/A
CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 CGCMT 2016-P6 AAB
17291EAX9
771508.56000000
PA
USD
775272.83000000
0.187715666767
Long
ABS-MBS
US
N
2
2049-12-10
Fixed
3.51200000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
EXXON MOBIL CORP 2.992000% 03/19/2025
30231GBH4
270000.00000000
PA
USD
271207.25000000
0.065667011400
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99200000
N
N
N
N
N
N
SLC STUDENT LOAN TRUST
N/A
SLC STUDENT LOAN TRUST 2010-1 SLCLT 2010-1 A
78444WAA7
172373.11000000
PA
USD
172539.45000000
0.041776722525
Long
ABS-MBS
US
N
2
2042-11-25
Floating
1.37256840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7518
3140XBK82
465742.24000000
PA
USD
445883.97000000
0.107961227958
Long
DBT
USGA
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG Q05692
3132GL7D0
394288.59000000
PA
USD
412257.17000000
0.099819220475
Long
DBT
USGA
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Coterra Energy Inc.
FCNMH6O7VWU7LHXMK351
COTERRA ENERGY INC 144A 3.900000% 05/15/2027
127097AE3
160000.00000000
PA
USD
161165.09000000
0.039022665516
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE CORPORATION
B6Q2VFHD1797Q7NZ3E43
AMERICAN HONDA FINANCE CORP MTN 0.875000% 07/07/2023
02665WDK4
846000.00000000
PA
USD
831603.82000000
0.201355006285
Long
DBT
CORP
US
N
2
2023-07-07
Fixed
0.87500000
N
N
N
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 4.150000% 11/15/2030
11135FAQ4
60000.00000000
PA
USD
60809.33000000
0.014723673376
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5012
3140X8SA6
307424.25000000
PA
USD
322584.56000000
0.078106923686
Long
DBT
USGA
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM3259
3140J7TR6
776205.23000000
PA
USD
774840.68000000
0.187611030925
Long
DBT
USGA
US
N
2
2046-03-01
Fixed
3.00000000
N
N
N
N
N
N
EATON CORPORATION
0NZWDMRCE180888QQE14
EATON CORP 2.750000% 11/02/2022
278062AC8
450000.00000000
PA
USD
452446.11000000
0.109550109237
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.75000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 5.050000% 03/30/2029
161175BR4
220000.00000000
PA
USD
232941.12000000
0.056401689787
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.05000000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2013-CCRE12 MORTGAGE TRUST COMM 2013-CR12 B
12591KAH8
20000.00000000
PA
USD
19995.94000000
0.004841587457
Long
ABS-MBS
US
N
2
2046-10-10
Fixed
4.76200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0100
3140QKDE5
91509.17000000
PA
USD
89567.35000000
0.021686810339
Long
DBT
USGA
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
TREASURY BILL 0.000000% 10/06/2022
912796M89
312000.00000000
PA
USD
310306.58000000
0.075134074500
Long
DBT
UST
US
N
2
2022-10-06
None
0.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AY6181
3138YK2P7
36803.72000000
PA
USD
37494.44000000
0.009078473451
Long
DBT
USGA
US
N
2
2045-04-01
Fixed
3.50000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE B.V.
549300FNENFFSMO3GT38
PETROBRAS GLOBAL FINANCE BV 6.850000% 06/05/2115
71647NAN9
150000.00000000
PA
USD
140676.00000000
0.034061672376
Long
DBT
NUSS
BR
N
2
2115-06-05
Fixed
6.85000000
N
N
N
N
N
N
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST
N/A
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2 UBSBB 2012-C2 A4
90269CAD2
395091.63000000
PA
USD
394625.42000000
0.095550070855
Long
ABS-MBS
US
N
2
2063-05-10
Fixed
3.52500000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 734152
3620AMTH5
265805.32000000
PA
USD
277547.64000000
0.067202200678
Long
DBT
USGA
US
N
2
2041-01-15
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 144A 2.355000% 03/15/2032
92343VGM0
546000.00000000
PA
USD
493155.44000000
0.119406999262
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL 30YR TBA (MAY)
21H032654
400000.00000000
PA
USD
400937.50000000
0.097078405475
Long
DBT
USGA
US
N
2
2051-05-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G60985
31335BCW4
271423.29000000
PA
USD
269846.62000000
0.065337564065
Long
DBT
USGA
US
N
2
2047-05-01
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 4.005000% 04/23/2029
46647PAR7
100000.00000000
PA
USD
102239.97000000
0.024755213127
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.00500000
N
N
N
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST
N/A
RESIDENTIAL MORTGAGE LOAN TRUST 2019-3 RMLT 2019-3 A3
76119NAC1
104536.20000000
PA
USD
103073.60000000
0.024957058730
Long
ABS-MBS
US
N
2
2059-09-25
Floating
3.04400160
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA1253
31418AMB1
37010.55000000
PA
USD
38728.23000000
0.009377209204
Long
DBT
USGA
US
N
2
2042-11-01
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 1.514000% 06/01/2024
46647PBQ8
210000.00000000
PA
USD
207158.95000000
0.050159090995
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
1.51400000
N
N
N
N
N
N
APPLE INC.
HWUPKR0MPOU8FGXBT394
APPLE INC 2.900000% 09/12/2027
037833DB3
110000.00000000
PA
USD
110234.16000000
0.026690834560
Long
DBT
CORP
US
N
2
2027-09-12
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG G02469
3128M4CE1
19246.86000000
PA
USD
21101.44000000
0.005109260541
Long
DBT
USGA
US
N
2
2036-12-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3937
36179SLS4
20222.78000000
PA
USD
20564.37000000
0.004979220574
Long
DBT
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CA6097
3140QDX33
789825.29000000
PA
USD
792027.19000000
0.191772375240
Long
DBT
USGA
US
N
2
2050-06-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0222
3140FXG89
136353.57000000
PA
USD
145420.00000000
0.035210330099
Long
DBT
USGA
US
N
2
2057-09-01
Fixed
4.50000000
N
N
N
N
N
N
SLM PRIVATE CREDIT STUDENT LOAN TRUST
N/A
SLM PRIVATE CREDIT STUDENT LOAN TRUST 2006-A SLMA 2006-A A5
78443CCL6
190872.87000000
PA
USD
183537.22000000
0.044439596353
Long
ABS-MBS
US
N
2
2039-06-15
Floating
1.11600000
N
N
N
N
N
N
THE COCA-COLA COMPANY
UWJKFUJFZ02DKWI3RY53
COCA-COLA CO/THE 2.600000% 06/01/2050
191216CX6
10000.00000000
PA
USD
8542.00000000
0.002068261860
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR5632
3140L4HJ1
749936.33000000
PA
USD
698643.36000000
0.169161486228
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
CREDIT SUISSE AG (NEW YORK BRANCH)
549300D0YARF5HYP1809
CREDIT SUISSE AG/NEW YORK NY 2.950000% 04/09/2025
22550L2C4
250000.00000000
PA
USD
247253.33000000
0.059867084083
Long
DBT
NUSS
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 5313
36202F3W4
253900.69000000
PA
USD
249069.37000000
0.060306799170
Long
DBT
USGA
US
N
2
2027-02-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC STRIPS FHS 334 S7
31325VKQ6
25528.66000000
PA
USD
4064.96000000
0.000984242768
Long
DBT
USGA
US
N
2
2044-08-15
Floating
5.70342960
N
N
N
N
N
N
SG RESIDENTIAL MORTGAGE TRUST
N/A
SG RESIDENTIAL MORTGAGE TRUST 2022-1 SGR 2022-1 A1
78433QAA3
410000.00000000
PA
USD
402193.03000000
0.097382405102
Long
ABS-MBS
US
Y
2
2062-03-27
Floating
3.16599840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM6117
3140X9YP4
129268.63000000
PA
USD
127907.73000000
0.030970109995
Long
DBT
USGA
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C1 JPMBB 2013-C17 B
46640UAJ1
30000.00000000
PA
USD
30389.72000000
0.007358218077
Long
ABS-MBS
US
N
2
2047-01-15
Floating
4.88632320
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A3
64831TAC1
81432.73000000
PA
USD
77594.37000000
0.018787810353
Long
ABS-MBS
US
Y
2
2056-11-27
Floating
1.51625880
N
N
N
N
N
N
Northern States Power Company (Minnesota)
3S1GHB0TEH85KX44SB51
NORTHERN STATES POWER CO/MN 7.125000% 07/01/2025
665772BN8
1190000.00000000
PA
USD
1327618.35000000
0.321454272792
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
7.12500000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JP MORGAN MORTGAGE TRUST 2021-3 JPMMT 2021-3 A3
46592KAC6
697842.04000000
PA
USD
645633.69000000
0.156326333022
Long
ABS-MBS
US
Y
2
2051-07-25
Floating
2.49999840
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QA8791
3133A3XU7
50088.54000000
PA
USD
50460.17000000
0.012217846531
Long
DBT
USGA
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AN5386
3138LH6Y5
78977.54000000
PA
USD
80799.03000000
0.019563749951
Long
DBT
USGA
US
N
2
2029-05-01
Fixed
3.25000000
N
N
N
N
N
N
LA BANQUE TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION BANK/THE MTN 1.150000% 06/12/2025
89114QCH9
838000.00000000
PA
USD
790871.57000000
0.191492566674
Long
DBT
NUSS
CA
N
2
2025-06-12
Fixed
1.15000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA (JUNE)
21H040665
200000.00000000
PA
USD
202414.06000000
0.049010217778
Long
DBT
USGA
US
N
2
2039-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FNCL 6.5% MEGA POOL 6.5% 9/1/2039
3128M9VA7
19349.86000000
PA
USD
21254.87000000
0.005146410321
Long
DBT
USGA
US
N
2
2039-09-01
Fixed
6.50000000
N
N
N
N
N
N
United States of America
N/A
US ULTRA BOND CBT JUN22 FINANCIAL COMMODITY FUTURE.
N/A
-38.00000000
NC
USD
-6730750.00000000
-1.62970656935
N/A
DIR
US
N
1
WELLS FARGO BROKERAGE SERVICES, LLC
N/A
Short
U.S. Treasury Futures
US Ultra T-Bond Futures (Composite) Jun 2022
2022-06-24
-7099906.49000000
USD
369156.49000000
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
PHILLIPS 66 3.700000% 04/06/2023
718546AU8
582000.00000000
PA
USD
590092.24000000
0.142878163660
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
3.70000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.668000% 07/24/2028
172967LP4
340000.00000000
PA
USD
340075.22000000
0.082341911393
Long
DBT
CORP
US
N
2
2028-07-24
Fixed
3.66800000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 785283
3622AAXL3
1215250.19000000
PA
USD
1187174.52000000
0.287448815394
Long
DBT
USGA
US
N
2
2051-01-20
Fixed
2.50000000
N
N
N
N
N
N
AQUARION COMPANY
N/A
AQUARION CO 144A 4.000000% 08/15/2024
03838WAA9
227000.00000000
PA
USD
229437.30000000
0.055553315019
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL6663
3138EPMM3
407822.41000000
PA
USD
426472.65000000
0.103261193679
Long
DBT
USGA
US
N
2
2039-03-01
Fixed
4.00000000
N
N
N
N
N
N
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
N/A
JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C22 C
46642NBK1
80000.00000000
PA
USD
74515.70000000
0.018042376527
Long
ABS-MBS
US
N
2
2047-09-15
Floating
4.55402880
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVIENT STUDENT LOAN TRUST 2016-3 NAVSL 2016-3A A3
63940HAC7
362268.86000000
PA
USD
368945.29000000
0.089332178857
Long
ABS-MBS
US
N
2
2065-06-25
Floating
1.80657000
N
N
N
N
N
N
NVIDIA CORPORATION
549300S4KLFTLO7GSQ80
NVIDIA CORP 2.850000% 04/01/2030
67066GAF1
90000.00000000
PA
USD
88549.15000000
0.021440275075
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.85000000
N
N
N
N
N
N
BNP PARIBAS SA
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS SA 144A 4.705000% 01/10/2025
09659W2G8
270000.00000000
PA
USD
275670.37000000
0.066747660062
Long
DBT
NUSS
FR
N
2
2025-01-10
Fixed
4.70500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC REMICS FHR 4813 CJ
3137FGSM8
34510.14000000
PA
USD
33718.62000000
0.008164239724
Long
DBT
USGA
US
N
2
2048-08-15
Fixed
3.00000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NATWEST GROUP PLC 4.269000% 03/22/2025
780097BK6
200000.00000000
PA
USD
202319.78000000
0.048987389901
Long
DBT
NUSS
GB
N
2
2025-03-22
Fixed
4.26900000
N
N
N
N
N
N
SOUTHERN COPPER CORPORATION
2549007U6NAP46Q9TU15
SOUTHERN COPPER CORP 3.500000% 11/08/2022
84265VAF2
130000.00000000
PA
USD
130842.40000000
0.031680677313
Long
DBT
CORP
PE
N
2
2022-11-08
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-129 IE
38382JZK5
90319.13000000
PA
USD
13034.31000000
0.003155978254
Long
DBT
USGA
US
N
2
2050-09-20
Fixed
2.50000000
N
N
N
N
N
N
CAMB COMMERCIAL MORTGAGE TRUST
N/A
CAMB COMMERCIAL MORTGAGE TRUST 2019-LIFE CAMB 2019-LIFE A
12482HAA2
110000.00000000
PA
USD
109548.71000000
0.026524867563
Long
ABS-MBS
US
N
2
2037-12-15
Floating
1.46700000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 2.522000% 04/22/2031
46647PBL9
190000.00000000
PA
USD
176133.60000000
0.042646968763
Long
DBT
CORP
US
N
2
2031-04-22
Fixed
2.52200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3407
3140X6YD7
316875.66000000
PA
USD
319918.02000000
0.077461278289
Long
DBT
USGA
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
KKR GROUP FINANCE CO. VI LLC
549300TUJWGHJM3FSJ07
KKR GROUP FINANCE CO VI LLC 144A 3.750000% 07/01/2029
48252AAA9
1149000.00000000
PA
USD
1176645.71000000
0.284899490159
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AL9546
3138ERTC4
50650.56000000
PA
USD
51286.41000000
0.012417902803
Long
DBT
USGA
US
N
2
2046-11-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QB9290
3133AGKB4
92783.40000000
PA
USD
86400.43000000
0.020920008671
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM2493
3140X5XX6
143398.47000000
PA
USD
152078.36000000
0.036822508984
Long
DBT
USGA
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5013
3140X8SB4
330577.23000000
PA
USD
343898.14000000
0.083267549373
Long
DBT
USGA
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.050000% 07/30/2022
172967GK1
40000.00000000
PA
USD
40336.32000000
0.009766573663
Long
DBT
CORP
US
N
2
2022-07-30
Fixed
4.05000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM1363
3140X4QR0
255184.78000000
PA
USD
265471.40000000
0.064278198500
Long
DBT
USGA
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 4.900000% 11/17/2045
94974BGQ7
30000.00000000
PA
USD
33109.60000000
0.008016778609
Long
DBT
CORP
US
N
2
2045-11-17
Fixed
4.90000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & CO MTN 2.393000% 06/02/2028
95000U2S1
290000.00000000
PA
USD
274224.03000000
0.066397459891
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BR4035
3140L2PV9
93413.27000000
PA
USD
86943.84000000
0.021051583733
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 3.125000% 07/31/2029
29379VBV4
210000.00000000
PA
USD
206212.47000000
0.049929921188
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM7987
3140XB2V1
95868.25000000
PA
USD
89160.57000000
0.021588317298
Long
DBT
USGA
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR QB9901
3133AHAA5
193575.35000000
PA
USD
185262.93000000
0.044857439970
Long
DBT
USGA
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA1629
31418AY36
48592.44000000
PA
USD
52062.29000000
0.012605765483
Long
DBT
USGA
US
N
2
2043-10-01
Fixed
4.50000000
N
N
N
N
N
N
Suzano Austria GmbH
254900287ZNSGVP1R341
SUZANO AUSTRIA GMBH 3.125000% 01/15/2032
86964WAK8
510000.00000000
PA
USD
451543.80000000
0.109331634247
Long
DBT
NUSS
BR
N
2
2032-01-15
Fixed
3.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AT9637
3138WXV79
53126.75000000
PA
USD
55660.51000000
0.013476997184
Long
DBT
USGA
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
MICRON TECHNOLOGY, INC.
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC 2.703000% 04/15/2032
595112BS1
260000.00000000
PA
USD
235380.60000000
0.056992357481
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
2.70300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AN4927
3138LHPM0
58182.66000000
PA
USD
60163.31000000
0.014567253506
Long
DBT
USGA
US
N
2
2029-03-01
Fixed
3.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8672
3140XCT65
538562.72000000
PA
USD
556442.88000000
0.134730693757
Long
DBT
USGA
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS6541
3138WGHT4
68627.94000000
PA
USD
69911.20000000
0.016927495734
Long
DBT
USGA
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
JOHNSON & JOHNSON 0.950000% 09/01/2027
478160CP7
100000.00000000
PA
USD
91490.43000000
0.022152442863
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
0.95000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0191
3140FXF98
43535.66000000
PA
USD
45542.89000000
0.011027232778
Long
DBT
USGA
US
N
2
2057-06-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
90DAY EURO$ FUTR DEC22 FINANCIAL COMMODITY FUTURE.
N/A
137.00000000
NC
USD
33338950.00000000
8.072310787134
N/A
DO
US
N
1
WELLS FARGO BROKERAGE SERVICES, LLC
N/A
Long
Interest Rate Futures
3M -- 90 Day EuroDollar Future (Consolidated) Dec 2022
2022-12-22
33507800.20000000
USD
-168850.20000000
N
N
N
BROADCOM INC.
549300WV6GIDOZJTV909
BROADCOM INC 144A 3.137000% 11/15/2035
11135FBP5
420000.00000000
PA
USD
370058.93000000
0.089601822868
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPERATING LLC
5493004LGN656HWLDA30
ENTERPRISE PRODUCTS OPERATING LLC 3.900000% 02/15/2024
29379VBB8
457000.00000000
PA
USD
465380.11000000
0.112681799578
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LOAN MORTGAGE CORPORATON REMIC POOL # 4194 BI IO
3137B1J94
58190.12000000
PA
USD
9346.53000000
0.002263061522
Long
DBT
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 1.678000% 05/15/2024
172967MR9
80000.00000000
PA
USD
79343.44000000
0.019211310092
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
1.67800000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 5.200000% 03/01/2047
55336VAL4
30000.00000000
PA
USD
32168.26000000
0.007788853344
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
5.20000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5783
3140X9M93
61461.38000000
PA
USD
61332.91000000
0.014850447029
Long
DBT
USGA
US
N
2
2038-06-01
Fixed
3.00000000
N
N
N
N
N
N
LOWE'S COMPANIES, INC.
WAFCR4OKGSC504WU3E95
LOWE'S COS INC 4.500000% 04/15/2030
548661DU8
30000.00000000
PA
USD
32102.44000000
0.007772916444
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.50000000
N
N
N
N
N
N
United States of America
N/A
US 5YR NOTE (CBT) JUN22 FINANCIAL COMMODITY FUTURE.
N/A
304.00000000
NC
USD
34865000.00000000
8.441811022646
N/A
DIR
US
N
1
RJ O'BRIEN
N/A
Long
U.S. Treasury Futures
US 5-Year Note (consolidated) Jun 2022
2022-07-03
35724441.05000000
USD
-859441.05000000
N
N
N
SCHLUMBERGER HOLDINGS CORPORATION
529900IKZG65COT1D505
SCHLUMBERGER HOLDINGS CORP 144A 3.900000% 05/17/2028
806851AK7
456000.00000000
PA
USD
460679.09000000
0.111543548540
Long
DBT
CORP
US
N
2
2028-05-17
Fixed
3.90000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0434
3140XFPU9
98224.26000000
PA
USD
94435.39000000
0.022865501684
Long
DBT
USGA
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS GROUP AG 144A 3.491000% 05/23/2023
90352JAA1
390000.00000000
PA
USD
390558.56000000
0.094565368042
Long
DBT
NUSS
CH
N
2
2023-05-23
Fixed
3.49100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AM8700
3138L9U26
96694.09000000
PA
USD
96828.62000000
0.023444970934
Long
DBT
USGA
US
N
2
2030-06-01
Fixed
2.93000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4718
36179TG33
2524.86000000
PA
USD
2514.32000000
0.000608788592
Long
DBT
USGA
US
N
2
2047-09-20
Fixed
3.00000000
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLM STUDENT LOAN TRUST 2003-10 SLMA 2003-10A A4
78442GJH0
100000.00000000
PA
USD
100255.79000000
0.024274786551
Long
ABS-MBS
US
N
2
2068-12-17
Floating
1.49600160
N
N
N
N
N
N
THE WILLIAMS COMPANIES, INC.
D71FAKCBLFS2O0RBPG08
WILLIAMS COS INC/THE 5.100000% 09/15/2045
96949LAC9
70000.00000000
PA
USD
75846.88000000
0.018364693177
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
5.10000000
N
N
N
N
N
N
THE GOLDMAN SACHS GROUP, INC.
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE 3.500000% 04/01/2025
38141GXJ8
80000.00000000
PA
USD
80596.64000000
0.019514745559
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BC0884
3140EU6W4
46765.74000000
PA
USD
46424.14000000
0.011240608540
Long
DBT
USGA
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC.
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 4.125000% 08/15/2046
92343VDC5
40000.00000000
PA
USD
41073.13000000
0.009944976382
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE REMICS FNR 2014-47 AI
3136AKTB9
66407.06000000
PA
USD
3110.28000000
0.000753087508
Long
DBT
USGA
US
N
2
2044-08-25
Floating
1.61070840
N
N
N
N
N
N
STORE MASTER FUNDING LLC
N/A
STORE MASTER FUNDING I-VII AND XIV STR 2019-1 A1
86212XAA8
316822.53000000
PA
USD
304633.20000000
0.073760387369
Long
ABS-MBS
US
N
2
2049-11-20
Fixed
2.82000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS4693
3132A5GA7
340483.62000000
PA
USD
337998.09000000
0.081838978970
Long
DBT
USGA
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 784825
3622AAHA5
17132.94000000
PA
USD
17076.40000000
0.004134683543
Long
DBT
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.375000% 11/30/2025
91282CAZ4
290000.00000000
PA
USD
268114.06000000
0.064918061868
Long
SN
UST
US
N
1
2025-11-30
Fixed
0.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2707
31418CAH7
607622.92000000
PA
USD
607000.12000000
0.146972043704
Long
DBT
USGA
US
N
2
2036-08-01
Fixed
3.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CORPORATION
ZUE8T73ROZOF6FLBAR73
CAPITAL ONE FINANCIAL CORP 3.300000% 10/30/2024
14040HBT1
480000.00000000
PA
USD
482612.46000000
0.116854243065
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
3.30000000
N
N
N
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
SWEDBANK AB 144A 1.538000% 11/16/2026
87020PAP2
400000.00000000
PA
USD
371386.29000000
0.089923214587
Long
DBT
NUSS
SE
N
2
2026-11-16
Fixed
1.53800000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM CORPORATION
IM7X0T3ECJW4C1T7ON55
OCCIDENTAL PETROLEUM CORP 5.550000% 03/15/2026
674599DC6
170000.00000000
PA
USD
180200.00000000
0.043631560197
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U99124
3132H7D68
220012.50000000
PA
USD
224794.58000000
0.054429180073
Long
DBT
USGA
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
COMM MORTGAGE TRUST
N/A
COMM 2013-CCRE12 MORTGAGE TRUST COMM 2013-CR12 AM
12591KAG0
20000.00000000
PA
USD
20128.46000000
0.004873674329
Long
ABS-MBS
US
N
2
2046-10-10
Fixed
4.30000000
N
N
N
N
N
N
TRANSCONTINENTAL GAS PIPE LINE COMPANY, LLC
N/A
TRANSCONTINENTAL GAS PIPE LINE CO LLC 3.250000% 05/15/2030
893574AP8
100000.00000000
PA
USD
97521.72000000
0.023612790214
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.25000000
N
N
N
N
N
N
THE WALT DISNEY COMPANY
549300GZKULIZ0WOW665
WALT DISNEY CO/THE 3.350000% 03/24/2025
254687FN1
223000.00000000
PA
USD
226112.83000000
0.054748366001
Long
DBT
CORP
US
N
2
2025-03-24
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA4703
3133KLGL5
178818.90000000
PA
USD
166628.35000000
0.040345476601
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
THE HOME DEPOT, INC.
QEKMOTMBBKA8I816DO57
HOME DEPOT INC/THE 3.350000% 04/15/2050
437076CD2
50000.00000000
PA
USD
47110.78000000
0.011406863671
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.35000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AB3467
31416YZ92
218061.19000000
PA
USD
232001.84000000
0.056174263306
Long
DBT
USGA
US
N
2
2035-02-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA3736
36179SEH6
36524.77000000
PA
USD
37180.48000000
0.009002454779
Long
DBT
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.250000% 09/30/2025
91282CAM3
10000.00000000
PA
USD
9237.50000000
0.002236662249
Long
SN
UST
US
N
2
2025-09-30
Fixed
0.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA5155
3133KLWQ6
287671.40000000
PA
USD
267613.36000000
0.064796828115
Long
DBT
USGA
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 4.125000% 07/25/2028
172967KU4
40000.00000000
PA
USD
40605.34000000
0.009831711079
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.12500000
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE GLOBAL FUNDING
635400B4JJBON4TCHF02
EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 144A 1.400000% 07/07/2025
29449WAA5
673000.00000000
PA
USD
631759.04000000
0.152966884483
Long
DBT
CORP
US
N
2
2025-07-07
Fixed
1.40000000
N
N
N
N
N
N
TSMC ARIZONA CORPORATION
2549005GOBWLCSY63Q97
TSMC ARIZONA CORP 2.500000% 10/25/2031
872898AC5
250000.00000000
PA
USD
231515.97000000
0.056056620320
Long
DBT
CORP
TW
N
2
2031-10-25
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RB5130
3133KYVX4
543057.96000000
PA
USD
492119.95000000
0.119156277595
Long
DBT
USGA
US
N
2
2041-10-01
Fixed
1.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO.
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO 2.545000% 11/08/2032
46647PCR5
110000.00000000
PA
USD
100512.07000000
0.024336839249
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.54500000
N
N
N
N
N
N
TARGET CORPORATION
8WDDFXB5T1Z6J0XC1L66
TARGET CORP 2.250000% 04/15/2025
87612EBL9
80000.00000000
PA
USD
78863.18000000
0.019095025446
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.25000000
N
N
N
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST
N/A
RESIDENTIAL MORTGAGE LOAN TRUST 2019-3 RMLT 2019-3 A2
76119NAB3
104536.20000000
PA
USD
103040.79000000
0.024949114493
Long
ABS-MBS
US
N
2
2059-09-25
Floating
2.94099840
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN CB0470
3140QKQY7
184248.98000000
PA
USD
178342.66000000
0.043181845202
Long
DBT
USGA
US
N
2
2041-05-01
Fixed
2.50000000
N
N
N
N
N
N
MILL CITY MORTGAGE LOAN TRUST
N/A
MILL CITY MORTGAGE LOAN TRUST 2019-1 MCMLT 2019-1 A1
59981AAC0
225893.73000000
PA
USD
223757.20000000
0.054178000784
Long
ABS-MBS
US
N
2
2069-10-25
Floating
3.25000080
N
N
N
N
N
N
NIKE, INC.
787RXPR0UX0O0XUXPZ81
NIKE INC 2.750000% 03/27/2027
654106AJ2
40000.00000000
PA
USD
39799.32000000
0.009636550645
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
2.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BF0145
3140FXET5
269124.29000000
PA
USD
272849.15000000
0.066064562225
Long
DBT
USGA
US
N
2
2057-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA5020
36179TSH9
34674.00000000
PA
USD
35904.69000000
0.008693549628
Long
DBT
USGA
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC.
6SHGI4ZSSLCXXQSBB395
CITIGROUP INC 3.400000% 05/01/2026
172967KN0
354000.00000000
PA
USD
356739.36000000
0.086376775031
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0191
3140XFF97
98536.36000000
PA
USD
94579.18000000
0.022900317345
Long
DBT
USGA
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LIMITED
5493003UOETFYRONLG31
RELIANCE INDUSTRIES LTD 144A 3.625000% 01/12/2052
759470BD8
250000.00000000
PA
USD
221556.97000000
0.053645262340
Long
DBT
NUSS
IN
N
2
2052-01-12
Fixed
3.62500000
N
N
N
N
N
N
MICROSOFT CORPORATION
INR2EJN1ERAN0W5ZP974
MICROSOFT CORP 3.300000% 02/06/2027
594918BY9
210000.00000000
PA
USD
215410.54000000
0.052157036310
Long
DBT
CORP
US
N
2
2027-02-06
Fixed
3.30000000
N
N
N
N
N
N
THE PROCTER & GAMBLE COMPANY
2572IBTT8CCZW6AU4141
PROCTER & GAMBLE CO/THE 2.800000% 03/25/2027
742718FG9
10000.00000000
PA
USD
10005.41000000
0.002422595164
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
2.80000000
N
N
N
N
N
N
TACO BELL FUNDING, LLC
N/A
TACO BELL FUNDING LLC BELL 2021-1A A2II
87342RAH7
591517.50000000
PA
USD
527420.66000000
0.127703586437
Long
ABS-MBS
US
Y
2
2051-08-25
Fixed
2.29400000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM4308
3140X7YE3
149680.07000000
PA
USD
151391.72000000
0.036656253854
Long
DBT
USGA
US
N
2
2048-05-01
Fixed
3.50000000
N
N
N
N
N
N
PFIZER INC.
765LHXWGK1KXCLTFYQ30
PFIZER INC 1.700000% 05/28/2030
717081EY5
50000.00000000
PA
USD
45295.62000000
0.010967361657
Long
DBT
CORP
US
N
2
2030-05-28
Fixed
1.70000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2021-25H 1
83162CL68
1569935.33000000
PA
USD
1447489.64000000
0.350478531424
Long
ABS-MBS
US
N
2
2046-08-01
Fixed
1.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA2773
31418CCK8
275469.17000000
PA
USD
275523.52000000
0.066712103488
Long
DBT
USGA
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
TRICON AMERICAN HOMES TRUST
N/A
TRICON AMERICAN HOMES 2019-SFR1 TRUST TAH 2019-SFR1 A
89612LAA4
271051.02000000
PA
USD
261946.06000000
0.063424613126
Long
ABS-MBS
US
N
2
2038-03-17
Fixed
2.75000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AB9107
31417GDM5
40050.71000000
PA
USD
41033.94000000
0.009935487365
Long
DBT
USGA
US
N
2
2033-04-01
Fixed
3.50000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL MASTER TRUST
N/A
PROGRESS RESIDENTIAL 2019-SFR2 TRUST PROG 2019-SFR2 A
74333NAA0
298683.77000000
PA
USD
295442.96000000
0.071535168113
Long
ABS-MBS
US
N
2
2036-05-17
Fixed
3.14700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR ZS8669
3132A9T23
26136.20000000
PA
USD
26408.48000000
0.006394246308
Long
DBT
USGA
US
N
2
2032-09-01
Fixed
3.00000000
N
N
N
N
N
N
UNION PACIFIC CORPORATION
549300LMMRSZZCZ8CL11
UNION PACIFIC CORP 2.891000% 04/06/2036
907818FQ6
20000.00000000
PA
USD
18688.00000000
0.004524897874
Long
DBT
CORP
US
N
2
2036-04-06
Fixed
2.89100000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 3.250000% 11/01/2039
20030NCY5
30000.00000000
PA
USD
28446.23000000
0.006887643710
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
N/A
GINNIE MAE I POOL GN 692307
36296JDL6
20983.93000000
PA
USD
23082.67000000
0.005588972839
Long
DBT
USGA
US
N
2
2039-01-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BQ3137
3140KNPX0
393599.27000000
PA
USD
377835.88000000
0.091484844300
Long
DBT
USGA
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BE3776
3140FPFS3
63863.07000000
PA
USD
66868.75000000
0.016190831803
Long
DBT
USGA
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
AerCap Ireland Capital Designated Activity Company
549300TI38531ODB1G63
AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 2.450000% 10/29/2026
00774MAV7
190000.00000000
PA
USD
175740.94000000
0.042551894576
Long
DBT
NUSS
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
GOBIERNO DE LA REPUBLICA DE PANAMA
549300SHS4T08CL0LP14
REPUBLIC OF PANAMA 6.700000% 01/26/2036
698299AW4
190000.00000000
PA
USD
233846.30000000
0.056620859685
Long
DBT
NUSS
PA
N
2
2036-01-26
Fixed
6.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U99045
3132H7BP8
127505.41000000
PA
USD
130295.96000000
0.031548368602
Long
DBT
USGA
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
LLOYDS BANKING GROUP PLC 1.326000% 06/15/2023
53944YAM5
360000.00000000
PA
USD
359102.18000000
0.086948881152
Long
DBT
NUSS
GB
N
2
2023-06-15
Fixed
1.32600000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FS0584
3140XFUJ8
99262.34000000
PA
USD
92439.26000000
0.022382181671
Long
DBT
USGA
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC POOL FR RA2358
3133KHTP1
34087.16000000
PA
USD
34942.97000000
0.008460689783
Long
DBT
USGA
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
ECOPETROL S.A.
254900IDGKCJICKBPA66
ECOPETROL SA 5.375000% 06/26/2026
279158AL3
140000.00000000
PA
USD
141671.60000000
0.034302735536
Long
DBT
NUSS
CO
N
2
2026-06-26
Fixed
5.37500000
N
N
N
N
N
N
SSM HEALTH CARE CORPORATION
5493000QP6H63JFPC580
SSM HEALTH CARE CORP 3.688000% 06/01/2023
784710AB1
644000.00000000
PA
USD
649543.31000000
0.157272963546
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.68800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS0070
3138W9CG3
25171.71000000
PA
USD
26270.75000000
0.006360897947
Long
DBT
USGA
US
N
2
2043-08-01
Fixed
4.00000000
N
N
N
N
N
N
RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC.
N/A
RAAC SERIES 2005-SP3 TRUST RAAC 2005-SP3 M2
76112BS68
128506.73000000
PA
USD
128239.26000000
0.031050382865
Long
ABS-MBS
US
N
2
2035-12-25
Floating
1.65656880
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C25 A5
61765TAF0
510000.00000000
PA
USD
513248.60000000
0.124272126454
Long
ABS-MBS
US
N
2
2048-10-15
Fixed
3.63500000
N
N
N
N
N
N
LOWE'S COMPANIES, INC.
WAFCR4OKGSC504WU3E95
LOWE'S COS INC 1.700000% 09/15/2028
548661ED5
80000.00000000
PA
USD
72402.59000000
0.017530732319
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
1.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM8968
3140XC6E3
1449172.23000000
PA
USD
1441145.19000000
0.348942359104
Long
DBT
USGA
US
N
2
2048-04-01
Fixed
3.00000000
N
N
N
N
N
N
VISA INC.
549300JZ4OKEHW3DPJ59
VISA INC 4.300000% 12/14/2045
92826CAF9
10000.00000000
PA
USD
11221.50000000
0.002717045242
Long
DBT
CORP
US
N
2
2045-12-14
Fixed
4.30000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN MA3239
31418CS54
20858.66000000
PA
USD
21529.10000000
0.005212809226
Long
DBT
USGA
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
HARBORVIEW MORTGAGE LOAN TRUST
N/A
HARBORVIEW MORTGAGE LOAN TRUST 2005-9 HVMLT 2005-9 2A1B
41161PSL8
155068.21000000
PA
USD
152289.09000000
0.036873532728
Long
ABS-MBS
US
N
2
2035-06-20
Floating
1.18856880
N
N
N
N
N
N
JUNIPER NETWORKS, INC.
AUHIXNGG7U2U7JEHM527
JUNIPER NETWORKS INC 1.200000% 12/10/2025
48203RAN4
570000.00000000
PA
USD
529294.13000000
0.128157206965
Long
DBT
CORP
US
N
2
2025-12-10
Fixed
1.20000000
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS COMMERCIAL MORTGAGE TRUST 2013-C11 WFRBS 2013-C11 AS
92937EAF1
160000.00000000
PA
USD
160501.22000000
0.038861923652
Long
ABS-MBS
US
N
2
2045-03-15
Fixed
3.31100000
N
N
N
N
N
N
CIGNA CORPORATION
549300VIWYMSIGT1U456
CIGNA CORP 4.125000% 11/15/2025
125523AG5
200000.00000000
PA
USD
206139.92000000
0.049912354764
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3889
3140X7KB4
318827.71000000
PA
USD
312806.30000000
0.075739328016
Long
DBT
USGA
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
FIRSTENERGY CORP.
549300SVYJS666PQJH88
FIRSTENERGY CORP 1.600000% 01/15/2026
337932AN7
30000.00000000
PA
USD
27900.00000000
0.006755385846
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.60000000
N
N
N
N
N
N
COMCAST CORPORATION
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.250000% 10/15/2030
20030NCU3
40000.00000000
PA
USD
42670.45000000
0.010331733117
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.25000000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GS MORTGAGE SECURITIES TRUST 2013-GC16 GSMS 2013-GC16 B
36248GAJ9
80000.00000000
PA
USD
80472.10000000
0.019484590873
Long
ABS-MBS
US
N
2
2046-11-10
Fixed
5.16100000
N
N
N
N
N
N
CAMERON LNG, LLC
549300C39FLHGVD73K22
CAMERON LNG LLC 144A 2.902000% 07/15/2031
133434AA8
60000.00000000
PA
USD
57307.07000000
0.013875676328
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
WENDYS FUNDING LLC
N/A
WENDY'S FUNDING LLC WEN 2019-1A A2I
95058XAG3
311950.00000000
PA
USD
307976.69000000
0.074569941671
Long
ABS-MBS
US
N
2
2049-06-15
Fixed
3.78300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.125000% 10/31/2026
91282CDG3
2860000.00000000
PA
USD
2690187.50000000
0.651371131234
Long
SN
UST
US
N
2
2026-10-31
Fixed
1.12500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 0.375000% 04/30/2025
912828ZL7
20000.00000000
PA
USD
18727.34000000
0.004534423210
Long
SN
UST
US
N
2
2025-04-30
Fixed
0.37500000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.400000% 04/01/2033
161175CJ1
110000.00000000
PA
USD
109674.66000000
0.026555363651
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
4.40000000
N
N
N
N
N
N
NEW YORK ST DORM AUTH ST PERS INCOME TAX REV
N/A
NEW YORK ST DORM AUTH ST PERSO NEW YORK STATE DORMITORY AUTHORITY
64990FY81
415000.00000000
PA
USD
410055.48000000
0.099286128523
Long
DBT
MUN
US
N
2
2031-03-15
Fixed
3.32900000
N
N
N
N
N
N
ALPHABET INC.
5493006MHB84DD0ZWV18
ALPHABET INC 0.450000% 08/15/2025
02079KAH0
20000.00000000
PA
USD
18659.16000000
0.004517914887
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
FREDDIE MAC GOLD POOL FG U90503
3132H3RY1
57036.30000000
PA
USD
58118.59000000
0.014072168469
Long
DBT
USGA
US
N
2
2042-11-01
Fixed
3.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.000000% 03/15/2028
55336VAR1
40000.00000000
PA
USD
40689.33000000
0.009852047454
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
HUMANA INC.
529900YLDW34GJAO4J06
HUMANA INC 2.150000% 02/03/2032
444859BR2
30000.00000000
PA
USD
26285.14000000
0.006364382176
Long
DBT
CORP
US
N
2
2032-02-03
Fixed
2.15000000
N
N
N
N
N
N
Coterra Energy Inc.
FCNMH6O7VWU7LHXMK351
COTERRA ENERGY INC 144A 4.375000% 03/15/2029
127097AH6
300000.00000000
PA
USD
312598.88000000
0.075689105717
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN BM6898
3140JBUY0
300000.00000000
PA
USD
280495.24000000
0.067915898718
Long
DBT
USGA
US
N
2
2032-02-01
Floating
2.14999920
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA6933
36179VV23
77453.76000000
PA
USD
78095.86000000
0.018909235387
Long
DBT
USGA
US
N
2
2050-10-20
Fixed
3.50000000
N
N
N
N
N
N
TRICON RESIDENTIAL TRUST
N/A
TRICON RESIDENTIAL 2021-SFR1 TRUST TCN 2021-SFR1 A
89614YAA4
852000.00000000
PA
USD
801136.88000000
0.193978091043
Long
ABS-MBS
US
Y
2
2038-07-17
Fixed
1.94300000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM3572
3140X66J5
210876.34000000
PA
USD
220674.36000000
0.053431557282
Long
DBT
USGA
US
N
2
2049-09-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN FM5940
3140X9S63
183925.23000000
PA
USD
171232.94000000
0.041460379186
Long
DBT
USGA
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORP MTN 3.974000% 02/07/2030
06051GHQ5
80000.00000000
PA
USD
81291.20000000
0.019682918348
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
3.97400000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC 2014-USA OA LLC CSMC 2014-USA B
12649AAJ8
470000.00000000
PA
USD
437069.22000000
0.105826925542
Long
ABS-MBS
US
N
2
2037-09-15
Fixed
4.18460000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2019-25G 1
83162CC68
50295.67000000
PA
USD
50555.22000000
0.012240860847
Long
ABS-MBS
US
N
2
2044-07-01
Fixed
2.69000000
N
N
N
N
N
N
BP CAPITAL MARKETS AMERICA INC.
5493009NTB34VXE1T760
BP CAPITAL MARKETS AMERICA INC 3.119000% 05/04/2026
10373QAT7
170000.00000000
PA
USD
169668.51000000
0.041081586058
Long
DBT
CORP
US
N
2
2026-05-04
Fixed
3.11900000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
US TREASURY N/B 1.875000% 11/15/2051
912810TB4
1080000.00000000
PA
USD
947362.50000000
0.229383484725
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
Government National Mortgage Association 2
N/A
GINNIE MAE II POOL G2 MA4719
36179TG41
100732.30000000
PA
USD
102539.54000000
0.024827747570
Long
DBT
USGA
US
N
2
2047-09-20
Fixed
3.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS9453
3138WKQF5
244897.06000000
PA
USD
253364.30000000
0.061346724235
Long
DBT
USGA
US
N
2
2047-04-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS7844
3138WHWE8
33827.09000000
PA
USD
33622.77000000
0.008141031705
Long
DBT
USGA
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
MARS, INCORPORATED
54930073HKEO6GZBSS03
MARS INC 144A 3.200000% 04/01/2030
571676AB1
30000.00000000
PA
USD
29734.45000000
0.007199558518
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.20000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP 4.125000% 03/01/2027
55336VAK6
110000.00000000
PA
USD
112482.64000000
0.027235255706
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.12500000
N
N
N
N
N
N
MAGALLANES, INC.
549300DXR29GD4N0A520
MAGALLANES INC 144A 3.755000% 03/15/2027
55903VAG8
190000.00000000
PA
USD
189654.15000000
0.045920679591
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
NXP B.V.
724500RKKW4NOJ9YQF60
NXP BV / NXP FUNDING LLC / NXP USA INC 144A 2.700000% 05/01/2025
62954HAE8
40000.00000000
PA
USD
38770.02000000
0.009387327755
Long
DBT
NUSS
CN
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FANNIE MAE POOL FN AS4347
3138WDZM6
22773.37000000
PA
USD
23765.01000000
0.005754186816
Long
DBT
USGA
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
INVITATION HOMES TRUST
N/A
INVITATION HOMES 2018-SFR1 TRUST IHSFR 2018-SFR1 A
46185JAA6
1269605.29000000
PA
USD
1256471.60000000
0.304227615159
Long
ABS-MBS
US
N
2
2037-03-17
Floating
1.14099840
N
N
N
N
N
N
THE HERSHEY COMPANY
21X2CX66SU2BR6QTAD08
HERSHEY CO/THE 0.900000% 06/01/2025
427866BF4
20000.00000000
PA
USD
18828.27000000
0.004558861242
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.90000000
N
N
N
N
N
N
GS MORTGAGE-BACKED SECURITIES TRUST
N/A
GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 GSMBS 2018-RPL1 A1A
36256BAC4
181615.30000000
PA
USD
182525.68000000
0.044194673665
Long
ABS-MBS
US
N
2
2057-10-25
Fixed
3.75000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPERATING, LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 3.750000% 02/15/2028
161175BJ2
200000.00000000
PA
USD
197492.38000000
0.047818538659
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
SMALL BUSINESS ADMINISTRATION GTD
N/A
UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20C 1
83162CWX7
497491.32000000
PA
USD
489452.16000000
0.118510329538
Long
ABS-MBS
US
N
2
2035-03-01
Fixed
2.72000000
N
N
N
N
N
N
2022-03-31
NEW COVENANT FUNDS
Peter Rodriguez
Peter Rodriguez
CFO
XXXX