NPORT-P
false
0000710826
XXXXXXXX
S000006520
C000017824
C000017825
C000017826
C000030927
Brighthouse Funds Trust II
811-03618
0000710826
549300NPPA08K2CWOV06
Brighthouse Investment Advisers, LLC
125 High Street, Suite 732
Boston
02110
980-949-4301
MFS Total Return Portfolio
S000006520
549300GAG4Y8Q4D11K79
2022-12-31
2022-03-31
N
786744104.06
69277040.05
717467064.01
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
17116547.62000000
0.00000000
0.00000000
504647.82000000
USD
UST
Honeywell International Inc
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516106
33347.00000000
NS
USD
6488659.26000000
0.904384268698
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E2LH6
225433.81000000
PA
USD
229571.56000000
0.031997505044
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406AYE6
7257.11000000
PA
USD
7749.98000000
0.001080186170
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
6.00000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2020-FL4 Ltd
58003UAA6
502000.00000000
PA
USD
496874.88000000
0.069254033380
Long
ABS-CBDO
CORP
US
N
2
2035-11-15
Floating
2.14300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297B7K2
12415.65000000
PA
USD
13268.84000000
0.001849400573
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJXK1
134357.55000000
PA
USD
136640.67000000
0.019044870051
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405RVK9
12784.03000000
PA
USD
13595.79000000
0.001894970610
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405MJX6
19220.33000000
PA
USD
20591.14000000
0.002869977039
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
6.00000000
N
N
N
N
N
N
EVERGY INC
549300PGTHDQY6PSUI61
Evergy Inc
30034WAB2
505000.00000000
PA
USD
482668.77000000
0.067273996844
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.90000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404QYR4
43900.79000000
PA
USD
47633.41000000
0.006639107547
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NGF2
10735.25000000
PA
USD
11799.80000000
0.001644646924
Long
ABS-MBS
USGA
US
N
2
2034-03-15
Fixed
5.00000000
N
N
N
N
N
N
Acres PLC
N/A
ACRES Commercial Realty 2021-FL2 Ltd
00500JAC7
535500.00000000
PA
USD
528116.53000000
0.073608470199
Long
ABS-CBDO
CORP
KY
N
2
2037-01-15
Floating
2.19100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECG3
476670.78000000
PA
USD
445426.05000000
0.062083135567
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291T3Q9
7949.35000000
PA
USD
8590.55000000
0.001197344161
Long
ABS-MBS
USGA
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBQ3
889000.00000000
PA
USD
771731.06000000
0.107563273453
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.18700000
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DC6
422000.00000000
PA
USD
430782.87000000
0.060042180555
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L6HF1
161347.22000000
PA
USD
168486.89000000
0.023483571365
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AE8
1883000.00000000
PA
USD
1646377.93000000
0.229470872265
Long
DBT
CORP
CH
N
2
2032-02-11
Fixed
2.09500000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F9ZC8
658188.00000000
PA
USD
39441.46000000
0.005497319943
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
0.78200000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BFXT3
507000.00000000
PA
USD
506570.72000000
0.070605431999
Long
ABS-MBS
USGSE
US
N
2
2024-12-25
Fixed
2.67000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408EW65
14139.50000000
PA
USD
15101.61000000
0.002104850627
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
NBC Global Finance Limited
549300KWU8YQOYSK5Y64
NBC Global Finance Limited
000000000
4000000.00000000
PA
USD
4000000.00000000
0.557516881352
Long
RA
CORP
US
N
2
Repurchase
Y
0.44000000
2022-04-01
41749.10000000
USD
4397507.42000000
USD
EQT
40586.90000000
USD
43998.84000000
USD
UST
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HQDE9
207661.17000000
PA
USD
211966.11000000
0.029543671149
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
ARROW ELECTRONICS INC
549300YNNLBXT8N8R512
Arrow Electronics Inc
04273WAC5
245000.00000000
PA
USD
224999.84000000
0.031360302275
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
2.95000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KS98
17616.90000000
PA
USD
19300.80000000
0.002690130455
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQ7L0
94774.93000000
PA
USD
98844.08000000
0.013776810805
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
L3Harris Technologies Inc
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
502431109
20233.00000000
NS
USD
5027293.51000000
0.700700249834
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YWJX6
200662.17000000
PA
USD
204092.29000000
0.028446224257
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
MidOcean Credit CLO
549300EKSLXKVD2RWW61
MidOcean Credit CLO II
59863KAU1
1156232.00000000
PA
USD
1142204.59000000
0.159199585220
Long
ABS-CBDO
CORP
KY
N
2
2030-01-29
Floating
1.76000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGJ7
381000.00000000
PA
USD
353968.05000000
0.049335790833
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
Accenture PLC
N/A
Accenture PLC
000000000
12188.00000000
NS
USD
4110159.24000000
0.572870790336
Long
EC
CORP
IE
N
1
N
N
N
NBC Global Finance Limited
549300KWU8YQOYSK5Y64
NBC Global Finance Limited
000000000
700000.00000000
PA
USD
700000.00000000
0.097565454236
Long
RA
CORP
US
N
2
Repurchase
Y
0.49000000
2022-04-07
7306.10000000
USD
769563.78000000
USD
EQT
7102.71000000
USD
7699.78000000
USD
UST
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNE4
1257007.61000000
PA
USD
1220814.07000000
0.170156113254
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
2.50000000
N
N
N
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAL8
135000.00000000
PA
USD
127806.61000000
0.017813585655
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRF3
121765.44000000
PA
USD
121391.78000000
0.016919491651
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407HZD1
4635.72000000
PA
USD
5172.97000000
0.000721004525
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
6.00000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 2022-FL8 Ltd
55284JAE9
650507.00000000
PA
USD
648431.36000000
0.090377857399
Long
ABS-CBDO
CORP
KY
N
2
2037-02-19
Floating
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MHS42
214992.00000000
PA
USD
205828.30000000
0.028688187977
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297DMD7
6242.03000000
PA
USD
6706.02000000
0.000934679839
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CJ7
169000.00000000
PA
USD
153616.07000000
0.021410888068
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
3.20000000
N
N
N
N
N
N
STORE Capital Corp
5493004EA6C9IHDZ7N66
STORE Capital Corp
862121100
68191.00000000
NS
USD
1993222.93000000
0.277813857943
Long
EC
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296RC55
35963.38000000
PA
USD
39408.26000000
0.005492692553
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 55 CLO Ltd
26245MAC5
1430000.00000000
PA
USD
1416197.64000000
0.197388522907
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.26100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B2S75
348656.78000000
PA
USD
342728.10000000
0.047769175365
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
Societe Generale
000000000
600000.00000000
PA
USD
600000.00000000
0.083627532202
Long
RA
CORP
US
N
2
Repurchase
Y
0.42000000
2022-04-07
8556.07000000
USD
666773.78000000
USD
EQT
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AF5
416000.00000000
PA
USD
422622.72000000
0.058904825210
Long
DBT
CORP
US
N
2
2023-05-30
Fixed
4.12500000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378CP92
37982.81000000
PA
USD
39028.30000000
0.005439734025
Long
ABS-MBS
USGA
US
N
2
2041-09-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E0X91
217746.28000000
PA
USD
227213.80000000
0.031668882294
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ3M0
47730.90000000
PA
USD
47103.96000000
0.006565313219
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032666
300000.00000000
PA
USD
298707.51000000
0.041633619852
Long
ABS-MBS
USGSE
US
N
2
2052-06-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290VHK3
42308.88000000
PA
USD
46998.17000000
0.006550568291
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
5.50000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAG3
651000.00000000
PA
USD
584627.06000000
0.081484863811
Long
DBT
CORP
XX
N
2
2031-05-11
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213EPX8
7408.47000000
PA
USD
7986.65000000
0.001113173050
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404RRD1
15101.46000000
PA
USD
16125.59000000
0.002247572161
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJC81
7723.74000000
PA
USD
8364.34000000
0.001165815187
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CU67
30641.35000000
PA
USD
33105.73000000
0.004614250836
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B36J2
218883.86000000
PA
USD
221052.58000000
0.030810136254
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Variable
3.32000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TA6
2600000.00000000
PA
USD
2253468.75000000
0.314086717431
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417EN98
101269.11000000
PA
USD
103301.12000000
0.014398029565
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.50000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CPK3
11431.14000000
PA
USD
11441.05000000
0.001594644628
Long
ABS-O
USGA
US
N
2
2025-03-01
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417SBP4
23609.60000000
PA
USD
25487.18000000
0.003552383277
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
5.00000000
N
N
N
N
N
N
Vertex Pharmaceuticals Inc
54930015RAQRRZ5ZGJ91
Vertex Pharmaceuticals Inc
92532F100
11607.00000000
NS
USD
3029078.79000000
0.422190640092
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398T7G0
49981.05000000
PA
USD
51244.85000000
0.007142467239
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Fixed
4.00000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BG7
2000.00000000
PA
USD
1825.39000000
0.000254421435
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
2.85000000
N
N
N
N
N
N
Mondelez International Inc
549300DV9GIB88LZ5P30
Mondelez International Inc
609207105
27976.00000000
NS
USD
1756333.28000000
0.244796363220
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L2T72
132274.06000000
PA
USD
132664.35000000
0.018490653669
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
2.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296WZ91
38137.81000000
PA
USD
40885.72000000
0.005698619776
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
6.00000000
N
N
N
N
N
N
BAE SYSTEMS PLC
8SVCSVKSGDWMW2QHOH83
BAE Systems PLC
05523RAD9
336000.00000000
PA
USD
331083.27000000
0.046146128039
Long
DBT
CORP
GB
N
2
2030-04-15
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EBJ8
769183.56000000
PA
USD
718767.12000000
0.100181200790
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818108
32966.00000000
NS
USD
9006640.86000000
1.255338580932
Long
EC
CORP
US
N
1
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Citigroup Global Markets Inc.
000000000
800000.00000000
PA
USD
800000.00000000
0.111503376270
Long
RA
CORP
US
N
2
Repurchase
Y
0.30000000
2022-04-01
502854.40000000
USD
534969.74000000
USD
UST
286610.00000000
USD
281030.50000000
USD
CDS
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WDKV2
60274.73000000
PA
USD
62820.23000000
0.008755834678
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.00000000
N
N
N
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160104
71568.00000000
NS
USD
12683996.64000000
1.767885562454
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31334YPZ4
73671.47000000
PA
USD
70760.69000000
0.009862569802
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
2.50000000
N
N
N
N
N
N
Ladder Capital Commercial Mortgage Securities LLC
N/A
LCCM 2021-FL2 Trust
50202KAE6
682500.00000000
PA
USD
676622.31000000
0.094307090031
Long
ABS-CBDO
CORP
US
N
2
2038-12-13
Floating
2.29700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YUH79
40153.14000000
PA
USD
40570.39000000
0.005654669327
Long
ABS-MBS
USGSE
US
N
2
2030-09-01
Fixed
3.00000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAQ6
493000.00000000
PA
USD
504385.63000000
0.070300875859
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BS0
359000.00000000
PA
USD
373937.55000000
0.052119124174
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
3.90000000
N
N
N
N
N
Hess Corp
UASVRYNXNK17ULIGK870
Hess Corp
42809H107
43607.00000000
NS
USD
4667693.28000000
0.650579450143
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200JA91
68251.60000000
PA
USD
76529.06000000
0.010666560716
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EU7G8
121579.45000000
PA
USD
123654.46000000
0.017234862226
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYJ7
981000.00000000
PA
USD
868874.40000000
0.121103036443
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.38300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5BK8
23969.39000000
PA
USD
23725.19000000
0.003306798484
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9T51
101807.58000000
PA
USD
106323.96000000
0.014819350648
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SJS7
49939.13000000
PA
USD
49745.38000000
0.006933472279
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
MASCO CORP
5GCSNMQXHEYA1JO8QN11
Masco Corp
574599BQ8
1257000.00000000
PA
USD
1090369.16000000
0.151974803401
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.00000000
N
N
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172109
74071.00000000
NS
USD
6958229.74000000
0.969832636094
Long
EC
CORP
US
N
1
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AZ7
310000.00000000
PA
USD
350216.69000000
0.048812929201
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
6.38400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404GYW5
27644.93000000
PA
USD
29676.90000000
0.004136343184
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
6.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CK8
505000.00000000
PA
USD
508405.89000000
0.070861216563
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.25000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297GHS3
36429.93000000
PA
USD
39137.91000000
0.005455011381
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NF78
254056.38000000
PA
USD
260853.63000000
0.036357575571
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KQ3H7
34336.41000000
PA
USD
37512.34000000
0.005228440702
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
1780000.00000000
PA
USD
1670292.19000000
0.232804023179
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.69900000
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136AVY52
415198.29000000
PA
USD
411820.78000000
0.057399259235
Long
ABS-MBS
USGSE
US
N
2
2026-12-25
Variable
2.57200000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAE6
481000.00000000
PA
USD
504518.35000000
0.070319374269
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.90000000
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CQ0
332000.00000000
PA
USD
297555.00000000
0.041472983907
Long
DBT
CORP
GB
N
2
2031-03-09
Fixed
4.70000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419JS25
21507.39000000
PA
USD
22871.73000000
0.003187843895
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
5.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BE1
305000.00000000
PA
USD
304042.61000000
0.042377221931
Long
DBT
CORP
US
N
2
2025-05-13
Fixed
3.35000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWE5
520690.36000000
PA
USD
487599.88000000
0.067961291111
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Northern Trust Corp
549300GLF98S992BC502
Northern Trust Corp
665859104
24391.00000000
NS
USD
2840331.95000000
0.395883252692
Long
EC
CORP
US
N
1
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LK35
74734.87000000
PA
USD
78075.54000000
0.010882107892
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJMS6
23444.72000000
PA
USD
24971.58000000
0.003480519351
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FEBS8
5635764.74000000
PA
USD
105039.38000000
0.014640306889
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Variable
0.36800000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2021-FL6 Issuer Ltd
05601HAC8
1463000.00000000
PA
USD
1442774.61000000
0.201092800265
Long
ABS-CBDO
CORP
KY
N
2
2036-03-15
Floating
1.69700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WH5N1
208756.13000000
PA
USD
207205.29000000
0.028880111770
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDY67
392823.60000000
PA
USD
375373.94000000
0.052319327092
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
General Mills Inc
2TGYMUGI08PO8X8L6150
General Mills Inc
370334104
33917.00000000
NS
USD
2296859.24000000
0.320134450097
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYH6
75465.47000000
PA
USD
78940.05000000
0.011002602622
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032654
875000.00000000
PA
USD
877050.78000000
0.122242653913
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405HL71
27663.09000000
PA
USD
29957.42000000
0.004175441842
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FDEU2
2680944.71000000
PA
USD
65439.18000000
0.009120861887
Long
ABS-MBS
USGSE
US
N
2
2032-11-25
Variable
0.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJ2H2
251898.01000000
PA
USD
258935.36000000
0.036090208594
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292JAL4
12813.73000000
PA
USD
13878.96000000
0.001934438623
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312945AM0
312056.71000000
PA
USD
325897.14000000
0.045423289283
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TB4
650000.00000000
PA
USD
570171.88000000
0.079470112093
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MHS34
501650.00000000
PA
USD
480889.62000000
0.067026020304
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AA5A5
98109.07000000
PA
USD
103594.64000000
0.014438940154
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200KKD8
712.00000000
PA
USD
782.97000000
0.000109129748
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292KER4
14983.26000000
PA
USD
16097.02000000
0.002243590097
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCV4
459000.00000000
PA
USD
483551.08000000
0.067396972524
Long
DBT
CORP
US
N
2
2036-01-15
Fixed
4.27200000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBU79
242000.00000000
PA
USD
246626.39000000
0.034374593953
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Variable
3.18700000
N
N
N
N
N
N
MAGNA INTERNATIONAL INC
95RWVLFZX6VGDZNNTN43
Magna International Inc
559222AV6
685000.00000000
PA
USD
631083.65000000
0.087959947105
Long
DBT
CORP
CA
N
2
2030-06-15
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A04J2
29103.18000000
PA
USD
31402.87000000
0.004376907536
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291LXX8
19775.08000000
PA
USD
21126.09000000
0.002944537952
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RK6
68000.00000000
PA
USD
66230.94000000
0.009231216779
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407HWN2
16065.41000000
PA
USD
17246.26000000
0.002403770272
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RU4
2439000.00000000
PA
USD
2564284.58000000
0.357407985485
Long
DBT
UST
US
N
2
2046-11-15
Fixed
2.87500000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7H1
850000.00000000
PA
USD
802179.37000000
0.111807135161
Long
DBT
CORP
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGH1
81000.00000000
PA
USD
75497.97000000
0.010522848195
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAN3
564000.00000000
PA
USD
575297.04000000
0.080184452898
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412V4L9
10021.97000000
PA
USD
11081.38000000
0.001544514104
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENAA7
77676.22000000
PA
USD
82600.72000000
0.011512823952
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404B7G1
4335.31000000
PA
USD
4607.31000000
0.000642163275
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAV7
1700000.00000000
PA
USD
1572418.96000000
0.219162528689
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405RVJ2
6210.71000000
PA
USD
6599.75000000
0.000919868009
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405XDY6
70555.01000000
PA
USD
77224.17000000
0.010763444605
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBUB0
3341000.00000000
PA
USD
52598.03000000
0.007331072412
Long
ABS-MBS
USGSE
US
N
2
2027-09-25
Variable
0.28800000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAQ4
409000.00000000
PA
USD
414516.95000000
0.057775049307
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404XS39
30190.73000000
PA
USD
32774.99000000
0.004568152552
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
Thermo Fisher Scientific Inc
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556102
6098.00000000
NS
USD
3601783.70000000
0.502013803932
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJAD2
4577.48000000
PA
USD
5093.66000000
0.000709950359
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJCL2
19813.10000000
PA
USD
22142.34000000
0.003086182085
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7PU4
74756.23000000
PA
USD
79608.13000000
0.011095719091
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
4.50000000
N
N
N
N
N
N
WESTERN UNION CO/THE
28ID94QU1140NC23S047
Western Union Co/The
959802AY5
161000.00000000
PA
USD
159145.28000000
0.022181545046
Long
DBT
CORP
US
N
2
2025-01-10
Fixed
2.85000000
N
N
N
N
N
Bayview Financial Revolving Mortgage Loan Trust
N/A
Bayview Financial Revolving Asset Trust 2005-E
073250BW1
208582.03000000
PA
USD
256178.15000000
0.035705910814
Long
ABS-MBS
CORP
US
N
2
2040-12-28
Floating
2.04700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31388D4L9
17983.99000000
PA
USD
19305.86000000
0.002690835714
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
6.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BY4
577000.00000000
PA
USD
622210.17000000
0.086723168381
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
5.12500000
N
N
N
N
N
N
Cognizant Technology Solutions Corp
5493006IEVQEFQO40L83
Cognizant Technology Solutions Corp
192446102
36442.00000000
NS
USD
3267754.14000000
0.455457024289
Long
EC
CORP
US
N
1
N
N
N
Masco Corp
5GCSNMQXHEYA1JO8QN11
Masco Corp
574599106
107682.00000000
NS
USD
5491782.00000000
0.765440293426
Long
EC
CORP
US
N
1
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KHW31
106007.13000000
PA
USD
101854.28000000
0.014196370134
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WDYH1
241543.41000000
PA
USD
239935.63000000
0.033442041040
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
3.00000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAD2
736000.00000000
PA
USD
677008.72000000
0.094360947555
Long
DBT
CORP
JE
N
2
2034-03-31
Fixed
2.16000000
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FXZ50
1571777.83000000
PA
USD
37322.18000000
0.005201936349
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
0.33100000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AU2
500000.00000000
PA
USD
450948.65000000
0.062852871249
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09100000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KSXS6
17094.86000000
PA
USD
18759.78000000
0.002614723510
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LEW5
36983.25000000
PA
USD
40001.61000000
0.005575393214
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738BC1
198000.00000000
PA
USD
182742.46000000
0.025470501597
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.65000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297C6G0
8723.10000000
PA
USD
9317.25000000
0.001298631040
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404FYW7
6919.32000000
PA
USD
7356.77000000
0.001025380866
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECH1
373917.61000000
PA
USD
361472.34000000
0.050381732922
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.50000000
N
N
N
N
N
N
SVENSKA NY
N/A
SVENSKA NY
000000000
1000000.00000000
PA
USD
1000000.00000000
0.139379220338
Long
STIV
CORP
US
N
2
2022-04-01
Fixed
0.26000000
N
N
N
N
N
Cantor Fitzgerald & Co.
5493004J7H4GCPG6OB62
Cantor Fitzgerald & Co.
000000000
5000000.00000000
PA
USD
5000000.00000000
0.696896101690
Long
RA
CORP
US
N
2
Repurchase
Y
0.29000000
2022-04-01
20.00000000
USD
19.07000000
USD
UST
3499.98000000
USD
2.85000000
USD
ABS
302759.60000000
USD
116492.12000000
USD
ACMO
11635.95000000
USD
8817.18000000
USD
ADAS
8279867.78000000
USD
4974668.79000000
USD
AMBS
N
N
Chubb Ltd
E0JAN6VLUDI1HITHT809
Chubb Ltd
000000000
36747.00000000
NS
USD
7860183.30000000
1.095546220068
Long
EC
CORP
CH
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417NB67
36718.52000000
PA
USD
39721.71000000
0.005536380970
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
5.00000000
N
N
N
N
N
N
Omnicom Group Inc
HKUPACFHSSASQK8HLS17
Omnicom Group Inc
681919106
8821.00000000
NS
USD
748726.48000000
0.104356913028
Long
EC
CORP
US
N
1
N
N
N
Allegro CLO Ltd
635400THLJMIHHPCEN50
Allegro CLO IV Ltd
01749TAQ3
702748.00000000
PA
USD
698726.17000000
0.097387908804
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.79100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403VLY3
4745.78000000
PA
USD
5045.41000000
0.000703225312
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B1BS0
488421.33000000
PA
USD
490203.77000000
0.068324219269
Long
ABS-MBS
USGSE
US
N
2
2022-11-25
Fixed
2.51000000
N
N
N
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475105
25195.00000000
NS
USD
4647217.75000000
0.647725586736
Long
EC
CORP
US
N
1
N
N
N
VULCAN MATERIALS CO
549300Q8LSNHAVWBNI21
Vulcan Materials Co
929160AZ2
115000.00000000
PA
USD
114058.23000000
0.015897347170
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FVNL2
396103.00000000
PA
USD
37356.32000000
0.005206694756
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Variable
1.34200000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLS2
44871.24000000
PA
USD
45518.41000000
0.006344320496
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202F3N4
72987.34000000
PA
USD
77154.65000000
0.010753754962
Long
ABS-MBS
USGA
US
N
2
2042-02-20
Fixed
4.00000000
N
N
N
N
N
N
BOSTON SCIENTIFIC CORP
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp
101137BA4
470000.00000000
PA
USD
441008.43000000
0.061467411135
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.65000000
N
N
N
N
N
MARTIN MARIETTA MATERIAL
5299005MZ4WZECVATV08
Martin Marietta Materials Inc
573284AT3
263000.00000000
PA
USD
264170.72000000
0.036819908989
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.50000000
N
N
N
N
N
BCCXM0TQ5
N/A
BCCXM0TQ5
000000000
375000.00000000
PA
USD
378574.22000000
0.052765379623
Long
ABS-MBS
CORP
US
N
3
2052-04-01
Variable
1.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292H5P5
60055.85000000
PA
USD
65824.53000000
0.009174571670
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36205F4W0
74338.79000000
PA
USD
83387.38000000
0.011622468010
Long
ABS-MBS
USGA
US
N
2
2032-10-15
Fixed
6.00000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030N101
244419.00000000
NS
USD
11443697.58000000
1.595013646485
Long
EC
CORP
US
N
1
N
N
N
PPG Industries Inc
549300BKPEP01R3V6C59
PPG Industries Inc
693506107
30032.00000000
NS
USD
3936294.24000000
0.548637622192
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36295PM90
50511.39000000
PA
USD
56022.47000000
0.007808368190
Long
ABS-MBS
USGA
US
N
2
2038-01-15
Fixed
6.00000000
N
N
N
N
N
N
Amdocs Ltd
549300HQV672RJ7RQV66
Amdocs Ltd
000000000
46721.00000000
NS
USD
3840933.41000000
0.535346304056
Long
EC
CORP
GG
N
1
N
N
N
Invesco Ltd
ECPGFXU8A2SHKVVGJI15
Invesco Ltd
000000000
119940.00000000
NS
USD
2765816.40000000
0.385497333430
Long
EC
CORP
BM
N
1
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAJ0
640000.00000000
PA
USD
602005.52000000
0.083907060016
Long
DBT
CORP
KY
N
2
2027-02-15
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128KTMG2
14607.60000000
PA
USD
15693.44000000
0.002187339431
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.50000000
N
N
N
N
N
N
DEN NORSKE BANK OSLO
N/A
DEN NORSKE BANK OSLO
000000000
1000399.00000000
PA
USD
1000399.00000000
0.139434832647
Long
STIV
CORP
US
N
2
2022-09-07
Floating
0.83000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200J6N5
84259.28000000
PA
USD
91240.57000000
0.012717039509
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BJGN7
17632.87000000
PA
USD
1645.36000000
0.000229328993
Long
ABS-MBS
USGSE
US
N
2
2040-12-15
Fixed
4.50000000
N
N
N
N
N
N
EAST OHIO GAS CO/THE
BC95Y6MXLT75BGO7UM71
East Ohio Gas Co/The
27409LAC7
406000.00000000
PA
USD
362087.12000000
0.050467420480
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.00000000
N
N
N
N
N
JERSEY CENTRAL PWR & LT
549300W9UGH9ZPLNPF79
Jersey Central Power & Light Co
476556DD4
275000.00000000
PA
USD
256077.02000000
0.035691815394
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
2.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFLN9
347228.90000000
PA
USD
341873.40000000
0.047650047946
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFPH3
400266.73000000
PA
USD
407845.24000000
0.056845151569
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FPG5
78829.28000000
PA
USD
84609.66000000
0.011792828443
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
4.50000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161N101
74910.00000000
NS
USD
3567963.30000000
0.497299942949
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36225B2U1
51090.72000000
PA
USD
56845.88000000
0.007923134433
Long
ABS-MBS
USGA
US
N
2
2033-12-15
Fixed
5.50000000
N
N
N
N
N
N
MARTIN MARIETTA MATERIAL
5299005MZ4WZECVATV08
Martin Marietta Materials Inc
573284AV8
67000.00000000
PA
USD
61172.25000000
0.008526140511
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.50000000
N
N
N
N
N
N
NiSource Inc
549300D8GOWWH0SJB189
NiSource Inc
65473QBD4
156000.00000000
PA
USD
176810.35000000
0.024643688730
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
5.65000000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AL3
513000.00000000
PA
USD
538942.41000000
0.075117372912
Long
DBT
US
N
2
2029-01-15
Fixed
5.30000000
N
N
N
N
N
N
Oaktree CLO Ltd
635400SBDDFQR1OHEJ54
Oaktree CLO 2015-1 Ltd
67389XAH0
254518.00000000
PA
USD
254083.54000000
0.035413965705
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
1.60400000
N
N
N
N
N
N
VOYA CLO LTD
N/A
Voya 2012-4 Ltd
92916GBF0
584168.00000000
PA
USD
579322.91000000
0.080745575519
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.69100000
N
N
N
N
N
N
Lear Corp
549300UPNBTXA1SYTQ33
Lear Corp
521865204
22354.00000000
NS
USD
3187456.86000000
0.444265252008
Long
EC
CORP
US
N
1
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAK1
150000.00000000
PA
USD
152026.39000000
0.021189319709
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
4.87500000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297NBF2
14711.63000000
PA
USD
15662.97000000
0.002183092546
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.50000000
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CL9
404000.00000000
PA
USD
346436.14000000
0.048285999090
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
1.80000000
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBL4
351000.00000000
PA
USD
325072.07000000
0.045308291670
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
3.46900000
N
N
N
N
N
N
Axalta Coating Systems Ltd
529900AGLPA40GV6H619
Axalta Coating Systems Ltd
000000000
136936.00000000
NS
USD
3365886.88000000
0.469134689080
Long
EC
CORP
BM
N
1
N
N
N
General Mills Inc
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CF9
651000.00000000
PA
USD
664498.91000000
0.092617339991
Long
DBT
CORP
US
N
2
2025-04-17
Fixed
4.00000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36206YPQ8
3217.96000000
PA
USD
3434.50000000
0.000478697932
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
6.00000000
N
N
N
N
N
N
Medtronic PLC
549300GX3ZBSQWUXY261
Medtronic PLC
000000000
58716.00000000
NS
USD
6514540.20000000
0.907991533937
Long
EC
CORP
IE
N
1
N
N
N
Truist Financial Corp
549300DRQQI75D2JP341
Truist Financial Corp
89832Q109
170094.00000000
NS
USD
9644329.80000000
1.344219168207
Long
EC
CORP
US
N
1
N
N
N
Northwell Healthcare Inc
54930073NUTKK4QD3P47
Northwell Healthcare Inc
667274AC8
407000.00000000
PA
USD
410411.72000000
0.057202865551
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
4.26000000
N
N
N
N
N
BCCXM55E7
N/A
BCCXM55E7
000000000
309242.00000000
PA
USD
314774.53000000
0.043873028573
Long
ABS-MBS
CORP
US
N
3
2052-04-01
Variable
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407HWY8
10326.83000000
PA
USD
11085.88000000
0.001545141311
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JF5
145000.00000000
PA
USD
130288.46000000
0.018159503973
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448108
13236.00000000
NS
USD
2215441.68000000
0.308786534062
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P8FJ5
239868.06000000
PA
USD
240908.95000000
0.033577701623
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M9KT3
4374996.59000000
PA
USD
4065821.75000000
0.566691065548
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XF93
58146.55000000
PA
USD
63670.78000000
0.008874383674
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.50000000
N
N
N
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508104
24875.00000000
NS
USD
4564065.00000000
0.636135821272
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405CMV8
19992.41000000
PA
USD
21577.88000000
0.003007508090
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202ECB3
17291.53000000
PA
USD
19186.79000000
0.002674239830
Long
ABS-MBS
USGA
US
N
2
2035-01-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291XRG6
6080.18000000
PA
USD
6568.89000000
0.000915566766
Long
ABS-MBS
USGA
US
N
2
2035-06-15
Fixed
5.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACA1
557000.00000000
PA
USD
508715.89000000
0.070904424121
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
Vulcan Materials Co
549300Q8LSNHAVWBNI21
Vulcan Materials Co
929160109
13046.00000000
NS
USD
2396550.20000000
0.334029298377
Long
EC
CORP
US
N
1
N
N
N
Lear Corp
549300UPNBTXA1SYTQ33
Lear Corp
521865AY1
293000.00000000
PA
USD
293242.98000000
0.040871977922
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
3.80000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419JSM1
89645.21000000
PA
USD
93547.13000000
0.013038526044
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CP2
200000.00000000
PA
USD
189600.00000000
0.026426300176
Long
DBT
CORP
GB
N
2
2026-03-09
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A9RJ7
20474.47000000
PA
USD
3533.90000000
0.000492552226
Long
ABS-MBS
USGSE
US
N
2
2036-02-15
Fixed
5.50000000
N
N
N
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K305
1350.00000000
NS
USD
3754822.50000000
0.523344232558
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407CD53
28023.94000000
PA
USD
30326.44000000
0.004226875562
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405RR65
21477.44000000
PA
USD
23197.57000000
0.003233259220
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863BB5
200000.00000000
PA
USD
200092.24000000
0.027888700406
Long
DBT
CORP
GB
N
2
2029-03-16
Fixed
3.87500000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN22
000000000
38.00000000
NC
USD
-255116.65000000
-0.03555795977
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term US Treasury Bond Future
WNM2 COMDTY
2022-06-21
6985866.65000000
USD
-255116.65000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GQH2
300962.43000000
PA
USD
306952.60000000
0.042782814068
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.50000000
N
N
N
N
N
N
Henkel AG & Co KGaA
549300VZCL1HTH4O4Y49
Henkel AG & Co KGaA
000000000
47110.00000000
NS
3155052.63000000
0.439748775695
Long
EP
CORP
DE
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LM63
6670.04000000
PA
USD
7345.37000000
0.001023791943
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PML0
154769.36000000
PA
USD
153711.60000000
0.021424202964
Long
ABS-MBS
USGSE
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAH6
51000.00000000
PA
USD
52310.29000000
0.007290967435
Long
DBT
US
N
2
2029-05-15
Fixed
4.12500000
N
N
N
N
N
Southern Co/The
549300FC3G3YU2FBZD92
Southern Co/The
842587107
67722.00000000
NS
USD
4910522.22000000
0.684424758476
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENEK1
637277.40000000
PA
USD
677589.47000000
0.094441892037
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F2LJ3
354000.00000000
PA
USD
359578.76000000
0.050117807218
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Fixed
3.11700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPS47
19971.51000000
PA
USD
20878.67000000
0.002910052746
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
4.00000000
N
N
N
N
N
N
Roche Holding AG
549300U41AUUVOAAOB37
Roche Holding AG
000000000
9014.00000000
NS
3564814.48000000
0.496861062872
Long
EC
CORP
CH
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERQU7
191876.35000000
PA
USD
193880.14000000
0.027022862752
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FEZU7
528000.00000000
PA
USD
558930.82000000
0.077903341914
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Fixed
3.90000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
549300D5DIOOMKWXVZ20
Csail 2015-C2 Commercial Mortgage Trust
12634NAT5
738578.00000000
PA
USD
738787.39000000
0.102971610413
Long
ABS-MBS
CORP
US
N
2
2057-06-15
Fixed
3.50400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NJA7
315864.93000000
PA
USD
324321.58000000
0.045203688959
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Fixed
3.50000000
N
N
N
N
N
N
Archer-Daniels-Midland Co
549300LO13MQ9HYSTR83
Archer-Daniels-Midland Co
039483102
29854.00000000
NS
USD
2694622.04000000
0.375574319041
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J9V88
187550.66000000
PA
USD
187426.42000000
0.026123348290
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAG6
215000.00000000
PA
USD
212098.66000000
0.029562145865
Long
DBT
CORP
KY
N
2
2026-05-01
Fixed
4.37500000
N
N
N
N
N
N
STRU JPM 4278 DUS 2.990 APR 01
N/A
STRU JPM 4278 DUS 2.990 APR 01
000000000
333789.00000000
PA
USD
335327.56000000
0.046737693870
Long
ABS-MBS
CORP
US
N
3
2052-04-01
Variable
1.00000000
N
N
N
N
N
N
J M Smucker Co/The
5493000WDH6A0LHDJD55
J M Smucker Co/The
832696405
9666.00000000
NS
USD
1308873.06000000
0.182429706624
Long
EC
CORP
US
N
1
N
N
NXP Semiconductors NV
724500M9BY5293JDF951
NXP Semiconductors NV
000000000
16239.00000000
NS
USD
3005514.12000000
0.418906214760
Long
EC
CORP
NL
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECZ1
574422.00000000
PA
USD
553709.81000000
0.077175641611
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.50000000
N
N
N
N
N
N
New Jersey Turnpike Authority
5493005YN67D71KSMI84
NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
646139W35
1050000.00000000
PA
USD
1529451.53000000
0.213173761796
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
7.41400000
N
N
N
N
N
N
LoanCore 2021-CRE6 Issuer, Ltd.
N/A
LoanCore 2021-CRE6 Issuer Ltd
53948HAE6
3913500.00000000
PA
USD
3880916.20000000
0.540919074153
Long
ABS-CBDO
CORP
KY
N
2
2038-11-15
Floating
2.29700000
N
N
N
N
N
N
BCCXM4385
N/A
BCCXM4385
000000000
265000.00000000
PA
USD
270538.09000000
0.037707388055
Long
ABS-MBS
CORP
US
N
3
2052-04-01
None
0.00000000
N
N
N
N
N
N
Temasek Financial I Ltd
549300XMGMDF3VRJMF12
Temasek Financial I Ltd
87973PAC8
1790000.00000000
PA
USD
1793277.10000000
0.249945564048
Long
DBT
CORP
SG
N
2
2023-01-23
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404CMC1
9607.09000000
PA
USD
10214.74000000
0.001423722497
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fixed Income Clearing Corp
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
22846075.18000000
PA
USD
22846075.18000000
3.184268146374
Long
RA
CORP
US
N
2
Repurchase
N
0.00000000
2022-04-01
23239500.00000000
USD
23303036.89000000
USD
UST
N
N
N
Fiserv Inc
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738108
30994.00000000
NS
USD
3142791.60000000
0.438039842893
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405VJP3
43354.65000000
PA
USD
46745.04000000
0.006515287229
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECY4
788906.00000000
PA
USD
740371.12000000
0.103192349466
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404BNP3
40809.55000000
PA
USD
44012.29000000
0.006134398665
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405MWQ6
16323.56000000
PA
USD
17432.86000000
0.002429778435
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H3EZ1
453515.00000000
PA
USD
31359.75000000
0.004370897504
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Variable
0.85600000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGZ6
527000.00000000
PA
USD
527265.97000000
0.073489919809
Long
DBT
CORP
US
N
2
2026-01-23
Fixed
3.36600000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LCC1
61926.52000000
PA
USD
65867.67000000
0.009180584490
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
4.50000000
N
N
N
N
N
N
BDS Ltd
N/A
BDS 2019-FL4 LTD
05492KAA7
472556.74000000
PA
USD
471396.61000000
0.065702891971
Long
ABS-CBDO
CORP
KY
N
2
2036-08-15
Floating
1.54100000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKJ7
71415.10000000
PA
USD
72710.65000000
0.010134353707
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405KD73
3688.49000000
PA
USD
3958.76000000
0.000551768882
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
LABORATORY CORP OF AMER
OZ7UA8IXAIFILY2VZH07
Laboratory Corp of America Holdings
50540RAS1
209000.00000000
PA
USD
222536.06000000
0.031016902539
Long
DBT
CORP
US
N
2
2045-02-01
Fixed
4.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXE55
19864.41000000
PA
USD
22197.74000000
0.003093903694
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BDQ6
496000.00000000
PA
USD
505971.33000000
0.070521889488
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
3.87500000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJM64
35566.48000000
PA
USD
37883.51000000
0.005280174087
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications Inc
775109CC3
1514000.00000000
PA
USD
1502276.49000000
0.209386125908
Long
DBT
CORP
CA
N
2
2032-03-15
Fixed
3.80000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404P6Y2
9998.29000000
PA
USD
10804.20000000
0.001505880972
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EDG1
15338.32000000
PA
USD
17013.92000000
0.002371386904
Long
ABS-MBS
USGA
US
N
2
2035-04-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ER5E6
173229.24000000
PA
USD
181241.40000000
0.025261285024
Long
ABS-MBS
USGSE
US
N
2
2044-05-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LJS9
32248.31000000
PA
USD
35319.32000000
0.004922779284
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAZ4
10500000.00000000
PA
USD
9707578.13000000
1.353034671130
Long
DBT
UST
US
N
2
2025-11-30
Fixed
0.37500000
N
N
N
N
N
N
ALCON FINANCE CORP
549300CUZUI9VU7XNK42
Alcon Finance Corp
01400EAC7
462000.00000000
PA
USD
430518.55000000
0.060005339840
Long
DBT
CORP
US
N
2
2049-09-23
Fixed
3.80000000
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBN4
554000.00000000
PA
USD
558362.73000000
0.077824161973
Long
DBT
CORP
US
N
2
2027-03-09
Fixed
3.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394CSB9
11097.39000000
PA
USD
11367.21000000
0.001584352867
Long
ABS-MBS
USGSE
US
N
2
2025-03-25
Fixed
5.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
466000.00000000
PA
USD
483247.19000000
0.067354616572
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
BBVA BANCOMER SA TEXAS
549300WIWQK5Q9MCUN92
BBVA Bancomer SA/Texas
05533UAC2
810000.00000000
PA
USD
823251.60000000
0.114744166150
Long
DBT
CORP
MX
N
2
2022-09-30
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPUM4
36002.70000000
PA
USD
38283.45000000
0.005335917412
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.50000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918104
53927.00000000
NS
USD
16626233.37000000
2.317351444270
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297GXJ5
11287.22000000
PA
USD
12217.79000000
0.001702906044
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406B2L3
77275.57000000
PA
USD
83033.48000000
0.011573141704
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
Business Jet Securities, LLC
N/A
Business Jet Securities 2021-1 LLC
12327BAA4
362139.35000000
PA
USD
336762.98000000
0.046937761591
Long
ABS-O
CORP
US
N
2
2036-04-15
Fixed
2.16200000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AS5
485000.00000000
PA
USD
512918.63000000
0.071490198746
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406TAC5
30683.76000000
PA
USD
33542.42000000
0.004675116347
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDYN0
393201.53000000
PA
USD
376923.55000000
0.052535310526
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887109
8423.00000000
NS
USD
2240518.00000000
0.312281651993
Long
EC
CORP
US
N
1
N
N
N
STRU JPM 4272 DUS APR 01 52
8I5DZWZKVSZI1NUHU748
STRU JPM 4272 DUS APR 01 52
000000000
1045281.00000000
PA
USD
1049404.96000000
0.146265245143
Long
ABS-MBS
CORP
US
N
3
2052-04-01
Variable
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JJC3
26811.63000000
PA
USD
29260.57000000
0.004078315433
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X13A2
157059.29000000
PA
USD
160205.68000000
0.022329342772
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F9Z38
441180.00000000
PA
USD
31050.16000000
0.004327747092
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
0.93600000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AM9
330000.00000000
PA
USD
277955.70000000
0.038741248754
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.40000000
N
N
N
N
N
N
Dollar Tree Inc
549300PMSTQITB1WHR43
Dollar Tree Inc
256746108
6359.00000000
NS
USD
1018393.85000000
0.141942940810
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2AX7
83078.16000000
PA
USD
86691.73000000
0.012083025737
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBC9
800000.00000000
PA
USD
788560.97000000
0.109909013187
Long
DBT
US
N
2
2024-11-18
Fixed
2.62500000
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CNC3
19075.92000000
PA
USD
19263.39000000
0.002684916279
Long
ABS-O
USGA
US
N
2
2023-07-01
Fixed
4.35000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822CD4
920000.00000000
PA
USD
857253.61000000
0.119483339793
Long
DBT
CORP
JP
N
2
2033-01-19
Fixed
2.85200000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407VTF2
21510.74000000
PA
USD
23232.18000000
0.003238083135
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.00000000
N
N
N
N
N
N
Regal Rexnord Corp
QH78R09VCJGQKPBPYU33
Regal Rexnord Corp
758750103
14606.00000000
NS
USD
2173080.68000000
0.302882290910
Long
EC
CORP
US
N
1
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FPF7
280440.22000000
PA
USD
293276.55000000
0.040876656882
Long
ABS-MBS
USGA
US
N
2
2041-01-20
Fixed
4.00000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
627000.00000000
PA
USD
639102.80000000
0.089077649979
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300S7ENI2U7O0XH56
Wells Fargo Commercial Mortgage Trust 2015-C28
94989JAZ9
1410327.00000000
PA
USD
1415426.46000000
0.197281036440
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Fixed
3.54000000
N
N
N
N
N
N
Applied Materials Inc
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222105
31025.00000000
NS
USD
4089095.00000000
0.569934872988
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1Y58
60001.40000000
PA
USD
55842.77000000
0.007783321744
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201KAN6
1069.08000000
PA
USD
1151.96000000
0.000160559286
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
6.00000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBT6
1226000.00000000
PA
USD
1153791.43000000
0.160814549946
Long
DBT
CORP
US
N
2
2032-01-12
Fixed
2.72100000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404YMU3
142337.46000000
PA
USD
155610.10000000
0.021688814414
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLH0
102117.90000000
PA
USD
102612.74000000
0.014302083697
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQ5E8
43902.94000000
PA
USD
46686.31000000
0.006507101488
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297AZP2
7085.75000000
PA
USD
7612.46000000
0.001061018739
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
6.50000000
N
N
N
N
N
N
2020 CASH EXCH TRUST
N/A
2020 Cash Mandatory Exchangeable Trust
901375105
1603.00000000
NS
USD
1787345.00000000
0.249118752575
Long
EP
CORP
US
N
2
N
N
Cent CLO LP
549300K7BI8XA1XTMK83
Columbia Cent CLO 28 Ltd
197361AS7
1026773.00000000
PA
USD
1010864.18000000
0.140893461276
Long
ABS-CBDO
CORP
KY
N
2
2030-11-07
Floating
2.01500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407NAV5
7813.47000000
PA
USD
8343.81000000
0.001162953732
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297CNS5
2000.48000000
PA
USD
2137.14000000
0.000297872906
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BH5
475000.00000000
PA
USD
419198.54000000
0.058427565672
Long
DBT
CORP
US
N
2
2033-10-15
Fixed
2.75000000
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CY3
502000.00000000
PA
USD
524741.91000000
0.073138118294
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036P108
10526.00000000
NS
USD
2424348.32000000
0.337903778669
Long
EC
CORP
US
N
1
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CL6
134000.00000000
PA
USD
128724.91000000
0.017941577593
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.87500000
N
N
N
N
N
Willis Towers Watson PLC
549300WHC56FF48KL350
Willis Towers Watson PLC
000000000
23634.00000000
NS
USD
5582823.48000000
0.778129583927
Long
EC
CORP
IE
N
1
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AM6S9
32798.73000000
PA
USD
33431.73000000
0.004659688461
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHX1
357560.00000000
PA
USD
40999.12000000
0.005714425380
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Variable
1.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WAFE2
64094.75000000
PA
USD
64760.87000000
0.009026319569
Long
ABS-MBS
USGSE
US
N
2
2028-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371J5A8
13830.81000000
PA
USD
15055.01000000
0.002098355555
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
6.50000000
N
N
N
N
N
N
Johnson Controls International plc
549300XQ6S1GYKGBL205
Johnson Controls International plc
000000000
123058.00000000
NS
USD
8068913.06000000
1.124638811278
Long
EC
CORP
IE
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404U5K2
60946.91000000
PA
USD
67806.41000000
0.009450804559
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
6.00000000
N
N
N
N
N
N
Wendy's Co/The
529900M0JIUCMWVKHG76
Wendy's Co/The
95058W100
74150.00000000
NS
USD
1629075.50000000
0.227059273061
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398RDA0
36225.31000000
PA
USD
36334.05000000
0.005064211560
Long
ABS-MBS
USGSE
US
N
2
2040-05-25
Fixed
3.25000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FY7
1021000.00000000
PA
USD
994443.57000000
0.138604769456
Long
DBT
CORP
US
N
2
2040-05-13
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J4MM8
167041.95000000
PA
USD
169235.30000000
0.023587884167
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKY77
130198.61000000
PA
USD
128437.01000000
0.017901450316
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405PNR7
15194.13000000
PA
USD
16484.28000000
0.002297566094
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAR3
410000.00000000
PA
USD
379443.09000000
0.052886482046
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.20000000
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXG4
1755000.00000000
PA
USD
1627956.13000000
0.226903256144
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
2.60000000
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBG0
517000.00000000
PA
USD
470052.18000000
0.065515506366
Long
DBT
US
N
2
2027-07-15
Fixed
1.80000000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAQ3
303000.00000000
PA
USD
303965.36000000
0.042366454886
Long
DBT
US
N
2
2023-06-15
Fixed
3.00000000
N
N
N
N
N
DIAGEO CAPITAL PLC
213800L23DJLALFC4O95
Diageo Capital PLC
25243YBB4
835000.00000000
PA
USD
790496.37000000
0.110178767730
Long
DBT
CORP
GB
N
2
2029-10-24
Fixed
2.37500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405MW29
12403.09000000
PA
USD
13178.03000000
0.001836743546
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Best Buy Co Inc
HL5XPTVRV0O8TUN5LL90
Best Buy Co Inc
08652BAA7
648000.00000000
PA
USD
675757.56000000
0.094186561850
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
4.45000000
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAN4
193000.00000000
PA
USD
166683.10000000
0.023232160521
Long
DBT
CORP
US
N
2
2032-09-15
Fixed
1.85000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A5GN6
110372.67000000
PA
USD
115457.46000000
0.016092370757
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BE7
208000.00000000
PA
USD
189941.50000000
0.026473898179
Long
DBT
CORP
US
N
2
2031-04-27
Fixed
2.85000000
N
N
N
N
N
RAYMOND JAMES FINANCIAL
RGUZHJ05YTITL6D76949
Raymond James Financial Inc
754730AF6
696000.00000000
PA
USD
779338.64000000
0.108623612022
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
4.95000000
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040669
300000.00000000
PA
USD
304020.89000000
0.042374194614
Long
ABS-MBS
USGSE
US
N
2
2052-06-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404QM71
29393.19000000
PA
USD
31547.63000000
0.004397084072
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
OCP CLO Ltd
254900FZYL5HDKV64882
OCP CLO 2015-10 Ltd
67092DAV1
4041128.00000000
PA
USD
3989510.67000000
0.556054886715
Long
ABS-CBDO
CORP
KY
N
2
2034-01-26
Floating
1.78300000
N
N
N
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
Cigna Corp
125523100
45916.00000000
NS
USD
11001932.76000000
1.533440810301
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202ECQ0
8703.31000000
PA
USD
9662.48000000
0.001346748928
Long
ABS-MBS
USGA
US
N
2
2035-02-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403WKD8
17021.66000000
PA
USD
18097.70000000
0.002522443315
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JAJ97
221595.25000000
PA
USD
221380.14000000
0.030855791311
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405DWE3
12937.30000000
PA
USD
14117.01000000
0.001967617847
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B6DQ0
191578.00000000
PA
USD
183887.14000000
0.025630046203
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JH1
283000.00000000
PA
USD
231609.14000000
0.032281501356
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CNT6
2448.43000000
PA
USD
2491.90000000
0.000347319079
Long
ABS-O
USGA
US
N
2
2024-05-01
Fixed
5.18000000
N
N
N
N
N
N
HUNTINGTON INGALLS INDUS
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries Inc
446413AS5
180000.00000000
PA
USD
181922.76000000
0.025356252450
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
3.84400000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUA1
528243.45000000
PA
USD
535840.67000000
0.074685054810
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404AHA5
11043.89000000
PA
USD
11755.07000000
0.001638412491
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291ACR8
15804.13000000
PA
USD
16977.48000000
0.002366307925
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
4.50000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CP2
258000.00000000
PA
USD
236435.44000000
0.032954187287
Long
DBT
CORP
DE
N
2
2027-11-16
Fixed
2.31100000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C28
46644FAD3
1036740.00000000
PA
USD
1029728.53000000
0.143522759671
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.22700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1Y41
93095.00000000
PA
USD
86699.63000000
0.012084126833
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AMD58
35893.81000000
PA
USD
38597.41000000
0.005379676912
Long
ABS-MBS
USGA
US
N
2
2040-06-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413GAG5
31041.80000000
PA
USD
33868.16000000
0.004720517735
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
455000.00000000
PA
USD
456148.82000000
0.063577666889
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HNZH5
13971.03000000
PA
USD
13963.22000000
0.001946182717
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
DuPont de Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26614N102
47903.00000000
NS
USD
3524702.74000000
0.491270319824
Long
EC
CORP
US
N
1
N
N
N
Danaher Corp
S4BKK9OTCEWQ3YHPFM11
Danaher Corp
235851300
418.00000000
NS
USD
846345.50000000
0.117962975926
Long
EP
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYK9
165063.98000000
PA
USD
172655.94000000
0.024064650303
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BW87
175458.37000000
PA
USD
186700.94000000
0.026022231453
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBM7
879000.00000000
PA
USD
794385.85000000
0.110720880420
Long
DBT
CORP
US
N
2
2041-04-22
Fixed
3.10900000
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAU0
548000.00000000
PA
USD
487392.89000000
0.067932441006
Long
DBT
CORP
KY
N
2
2030-06-03
Fixed
2.39000000
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAA9
217000.00000000
PA
USD
218979.94000000
0.030521253306
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCAK4
141426.66000000
PA
USD
135241.21000000
0.018849814407
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404LQM5
11355.10000000
PA
USD
12150.32000000
0.001693502128
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.50000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAQ2
106000.00000000
PA
USD
107531.44000000
0.014987648269
Long
DBT
CORP
US
N
2
2051-03-24
Fixed
4.40000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEAV4
166977.51000000
PA
USD
160030.87000000
0.022304977890
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413F7J5
28099.82000000
PA
USD
30346.55000000
0.004229678478
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
Walmart Inc
931142103
31537.00000000
NS
USD
4696490.04000000
0.654593120100
Long
EC
CORP
US
N
1
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BFE98
424000.00000000
PA
USD
428590.27000000
0.059736577677
Long
ABS-MBS
USGSE
US
N
2
2024-10-25
Fixed
3.17100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FP67
70842.86000000
PA
USD
74432.13000000
0.010374292247
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
4.00000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAE2
644000.00000000
PA
USD
593298.48000000
0.082693479570
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.20000000
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CPA5
5711.19000000
PA
USD
5734.24000000
0.000799233900
Long
ABS-O
USGA
US
N
2
2024-09-01
Fixed
4.99000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAJ9
108000.00000000
PA
USD
104679.37000000
0.014590128976
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.20000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36208PYJ1
10732.71000000
PA
USD
11632.07000000
0.001621268847
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
6.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEL5
919000.00000000
PA
USD
861781.30000000
0.120114405695
Long
DBT
CORP
US
N
2
2033-01-21
Fixed
2.94300000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MBH82
71478.52000000
PA
USD
74767.31000000
0.010421009374
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FCJM7
3310248.99000000
PA
USD
55411.91000000
0.007723268813
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Variable
0.32800000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022642
4115000.00000000
PA
USD
3925967.19000000
0.547198246015
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.50000000
N
N
N
N
N
N
Starwood Commercial Mortgage Trust
N/A
STWD 2022-FL3 Ltd
78485KAE5
1507000.00000000
PA
USD
1492220.40000000
0.207984515924
Long
ABS-CBDO
CORP
KY
N
2
2038-11-15
Floating
1.85000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BZ6
628000.00000000
PA
USD
521950.47000000
0.072749049563
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAK0
657000.00000000
PA
USD
600017.73000000
0.083630003396
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4ZA4
10884.07000000
PA
USD
11915.70000000
0.001660800975
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WR26
1154239.59000000
PA
USD
1121005.10000000
0.156244816833
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
2.50000000
N
N
N
N
N
N
Republic Services Inc
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AT7
397000.00000000
PA
USD
408087.71000000
0.056878946849
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.95000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WLP1
310440.31000000
PA
USD
301501.67000000
0.042023067695
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405ELT0
5678.95000000
PA
USD
6060.20000000
0.000844665951
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
6.00000000
N
N
N
N
N
N
Stanley Black & Decker Inc
549300DJ09SMTO561131
Stanley Black & Decker Inc
854502101
30257.00000000
NS
USD
4229626.03000000
0.589521978383
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5XN8
163106.88000000
PA
USD
155848.52000000
0.021722045208
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L5AD5
591941.82000000
PA
USD
591487.84000000
0.082441113978
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
CHCP 2021-FL1 Ltd.
N/A
CHCP 2021-FL1 Ltd
12546JAC8
650500.00000000
PA
USD
642546.92000000
0.089557688740
Long
ABS-CBDO
CORP
KY
N
2
2038-02-15
Floating
1.46400000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-4
35563PMN6
101739.49000000
PA
USD
100533.77000000
0.014012318480
Long
ABS-MBS
USGSE
US
N
2
2059-02-25
Fixed
3.00000000
N
N
N
N
N
N
PACCAR Inc
KDTEY8BWE486IKZ3CC07
PACCAR Inc
693718108
27265.00000000
NS
USD
2401228.55000000
0.334681363152
Long
EC
CORP
US
N
1
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-3
35563PLK3
99255.37000000
PA
USD
100927.45000000
0.014067189291
Long
ABS-MBS
USGSE
US
N
2
2058-10-25
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620A9WQ0
69680.64000000
PA
USD
75014.99000000
0.010455530819
Long
ABS-MBS
USGA
US
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN22
000000000
-105.00000000
NC
USD
214072.85000000
0.029837306928
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Ultra 10-Year US Treasury Note Futures
UXYM2 COMDTY
2022-06-21
-14438291.60000000
USD
214072.85000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FARJ9
4483000.00000000
PA
USD
50878.91000000
0.007091462807
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Variable
0.50800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200RLF7
529.80000000
PA
USD
589.96000000
0.000082228164
Long
ABS-MBS
USGA
US
N
2
2031-12-15
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BYPS3
1545546.07000000
PA
USD
23465.56000000
0.003270611457
Long
ABS-MBS
USGSE
US
N
2
2024-04-25
Variable
0.89500000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34
61767EAE4
519442.00000000
PA
USD
521980.05000000
0.072753172401
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.53600000
N
N
N
N
N
N
Santander Retail Auto Lease Trust
N/A
Santander Retail Auto Lease Trust 2020-A
80286KAE2
487000.00000000
PA
USD
486331.64000000
0.067784524808
Long
ABS-O
CORP
US
N
2
2024-03-20
Fixed
1.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MHSV2
122467.00000000
PA
USD
114033.74000000
0.015893933773
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Nestle SA
KY37LUS27QQX7BB93L28
Nestle SA
000000000
16350.00000000
NS
2122570.28000000
0.295842190739
Long
EC
CORP
CH
N
2
N
N
N
OCBC LONDON
N/A
OCBC LONDON
000000000
99983.00000000
PA
USD
99983.00000000
0.013935552587
Long
STIV
CORP
US
N
2
2022-04-14
Fixed
0.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404WRQ1
18336.43000000
PA
USD
20072.79000000
0.002797729820
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
MS GOVT US LEX
N/A
MS GOVT US LEX
000000000
1000000.00000000
NS
USD
1000000.00000000
0.139379220338
Long
STIV
RF
US
N
1
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAF5
558000.00000000
PA
USD
492056.75000000
0.068582486177
Long
DBT
CORP
XX
N
2
2041-05-11
Fixed
3.25000000
N
N
N
N
N
WESTINGHOUSE AIR BRAKE
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
960386AQ3
248000.00000000
PA
USD
242107.03000000
0.033744689079
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WD3L3
482048.26000000
PA
USD
491369.17000000
0.068486651812
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WH5Q4
348691.09000000
PA
USD
346809.23000000
0.048338000083
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
GSK CONSUMER HEALTHCARE
549300N8C3A3L0UVQB07
GSK Consumer Healthcare Capital US LLC
36264FAC5
542000.00000000
PA
USD
536476.38000000
0.074773659574
Long
DBT
CORP
US
N
2
2029-03-24
Fixed
3.37500000
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFE9
310000.00000000
PA
USD
304877.36000000
0.042493568735
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZZ0
384386.00000000
PA
USD
44828.90000000
0.006248217130
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.66300000
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C26
46643TBJ0
1590000.00000000
PA
USD
1594131.62000000
0.222188822311
Long
ABS-MBS
CORP
US
N
2
2048-01-15
Fixed
3.49400000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAL2
334000.00000000
PA
USD
328987.70000000
0.045854049126
Long
DBT
CORP
NL
N
2
2024-09-10
Fixed
2.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERCZ1
51442.87000000
PA
USD
53823.45000000
0.007501870496
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FYUL8
1261017.93000000
PA
USD
48098.38000000
0.006703914703
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Variable
0.52900000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020646
2175000.00000000
PA
USD
2018926.76000000
0.281396437728
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WHJY2
531397.44000000
PA
USD
528204.25000000
0.073620696544
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419B5X9
153383.22000000
PA
USD
160445.17000000
0.022362722701
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BH4
242000.00000000
PA
USD
265720.46000000
0.037035910542
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405XTJ2
130257.37000000
PA
USD
139781.94000000
0.019482697814
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.50000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCN8
1536000.00000000
PA
USD
1428519.18000000
0.199105889546
Long
DBT
CORP
JP
N
2
2029-01-14
Fixed
2.47200000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312943UJ0
201152.32000000
PA
USD
210571.00000000
0.029349221805
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
4.00000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BE2
582000.00000000
PA
USD
602772.03000000
0.084013895583
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.62500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407PYP7
14739.95000000
PA
USD
16331.00000000
0.002276202047
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
6.00000000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2021-FL4 Ltd
05609GAC2
1532500.00000000
PA
USD
1508102.91000000
0.210198207785
Long
ABS-CBDO
CORP
US
N
2
2038-05-15
Floating
1.69700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385JMS4
7688.64000000
PA
USD
8420.98000000
0.001173709626
Long
ABS-MBS
USGSE
US
N
2
2032-07-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BMTX4
317000.00000000
PA
USD
320933.65000000
0.044731481917
Long
ABS-MBS
USGSE
US
N
2
2025-11-25
Fixed
3.15100000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
05530QAP5
1224000.00000000
PA
USD
1226603.18000000
0.170962994892
Long
DBT
CORP
GB
N
2
2028-03-16
Fixed
4.44800000
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBJ2
331000.00000000
PA
USD
313083.20000000
0.043637292316
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
3.95100000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BX6
587000.00000000
PA
USD
639374.52000000
0.089115522101
Long
DBT
CORP
US
N
2
2047-06-06
Fixed
4.66900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406ANH1
2939.08000000
PA
USD
3138.79000000
0.000437482103
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A7PB8
79088.53000000
PA
USD
83721.48000000
0.011669034607
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FAWU8
3833228.88000000
PA
USD
102156.70000000
0.014238521198
Long
ABS-MBS
USGSE
US
N
2
2027-07-25
Variable
0.57700000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDR2
573000.00000000
PA
USD
647991.84000000
0.090316597444
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
4.81200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FDVW3
104993.75000000
PA
USD
104336.22000000
0.014542300996
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FCLF9
3644801.54000000
PA
USD
51716.09000000
0.007208148303
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Variable
0.28900000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBC38
3107000.00000000
PA
USD
56010.51000000
0.007806701214
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Variable
0.32900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312934M58
123423.86000000
PA
USD
133712.00000000
0.018636674309
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297HGM5
6057.33000000
PA
USD
6441.32000000
0.000897786159
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2022-FL8 Issuer Ltd
055983AE0
524000.00000000
PA
USD
521627.75000000
0.072704069101
Long
ABS-O
CORP
KY
N
2
2037-02-15
Floating
2.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DYJ4
5063.05000000
PA
USD
5391.92000000
0.000751521605
Long
ABS-MBS
USGA
US
N
2
2033-07-20
Fixed
4.50000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JBK9
713000.00000000
PA
USD
812567.50000000
0.113255024622
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405FXF4
10958.72000000
PA
USD
11710.02000000
0.001632133457
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAS0
213000.00000000
PA
USD
198573.18000000
0.027676975008
Long
DBT
US
N
2
2025-07-15
Fixed
1.35000000
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBTE6
4897000.00000000
PA
USD
45313.41000000
0.006315747756
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Variable
0.31600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HHF42
483612.37000000
PA
USD
488649.55000000
0.068107593297
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
3.00000000
N
N
N
N
N
N
Verisk Analytics Inc
549300I1YSWNIRKBWP67
Verisk Analytics Inc
92345YAF3
630000.00000000
PA
USD
649605.54000000
0.090541513692
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.12500000
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAR5
665000.00000000
PA
USD
604460.53000000
0.084249237396
Long
DBT
CORP
US
N
2
2040-04-05
Fixed
3.37700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETDS2
96197.89000000
PA
USD
100380.96000000
0.013991019941
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.00000000
N
N
N
N
N
N
RPM INTERNATIONAL INC
549300TJCKW4BRXPJ474
RPM International Inc
749685AY9
491000.00000000
PA
USD
450080.55000000
0.062731876148
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.95000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M4C43
10098.74000000
PA
USD
10826.59000000
0.001509001673
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419CSC8
12417.20000000
PA
USD
13143.26000000
0.001831897331
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMZC1
470434.00000000
PA
USD
450094.58000000
0.062733831638
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJMN7
42841.28000000
PA
USD
45631.95000000
0.006360145613
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296XVE2
9140.09000000
PA
USD
9725.92000000
0.001355591146
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLR4
539524.13000000
PA
USD
537216.65000000
0.074876837829
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FARG5
1573524.57000000
PA
USD
14535.43000000
0.002025936900
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Variable
0.60400000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B3NA2
793541.45000000
PA
USD
801382.27000000
0.111696035985
Long
ABS-MBS
USGSE
US
N
2
2023-04-25
Variable
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405MZF7
24413.99000000
PA
USD
26196.96000000
0.003651311860
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H2NA8
361575.00000000
PA
USD
27231.23000000
0.003795467606
Long
ABS-MBS
USGSE
US
N
2
2031-07-25
Variable
0.93800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405N4M4
22110.17000000
PA
USD
23726.36000000
0.003306961558
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857LAR9
424000.00000000
PA
USD
459863.89000000
0.064095470449
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
4.62500000
N
N
N
N
N
N
ICON PLC
6354008SRQGEMC4XFI67
ICON PLC
000000000
7796.00000000
NS
USD
1896143.12000000
0.264282949715
Long
EC
CORP
IE
N
1
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505104
249262.00000000
NS
USD
10274579.64000000
1.432062899525
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AVY2
58948.92000000
PA
USD
60127.84000000
0.008380571459
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377YEC0
57602.49000000
PA
USD
59192.14000000
0.008250154323
Long
ABS-MBS
USGA
US
N
2
2041-07-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TQN8
752903.94000000
PA
USD
749646.78000000
0.104485183725
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3620AFWD5
105687.49000000
PA
USD
114787.28000000
0.015998961591
Long
ABS-MBS
USGA
US
N
2
2040-03-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405FZM7
1595.23000000
PA
USD
1704.28000000
0.000237541217
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F84L4
400945.00000000
PA
USD
32100.42000000
0.004474131512
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
1.08100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405FTX0
15174.91000000
PA
USD
16258.43000000
0.002266087297
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H3EX6
484285.72000000
PA
USD
19658.71000000
0.002740015672
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Variable
0.50800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297VPS1
15604.79000000
PA
USD
16761.92000000
0.002336263340
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B2HN3
684987.91000000
PA
USD
690834.14000000
0.096287923816
Long
ABS-MBS
USGSE
US
N
2
2023-02-25
Fixed
3.11100000
N
N
N
N
N
N
PNC BANK NA
AD6GFRVSDT01YPT1CS68
PNC Bank NA
69349LAS7
250000.00000000
PA
USD
240032.24000000
0.033455506467
Long
DBT
CORP
US
N
2
2029-10-22
Fixed
2.70000000
N
N
N
N
N
Neuberger Berman CLO Ltd
549300UTI4Y2IA4RUP16
Neuberger Berman CLO XV
64129KBG1
508944.00000000
PA
USD
503357.83000000
0.070157621896
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
1.59100000
N
N
N
N
N
N
GENUINE PARTS CO
549300D46DQVEU651W04
Genuine Parts Co
372460AC9
814000.00000000
PA
USD
746980.64000000
0.104113579210
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417TNK0
45606.06000000
PA
USD
48468.08000000
0.006755443201
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
4.50000000
N
N
N
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
656531AC4
100000.00000000
PA
USD
106054.04000000
0.014781729408
Long
DBT
CORP
NO
N
2
2023-06-15
Fixed
7.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WXK9
174373.88000000
PA
USD
172618.21000000
0.024059391525
Long
ABS-MBS
USGA
US
N
2
2052-02-20
Fixed
3.00000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
902973304
39951.00000000
NS
USD
2123395.65000000
0.295957230166
Long
EC
CORP
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN22
000000000
52.00000000
NC
USD
-135058.46000000
-0.01882434285
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year US Treasury Note Future
TUM2 COMDTY
2022-06-30
11154996.01000000
USD
-135058.46000000
N
N
N
AREIT CRE Trust
N/A
AREIT 2019-CRE3 Trust
00217LAC6
1953000.00000000
PA
USD
1952075.27000000
0.272078729173
Long
ABS-CBDO
CORP
US
N
2
2036-09-14
Floating
1.46400000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B4WB8
59000.00000000
PA
USD
59571.40000000
0.008303015286
Long
ABS-MBS
USGSE
US
N
2
2023-07-25
Variable
3.06000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412V4J4
6811.76000000
PA
USD
7353.55000000
0.001024932065
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SK5
11245000.00000000
PA
USD
10999894.08000000
1.533156660672
Long
DBT
UST
US
N
2
2049-11-15
Fixed
2.37500000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076102
2887.00000000
NS
USD
864165.71000000
0.120446742902
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HMCR3
42716.89000000
PA
USD
43141.49000000
0.006013027240
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201XAB4
8155.61000000
PA
USD
8911.20000000
0.001242036108
Long
ABS-MBS
USGA
US
N
2
2034-12-15
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDM0
6700000.00000000
PA
USD
6512347.67000000
0.907685940815
Long
DBT
UST
US
N
2
2023-11-30
Fixed
0.50000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAX9
590000.00000000
PA
USD
609018.68000000
0.084884548789
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.05000000
N
N
N
N
N
N
SPECTRA ENERGY PARTNERS
2HKVXE7U4NF5B6UGSU72
Spectra Energy Partners LP
84756NAH2
236000.00000000
PA
USD
236089.49000000
0.032905969046
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
3.37500000
N
N
N
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
Intel Corp
458140100
104730.00000000
NS
USD
5190418.80000000
0.723436525572
Long
EC
CORP
US
N
1
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFX2
441000.00000000
PA
USD
446465.86000000
0.062228063474
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
3.50000000
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAN6
357000.00000000
PA
USD
361080.44000000
0.050327110206
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
3.89700000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
Societe Generale
000000000
3000000.00000000
PA
USD
3000000.00000000
0.418137661014
Long
RA
CORP
US
N
2
Repurchase
Y
0.41000000
2022-04-01
42780.31000000
USD
3333869.13000000
USD
EQT
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405PGR5
31105.08000000
PA
USD
33107.44000000
0.004614489174
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291ADH9
15225.47000000
PA
USD
16366.19000000
0.002281106802
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
4.50000000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109AX2
174000.00000000
PA
USD
170869.25000000
0.023815622844
Long
DBT
US
N
2
2031-01-15
Fixed
3.25000000
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AX8
304000.00000000
PA
USD
258230.57000000
0.035991975514
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.45000000
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
1499000.00000000
PA
USD
1456792.18000000
0.203046558243
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
Rio Tinto PLC
213800YOEO5OQ72G2R82
Rio Tinto PLC
000000000
17970.00000000
NS
1425486.93000000
0.198683256905
Long
EC
CORP
GB
N
2
N
N
N
Discovery Inc
5493006ZCRFWKF6B1K26
Discovery Inc
25470F302
56741.00000000
NS
USD
1416822.77000000
0.197475653039
Long
EC
CORP
US
N
1
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ARB31
73857.94000000
PA
USD
70799.48000000
0.009867976322
Long
ABS-MBS
USGSE
US
N
2
2046-04-25
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RBW8
100855.10000000
PA
USD
100586.80000000
0.014019709760
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FCM68
5804586.01000000
PA
USD
41894.02000000
0.005839155844
Long
ABS-MBS
USGSE
US
N
2
2024-10-25
Variable
0.34500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F5D3
77538.35000000
PA
USD
83895.94000000
0.011693350706
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BJF65
45554.88000000
PA
USD
45209.03000000
0.006301199353
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Fixed
3.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust
90278MBA4
743153.00000000
PA
USD
714418.25000000
0.099575058680
Long
ABS-MBS
CORP
US
N
2
2052-10-15
Fixed
2.92100000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAB1
320000.00000000
PA
USD
310054.12000000
0.043215101508
Long
DBT
CORP
IE
N
2
2027-07-21
Fixed
3.65000000
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBW2
234000.00000000
PA
USD
232191.91000000
0.032362727384
Long
DBT
CORP
US
N
2
2050-01-31
Fixed
4.20000000
N
N
N
N
N
N
PG&E Corp
8YQ2GSDWYZXO2EDN3511
PG&E Corp
69331C108
231854.00000000
NS
USD
2768336.76000000
0.385848619242
Long
EC
CORP
US
N
1
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404T4V2
6960.62000000
PA
USD
7399.43000000
0.001031326784
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
BROWN & BROWN INC
549300PC8KTJ71XKFY89
Brown & Brown Inc
115236AE1
618000.00000000
PA
USD
627925.33000000
0.087519742925
Long
DBT
CORP
US
N
2
2032-03-17
Fixed
4.20000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AF4
288000.00000000
PA
USD
264096.53000000
0.036809568445
Long
DBT
CORP
US
N
2
2029-08-08
Fixed
3.90000000
N
N
N
N
N
Organon & Co
549300AMCKY57OK2CO56
Organon & Co
68622V106
49930.00000000
NS
USD
1744054.90000000
0.243085012188
Long
EC
CORP
US
N
1
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-H1
61691JAV6
470148.00000000
PA
USD
473114.77000000
0.065942367773
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
3.53000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE6 Trust
04002VAE1
892000.00000000
PA
USD
887986.89000000
0.123766920398
Long
ABS-MBS
CORP
KY
N
2
2024-11-17
Floating
1.90000000
N
N
N
N
N
N
TFDXX LEX BLACKROCK FED FUND
N/A
TFDXX LEX BLACKROCK FED FUND
000000000
1000000.00000000
NS
USD
1000000.00000000
0.139379220338
Long
STIV
RF
US
N
1
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAR1
369000.00000000
PA
USD
365463.92000000
0.050938076231
Long
DBT
US
N
2
2028-01-15
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJUV1
193665.49000000
PA
USD
196506.89000000
0.027388977119
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EBT5
1963.57000000
PA
USD
2087.42000000
0.000290942972
Long
ABS-MBS
USGA
US
N
2
2034-12-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KCV6
7295.91000000
PA
USD
7850.15000000
0.001094147786
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSF3
45199.47000000
PA
USD
44999.44000000
0.006271986862
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404MBT4
7712.82000000
PA
USD
8284.71000000
0.001154716420
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.50000000
N
N
N
N
N
N
National Bank of Canada
BSGEFEIOM18Y80CKCV46
National Bank of Canada
000000000
2600000.00000000
PA
USD
2600000.00000000
0.362385972879
Long
RA
CORP
US
N
2
Repurchase
Y
0.45000000
2022-04-07
29958.61000000
USD
2711008.89000000
USD
EQT
167424.55000000
USD
164067.75000000
USD
UST
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN22
000000000
112.00000000
NC
USD
-307626.03000000
-0.04287667621
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year US Treasury Note
FVM2 COMDTY
2022-06-30
13152626.03000000
USD
-307626.03000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381QC53
76975.88000000
PA
USD
81043.68000000
0.011295804931
Long
ABS-MBS
USGSE
US
N
2
2026-03-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NTS0
28031.03000000
PA
USD
30830.00000000
0.004297061363
Long
ABS-MBS
USGA
US
N
2
2034-06-15
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z52
16000000.00000000
PA
USD
15507500.00000000
2.161423259393
Long
DBT
UST
US
N
2
2025-01-31
Fixed
1.37500000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FCM84
4908000.00000000
PA
USD
35079.93000000
0.004889413292
Long
ABS-MBS
USGSE
US
N
2
2024-11-25
Variable
0.27300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335ALX4
67881.61000000
PA
USD
72223.60000000
0.010066469058
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.50000000
N
N
N
N
N
N
Northwell Healthcare Inc
54930073NUTKK4QD3P47
Northwell Healthcare Inc
667274AA2
51000.00000000
PA
USD
50115.93000000
0.006985119249
Long
DBT
CORP
US
N
2
2046-11-01
Fixed
3.97900000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296R3K2
59690.77000000
PA
USD
64971.63000000
0.009055695133
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTZU4
808011.00000000
PA
USD
104157.55000000
0.014517398111
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.86800000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137B5KW2
566000.00000000
PA
USD
573671.28000000
0.079957855736
Long
ABS-MBS
USGSE
US
N
2
2023-08-25
Variable
3.45800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405CJ34
19687.41000000
PA
USD
21883.56000000
0.003050113531
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H4BT6
1578796.00000000
PA
USD
72859.86000000
0.010155150480
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Variable
0.53600000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967ML2
875000.00000000
PA
USD
810679.97000000
0.112991942162
Long
DBT
CORP
US
N
2
2031-01-29
Fixed
2.66600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398W3B8
59634.44000000
PA
USD
63452.78000000
0.008843999004
Long
ABS-MBS
USGSE
US
N
2
2040-01-15
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
1591000.00000000
PA
USD
1453769.98000000
0.202625326363
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.54500000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Home Equity Loan Trust 2006-HE3
38012TAC6
38010.91000000
PA
USD
40435.22000000
0.005635829437
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
5.80500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DYK1
13296.03000000
PA
USD
14410.96000000
0.002008588369
Long
ABS-MBS
USGA
US
N
2
2033-07-20
Fixed
5.00000000
N
N
N
N
N
N
Roper Technologies Inc
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AF3
250000.00000000
PA
USD
258764.70000000
0.036066422137
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABC35
86736.55000000
PA
USD
8486.62000000
0.001182858478
Long
ABS-MBS
USGSE
US
N
2
2033-02-25
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J8ZX1
93261.58000000
PA
USD
93151.87000000
0.012983435013
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H13T1
240722.00000000
PA
USD
22595.54000000
0.003149348748
Long
ABS-MBS
USGSE
US
N
2
2031-05-25
Variable
1.22500000
N
N
N
N
N
N
RABOBANK NEW YORK
N/A
RABOBANK NEW YORK
000000000
1000000.00000000
PA
USD
1000000.00000000
0.139379220338
Long
STIV
CORP
US
N
2
2022-04-01
Fixed
0.31000000
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141G104
44994.00000000
NS
USD
14852519.40000000
2.070132574028
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AEEP8
10904.94000000
PA
USD
10843.02000000
0.001511291673
Long
ABS-MBS
USGSE
US
N
2
2040-10-25
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6JU3
18070.46000000
PA
USD
19557.86000000
0.002725959278
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHGM8
92625.70000000
PA
USD
96857.06000000
0.013499861507
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300NPF57YF6WBDP72
Neuberger Berman CLO XX Ltd
64130TBA2
600000.00000000
PA
USD
596212.80000000
0.083099675219
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.40100000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd
03880XAE6
1466500.00000000
PA
USD
1459919.67000000
0.203482465360
Long
ABS-CBDO
CORP
KY
N
2
2037-01-15
Floating
2.15000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030645
650000.00000000
PA
USD
635781.25000000
0.088614694930
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B5N24
105831.60000000
PA
USD
98386.41000000
0.013713021117
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DV50
10887.34000000
PA
USD
11895.55000000
0.001657992484
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AJ5
468000.00000000
PA
USD
415469.99000000
0.057907883280
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
2.00000000
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468C6
352000.00000000
PA
USD
360284.75000000
0.050216207554
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CM43
72058.39000000
PA
USD
71837.51000000
0.010012656134
Long
ABS-MBS
USGSE
US
N
2
2037-07-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WR34
195531.28000000
PA
USD
193690.29000000
0.026996401607
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
3.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020455
1000000.00000000
PA
USD
969042.97000000
0.135064453632
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Fixed
2.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBP0
169000.00000000
PA
USD
158132.74000000
0.022040418011
Long
DBT
CORP
US
N
2
2031-05-13
Fixed
2.95600000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403FQY3
3246.42000000
PA
USD
3521.86000000
0.000490874100
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405N2Z7
18700.74000000
PA
USD
19902.95000000
0.002774057653
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
Fidelity National Information Services Inc
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620M106
39922.00000000
NS
USD
4008967.24000000
0.558766728272
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B4H99
216422.01000000
PA
USD
201304.08000000
0.028057605721
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405HYD4
36846.77000000
PA
USD
39830.23000000
0.005551506403
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
BSPRT Issuer, Ltd.
N/A
BSPRT 2021-FL7 Issuer Ltd
05602CAE4
245000.00000000
PA
USD
240753.42000000
0.033556023973
Long
ABS-CBDO
CORP
KY
N
2
2038-12-15
Floating
2.44700000
N
N
N
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KN0
44000.00000000
PA
USD
40880.18000000
0.005697847615
Long
DBT
CORP
US
N
2
2050-01-30
Fixed
3.70000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AX4
147000.00000000
PA
USD
153727.82000000
0.021426463695
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.50000000
N
N
N
N
N
N
TJX COS INC
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540AT6
139000.00000000
PA
USD
144724.21000000
0.020171547553
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KT22
21241.99000000
PA
USD
22990.18000000
0.003204353363
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405HBL1
12500.05000000
PA
USD
13282.43000000
0.001851294737
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Danone SA
969500KMUQ2B6CBAF162
Danone SA
000000000
31216.00000000
NS
1719623.10000000
0.239679726953
Long
EC
CORP
FR
N
2
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
26874RAE8
1046000.00000000
PA
USD
1092106.50000000
0.152216952496
Long
DBT
CORP
IT
N
2
2028-09-12
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XQ91
32032.81000000
PA
USD
34758.36000000
0.004844593117
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.50000000
N
N
N
N
N
N
Charles Schwab Corp/The
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513105
150733.00000000
NS
USD
12708299.23000000
1.771272838501
Long
EC
CORP
US
N
1
N
N
N
Dryden Senior Loan Fund
549300ENU7ZZLTPT3E22
Dryden XXVI Senior Loan Fund
26250UAQ8
635776.96000000
PA
USD
632138.41000000
0.088106958731
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
1.14100000
N
N
N
N
N
N
STELLANTIS FIN US INC
549300QZ0AI8Q7LNON33
Stellantis Finance US Inc
85855CAB6
1012000.00000000
PA
USD
888295.45000000
0.123809927250
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.69100000
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAH4
843000.00000000
PA
USD
836881.30000000
0.116643863109
Long
DBT
US
N
2
2027-09-01
Fixed
3.65000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F2LN4
4356000.00000000
PA
USD
139500.90000000
0.019443526678
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Variable
0.63700000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F4X72
285000.00000000
PA
USD
297705.73000000
0.041493992537
Long
ABS-MBS
USGSE
US
N
2
2028-02-25
Variable
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401XPX9
41318.06000000
PA
USD
45177.08000000
0.006296746187
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36297GSD3
227028.33000000
PA
USD
236921.70000000
0.033021961827
Long
ABS-MBS
USGA
US
N
2
2041-12-15
Fixed
3.50000000
N
N
N
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441C204
42324.00000000
NS
USD
4725897.84000000
0.658691956336
Long
EC
CORP
US
N
1
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BL9
470000.00000000
PA
USD
429755.66000000
0.059899008826
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.30000000
N
N
N
N
N
N
STRU MS4939 PT 3.070 APR 01 5
N/A
STRU MS4939 PT 3.070 APR 01 5
000000000
391934.00000000
PA
USD
396465.74000000
0.055259085731
Long
DBT
CORP
US
N
3
2052-04-01
Fixed
3.07000000
N
N
N
N
N
N
Ross Stores Inc
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296103
9270.00000000
NS
USD
838564.20000000
0.116878424399
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202EC23
17328.78000000
PA
USD
18451.66000000
0.002571777984
Long
ABS-MBS
USGA
US
N
2
2035-03-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LSB6
34288.46000000
PA
USD
38126.78000000
0.005314080870
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AG1
147000.00000000
PA
USD
141692.75000000
0.019749025022
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404YM82
13024.48000000
PA
USD
13978.42000000
0.001948301281
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XEAU8
394645.04000000
PA
USD
387232.53000000
0.053972168120
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MCG82
28416.70000000
PA
USD
29172.08000000
0.004065981766
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.50000000
N
N
N
N
N
N
Verizon Owner Trust
549300XY7L2MRX0BQH89
Verizon Owner Trust 2020-A
92348TAC8
782000.00000000
PA
USD
779991.28000000
0.108714576476
Long
ABS-O
CORP
US
N
2
2024-07-22
Fixed
1.98000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WVT2
1292315.70000000
PA
USD
1233689.15000000
0.171950631866
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A62T7
24722.91000000
PA
USD
24327.82000000
0.003390792584
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
American Tower Truste I
5493004YGM0MQZJOEJ36
American Tower Trust #1
03027WAJ1
876000.00000000
PA
USD
870746.98000000
0.121364035184
Long
ABS-O
CORP
US
N
2
2048-03-15
Fixed
3.07000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389X105
23873.00000000
NS
USD
1975013.29000000
0.275275812517
Long
EC
CORP
US
N
1
N
N
N
National Bank of Canada
BSGEFEIOM18Y80CKCV46
National Bank of Canada
000000000
1800000.00000000
PA
USD
1800000.00000000
0.250882596608
Long
RA
CORP
US
N
2
Repurchase
Y
0.32000000
2022-04-07
1894988.40000000
USD
1837023.99000000
USD
UST
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ENSU4
32276.84000000
PA
USD
34148.72000000
0.004759621969
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407JUK6
5410.83000000
PA
USD
5774.45000000
0.000804838338
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31390PGK7
23475.33000000
PA
USD
25483.50000000
0.003551870361
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128P8E23
43976.97000000
PA
USD
45591.16000000
0.006354460335
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136APK43
28386.21000000
PA
USD
28039.41000000
0.003908111104
Long
ABS-MBS
USGSE
US
N
2
2044-05-25
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBTC0
7964336.53000000
PA
USD
68769.66000000
0.009585061593
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Variable
0.38500000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FYUN4
539591.00000000
PA
USD
30912.41000000
0.004308547604
Long
ABS-MBS
USGSE
US
N
2
2031-03-25
Variable
0.74000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYE3
314598.89000000
PA
USD
329087.91000000
0.045868016318
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131WHFH5
44897.65000000
PA
USD
48458.60000000
0.006754121886
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419HBF8
14234.31000000
PA
USD
15053.19000000
0.002098101885
Long
ABS-MBS
USGSE
US
N
2
2040-11-01
Fixed
5.00000000
N
N
N
N
N
N
BOSTON SCIENTIFIC CORP
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp
101137206
19658.00000000
NS
USD
2288977.52000000
0.319035902109
Long
EP
CORP
US
N
1
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X6UA1
587811.49000000
PA
USD
596541.80000000
0.083145530983
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBBZ8
2091928.45000000
PA
USD
43010.05000000
0.005994707235
Long
ABS-MBS
USGSE
US
N
2
2027-08-25
Variable
0.42900000
N
N
N
N
N
N
National Bank Financial Inc.
254900XZG349Z8CSZB72
National Bank Financial Inc.
000000000
5000000.00000000
PA
USD
5000000.00000000
0.696896101690
Long
RA
CORP
US
N
2
Repurchase
Y
0.32000000
2022-04-01
4888588.00000000
USD
5102844.40000000
USD
UST
N
N
Aon PLC
635400FALWQYX5E6QC64
Aon PLC
000000000
24121.00000000
NS
USD
7854521.23000000
1.094757045166
Long
EC
CORP
IE
N
1
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JW8
418000.00000000
PA
USD
388801.54000000
0.054190855511
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.00000000
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AW4
995000.00000000
PA
USD
883778.92000000
0.123180416820
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
2.15000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJS43
19286.47000000
PA
USD
19687.51000000
0.002744029794
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297BAX0
21362.74000000
PA
USD
22950.71000000
0.003198852066
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CLH5
202832.40000000
PA
USD
208887.10000000
0.029114521136
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132HNK57
256977.49000000
PA
USD
256596.77000000
0.035764257743
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV44
15603.83000000
PA
USD
15536.44000000
0.002165456894
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
3.00000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
Ready Capital Mortgage Financing 2021-FL5 LLC
75574YAA1
886738.92000000
PA
USD
883764.62000000
0.123178423698
Long
ABS-CBDO
CORP
US
N
2
2038-04-25
Floating
1.45700000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874CY1
610000.00000000
PA
USD
623734.50000000
0.086935628307
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
4.12500000
N
N
N
N
N
TE Connectivity Ltd
894500ZRIX9K13RHXR17
TE Connectivity Ltd
000000000
5561.00000000
NS
USD
728379.78000000
0.101521005846
Long
EC
CORP
CH
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EBH2
34756.44000000
PA
USD
31504.37000000
0.004391054527
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
1.50000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CPS6
15447.69000000
PA
USD
15662.51000000
0.002183028432
Long
ABS-O
USGA
US
N
2
2025-08-01
Fixed
5.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404WXR2
10033.11000000
PA
USD
10844.78000000
0.001511536981
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
6.50000000
N
N
N
N
N
N
FHLMC Multifamily WI Certificates
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily WI Certificates
3137H6MM4
344908.00000000
PA
USD
328029.20000000
0.045720454144
Long
ABS-MBS
USGSE
US
N
2
2029-06-25
Fixed
2.12000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407HXD3
18244.14000000
PA
USD
19486.13000000
0.002715961606
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J93Z9
89907.43000000
PA
USD
89640.72000000
0.012494053664
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296YLB7
8265.88000000
PA
USD
8880.31000000
0.001237730684
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
6.50000000
N
N
N
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26882PBE1
602000.00000000
PA
USD
785838.47000000
0.109529553260
Long
DBT
CORP
US
N
2
2037-10-15
Fixed
7.00000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BS4
577000.00000000
PA
USD
587615.09000000
0.081901333103
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.15000000
N
N
N
N
N
Bayer AG
549300J4U55H3WP1XT59
Bayer AG
000000000
18300.00000000
NS
1252034.82000000
0.174507637047
Long
EC
CORP
DE
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERQS2
396384.79000000
PA
USD
400527.70000000
0.055825238549
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412WHE9
15713.32000000
PA
USD
16868.29000000
0.002351089108
Long
ABS-MBS
USGSE
US
N
2
2037-05-01
Fixed
6.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HRY8
1220000.00000000
PA
USD
1235611.02000000
0.172218500608
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.78200000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAJ2
512000.00000000
PA
USD
513708.87000000
0.071600341781
Long
DBT
US
N
2
2030-07-01
Fixed
4.05000000
N
N
N
N
N
N
XCEL ENERGY INC
LGJNMI9GH8XIDG5RCM61
Xcel Energy Inc
98389BAY6
297000.00000000
PA
USD
296503.86000000
0.041326476834
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.40000000
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAZ8
57000.00000000
PA
USD
57664.39000000
0.008037217719
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ASG67
104767.72000000
PA
USD
19119.04000000
0.002664796888
Long
ABS-MBS
USGSE
US
N
2
2046-07-25
Fixed
4.00000000
N
N
N
N
N
N
LKQ Corp
DS830JTTZQN6GK0I2E41
LKQ Corp
501889208
78388.00000000
NS
USD
3559599.08000000
0.496134144486
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291F4X3
6376.23000000
PA
USD
6805.56000000
0.000948553646
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFGA3
372555.84000000
PA
USD
357132.02000000
0.049776782505
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F2LL8
1459882.97000000
PA
USD
48286.07000000
0.006730074789
Long
ABS-MBS
USGSE
US
N
2
2027-06-25
Variable
0.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31296UUQ2
18914.10000000
PA
USD
20276.65000000
0.002826143668
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAS7
687000.00000000
PA
USD
688308.53000000
0.095935906263
Long
DBT
CORP
US
N
2
2027-05-09
Fixed
3.50000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTQJ1
300000.00000000
PA
USD
310745.45000000
0.043311458544
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
3.41000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FCJP0
3235000.00000000
PA
USD
46674.58000000
0.006505466570
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Variable
0.24400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406V2P0
30124.35000000
PA
USD
32580.14000000
0.004540994511
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404QW70
32806.11000000
PA
USD
35467.92000000
0.004943491036
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.50000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477BM4
125000.00000000
PA
USD
123941.58000000
0.017274880787
Long
DBT
CORP
US
N
2
2026-03-30
Fixed
2.90100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K5AX5
64895.42000000
PA
USD
62071.70000000
0.008651505151
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
2.50000000
N
N
N
N
N
N
Residential Funding Mortgage Securities II
N/A
Home Equity Loan Trust 2005-HS2
76110VSS8
20612.72000000
PA
USD
20582.00000000
0.002868703112
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
4.43500000
N
N
N
N
N
N
Aon Corp
LTS3U8DGK38SETRUWX71
Aon Corp
037389BC6
1126000.00000000
PA
USD
1151320.13000000
0.160470102078
Long
DBT
CORP
US
N
2
2029-05-02
Fixed
3.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYG8
32843.85000000
PA
USD
34316.24000000
0.004782970776
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust 2021-3
22535GAB8
328000.00000000
PA
USD
310824.94000000
0.043322537798
Long
ABS-O
CORP
US
N
2
2030-07-15
Fixed
1.38000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FEBU3
3579000.00000000
PA
USD
60509.44000000
0.008433758570
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Variable
0.28900000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDT6
222000.00000000
PA
USD
220217.45000000
0.030693736485
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
3.50000000
N
N
N
N
N
Valero Energy Corp
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAL4
596000.00000000
PA
USD
737257.20000000
0.102758333724
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
6.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297UKW9
17600.32000000
PA
USD
18752.65000000
0.002613729736
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
LoanCore 2021-CRE5 Issuer, Ltd
N/A
LoanCore 2021-CRE5 Issuer Ltd
53947XAE2
1547500.00000000
PA
USD
1518590.22000000
0.211659920876
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
2.14700000
N
N
N
N
N
N
CHENIERE CORP CHRISTI HD
549300I7CIEWU1BBLQ53
Cheniere Corpus Christi Holdings LLC
16412XAJ4
514000.00000000
PA
USD
512396.25000000
0.071417389829
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407HQF6
45385.47000000
PA
USD
48534.39000000
0.006764685437
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
6.00000000
N
N
N
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
Ready Capital Mortgage Financing 2021-FL7 LLC
75575WAE6
320000.00000000
PA
USD
317654.78000000
0.044274475573
Long
ABS-CBDO
CORP
US
N
2
2036-11-25
Floating
2.25700000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FCLH5
5207000.00000000
PA
USD
60846.92000000
0.008480796269
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Variable
0.19600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417G2Y1
399185.02000000
PA
USD
407177.80000000
0.056752124302
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040640
25000.00000000
PA
USD
25492.19000000
0.003553081566
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400HAZ6
4534.37000000
PA
USD
4822.20000000
0.000672114476
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
5.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTG43
300000.00000000
PA
USD
37331.94000000
0.005203296690
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.79800000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZG2
1002928.00000000
PA
USD
125984.71000000
0.017559650654
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.79700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJU33
455530.65000000
PA
USD
462659.42000000
0.064485109241
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJY9
620000.00000000
PA
USD
581360.90000000
0.081029628977
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.75000000
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241L4N3
105804.87000000
PA
USD
112816.49000000
0.015724274417
Long
ABS-MBS
USGA
US
N
2
2040-04-15
Fixed
4.50000000
N
N
N
N
N
N
DZ BANK AG NEW YORK
N/A
DZ BANK AG NEW YORK
000000000
1000000.00000000
PA
USD
1000000.00000000
0.139379220338
Long
STIV
CORP
US
N
2
2022-04-01
Fixed
0.30000000
N
N
N
N
N
MORGAN STANLEY DOM HOLD
549300RJIC678ZPVWG08
Morgan Stanley Domestic Holdings Inc
269246BS2
310000.00000000
PA
USD
321652.39000000
0.044831659338
Long
DBT
CORP
US
N
2
2028-06-20
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
617446448
51442.00000000
NS
USD
4496030.80000000
0.626653267520
Long
EC
CORP
US
N
1
N
N
N
SKANDI NY
N/A
SKANDI NY
000000000
1000000.00000000
PA
USD
1000000.00000000
0.139379220338
Long
STIV
CORP
US
N
2
2022-04-01
Fixed
0.30000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407FRC6
7724.50000000
PA
USD
8210.65000000
0.001144393995
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300L45M7638EL0H21
GS Mortgage Securities Trust 2015-GC30
36250GAP0
1387991.00000000
PA
USD
1379540.36000000
0.192279259801
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
3.38200000
N
N
N
N
N
N
Pioneer Natural Resources Co
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787107
16686.00000000
NS
USD
4172000.58000000
0.581490188090
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLR6
114786.91000000
PA
USD
114622.14000000
0.015975944506
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.00000000
N
N
N
N
N
N
Ingersoll Rand Inc
5299004C02FMZCUOIR50
Ingersoll Rand Inc
45687V106
82125.00000000
NS
USD
4134993.75000000
0.576332204978
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201ESK7
890.06000000
PA
USD
950.31000000
0.000132453466
Long
ABS-MBS
USGA
US
N
2
2032-03-15
Fixed
6.00000000
N
N
N
N
N
N
TIME WARNER ENTERTAINMEN
N/A
Time Warner Entertainment Co LP
88731EAJ9
592000.00000000
PA
USD
772880.41000000
0.107723468960
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
8.37500000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC21 Mortgage Trust
12593FBD5
1300833.00000000
PA
USD
1312451.39000000
0.182928451469
Long
ABS-MBS
CORP
US
N
2
2048-07-10
Fixed
3.70800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404LSA9
9569.93000000
PA
USD
10174.13000000
0.001418062307
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385W2A6
14170.47000000
PA
USD
15254.34000000
0.002126138015
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
6.50000000
N
N
N
N
N
N
Cutwater Ltd
N/A
Cutwater 2015-I Ltd
23222LAN7
735939.79000000
PA
USD
735369.44000000
0.102495219207
Long
ABS-CBDO
CORP
KY
N
2
2029-01-15
Floating
1.46100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411GNH1
24202.53000000
PA
USD
26190.32000000
0.003650386382
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9A75
64414.41000000
PA
USD
67212.11000000
0.009367971489
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
4.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AM2
208000.00000000
PA
USD
218560.61000000
0.030462807418
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.37500000
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AX8
1340000.00000000
PA
USD
1214991.59000000
0.169344580531
Long
DBT
CORP
GB
N
2
2030-09-10
Fixed
2.62500000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GS6D6
167846.08000000
PA
USD
171328.39000000
0.023879617419
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H4SM3
3517256.00000000
PA
USD
163438.44000000
0.022779922340
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Variable
0.56700000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FSD9
57189.97000000
PA
USD
60087.74000000
0.008374982353
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KHJ8
12125.78000000
PA
USD
13212.78000000
0.001841586974
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297DDQ8
88982.49000000
PA
USD
98537.70000000
0.013734107799
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31292HYT5
69076.10000000
PA
USD
74818.09000000
0.010428087051
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LAAB5
121000.00000000
PA
USD
120555.17000000
0.016802885602
Long
ABS-MBS
USGSE
US
N
2
2025-07-01
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KG4A8
91096.99000000
PA
USD
87679.81000000
0.012220743557
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBJ6
868000.00000000
PA
USD
1265277.01000000
0.176353323165
Long
DBT
CORP
US
N
2
2039-11-15
Fixed
8.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F62R7
229735.00000000
PA
USD
19639.79000000
0.002737378617
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Variable
1.17000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416QUP8
45771.23000000
PA
USD
48676.48000000
0.006784489831
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFA66
381832.34000000
PA
USD
366003.23000000
0.051013244838
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL1 Ltd
03881CAC5
625000.00000000
PA
USD
612601.25000000
0.085383884603
Long
ABS-CBDO
CORP
KY
N
2
2035-12-15
Floating
1.59700000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807102
5590.00000000
NS
USD
2499959.80000000
0.348442447800
Long
EC
CORP
US
N
1
N
N
N
Electronic Arts Inc
549300O7A67PUEYKDL45
Electronic Arts Inc
285512109
16064.00000000
NS
USD
2032256.64000000
0.283254346010
Long
EC
CORP
US
N
1
N
N
N
McKesson Corp
549300WZWOM80UCFSF54
McKesson Corp
58155Q103
16235.00000000
NS
USD
4970020.55000000
0.692717589323
Long
EC
CORP
US
N
1
N
N
N
ALCON FINANCE CORP
549300CUZUI9VU7XNK42
Alcon Finance Corp
01400EAD5
200000.00000000
PA
USD
184148.82000000
0.025666518957
Long
DBT
CORP
US
N
2
2030-05-27
Fixed
2.60000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405FYH9
4150.91000000
PA
USD
4410.46000000
0.000614726476
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJCF5
16155.05000000
PA
USD
18054.10000000
0.002516366381
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407B3J6
53653.52000000
PA
USD
57720.35000000
0.008045017380
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210FNV4
1016.44000000
PA
USD
1084.66000000
0.000151179065
Long
ABS-MBS
USGA
US
N
2
2028-12-15
Fixed
6.00000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAL4
333000.00000000
PA
USD
401049.86000000
0.055898016803
Long
DBT
CORP
US
N
2
2046-04-01
Fixed
6.75000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AY4
502000.00000000
PA
USD
449210.91000000
0.062610666403
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKD0
961000.00000000
PA
USD
873225.63000000
0.121709507488
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VAZ7
243000.00000000
PA
USD
255895.14000000
0.035666465101
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.25000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBN1
538000.00000000
PA
USD
527713.93000000
0.073552356124
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
3.80000000
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABG1
597000.00000000
PA
USD
570166.59000000
0.079469374777
Long
DBT
CORP
US
N
2
2027-02-10
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L3D28
82545.97000000
PA
USD
82712.41000000
0.011528391218
Long
ABS-MBS
USGSE
US
N
2
2023-05-01
Fixed
2.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407YD63
8138.91000000
PA
USD
8963.57000000
0.001249335398
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
6.00000000
N
N
N
N
N
N
Danaher Corp
S4BKK9OTCEWQ3YHPFM11
Danaher Corp
235851102
20571.00000000
NS
USD
6034091.43000000
0.841026958962
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HF7H6
44500.79000000
PA
USD
42757.28000000
0.005959476350
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389QXF0
6926.07000000
PA
USD
7488.97000000
0.001043806799
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128LXAE0
16376.65000000
PA
USD
17431.99000000
0.002429657175
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
4.50000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YBD1
176000.00000000
PA
USD
155323.19000000
0.021648825122
Long
DBT
CORP
US
N
2
2051-12-01
Fixed
3.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36177MPD8
38844.80000000
PA
USD
40007.99000000
0.005576282453
Long
ABS-MBS
USGA
US
N
2
2042-02-15
Fixed
3.50000000
N
N
N
N
N
N
BOSTON PROPERTIES LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RBE3
389000.00000000
PA
USD
350819.65000000
0.048896969296
Long
DBT
US
N
2
2032-04-01
Fixed
2.55000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KTN6
97721.26000000
PA
USD
106958.09000000
0.014907735193
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
Cboe Global Markets Inc
529900RLNSGA90UPEH54
Cboe Global Markets Inc
12503M108
20576.00000000
NS
USD
2354305.92000000
0.328141323567
Long
EC
CORP
US
N
1
N
N
N
State Board of Administration Finance Corp
549300S34SOJ0RULXM35
FLORIDA ST BRD OF ADMIN FIN CORP REVENUE
341271AF1
436000.00000000
PA
USD
397988.39000000
0.055471311501
Long
DBT
MUN
US
N
2
2030-07-01
Fixed
2.15400000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H4CH1
2325421.00000000
PA
USD
70888.60000000
0.009880397798
Long
ABS-MBS
USGSE
US
N
2
2031-11-25
Variable
0.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419LZZ9
119152.53000000
PA
USD
124630.70000000
0.017370929796
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JNDC8
232654.78000000
PA
USD
237467.51000000
0.033098036399
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.50000000
N
N
N
N
N
N
Taiwan Semiconductor Manufacturing Co Ltd
549300KB6NK5SBD14S87
Taiwan Semiconductor Manufacturing Co Ltd
874039100
27557.00000000
NS
USD
2873092.82000000
0.400449437210
Long
EC
CORP
TW
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200KR33
2496.84000000
PA
USD
2769.11000000
0.000385956392
Long
ABS-MBS
USGA
US
N
2
2033-04-15
Fixed
6.00000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BM1
308000.00000000
PA
USD
358676.62000000
0.049992067649
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.75000000
N
N
N
N
N
N
Lear Corp
549300UPNBTXA1SYTQ33
Lear Corp
521865BA2
244000.00000000
PA
USD
247018.44000000
0.034429237576
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.25000000
N
N
N
N
N
N
Howmet Aerospace Inc
549300HO5WFZUT5N2T22
Howmet Aerospace Inc
443201108
79471.00000000
NS
USD
2856187.74000000
0.398093220340
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RD34
851691.02000000
PA
USD
33890.49000000
0.004723630073
Long
ABS-MBS
USGA
US
N
2
2059-02-16
Variable
0.58400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JADZ5
82814.88000000
PA
USD
82794.09000000
0.011539775712
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297C5V8
17526.25000000
PA
USD
19138.06000000
0.002667447881
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BT8
543000.00000000
PA
USD
544792.49000000
0.075932752502
Long
DBT
CORP
US
N
2
2029-03-23
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LQ2S2
56704.66000000
PA
USD
58852.02000000
0.008202748662
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R7H6
45744.67000000
PA
USD
45569.96000000
0.006351505495
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385XEC7
29096.72000000
PA
USD
31847.09000000
0.004438822574
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
Nasdaq Inc
549300L8X1Q78ERXFD06
Nasdaq Inc
631103108
14432.00000000
NS
USD
2571782.40000000
0.358453025791
Long
EC
CORP
US
N
1
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFUW4
140051.79000000
PA
USD
142667.17000000
0.019884838922
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
3.50000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AW0
524000.00000000
PA
USD
577548.66000000
0.080498281938
Long
DBT
CORP
GB
N
2
2030-04-01
Fixed
5.62500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBE5
310000.00000000
PA
USD
292925.50000000
0.040827727807
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.73900000
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCU8
613000.00000000
PA
USD
577907.78000000
0.080548335803
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
2.96300000
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAS1
538000.00000000
PA
USD
481690.96000000
0.067137710448
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.87500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGHU1
121948.77000000
PA
USD
124229.63000000
0.017315028972
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31401KVB8
1874.23000000
PA
USD
1993.26000000
0.000277819024
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B4JE6
250799.24000000
PA
USD
233155.64000000
0.032497051320
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Equifax Inc
5493004MCF8JDC86VS77
Equifax Inc
294429105
4779.00000000
NS
USD
1133100.90000000
0.157930720006
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131WGVK2
13753.53000000
PA
USD
14695.30000000
0.002048219456
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RB6
2550000.00000000
PA
USD
2639847.67000000
0.367939910056
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.87500000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020448
1725000.00000000
PA
USD
1675338.87000000
0.233507425502
Long
ABS-MBS
USGSE
US
N
2
2037-04-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EK6N0
164816.11000000
PA
USD
172451.48000000
0.024036152828
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
4.00000000
N
N
N
N
N
N
T-Mobile US Inc
549300QHIJYOHPACPG31
T-Mobile US Inc
872590104
40717.00000000
NS
USD
5226026.95000000
0.728399561757
Long
EC
CORP
US
N
1
N
N
N
Kimberly-Clark Corp
MP3J6QPYPGN75NVW2S34
Kimberly-Clark Corp
494368103
15483.00000000
NS
USD
1906886.28000000
0.265780322979
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNEG4
392661.50000000
PA
USD
375218.61000000
0.052297677318
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Travelers Cos Inc/The
549300Y650407RU8B149
Travelers Cos Inc/The
89417E109
25032.00000000
NS
USD
4574097.36000000
0.637534123787
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297ECL8
2147.42000000
PA
USD
2294.10000000
0.000319749869
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
6.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLV2
616000.00000000
PA
USD
540190.48000000
0.075291327936
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
CANADIAN IMPERIAL BANK LONDON
N/A
CANADIAN IMPERIAL BANK LONDON
000000000
1000000.00000000
PA
USD
1000000.00000000
0.139379220338
Long
STIV
CORP
US
N
2
2022-04-01
Fixed
0.32000000
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SA7
2332000.00000000
PA
USD
2540695.79000000
0.354120198326
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407BTX7
5053.20000000
PA
USD
5465.96000000
0.000761841243
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
BofA Securities, Inc.
000000000
8221256.85000000
PA
USD
8221256.85000000
1.145872369952
Long
RA
CORP
US
N
2
Repurchase
Y
0.27000000
2022-04-01
7509334.36000000
USD
8385683.73000000
USD
UST
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCN3
1091000.00000000
PA
USD
1053420.99000000
0.146824996274
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.27300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405GRV4
5909.60000000
PA
USD
6276.31000000
0.000874787194
Long
ABS-MBS
USGSE
US
N
2
2034-07-01
Fixed
5.50000000
N
N
N
N
N
N
APT Pipelines Ltd
261700SS8OEHDOCOUJ33
APT Pipelines Ltd
00205GAD9
84000.00000000
PA
USD
86151.70000000
0.012007756776
Long
DBT
CORP
AU
N
2
2027-07-15
Fixed
4.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BLMZ8
134000.00000000
PA
USD
134935.21000000
0.018807164365
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Fixed
3.01000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAS0
439000.00000000
PA
USD
445482.43000000
0.062090993767
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406BYJ3
131694.19000000
PA
USD
144132.64000000
0.020089094988
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
5.50000000
N
N
N
N
N
N
APT Pipelines Ltd
261700SS8OEHDOCOUJ33
APT Pipelines Ltd
00205GAB3
1100000.00000000
PA
USD
1115240.42000000
0.155441340229
Long
DBT
CORP
AU
N
2
2025-03-23
Fixed
4.20000000
N
N
N
N
N
N
APTIV PLC
N/A
Aptiv PLC
000000000
11000.00000000
NS
USD
1501170.00000000
0.209231904194
Long
EP
CORP
JE
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403QPV6
60855.89000000
PA
USD
65967.28000000
0.009194468054
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGQ69
375000.00000000
PA
USD
367928.55000000
0.051281594439
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.00000000
N
N
N
N
N
N
New Jersey Economic Development Authority
5493006JS6QWDVU4R678
NEW JERSEY ST ECON DEV AUTH LEASE REVENUE
645913AA2
800000.00000000
PA
USD
940115.52000000
0.131032568205
Long
DBT
MUN
US
N
2
2029-02-15
Fixed
7.42500000
N
N
N
N
N
N
Oaktree CLO Ltd
549300BJ8TRWJ20BLC43
Oaktree CLO 2019-1 Ltd
67401XAL5
1503087.00000000
PA
USD
1478092.17000000
0.206015334242
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
2.00900000
N
N
N
N
N
N
AIA GROUP LTD
ZP5ILWVSYE4LJGMMVD57
AIA Group Ltd
00131LAJ4
804000.00000000
PA
USD
799624.74000000
0.111451072824
Long
DBT
CORP
HK
N
2
2030-04-07
Fixed
3.37500000
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAH5
340000.00000000
PA
USD
345713.93000000
0.048185338023
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHNH1
460475.94000000
PA
USD
468781.20000000
0.065338358165
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297AZL1
4944.48000000
PA
USD
5312.02000000
0.000740385206
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
6.50000000
N
N
N
N
N
N
Booking Holdings Inc
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857L108
563.00000000
NS
USD
1322177.35000000
0.184284048191
Long
EC
CORP
US
N
1
N
N
N
WESTINGHOUSE AIR BRAKE
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
960386AM2
660000.00000000
PA
USD
694621.30000000
0.096815775224
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.95000000
N
N
N
N
N
N
Aptiv PLC
N/A
Aptiv PLC
000000000
19176.00000000
NS
USD
2295558.96000000
0.319953218085
Long
EC
CORP
JE
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFM73
471182.75000000
PA
USD
450165.47000000
0.062743712231
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMZB4
292262.77000000
PA
USD
279800.95000000
0.038998438260
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933Y105
113652.00000000
NS
USD
9325146.60000000
1.299731662646
Long
EC
CORP
US
N
1
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
Cenovus Energy Inc
15135UAS8
149000.00000000
PA
USD
157116.84000000
0.021898822661
Long
DBT
CORP
CA
N
2
2025-07-15
Fixed
5.37500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404EPN0
11208.73000000
PA
USD
12119.50000000
0.001689206460
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31389Q6C7
37263.29000000
PA
USD
39818.03000000
0.005549805976
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297DLZ9
15240.81000000
PA
USD
16373.72000000
0.002282156327
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2019-2
35563PKG3
8457.52000000
PA
USD
8491.20000000
0.001183496835
Long
ABS-MBS
USGSE
US
N
2
2058-08-25
Fixed
3.50000000
N
N
N
N
N
N
BPCRE Holder LLC
N/A
BPCRE 2021-FL1 Ltd
05601GAA4
4284.27000000
PA
USD
4233.95000000
0.000590124649
Long
ABS-CBDO
CORP
KY
N
2
2037-02-15
Floating
1.29100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030641
1625000.00000000
PA
USD
1605893.56000000
0.223828192338
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KGJG9
62211.57000000
PA
USD
59691.15000000
0.008319705948
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Colgate-Palmolive Co
YMEGZFW4SBUSS5BQXF88
Colgate-Palmolive Co
194162103
31679.00000000
NS
USD
2402218.57000000
0.334819351368
Long
EC
CORP
US
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810ST6
2500000.00000000
PA
USD
2043847.65000000
0.284869891946
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CV68
116359.05000000
PA
USD
117647.94000000
0.016397678151
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
3.50000000
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
01626PAP1
619000.00000000
PA
USD
555854.18000000
0.077474522230
Long
DBT
CORP
CA
N
2
2041-05-13
Fixed
3.43900000
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPHM0
1589745.94000000
PA
USD
113184.51000000
0.015775568758
Long
ABS-MBS
USGSE
US
N
2
2029-08-25
Variable
1.14400000
N
N
N
N
N
N
Quest Diagnostics Inc
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics Inc
74834L100
23779.00000000
NS
USD
3254393.94000000
0.453594890030
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419ANB9
151537.33000000
PA
USD
158498.38000000
0.022091380629
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FBTA4
251436.49000000
PA
USD
252203.17000000
0.035151881201
Long
ABS-MBS
USGSE
US
N
2
2024-08-25
Variable
3.06400000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd
03880KAE4
522000.00000000
PA
USD
516236.60000000
0.071952654818
Long
ABS-CBDO
CORP
KY
N
2
2034-08-15
Floating
1.99700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DF54
11664.93000000
PA
USD
12610.62000000
0.001757658383
Long
ABS-MBS
USGSE
US
N
2
2034-08-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200ENN7
47503.65000000
PA
USD
50773.45000000
0.007076763874
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405NGP4
85960.36000000
PA
USD
92248.81000000
0.012857567214
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406B2N9
9779.22000000
PA
USD
10609.13000000
0.001478692267
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625H100
79215.00000000
NS
USD
10798588.80000000
1.505098887696
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402CP30
15107.47000000
PA
USD
16540.18000000
0.002305357392
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297S5K7
13900.43000000
PA
USD
14792.86000000
0.002061817293
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.50000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903AY9
623000.00000000
PA
USD
623994.86000000
0.086971917081
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
4.00000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RJV2
35414.72000000
PA
USD
38274.14000000
0.005334619792
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H5DT1
2074891.00000000
PA
USD
85795.29000000
0.011958080628
Long
ABS-MBS
USGSE
US
N
2
2031-12-25
Variable
0.39900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402DJR2
47114.64000000
PA
USD
50900.85000000
0.007094520787
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.00000000
N
N
N
N
N
N
Experian Finance PLC
635400RKRK5EGXSPC782
Experian Finance PLC
30217AAB9
533000.00000000
PA
USD
556777.71000000
0.077603243121
Long
DBT
CORP
GB
N
2
2029-02-01
Fixed
4.25000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NAY1
273000.00000000
PA
USD
268230.40000000
0.037385744022
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
2.50000000
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JBE7
1713000.00000000
PA
USD
1729017.73000000
0.240989143158
Long
DBT
CORP
AU
N
2
2033-06-21
Fixed
4.44200000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E55N4
20549.81000000
PA
USD
20845.75000000
0.002905464382
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
3.50000000
N
N
N
N
N
N
ONEOK Inc
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680AT0
729000.00000000
PA
USD
734019.88000000
0.102307118587
Long
DBT
CORP
US
N
2
2047-07-13
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416XV64
24780.82000000
PA
USD
26721.39000000
0.003724406504
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290RYF4
31291.66000000
PA
USD
34699.51000000
0.004836390649
Long
ABS-MBS
USGA
US
N
2
2034-07-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405ELX1
708.71000000
PA
USD
752.08000000
0.000104824324
Long
ABS-MBS
USGSE
US
N
2
2034-09-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032647
950000.00000000
PA
USD
955195.31000000
0.133134377578
Long
ABS-MBS
USGA
US
N
2
2052-04-21
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GRL58
219322.66000000
PA
USD
223870.13000000
0.031202844176
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132J87H7
88665.60000000
PA
USD
90121.54000000
0.012561069980
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
RELX CAPITAL INC
2R15C3RTKJN1RCBOV146
RELX Capital Inc
74949LAD4
174000.00000000
PA
USD
166245.54000000
0.023171173749
Long
DBT
CORP
US
N
2
2030-05-22
Fixed
3.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BL7
132000.00000000
PA
USD
135153.62000000
0.018837606181
Long
DBT
CORP
US
N
2
2047-05-01
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417F3J5
331775.74000000
PA
USD
338430.05000000
0.047170116507
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBV6
905000.00000000
PA
USD
820864.30000000
0.114411426137
Long
DBT
CORP
GB
N
2
2032-11-24
Fixed
2.89400000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CZB3
25154.35000000
PA
USD
25408.04000000
0.003541352805
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
3.00000000
N
N
N
N
N
N
Samsung Electronics Co Ltd
9884007ER46L6N7EI764
Samsung Electronics Co Ltd
000000000
28863.00000000
NS
1492904.88000000
0.208079918213
Long
EP
CORP
KR
N
2
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CAS4
114000.00000000
PA
USD
110952.30000000
0.015464445068
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.65000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31411GSU7
12114.36000000
PA
USD
13004.80000000
0.001812598884
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
6.50000000
N
N
N
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAJ3
540000.00000000
PA
USD
550720.23000000
0.076758956281
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
4.20000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EB82
1993831.48000000
PA
USD
1852207.34000000
0.258159214953
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31297SBU8
14656.46000000
PA
USD
15872.30000000
0.002212268798
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQTZ5
61642.95000000
PA
USD
63895.76000000
0.008905741211
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
4.50000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABF3
287000.00000000
PA
USD
278066.11000000
0.038756637614
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
2.65000000
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNX70
256304.43000000
PA
USD
17388.82000000
0.002423640174
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Variable
1.09000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405PJV3
37429.01000000
PA
USD
40165.65000000
0.005598256981
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022659
2050000.00000000
PA
USD
1951773.84000000
0.272036716095
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
2.50000000
N
N
N
N
N
N
Eaton Corp PLC
549300VDIGTMXUNT7H71
Eaton Corp PLC
000000000
63737.00000000
NS
USD
9672727.12000000
1.348177164529
Long
EC
CORP
IE
N
1
N
N
N
HARTFORD FINL SVCS GRP
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group Inc/The
416515BF0
108000.00000000
PA
USD
101271.16000000
0.014115095323
Long
DBT
CORP
US
N
2
2049-08-19
Fixed
3.60000000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9LS9
193364.84000000
PA
USD
197390.11000000
0.027512079634
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202DZE4
3750.94000000
PA
USD
3992.87000000
0.000556523107
Long
ABS-MBS
USGA
US
N
2
2033-09-20
Fixed
4.50000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CNU3
6847.21000000
PA
USD
6944.20000000
0.000967877181
Long
ABS-O
USGA
US
N
2
2024-06-01
Fixed
5.52000000
N
N
N
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825C104
64644.00000000
NS
USD
6464400.00000000
0.901003031953
Long
EC
CORP
US
N
1
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290SEQ0
466.08000000
PA
USD
498.04000000
0.000069416426
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ABYR4
68824.33000000
PA
USD
73237.52000000
0.010207788437
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CNR0
1883.83000000
PA
USD
1902.69000000
0.000265195448
Long
ABS-O
USGA
US
N
2
2024-04-01
Fixed
4.77000000
N
N
N
N
N
N
2022-04-29
Brighthouse Funds Trust II
Alan Otis
Alan Otis
Treasurer
XXXX